N-CSRS 1 nmt.txt NMT 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 811-7484 --------------------- Nuveen Massachusetts Premium Income Municipal Fund ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Kevin J. McCarthy Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: (312) 917-7700 ------------------- Date of fiscal year end: May 31 ------------------ Date of reporting period: November 30, 2009 ------------------ 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. LOGO: NUVEEN INVESTMENTS Closed-End Funds -------------------------------------------------------------------------------- Nuveen Investments Municipal Closed-End Funds IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R) Semi-Annual Report November 30, 2009 -------------------------- ------------------------ -------------------------- -------------------------- NUVEEN CONNECTICUT NUVEEN CONNECTICUT NUVEEN CONNECTICUT NUVEEN CONNECTICUT PREMINUM INCOME DIVIDEND ADVANTAGE DIVIDEND ADVANTAGE DIVIDEND ADVANTAGE MUNICIPAL FUND MUNICIPAL FUND MUNICIPAL FUND 2 MUNICIPAL FUND 3 NTC NFC NGK NGO -------------------------- ------------------------ -------------------------- -------------------------- NUVEEN MASSACHUSETTS NUVEEN MASSACHUSETTS NUVEEN INSURED NUVEEN MISSOURI PREMIUM INCOME DIVIDEND ADVANTAGE MASSACHUSETTS TAX-FREE PREMIUM INCOME MUNICIPAL FUND MUNICIPAL FUND ADVANTAGE MUNICIPAL FUND MUNICIPAL FUND NMT NMB NGX NOM (NOVEMBER 09) LIFE IS COMPLEX. Nuveen makes things e-simple. It only takes a minute to sign up for e-Reports. Once enrolled, you'll receive an e-mail as soon as your Nuveen Investments Fund information is ready. No more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish. Free e-Reports right to your e-mail! WWW.INVESTORDELIVERY.COM If you receive your Nuveen Fund dividends and statements from your financial advisor or brokerage account. OR WWW.NUVEEN.COM/ACCOUNTACCESS If you receive your Nuveen Fund dividends and statements directly from Nuveen. LOGO: NUVEEN Investments Chairman's Letter to Shareholders [PHOTO OF ROBERT P. BREMNER] DEAR SHAREHOLDER, The financial markets in which your Fund operates continue to reflect the larger economic crosscurrents. The illiquidity that infected global credit markets over the last year continues to recede but there is concern about the impact of a reduction in official liquidity support programs. The major institutions that are the linchpin of the international financial system have strengthened their capital structures, but many still struggle with losses in their various portfolios. Global trends include increasing trade and concern about the ability of the U.S. government to address its substantial budgetary deficits. While the fixed-income and equity markets have recovered from the lows recorded in the first quarter of 2009, identifying those developments that will define the future is never easy, and rarely is it more difficult than at present. A fundamental component of a successful investment program is a commitment to remain focused on long-term investment goals even during periods of heightened market uncertainty. Another component is to re-evaluate investment disciplines and tactics and to confirm their validity following periods of extreme volatility and market dislocation, such as we have recently experienced. Your Board carried out an intensive review of investment performance with these objectives in mind during April and May of 2009 as part of the annual management contract renewal process. Confirming the appropriateness of a long term investment strategy is as important for our shareholders as it is for our professional investment managers. For that reason, I again encourage you to remain in communication with your financial consultant on this subject. In September 2009, Nuveen completed the refinancing, at par, of all the auction rate preferred shares issued by its taxable closed-end funds. On October 15, 2009, Nuveen announced the first successful offering of an issue of MuniFund Term Preferred Shares. This new form of preferred securities joins the Variable Rate Demand Preferred Shares as vehicles for refinancing existing municipal fund auction rate preferred shares (ARPS). By the beginning of December 2009, six of the leveraged municipal closed-end funds had redeemed all of their outstanding ARPS. Nuveen remains committed to resolving the issues connected with outstanding ARPS. Please consult the Nuveen web site for the most recent information on this issue and all recent developments on your Nuveen Funds at: www.nuveen.com. On behalf of the other members of your Fund's Board, we look forward to continuing to earn your trust in the months and years ahead. Sincerely, /s/ Robert P. Bremner Robert P. Bremner Chairman of the Board January 20, 2010 Nuveen Investments 1 Portfolio Managers' Comments NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND (NTC) NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND (NFC) NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 (NGK) NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 (NGO) NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND (NMT) NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND (NMB) NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND (NGX) NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND (NOM) Portfolio managers Cathryn Steeves and Scott Romans discuss key investment strategies and the six-month performance of these eight Nuveen Funds. Cathryn, who joined Nuveen in 1996, has managed the Connecticut and Massachusetts funds since 2006. Scott, who has been with Nuveen since 2000, assumed portfolio management responsibility for NOM in 2003. WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THE SIX-MONTH REPORTING PERIOD ENDED NOVEMBER 30, 2009? During this period, municipal bond prices generally rose, as strong cash flows into municipal bond funds combined with tighter supply of new tax-exempt issuance to provide favorable supply and demand conditions. One reason for the supply reduction was the introduction of the Build America Bond program. Build America Bonds are a new class of taxable municipal debt created as part of the February 2009 economic stimulus package. These bonds offer municipal issuers a federal subsidy equal to 35% of a security's interest payments, and therefore offer issuers with an attractive alternative to traditional tax-exempt debt. During the six-month period ended November 30, 2009, taxable Build America Bonds issuance totaled $44.9 billion, accounting for almost 21% of new bonds in the municipal market. Since interest payments from these bonds represent taxable income, we do not see them as good a investment opportunity for these Funds. CERTAIN STATEMENTS IN THIS REPORT ARE FORWARD-LOOKING STATEMENTS. DISCUSSIONS OF SPECIFIC INVESTMENTS ARE FOR ILLUSTRATION ONLY AND ARE NOT INTENDED AS RECOMMENDATIONS OF INDIVIDUAL INVESTMENTS. THE FORWARD-LOOKING STATEMENTS AND OTHER VIEWS EXPRESSED HEREIN ARE THOSE OF THE PORTFOLIO MANAGERS AS OF THE DATE OF THIS REPORT. ACTUAL FUTURE RESULTS OR OCCURRENCES MAY DIFFER SIGNIFICANTLY FROM THOSE ANTICIPATED IN ANY FORWARD-LOOKING STATEMENTS, AND THE VIEWS EXPRESSED HEREIN ARE SUBJECT TO CHANGE AT ANY TIME, DUE TO NUMEROUS MARKET AND OTHER FACTORS. THE FUNDS DISCLAIM ANY OBLIGATION TO UPDATE PUBLICLY OR REVISE ANY FORWARD-LOOKING STATEMENTS OR VIEWS EXPRESSED HEREIN. 2 Nuveen Investments Due in part to the decline in tax-exempt supply, investment activity in these Funds was more limited than usual. The already tight supply situation was further compounded by the lack of tax-exempt bonds offering the longer maturities that we specifically sought to purchase for these Funds. During this period, the availability of longer tax-exempt bonds was constrained by the fact that the majority of issuers offering longer maturity bonds found it more cost-effective to issue these bonds as taxable Build America Bonds, rather than as tax-exempt bonds. In addition, new purchases for the insured NGX were hindered by the severe decline in the issuance of insured bonds. Through November 2009, new insured securities accounted for only 9% of national issuance, compared with 19% during the first eleven months of 2008 and historical levels of approximately 50%. During this period, no insured AAA paper was issued in the new supply market, and none was available in the secondary market. Trading activity also was dampened during much of the period by a market environment in which most of the bonds available for investment offered lower yields. In our opinion, it did not make sense to generate trading costs in such an environment. Under these market conditions, we believed that it was important to focus on monitoring and preserving adequate liquidity. We continued to carefully manage the Funds' cash reserves, which we had increased amid the market uncertainty of the previous reporting period. Overall, our objective was to improve the Funds' liquidity profiles and have the capital we needed to reinvest at opportune times. Cash for new purchases was generated by maturing or called bonds. Although the supply of new tax-exempt municipal bonds was very tight, we continued to monitor the market for attractive value opportunities, taking a bottom-up approach to discovering undervalued sectors and individual credits with the potential to perform well over the long term. Both NTC and NGO purchased some shorter-maturity Connecticut state government obligation bonds as well as a higher education credit. In NMT and NMB, we added higher education and health care bonds. Tax-exempt supply was usually more plentiful in the health care sector because hospitals generally do not qualify for the Build America Bond program and so must continue to issue bonds in the tax-exempt municipal market. As of November 30, 2009, all eight of these Funds continued to use inverse floating rate securities.(1) We employ inverse floaters as a form of leverage for a variety of reasons, including duration management, income enhancement and total return enhancement. (1) An inverse floating rate security, also known as an inverse floater, is a financial instrument designed to pay long-term tax-exempt interest at a rate that varies inversely with a short-term tax-exempt interest rate index. For the Nuveen Funds, the index typically used is the Securities Industry and Financial Markets (SIFM) Municipal Swap Index (previously referred to as the Bond Market Association Index or BMA). Inverse floaters, including those inverse floating rate securities in which the Funds invested during this reporting period, are further defined within the Notes to Financial Statements and Glossary of Terms Used in this Report sections of this report. Nuveen Investments 3 HOW DID THE FUNDS PERFORM? Individual results for these Nuveen Funds, as well as relevant index and peer group information, are presented in the accompanying table. AVERAGE ANNUAL TOTAL RETURNS ON COMMON SHARE NET ASSET VALUE* FOR PERIODS ENDED 11/30/09

SIX-MONTH 1-YEAR 5-YEAR 10-YEAR ---------------------------------------------------------------------------------------------------- CONNECTICUT FUNDS NTC 6.94% 22.47% 4.27% 6.50% NFC 6.67% 21.84% 4.92% N/A NGK 6.09% 21.41% 4.81% N/A NGO 6.70% 22.05% 4.29% N/A MASSACHUSETTS FUNDS NMT 9.62% 26.23% 4.48% 6.17% NMB 7.99% 23.89% 4.12% N/A MISSOURI FUND NOM 8.62% 21.70% 3.22% 5.90% Standard & Poor's (S&P) National Municipal Bond Index(2) 5.15% 14.83% 4.34% 5.58% Lipper Other States Municipal Debt Funds Average(3) 8.64% 25.98% 4.20% 6.20% INSURED MASSACHUSETTS FUND NGX 7.14% 22.28% 4.98% N/A Standard & Poor's (S&P) Insured Municipal Bond Index(4) 5.03% 15.54% 4.28% 5.84% Lipper Single-State Insured Municipal Debt Funds Average(5) 6.90% 26.21% 3.79% 6.11% ----------------------------------------------------------------------------------------------------

For the six months ended November 30, 2009, the cumulative returns on common share net asset value (NAV) for all seven of the non-insured Nuveen Connecticut, Massachusetts, and Missouri Funds exceeded the return for the Standard & Poor's (S&P) National Municipal Bond Index. NMT outperformed the average return for the Lipper Other States Municipal Debt Funds Average, NOM performed in line with this Lipper average, while NTC, NFC, NGK, NGO and NMB lagged the average. Shareholders should note that the performance of the Lipper Other States category represents the overall average of returns for funds from ten different states with a wide variety of municipal market conditions, making direct comparisons between these Funds and the Lipper Other States category less meaningful. For the same period, NGX outperformed both the Standard & Poor's (S&P) Insured Municipal Bond Index and the Lipper Single-State Insured Municipal Debt Funds Average. * Six-month returns are cumulative; returns for one-year, five-year, and ten-year are annualized. Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. For additional information, see the individual Performance Overview for your Fund in this report. (2) The Standard & Poor's (S&P) National Municipal Bond Index is an unleveraged, market value-weighted index designed to measure the performance of the investment-grade U.S. municipal bond market. This index does not reflect any initial or ongoing expenses and is not available for direct investment. (3) The Lipper Other States Municipal Debt Funds Average is calculated using the returns of all closed-end funds in this category for each period as follows: Six-month, 43 funds; 1-year, 43 funds; 5-year, 43 funds; and 10-year, 20 funds. The returns account for the effects of managements fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper Average. (4) The Standard & Poor's (S&P) Insured Municipal Bond Index is a national unleveraged, market value-weighted index designed to measure the performance of the insured U.S. municipal bond market. This index does not reflect any initial or ongoing expenses and is not available for direct investment. (5) The Lipper Single-State Insured Municipal Debt Funds Average is calculated using the returns of all closed-end funds in this category for each period as follows: Six-month, 34 funds; 1-year, 34 funds; 5-year, 34 funds; and 10-year, 18 funds. The performance of the Lipper Single-State Insured Municipal Debt Funds Average represents the overall average of returns for funds from eight different states with a wide variety of municipal market conditions. The returns account for the effects of managements fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper Average. 4 Nuveen Investments Key management factors that influenced the Funds' returns during this period included yield curve and duration positioning, credit exposure and sector allocation. In addition, leverage was an important factor affecting the performances of the Funds. The impact of leverage is discussed in more detail on page six. During this period, we saw yields on tax-exempt bonds generally decline and bond prices rise, especially at the longer end of the municipal yield curve. As a result, longer-term bonds generally outperformed credits with shorter maturities. Overall, duration and yield curve positioning was a net positive for NTC, NGO, NMT, NMB and NGX and a net negative for NFC, NGK and NOM during this period. While yield curve positioning and duration played important roles in performance during these six months, credit exposure had an even more significant impact. As noted earlier, the demand for municipal bonds increased among both institutional and individual investors during this period. This increase was driven by a variety of factors, including concerns about potential tax increases, the need to rebalance portfolio allocations and a growing appetite for additional risk. At the same time, the supply of new tax-exempt municipal paper declined. As investors bid up municipal bond prices, bonds rated BBB or below and non-rated bonds generally outperformed those rated AAA. Overall, the Funds benefited from their credit sector allocations. The Connecticut Funds were generally relatively overweighted in BBB and non-rated bonds and underweighted in bonds rated AA, which helped their performances. Among the Massachusetts Funds, NMB had greater exposure to lower-rated bonds than NMT, but NMT received a larger positive contribution from its stronger individual credit selection, especially among insured and non-rated credits. NGX, which can invest up to 20% of its assets in uninsured investment-grade quality securities, held approximately 12% of its portfolio in uninsured bonds as of November 30, 2009, including 2% in BBB and lower credits. While NOM had only a modest overweight in bonds rated BBB, the Fund was significantly overweighted in non-rated securities and underweighted in both AAA and AA bonds, making credit exposure a major contributor to NOM's performance for this period. Holdings that generally contributed to the Funds' performances included industrial development revenue (IDR) and health care bonds, while zero coupon bonds were also among the strongest performers. In addition, transportation, housing and special tax bonds also outperformed the general municipal market during this period. All of these Funds benefited from their overweights in housing and NMT, NMB, NGX, and NOM also received positive contributions from heavier allocations to health care. NMT and NMB also were overweighted in IDRs, which benefited their performances, while the Connecticut Funds were underweighted in this sector. NOM also received a significant positive contribution from its overweight in the "other revenue" category, specifically its holdings of tax allocation, or tax increment financing, bonds. Nuveen Investments 5 Pre-refunded bonds, which are often backed by U.S. Treasury securities and which had been one of the top performing segments of the municipal bond market over the past two years, performed especially poorly during this period. This was primarily due to their shorter effective maturities and higher credit quality. General obligation and other tax-supported bonds also failed to keep pace with the overall municipal market during this period. Other sectors that lagged the municipal market for the six months included water and sewer and leasing, while education, resource recovery, and electric bonds underperformed the market by a slight margin. The Connecticut and Massachusetts Funds generally were underexposed to tax-supported bonds relative to the municipal market as a whole, which lessened the negative impact from this sector. However, these seven Funds were relatively overweighted in higher education credits, which generally performed poorly. An exception to this was the Connecticut Funds' holdings of AAA rated Yale University bonds, which were strong performers during this period. IMPACT OF THE FUNDS' CAPITAL STRUCTURES AND LEVERAGE STRATEGIES ON PERFORMANCE One important factor impacting the returns of these Funds relative to the comparative indexes was the Funds' use of financial leverage. The Funds use leverage because their managers believe that, over time, leveraging provides opportunities for additional income and total returns for common shareholders. However, use of leverage also can expose common shareholders to additional risk-- especially when market conditions are unfavorable. For example, as the prices of securities held by a Fund decline, the negative impact of these valuation changes on common share net asset value and common shareholder total return is magnified by the use of leverage. Conversely, leverage may enhance common share returns during periods when bond prices generally are rising. In general, leverage made a significant positive contribution to those Funds over this reporting period. RECENT DEVELOPMENTS REGARDING BOND INSURANCE COMPANIES AND FUND POLICY CHANGES (NGX) Another factor that had an impact on the performance of NGX was its positions in bonds backed by municipal bond insurers that have experienced downgrades in their credit ratings. At the time this report was prepared, there were no bond insurers rated AAA by more than one of the major rating agencies (Moody's Investor Service, Standard & Poor's (S&P) and Fitch) and at least one rating agency has placed each insurer on "negative credit watch," "credit outlook/watch developing" "credit outlook/watch negative," "credit watch evolving," "rating withdrawn" or "regulatory supervision" which may 6 Nuveen Investments presage one or more rating reductions for any insurer in the future. By the end of this period, most insured bonds were being valued according to their fundamentals as if they were uninsured. On the whole, the holdings of NGX continued to be well diversified and it is important to note that municipal bonds historically have had a very low rate of default. RECENT DEVELOPMENTS REGARDING THE FUNDS' LEVERAGED CAPITAL STRUCTURE As noted in the last several shareholder reports, the auction rate preferred shares issued by many closed-end funds, including these Nuveen Funds, have been hampered by a lack of liquidity since February 2008. Since that time, more auction rate preferred shares have been submitted for sale in their regularly scheduled auctions than there have been offers to buy. In fact, offers to buy have been almost completely non-existent since late February 2008. This means that these auctions have "failed to clear," and that many, or all, of the auction rate preferred shareholders who wanted to sell their shares in these auctions were unable to do so. This lack of liquidity in auction rate preferred shares did not lower the credit quality of these shares, and auction rate preferred shareholders unable to sell their shares received distributions at the "maximum rate" applicable to failed auctions, as calculated in accordance with the pre-established terms of the auction rate preferred shares. In the recent market, with short-term rates at multi-generational lows, those maximum rates also have been low. One continuing implication for common shareholders from the auction failures is that each Fund's cost of leverage likely has been incrementally higher at times than it otherwise might have been had the auctions continued to be successful. As a result, each Fund's common share earnings likely have been incrementally lower at times than they otherwise might have been. As noted in past shareholder reports, the Funds' Board of Trustees authorized a plan to use tender option bonds (TOBs), also known as floating rate securities, to refinance a portion of the Funds' outstanding auction rate preferred shares. The amount of TOBs that a Fund may use varies according to the composition of each Fund's portfolio. Some Funds have a greater ability to use TOBs than others. As of November 30, 2009, some Funds have issued Variable Rate Demand Preferred Shares (VRDP), but these issuances have been limited since it has been difficult to find liquidity facilities on economically viable terms given the constrained credit environment. Some Funds also issued MuniFund Term Preferred Shares (MTP), a fixed-rate form of preferred stock with a mandatory redemption period of five years. However, the Funds cannot provide any assurance on when the remaining outstanding auction rate preferred shares might be redeemed. Nuveen Investments 7 As of November 30, 2009, the amount of auction rate preferred securities redeemed by the following Funds are as shown in the accompanying table. AUCTION RATE % OF ORIGINAL PREFERRED SHARES AUCTION RATE FUND REDEEMED PREFERRED SHARES ------------------------------------------------------------------------------- NTC $4,850,000 12.7% NFC $2,250,000 11.5% NGK $2,050,000 11.7% NGO $3,725,000 11.6% NMB $ 750,000 5.0% ------------------------------------------------------------------------------- During November 2009, NTC and NMT filed with the Securities and Exchange Commission (SEC) a registration statement seeking to register MTP. During January 2010, subsequent to the reporting period, NTC and NMT successfully completed the issuance of $17.3 million and $17.575 million, respectively, of 2.65%, Series 2015 MTP. MTP is a new form of closed-end fund preferred shares designed to refinance, partially or completely, and replace the auction rate preferred shares previously issued by the Funds as leverage. The net proceeds from this offering were used to refinance a portion of NTC's and NMT's outstanding auction rate preferred shares. The newly-issued MTP shares trade on the New York Stock Exchange (NYSE) under the symbols "NTC Pr C" and "NMT Pr C" for NTC and NMT, respectively. MTP is a fixed-rate form of preferred stock with a mandatory redemption period, in this case, of five years. By issuing MTP, the Funds seek to take advantage of the current historically low interest rate environment to lock in an attractive federally tax-exempt cost of leverage for a period as long as the term of the MTP. The Funds' managers believe that issuing MTP may help the Funds mitigate the risk of a significant increase in their cost of leverage should short-term interest rates rise sharply in the coming years. Subsequent to the reporting period, NFC, NGK, NGO, NMB and NGX filed with the SEC a registration statement seeking to register MTP. These registration statements, declared effective by the SEC, enable the Funds to issue to the public shares of MTP to refinance all or a portion of each Fund's auction rate preferred shares. The issuance of MTP by these Funds is subject to market conditions. There is no assurance that these MTP shares will be issued. As of November 30, 2009, 75 out of the 84 Nuveen closed-end municipal funds that had issued auction rate preferred shares have redeemed, at par, all or a portion of these shares. These redemptions bring the total amount of Nuveen's municipal closed-end funds' auction rate preferred share redemptions to approximately $2.5 billion of the original $11 billion outstanding. For up-to-date information, please visit the Nuveen CEF Auction Rate Preferred Resource Center at: http://www.nuveen.com/ResourceCenter/AuctionRatePreferred.aspx. 8 Nuveen Investments COMMON SHARE DIVIDEND AND SHARE PRICE INFORMATION During the six-month period ended November 30, 2009, each of the eight Funds in this report had one monthly dividend increase. All of the Funds in this report seek to pay stable dividends at rates that reflect each Fund's past results and projected future performance. During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund's NAV. Conversely, if a Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund's NAV. Each Fund will, over time, pay all of its net investment income as dividends to shareholders. As of November 30, 2009, all eight of the Funds in this report had positive UNII balances, based upon our best estimate, for tax purposes and positive UNII balances for financial statement purposes. COMMON SHARE REPURCHASES AND SHARE PRICE INFORMATION Since the inception of the Funds' repurchase program, the Funds have not repurchased any of their outstanding common shares. As of November 30, 2009, the Funds' common share prices were trading at (+) premiums or (-) discounts to their common share NAVs as shown in the accompanying table. 11/30/09 SIX-MONTH AVERAGE FUND (+)PREMIUM/(-)DISCOUNT (+)PREMIUM/(-)DISCOUNT ------------------------------------------------------------------------------- NTC -2.54% -2.89% NFC -2.11% +1.20% NGK -1.89% +3.45% NGO -6.01% -3.11% NMT -3.39% -2.35% NMB +1.27% +0.50% NGX +1.79% +0.87% NOM +5.54% +6.26% ------------------------------------------------------------------------------- Nuveen Investments 9 NTC Performance OVERVIEW | NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND as of November 30, 2009 FUND SNAPSHOT -------------------------------------------------------------------------------- Common Share Price $13.83 -------------------------------------------------------------------------------- Common Share Net Asset Value $14.19 -------------------------------------------------------------------------------- Premium/(Discount) to NAV -2.54% -------------------------------------------------------------------------------- Market Yield 5.03% -------------------------------------------------------------------------------- Taxable-Equivalent Yield(1) 7.35% -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $76,125 -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 15.24 -------------------------------------------------------------------------------- Leverage-Adjusted Duration 7.99 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------------------------------------- 6-Month (Cumulative) 6.15% 6.94% -------------------------------------------------------------------------------- 1-Year 40.90% 22.47% -------------------------------------------------------------------------------- 5-Year 3.09% 4.27% -------------------------------------------------------------------------------- 10-Year 4.70% 6.50% -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION (as a % of total investments) -------------------------------------------------------------------------------- Education and Civic Organizations 26.0% -------------------------------------------------------------------------------- Tax Obligation/General 15.3% -------------------------------------------------------------------------------- Tax Obligation/Limited 14.7% -------------------------------------------------------------------------------- Health Care 10.5% -------------------------------------------------------------------------------- U.S. Guaranteed 8.3% -------------------------------------------------------------------------------- Water and Sewer 7.9% -------------------------------------------------------------------------------- Utilities 5.8% -------------------------------------------------------------------------------- Housing/Single Family 5.1% -------------------------------------------------------------------------------- Other 6.4% -------------------------------------------------------------------------------- CREDIT QUALITY (as a % of total investments) [PIE CHART] AAA/U.S. Guaranteed 42% AA 18% A 20% BBB 14% BB or Lower 1% N/R 5% 2008-2009 MONTHLY TAX-FREE DIVIDENDS PER COMMON SHARE(2) [BAR CHART] Dec $ 0.05 Jan 0.05 Feb 0.05 Mar 0.05 Apr 0.05 May 0.0535 Jun 0.0535 Jul 0.0535 Aug 0.0535 Sep 0.058 Oct 0.058 Nov 0.058 COMMON SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE [LINE CHART] 12/01/08 $ 10.14 10.25 9.25 10.3 10.79 10.73 11.62 11.48 11.09 11.91 11.88 11.934 11.56 11.39 11.05 10.7 11.17 11.28 11.62 11.776 11.93 11.98 12.42 12.6 13.15 13.36 13.3501 12.65 12.51 12.53 12.5 12.61 13.03 12.806 13.11 13.42 13.25 13.4 13.82 13.98 13.6759 13.6901 14.084 14.2788 14.66 14.39 13.96 13.7299 13.84 13.86 13.55 13.76 13.94 11/30/09 13.8323 (1) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (2) The Fund paid shareholders capital gains and net ordinary income distributions in December 2008 of $0.0747 per share. 10 Nuveen Investments NFC Performance OVERVIEW | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND as of November 30, 2009 CREDIT QUALITY (as a % of total investments) [PIE CHART] AAA/U.S. Guaranteed 50% AA 15% A 18% BBB 10% BB or Lower 2% N/R 5% 2008-2009 MONTHLY TAX-FREE DIVIDENDS PER COMMON SHARE(2) [BAR CHART] Dec $ 0.0555 Jan 0.0555 Feb 0.0555 Mar 0.0555 Apr 0.0555 May 0.057 Jun 0.057 Jul 0.057 Aug 0.057 Sep 0.06 Oct 0.06 Nov 0.06 COMMON SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE [LINE CHART] 12/01/08 $ 11.62 11 10.63 10.63 10.7 11.4 12.34 12.38 12.48 12.73 12.94 13.51 12.28 12.54 11.9 11.89 12.07 12.35 12.7503 13.22 12.9799 13.22 13.8001 14 14 13.618 13.7501 13.78 13.574 14.22 14.45 14.49 13.96 14.25 14.6 14.5 14.45 14.5235 14.66 14.76 14.63 15.25 14.9 15.15 15.188 15.33 15.25 15.13 15.09 14.45 14.1 14.42 14.49 11/30/09 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 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (2) The Fund paid shareholders capital gains and net ordinary income distributions in December 2008 of $0.1059 per share. FUND SNAPSHOT -------------------------------------------------------------------------------- Common Share Price $14.35 -------------------------------------------------------------------------------- Common Share Net Asset Value $14.66 -------------------------------------------------------------------------------- Premium/(Discount) to NAV -2.11% -------------------------------------------------------------------------------- Market Yield 5.02% -------------------------------------------------------------------------------- Taxable-Equivalent Yield(1) 7.34% -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $37,849 -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 14.75 -------------------------------------------------------------------------------- Leverage-Adjusted Duration 7.42 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/01) -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------------------------------------- 6-Month (Cumulative) 6.93% 6.67% -------------------------------------------------------------------------------- 1-Year 30.63% 21.84% -------------------------------------------------------------------------------- 5-Year 3.99% 4.92% -------------------------------------------------------------------------------- Since Inception 4.90% 5.89% -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION (as a % of total investments) -------------------------------------------------------------------------------- Education and Civic Organizations 24.1% -------------------------------------------------------------------------------- U.S. Guaranteed 19.5% -------------------------------------------------------------------------------- Tax Obligation/Limited 16.5% -------------------------------------------------------------------------------- Water and Sewer 8.6% -------------------------------------------------------------------------------- Tax Obligation/General 7.6% -------------------------------------------------------------------------------- Health Care 7.4% -------------------------------------------------------------------------------- Utilities 5.0% -------------------------------------------------------------------------------- Other 11.3% -------------------------------------------------------------------------------- Nuveen Investments 11 NGK Performance OVERVIEW | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 as of November 30, 2009 FUND SNAPSHOT -------------------------------------------------------------------------------- Common Share Price $14.50 -------------------------------------------------------------------------------- Common Share Net Asset Value $14.78 -------------------------------------------------------------------------------- Premium/(Discount) to NAV -1.89% -------------------------------------------------------------------------------- Market Yield 5.13% -------------------------------------------------------------------------------- Taxable-Equivalent Yield(1) 7.50% -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $34,272 -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 13.91 -------------------------------------------------------------------------------- Leverage-Adjusted Duration 7.49 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 3/25/02) -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------------------------------------- 6-Month (Cumulative) 3.95% 6.09% -------------------------------------------------------------------------------- 1-Year 30.77% 21.41% -------------------------------------------------------------------------------- 5-Year 3.94% 4.81% -------------------------------------------------------------------------------- Since Inception 5.23% 6.18% -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION (as a % of total investments) -------------------------------------------------------------------------------- U.S. Guaranteed 24.1% -------------------------------------------------------------------------------- Education and Civic Organizations 22.5% -------------------------------------------------------------------------------- Tax Obligation/Limited 11.0% -------------------------------------------------------------------------------- Tax Obligation/General 9.3% -------------------------------------------------------------------------------- Health Care 8.3% -------------------------------------------------------------------------------- Water and Sewer 6.7% -------------------------------------------------------------------------------- Utilities 5.2% -------------------------------------------------------------------------------- Other 12.9% -------------------------------------------------------------------------------- CREDIT QUALITY (as a % of total investments) [PIE CHART] AAA/U.S. Guaranteed 54% AA 12% A 10% BBB 11% BB or Lower 2% N/R 11% 2008-2009 MONTHLY TAX-FREE DIVIDENDS PER COMMON SHARE(2) [BAR CHART] Dec $ 0.055 Jan 0.055 Feb 0.055 Mar 0.055 Apr 0.055 May 0.059 Jun 0.059 Jul 0.059 Aug 0.059 Sep 0.062 Oct 0.062 Nov 0.062 COMMON SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE [LINE CHART] 12/01/08 $ 11.89 11.49 9.39 10.48 11.19 11.15 12 11.99 12.44 12.97 13.2501 13.5225 12.41 11.88 11.55 11.23 11.49 12.08 12.56 12.75 12.81 13.15 13.9 14.2 13.85 14.5 14.3 14.783 14.5001 14.9 14.07 14.5 14.7499 14.41 14.79 14.9 15.473 15.5 15.445 15.4 15.025 15.06 15.2432 15.52 15.87 15.97 15.56 14.76 15.05 14.579 15.06 15.31 14.93 11/30/09 14.5 (1) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (2) The Fund paid shareholders capital gains and net ordinary income distributions in December 2008 of $0.1246 per share. 12 Nuveen Investments NGO Performance OVERVIEW | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 as of November 30, 2009 CREDIT QUALITY (as a % of total investments) [PIE CHART] AAA/U.S. Guaranteed 39% AA 21% A 14% BBB 15% BB or Lower 2% N/R 9% 2008-2009 MONTHLY TAX-FREE DIVIDENDS PER COMMON SHARE [BAR CHART] Dec $ 0.05 Jan 0.05 Feb 0.05 Mar 0.05 Apr 0.05 May 0.051 Jun 0.051 Jul 0.051 Aug 0.051 Sep 0.056 Oct 0.056 Nov 0.056 COMMON SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE [LINE CHART] 12/01/08 $ 10.81 10.1999 9.15 9.94 9.84 10.4 11.48 11.242 11.06 11.67 11.9705 12.25 11.5 11.54 10.96 10.86 10.8565 11.2399 11.5 11.67 11.75 11.97 12.21 12.72 12.642 13.05 13.04 12.97 13.02 12.47 12.63 13.1 13.05 12.9 13.05 13.14 13.3083 13.41 13.6 13.7305 13.69 13.73 13.94 14.224 14.13 13.9474 13.7 13.71 13.7 13.93 13.59 13.466 13.2499 11/30/09 13.3 (1) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.6%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. FUND SNAPSHOT -------------------------------------------------------------------------------- Common Share Price $13.30 -------------------------------------------------------------------------------- Common Share Net Asset Value $14.15 -------------------------------------------------------------------------------- Premium/(Discount) to NAV -6.01% -------------------------------------------------------------------------------- Market Yield 5.05% -------------------------------------------------------------------------------- Taxable-Equivalent Yield(1) 7.38% -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $61,787 -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 15.19 -------------------------------------------------------------------------------- Leverage-Adjusted Duration 7.73 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 9/26/02) -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------------------------------------- 6-Month (Cumulative) 4.43% 6.70% -------------------------------------------------------------------------------- 1-Year 21.53% 22.05% -------------------------------------------------------------------------------- 5-Year 4.56% 4.29% -------------------------------------------------------------------------------- Since Inception 3.30% 4.73% -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION (as a % of total investments) -------------------------------------------------------------------------------- Education and Civic Organizations 19.3% -------------------------------------------------------------------------------- U.S. Guaranteed 15.8% -------------------------------------------------------------------------------- Tax Obligation/General 14.6% -------------------------------------------------------------------------------- Tax Obligation/Limited 13.8% -------------------------------------------------------------------------------- Water and Sewer 9.7% -------------------------------------------------------------------------------- Long-Term Care 7.9% -------------------------------------------------------------------------------- Health Care 6.2% -------------------------------------------------------------------------------- Utilities 5.0% -------------------------------------------------------------------------------- Other 7.7% -------------------------------------------------------------------------------- Nuveen Investments 13 NMT Performance OVERVIEW | NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND as of November 30, 2009 FUND SNAPSHOT -------------------------------------------------------------------------------- Common Share Price $13.70 -------------------------------------------------------------------------------- Common Share Net Asset Value $14.18 -------------------------------------------------------------------------------- Premium/(Discount) to NAV -3.39% -------------------------------------------------------------------------------- Market Yield 5.61% -------------------------------------------------------------------------------- Taxable-Equivalent Yield(1) 8.23% -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $67,565 -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 14.96 -------------------------------------------------------------------------------- Leverage-Adjusted Duration 9.59 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 3/18/93) -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------------------------------------- 6-Month (Cumulative) 6.05% 9.62% -------------------------------------------------------------------------------- 1-Year 45.48% 26.23% -------------------------------------------------------------------------------- 5-Year 1.98% 4.48% -------------------------------------------------------------------------------- 10-Year 4.79% 6.17% -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION (as a % of total investments) -------------------------------------------------------------------------------- Education and Civic Organizations 20.1% -------------------------------------------------------------------------------- Health Care 17.2% -------------------------------------------------------------------------------- Tax Obligation/General 12.2% -------------------------------------------------------------------------------- U.S. Guaranteed 11.7% -------------------------------------------------------------------------------- Tax Obligation/Limited 9.4% -------------------------------------------------------------------------------- Water and Sewer 7.6% -------------------------------------------------------------------------------- Transportation 6.8% -------------------------------------------------------------------------------- Other 15.0% -------------------------------------------------------------------------------- CREDIT QUALITY (as a % of total investments) [PIE CHART] AAA/U.S. Guaranteed 36% AA 25% A 23% BBB 9% BB or Lower 2% N/R 5% 2008-2009 MONTHLY TAX-FREE DIVIDENDS PER COMMON SHARE(2) [BAR CHART] Dec $ 0.0535 Jan 0.0535 Feb 0.0535 Mar 0.0555 Apr 0.0555 May 0.061 Jun 0.061 Jul 0.061 Aug 0.061 Sep 0.064 Oct 0.064 Nov 0.064 COMMON SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE [LINE CHART] 12/01/08 $ 10.257 9.3301 9.15 9.32 9.26 10.02 11.21 11.25 11.74 11.7257 12 12.08 12.15 12.38 11.5 12.1501 11.73 12.65 12.41 12.26 12.07 12.07 12.46 12.8044 12.65 12.96 13.28 12.8799 12.65 12.48 12.5 12.78 12.7 12.624 12.81 13.24 13.26 13.14 13.25 13.39 13.6 13.5085 13.85 13.96 14.39 14.38 14.01 13.89 14.12 13.98 13.6 13.55 13.72 11/30/09 13.7 (1) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (2) The Fund paid shareholders capital gains and net ordinary income distributions in December 2008 of $0.0414 per share. 14 Nuveen Investments NMB Performance OVERVIEW | NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND as of November 30, 2009 CREDIT QUALITY (as a % of total investments) [PIE CHART] AAA/U.S. Guaranteed 38% AA 21% A 19% BBB 11% BB or Lower 3% N/R 8% 2008-2009 MONTHLY TAX-FREE DIVIDENDS PER COMMON SHARE [BAR CHART] Dec $ 0.058 Jan 0.058 Feb 0.058 Mar 0.058 Apr 0.058 May 0.06 Jun 0.06 Jul 0.06 Aug 0.06 Sep 0.063 Oct 0.063 Nov 0.063 COMMON SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE [LINE CHART] 12/01/08 $ 11.1099 11.15 10.99 11.064 10.65 10.81 11.84 13.19 13.798 14 14.44 14.5 13.25 12.45 12.57 13.85 13.11 13.1 13.89 13.94 14 14.25 14 14.14 14.36 13.94 13.83 14 13.64 13.95 14.06 13.62 13.7 13.6 13.36 13.29 13.4 13.599 13.48 13.58 15.5 14.69 14.915 14.51 14.89 14.38 13.8035 13.62 13.8 13.9 13.91 13.91 14 11/30/09 14.4 (1) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. FUND SNAPSHOT -------------------------------------------------------------------------------- Common Share Price $14.40 -------------------------------------------------------------------------------- Common Share Net Asset Value $14.22 -------------------------------------------------------------------------------- Premium/(Discount) to NAV 1.27% -------------------------------------------------------------------------------- Market Yield 5.25% -------------------------------------------------------------------------------- Taxable-Equivalent Yield(1) 7.70% -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $27,915 -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 17.30 -------------------------------------------------------------------------------- Leverage-Adjusted Duration 9.55 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 1/30/01) -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------------------------------------- 6-Month (Cumulative) 6.92% 7.99% -------------------------------------------------------------------------------- 1-Year 37.12% 23.89% -------------------------------------------------------------------------------- 5-Year 3.47% 4.12% -------------------------------------------------------------------------------- Since Inception 5.25% 5.88% -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION (as a % of total investments) -------------------------------------------------------------------------------- Education and Civic Organizations 26.3% -------------------------------------------------------------------------------- Health Care 19.7% -------------------------------------------------------------------------------- U.S. Guaranteed 9.7% -------------------------------------------------------------------------------- Tax Obligation/General 9.2% -------------------------------------------------------------------------------- Tax Obligation/Limited 7.8% -------------------------------------------------------------------------------- Housing/Multifamily 7.4% -------------------------------------------------------------------------------- Water and Sewer 5.8% -------------------------------------------------------------------------------- Long-Term Care 5.4% -------------------------------------------------------------------------------- Other 8.7% -------------------------------------------------------------------------------- Nuveen Investments 15 NGX Performance OVERVIEW | NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND as of November 30, 2009 FUND SNAPSHOT -------------------------------------------------------------------------------- Common Share Price $14.75 -------------------------------------------------------------------------------- Common Share Net Asset Value $14.49 -------------------------------------------------------------------------------- Premium/(Discount) to NAV 1.79% -------------------------------------------------------------------------------- Market Yield 4.88% -------------------------------------------------------------------------------- Taxable-Equivalent Yield(3) 7.16% -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $39,493 -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 16.43 -------------------------------------------------------------------------------- Leverage-Adjusted Duration 10.18 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 11/21/02) -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------------------------------------- 6-Month (Cumulative) 14.96% 7.14% -------------------------------------------------------------------------------- 1-Year 33.87% 22.28% -------------------------------------------------------------------------------- 5-Year 2.80% 4.98% -------------------------------------------------------------------------------- Since Inception 4.81% 5.32% -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION (as a % of total investments) -------------------------------------------------------------------------------- U.S. Guaranteed 24.0% -------------------------------------------------------------------------------- Tax Obligation/Limited 16.6% -------------------------------------------------------------------------------- Education and Civic Organizations 15.4% -------------------------------------------------------------------------------- Water and Sewer 11.6% -------------------------------------------------------------------------------- Tax Obligation/General 11.1% -------------------------------------------------------------------------------- Health Care 9.2% -------------------------------------------------------------------------------- Housing/Multifamily 6.6% -------------------------------------------------------------------------------- Other 5.5% -------------------------------------------------------------------------------- INSURERS (as a % of total Insured investments) -------------------------------------------------------------------------------- NPFG(4) 26.4% -------------------------------------------------------------------------------- AMBAC 21.0% -------------------------------------------------------------------------------- FGIC 15.8% -------------------------------------------------------------------------------- FSA 11.6% -------------------------------------------------------------------------------- AGC 10.3% -------------------------------------------------------------------------------- SYNCORA 8.0% -------------------------------------------------------------------------------- MBIA 6.9% -------------------------------------------------------------------------------- CREDIT QUALITY (as a % of total investments)(1,2) [PIE CHART] Insured 61% U.S. Guaranteed* 24% GNMA Guaranteed 3% AAA (Uninsured) 2% AA (Uninsured) 6% A (Uninsured) 2% BBB (Uninsured) 1% BB (Uninsured) 1% * U.S. Guaranteed includes 22% (as a % of total investments) of Insured securities. 2008-2009 MONTHLY TAX-FREE DIVIDENDS PER COMMON SHARE [BAR CHART] Dec $ 0.0555 Jan 0.0555 Feb 0.0555 Mar 0.0555 Apr 0.0555 May 0.0565 Jun 0.0565 Jul 0.0565 Aug 0.0565 Sep 0.06 Oct 0.06 Nov 0.06 COMMON SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE [LINE CHART] 12/01/08 $ 11.7 12.09 10.9999 10.65 10.92 11.41 12.78 13.192 12.73 12.91 13.45 13.4 13.3 13.06 13.25 12.75 13.01 13.8 14 14 13.773 13.88 13.33 12.97 12.91 13.05 13.15 13.38 13.15 13.0795 13.46 13.885 14.2201 14.013 14.56 14.42 14.31 14.33 14.0899 13.81 14.4101 14.11 14.4799 14.64 14.4 14.6536 14.3689 14.8896 15.25 15.15 14.5606 14.74 14.4 11/30/09 14.75 (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds whose insurer has experienced downgrades as of the end of the reporting period. Please see the Portfolio Managers' Comments for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) At least 80% of the Fund's net assets are invested in municipal securities that guarantee the timely payment of principal and interest. See Notes to Financial Statements, Footnote 1 - Insurance, for more information. (3) Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 31.8%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. (4) MBIA's public finance subsidiary. 16 Nuveen Investments NOM Performance OVERVIEW | NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND as of November 30, 2009 CREDIT QUALITY (as a % of total investments) [PIE CHART] AAA/U.S. Guaranteed 46% AA 14% A 13% BBB 5% N/R 22% 2008-2009 MONTHLY TAX-FREE DIVIDENDS PER COMMON SHARE [BAR CHART] Dec $ 0.0545 Jan 0.0545 Feb 0.0545 Mar 0.0545 Apr 0.0545 May 0.0545 Jun 0.0545 Jul 0.0545 Aug 0.0545 Sep 0.056 Oct 0.056 Nov 0.056 COMMON SHARE PRICE PERFORMANCE -- WEEKLY CLOSING PRICE [LINE CHART] 12/01/08 $ 11 11 9.6799 10.42 10.6 12.1501 12.05 12.5 12.65 12.6 13.2 13 11.95 12.35 13.14 13.3101 12.9 11.9999 12.19 12.66 13.35 13.2901 13.65 13 13.2 13.25 12.9 12.75 13 13.58 13.11 12.83 13.11 13.18 13.75 13.78 13.56 13.24 13.9 13.5662 13.59 13.79 13.85 14.2 13.95 14.0999 14.09 13.78 13.7201 14.01 13.95 14.1 13.9 11/30/09 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 32.3%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. FUND SNAPSHOT -------------------------------------------------------------------------------- Common Share Price $13.90 -------------------------------------------------------------------------------- Common Share Net Asset Value $13.17 -------------------------------------------------------------------------------- Premium/(Discount) to NAV 5.54% -------------------------------------------------------------------------------- Market Yield 4.83% -------------------------------------------------------------------------------- Taxable-Equivalent Yield(1) 7.13% -------------------------------------------------------------------------------- Net Assets Applicable to Common Shares ($000) $30,459 -------------------------------------------------------------------------------- Average Effective Maturity on Securities (Years) 11.87 -------------------------------------------------------------------------------- Leverage-Adjusted Duration 8.36 -------------------------------------------------------------------------------- AVERAGE ANNUAL TOTAL RETURN (Inception 5/20/93) -------------------------------------------------------------------------------- ON SHARE PRICE ON NAV -------------------------------------------------------------------------------- 6-Month (Cumulative) 10.51% 8.62% -------------------------------------------------------------------------------- 1-Year 33.18% 21.70% -------------------------------------------------------------------------------- 5-Year 0.20% 3.22% -------------------------------------------------------------------------------- 10-Year 6.13% 5.90% -------------------------------------------------------------------------------- PORTFOLIO COMPOSITION (as a % of total investments) -------------------------------------------------------------------------------- Tax Obligation/Limited 21.9% -------------------------------------------------------------------------------- U.S. Guaranteed 19.4% -------------------------------------------------------------------------------- Tax Obligation/General 17.7% -------------------------------------------------------------------------------- Health Care 14.6% -------------------------------------------------------------------------------- Water and Sewer 6.6% -------------------------------------------------------------------------------- Long-Term Care 5.3% -------------------------------------------------------------------------------- Other 14.5% -------------------------------------------------------------------------------- Nuveen Investments 17 NTC | NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited)

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES - 1.7% (1.1% OF TOTAL INVESTMENTS) $ 1,340 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 1,275,693 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 ----------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 38.4% (26.0% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Education Facilities Authority, Revenue 7/16 at 100.00 A2 995,580 Bonds, Quinnipiac University, Series 2006, 5.000%, 7/01/36 - AMBAC Insured 1,595 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 A 1,659,226 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - NPFG Insured 1,050 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 BBB- 918,330 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 925 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 A 926,767 Bonds, Brunswick School, Series 2003B, 5.000%, 7/01/33 - NPFG Insured 200 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 N/R 176,470 Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 305 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 N/R 288,594 Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 725 Connecticut Health and Educational Facilities Authority, Revenue 1/10 at 101.00 A 726,088 Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 750 Connecticut Health and Educational Facilities Authority, Revenue 1/10 at 101.00 Baa1 758,738 Bonds, Horace Bushnell Memorial Hall, Series 1999A, 5.625%, 7/01/29 - NPFG Insured 800 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call A2 904,456 Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 270 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 N/R 261,355 Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured 1,375 Connecticut Health and Educational Facilities Authority, Revenue 7/14 at 100.00 A+ 1,490,005 Bonds, Trinity College, Series 2004H, 5.000%, 7/01/21 - NPFG Insured 2,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 BBB- 1,768,400 Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, Revenue 1/10 at 100.00 AAA 1,501,890 Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 1,500 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 1,535,250 Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 (UB) 3,550 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 3,694,201 Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB) 6,150 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 6,451,719 Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) 250 Connecticut Higher Education Supplemental Loan Authority, 5/10 at 102.00 AAA 255,258 Revenue Bonds, Family Education Loan Program, Series 1999A, 6.000%, 11/15/18 - AMBAC Insured (Alternative Minimum Tax) 615 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aa3 623,309 Revenue Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 - NPFG Insured (Alternative Minimum Tax) 1,000 University of Connecticut, General Obligation Bonds, Series 1/14 at 100.00 AA 1,082,920 2004A, 5.000%, 1/15/18 - NPFG Insured 1,220 University of Connecticut, General Obligation Bonds, Series 2/15 at 100.00 AAA 1,394,045 2005A, 5.000%, 2/15/17 - FSA Insured 685 University of Connecticut, General Obligation Bonds, Series 2/16 at 100.00 AA 744,684 2006A, 5.000%, 2/15/23 - FGIC Insured 1,000 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AA- 1,106,600 Series 2002A, 5.250%, 11/15/19 - FGIC Insured ----------------------------------------------------------------------------------------------------------------------------------- 28,465 Total Education and Civic Organizations 29,263,885 -----------------------------------------------------------------------------------------------------------------------------------

18 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 15.5% (10.5% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B: $ 500 5.500%, 7/01/21 - RAAI Insured 7/12 at 101.00 N/R $ 465,480 700 5.500%, 7/01/32 - RAAI Insured 7/12 at 101.00 N/R 611,688 645 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 N/R 639,808 Revenue Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 800 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 N/R 735,576 500 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 N/R 439,555 385 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 330,426 Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured 2,620 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aa3 2,591,914 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 2,000 Connecticut Health and Educational Facilities Authority, 1/10 at 101.00 Baa1 1,862,480 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - NPFG Insured 1,395 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 A1 1,394,944 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured 3,000 Connecticut Health and Educational Facilities Authority, 1/10 at 100.00 A3 2,750,580 Revenue Refunding Bonds, Middlesex Health Services, Series 1997H, 5.125%, 7/01/27 - NPFG Insured ----------------------------------------------------------------------------------------------------------------------------------- 12,545 Total Health Care 11,822,451 ----------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 2.6% (1.8% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Housing Mortgage 12/09 at 100.00 AAA 1,000,570 Finance Program Bonds, Series 1999D-2, 6.200%, 11/15/41 (Alternative Minimum Tax) 1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 969,540 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) ----------------------------------------------------------------------------------------------------------------------------------- 2,000 Total Housing/Multifamily 1,970,110 ----------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 7.5% (5.1% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C: 1,000 5.300%, 11/15/33 (Alternative Minimum Tax) 11/10 at 100.00 AAA 1,000,070 500 5.450%, 11/15/43 (Alternative Minimum Tax) 11/10 at 100.00 AAA 500,170 1,675 Connecticut Housing Finance Authority, Housing Mortgage 5/13 at 100.00 AAA 1,695,067 Finance Program Bonds, Series 2004-A5, 5.050%, 11/15/34 Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 205 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 196,931 220 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 208,278 2,100 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 2,104,137 Finance Program Bonds, Series 2006D, 4.650%, 11/15/27 ----------------------------------------------------------------------------------------------------------------------------------- 5,700 Total Housing/Single Family 5,704,653 ----------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 4.1% (2.8% OF TOTAL INVESTMENTS) 470 Connecticut Development Authority, First Mortgage Gross 4/10 at 100.00 BBB- 470,508 Revenue Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 615 Connecticut Development Authority, First Mortgage Gross 3/10 at 102.00 BBB- 617,417 Revenue Refunding Healthcare Bonds, Connecticut Baptist Homes Inc., Series 1999, 5.500%, 9/01/15 - RAAI Insured Connecticut Development Authority, Revenue Refunding Bonds, Duncaster Inc., Series 1999A: 1,000 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 BBB 1,010,100 1,000 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 BBB 1,005,230 ----------------------------------------------------------------------------------------------------------------------------------- 3,085 Total Long-Term Care 3,103,255 ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 22.6% (15.3% OF TOTAL INVESTMENTS) 750 Bridgeport, Connecticut, General Obligation Refunding Bonds, 8/12 at 100.00 Baa1 769,080 Series 2002A, 5.375%, 8/15/19 - FGIC Insured

Nuveen Investments 19

NTC | NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL (continued) $ 1,110 Connecticut State, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AA $ 1,185,058 5.000%, 4/01/23 - FGIC Insured 2,000 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 2,168,580 4.750%, 12/15/24 1,300 Connecticut State, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 1,428,635 5.000%, 6/01/23 - FSA Insured 500 Connecticut State, General Obligation Bonds, Series 2006E, 12/16 at 100.00 AA 562,675 5.000%, 12/15/20 Hartford, Connecticut, General Obligation Bonds, Series 2005A: 775 5.000%, 8/01/20 - FSA Insured 8/15 at 100.00 AAA 839,496 525 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 531,101 500 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 A- 555,225 5.000%, 11/01/17 - AMBAC Insured 500 North Haven, Connecticut, General Obligation Bonds, No Opt. Call Aa2 587,145 Series 2006, 5.000%, 7/15/24 1,860 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call A 1,956,739 Series 2001A, 5.500%, 7/01/20 - NPFG 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 Aa3 357,963 350 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aa3 358,092 350 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aa3 358,229 1,420 Regional School District 16, Connecticut, General Obligation 3/13 at 101.00 A3 1,568,021 Bonds, Series 2003, 5.000%, 3/15/16 - AMBAC Insured Suffield, Connecticut, General Obligation Bonds, Series 2005: 465 5.000%, 6/15/17 No Opt. Call AA 550,834 460 5.000%, 6/15/19 No Opt. Call AA 546,126 1,000 5.000%, 6/15/21 No Opt. Call AA 1,185,610 1,500 West Hartford, Connecticut, General Obligation Bonds, Series 10/15 at 100.00 AAA 1,694,415 2005B, 5.000%, 10/01/18 ---------------------------------------------------------------------------------------------------------------------------------- 15,715 Total Tax Obligation/General 17,203,024 ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 21.7% (14.7% OF TOTAL INVESTMENTS) 380 Capitol Region Education Council, Connecticut, Revenue Bonds, 4/10 at 100.00 BBB 381,349 Series 1995, 6.700%, 10/15/10 Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F: 1,300 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA 1,329,952 1,000 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 1,011,140 1,945 Connecticut Health and Educational Facilities Authority, Revenue 1/10 at 102.00 N/R 1,948,248 Bonds, Child Care Facilities Program, Series 1999C, 5.625%, 7/01/29 - AMBAC 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 AA 2,087,600 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AA 1,048,750 500 Connecticut, Special Tax Obligation Transportation 1/14 at 100.00 AA 529,660 Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 1,750 Connecticut, Special Tax Obligation Transportation 8/17 at 100.00 AA 1,853,828 Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: 960 0.000%, 7/01/32 - FGIC Insured No Opt. Call BBB+ 193,651 2,615 0.000%, 7/01/33 - FGIC Insured No Opt. Call BBB+ 482,860 2,000 Puerto Rico Municipal Finance Agency, Series 2002A, 5.250%, 8/12 at 100.00 AAA 2,049,600 8/01/21 - FSA Insured 2,400 Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/15 at 100.00 AAA 2,595,744 8/01/16 - FSA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/14 at 100.00 AAA 1,041,020 Loan Note, Series 2003, 5.250%, 10/01/19 - FSA Insured ---------------------------------------------------------------------------------------------------------------------------------- 18,850 Total Tax Obligation/Limited 16,553,402 ----------------------------------------------------------------------------------------------------------------------------------

20 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 1.0% (0.7% OF TOTAL INVESTMENTS) $ 750 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 A $ 742,028 International Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 12.3% (8.3% OF TOTAL INVESTMENTS) (4) 50 Connecticut Health and Educational Facilities Authority, Revenue 7/10 at 101.00 N/R (4) 52,165 Bonds, Eastern Connecticut Health Network, Series 2000A, 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 650 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 N/R (4) 706,693 Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 40 Connecticut, General Obligation Bonds, Series 1993E, 6.000%, No Opt. Call AA (4) 44,828 3/15/12 (ETM) 1,500 Connecticut, General Obligation Bonds, Series 2002B, 5.500%, 6/12 at 100.00 AA (4) 1,678,920 6/15/21 (Pre-refunded 6/15/12) 600 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 N/R (4) 642,084 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 1,000 Hartford, Connecticut, Parking System Revenue Bonds, Series 7/10 at 100.00 Baa2 (4) 1,035,480 2000A, 6.400%, 7/01/20 (Pre-refunded 7/01/10) 400 Northern Mariana Islands, General Obligation Bonds, Series 6/10 at 100.00 AAA 411,608 2000A, 6.000%, 6/01/20 (Pre-refunded 6/01/10) - ACA Insured 1,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 1,054,020 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 300 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 309,540 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded 7/01/10) 1,100 University of Connecticut, General Obligation Bonds, Series 2/13 at 100.00 AA (4) 1,244,584 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) - MBIA Insured 1,000 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ (4) 1,061,920 Loan Note, Series 1999A, 6.500%, 10/01/24 (Pre-refunded 10/01/10) 1,000 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 1,108,250 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured ---------------------------------------------------------------------------------------------------------------------------------- 8,640 Total U.S. Guaranteed 9,350,092 ---------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 8.6% (5.8% OF TOTAL INVESTMENTS) 1,150 Bristol Resource Recovery Facility Operating Committee, No Opt. Call A+ 1,257,847 Connecticut, Solid Waste Revenue Bonds, Covanta Bristol Inc., Series 2005, 5.000%, 7/01/12 - AMBAC Insured 1,000 Connecticut Development Authority, Pollution Control Revenue 4/10 at 101.50 Baa1 1,004,020 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 1,070 Connecticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 1,050,975 Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) 1,750 Connecticut Resource Recovery Authority, Revenue Bonds, American 12/11 at 102.00 Ba1 1,682,783 Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 310 5.500%, 1/01/14 (Alternative Minimum Tax) 1/10 at 100.00 BBB 310,254 1,290 5.500%, 1/01/20 (Alternative Minimum Tax) 1/10 at 100.00 BBB 1,269,373 ---------------------------------------------------------------------------------------------------------------------------------- 6,570 Total Utilities 6,575,252 ---------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 11.6% (7.9% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Water Facility Revenue Bonds, 9/17 at 100.00 N/R 431,070 Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - SYNCORA GTY Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, Series 10/13 at 100.00 AAA 1,329,274 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 1,520 5.000%, 11/15/30 - NPFG Insured 11/15 at 100.00 A 1,549,762 2,260 5.000%, 8/15/35 - NPFG Insured 11/15 at 100.00 A 2,269,198

Nuveen Investments 21

NTC | NUVEEN CONNECTICUT PREMIUM INCOME MUNICIPAL FUND (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER (continued) South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: $ 1,000 5.000%, 8/01/20 - NPFG Insured 8/13 at 100.00 A+ $ 1,047,390 1,075 5.000%, 8/01/33 - NPFG Insured 8/13 at 100.00 A+ 1,089,663 1,100 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 1,118,117 Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 ----------------------------------------------------------------------------------------------------------------------------------- 8,640 Total Water and Sewer 8,834,474 ----------------------------------------------------------------------------------------------------------------------------------- $ 112,300 Total Investments (cost $111,619,663) - 147.6% 112,398,319 =============---------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (10.5)% (7,965,000) ------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 6.8% 5,141,868 ------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (43.9)% (5) (33,450,000) ------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 76,125,187 ===================================================================================================================

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 29.8%. N/R Not rated. (ETM) Escrowed to maturity. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 - Inverse Floating Rate Securities for more information. SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS. 22 Nuveen Investments

NFC | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 35.6% (24.1% OF TOTAL INVESTMENTS) $ 795 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 A $ 827,015 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - NPFG Insured 500 Connecticut Health and Education Facilities Authority, University 7/16 at 100.00 BBB- 437,300 of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 100 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 N/R 88,235 Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 150 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 N/R 141,932 Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 440 Connecticut Health and Educational Facilities Authority, Revenue No Opt. Call A2 498,410 Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/18 - AMBAC Insured 130 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 N/R 125,837 Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured 50 Connecticut Health and Educational Facilities Authority, Revenue 1/10 at 100.50 Baa2 47,166 Bonds, Sacred Heart University, Series 1998E, 5.000%, 7/01/28 - RAAI Insured 350 Connecticut Health and Educational Facilities Authority, Revenue 7/14 at 100.00 A+ 394,723 Bonds, Trinity College, Series 2004H, 5.000%, 7/01/17 - NPFG Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 BBB- 884,200 Bonds, University of Hartford, Series 2002E, 5.250%, 7/01/32 - RAAI Insured 1,000 Connecticut Health and Educational Facilities Authority, Revenue 1/10 at 100.00 AAA 1,001,260 Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 500 Connecticut Health and Educational Facilities Authority, Revenue 7/13 at 100.00 AAA 511,750 Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 (UB) 1,800 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 AAA 1,873,116 Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB) 3,050 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 AAA 3,199,633 Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) 480 Connecticut Higher Education Supplemental Loan Authority, Revenue 11/11 at 100.00 Aa3 486,485 Bonds, Family Education Loan Program, Series 2001A, 5.250%, 11/15/18 - NPFG Insured (Alternative Minimum Tax) Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999: 125 5.375%, 2/01/19 2/10 at 100.50 BBB- 122,819 270 5.375%, 2/01/29 2/10 at 100.50 BBB- 245,476 University of Connecticut, General Obligation Bonds, Series 2001A: 1,000 4.750%, 4/01/20 4/11 at 101.00 AA 1,030,826 1,000 4.750%, 4/01/21 4/11 at 101.00 AA 1,028,727 485 University of Connecticut, General Obligation Bonds, Series 2/16 at 100.00 AA 527,258 2006A, 5.000%, 2/15/23 - FGIC Insured ----------------------------------------------------------------------------------------------------------------------------------- 13,225 Total Education and Civic Organizations 13,472,168 ----------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 10.8% (7.4% OF TOTAL INVESTMENTS) 1,400 Connecticut Health and Educational Facilities Authority, Revenue 7/12 at 101.00 N/R 1,223,376 Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 500 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 N/R 459,735 250 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 N/R 219,778 185 Connecticut Health and Educational Facilities Authority, Revenue 7/17 at 100.00 BBB- 158,776 Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured 60 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 Aa3 59,357 Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured

Nuveen Investments 23

NFC | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ------------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE (continued) $ 125 Connecticut Health and Educational Facilities Authority, Revenue 1/10 at 101.00 Baa1 $ 116,405 Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/24 - NPFG Insured 1,870 Connecticut Health and Educational Facilities Authority, Revenue 7/16 at 100.00 A1 1,869,925 Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured ----------------------------------------------------------------------------------------------------------------------------------- 4,390 Total Health Care 4,107,352 ----------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 1.3% (0.9% OF TOTAL INVESTMENTS) 500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 484,770 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) ----------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 7.3% (4.9% OF TOTAL INVESTMENTS) Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2001C: 1,000 5.300%, 11/15/33 (Alternative Minimum Tax) 11/10 at 100.00 AAA 1,000,070 250 5.450%, 11/15/43 (Alternative Minimum Tax) 11/10 at 100.00 AAA 250,085 800 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/13 at 100.00 AAA 809,584 Program Bonds, Series 2004-A5, 5.050%, 11/15/34 700 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 701,379 Program Bonds, Series 2006D, 4.650%, 11/15/27 ----------------------------------------------------------------------------------------------------------------------------------- 2,750 Total Housing/Single Family 2,761,118 ----------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 1.6% (1.1% OF TOTAL INVESTMENTS) 300 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 292,962 Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 110 Connecticut Development Authority, First Mortgage Gross Revenue 4/10 at 100.00 BBB- 104,726 Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.800%, 4/01/21 250 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 205,428 Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 ----------------------------------------------------------------------------------------------------------------------------------- 660 Total Long-Term Care 603,116 ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 11.3% (7.6% OF TOTAL INVESTMENTS) 560 Connecticut State, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AA 597,867 5.000%, 4/01/23 - FGIC Insured 700 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 759,003 4.750%, 12/15/24 100 Connecticut State, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 109,895 5.000%, 6/01/23 - FSA Insured Hartford, Connecticut, General Obligation Bonds, Series 2005A: 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 386,212 240 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 242,789 400 North Haven, Connecticut, General Obligation Bonds, Series 2006, No Opt. Call Aa2 469,716 5.000%, 7/15/24 Suffield, Connecticut, General Obligation Bonds, Series 2005: 335 5.000%, 6/15/17 No Opt. Call AA 396,838 335 5.000%, 6/15/19 No Opt. Call AA 397,722 810 West Hartford, Connecticut, General Obligation Bonds, Series 10/15 at 100.00 AAA 914,984 2005B, 5.000%, 10/01/18 ----------------------------------------------------------------------------------------------------------------------------------- 3,840 Total Tax Obligation/General 4,275,026 ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 24.4% (16.5% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F: 650 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA 664,976 500 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 505,570 1,000 Connecticut Health and Educational Facilities Authority, Revenue 1/10 at 104.00 A 1,058,430 Bonds, New Opportunities for Waterbury Inc., Series 1998A, 6.750%, 7/01/28 Connecticut, Certificates of Participation, Juvenile Training School, Series 2001: 600 5.000%, 12/15/20 12/11 at 101.00 AA- 624,180 1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 1,017,740 1,475 Connecticut, Special Tax Obligation Transportation No Opt. Call AAA 1,663,771 Infrastructure Purpose Bonds, Series 1998B, 5.500%, 11/01/12 - FSA Insured

24 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED (continued) $ 900 Connecticut, Special Tax Obligation Transportation 8/17 at 100.00 AA $ 953,397 Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured 600 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call BBB 570,966 Revenue Bonds, Series 2007N, 5.250%, 7/01/31 - AMBAC Insured 470 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call BBB+ 94,808 Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured 1,200 Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/15 at 100.00 AAA 1,297,872 8/01/16 - FSA Insured 750 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 767,948 Loan Note, Series 1999A, 6.375%, 10/01/19 ----------------------------------------------------------------------------------------------------------------------------------- 9,145 Total Tax Obligation/Limited 9,219,658 ----------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 6.5% (4.4% OF TOTAL INVESTMENTS) 2,500 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 A 2,473,425 International Airport, Series 2001A, 5.125%, 10/01/26 - FGIC Insured (Alternative Minimum Tax) ----------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 28.8% (19.5% OF TOTAL INVESTMENTS) (4) 1,000 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 N/R (4) 1,087,220 Revenue Bonds, Loomis Chaffee School, Series 2001D, 5.500%, 7/01/23 (Pre-refunded 7/01/11) 2,000 Connecticut, Clean Water Fund Revenue Bonds, Series 2001, 10/11 at 100.00 AAA 2,178,860 5.500%, 10/01/20 (Pre-refunded 10/01/11) 500 Connecticut, General Obligation Bonds, Series 2002B, 5.500%, 6/12 at 100.00 AA (4) 559,640 6/15/21 (Pre-refunded 6/15/12) 500 East Lyme, Connecticut, General Obligation Bonds, Series 2001, 7/11 at 102.00 Aa3 (4) 547,175 5.125%, 7/15/20 (Pre-refunded 7/15/11) - FGIC Insured Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001A: 25 5.000%, 5/15/22 (Pre-refunded 5/15/11) 5/11 at 100.00 N/R (4) 26,573 500 5.400%, 5/15/31 (Pre-refunded 5/15/11) 5/11 at 100.00 N/R (4) 531,700 1,270 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 N/R (4) 1,359,078 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 220 New Haven, Connecticut, General Obligation Bonds, Series 2001A, 11/11 at 100.00 A- (4) 231,040 5.000%, 11/01/20 (Pre-refunded 11/01/11) - FGIC Insured 250 Northern Mariana Islands, General Obligation Bonds, Series 6/10 at 100.00 AAA 257,255 2000A, 6.000%, 6/01/20 (Pre-refunded 6/01/10) - ACA Insured Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,425 5.500%, 10/01/32 10/10 at 101.00 AAA 1,501,979 1,300 5.500%, 10/01/40 10/10 at 101.00 AAA 1,370,226 145 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 149,611 Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20 (Pre-refunded 7/01/10) 1,000 Waterbury, Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AAA 1,108,250 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured ----------------------------------------------------------------------------------------------------------------------------------- 10,135 Total U.S. Guaranteed 10,908,607 ----------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 7.4% (5.0% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control Revenue 4/10 at 101.50 Baa1 502,010 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 560 Connecticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 550,043 Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, American 12/11 at 102.00 Ba1 961,590 Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) 790 Eastern Connecticut Resource Recovery Authority, Solid Waste 1/10 at 100.00 BBB 790,648 Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/14 (Alternative Minimum Tax) ----------------------------------------------------------------------------------------------------------------------------------- 2,850 Total Utilities 2,804,291 -----------------------------------------------------------------------------------------------------------------------------------

Nuveen Investments 25

NFC | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 12.7% (8.6% OF TOTAL INVESTMENTS) $ 255 Connecticut Development Authority, Water Facility Revenue Bonds, 9/17 at 100.00 N/R $ 219,846 Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - SYNCORA GTY Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, Series 10/13 at 100.00 AAA 1,329,274 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 720 5.000%, 11/15/30 - NPFG Insured 11/15 at 100.00 A 734,098 1,110 5.000%, 8/15/35 - NPFG Insured 11/15 at 100.00 A 1,114,518 140 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 140,452 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 750 5.000%, 8/01/20 - NPFG Insured 8/13 at 100.00 A+ 785,543 470 5.000%, 8/01/33 - NPFG Insured 8/13 at 100.00 A+ 476,411 ----------------------------------------------------------------------------------------------------------------------------------- 4,630 Total Water and Sewer 4,800,142 ----------------------------------------------------------------------------------------------------------------------------------- $ 54,625 Total Investments (cost $55,060,770) - 147.7% 55,909,673 =============---------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (10.1)% (3,820,000) ------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 8.0% 3,009,456 ------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (45.6)% (5) (17,250,000) ------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 37,849,129 ===================================================================================================================

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 30.9%. N/R Not rated. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 - Inverse Floating Rate Securities for more information. See accompanying notes to financial statements. 26 Nuveen Investments

NGK | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES - 1.9% (1.2% OF TOTAL INVESTMENTS) $ 675 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 642,607 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 33.7% (22.5% OF TOTAL INVESTMENTS) 715 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 A 743,790 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - NPFG Insured 500 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 BBB- 437,300 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 100 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 N/R 88,235 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 135 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 N/R 127,738 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 95 Connecticut Health and Educational Facilities Authority, 1/10 at 101.00 A 95,143 Revenue Bonds, Fairfield University, Series 1998H, 5.000%, 7/01/23 - MBIA Insured 500 Connecticut Health and Educational Facilities Authority, 7/10 at 100.00 N/R 500,980 Revenue Bonds, Hopkins School, Series 1998A, 5.000%, 7/01/20 - AMBAC Insured 310 Connecticut Health and Educational Facilities Authority, No Opt. Call A2 350,477 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 120 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 N/R 116,158 Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, University of Hartford, Series 2002E: 590 5.500%, 7/01/22 - RAAI Insured 7/12 at 101.00 BBB- 593,050 1,000 5.250%, 7/01/32 - RAAI Insured 7/12 at 101.00 BBB- 884,200 1,000 Connecticut Health and Educational Facilities Authority, 1/10 at 100.00 AAA 1,001,256 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 500 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 511,750 Revenue Bonds, Yale University, Series 2003X-1, 5.000%, 7/01/42 (UB) 1,600 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,664,992 Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB) 2,750 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AAA 2,884,915 Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) University of Connecticut, General Obligation Bonds, Series 2006A: 450 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AA 504,216 490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AA 532,694 500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AA- 527,130 Series 2002A, 5.250%, 11/15/22 - FGIC Insured ---------------------------------------------------------------------------------------------------------------------------------- 11,355 Total Education and Civic Organizations 11,564,024 ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 12.5% (8.3% OF TOTAL INVESTMENTS) 300 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 N/R 262,152 Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%, 7/01/32 - RAAI Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A: 20 6.125%, 7/01/20 - RAAI Insured 7/10 at 101.00 N/R 20,129 65 6.000%, 7/01/25 - RAAI Insured 7/10 at 101.00 N/R 64,477 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B: 300 5.000%, 7/01/20 - RAAI Insured 7/15 at 100.00 N/R 275,841 300 5.000%, 7/01/23 - RAAI Insured 7/15 at 100.00 N/R 263,733 170 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 145,903 Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured

Nuveen Investments 27

NGK | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE (continued) $ 1,190 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aa3 $ 1,177,243 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 1,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 N/R 863,040 Revenue Bonds, St. Francis Hospital and Medical Center, Series 2002D, 5.000%, 7/01/22 - RAAI Insured 25 Connecticut Health and Educational Facilities Authority, 1/10 at 101.00 Baa1 25,029 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - NPFG Insured 1,170 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 A1 1,169,953 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured ---------------------------------------------------------------------------------------------------------------------------------- 4,540 Total Health Care 4,267,500 ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 1.4% (0.9% OF TOTAL INVESTMENTS) 500 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 484,770 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 6.3% (4.2% OF TOTAL INVESTMENTS) 250 Connecticut Housing Finance Authority, Housing Mortgage Finance 11/10 at 100.00 AAA 250,085 Program Bonds, Series 2001C, 5.450%, 11/15/43 (Alternative Minimum Tax) 700 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/13 at 100.00 AAA 708,386 Program Bonds, Series 2004-A5, 5.050%, 11/15/34 Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 305 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 292,995 330 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 312,418 600 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 601,182 Program Bonds, Series 2006D, 4.650%, 11/15/27 ---------------------------------------------------------------------------------------------------------------------------------- 2,185 Total Housing/Single Family 2,165,066 ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 3.4% (2.3% OF TOTAL INVESTMENTS) 320 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 312,493 Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 205 Connecticut Development Authority, First Mortgage Gross Revenue 4/10 at 100.00 BBB- 205,221 Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 450 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 N/R 452,030 Revenue Bonds, Village for Families and Children Inc., Series 2002A, 5.000%, 7/01/19 - AMBAC Insured 250 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 205,428 Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 ---------------------------------------------------------------------------------------------------------------------------------- 1,225 Total Long-Term Care 1,175,172 ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 14.0% (9.3% OF TOTAL INVESTMENTS) 600 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 650,574 4.750%, 12/15/24 400 Connecticut State, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 439,580 5.000%, 6/01/23 - FSA Insured 1,305 Hartford County Metropolitan District, Connecticut, General 4/12 at 101.00 AA+ 1,397,277 Obligation Bonds, Series 2002, 5.000%, 4/01/22 Hartford, Connecticut, General Obligation Bonds, Series 2005A: 360 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 386,212 140 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 141,627 650 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 A- 721,793 5.000%, 11/01/17 - AMBAC Insured 400 Suffield, Connecticut, General Obligation Bonds, Series 2005, No Opt. Call AA 474,244 5.000%, 6/15/21 500 West Hartford, Connecticut, General Obligation Bonds, Series 10/15 at 100.00 AAA 578,345 2005B, 5.000%, 10/01/17 ---------------------------------------------------------------------------------------------------------------------------------- 4,355 Total Tax Obligation/General 4,789,652 ----------------------------------------------------------------------------------------------------------------------------------

28 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 16.6% (11.0% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Child Care Facilities Program Revenue Bonds, Series 2006F: $ 575 5.000%, 7/01/31 - AGC Insured 7/16 at 100.00 AAA $ 588,248 500 5.000%, 7/01/36 - AGC Insured 7/16 at 100.00 AAA 505,570 500 Connecticut, Special Tax Obligation Transportation 10/11 at 100.00 AAA 540,570 Infrastructure Purpose Bonds, Series 2001B, 5.375%, 10/01/13 - FSA Insured 1,625 Connecticut, Special Tax Obligation Transportation 7/12 at 100.00 AAA 1,770,698 Infrastructure Purpose Bonds, Series 2002A, 5.375%, 7/01/20 - FSA Insured 850 Connecticut, Special Tax Obligation Transportation 8/17 at 100.00 AA 900,431 Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured 500 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call BBB 475,805 Revenue Bonds, Series 2007N, 5.250%, 7/01/31 - AMBAC Insured 430 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call BBB+ 86,740 Revenue Bonds, Series 2005A, 0.000%, 7/01/32 - FGIC Insured 750 Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/15 at 100.00 AAA 811,170 8/01/16 - FSA Insured ---------------------------------------------------------------------------------------------------------------------------------- 5,730 Total Tax Obligation/Limited 5,679,232 ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 6.5% (4.3% OF TOTAL INVESTMENTS) 1,950 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call N/R 2,216,799 Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 36.2% (24.1% OF TOTAL INVESTMENTS) (4) 2,250 Connecticut Health and Educational Facilities Authority, 11/11 at 100.00 AAA 2,435,265 Revenue Bonds, Connecticut State University System, Series 2002D-2, 5.000%, 11/01/21 (Pre-refunded 11/01/11) - FSA Insured Connecticut Health and Educational Facilities Authority, Revenue Bonds, Eastern Connecticut Health Network, Series 2000A: 100 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 104,422 30 6.125%, 7/01/20 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 31,321 5 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI Insured 7/10 at 101.00 N/R (4) 5,217 400 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 426,524 Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%, 3/01/32 (Pre-refunded 3/01/11) - FSA Insured Farmington, Connecticut, General Obligation Bonds, Series 2002: 1,000 5.000%, 9/15/20 (Pre-refunded 9/15/12) 9/12 at 101.00 Aa1 (4) 1,121,750 1,450 5.000%, 9/15/21 (Pre-refunded 9/15/12) 9/12 at 101.00 Aa1 (4) 1,626,538 250 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 N/R (4) 267,535 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 1,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,038,610 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured Puerto Rico Infrastructure Financing Authority, Special Obligation Bonds, Series 2000A: 1,000 5.500%, 10/01/32 10/10 at 101.00 AAA 1,054,020 2,000 5.500%, 10/01/40 10/10 at 101.00 AAA 2,108,040 1,535 Regional School District 8, Andover, Hebron and Marlborough, 5/11 at 101.00 Aa3 (4) 1,649,066 Connecticut, General Obligation Bonds, Series 2002, 5.000%, 5/01/22 (Pre-refunded 5/01/11) - FSA Insured 500 Waterbury, Connecticut, General Obligation Bonds, Series 4/12 at 100.00 AAA 554,125 2002A, 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured ---------------------------------------------------------------------------------------------------------------------------------- 11,520 Total U.S. Guaranteed 12,422,433 ---------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 7.8% (5.2% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, Pollution Control Revenue 4/10 at 101.50 Baa1 502,010 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 470 Connecticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 461,643 Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax)

Nuveen Investments 29

NGK | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 2 (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- UTILITIES (continued) $ 1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Ba1 $ 961,590 American Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 250 5.500%, 1/01/15 (Alternative Minimum Tax) 1/10 at 100.00 BBB 250,163 510 5.500%, 1/01/20 (Alternative Minimum Tax) 1/10 at 100.00 BBB 501,845 ----------------------------------------------------------------------------------------------------------------------------------- 2,730 Total Utilities 2,677,251 ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 10.0% (6.7% OF TOTAL INVESTMENTS) 220 Connecticut Development Authority, Water Facility Revenue 9/17 at 100.00 N/R 189,671 Bonds, Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - SYNCORA GTY Insured (Alternative Minimum Tax) 785 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 880,574 Series 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 690 5.000%, 11/15/30 - NPFG Insured 11/15 at 100.00 A 703,510 320 5.000%, 8/15/35 - NPFG Insured 11/15 at 100.00 A 321,302 130 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 130,420 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 750 5.000%, 8/01/20 - NPFG Insured 8/13 at 100.00 A+ 785,543 410 5.000%, 8/01/33 - NPFG Insured 8/13 at 100.00 A+ 415,592 ----------------------------------------------------------------------------------------------------------------------------------- 3,305 Total Water and Sewer 3,426,612 ----------------------------------------------------------------------------------------------------------------------------------- $ 50,070 Total Investments (cost $50,388,731) - 150.3% 51,511,118 =============---------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (10.1)% (3,460,000) ------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 4.9% 1,670,770 ------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (45.1)% (5) (15,450,000) ------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 34,271,888 ===================================================================================================================

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 30.0%. N/R Not rated. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 - Inverse Floating Rate Securities for more information. See accompanying notes to financial statements. 30 Nuveen Investments

NGO | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES - 3.3% (2.2% OF TOTAL INVESTMENTS) $ 2,155 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 2,051,582 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 28.4% (19.3% OF TOTAL INVESTMENTS) 1,000 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 A 929,800 Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 - NPFG Insured 1,000 Connecticut Health and Education Facilities Authority, Revenue 7/16 at 100.00 A2 995,580 Bonds, Quinnipiac University, Series 2006, 5.000%, 7/01/36 - AMBAC Insured 1,300 Connecticut Health and Education Facilities Authority, Revenue 7/17 at 100.00 A 1,352,349 Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 - NPFG Insured 650 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 BBB- 568,490 University of Hartford Revenue Bonds, Series 2006G, 5.250%, 7/01/36 - RAAI Insured 150 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 N/R 132,353 Revenue Bonds, Canterbury School, Series 2006B, 5.000%, 7/01/36 - RAAI Insured 250 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 N/R 236,553 Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 - RAAI Insured 400 Connecticut Health and Educational Facilities Authority, No Opt. Call A2 452,228 Revenue Bonds, Loomis Chaffee School, Series 2005F, 5.250%, 7/01/19 - AMBAC Insured 215 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 N/R 208,116 Revenue Bonds, Renbrook School, Series 2007A, 5.000%, 7/01/37 - AMBAC Insured 750 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 BBB- 753,878 Revenue Bonds, University of Hartford, Series 2002E, 5.500%, 7/01/22 - RAAI Insured 1,500 Connecticut Health and Educational Facilities Authority, 1/10 at 100.00 AAA 1,501,886 Revenue Bonds, Yale University, Series 2002W, 5.125%, 7/01/27 3,000 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AAA 3,121,860 Revenue Bonds, Yale University, Series 2007Z-1, 5.000%, 7/01/42 (UB) 5,050 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 AAA 5,297,753 Revenue Bonds, Yale University, Series 2007Z-3, 5.050%, 7/01/42 (UB) University of Connecticut, General Obligation Bonds, Series 2006A: 850 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AA 952,408 490 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AA 532,694 500 University of Connecticut, Student Fee Revenue Refunding Bonds, 11/12 at 101.00 AA- 527,130 Series 2002A, 5.250%, 11/15/22 - FGIC Insured ---------------------------------------------------------------------------------------------------------------------------------- 17,105 Total Education and Civic Organizations 17,563,078 ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 9.1% (6.2% OF TOTAL INVESTMENTS) Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B: 500 5.500%, 7/01/21 - RAAI Insured 7/12 at 101.00 N/R 465,480 600 5.500%, 7/01/32 - RAAI Insured 7/12 at 101.00 N/R 524,304 800 Connecticut Health and Educational Facilities Authority, 7/15 at 100.00 N/R 735,576 Revenue Bonds, Griffin Hospital, Series 2005B, 5.000%, 7/01/20 - RAAI Insured 310 Connecticut Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 266,058 Revenue Bonds, Hospital For Special Care, Series 2007C, 5.250%, 7/01/32 - RAAI Insured 2,130 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 Aa3 2,107,166 Revenue Bonds, Middlesex Hospital, Series 2006, 5.000%, 7/01/32 - FSA Insured 200 Connecticut Health and Educational Facilities Authority, 1/10 at 101.00 Baa1 200,232 Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%, 7/01/18 - NPFG Insured

Nuveen Investments 31

NGO | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE (continued) $ 1,325 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 A1 $ 1,324,947 Revenue Bonds, Yale-New Haven Hospital, Series 2006J-1, 5.000%, 7/01/31 - AMBAC Insured ---------------------------------------------------------------------------------------------------------------------------------- 5,865 Total Health Care 5,623,763 ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 1.6% (1.1% OF TOTAL INVESTMENTS) 1,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 969,540 Mortgage Finance Program Bonds, Series 2006G-2, 4.800%, 11/15/27 (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 5.7% (3.9% OF TOTAL INVESTMENTS) 750 Connecticut Housing Finance Authority, Housing Mortgage Finance 11/10 at 100.00 AAA 750,255 Program Bonds, Series 2001C, 5.450%, 11/15/43 (Alternative Minimum Tax) 1,300 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/13 at 100.00 AAA 1,315,574 Program Bonds, Series 2004-A5, 5.050%, 11/15/34 Connecticut Housing Finance Authority, Housing Mortgage Finance Program Bonds, Series 2006-A1: 435 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 417,878 465 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 440,225 600 Connecticut Housing Finance Authority, Housing Mortgage Finance 5/16 at 100.00 AAA 601,182 Program Bonds, Series 2006D, 4.650%, 11/15/27 ---------------------------------------------------------------------------------------------------------------------------------- 3,550 Total Housing/Single Family 3,525,114 ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 11.7% (7.9% OF TOTAL INVESTMENTS) 500 Connecticut Development Authority, First Mortgage Gross Revenue 12/11 at 102.00 BBB+ 488,270 Healthcare Bonds, Elim Park Baptist Home Inc., Series 2003, 5.750%, 12/01/23 380 Connecticut Development Authority, First Mortgage Gross Revenue 4/10 at 100.00 BBB- 380,410 Refunding Healthcare Bonds, Church Homes Inc. - Congregational Avery Heights, Series 1997, 5.700%, 4/01/12 Connecticut Development Authority, Revenue Bonds, Duncaster Inc., Series 2002: 650 5.125%, 8/01/22 - RAAI Insured 8/12 at 101.00 BBB 598,891 1,025 4.750%, 8/01/32 - RAAI Insured 8/12 at 101.00 BBB 798,516 Connecticut Health and Educational Facilities Authority, Revenue Bonds, Village for Families and Children Inc., Series 2002A: 430 5.000%, 7/01/18 - AMBAC Insured 7/12 at 101.00 N/R 434,193 475 5.000%, 7/01/20 - AMBAC Insured 7/12 at 101.00 N/R 473,822 260 5.000%, 7/01/23 - AMBAC Insured 7/12 at 101.00 N/R 249,343 1,000 5.000%, 7/01/32 - AMBAC Insured 7/12 at 101.00 N/R 867,130 Connecticut Housing Finance Authority, Special Needs Housing Mortgage Finance Program Special Obligation Bonds, Series 2002SNH-1: 1,000 5.000%, 6/15/22 - AMBAC Insured 6/12 at 101.00 N/R 1,019,080 1,500 5.000%, 6/15/32 - AMBAC Insured 6/12 at 101.00 N/R 1,500,570 500 Connecticut State Development Authority, Health Facilities 8/17 at 100.00 N/R 410,855 Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 ---------------------------------------------------------------------------------------------------------------------------------- 7,720 Total Long-Term Care 7,221,080 ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 21.5% (14.6% OF TOTAL INVESTMENTS) Bethel, Connecticut, General Obligation Bonds, Series 2002: 525 5.000%, 11/01/18 - FGIC Insured 11/12 at 100.00 Aa3 571,625 525 5.000%, 11/01/19 - FGIC Insured 11/12 at 100.00 Aa3 571,625 525 5.000%, 11/01/20 - FGIC Insured 11/12 at 100.00 Aa3 570,077 525 5.000%, 11/01/21 - FGIC Insured 11/12 at 100.00 Aa3 567,079 525 5.000%, 11/01/22 - FGIC Insured 11/12 at 100.00 Aa3 557,288 1,200 Connecticut State, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 1,301,148 4.750%, 12/15/24 1,500 Connecticut State, General Obligation Bonds, Series 2006E, 12/16 at 100.00 AA 1,688,025 5.000%, 12/15/20 600 Hartford, Connecticut, General Obligation Bonds, Series 2005A, 8/15 at 100.00 AAA 643,686 5.000%, 8/01/21 - FSA Insured

32 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL (continued) New Canaan, Connecticut, General Obligation Bonds, Series 2002A: $ 900 4.600%, 5/01/20 5/11 at 100.00 Aaa $ 951,129 500 4.700%, 5/01/21 5/11 at 100.00 Aaa 529,115 1,000 New Haven, Connecticut, General Obligation Bonds, Series 2006, 11/16 at 100.00 A- 1,110,450 5.000%, 11/01/17 - AMBAC Insured Southbury, Connecticut, General Obligation Bonds, Series 2002: 500 4.875%, 12/15/20 12/11 at 101.00 Aa3 523,325 500 4.875%, 12/15/21 12/11 at 101.00 Aa3 521,995 500 5.000%, 12/15/22 12/11 at 101.00 Aa3 536,150 Stratford, Connecticut, General Obligation Bonds, Series 2002: 1,375 4.000%, 2/15/19 - FSA Insured 2/12 at 100.00 AAA 1,412,166 630 4.125%, 2/15/20 - FSA Insured 2/12 at 100.00 AAA 646,575 500 West Hartford, Connecticut, General Obligation Bonds, Series 10/15 at 100.00 AAA 564,805 2005B, 5.000%, 10/01/18 ---------------------------------------------------------------------------------------------------------------------------------- 12,330 Total Tax Obligation/General 13,266,263 ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 20.4% (13.8% OF TOTAL INVESTMENTS) 930 Connecticut Health and Educational Facilities Authority, Child 7/16 at 100.00 AAA 940,360 Care Facilities Program Revenue Bonds, Series 2006F, 5.000%, 7/01/36 - AGC Insured 60 Connecticut, Special Tax Obligation Transportation No Opt. Call AA 64,589 Infrastructure Purpose Bonds, Series 1992B, 6.125%, 9/01/12 Connecticut, Special Tax Obligation Transportation Infrastructure Purpose Bonds, Series 2002B: 2,810 5.000%, 12/01/20 - AMBAC Insured 12/12 at 100.00 AA 2,933,078 1,000 5.000%, 12/01/21 - AMBAC Insured 12/12 at 100.00 AA 1,048,750 1,000 5.000%, 12/01/22 - AMBAC Insured 12/12 at 100.00 AA 1,044,670 500 Connecticut, Special Tax Obligation Transportation 1/14 at 100.00 AA 529,660 Infrastructure Purpose Bonds, Series 2003B, 5.000%, 1/01/23 - FGIC Insured 1,500 Connecticut, Special Tax Obligation Transportation 8/17 at 100.00 AA 1,588,995 Infrastructure Purpose Revenue Bonds, Series 2007A, 5.000%, 8/01/27 - AMBAC Insured 1,000 Puerto Rico Highway and Transportation Authority, Highway No Opt. Call BBB 951,610 Revenue Bonds, Series 2007N, 5.250%,7/01/31 - AMBAC Insured Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A: 780 0.000%, 7/01/32 - FGIC Insured No Opt. Call BBB+ 157,342 2,120 0.000%, 7/01/33 - FGIC Insured No Opt. Call BBB+ 391,458 Puerto Rico Public Buildings Authority, Guaranteed Government Facilities Revenue Bonds, Series 2002G: 890 5.250%, 7/01/17 7/12 at 100.00 BBB- 904,676 1,000 5.250%, 7/01/20 7/12 at 100.00 BBB- 1,006,910 1,045 5.250%, 7/01/21 7/12 at 100.00 BBB- 1,049,577 ---------------------------------------------------------------------------------------------------------------------------------- 14,635 Total Tax Obligation/Limited 12,611,675 ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 0.8% (0.5% OF TOTAL INVESTMENTS) 415 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call N/R 471,780 Parking Facility, Series 2002, 5.375%, 12/01/15 - AMBAC Insured ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 23.3% (15.8% OF TOTAL INVESTMENTS) (4) 500 Bridgeport, Connecticut, General Obligation Bonds, Series 2003A, 9/13 at 100.00 AAA 576,160 5.250%, 9/15/23 (Pre-refunded 9/15/13) - FSA Insured 3,100 Connecticut Health and Educational Facilities Authority, Revenue 7/11 at 101.00 N/R (4) 3,345,954 Bonds, Trinity College, Series 2001G, 5.000%, 7/01/21 (Pre-refunded 7/01/11) - AMBAC Insured 450 Farmington, Connecticut, General Obligation Bonds, Series 2002, 9/12 at 101.00 Aa1 (4) 504,788 5.000%, 9/15/20 (Pre-refunded 9/15/12) 950 New Canaan, Connecticut, General Obligation Bonds, Series 2002A, 5/11 at 100.00 Aaa 1,003,609 4.500%, 5/01/19 (Pre-refunded 5/01/11)

Nuveen Investments 33

NGO | NUVEEN CONNECTICUT DIVIDEND ADVANTAGE MUNICIPAL FUND 3 (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED (4) (continued) $ 40 New Haven, Connecticut, General Obligation Bonds, Series 2002A, 11/11 at 101.00 A- (4) $ 43,778 5.250%, 11/01/17 - AMBAC Insured (ETM) 3,050 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 3,167,761 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured 3,000 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 3,162,060 Obligation Bonds, Series 2000A, 5.500%, 10/01/40 1,010 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 1,160,965 Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 - AMBAC Insured 195 Puerto Rico Public Finance Corporation, Commonwealth 2/12 at 100.00 AAA 214,141 Appropriation Bonds, Series 2002E, 5.500%, 8/01/29 (Pre-refunded 2/01/12) 1,100 University of Connecticut, General Obligation Bonds, Series 2/13 at 100.00 AA (4) 1,244,584 2003A, 5.125%, 2/15/21 (Pre-refunded 2/15/13) - MBIA Insured ---------------------------------------------------------------------------------------------------------------------------------- 13,395 Total U.S. Guaranteed 14,423,800 ---------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 7.4% (5.0% OF TOTAL INVESTMENTS) 720 Connecticut Development Authority, Pollution Control Revenue 4/10 at 101.50 Baa1 722,894 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 860 Connecticut Development Authority, Solid Waste Disposal 11/12 at 100.00 Baa1 844,709 Facilities Revenue Bonds, PSEG Power LLC Project, Series 2007A, 5.750%, 11/01/37 (Alternative Minimum Tax) 2,000 Connecticut Resource Recovery Authority, Revenue Bonds, American 12/11 at 102.00 Ba1 1,923,180 Ref-Fuel Company of Southeastern Connecticut LP, Series 1998A-I, 5.500%, 11/15/15 (Alternative Minimum Tax) Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A: 790 5.500%, 1/01/14 (Alternative Minimum Tax) 1/10 at 100.00 BBB 790,648 305 5.500%, 1/01/20 (Alternative Minimum Tax) 1/10 at 100.00 BBB 300,123 ---------------------------------------------------------------------------------------------------------------------------------- 4,675 Total Utilities 4,581,554 ---------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 14.3% (9.7% OF TOTAL INVESTMENTS) 400 Connecticut Development Authority, Water Facility Revenue Bonds, 9/17 at 100.00 N/R 344,856 Aquarion Water Company Project, Series 200.7, 5.100%, 9/01/37 - SYNCORA GTY Insured (Alternative Minimum Tax) 1,185 Connecticut, State Revolving Fund General Revenue Bonds, Series 10/13 at 100.00 AAA 1,329,274 2003A, 5.000%, 10/01/16 Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A: 1,230 5.000%, 11/15/30 - NPFG Insured 11/15 at 100.00 A 1,254,083 640 5.000%, 8/15/35 - NPFG Insured 11/15 at 100.00 A 642,605 230 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 230,743 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Eighteenth Series 2003A: 2,050 5.000%, 8/01/20 - NPFG Insured 8/13 at 100.00 A+ 2,147,150 590 5.000%, 8/01/33 - NPFG Insured 8/13 at 100.00 A+ 598,048 1,840 South Central Connecticut Regional Water Authority, Water System 8/16 at 100.00 A+ 1,904,179 Revenue Bonds, Twentieth Series, 2007A, 5.000%, 8/01/30 - NPFG Insured

34 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER (continued) $ 350 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ $ 355,765 Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32 ----------------------------------------------------------------------------------------------------------------------------------- 8,515 Total Water and Sewer 8,806,703 ----------------------------------------------------------------------------------------------------------------------------------- $ 91,360 Total Investments (cost $90,983,037) - 147.5% 91,115,932 =============---------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (9.4)% (5,780,000) ------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 7.7% 4,726,327 ------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (45.8)% (5) (28,275,000) ------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 61,787,259 ===================================================================================================================

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 31.0%. N/R Not rated. (ETM) Escrowed to maturity. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 - Inverse Floating Rate Securities for more information. See accompanying notes to financial statements. Nuveen Investments 35

NMT | NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 1.4% (0.9% OF TOTAL INVESTMENTS) $ 1,425 Boston Industrial Development Financing Authority, 9/12 at 102.00 Caa1 $ 918,755 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) --------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 30.3% (20.1% OF TOTAL INVESTMENTS) 375 Massachusetts Development Finance Agency, Revenue Bonds, 10/19 at 100.00 A 379,628 Boston University, Series 2009V-1, 5.000%, 10/01/29 (WI/DD, Settling 12/01/09) 1,045 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 A+ 1,035,626 Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 - NPFG Insured 890 Massachusetts Development Finance Authority, Revenue Bonds, 3/10 at 100.50 BBB 899,443 Curry College, Series 2000A, 6.000%, 3/01/20 - ACA Insured 1,745 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 1,818,220 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured 750 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 AA- 797,070 Milton Academy, Series 2003A, 5.000%, 9/01/19 4,900 Massachusetts Development Finance Authority, Revenue Bonds, 1/18 at 100.00 AAA 4,902,989 WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 - AGC Insured (UB) 1,090 Massachusetts Development Finance Authority, Revenue Refunding No Opt. Call A2 1,272,433 Bonds, Boston University, Series 1999P, 6.000%, 5/15/29 1,550 Massachusetts Educational Finance Authority, Educational Loan 1/12 at 100.00 AA 1,613,473 Revenue Bonds, Series 2002E, 5.000%, 1/01/13 - AMBAC Insured (Alternative Minimum Tax) 2,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 2,192,516 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 500 Massachusetts Health and Educational Facilities Authority, 3/10 at 100.00 N/R 452,610 Revenue Bonds, Hebrew College, Series 1999A,, 0.720%, 7/01/31 - RAAI Insured (5) 500 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 Aaa 524,625 Revenue Bonds, Wellesley College, Series 2003H, 5.000%, 7/01/26 555 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AAA 609,501 Revenue Bonds, Williams College, Series 2003H, 5.000%, 7/01/21 1,380 Massachusetts Health and Educational Facilities Authority, 7/16 at 100.00 AAA 1,452,229 Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 A- 498,625 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured 1,645 Massachusetts Industrial Finance Agency, Revenue Bonds, 1/10 at 100.00 Aa1 1,646,316 Whitehead Institute for Biomedical Research, Series 1993, 5.125%, 7/01/26 375 Puerto Rico Industrial, Tourist, Educational, Medical and 2/10 at 100.50 BBB- 368,456 Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, Series 1999, 5.375%, 2/01/19 ----------------------------------------------------------------------------------------------------------------------------------- 19,800 Total Education and Civic Organizations 20,463,760 ----------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 25.9% (17.2% OF TOTAL INVESTMENTS) 1,000 Massachusetts Health and Educational Facilities Authority 12/19 at 100.00 AA 1,023,950 Revenue Bonds, Children's Hospital Issue, Series M (2009), 5.500%, 12/01/39 1,250 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 1,261,288 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 1,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 BBB- 836,470 Revenue Bonds, Cape Cod Health Care Inc., Series 2001C, 5.250%, 11/15/31 - RAAI Insured Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset Program, Series 1998B-1: 1,800 5.375%, 2/01/26 - MBIA Insured 8/18 at 100.00 A 1,807,902 770 5.375%, 2/01/28 - MBIA Insured 8/18 at 100.00 A 770,200

36 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE (continued) $ 1,500 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 A $ 1,502,460 Revenue Bonds, Capital Asset Program, Series 1998B-2, 5.375%, 2/01/27 - MBIA Insured 1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 1,008,850 Revenue Bonds, Caritas Christi Obligated Group, Series 2002B, 6.250%, 7/01/22 935 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 N/R 688,656 Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 - RAAI Insured 1,000 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 A 1,006,830 Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured 2,000 Massachusetts Health and Educational Facilities Authority, 8/17 at 100.00 A 1,971,720 Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28 585 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 469,363 Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 1,000 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BB- 657,420 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 750 Massachusetts Health and Educational Facilities Authority, 1/10 at 100.00 A 749,970 Revenue Bonds, New England Medical Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 - MBIA Insured 75 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA 77,057 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 375 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB+ 378,750 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 1,445 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB+ 1,262,164 Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 2,000 Massachusetts State, Health and Educational Facilities 7/17 at 100.00 AA 2,014,980 Authority, Partners HealthCare System Inc., Series 2007G, 5.000%, 7/01/32 ----------------------------------------------------------------------------------------------------------------------------------- 18,485 Total Health Care 17,488,030 ----------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 7.0% (4.6% OF TOTAL INVESTMENTS) 1,325 Massachusetts Development Finance Authority, Multifamily 7/17 at 100.00 AAA 1,222,379 Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 1,795 Massachusetts Development Financing Authority, Assisted Living 12/09 at 102.00 N/R 1,695,324 Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31 500 Massachusetts Housing Finance Agency, Housing Revenue Bonds, 6/13 at 100.00 AA- 498,510 Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 285 Massachusetts Housing Finance Agency, Rental Housing Mortgage 7/10 at 101.00 N/R 289,811 Revenue Bonds, Series 1999D, 5.500%, 7/01/13 - AMBAC Insured (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 1,041,870 Collateralized Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 ----------------------------------------------------------------------------------------------------------------------------------- 4,905 Total Housing/Multifamily 4,747,894 ----------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 3.6% (2.4% OF TOTAL INVESTMENTS) 1,500 Massachusetts Housing Finance Agency, Single Family Housing 6/16 at 100.00 AA 1,362,330 Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax) 985 Massachusetts Housing Finance Agency, Single Family Housing 6/18 at 100.00 AA 1,053,398 Revenue Bonds, Series 2008, Trust 3145, 14.068%, 12/01/28 (IF) ----------------------------------------------------------------------------------------------------------------------------------- 2,485 Total Housing/Single Family 2,415,728 ----------------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS - 1.0% (0.7% OF TOTAL INVESTMENTS) 305 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 272,972 Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 400 Massachusetts Development Finance Agency, Solid Waste Disposal No Opt. Call BBB 416,820 Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 ----------------------------------------------------------------------------------------------------------------------------------- 705 Total Industrials 689,792 -----------------------------------------------------------------------------------------------------------------------------------

Nuveen Investments 37

NMT | NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 6.8% (4.5% OF TOTAL INVESTMENTS) $ 1,270 Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, 4/10 at 104.00 AAA $ 1,319,213 Deutsches Altenheim Inc., Series 1998A, 6.125%, 10/01/31 1,685 Massachusetts Development Finance Agency, Revenue Bonds, 10/12 at 102.00 N/R 1,335,194 Orchard Cove, Series 2007, 5.250%, 10/01/26 1,500 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 1,577,460 Collateralized Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 400 Massachusetts Industrial Finance Agency, First Mortgage 1/11 at 101.00 BBB 379,436 Revenue Bonds, Berkshire Retirement Community, Series 1994B, 4.750%, 7/01/17 ----------------------------------------------------------------------------------------------------------------------------------- 4,855 Total Long-Term Care 4,611,303 ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 18.4% (12.2% OF TOTAL INVESTMENTS) 500 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 A1 537,210 5.250%, 5/15/23 - AMBAC Insured 1,250 Boston, Massachusetts, General Obligation Bonds, Series 2005A, 1/15 at 100.00 AA+ 1,435,038 5.000%, 1/01/17 1,000 Fall River, Massachusetts, General Obligation Bonds, Series 2/13 at 101.00 AAA 1,042,300 2003, 5.000%, 2/01/21 - FSA Insured 2,500 Massachusetts Bay Transportation Authority, General Obligation No Opt. Call AA 3,086,375 Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 1,275 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AA 1,497,959 Series 2001D, 6.000%, 11/01/13 - NPFG Insured 980 Monson, Massachusetts, General Obligation Bonds, Series 2002, 5/12 at 101.00 A3 1,049,600 5.250%, 5/15/22 - AMBAC Insured 1,260 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AAA 1,494,499 5.000%, 11/15/20 - FGIC Insured 1,000 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call Baa3 988,140 Series 2001A, 5.500%, 7/01/29 - FGIC Insured 1,220 Worcester, Massachusetts, General Obligation Bonds, Series 7/15 at 100.00 A 1,304,107 2005A, 5.000%, 7/01/19 - FGIC Insured ----------------------------------------------------------------------------------------------------------------------------------- 10,985 Total Tax Obligation/General 12,435,228 ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 14.1% (9.4% OF TOTAL INVESTMENTS) 210 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 A 216,533 Series 2004, 5.000%, 5/01/26 - AMBAC Insured 385 Massachusetts Bay Transportation Authority, Senior Lien Sales No Opt. Call AAA 456,583 Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21 975 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/18 at 100.00 AAA 1,070,862 Revenue Bonds, Series 2006, 5.000%, 7/01/26 550 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 A1 596,195 Bonds, Series 2004A, 5.000%, 5/01/19 - NPFG Insured 325 Massachusetts College Building Authority, Project Revenue 5/16 at 100.00 A1 327,291 Bonds, Series 2006A, 5.000%, 5/01/31 - AMBAC Insured 1,200 Massachusetts College Building Authority, Project Revenue 5/18 at 100.00 AAA 1,230,624 Bonds, Series 2008A, 5.000%, 5/01/33 - AGC Insured 1,000 Massachusetts College Building Authority, Project Revenue No Opt. Call A1 1,122,850 Refunding Bonds, Series 2003B, 5.375%, 5/01/23 - SYNCORA GTY Insured 1,300 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA 1,422,707 Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 540 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call A 601,517 Series 2005, 5.000%, 1/01/20 - FGIC Insured 1,000 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aa3 1,125,530 Highway Grant Anticipation Note Program, Series 2003A, 5.000%, 12/15/13 - FSA Insured 240 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call BBB+ 20,446 Revenue Bonds, Series 2005A, 0.000%, 7/01/43 - AMBAC Insured 1,300 Puerto Rico, Highway Revenue Bonds, Highway and Transportation No Opt. Call A 1,370,226 Authority, Series 2003AA, 5.500%, 7/01/19 - NPFG Insured ----------------------------------------------------------------------------------------------------------------------------------- 9,025 Total Tax Obligation/Limited 9,561,364 -----------------------------------------------------------------------------------------------------------------------------------

38 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 10.2% (6.8% OF TOTAL INVESTMENTS) $ 2,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AA- $ 2,007,080 5.000%, 7/01/33 - NPFG Insured 1,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 7/17 at 100.00 A 941,900 BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 - FGIC Insured (Alternative Minimum Tax) 225 Massachusetts Port Authority, Special Facilities Revenue Bonds, 1/11 at 101.00 N/R 161,622 Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 - AMBAC Insured (Alternative Minimum Tax) 4,000 Massachusetts Port Authority, Special Facilities Revenue Bonds, 3/10 at 100.00 A 3,789,160 US Airways Group Inc., Series 1996A, 5.750%, 9/01/16 - NPFG Insured (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- 7,225 Total Transportation 6,899,762 ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 17.7% (11.7% OF TOTAL INVESTMENTS) (4) 550 Guam Economic Development Authority, Tobacco Settlement 5/11 at 100.00 N/R (4) 588,577 Asset-Backed Bonds, Series 2001B, 5.500%, 5/15/41 (Pre-refunded 5/15/11) 25 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/18 at 100.00 Aa2 (4) 29,601 Revenue Bonds, Series 2006, 5.000%, 7/01/26 (Pre-refunded 7/01/18) 2,500 Massachusetts Development Finance Authority, GNMA 10/11 at 105.00 N/R (4) 2,912,950 Collateralized Revenue Bonds, VOA Concord Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 (Pre-refunded 10/20/11) 500 Massachusetts Development Finance Authority, Revenue Bonds, 9/11 at 101.00 A (4) 546,185 Belmont Hills School, Series 2001, 5.375%, 9/01/23 (Pre-refunded 9/01/11) 1,000 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A- (4) 1,170,540 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13) 410 Massachusetts Health and Educational Facilities Authority, 7/21 at 100.00 AAA 463,144 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) - MBIA Insured 600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 N/R (4) 661,590 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.375%, 5/15/19 (Pre-refunded 5/15/12) - FGIC Insured 1,925 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AAA 2,102,427 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11) 1,000 Massachusetts Health and Educational Facilities Authority, 10/11 at 100.00 A+ (4) 1,084,870 Revenue Bonds, University of Massachusetts - Worcester Campus, Series 2001B, 5.250%, 10/01/31 (Pre-refunded 10/01/11) - FGIC Insured 525 Massachusetts Port Authority, Revenue Bonds, Series 1982, 1/10 at 100.00 AAA 654,638 13.000%, 7/01/13 (ETM) 1,500 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 A (4) 1,717,950 Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) - FGIC Insured ---------------------------------------------------------------------------------------------------------------------------------- 10,535 Total U.S. Guaranteed 11,932,472 ---------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 2.9% (1.9% OF TOTAL INVESTMENTS) 1,000 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 A 1,032,240 Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/16 - NPFG Insured 1,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/09 at 101.00 BBB 935,950 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- 2,000 Total Utilities 1,968,190 ---------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 11.5% (7.6% OF TOTAL INVESTMENTS) 2,000 Boston Water and Sewerage Commission, Massachusetts, General 11/14 at 100.00 AA+ 2,128,580 Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 60 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 AAA 63,730 Program Bonds, Series 2003-9, 5.000%, 8/01/22 285 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/14 at 100.00 AAA 302,941 Program Bonds, Series 2004-10, 5.000%, 8/01/26 750 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 771,690 Program Bonds, Series 2005-11, 4.500%, 8/01/29 1,000 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 1,016,730 Program Bonds, Series 2006-12, 4.375%, 8/01/31

Nuveen Investments 39

NMT | NUVEEN MASSACHUSETTS PREMIUM INCOME MUNICIPAL FUND (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER (continued) $ 1,250 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA $ 1,368,388 MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 1,500 Massachusetts Water Resources Authority, General Revenue Bonds, 8/17 at 100.00 AA+ 1,588,995 Series 2005A, 5.000%, 8/01/28 - NPFG Insured 625 Massachusetts Water Resources Authority, General Revenue Bonds, 8/16 at 100.00 AA+ 515,525 Series 2006A, 4.000%, 8/01/46 ----------------------------------------------------------------------------------------------------------------------------------- 7,470 Total Water and Sewer 7,756,579 ----------------------------------------------------------------------------------------------------------------------------------- $ 99,900 Total Investments (cost $101,305,784) - 150.8% 101,888,857 =============---------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (3.6)% (2,450,000) ------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 3.1% 2,126,543 ------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (50.3)% (6) (34,000,000) ------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 67,565,400 ===================================================================================================================

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3. See Notes to Financial Statements, Footnote 2 - Fair Value Measurements for more information. (6) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 33.4%. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. (IF) Inverse floating rate investment. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 - Inverse Floating Rate Securities for more information. See accompanying notes to financial statements. 40 Nuveen Investments

NMB | NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY - 1.1% (0.7% OF TOTAL INVESTMENTS) $ 480 Boston Industrial Development Financing Authority, 9/12 at 102.00 Caa1 $ 309,475 Massachusetts, Senior Revenue Bonds, Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 40.1% (26.3% OF TOTAL INVESTMENTS) 375 Massachusetts Development Finance Agency, Revenue Bonds, Boston 10/19 at 100.00 A 379,628 University, Series 2009V-1, 5.000%, 10/01/29 (WI/DD, Settling 12/01/09) 450 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 A+ 445,964 Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 - NPFG Insured 495 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 515,770 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured 500 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 AA- 531,380 Milton Academy, Series 2003A, 5.000%, 9/01/19 2,100 Massachusetts Development Finance Authority, Revenue Bonds, WGBH 1/18 at 100.00 AAA 2,101,281 Educational Foundation, Series 2008A, 5.000%, 1/01/42 - AGC Insured (UB) 1,000 Massachusetts Development Finance Authority, Revenue Refunding 5/29 at 105.00 A2 1,096,470 Bonds, Boston University, Series 1999P, 6.000%, 5/15/59 990 Massachusetts Educational Finance Authority, Educational Loan 7/10 at 100.00 AA 997,979 Revenue Bonds, Series 2001E, 5.300%, 1/01/16 - AMBAC Insured (Alternative Minimum Tax) 1,000 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,096,260 Revenue Bonds, Boston College, Series 2003N, 5.250%, 6/01/18 1,000 Massachusetts Health and Educational Facilities Authority, 3/10 at 100.00 N/R 905,220 Revenue Bonds, Hebrew College, Series 1999A, 0.720%, 7/01/31 - RAAI Insured (5) 2,000 Massachusetts Health and Educational Facilities Authority, 2/11 at 100.00 Aa2 2,019,138 Revenue Bonds, Tufts University, Series 2001I, 5.500%, 2/15/36 590 Massachusetts Health and Educational Facilities Authority, 7/16 at 100.00 AAA 620,881 Revenue Bonds, Williams College, Series 2007L, 5.000%, 7/01/31 500 Massachusetts Health and Educational Facilities Authority, 7/19 at 100.00 BBB 491,595 Revenue Refunding Bonds, Suffolk University Issue, Series 2009A, 5.750%, 7/01/39 ---------------------------------------------------------------------------------------------------------------------------------- 11,000 Total Education and Civic Organizations 11,201,566 ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 30.1% (19.7% OF TOTAL INVESTMENTS) 1,000 Massachusetts Health and Educational Facilities Authority 12/19 at 100.00 AA 1,023,950 Revenue Bonds, Children's Hospital Issue, Series M (2009), 5.500%, 12/01/39 500 Massachusetts Health and Educational Facilities Authority 1/18 at 100.00 N/R 435,420 Revenue Bonds, Quincy Medical Center Issue, Series A (2008), 6.500%, 1/15/38 500 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 504,515 Revenue Bonds, Berkshire Health System, Series 2001E, 6.250%, 10/01/31 775 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 A 778,402 Revenue Bonds, Capital Asset Program, Series 1998B-1, 5.375%, 2/01/26 - MBIA Insured 500 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 A 500,820 Revenue Bonds, Capital Asset Program, Series 1998B-2, 5.375%, 2/01/27 - MBIA Insured 250 Massachusetts Health and Educational Facilities Authority, 1/11 at 100.00 BBB 246,173 Revenue Bonds, Caritas Christi Obligated Group, Series 1999A, 5.625%, 7/01/20 295 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A 301,245 Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 315 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 N/R 232,007 Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%, 8/15/35 - RAAI Insured 600 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 A 604,098 Revenue Bonds, Lahey Clinic Medical Center, Series 2005C, 5.000%, 8/15/21 - FGIC Insured 1,000 Massachusetts Health and Educational Facilities Authority, 8/17 at 100.00 A 985,860 Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28

Nuveen Investments 41

NMB | NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE (continued) $ 290 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- $ 232,676 Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 500 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BB- 328,710 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 500 Massachusetts Health and Educational Facilities Authority, 7/14 at 100.00 BB 423,345 Revenue Bonds, Northern Berkshire Community Services Inc., Series 2004B, 6.375%, 7/01/34 1,000 Massachusetts Health and Educational Facilities Authority, 1/10 at 101.00 AA 1,010,820 Revenue Bonds, Partners HealthCare System Inc., Series 1999B, 5.125%, 7/01/19 35 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA 35,960 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 500 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB+ 505,000 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.625%, 7/01/32 285 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB+ 248,939 Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 ---------------------------------------------------------------------------------------------------------------------------------- 8,845 Total Health Care 8,397,940 ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 11.4% (7.4% OF TOTAL INVESTMENTS) 565 Massachusetts Development Finance Authority, Multifamily Housing 7/17 at 100.00 AAA 521,241 Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 500 Massachusetts Housing Finance Agency, Housing Revenue Bonds, 6/13 at 100.00 AA- 498,510 Series 2003S, 5.050%, 12/01/23 (Alternative Minimum Tax) 1,135 Massachusetts Housing Finance Agency, Rental Housing Mortgage 1/11 at 100.00 N/R 1,118,645 Revenue Bonds, Series 2001A, 5.850%, 7/01/35 - AMBAC Insured (Alternative Minimum Tax) 1,000 Somerville Housing Authority, Massachusetts, GNMA Collateralized 5/12 at 103.00 AAA 1,041,870 Mortgage Revenue Bonds, Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 ---------------------------------------------------------------------------------------------------------------------------------- 3,200 Total Housing/Multifamily 3,180,266 ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 3.9% (2.6% OF TOTAL INVESTMENTS) 650 Massachusetts Housing Finance Agency, Single Family Housing 6/16 at 100.00 AA 590,343 Revenue Bonds, Series 2006-126, 4.625%, 6/01/32 (Alternative Minimum Tax) 480 Massachusetts Housing Finance Agency, Single Family Housing 6/18 at 100.00 AA 510,355 Revenue Bonds, Series 2008, Trust 3145, 15.116%, 12/01/33 (IF) ---------------------------------------------------------------------------------------------------------------------------------- 1,130 Total Housing/Single Family 1,100,698 ---------------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS - 1.2% (0.8% OF TOTAL INVESTMENTS) 145 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 129,774 Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 200 Massachusetts Development Finance Agency, Solid Waste Disposal No Opt. Call BBB 208,410 Revenue Bonds, Waste Management Inc., Series 2003, 5.450%, 6/01/14 ---------------------------------------------------------------------------------------------------------------------------------- 345 Total Industrials 338,184 ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 8.2% (5.4% OF TOTAL INVESTMENTS) 725 Massachusetts Development Finance Agency, Revenue Bonds, Orchard 10/12 at 102.00 N/R 574,490 Cove, Series 2007, 5.250%, 10/01/26 655 Massachusetts Development Finance Authority, First Mortgage 7/11 at 102.00 BBB 663,030 Revenue Bonds, Berkshire Retirement Community - Edgecombe Project, Series 2001A, 6.750%, 7/01/21 1,000 Massachusetts Development Finance Authority, GNMA Collateralized 3/12 at 105.00 AAA 1,051,640 Assisted Living Facility Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- 2,380 Total Long-Term Care 2,289,160 ----------------------------------------------------------------------------------------------------------------------------------

42 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 14.1% (9.2% OF TOTAL INVESTMENTS) $ 310 Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5/15 at 100.00 A1 $ 333,070 5.250%, 5/15/23 - AMBAC Insured 2,000 Brookline, Massachusetts, General Obligation Bonds, Series 2000, 4/10 at 101.00 Aaa 2,051,320 5.375%, 4/01/17 440 Fall River, Massachusetts, General Obligation Bonds, Series 2/13 at 101.00 AAA 458,612 2003, 5.000%, 2/01/21 - FSA Insured 500 Norwell, Massachusetts, General Obligation Bonds, Series 2003, No Opt. Call AAA 593,055 5.000%, 11/15/20 - FGIC Insured 500 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call Baa3 494,070 Series 2001A, 5.500%, 7/01/29 - FGIC Insured ---------------------------------------------------------------------------------------------------------------------------------- 3,750 Total Tax Obligation/General 3,930,127 ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 11.9% (7.8% OF TOTAL INVESTMENTS) 395 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 A 407,288 Series 2004, 5.000%, 5/01/26 - AMBAC Insured 85 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/10 at 100.00 AAA 86,111 Series 2000A, 5.250%, 7/01/30 385 Massachusetts Bay Transportation Authority, Senior Lien Sales No Opt. Call AAA 456,583 Tax Revenue Refunding Bonds, Series 2004C, 5.250%, 7/01/21 230 Massachusetts College Building Authority, Project Revenue Bonds, 5/14 at 100.00 A1 249,318 Series 2004A, 5.000%, 5/01/19 - NPFG Insured 250 Massachusetts College Building Authority, Project Revenue Bonds, 5/16 at 100.00 A1 251,763 Series 2006A, 5.000%, 5/01/31 - AMBAC Insured 550 Massachusetts College Building Authority, Project Revenue Bonds, 5/18 at 100.00 AAA 564,036 Series 2008A, 5.000%, 5/01/33 - AGC Insured 500 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA 547,195 Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA Insured 230 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call A 256,202 Series 2005, 5.000%, 1/01/20 - FGIC Insured 500 Virgin Islands Public Finance Authority, Gross Receipts Taxes 10/10 at 101.00 BBB+ 511,965 Loan Note, Series 1999A, 6.375%, 10/01/19 ---------------------------------------------------------------------------------------------------------------------------------- 3,125 Total Tax Obligation/Limited 3,330,461 ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 1.3% (0.9% OF TOTAL INVESTMENTS) 400 Massachusetts Port Authority, Special Facilities Revenue Bonds, 7/17 at 100.00 A 376,760 BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 - FGIC Insured (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 14.8% (9.7% OF TOTAL INVESTMENTS) (4) 1,000 Boston, Massachusetts, General Obligation Bonds, Series 2001A, 2/11 at 100.00 AA+ (4) 1,053,990 5.000%, 2/01/20 (Pre-refunded 2/01/11) 1,675 Lawrence, Massachusetts, General Obligation Bonds, Series 2001, 2/11 at 100.00 Aa3 (4) 1,765,433 5.000%, 2/01/21 (Pre-refunded 2/01/11) - AMBAC Insured 125 Massachusetts Bay Transportation Authority, Assessment Bonds, 7/10 at 100.00 Aa1 (4) 128,661 Series 2000A, 5.250%, 7/01/30 (Pre-refunded 7/01/10) 80 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A (4) 89,598 Revenue Bonds, Covenant Health Systems Obligated Group, Series 2002, 6.000%, 7/01/31 (Pre-refunded 1/01/12) 215 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AAA 234,817 Revenue Bonds, Partners HealthCare System Inc., Series 2001C, 5.750%, 7/01/32 (Pre-refunded 7/01/11) 750 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 A (4) 858,975 Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14) - FGIC Insured ---------------------------------------------------------------------------------------------------------------------------------- 3,845 Total U.S. Guaranteed 4,131,474 ---------------------------------------------------------------------------------------------------------------------------------- UTILITIES - 5.7% (3.7% OF TOTAL INVESTMENTS) 1,070 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 A 1,114,501 Revenue Bonds, SEMass System, Series 2001A, 5.625%, 1/01/14 - NPFG Insured 500 Massachusetts Industrial Finance Agency, Resource Recovery 12/09 at 101.00 BBB 467,975 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- 1,570 Total Utilities 1,582,476 ----------------------------------------------------------------------------------------------------------------------------------

Nuveen Investments 43

NMB | NUVEEN MASSACHUSETTS DIVIDEND ADVANTAGE MUNICIPAL FUND (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ------------------------------------------------------------------------------------------------------------------------------------ WATER AND SEWER - 8.9% (5.8% OF TOTAL INVESTMENTS) $ 530 Boston Water and Sewerage Commission, Massachusetts, General 11/14 at 100.00 AA+ $ 564,074 Revenue Bonds, Senior Series 2004A, 5.000%, 11/01/25 125 Guam Government Waterworks Authority, Water and Wastewater 7/15 at 100.00 Ba2 125,404 System Revenue Bonds, Series 2005, 6.000%, 7/01/25 500 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 514,460 Program Bonds, Series 2005-11, 4.500%, 8/01/29 400 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 406,692 Program Bonds, Series 2006-12, 4.375%, 8/01/31 500 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/12 at 100.00 AAA 547,355 MWRA Loan Program, Series 2002A, 5.250%, 8/01/20 105 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 2/10 at 101.00 AAA 106,397 MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29 250 Massachusetts Water Resources Authority, General Revenue Bonds, 8/16 at 100.00 AA+ 206,210 Series 2006A, 4.000%, 8/01/46 ------------------------------------------------------------------------------------------------------------------------------------ 2,410 Total Water and Sewer 2,470,592 ------------------------------------------------------------------------------------------------------------------------------------ $ 42,480 Total Investments (cost $42,877,013) - 152.7% 42,639,179 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (3.8)% (1,050,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.1% 575,584 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (51.0)% (6) (14,250,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 27,914,763 ====================================================================================================================

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3. See Notes to Financial Statements, Footnote 2 - Fair Value Measurements for more information. (6) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 33.4%. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. (IF) Inverse floating rate investment. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 - Inverse Floating Rate Securities for more information. See accompanying notes to financial statements. 44 Nuveen Investments

NGX | NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 23.3% (15.4% OF TOTAL INVESTMENTS) $ 1,135 Massachusetts Development Finance Agency, Revenue Bonds, Boston 10/15 at 100.00 A2 $ 1,090,735 University, Series 2005T-1, 5.000%, 10/01/39 - AMBAC Insured 600 Massachusetts Development Finance Agency, Revenue Bonds, 9/17 at 100.00 A+ 594,618 Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 - NPFG Insured 1,250 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 A1 1,254,563 Middlesex School, Series 2003, 5.000%, 9/01/33 3,000 Massachusetts Development Finance Authority, Revenue Bonds, 1/18 at 100.00 AAA 3,001,830 WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 - AGC Insured (UB) 1,750 Massachusetts Health and Educational Facilities Authority, 6/13 at 100.00 AA- 1,774,325 Revenue Bonds, Boston College, Series 2003N, 5.125%, 6/01/37 1,500 Massachusetts Health and Educational Facilities Authority, 11/12 at 100.00 A- 1,495,875 Revenue Bonds, Worcester State College, Series 2002, 5.000%, 11/01/32 - AMBAC Insured ---------------------------------------------------------------------------------------------------------------------------------- 9,235 Total Education and Civic Organizations 9,211,946 ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 13.9% (9.2% OF TOTAL INVESTMENTS) 600 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 A 600,984 Revenue Bonds, Capital Asset Program, Series 1998B-1, 5.375%, 2/01/27 - MBIA Insured 1,500 Massachusetts Health and Educational Facilities Authority, 8/18 at 100.00 A 1,500,390 Revenue Bonds, Capital Asset Program, Series 1998B-2, 5.375%, 2/01/28 - MBIA Insured 455 Massachusetts Health and Educational Facilities Authority, 1/10 at 101.00 A 430,457 Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 - MBIA Insured 585 Massachusetts Health and Educational Facilities Authority, 7/17 at 100.00 BBB- 469,363 Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32 200 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BB- 131,484 Revenue Bonds, Milton Hospital Project, Series 2005D, 5.250%, 7/01/30 2,400 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 N/R 2,138,088 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 - FGIC Insured 250 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB+ 218,368 Revenue Bonds, UMass Memorial Health Care, Series 2005D, 5.000%, 7/01/33 ---------------------------------------------------------------------------------------------------------------------------------- 5,990 Total Health Care 5,489,134 ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 10.0% (6.6% OF TOTAL INVESTMENTS) 770 Massachusetts Development Finance Authority, Multifamily 7/17 at 100.00 AAA 710,364 Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48 2,000 Massachusetts Housing Finance Agency, Housing Bonds, Series 12/12 at 100.00 AA- 1,966,960 2003H, 5.125%, 6/01/43 1,265 Massachusetts Housing Finance Agency, Rental Housing Mortgage 7/12 at 100.00 AAA 1,262,963 Revenue Bonds, Series 2002H, 5.200%, 7/01/42 - FSA Insured ---------------------------------------------------------------------------------------------------------------------------------- 4,035 Total Housing/Multifamily 3,940,287 ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 4.6% (3.0% OF TOTAL INVESTMENTS) 1,750 Massachusetts Development Finance Authority, GNMA 12/12 at 105.00 AAA 1,830,570 Collateralized Revenue Bonds, Neville Communities, Series 2002A, 6.000%, 6/20/44 ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 16.9% (11.1% OF TOTAL INVESTMENTS) 1,280 Littleton, Massachusetts, General Obligation Bonds, Series 1/13 at 101.00 AA 1,334,336 2003, 5.000%, 1/15/21 - FGIC Insured 1,500 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 1,786,140 Series 2004B, 5.250%, 8/01/21 - FSA Insured 1,705 North Attleborough, Massachusetts, General Obligation Bonds, 7/14 at 101.00 A1 1,955,601 Series 2004, 5.000%, 7/15/15 - FGIC Insured 1,500 Pittsfield, Massachusetts, General Obligation Bonds, Series 4/12 at 101.00 AA- 1,583,400 2002, 5.000%, 4/15/18 - NPFG Insured ---------------------------------------------------------------------------------------------------------------------------------- 5,985 Total Tax Obligation/General 6,659,477 ----------------------------------------------------------------------------------------------------------------------------------

Nuveen Investments 45

NGX | NUVEEN INSURED MASSACHUSETTS TAX-FREE ADVANTAGE MUNICIPAL FUND (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 25.2% (16.6% OF TOTAL INVESTMENTS) $ 3,000 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/13 at 100.00 A $ 3,031,770 Series 2002, 5.000%, 5/01/32 - AMBAC Insured 750 Massachusetts College Building Authority, Project Revenue Bonds, 5/18 at 100.00 AAA 769,140 Series 2008A, 5.000%, 5/01/33 - AGC Insured 2,790 Massachusetts College Building Authority, Project Revenue 5/13 at 100.00 A1 2,902,493 Refunding Bonds, Series 2003A, 5.250%, 5/01/22 - SYNCORA GTY Insured Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street Redevelopment, M/SRBC Project, Series 2002A: 1,475 5.125%, 8/01/28 - NPFG Insured 2/12 at 100.00 A 1,475,634 1,500 5.125%, 2/01/34 - NPFG Insured 2/12 at 100.00 A 1,462,350 300 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, No Opt. Call A 334,176 Series 2005, 5.000%, 1/01/20 - FGIC Insured ---------------------------------------------------------------------------------------------------------------------------------- 9,815 Total Tax Obligation/Limited 9,975,563 ---------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 3.8% (2.5% OF TOTAL INVESTMENTS) 1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AA- 1,003,540 5.000%, 7/01/33 - NPFG Insured 500 Massachusetts Turnpike Authority, Metropolitan Highway System 1/10 at 100.00 AA 496,190 Revenue Bonds, Subordinate Series 1999A, 5.000%, 1/01/39 - AMBAC Insured ---------------------------------------------------------------------------------------------------------------------------------- 1,500 Total Transportation 1,499,730 ---------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 36.4% (24.0% OF TOTAL INVESTMENTS) (4) 2,000 Massachusetts Bay Transportation Authority, Senior Sales Tax 7/12 at 100.00 AAA 2,215,380 Revenue Refunding Bonds, Series 2002A, 5.000%, 7/01/27 (Pre-refunded 7/01/12) - FGIC Insured 500 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 A- (4) 596,220 Massachusetts College of Pharmacy and Allied Health Sciences, Series 2003C, 6.375%, 7/01/23 (Pre-refunded 7/01/13) 100 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 N/R (4) 109,359 Revenue Bonds, New England Medical Center Hospitals, Series 2002H, 5.000%, 5/15/25 (Pre-refunded 5/15/12) - FGIC Insured 525 Massachusetts Port Authority, Revenue Bonds, Series 1982, 1/10 at 100.00 AAA 654,638 13.000%, 7/01/13 (ETM) 2,000 Massachusetts, General Obligation Bonds, Consolidated Loan, 11/11 at 100.00 AA (4) 2,161,480 Series 2001D, 5.000%, 11/01/20 (Pre-refunded 11/01/11) - NPFG Insured 1,000 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 A (4) 1,145,300 Series 2004, 5.250%, 1/01/21 (Pre-refunded 1/01/14) - FGIC Insured 1,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,557,915 Series 2000HH, 5.250%, 7/01/29 (Pre-refunded 7/01/10) - FSA Insured 3,000 Springfield, Massachusetts, General Obligation Bonds, Series 1/13 at 100.00 AA- (4) 3,391,560 2003, 5.250%, 1/15/22 (Pre-refunded 1/15/13) - MBIA Insured 2,140 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 A+ (4) 2,533,032 Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/21 (Pre-refunded 11/01/14) - AMBAC Insured ---------------------------------------------------------------------------------------------------------------------------------- 12,765 Total U.S. Guaranteed 14,364,884 ---------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 17.6% (11.6% OF TOTAL INVESTMENTS) 1,900 Lynn Water and Sewer Commission, Massachusetts, General Revenue 12/13 at 100.00 A 1,894,851 Bonds, Series 2003A, 5.000%, 12/01/32 - NPFG Insured 600 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/16 at 100.00 AAA 610,038 Program Bonds, Series 2006-12, 4.375%, 8/01/31 1,000 Massachusetts Water Resources Authority, General Revenue Bonds, No Opt. Call AAA 1,188,240 Series 2002J, 5.250%, 8/01/19 - FSA Insured 1,000 Massachusetts Water Resources Authority, General Revenue Bonds, 8/13 at 100.00 AA+ 1,059,780 Series 2004D, 5.000%, 8/01/24 - NPFG Insured

46 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER (continued) Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A: $ 1,500 5.000%, 8/01/31 - AMBAC Insured 8/16 at 100.00 AA+ $ 1,550,565 125 4.000%, 8/01/46 8/16 at 100.00 AA+ 103,105 495 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 A+ 541,104 General Revenue Bonds, Series 2003A, 5.000%, 7/01/16 - NPFG Insured ----------------------------------------------------------------------------------------------------------------------------------- 6,620 Total Water and Sewer 6,947,683 ----------------------------------------------------------------------------------------------------------------------------------- $ 57,695 Total Investments (cost $58,513,727) - 151.7% 59,919,274 =============---------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (3.8)% (1,500,000) ------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 4.0% 1,573,643 ------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (51.9)% (5) (20,500,000) ------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 39,492,917 ===================================================================================================================

At least 80% of the Fund's net assets are invested in municipal securities that guarantee the timely payment of principal and interest. See Notes to Financial Statements, Footnote 1 - Insurance, for more information. (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds whose insurer has experienced downgrades as of the end of the reporting period. Please see the Portfolio Managers' Comments for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 34.2%. N/R Not rated. (ETM) Escrowed to maturity. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 - Inverse Floating Rate Securities for more information. See accompanying notes to financial statements. Nuveen Investments 47 NOM | NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited)

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES - 3.3% (2.2% OF TOTAL INVESTMENTS) $ 1,000 Missouri Development Finance Board, Solid Waste Disposal Revenue No Opt. Call AA- $ 1,010,880 Bonds, Procter and Gamble Inc., Series 1999, 5.200%, 3/15/29 (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- EDUCATION AND CIVIC ORGANIZATIONS - 2.0% (1.4% OF TOTAL INVESTMENTS) 250 Lincoln University, Missouri, Auxiliary System Revenue Bonds, 6/17 at 100.00 AAA 251,313 Series 2007, 5.125%, 6/01/37 - AGC Insured 365 Missouri Health and Educational Facilities Authority, Revenue 4/11 at 100.00 A3 371,913 Bonds, Webster University, Series 2001, 5.500%, 4/01/18 - NPFG Insured ---------------------------------------------------------------------------------------------------------------------------------- 615 Total Education and Civic Organizations 623,226 ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE - 21.7% (14.6% OF TOTAL INVESTMENTS) 710 Cape Girardeau County Industrial Development Authority, 6/17 at 100.00 N/R 656,147 Missouri, Health Facilities Revenue Bonds, Southeast Missouri Hospital Association, Series 2007, 5.000%, 6/01/27 930 Cass County, Missouri, Hospital Revenue Bonds, Series 2007, 11/16 at 100.00 N/R 798,433 5.625%, 5/01/38 480 Clinton County Industrial Development Authority, Missouri, 12/17 at 100.00 N/R 331,157 Revenue Bonds, Cameron Regional Medical Center, Series 2007, 5.000%, 12/01/37 750 Joplin Industrial Development Authority, Missouri, Health 2/15 at 102.00 BBB+ 726,600 Facilities Revenue Bonds, Freeman Health System, Series 2004, 5.500%, 2/15/29 500 Missouri Health & Educational Facilities Authority, St. Luke's 6/11 at 101.00 AAA 507,835 Episcopal- Presbyterian Hospitals Revenue Bonds, 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 1,524,885 1,155 5.250%, 5/15/32 5/13 at 100.00 AA 1,164,771 425 Missouri Health and Educational Facilities Authority, Revenue 2/10 at 100.00 BBB+ 425,247 Bonds, Lake Regional Health System, Series 1996, 6.500%, 2/15/21 500 Missouri Health and Educational Facilities Authority, Revenue 2/14 at 100.00 BBB+ 471,205 Bonds, Lake Regional Health System, Series 2003, 5.700%, 2/15/34 ---------------------------------------------------------------------------------------------------------------------------------- 6,950 Total Health Care 6,606,280 ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/MULTIFAMILY - 3.7% (2.5% OF TOTAL INVESTMENTS) 395 Jefferson County Industrial Development Authority, Missouri, 12/11 at 100.00 N/R 374,464 Multifamily Housing Revenue Bonds, Lakewood Apartments Project, Series 2001B, 5.750%, 11/01/34 (Mandatory put 11/01/16) (Alternative Minimum Tax) 245 Missouri Housing Development Commission, Multifamily Housing 12/11 at 100.00 AA 252,198 Revenue Bonds, Series 2001II, 5.250%, 12/01/16 500 St. Charles County Industrial Development Authority, Missouri, 4/10 at 100.00 AAA 500,640 FHA-Insured Multifamily Housing Revenue Bonds, Ashwood Apartments, Series 1998A, 5.600%, 4/01/30 - FSA Insured (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- 1,140 Total Housing/Multifamily 1,127,302 ---------------------------------------------------------------------------------------------------------------------------------- HOUSING/SINGLE FAMILY - 5.7% (3.8% OF TOTAL INVESTMENTS) 70 Missouri Housing Development Commission, Single Family Mortgage 3/10 at 100.00 AAA 72,668 Revenue Bonds, Homeownership Loan Program, Series 2000B-1, 6.250%, 3/01/31 (Alternative Minimum Tax) 750 Missouri Housing Development Commission, Single Family Mortgage 9/16 at 100.00 AAA 724,703 Revenue Bonds, Homeownership Loan Program, Series 2007A-1, 4.700%, 9/01/27 (Alternative Minimum Tax) 1,000 Missouri Housing Development Commission, Single Family Mortgage 3/17 at 100.00 AAA 930,720 Revenue Bonds, Homeownership Loan Program, Series 2007C-1, 4.800%, 9/01/38 (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- 1,820 Total Housing/Single Family 1,728,091 ----------------------------------------------------------------------------------------------------------------------------------

48 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ---------------------------------------------------------------------------------------------------------------------------------- LONG-TERM CARE - 8.0% (5.3% OF TOTAL INVESTMENTS) $ 1,750 Cole County Industrial Development Authority, Missouri, Revenue 2/14 at 100.00 N/R $ 1,566,163 Bonds, Lutheran Senior Services - Heisinger Project, Series 2004, 5.500%, 2/01/35 475 Lees Summit Industrial Development Authority, Missouri, Revenue 8/17 at 100.00 N/R 405,479 Bonds, John Knox Village Obligated Group, Series 2007A, 5.125%, 8/15/32 500 St. Louis County Industrial Development Authority, Missouri, 9/17 at 100.00 N/R 455,270 Revenue Bonds, Friendship Village of West County, Series 2007A, 5.500%, 9/01/28 ---------------------------------------------------------------------------------------------------------------------------------- 2,725 Total Long-Term Care 2,426,912 ---------------------------------------------------------------------------------------------------------------------------------- MATERIALS - 2.1% (1.4% OF TOTAL INVESTMENTS) 750 Sugar Creek, Missouri, Industrial Development Revenue Bonds, 6/13 at 101.00 BBB- 646,800 Lafarge North America Inc., Series 2003A, 5.650%, 6/01/37 (Alternative Minimum Tax) ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/GENERAL - 26.3% (17.7% OF TOTAL INVESTMENTS) 1,500 Camdenton Reorganized School District R3, Camden County, No Opt. Call AAA 1,627,800 Missouri, General Obligation Bonds, Series 2005, 5.250%, 3/01/24 - FSA Insured (5) 500 Jackson County School District R-7, Lees Summit, Missouri, 3/12 at 100.00 AAA 542,345 General Obligation Refunding and Improvement Bonds, Series 2002, 5.250%, 3/01/18 - FSA Insured 500 Missouri School Boards Association, Lease Participation 3/17 at 100.00 AAA 535,405 Certificates, Clay County School District 53 Liberty, Series 2007, 5.250%, 3/01/27 - FSA Insured 1,630 North Kansas City School District, Missouri, General Obligation 3/13 at 100.00 AA+ 1,753,521 Bonds, Series 2003A, 5.000%, 3/01/23 1,000 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call A 1,052,010 Series 2001A, 5.500%, 7/01/20 - NPFG Insured 2,020 Ritenour Consolidated School District, St. Louis County, No Opt. Call A1 2,211,476 Missouri, General Obligation Bonds, Series 1995, 7.375%, 2/01/12 - FGIC Insured 270 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 298,482 General Obligation Bonds, Series 2004, 5.250%, 3/01/20 - FSA Insured ---------------------------------------------------------------------------------------------------------------------------------- 7,420 Total Tax Obligation/General 8,021,039 ---------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED - 22.1% (14.8% OF TOTAL INVESTMENTS) 600 Chesterfield, Missouri, Certificates of Participation, Series 12/15 at 100.00 Aa1 618,174 2005, 5.000%, 12/01/24 - FGIC Insured 80 Cottleville, Missouri, Certificates of Participation, Series 8/14 at 100.00 N/R 67,392 2006, 5.250%, 8/01/31 390 Fenton, Missouri, Tax Increment Revenue Bonds, Gravois Bluffs 4/14 at 100.00 N/R 379,841 Redevelopment Project, Series 2006, 4.500%, 4/01/21 315 Fulton, Missouri, Tax Increment Revenue Bonds, Fulton Commons 6/16 at 100.00 N/R 241,035 Redevelopment Project, Series 2006, 5.000%, 6/01/28 475 Kansas City Tax Increment Financing District, Missouri, Tax 6/14 at 102.00 N/R 393,960 Increment Revenue Bonds, Briarcliff West Project, Series 2006A, 5.400%, 6/01/24 415 Missouri Development Finance Board, Independence, Infrastructure 3/16 at 100.00 A+ 411,535 Facilities Revenue Bonds, Crackerneck Creek Project, Series 2006C, 5.000%, 3/01/28 360 Missouri Development Finance Board, Infrastructure Facilities 6/15 at 100.00 A 316,688 Revenue Bonds, Branson Landing Project, Series 2005A, 5.000%, 6/01/35 450 Monarch-Chesterfield Levee District, St. Louis County, Missouri, 3/10 at 101.00 A 459,180 Levee District Improvement Bonds, Series 1999, 5.750%, 3/01/19 - NPFG Insured 500 Osage Beach, Missouri, Tax Increment Revenue Bonds, Prewitts 5/12 at 102.00 N/R 387,900 Point Transportation Development District, Series 2006, 5.000%, 5/01/23 600 Riverside, Missouri, L-385 Levee Redevelopment Plan Tax 5/15 at 100.00 A 608,724 Increment Revenue Bonds, Series 2004, 5.250%, 5/01/20

Nuveen Investments 49

NOM | NUVEEN MISSOURI PREMIUM INCOME MUNICIPAL FUND (continued) | PORTFOLIO OF INVESTMENTS November 30, 2009 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- TAX OBLIGATION/LIMITED (continued) $ 2,000 Springfield Public Building Corporation, Missouri, Lease 6/10 at 100.00 N/R $ 2,012,140 Revenue Bonds, Jordan Valley Park Projects, Series 2000A, 6.125%, 6/01/21 - AMBAC Insured St. Joseph Industrial Development Authority, Missouri, Tax Increment Bonds, Shoppes at North Village Project, Series 2005A: 340 5.375%, 11/01/24 11/14 at 100.00 N/R 301,417 400 5.500%, 11/01/27 11/14 at 100.00 N/R 345,832 200 St. Joseph Industrial Development Authority, Missouri, Tax 11/14 at 100.00 N/R 172,916 Increment Bonds, Shoppes at North Village Project, Series 2005B, 5.500%, 11/01/27 ----------------------------------------------------------------------------------------------------------------------------------- 7,125 Total Tax Obligation/Limited 6,716,734 ----------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION - 4.8% (3.2% OF TOTAL INVESTMENTS) 500 Kansas City, Missouri, Passenger Facility Charge Revenue 4/11 at 101.00 A 495,170 Bonds, Kansas City International Airport, Series 2001, 5.000%, 4/01/23 - AMBAC Insured (Alternative Minimum Tax) 1,000 St. Louis Land Clearance Redevelopment Authority, Missouri, 3/10 at 102.00 N/R 967,690 Revenue Refunding and Improvement Bonds, LCRA Parking Facilities, Series 1999C, 7.000%, 9/01/19 ----------------------------------------------------------------------------------------------------------------------------------- 1,500 Total Transportation 1,462,860 ----------------------------------------------------------------------------------------------------------------------------------- U.S. GUARANTEED - 28.9% (19.4% OF TOTAL INVESTMENTS) (4) 685 Fenton, Missouri, Tax Increment Refunding and Improvement 10/12 at 100.00 N/R (4) 776,208 Revenue Bonds, Gravois Bluffs Redevelopment Project, Series 2002, 6.125%, 10/01/21 (Pre-refunded 10/01/12) 2,500 Missouri Health and Educational Facilities Authority, Revenue 6/11 at 101.00 AA- (4) 2,702,425 Bonds, SSM Healthcare System, Series 2001A, 5.250%, 6/01/28 (Pre-refunded 6/01/11) - AMBAC Insured 1,000 Missouri Health and Educational Facilities Authority, Revenue 12/10 at 101.00 N/R (4) 1,066,880 Bonds, St. Anthony's Medical Center, Series 2000, 6.250%, 12/01/30 (Pre-refunded 12/01/10) 1,380 Springfield Center City Development Corporation, Missouri, 11/11 at 100.00 A1 (4) 1,491,421 Lease Revenue Bonds, Jordan Valley Park Parking Garage, Series 2002D, 5.000%, 11/01/22 (Pre-refunded 11/01/11) - AMBAC Insured 80 St. Louis County Pattonville School District R3, Missouri, 3/14 at 100.00 AAA 92,981 General Obligation Bonds, Series 2004, 5.250%, 3/01/20 (Pre-refunded 3/01/14) - FSA Insured 500 St. Louis County, Missouri, GNMA Collateralized Mortgage No Opt. Call N/R (4) 576,920 Revenue Bonds, Series 1993D, 5.650%, 7/01/20 (Alternative Minimum Tax) (ETM) 1,000 St. Louis Municipal Finance Corporation, Missouri, Leasehold 2/12 at 100.00 N/R (4) 1,110,230 Revenue Bonds, Carnahan Courthouse, Series 2002A, 5.750%, 2/15/16 (Pre-refunded 2/15/12) - FGIC Insured 950 Texas County, Missouri, Hospital Revenue Bonds, Texas County 6/10 at 100.00 N/R (4) 985,198 Memorial Hospital, Series 2000, 7.250%, 6/15/25 (Pre-refunded 6/15/10) ----------------------------------------------------------------------------------------------------------------------------------- 8,095 Total U.S. Guaranteed 8,802,263 ----------------------------------------------------------------------------------------------------------------------------------- WATER AND SEWER - 9.8% (6.6% OF TOTAL INVESTMENTS) 2,965 Missouri Environmental Improvement and Energy Resources 12/16 at 100.00 AAA 2,579,906 Authority, Water Facility Revenue Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 - AMBAC Insured (Alternative Minimum Tax) (UB) 350 Missouri Environmental Improvement and Energy Resources No Opt. Call Aaa 391,594 Authority, Water Pollution Control Revenue Bonds, State Revolving Fund Program - Kansas City Project, Series 1997C, 6.750%, 1/01/12 ----------------------------------------------------------------------------------------------------------------------------------- 3,315 Total Water and Sewer 2,971,500 ----------------------------------------------------------------------------------------------------------------------------------- $ 42,455 Total Long-Term Investments (cost $42,633,735) - 138.4% 42,143,887 =============----------------------------------------------------------------------------------------------------------------------

50 Nuveen Investments

PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE ----------------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 10.5% (7.1% OF TOTAL INVESTMENTS) TAX OBLIGATION/LIMITED - 10.5% (7.1% OF TOTAL INVESTMENTS) $ 3,200 Kansas City, Missouri, Special Obligation Bonds, H. Roe Bartle 3/10 at 100.00 VMIG-1 $ 3,200,000 Convention Center Refunding, Variable Rate Demand Obligations, Series 2008F, 0.290%, 4/15/25 (6) =============---------------------------------------------------------------------------------------------------------------------- Total Short-Term Investments (cost $3,200,000) 3,200,000 ------------------------------------------------------------------------------------------------------------------- Total Investments (cost $45,833,735) - 148.9% 45,343,887 ------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (7.3)% (2,225,000) ------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 10.9% 3,340,101 ------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (52.5)% (7) (16,000,000) ------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 30,458,988 ===================================================================================================================

(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Investment, or portion of investment, has been pledged as collateral for inverse floating rate transactions. (6) Investment has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. (7) Preferred Shares, at Liquidation Value as a percentage of Total Investments is 35.3%. N/R Not rated. (ETM) Escrowed to maturity. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Footnote 1 - Inverse Floating Rate Securities for more information. See accompanying notes to financial statements. Nuveen Investments 51 STATEMENT OF ASSETS & LIABILITIES November 30, 2009 (Unaudited)

CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ---------------------------------------------------------------------------------------------------------------------------------- ASSETS Long-term investments, at value (cost $111,619,663, $55,060,770,$50,388,731 and $90,983,037, respectively) $ 112,398,319 $ 55,909,673 $ 51,511,118 $ 91,115,932 Short-term investments (at cost, which approximates value) -- -- -- -- Cash 3,755,532 2,423,388 1,095,695 3,607,676 Receivables: Interest 1,751,751 774,775 723,724 1,414,278 Investments sold -- -- -- -- Other assets 21,310 9,321 35,324 11,577 ---------------------------------------------------------------------------------------------------------------------------------- Total assets 117,926,912 59,117,157 53,365,861 96,149,463 ---------------------------------------------------------------------------------------------------------------------------------- LIABILITIES Floating rate obligations 7,965,000 3,820,000 3,460,000 5,780,000 Payables: Investments purchased -- -- -- -- Common share dividends 279,002 144,873 137,314 225,373 Preferred share dividends 1,620 1,295 1,159 343 Accrued expenses: Management fees 60,014 25,392 20,805 43,065 Other 46,089 26,468 24,695 38,423 ---------------------------------------------------------------------------------------------------------------------------------- Total liabilities 8,351,725 4,018,028 3,643,973 6,087,204 ---------------------------------------------------------------------------------------------------------------------------------- Preferred shares, at liquidation value 33,450,000 17,250,000 15,450,000 28,275,000 ---------------------------------------------------------------------------------------------------------------------------------- Net assets applicable to Common shares $ 76,125,187 $ 37,849,129 $ 34,271,888 $ 61,787,259 ================================================================================================================================== Common shares outstanding 5,365,029 2,582,456 2,318,061 4,365,873 ================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.19 $ 14.66 $ 14.78 $ 14.15 ================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: ---------------------------------------------------------------------------------------------------------------------------------- Common shares, $.01 par value per share $ 53,650 $ 25,825 $ 23,181 $ 43,659 Paid-in surplus 74,538,966 36,632,993 32,823,733 61,611,907 Undistributed (Over-distribution of) net investment income 818,117 390,965 366,894 501,058 Accumulated net realized gain (loss) from investments and derivative transactions (64,202) (49,557) (64,307) (502,260) Net unrealized appreciation (depreciation) of investments 778,656 848,903 1,122,387 132,895 ---------------------------------------------------------------------------------------------------------------------------------- Net assets applicable to Common shares $ 76,125,187 $ 37,849,129 $ 34,271,888 $ 61,787,259 ================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ==================================================================================================================================

52 Nuveen Investments

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ---------------------------------------------------------------------------------------------------------------------------------- ASSETS Long-term investments, at value (cost $101,305,784, $42,877,013,$58,513,727 and $42,633,735, respectively) $ 101,888,857 $ 42,639,179 $ 59,919,274 $ 42,143,887 Short-term investments (at cost, which approximates value) -- -- -- 3,200,000 Cash 1,156,699 409,739 850,104 2,771,088 Receivables: Interest 1,687,013 695,030 903,983 721,991 Investments sold 20,000 -- -- -- Other assets 18,156 7,799 33,119 13,185 ---------------------------------------------------------------------------------------------------------------------------------- Total assets 104,770,725 43,751,747 61,706,480 48,850,151 ---------------------------------------------------------------------------------------------------------------------------------- LIABILITIES Floating rate obligations 2,450,000 1,050,000 1,500,000 2,225,000 Payables: Investments purchased 375,000 375,000 -- -- Common share dividends 277,733 119,193 158,359 118,850 Preferred share dividends 1,648 1,070 1,538 775 Accrued expenses: Management fees 53,245 18,684 23,560 24,411 Other 47,699 23,037 30,106 22,127 ---------------------------------------------------------------------------------------------------------------------------------- Total liabilities 3,205,325 1,586,984 1,713,563 2,391,163 ---------------------------------------------------------------------------------------------------------------------------------- Preferred shares, at liquidation value 34,000,000 14,250,000 20,500,000 16,000,000 ---------------------------------------------------------------------------------------------------------------------------------- Net assets applicable to Common shares $ 67,565,400 $ 27,914,763 $ 39,492,917 $ 30,458,988 ================================================================================================================================== Common shares outstanding 4,764,710 1,962,662 2,724,766 2,312,156 ================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.18 $ 14.22 $ 14.49 $ 13.17 ================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: ---------------------------------------------------------------------------------------------------------------------------------- Common shares, $.01 par value per share $ 47,647 $ 19,627 $ 27,248 $ 23,122 Paid-in surplus 66,159,047 27,785,991 38,394,988 30,996,678 Undistributed (Over-distribution of) net investment income 795,098 287,593 351,040 293,595 Accumulated net realized gain (loss) from investments and derivative transactions (19,465) 59,386 (685,906) (364,559) Net unrealized appreciation (depreciation) of investments 583,073 (237,834) 1,405,547 (489,848) ---------------------------------------------------------------------------------------------------------------------------------- Net assets applicable to Common shares $ 67,565,400 $ 27,914,763 $ 39,492,917 $ 30,458,988 ================================================================================================================================== Authorized shares: Common Unlimited Unlimited Unlimited Unlimited Preferred Unlimited Unlimited Unlimited Unlimited ==================================================================================================================================

See accompanying notes to financial statements. Nuveen Investments 53 STATEMENT OF OPERATIONS Six Months Ended November 30, 2009 (Unaudited)

CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ---------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME $ 2,703,138 $ 1,364,154 $ 1,223,981 $ 2,108,352 ---------------------------------------------------------------------------------------------------------------------------------- EXPENSES Management fees 363,748 182,560 165,278 298,465 Preferred shares -- auction fees 25,182 12,979 11,627 21,315 Preferred shares -- dividend disbursing agent fees 5,011 5,011 5,011 5,011 Shareholders' servicing agent fees and expenses 4,420 668 580 576 Interest expense on floating rate obligations 33,121 15,739 14,273 23,206 Custodian's fees and expenses 13,134 8,342 7,942 11,382 Trustees' fees and expenses 1,201 609 557 997 Professional fees 6,999 5,488 5,347 6,386 Shareholders' reports -- printing and mailing expenses 16,414 8,793 8,371 12,763 Stock exchange listing fees 4,622 183 164 309 Investor relations expense 4,445 2,159 1,987 3,530 Other expenses 9,484 8,531 8,414 9,103 ---------------------------------------------------------------------------------------------------------------------------------- Total expenses before custodian fee credit and expense reimbursement 487,781 251,062 229,551 393,043 Custodian fee credit (165) (76) (48) (253) Expense reimbursement -- (28,373) (38,530) (61,654) ---------------------------------------------------------------------------------------------------------------------------------- Net expenses 487,616 222,613 190,973 331,136 ---------------------------------------------------------------------------------------------------------------------------------- Net investment income 2,215,522 1,141,541 1,033,008 1,777,216 ---------------------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from investments 15,426 (2,611) 118 620 Change in net unrealized appreciation (depreciation) of investments 2,849,410 1,302,558 1,009,685 2,232,417 ---------------------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) 2,864,836 1,299,947 1,009,803 2,233,037 ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (77,501) (40,969) (36,618) (65,990) ---------------------------------------------------------------------------------------------------------------------------------- Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (77,501) (40,969) (36,618) (65,990) ---------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets applicable to Common shares from operations $ 5,002,857 $ 2,400,519 $ 2,006,193 $ 3,944,263 ==================================================================================================================================

54 Nuveen Investments

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ---------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME $ 2,581,155 $ 1,070,573 $ 1,425,584 $ 1,148,015 ---------------------------------------------------------------------------------------------------------------------------------- EXPENSES Management fees 320,324 133,732 190,466 147,226 Preferred shares -- auction fees 25,571 10,716 15,418 12,032 Preferred shares -- dividend disbursing agent fees 5,011 5,011 5,011 5,011 Shareholders' servicing agent fees and expenses 2,615 275 273 1,705 Interest expense on floating rate obligations 8,530 3,656 5,223 5,664 Custodian's fees and expenses 12,197 7,037 7,376 6,778 Trustees' fees and expenses 1,153 490 678 537 Professional fees 6,589 5,137 5,663 5,198 Shareholders' reports -- printing and mailing expenses 16,442 7,501 9,800 9,399 Stock exchange listing fees 4,622 139 192 163 Investor relations expense 4,152 1,742 2,403 2,002 Other expenses 9,229 8,236 8,330 8,225 ---------------------------------------------------------------------------------------------------------------------------------- Total expenses before custodian fee credit and expense reimbursement 416,435 183,672 250,833 203,940 Custodian fee credit (75) (34) (31) (82) Expense reimbursement -- (20,784) (47,363) -- ---------------------------------------------------------------------------------------------------------------------------------- Net expenses 416,360 162,854 203,439 203,858 ---------------------------------------------------------------------------------------------------------------------------------- Net investment income 2,164,795 907,719 1,222,145 944,157 ---------------------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from investments 1,400 776 -- 86 Change in net unrealized appreciation (depreciation) of investments 3,944,146 1,221,674 1,508,983 1,554,622 ---------------------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) 3,945,546 1,222,450 1,508,983 1,554,708 ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (78,750) (33,825) (48,546) (37,029) ---------------------------------------------------------------------------------------------------------------------------------- Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (78,750) (33,825) (48,546) (37,029) ---------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets applicable to Common shares from operations $ 6,031,591 $ 2,096,344 $ 2,682,582 $ 2,461,836 ==================================================================================================================================

See accompanying notes to financial statements. Nuveen Investments 55 STATEMENT OF CHANGES IN NET ASSETS (Unaudited)

CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK) ------------------------- -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/09 5/31/09 11/30/09 5/31/09 11/30/09 5/31/09 ------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 2,215,522 $ 4,513,886 $ 1,141,541 $ 2,342,463 $ 1,033,008 $ 2,107,759 Net realized gain (loss) from: Investments 15,426 (65,422) (2,611) (52,277) 118 (53,947) Forward swaps -- -- -- -- -- -- Futures -- -- -- -- -- -- Change in net unrealized appreciation (depreciation) of: Investments 2,849,410 (3,446,470) 1,302,558 (1,392,610) 1,009,685 (903,421) Forward swaps -- -- -- -- -- -- Distributions to Preferred shareholders: From net investment income (77,501) (772,216) (40,969) (377,309) (36,618) (335,215) From accumulated net realized gains -- (147,930) -- (97,695) -- (99,314) ------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 5,002,857 81,848 2,400,519 422,572 2,006,193 715,862 ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,794,372) (3,221,068) (906,134) (1,722,367) (841,292) (1,538,392) From accumulated net realized gains -- (400,689) -- (273,291) -- (288,702) ------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,794,372) (3,621,757) (906,134) (1,995,658) (841,292) (1,827,094) ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions 15,348 -- 26,009 28,119 15,077 15,125 ------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions 15,348 -- 26,009 28,119 15,077 15,125 ------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 3,223,833 (3,539,909) 1,520,394 (1,544,967) 1,179,978 (1,096,107) Net assets applicable to Common shares at the beginning of period 72,901,354 76,441,263 36,328,735 37,873,702 33,091,910 34,188,017 ------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $76,125,187 $72,901,354 $ 37,849,129 $36,328,735 $34,271,888 $33,091,910 ============================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 818,117 $ 474,468 $ 390,965 $ 196,527 $ 366,894 $ 211,796 ==============================================================================================================================

56 Nuveen Investments

CONNECTICUT MASSACHUSETTS MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) PREMIUM INCOME(NMT) DIVIDEND ADVANTAGE(NMB) ---------------------------- -------------------------- --------------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/09 5/31/09 11/30/09 5/31/09 11/30/09 5/31/09 ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 1,777,216 $ 3,669,187 $ 2,164,795 $ 4,318,144 $ 907,719 $ 1,871,615 Net realized gain (loss) from: Investments 620 (124,826) 1,400 136,221 776 29,163 Forward swaps -- -- -- 101,206 -- 62,818 Futures -- -- -- (44,426) -- (13,669) Change in net unrealized appreciation (depreciation) of: Investments 2,232,417 (2,451,332) 3,944,146 (4,755,329) 1,221,674 (1,831,289) Forward swaps -- -- -- (92,080) -- (57,153) Distributions to Preferred shareholders: From net investment income (65,990) (720,819) (78,750) (717,206) (33,825) (334,450) From accumulated net realized gains -- -- -- (80,090) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 3,944,263 372,210 6,031,591 (1,133,560) 2,096,344 (272,965) ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (1,401,445) (2,604,243) (1,786,767) (3,084,501) (724,116) (1,359,879) From accumulated net realized gains -- -- -- (197,208) -- -- ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (1,401,445) (2,604,243) (1,786,767) (3,281,709) (724,116) (1,359,879) ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions -- -- -- 15,479 12,550 27,520 ------------------------------------------------------------------------------------------------------------------------------------ Net increase in net assets applicable to Common shares from capital share transactions -- -- -- 15,479 12,550 27,520 ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares 2,542,818 (2,232,033) 4,244,824 (4,399,790) 1,384,778 (1,605,324) Net assets applicable to Common shares at the beginning of period 59,244,441 61,476,474 63,320,576 67,720,366 26,529,985 28,135,309 ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $ 61,787,259 $ 59,244,441 $67,565,400 $63,320,576 $27,914,763 $26,529,985 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 501,058 $ 191,277 $ 795,098 $ 495,820 $ 287,593 $ 137,815 ====================================================================================================================================

See accompanying notes to financial statements. Nuveen Investments 57 STATEMENT OF CHANGES IN NET ASSETS (Unaudited) (continued)

INSURED MASSACHUSETTS MISSOURI TAX-FREE ADVANTAGE (NGX) PREMIUM INCOME (NOM) -------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED 11/30/09 5/31/09 11/30/09 5/31/09 ----------------------------------------------------------------------------------------------------------------------- OPERATIONS Net investment income $ 1,222,145 $ 2,473,655 $ 944,157 $ 1,972,280 Net realized gain (loss) from: Investments -- (175,187) 86 (348,183) Forward swaps -- -- -- -- Futures -- -- -- -- Change in net unrealized appreciation (depreciation) of: Investments 1,508,983 (1,160,172) 1,554,622 (2,238,845) Forward swaps -- -- -- -- Distributions to Preferred shareholders: From net investment income (48,546) (465,067) (37,029) (360,699) From accumulated net realized gains -- -- -- -- ----------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets applicable to Common shares from operations 2,682,582 673,229 2,461,836 (975,447) ----------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (952,213) (1,808,499) (766,172) (1,509,479) From accumulated net realized gains -- -- -- -- ----------------------------------------------------------------------------------------------------------------------- Decrease in net assets applicable to Common shares from distributions to Common shareholders (952,213) (1,808,499) (766,172) (1,509,479) ----------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Net proceeds from Common shares issued to shareholders due to reinvestment of distributions 8,071 16,315 29,469 48,910 ----------------------------------------------------------------------------------------------------------------------- Net increase in net assets applicable to Common shares from capital share transactions 8,071 16,315 29,469 48,910 ----------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets applicable to Common shares 1,738,440 (1,118,955) 1,725,133 (2,436,016) Net assets applicable to Common shares at the beginning of period 37,754,477 38,873,432 28,733,855 31,169,871 ----------------------------------------------------------------------------------------------------------------------- Net assets applicable to Common shares at the end of period $39,492,917 $37,754,477 $30,458,988 $28,733,855 ======================================================================================================================= Undistributed (Over-distribution of) net investment income at the end of period $ 351,040 $ 129,654 $ 293,595 $ 152,639 =======================================================================================================================

See accompanying notes to financial statements. 58 Nuveen Investments STATEMENT OF CASH FLOWS Six Months ended November 30, 2009 (Unaudited)

CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 (NTC) (NFC) (NGK) ------------------------------------------------------------------------------------------------------------ CASH FLOWS FROM OPERATING ACTIVITIES: NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHARES FROM OPERATIONS $ 5,002,857 $ 2,400,519 $ 2,006,193 Adjustments to reconcile the net increase (decrease) in net assets applicable to Common shares from operations to net cash provided by (used in) operating activities: Purchases of investments (1,571,555) -- -- Proceeds from sales and maturities of investments 1,700,450 872,500 5,000 Amortization (Accretion) of premiums and discounts, net 120,664 60,437 50,350 (Increase) Decrease in receivable for interest 7,423 18,393 4,226 (Increase) Decrease in receivable for investments sold 185,000 90,000 -- (Increase) Decrease in other assets (3,213) 3,577 (5,453) Increase (Decrease) in payable for Preferred shares noticed for redemption, at liquidation value (1,525,000) (750,000) (675,000) Increase (Decrease) in payable for Preferred share dividends 134 (134) 164 Increase (Decrease) in accrued management fees 558 66 (1) Increase (Decrease) in accrued other liabilities 9,505 4,471 3,381 Net realized (gain) loss from investments (15,426) 2,611 (118) Change in net unrealized (appreciation) depreciation of investments (2,849,410) (1,302,558) (1,009,685) Taxes paid on undistributed capital gains (1,032) (530) -- ------------------------------------------------------------------------------------------------------------ Net cash provided by (used in) operating activities 1,060,955 1,399,352 379,057 ------------------------------------------------------------------------------------------------------------ CASH FLOWS FROM FINANCING ACTIVITIES: Cash distributions paid to Common shareholders (1,756,870) (872,229) (819,573) ------------------------------------------------------------------------------------------------------------ Net cash provided by (used in) financing activities (1,756,870) (872,229) (819,573) ------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN CASH (695,915) 527,123 (440,516) Cash at beginning of period 4,451,447 1,896,265 1,536,211 ------------------------------------------------------------------------------------------------------------ CASH AT END OF PERIOD $ 3,755,532 $ 2,423,388 $ 1,095,695 ============================================================================================================

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION Non-cash financing activities not included herein consist of reinvestments of Common share distributions of $15,348, $26,009 and $15,077, for Connecticut Premium Income (NTC), Connecticut Dividend Advantage (NFC) and Connecticut Dividend Advantage 2 (NGK), respectively. Cash paid for interest was $33,121, $15,739 and $14,273, for Connecticut Premium Income (NTC), Connecticut Dividend Advantage (NFC) and Connecticut Dividend Advantage 2 (NGK), respectively. See accompanying notes to financial statements. Nuveen Investments 59 NOTES TO FINANCIAL STATEMENTS(Unaudited) 1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES The state funds covered in this report and their corresponding Common share stock exchange symbols are Nuveen Connecticut Premium Income Municipal Fund (NTC), Nuveen Connecticut Dividend Advantage Municipal Fund (NFC), Nuveen Connecticut Dividend Advantage Municipal Fund 2 (NGK), Nuveen Connecticut Dividend Advantage Municipal Fund 3 (NGO), Nuveen Massachusetts Premium Income Municipal Fund (NMT), Nuveen Massachusetts Dividend Advantage Municipal Fund (NMB), Nuveen Insured Massachusetts Tax-Free Advantage Municipal Fund (NGX) and Nuveen Missouri Premium Income Municipal Fund (NOM) (collectively, the "Funds"). Common shares of Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) are traded on the New York Stock Exchange (NYSE) while Common shares of Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB), Insured Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM) are traded on the NYSE Amex. The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies. Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes, and in the case of Insured Massachusetts Tax-Free Advantage (NGX) the alternative minimum tax applicable to individuals, by investing primarily in a portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories. In June 2009, the Financial Accounting Standards Board (FASB) established the FASB Accounting Standards Codification(TM) (the "Codification") as the single source of authoritative accounting principles recognized by the FASB in the preparation of financial statements in conformity with generally accepted accounting principles (GAAP). The Codification supersedes existing non-grandfathered, non-SEC accounting and reporting standards. The Codification did not change GAAP but rather organized it into a hierarchy where all guidance within the Codification carries an equal level of authority. The Codification became effective for financial statements issued for interim and annual periods ending after September 15, 2009. The Codification did not have a material effect on the Funds' financial statements. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with US generally accepted accounting principles. INVESTMENT 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. Prices of forward swap contracts are also provided by an independent pricing service approved by each Fund's Board of Trustees. Futures contracts are valued using the closing settlement price, or, in the absence of such a price, at the mean of the bid and asked prices. When market price quotes are not readily available (which is usually the case for municipal securities), the pricing service or, in the absence of a pricing service for a particular investment or derivative instrument, the Board of Trustees of the Fund, or its designee, may establish fair value using a wide variety of market data including yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. Temporary investments in securities that have variable rate and demand features qualifying them as short-term investments are valued at amortized cost, which approximates value. INVESTMENT TRANSACTIONS Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At November 30, 2009, Massachusetts Premium Income (NMT) and Massachusetts Dividend Advantage (NMB) each had outstanding when-issued/delayed delivery purchase commitments of $375,000. 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. Investment income also includes paydown gains and losses, if any. 60 Nuveen Investments INCOME TAXES Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, each Fund intends to satisfy conditions 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. Net realized capital gains and ordinary income distributions paid by the Funds are subject to federal taxation. For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. DIVIDENDS AND DISTRIBUTIONS TO COMMON SHAREHOLDERS Dividends from tax-exempt net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards. Distributions to Common shareholders of tax-exempt net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from US generally accepted accounting principles. PREFERRED SHARES The Funds have issued and outstanding Preferred shares, $25,000 stated value per share, as a means of effecting financial leverage. Each Fund's Preferred shares are issued in one Series. The dividend rate paid by the Funds on each Series is determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and is payable at the end of each rate period. As of November 30, 2009, 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 -- 690 -- -- Series W -- -- 618 -- Series TH 1,338 -- -- -- Series F -- -- -- 1,131 ========================================================================================================

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------------------------------- Number of shares: Series T -- 570 -- -- Series W -- -- 820 -- Series TH 1,360 -- -- 640 Series F -- -- -- -- ========================================================================================================

Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the Preferred shares issued by the Funds than there were offers to buy. This meant that these auctions "failed to clear," and that many, or all, Preferred shareholders who wanted to sell their shares in these auctions were unable to do so. Preferred shareholders unable to sell their shares received distributions at the "maximum rate" applicable to failed auctions as calculated in accordance with the pre-established terms of the Preferred shares. These developments have generally not affected the portfolio management or investment policies of the Funds. However, one continuing implication of these auction failures for Common shareholders is that the Funds' cost of leverage likely has been incrementally higher at times than it otherwise would have been had the auctions continued to be successful. As a result, the Funds' future Common share earnings may likely have been lower than they otherwise might have been. As of November 30, 2009, the aggregate amount of outstanding Preferred shares redeemed by each Fund is as follows: Nuveen Investments 61 NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued)

CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ---------------------------------------------------------------------------------------------------------------------------- Preferred shares redeemed, at liquidation value $4,850,000 $2,250,000 $2,050,000 $3,725,000 ============================================================================================================================

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ---------------------------------------------------------------------------------------------------------------------------- Preferred shares redeemed, at liquidation value $-- $750,000 $-- $-- ============================================================================================================================

INSURANCE Under normal circumstances, Insured Massachusetts Tax-Free Advantage (NGX) invests at least 80% of its net assets (as defined in Footnote 7 -Management Fees and Other Transactions with Affiliates) in municipal securities that are covered by insurance guaranteeing the timely payment of principal and interest. For purposes of this 80% test, insurers must have a claims paying ability rated at least "A" at the time of purchase by at least one independent rating agency. In addition, the Fund invests at least 80% of its net assets in municipal securities that are rated at least "AA" at the time of purchase (based on the higher of the rating of the insurer, if any, or the underlying security) by at least one independent rating agency, or are unrated but judged to be of similar credit quality by Nuveen Asset Management (the "Adviser"), a wholly-owned subsidiary of Nuveen Investments, Inc. ("Nuveen"), or are backed by an escrow or trust account containing sufficient U.S. Government or U.S. Government agency securities or U.S. Treasury-issued State and Local Government Series (SLGS) securities to ensure timely payment of principal and interest. Inverse floating rate securities whose underlying bonds are covered by insurance are included for purposes of the 80% test. The Fund may also invest up to 20% of its net assets in municipal securities rated below "AA" but at least "BBB" (based on the higher rating of the insurer, if any, or the underlying bond) or are 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, in contrast, 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 include value, if any, attributable to the Portfolio Insurance. Each policy of the Portfolio Insurance does, however, give the Fund the right to obtain permanent insurance with respect to the municipal security covered by the Portfolio Insurance policy at the time of its sale. INVERSE FLOATING RATE SECURITIES Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. In turn, this trust (a) issues floating rate certificates, in face amounts equal to some fraction of the deposited bond's par amount or market value, that typically pay short-term tax-exempt interest rates to third parties, and (b) issues to a long-term investor (such as one of the Funds) an inverse floating rate certificate (sometimes referred to as an "inverse floater") that represents all remaining or residual interest in the trust. The income received by the inverse floater holder varies inversely with the short-term rate paid to the floating rate certificates' holders, and in most circumstances the inverse floater holder bears substantially all of the underlying bond's downside investment risk and also benefits disproportionately from any potential appreciation of the underlying bond's value. The price of an inverse floating rate security will be more volatile than that of the underlying bond because the interest rate is dependent on not only the fixed coupon rate of the underlying bond but also on the short-term interest paid on the floating rate certificates, and because the inverse floating rate security essentially bears the risk of loss of the greater face value of the underlying bond. A Fund may purchase an inverse floating rate security in a secondary market transaction without first owning the underlying bond (referred to as an "externally-deposited inverse floater"), or instead by first selling a fixed-rate bond to a broker-dealer for deposit into the special purpose trust and receiving in turn the residual interest in the trust (referred to as a "self-deposited inverse floater"). The inverse floater held by a Fund gives the Fund the right (a) to cause the holders of the floating rate certificates to tender their notes at par, and (b) to have the broker transfer the fixed-rate bond held by the trust to the Fund, thereby collapsing the trust. An investment in an externally-deposited inverse floater is identified in the Portfolio of Investments as "(IF) - Inverse floating rate investment." An investment in a self-deposited inverse floater is accounted for as a financing transaction. In such instances, a fixed-rate bond deposited into a special purpose trust is identified in the Portfolio of Investments as "(UB) - Underlying bond of an inverse floating rate trust reflected as a financing transaction," with the Fund accounting for the short-term floating rate certificates issued by the trust as "Floating rate obligations" on the Statement of Assets and Liabilities. In addition, the Fund reflects in "Investment Income" the entire earnings of the underlying bond and the related interest paid to the holders of the short-term floating rate certificates is recognized as "Interest expense on floating rate obligations" on the Statement of Operations. 62 Nuveen Investments During the six months ended November 30, 2009, each Fund invested in externally-deposited inverse floaters and/or self-deposited inverse floaters. Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a "recourse trust" or "credit recovery swap") (such agreements referred to herein as "Recourse Trusts") with a broker-dealer by which a Fund agrees to reimburse the broker-dealer, in certain circumstances, for the difference between the liquidation value of the fixed-rate bond held by the trust and the liquidation value of the floating rate certificates issued by the trust plus any shortfalls in interest cash flows. Under these agreements, a Fund's potential exposure to losses related to or on inverse floaters may increase beyond the value of a Fund's inverse floater investments as a Fund may potentially be liable to fulfill all amounts owed to holders of the floating rate certificates. At period end, any such shortfall is included as "Unrealized depreciation on Recourse Trusts" on the Statement of Assets and Liabilities. At November 30, 2009, the Funds were not invested in externally-deposited Recourse Trusts.

CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ---------------------------------------------------------------------------------------------------------------------------- Maximum exposure to Recourse Trusts $-- $-- $-- $-- ============================================================================================================================

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ---------------------------------------------------------------------------------------------------------------------------- Maximum exposure to Recourse Trusts $-- $-- $-- $-- ============================================================================================================================

The average floating rate obligations outstanding and average annual interest rate and fees related to self-deposited inverse floaters during the six months ended November 30, 2009, were as follows:

CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ---------------------------------------------------------------------------------------------------------------------------- Average floating rate obligations outstanding $7,965,000 $3,820,000 $3,460,000 $5,780,000 Average annual interest rate and fees 0.83% 0.82% 0.82% 0.80% ============================================================================================================================

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ---------------------------------------------------------------------------------------------------------------------------- Average floating rate obligations outstanding $2,450,000 $1,050,000 $1,500,000 $2,225,000 Average annual interest rate and fees 0.69% 0.69% 0.69% 0.51% ============================================================================================================================

FORWARD SWAP CONTRACTS Each Fund is authorized to enter into forward interest rate swap contracts consistent with their investment objectives and policies to reduce, increase or otherwise alter its risk profile or to alter its portfolio characteristics (i.e. duration, yield curve positioning and credit quality). Each Fund is subject to interest rate risk in the normal course of pursuing its investment objectives. Each Fund's use of forward interest rate swap transactions is intended to help the Fund manage its overall interest rate sensitivity, either shorter or longer, generally to more closely align the Fund's interest rate sensitivity with that of the broader municipal market. Forward interest rate swap transactions involve each Fund's agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the "effective date"). The amount of the payment obligation is based on the notional amount of the swap contract and the termination date of the swap (which is akin to a bond's maturity). The value of the Fund's swap commitment would increase or decrease based primarily on the extent to which long-term interest rates for bonds having a maturity of the swap's termination date increases or decreases. Forward interest rate swap contracts are valued daily. The net amount recorded on these transactions for each counterparty is recognized on the Statement of Assets and Liabilities as "Unrealized appreciation or depreciation on forward swaps" with the change during the fiscal period recognized on the Statement of Operations as "Change in net unrealized appreciation (depreciation) of forward swaps." The Funds may terminate a swap contract prior to the effective date, at which point a realized gain or loss is recognized. When a forward swap is terminated, it ordinarily does not involve the delivery of securities or other underlying assets or principal, but rather is settled in cash on a net basis. Net realized gains and losses during the fiscal period are recognized on the Statement of Operations as "Net realized gain (loss) from forward swaps." Each Fund intends, but is not obligated, to terminate its forward swaps before the effective date. Accordingly, the risk of loss with respect to the swap Nuveen Investments 63 NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) counterparty on such transactions is limited to the credit risk associated with a counterparty failing to honor its commitment to pay any realized gain to the Fund upon termination. The Funds did not invest in forward interest rate swap transactions during the six months ended November 30, 2009. FUTURE CONTRACTS Each Fund is subject to interest rate risk in the normal course of pursuing its investment objectives and is authorized to invest in futures contracts in attempt to manage such risk. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized as "Deposits with brokers for open futures contracts" on the Statement of Assets and Liabilities. Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. Variation margin is recognized as a receivable or payable for "Variation margin on futures contracts" on the Statement of Assets and Liabilities, when applicable. During the period the futures contract is open, changes in the value of the contract are recorded as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect the changes in market value of the contract and is recognized as "Change in net unrealized appreciation (depreciation) of futures contracts" on the Statement of Operations. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into and is recognized as "Net realized gain (loss) from futures contracts" on the Statement of Operations. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices. The Funds did not invest in futures contracts during the six months ended November 30, 2009. MARKET AND COUNTERPARTY CREDIT RISK In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions. The extent of each Fund's exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities. Futures contracts expose a Fund to minimal counterparty credit risk as they are exchange traded and the exchange's clearinghouse, which is counterparty to all exchange traded futures, guarantees the futures contracts against default. Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the predetermined threshold amount. ZERO COUPON SECURITIES Each Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. Such securities are included in the Portfolios of Investments with a 0.000% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically. CUSTODIAN FEE CREDIT Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank. 64 Nuveen Investments INDEMNIFICATIONS Under the Funds' organizational documents, their Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. USE OF ESTIMATES The preparation of financial statements in conformity with US 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. FAIR VALUE MEASUREMENTS In determining the value of each Fund's investments various inputs are used. These inputs are summarized in the three broad levels listed below: Level 1 - Quoted prices in active markets for identical securities. Level 2 - Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 - Significant unobservable inputs (including management's assumptions in determining the fair value of investments). The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of each Fund's fair value measurements as of November 30, 2009:

CONNECTICUT PREMIUM INCOME (NTC) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------------------------------------- Investments: Municipal Bonds $ -- $112,398,319 $ -- $112,398,319 =================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE (NFC) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------------------------------------- Investments: Municipal Bonds $ -- $ 55,909,673 $ -- $ 55,909,673 =================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------------------------------------- Investments: Municipal Bonds $ -- $ 51,511,118 $ -- $ 51,511,118 =================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------------------------------------- Investments: Municipal Bonds $ -- $ 91,115,932 $ -- $ 91,115,932 =================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------------------------------------- Investments: Municipal Bonds $ -- $101,436,247 $ 452,610 $101,888,857 =================================================================================================== MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------------------------------------- Investments: Municipal Bonds $ -- $ 41,733,959 $ 905,220 $ 42,639,179 =================================================================================================== INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------------------------------------- Investments: Municipal Bonds $ -- $ 59,919,274 $ -- $ 59,919,274 =================================================================================================== MISSOURI PREMIUM INCOME (NOM) LEVEL 1 LEVEL 2 LEVEL 3 TOTAL --------------------------------------------------------------------------------------------------- Investments: Municipal Bonds $ -- $ 42,143,887 $ -- $ 42,143,887 Short-Term Investments -- 3,200,000 -- 3,200,000 --------------------------------------------------------------------------------------------------- Total $ -- $ 45,343,887 $ -- $ 45,343,887 ===================================================================================================

Nuveen Investments 65 NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) The following is a reconciliation of the following Fund's Level 3 investments held at the beginning and end of the measurement period:

MASSACHUSETTS MASSACHUSETTS PREMIUM DIVIDEND INCOME ADVANTAGE (NMT) (NMB) LEVEL 3 LEVEL 3 INVESTMENTS INVESTMENTS -------------------------------------------------------------------------------------------- Balance at beginning of period $ 457,505 $ 915,010 Gains (losses): Net realized gains (losses) -- -- Net change in unrealized appreciation (depreciation) (4,895) (9,790) Net purchases at cost (sales at proceeds) -- -- Net discounts (premiums) -- -- Net transfers in to (out of) at end of period fair value -- -- -------------------------------------------------------------------------------------------- Balance at end of period $ 452,610 $ 905,220 ============================================================================================

"Change in net unrealized appreciation (depreciation) of investments" on the Statement of Operations includes net unrealized appreciation (depreciation) related to securities classified as Level 3 at period end as follows:

MASSACHUSETTS MASSACHUSETTS PREMIUM DIVIDEND INCOME ADVANTAGE (NMT) (NMB) -------------------------------------------------------------------------------------------- Level 3 net unrealized appreciation (depreciation) $(4,895) $(9,790) ============================================================================================

3. DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES The Funds record derivative instruments at fair value with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds' investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for financial reporting purposes. The Funds did not invest in derivative instruments during the six months ended November 30, 2009. 4. FUND SHARES COMMON SHARES Since the inception of the Funds' repurchase program, the Funds have not repurchased any of their outstanding Common shares. Transactions in Common shares were as follows:

CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM INCOME (NTC) DIVIDEND ADVANTAGE (NFC) DIVIDEND ADVANTAGE 2 (NGK) ---------------------- ------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/09 5/31/09 11/30/09 5/31/09 11/30/09 5/31/09 ------------------------------------------------------------------------------------------------------------------------ Common shares issued to shareholders due to reinvestment of distributions 1,053 -- 1,802 1,966 1,031 1,051 ========================================================================================================================

CONNECTICUT MASSACHUSETTS MASSACHUSETTS DIVIDEND ADVANTAGE 3 (NGO) PREMIUM INCOME (NMT) DIVIDEND ADVANTAGE (NMB) -------------------------- ------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED ENDED ENDED 11/30/09 5/31/09 11/30/09 5/31/09 11/30/09 5/31/09 ------------------------------------------------------------------------------------------------------------------------ Common shares issued to shareholders due to reinvestment of distributions -- -- -- 1,224 907 2,066 ========================================================================================================================

INSURED MASSACHUSETTS MISSOURI TAX-FREE ADVANTAGE (NGX) PREMIUM INCOME (NOM) ------------------------- -------------------------- SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED 11/30/09 5/31/09 11/30/09 5/31/09 ------------------------------------------------------------------------------------------------------------------------ Common shares issued to shareholders due to reinvestment of distributions 575 1,233 2,294 3,842 ========================================================================================================================

66 Nuveen Investments PREFERRED SHARES Transactions in Preferred shares were as follows:

CONNECTICUT PREMIUM INCOME (NTC) CONNECTICUT DIVIDEND ADVANTAGE (NFC) ------------------------------------------ ---------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED 11/30/09 5/31/09 11/30/09 5/31/09 --------------------------------------------------------------------------------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ---------------------------------------------------------------------------------------------------------------------------------- Preferred shares redeemed and/or noticed for redemption: Series T -- $ -- -- $ -- -- $ -- 90 $2,250,000 Series TH -- -- 194 4,850,000 -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Total -- $ -- 194 $4,850,000 -- $ -- 90 $2,250,000 ==================================================================================================================================

CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) ------------------------------------------ ---------------------------------------- SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED 11/30/09 5/31/09 11/30/09 5/31/09 --------------------------------------------------------------------------------------- SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT SHARES AMOUNT ---------------------------------------------------------------------------------------------------------------------------------- Preferred shares redeemed and/or noticed for redemption: Series W -- $ -- 82 $2,050,000 -- $ -- -- $ -- Series F -- -- -- -- -- -- 149 3,725,000 ---------------------------------------------------------------------------------------------------------------------------------- Total -- $ -- 82 $2,050,000 -- $ -- 149 $3,725,000 ==================================================================================================================================

MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ---------------------------------------- SIX MONTHS ENDED YEAR ENDED 11/30/09 5/31/09 ---------------------------------------- SHARES AMOUNT SHARES AMOUNT ---------------------------------------------------------------------------------------------------------------------------------- Preferred shares redeemed and/or noticed for redemption: Series T -- $ -- 30 $ 750,000 ==================================================================================================================================

During the six months ended November 30, 2009 and the fiscal year ended May 31, 2009, Massachusetts Premium Income (NMT), Insured Massachusetts Tax-Free Advantage (NGX) and Missouri Premium Income (NOM) did not have any transactions in their Preferred shares. 5. INVESTMENT TRANSACTIONS Purchases and sales (including maturities but excluding short-term investments) during the six months ended November 30, 2009, were as follows:

CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) --------------------------------------------------------------------------------------------------------------- Purchases $1,571,555 $ -- $ -- $2,714,665 Sales and maturities 1,700,450 872,500 5,000 768,750 ===============================================================================================================

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) --------------------------------------------------------------------------------------------------------------- Purchases $1,390,380 $1,873,120 $ -- $ -- Sales and maturities 466,675 1,473,675 5,000 1,235,000 ===============================================================================================================

Nuveen Investments 67 NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) 6. INCOME TAX INFORMATION The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate securities reflected as financing transactions, if any. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds. At November 30, 2009, the cost of investments was as follows:

CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ---------------------------------------------------------------------------------------------------------------- Cost of investments $103,718,066 $51,247,444 $46,938,810 $85,244,127 ================================================================================================================

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ---------------------------------------------------------------------------------------------------------------- Cost of investments $98,763,741 $41,784,936 $57,010,814 $43,587,978 ================================================================================================================

Gross unrealized appreciation and gross unrealized depreciation of investments at November 30, 2009, were as follows:

CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ---------------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $ 3,094,046 $ 1,892,336 $2,096,609 $ 2,496,223 Depreciation (2,377,136) (1,050,361) (984,352) (2,403,313) ---------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $ 716,910 $ 841,975 $1,112,257 $ 92,910 ================================================================================================================

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ---------------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $ 3,807,144 $ 1,010,024 $2,225,972 $ 1,357,493 Depreciation (3,136,560) (1,207,723) (820,287) (1,825,846) ---------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $ 670,584 $ (197,699) $1,405,685 $ (468,353) ================================================================================================================

68 Nuveen Investments The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at May 31, 2009, the Funds' last tax year end, were as follows:

CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) -------------------------------------------------------------------------------------------------------------------------------- Undistributed net tax-exempt income* $730,220 $305,680 $310,005 $374,587 Undistributed net ordinary income ** 1,415 3,618 -- 34 Undistributed net long-term capital gains 15,102 -- -- -- ================================================================================================================================

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------------------------------------------------------- Undistributed net tax-exempt income* $706,670 $219,824 $284,706 $259,908 Undistributed net ordinary income ** -- 69,105 -- -- Undistributed net long-term capital gains -- -- -- -- ================================================================================================================================

* Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on May 1, 2009, paid on June 1, 2009. ** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. The tax character of distributions paid during the Funds' last tax year ended May 31, 2009, 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 (NTC) (NFC) (NGK) (NGO) -------------------------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $3,972,803 $2,099,897 $1,866,508 $3,322,638 Distributions from net ordinary income ** 487,842 223,136 275,669 -- Distributions from net long-term capital gains 60,777 147,900 112,806 -- ================================================================================================================================

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) -------------------------------------------------------------------------------------------------------------------------------- Distributions from net tax-exempt income $3,759,696 $1,690,469 $2,271,085 $1,871,464 Distributions from net ordinary income ** 123,018 -- -- -- Distributions from net long-term capital gains 154,203 -- -- -- ================================================================================================================================

** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. At May 31, 2009, the Funds' last tax year end, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:

INSURED CONNECTICUT CONNECTICUT CONNECTICUT MASSACHUSETTS MISSOURI DIVIDEND DIVIDEND DIVIDEND TAX-FREE PREMIUM ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 ADVANTAGE INCOME (NFC) (NGK) (NGO) (NGX) (NOM) -------------------------------------------------------------------------------------------------------------------------------- Expiration: May 31, 2013 $ -- $ -- $ 35,642 $ 18,655 $ -- May 31, 2014 -- -- 111,331 427,135 -- May 31, 2015 -- -- 211,213 -- -- May 31, 2017 1,980 443 43,691 215,629 260,982 -------------------------------------------------------------------------------------------------------------------------------- Total $1,980 $443 $401,877 $661,419 $260,982 ================================================================================================================================

Nuveen Investments 69 NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) The following Funds have elected to defer net realized losses from investments incurred from November 1, 2008 through May 31, 2009, the Funds' last tax year end, ("post-October losses") in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the current fiscal year:

INSURED CONNECTICUT CONNECTICUT MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI DIVIDEND DIVIDEND PREMIUM DIVIDEND TAX-FREE PREMIUM ADVANTAGE 2 ADVANTAGE 3 INCOME ADVANTAGE ADVANTAGE INCOME (NGK) (NGO) (NMT) (NMB) (NGX) (NOM) ------------------------------------------------------------------------------------------------------------------------- Post-October capital losses $ 10,861 $ 15,027 $ 20,890 $ 10,497 $ 24,486 $103,662 =========================================================================================================================

7. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES Each Fund's management fee is separated into two components - a complex-level component, based on the aggregate amount of all fund assets managed by the Adviser, and a specific fund-level component, based only on the amount of assets within each individual Fund. This pricing structure enables Nuveen fund shareholders to benefit from growth in the assets within each individual fund as well as from growth in the amount of complex-wide assets managed by the Adviser. The annual fund-level fee, payable monthly, for each Fund is based upon the average daily net assets of each Fund as follows: CONNECTICUT PREMIUM INCOME (NTC) MASSACHUSETTS PREMIUM INCOME (NMT) MISSOURI PREMIUM INCOME (NOM) AVERAGE DAILY NET ASSETS(1) FUND-LEVEL FEE RATE -------------------------------------------------------------------------------- For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For the next $3 billion .3875 For net assets over $5 billion .3750 ================================================================================ CONNECTICUT DIVIDEND ADVANTAGE (NFC) CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) AVERAGE DAILY NET ASSETS(1) FUND-LEVEL FEE RATE -------------------------------------------------------------------------------- For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For net assets over $2 billion .3750 ================================================================================ The annual complex-level fee, payable monthly, which is additive to the fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the aggregate amount of total fund net assets managed as stated in the following table. As of November 30, 2009, the complex-level fee rate was .1896%. 70 Nuveen Investments The complex-level fee schedule is as follows: COMPLEX-LEVEL NET ASSET BREAKPOINT LEVEL(1) EFFECTIVE RATE AT BREAKPOINT LEVEL -------------------------------------------------------------------------------- $55 billion .2000% $56 billion .1996 $57 billion .1989 $60 billion .1961 $63 billion .1931 $66 billion .1900 $71 billion .1851 $76 billion .1806 $80 billion .1773 $91 billion .1691 $125 billion .1599 $200 billion .1505 $250 billion .1469 $300 billion .1445 ================================================================================ (1) The complex-level fee component of the management fee for the funds is calculated based upon the aggregate daily managed net assets of all Nuveen funds, with such daily managed net assets defined separately for each fund in its management agreement, but excluding assets attributable to investments in other Nuveen funds. For the complex-level and fund-level fee components, daily managed net assets include assets managed by the Adviser that are attributable to each fund's use of financial leverage. For these purposes, financial leverage includes the funds' use of preferred stock and borrowings and investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by the TOB trust that has been effectively financed by the trust's issuance of floating rate securities, subject to an agreement by the Adviser to limit the amount of such assets for determining managed net assets in certain circumstances. The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Funds pay no compensation directly to those of its Trustees who are affiliated with the Adviser or to its Officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds. For the first ten years of Connecticut Dividend Advantage's (NFC) and Massachusetts Dividend Advantage's (NMB) operations, the Adviser has agreed to reimburse the Funds, as a percentage of average daily net assets, for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING JANUARY 31, JANUARY 31, -------------------------------------------------------------------------------- 2001* .30% 2007 .25% 2002 .30 2008 .20 2003 .30 2009 .15 2004 .30 2010 .10 2005 .30 2011 .05 2006 .30 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage (NFC) and Massachusetts Dividend Advantage (NMB) for any portion of their fees and expenses beyond January 31, 2011. For the first ten years of Connecticut Dividend Advantage 2's (NGK) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets, for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING MARCH 31, MARCH 31, -------------------------------------------------------------------------------- 2002* .30% 2008 .25% 2003 .30 2009 .20 2004 .30 2010 .15 2005 .30 2011 .10 2006 .30 2012 .05 2007 .30 ================================================================================ * From the commencement of operations. Nuveen Investments 71 NOTES TO FINANCIAL STATEMENTS (Unaudited) (continued) The Adviser has not agreed to reimburse Connecticut Dividend Advantage 2 (NGK) for any portion of its fees and expenses beyond March 31, 2012. For the first eight years of Connecticut Dividend Advantage 3's (NGO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets, for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING SEPTEMBER 30, SEPTEMBER 30, -------------------------------------------------------------------------------- 2002* .32% 2007 .32% 2003 .32 2008 .24 2004 .32 2009 .16 2005 .32 2010 .08 2006 .32 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Connecticut Dividend Advantage 3 (NGO) for any portion of its fees and expenses beyond September 30, 2010. For the first eight years of Insured Massachusetts Tax-Free Advantage's (NGX) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets, for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING NOVEMBER 30, NOVEMBER 30, -------------------------------------------------------------------------------- 2002* .32% 2007 .32% 2003 .32 2008 .24 2004 .32 2009 .16 2005 .32 2010 .08 2006 .32 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse Insured Massachusetts Tax-Free Advantage (NGX) for any portion of its fees and expenses beyond November 30, 2010. 8. NEW ACCOUNTING STANDARDS ACCOUNTING FOR TRANSFERS OF FINANCIAL ASSETS During June 2009, the FASB issued changes to the authoritative guidance under GAAP on accounting for transfers of financial assets. The objective of this guidance is to improve the relevance, representational faithfulness, and comparability of the information that a reporting entity provides in its financial statements about a transfer of financial assets; the effects of a transfer on its financial position, financial performance, and cash flows; and a transferor's continuing involvement, if any, in transferred financial assets. This guidance is effective as of the beginning of each reporting entity's first annual reporting period that begins after November 15, 2009, for interim periods within that first annual reporting period and for interim and annual reporting periods thereafter. Earlier application is prohibited. The recognition and measurement provisions of this guidance must be applied to transfers occurring on or after the effective date. Additionally, the disclosure provisions of this guidance should be applied to transfers that occurred both before and after the effective date of this guidance. At this time, management is evaluating the implications of this guidance and the impact it will have on the financial statement amounts and disclosures, if any. 72 Nuveen Investments 9. SUBSEQUENT EVENTS DISTRIBUTIONS TO COMMON SHAREHOLDERS The Funds declared Common share dividend distributions from their tax-exempt net investment income which were paid on December 31, 2009, to shareholders of record on December 15, 2009, as follows:

CONNECTICUT CONNECTICUT CONNECTICUT CONNECTICUT PREMIUM DIVIDEND DIVIDEND DIVIDEND INCOME ADVANTAGE ADVANTAGE 2 ADVANTAGE 3 (NTC) (NFC) (NGK) (NGO) ---------------------------------------------------------------------------------------- Dividend per share $.0590 $.0640 $.0650 $.0600 ========================================================================================

INSURED MASSACHUSETTS MASSACHUSETTS MASSACHUSETTS MISSOURI PREMIUM DIVIDEND TAX-FREE PREMIUM INCOME ADVANTAGE ADVANTAGE INCOME (NMT) (NMB) (NGX) (NOM) ---------------------------------------------------------------------------------------- Dividend per share $.0650 $.0640 $.0630 $.0570 ========================================================================================

At the same time, the following Funds declared capital gains and/or ordinary income distributions as follows:

CONNECTICUT MASSACHUSETTS PREMIUM DIVIDEND INCOME ADVANTAGE (NTC) (NMB) ---------------------------------------------------------------------------------------- Capital gains distribution per share $.0041 $ -- Net ordinary income distribution per share* -- .0283 ========================================================================================

* Net ordinary income consists of net short-term capital gains. MUNIFUND TERM PREFERRED SHARES As discussed in the Portfolio Managers' Comments section, subsequent to the reporting period, Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT) successfully completed the issuance of $17.3 million and $17.575 million, respectively, of 2.65%, Series 2015 MuniFund Term Preferred. The newly-issued MuniFund Term Preferred shares trade on the New York Stock Exchange (NYSE) under the symbols "NTC Pr C" and "NMT Pr C" for Connecticut Premium Income (NTC) and Massachusetts Premium Income (NMT), respectively. Subsequent to the reporting period, Connecticut Dividend Advantage (NFC), Connecticut Dividend Advantage 2 (NGK), Connecticut Dividend Advantage 3 (NGO), Massachusetts Dividend Advantage (NMB) and Insured Massachusetts Tax-Free Advantage (NGX) filed with the SEC a registration statement seeking to register MuniFund Term Preferred shares. These registration statements, declared effective by the SEC, enable the Funds to issue to the public shares of MuniFund Term Preferred to refinance all or a portion of each Fund's auction rate preferred shares. The issuance of MuniFund Term Preferred shares by these Funds is subject to market conditions. There is no assurance that these MuniFund Term Preferred shares will be issued. EVALUATION DATE In May 2009, the FASB issued changes to authoritative guidance under GAAP for subsequent events. This guidance requires an entity to recognize in the financial statements the effects of all subsequent events that provide additional evidence about conditions that existed at the date of the balance sheet. This guidance is intended to establish general standards of accounting and for disclosure of events that occur after the balance sheet date but before financial statements are issued or are available to be issued. This guidance requires the disclosure of the date through which an entity has evaluated subsequent events and the basis for that date - that is, whether that date represents the date the financial statements were issued or were available to be issued. This guidance is effective for interim and annual periods ending after June 15, 2009. The Funds have performed an evaluation of subsequent events through January 25, 2010, which is the date the financial statements were issued. Nuveen Investments 73 FINANCIAL HIGHLIGHTS (Unaudited) Selected data for a Common share outstanding throughout each period:

INVESTMENT OPERATIONS LESS DISTRIBUTIONS -------------------------------------------------------------- ------------------------------ DISTRIBUTIONS DISTRIBUTIONS FROM NET FROM NET BEGINNING INVESTMENT CAPITAL INVESTMENT CAPITAL COMMON NET INCOME TO GAINS TO INCOME TO GAINS TO SHARE NET REALIZED/ PREFERRED PREFERRED COMMON COMMON NET ASSET INVESTMENT UNREALIZED SHARE- SHARE- SHARE- SHARE- VALUE INCOME GAIN (LOSS) HOLDERS+ HOLDERS+ TOTAL HOLDERS HOLDERS TOTAL ================================================================================================================================== CONNECTICUT PREMIUM INCOME (NTC) ---------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) $13.59 $.41 $ .53 $(.01) $ -- $ .93 $(.33) $ -- $(.33) 2009 14.25 .84 (.66) (.14) (.03) .01 (.60) (.07) (.67) 2008 14.39 .83 (.09) (.22) (.01) .51 (.62) (.03) (.65) 2007 14.42 .83 .07 (.20) (.01) .69 (.65) (.07) (.72) 2006 15.26 .84 (.54) (.14) (.03) .13 (.75) (.22) (.97) 2005 14.60 .88 .75 (.09) -- 1.54 (.87) (.01) (.88) CONNECTICUT DIVIDEND ADVANTAGE (NFC) ---------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 14.08 .44 .51 (.02) -- .93 (.35) -- (.35) 2009 14.69 .91 (.55) (.15) (.04) .17 (.67) (.11) (.78) 2008 14.76 .91 .01 (.24) (.02) .66 (.67) (.06) (.73) 2007 14.75 .92 .04 (.22) -- .74 (.73) -- (.73) 2006 15.39 .93 (.55) (.17) -- .21 (.85) -- (.85) 2005 14.56 .95 .86 (.09) -- 1.72 (.89) -- (.89) ==================================================================================================================================

PREFERRED SHARES AT END OF PERIOD ENDING ------------------------------------ COMMON AGGREGATE LIQUIDATION SHARE ENDING AMOUNT AND MARKET ASSET NET ASSET MARKET OUTSTANDING VALUE COVERAGE VALUE VALUE (000) PER SHARE PER SHARE ================================================================================ CONNECTICUT PREMIUM INCOME (NTC) -------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) $14.19 $13.83 $33,450 $25,000 $81,895 2009 13.59 13.35 34,975 25,000 77,110 2008 14.25 14.08 38,300 25,000 74,896 2007 14.39 14.91 38,300 25,000 75,360 2006 14.42 13.95 38,300 25,000 75,443 2005 15.26 15.81 38,300 25,000 78,217 CONNECTICUT DIVIDEND ADVANTAGE (NFC) -------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 14.66 14.35 17,250 25,000 79,854 2009 14.08 13.75 18,000 25,000 75,457 2008 14.69 14.93 19,500 25,000 73,556 2007 14.76 16.37 19,500 25,000 73,749 2006 14.75 16.26 19,500 25,000 73,596 2005 15.39 15.73 19,500 25,000 75,595 ================================================================================

74 Nuveen Investments

RATIOS/SUPPLEMENTAL DATA ---------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHARES TOTAL RETURNS BEFORE REIMBURSEMENT ------------------ ----------------------------------------- BASED ENDING ON NET BASED COMMON ASSETS ON SHARE NET APPLICABLE EXPENSES EXPENSES NET MARKET ASSET TO COMMON INCLUDING EXCLUDING INVESTMENT VALUE* VALUE* SHARES (000) INTEREST++(a) INTEREST++ INCOME++ ======================================================================================================== CONNECTICUT PREMIUM INCOME (NTC) -------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 6.15% 6.94% $76,125 1.30%*** 1.22%*** 5.93%*** 2009 .32 .45 72,901 1.43 1.32 6.40 2008 (1.08) 3.60 76,441 1.30 1.27 5.82 2007 12.33 4.79 77,151 1.24 1.24 5.67 2006 (6.00) .88 77,278 1.25 1.25 5.66 2005 15.61 10.82 81,529 1.24 1.24 5.81 CONNECTICUT DIVIDEND ADVANTAGE (NFC) -------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 6.93 6.67 37,849 1.35*** 1.26*** 5.98*** 2009 (2.10) 1.50 36,329 1.47 1.36 6.45 2008 (4.10) 4.62 37,874 1.33 1.31 5.90 2007 5.46 5.05 38,024 1.29 1.29 5.78 2006 8.79 1.38 37,905 1.29 1.29 5.70 2005 17.89 12.06 39,464 1.29 1.29 5.81 ========================================================================================================

RATIOS/SUPPLEMENTAL DATA --------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHARES AFTER REIMBURSEMENT** ----------------------------------------- EXPENSES EXPENSES NET PORTFOLIO INCLUDING EXCLUDING INVESTMENT TURNOVER INTEREST++(a) INTEREST++ INCOME++ RATE ================================================================================== CONNECTICUT PREMIUM INCOME (NTC) ---------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 1.30%*** 1.22%*** 5.93%*** 1% 2009 1.43 1.32 6.40 0 2008 1.30 1.27 5.82 22 2007 1.24 1.24 5.67 8 2006 1.25 1.25 5.66 16 2005 1.24 1.24 5.81 12 CONNECTICUT DIVIDEND ADVANTAGE (NFC) ---------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 1.20*** 1.11*** 6.13*** 0 2009 1.26 1.15 6.66 0 2008 1.05 1.03 6.18 20 2007 .94 .94 6.14 9 2006 .86 .86 6.12 14 2005 .84 .84 6.26 9 ==================================================================================

* Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After expense reimbursement from Adviser, where applicable. Expense ratios do not reflect the reduction of custodian fee credits earned on the Fund's net cash on deposit with the custodian bank, where applicable. *** Annualized. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Preferred shares. (a) The expense ratios in the above table reflect, among other things, the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, as described in Footnote 1 - Inverse Floating Rate Securities. (b) For the six months ended November 30, 2009. See accompanying notes to financial statements. Nuveen Investments 75 FINANCIAL HIGHLIGHTS (Unaudited) (continued) Selected data for a Common share outstanding throughout each period:

INVESTMENT OPERATIONS LESS DISTRIBUTIONS -------------------------------------------------------------- ------------------------------ DISTRIBUTIONS DISTRIBUTIONS FROM NET FROM NET BEGINNING INVESTMENT CAPITAL INVESTMENT CAPITAL COMMON NET INCOME TO GAINS TO INCOME TO GAINS TO SHARE NET REALIZED/ PREFERRED PREFERRED COMMON COMMON NET ASSET INVESTMENT UNREALIZED SHARE- SHARE- SHARE- SHARE- VALUE INCOME GAIN (LOSS) HOLDERS+ HOLDERS+ TOTAL HOLDERS HOLDERS TOTAL ================================================================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) ---------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) $14.28 $.45 $ .43 $(.02) $ -- $ .86 $(.36) $ -- $ (.36) 2009 14.76 .91 (.43) (.14) (.04) .30 (.66) (.12) (.78) 2008 14.85 .91 (.01) (.23) (.02) .65 (.67) (.07) (.74) 2007 14.86 .91 .08 (.22) (.01) .76 (.73) (.04) (.77) 2006 15.64 .91 (.60) (.17) (.01) .13 (.83) (.08) (.91) 2005 15.01 .92 .74 (.09) -- 1.57 (.87) (.07) (.94) CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) ---------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 13.57 .41 .51 (.02) -- .90 (.32) -- (.32) 2009 14.08 .84 (.58) (.17) -- .09 (.60) -- (.60) 2008 14.30 .87 (.23) (.25) -- .39 (.61) -- (.61) 2007 14.18 .86 .13 (.23) -- .76 (.64) -- (.64) 2006 14.78 .84 (.54) (.18) -- .12 (.72) -- (.72) 2005 13.97 .86 .83 (.10) -- 1.59 (.78) -- (.78) ==================================================================================================================================

PREFERRED SHARES AT END OF PERIOD ENDING ------------------------------------ COMMON AGGREGATE LIQUIDATION SHARE ENDING AMOUNT AND MARKET ASSET NET ASSET MARKET OUTSTANDING VALUE COVERAGE VALUE VALUE (000) PER SHARE PER SHARE ================================================================================ CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) -------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) $14.78 $14.50 $15,450 $25,000 $80,456 2009 14.28 14.30 16,125 25,000 76,305 2008 14.76 15.00 17,500 25,000 73,840 2007 14.85 16.38 17,500 25,000 74,094 2006 14.86 16.60 17,500 25,000 74,074 2005 15.64 15.98 17,500 25,000 76,579 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) -------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 14.15 13.30 28,275 25,000 79,631 2009 13.57 13.04 30,025 25,000 74,329 2008 14.08 13.63 32,000 25,000 73,028 2007 14.30 14.70 32,000 25,000 73,691 2006 14.18 14.09 32,000 25,000 73,302 2005 14.78 14.54 32,000 25,000 75,253 ================================================================================

76 Nuveen Investments

RATIOS/SUPPLEMENTAL DATA ----------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHARES TOTAL RETURNS BEFORE REIMBURSEMENT ------------------ -------------------------------------------- BASED ENDING ON NET BASED COMMON ASSETS ON SHARE NET APPLICABLE EXPENSES EXPENSES NET MARKET ASSET TO COMMON INCLUDING EXCLUDING INVESTMENT VALUE* VALUE* SHARES (000) INTEREST++(a) INTEREST++ INCOME++ ========================================================================================================= CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) -------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 3.95% 6.09% $34,272 1.36%*** 1.27%*** 5.87%*** 2009 1.40 2.52 33,092 1.48 1.37 6.31 2008 (3.63) 4.54 34,188 1.36 1.33 5.79 2007 3.58 5.13 34,366 1.31 1.31 5.60 2006 9.78 .84 34,352 1.29 1.29 5.51 2005 19.92 10.70 36,105 1.28 1.28 5.52 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) --------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 4.43 6.70 61,787 1.29*** 1.22*** 5.65*** 2009 .53 .89 59,244 1.43 1.32 6.12 2008 (3.07) 2.79 61,476 1.29 1.27 5.70 2007 9.15 5.42 62,325 1.26 1.26 5.44 2006 1.84 .83 61,826 1.24 1.24 5.30 2005 18.17 11.60 64,324 1.24 1.24 5.40 =========================================================================================================

RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHARES AFTER REIMBURSEMENT** -------------------------------------------- EXPENSES EXPENSES NET PORTFOLIO INCLUDING EXCLUDING INVESTMENT TURNOVER INTEREST++(a) INTEREST++ INCOME++ RATE ==================================================================================== CONNECTICUT DIVIDEND ADVANTAGE 2 (NGK) ------------------------------------------------------------------------------------ Year Ended 5/31: 2010(b) 1.13%*** 1.04%*** 6.10%*** 0% 2009 1.19 1.08 6.60 0 2008 1.00 .97 6.15 23 2007 .87 .87 6.04 12 2006 .84 .84 5.96 11 2005 .83 .83 5.97 12 CONNECTICUT DIVIDEND ADVANTAGE 3 (NGO) ------------------------------------------------------------------------------------ Year Ended 5/31: 2010(b) 1.09*** 1.01*** 5.85*** 1 2009 1.14 1.03 6.41 0 2008 .88 .86 6.11 24 2007 .78 .78 5.92 15 2006 .76 .76 5.78 9 2005 .77 .77 5.88 9 ====================================================================================

* Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After expense reimbursement from Adviser, where applicable. Expense ratios do not reflect the reduction of custodian fee credits earned on the Fund's net cash on deposit with the custodian bank, where applicable. *** Annualized. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Preferred shares. (a) The expense ratios in the above table reflect, among other things, the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, as described in Footnote 1 - Inverse Floating Rate Securities. (b) For the six months ended November 30, 2009. See accompanying notes to financial statements. Nuveen Investments 77 FINANCIAL HIGHLIGHTS (Unaudited) (continued) Selected data for a Common share outstanding throughout each period:

INVESTMENT OPERATIONS LESS DISTRIBUTIONS ------------------------------------------------------------------ -------------------------------- DISTRIBUTIONS DISTRIBUTIONS FROM NET FROM NET BEGINNING INVESTMENT CAPITAL INVESTMENT CAPITAL COMMON NET INCOME TO GAINS TO INCOME TO GAINS TO SHARE NET REALIZED/ PREFERRED PREFERRED COMMON COMMON NET ASSET INVESTMENT UNREALIZED SHARE- SHARE- SHARE- SHARE- VALUE INCOME GAIN (LOSS) HOLDERS+ HOLDERS+ TOTAL HOLDERS HOLDERS TOTAL ==================================================================================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2010(b) $13.29 $.45 $ .84 $(.02) $ -- $1.27 $(.38) $ -- $ (.38) 2009 14.22 .91 (.98) (.15) (.02) (.24) (.65) (.04) (.69) 2008 14.56 .88 (.32) (.25) (.01) .30 (.62) (.02) (.64) 2007 14.45 .88 .13 (.23) --*** .78 (.67) --*** (.67) 2006 15.10 .88 (.50) (.18) -- .20 (.81) (.04) (.85) 2005 14.34 .91 .81 (.08) -- 1.64 (.88) -- (.88) MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2010(b) 13.52 .46 .63 (.02) -- 1.07 (.37) -- (.37) 2009 14.36 .95 (.93) (.17) -- (.15) (.69) -- (.69) 2008 14.84 .94 (.45) (.26) (.01) .22 (.68) (.02) (.70) 2007 14.83 .93 .08 (.25) -- .76 (.75) -- (.75) 2006 15.65 .95 (.54) (.17) (.02) .22 (.85) (.19) (1.04) 2005 14.84 .97 .95 (.08) -- 1.84 (.92) (.11) (1.03) ====================================================================================================================================

PREFERRED SHARES AT END OF PERIOD ------------------------------------- ENDING COMMON AGGREGATE LIQUIDATION SHARE ENDING AMOUNT AND MARKET ASSET NET ASSET MARKET OUTSTANDING VALUE COVERAGE VALUE VALUE (000) PER SHARE PER SHARE =============================================================================== MASSACHUSETTS PREMIUM INCOME (NMT) ------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) $14.18 $13.70 $34,000 $25,000 $74,680 2009 13.29 13.28 34,000 25,000 71,559 2008 14.22 13.61 34,000 25,000 74,794 2007 14.56 14.33 34,000 25,000 75,973 2006 14.45 14.35 34,000 25,000 75,571 2005 15.10 16.14 34,000 25,000 77,682 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 14.22 14.40 14,250 25,000 73,973 2009 13.52 13.83 14,250 25,000 71,544 2008 14.36 14.61 15,000 25,000 71,892 2007 14.84 16.28 15,000 25,000 73,453 2006 14.83 15.53 15,000 25,000 73,340 2005 15.65 17.45 15,000 25,000 75,899 ===============================================================================

78 Nuveen Investments

RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------ RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHARES TOTAL RETURNS BEFORE REIMBURSEMENT ------------------ --------------------------------------------- BASED ENDING ON NET BASED COMMON ASSETS ON SHARE NET APPLICABLE EXPENSES EXPENSES NET MARKET ASSET TO COMMON INCLUDING EXCLUDING INVESTMENT VALUE* VALUE* SHARES (000) INTEREST++(a) INTEREST++ INCOME++ ============================================================================================================ MASSACHUSETTS PREMIUM INCOME (NMT) ------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2010(b) 6.05% 9.62% $67,565 1.27%**** 1.25%**** 6.61%**** 2009 3.54 (1.36) 63,321 1.43 1.34 7.01 2008 (.48) 2.08 67,720 1.26 1.26 6.09 2007 4.60 5.47 69,323 1.24 1.24 5.97 2006 (6.14) 1.41 68,776 1.25 1.25 5.98 2005 18.97 11.74 71,648 1.24 1.24 6.15 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) ------------------------------------------------------------------------------------------------------------ Year Ended 5/31: 2010(b) 6.92 7.99 27,915 1.35**** 1.32**** 6.50**** 2009 (.04) (.70) 26,530 1.54 1.44 7.09 2008 (5.73) 1.55 28,135 1.32 1.32 6.11 2007 10.04 5.14 29,072 1.33 1.33 5.84 2006 (5.23) 1.49 29,004 1.29 1.29 5.79 2005 24.96 12.76 30,539 1.31 1.31 5.83 ============================================================================================================

RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHARES AFTER REIMBURSEMENT** ---------------------------------------- EXPENSES EXPENSES NET PORTFOLIO INCLUDING EXCLUDING INVESTMENT TURNOVER INTEREST++(a) INTEREST++ INCOME++ RATE ================================================================================ MASSACHUSETTS PREMIUM INCOME (NMT) -------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 1.27%**** 1.25%**** 6.61%**** --%***** 2009 1.43 1.34 7.01 1 2008 1.26 1.26 6.09 14 2007 1.24 1.24 5.97 9 2006 1.25 1.25 5.98 13 2005 1.24 1.24 6.15 18 MASSACHUSETTS DIVIDEND ADVANTAGE (NMB) -------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 1.19**** 1.17**** 6.65**** 4 2009 1.33 1.23 7.30 1 2008 1.05 1.05 6.39 15 2007 .97 .97 6.19 9 2006 .86 .86 6.21 13 2005 .87 .87 6.27 12 ================================================================================

* Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After expense reimbursement from Adviser, where applicable. Expense ratios do not reflect the reduction of custodian fee credits earned on the Fund's net cash on deposit with the custodian bank, where applicable. *** Rounds to less than $.01 per share. **** Annualized. ***** Calculates to less than 1%. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Preferred shares. (a) The expense ratios in the above table reflect, among other things, the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, as described in Footnote 1 - Inverse Floating Rate Securities. (b) For the six months ended November 30, 2009. See accompanying notes to financial statements. Nuveen Investments 79 FINANCIAL HIGHLIGHTS (Unaudited) (continued) Selected data for a Common share outstanding throughout each period:

INVESTMENT OPERATIONS LESS DISTRIBUTIONS --------------------------------------------------------------- ------------------------------- DISTRIBUTIONS DISTRIBUTIONS FROM NET FROM NET BEGINNING INVESTMENT CAPITAL INVESTMENT CAPITAL COMMON NET INCOME TO GAINS TO INCOME TO GAINS TO SHARE NET REALIZED/ PREFERRED PREFERRED COMMON COMMON NET ASSET INVESTMENT UNREALIZED SHARE- SHARE- SHARE- SHARE- VALUE INCOME GAIN (LOSS) HOLDERS+ HOLDERS+ TOTAL HOLDERS HOLDERS TOTAL ================================================================================================================================= INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) $13.86 $.45 $ .55 $(.02) $ -- $ .98 $(.35) $ -- $(.35) 2009 14.28 .91 (.50) (.17) -- .24 (.66) -- (.66) 2008 14.50 .90 (.21) (.26) -- .43 (.65) -- (.65) 2007 14.39 .90 .08 (.25) -- .73 (.62) -- (.62) 2006 14.93 .90 (.53) (.20) -- .17 (.71) -- (.71) 2005 14.04 .92 .90 (.09) -- 1.73 (.84) -- (.84) MISSOURI PREMIUM INCOME (NOM) --------------------------------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 12.44 .41 .67 (.02) -- 1.06 (.33) -- (.33) 2009 13.52 .85 (1.12) (.16) -- (.43) (.65) -- (.65) 2008 14.27 .89 (.62) (.20) (.04) .03 (.65) (.13) (.78) 2007 14.40 .90 (.08) (.23) --*** .59 (.72) --*** (.72) 2006 15.11 .92 (.51) (.17) (.01) .23 (.84) (.10) (.94) 2005 14.37 .94 .77 (.09) -- 1.62 (.88) -- (.88) =================================================================================================================================

PREFERRED SHARES AT END OF PERIOD ENDING ----------------------------------- COMMON AGGREGATE LIQUIDATION SHARE ENDING AMOUNT AND MARKET ASSET NET ASSET MARKET OUTSTANDING VALUE COVERAGE VALUE VALUE (000) PER SHARE PER SHARE =============================================================================== INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) $14.49 $14.75 $20,500 $25,000 $73,162 2009 13.86 13.15 20,500 25,000 71,042 2008 14.28 14.14 20,500 25,000 72,407 2007 14.50 14.45 20,500 25,000 73,120 2006 14.39 13.43 20,500 25,000 72,779 2005 14.93 15.94 20,500 25,000 74,526 MISSOURI PREMIUM INCOME (NOM) ------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 13.17 13.90 16,000 25,000 72,592 2009 12.44 12.90 16,000 25,000 69,897 2008 13.52 14.76 16,000 25,000 73,703 2007 14.27 16.56 16,000 25,000 76,291 2006 14.40 16.35 16,000 25,000 76,460 2005 15.11 17.90 16,000 25,000 78,468 ===============================================================================

80 Nuveen Investments

RATIOS/SUPPLEMENTAL DATA ------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHARES TOTAL RETURNS BEFORE REIMBURSEMENT ------------------- ----------------------------------------------- BASED ENDING ON NET BASED COMMON ASSETS ON SHARE NET APPLICABLE EXPENSES EXPENSES NET MARKET ASSET TO COMMON INCLUDING EXCLUDING INVESTMENT VALUE* VALUE* SHARES (000) INTEREST++(a) INTEREST++ INCOME++ =========================================================================================================== INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) ----------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 14.96% 7.14% $39,493 1.30%**** 1.27%**** 6.08%**** 2009 (2.11) 2.00 37,754 1.47 1.38 6.47 2008 2.49 3.04 38,873 1.29 1.29 5.82 2007 12.49 5.12 39,458 1.28 1.28 5.67 2006 (11.62) 1.20 39,179 1.29 1.29 5.66 2005 20.95 12.62 40,611 1.27 1.27 5.83 MISSOURI PREMIUM INCOME (NOM) ----------------------------------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 10.51 8.62 30,459 1.37**** 1.33**** 6.35**** 2009 (7.83) (2.92) 28,734 1.55 1.42 6.96 2008 (5.74) .26 31,170 1.52 1.31 6.43 2007 5.98 4.17 32,826 1.39 1.30 6.15 2006 (3.53) 1.57 32,934 1.29 1.29 6.20 2005 24.38 11.54 34,219 1.29 1.29 6.29 ===========================================================================================================

RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHARES AFTER REIMBURSEMENT** ----------------------------------------- EXPENSES EXPENSES NET PORTFOLIO INCLUDING EXCLUDING INVESTMENT TURNOVER INTEREST++(a) INTEREST++ INCOME++ RATE ================================================================================ INSURED MASSACHUSETTS TAX-FREE ADVANTAGE (NGX) -------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 1.05%*** 1.03%**** 6.32%**** 0% 2009 1.16 1.06 6.78 0 2008 .85 .85 6.25 13 2007 .79 .79 6.15 6 2006 .81 .81 6.14 5 2005 .80 .80 6.30 2 MISSOURI PREMIUM INCOME (NOM) -------------------------------------------------------------------------------- Year Ended 5/31: 2010(b) 1.37**** 1.33**** 6.35**** 0 2009 1.55 1.42 6.96 2 2008 1.52 1.31 6.43 5 2007 1.39 1.30 6.15 16 2006 1.29 1.29 6.20 9 2005 1.29 1.29 6.29 17 ================================================================================

* Total Return Based on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized. Total Return Based on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After expense reimbursement from Adviser, where applicable. Expense ratios do not reflect the reduction of custodian fee credits earned on the Fund's net cash on deposit with the custodian bank, where applicable. *** Rounds to less than $.01 per share. **** Annualized. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Preferred shares. (a) The expense ratios in the above table reflect, among other things, the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund, as described in Footnote 1 - Inverse Floating Rate Securities. (b) For the six months ended November 30, 2009. See accompanying notes to financial statements. Nuveen Investments 81 REINVEST AUTOMATICALLY EASILY AND CONVENIENTLY NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET UP YOUR REINVESTMENT ACCOUNT. NUVEEN CLOSED-END FUNDS DIVIDEND REINVESTMENT PLAN Your Nuveen Closed-End 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 greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund's shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares' net asset value or 95% of the shares' market value on the last business day immediately prior to the purchase date. 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 the shares may increase before purchases are completed, the average purchase price 82 Nuveen Investments 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. FLEXIBLE 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. CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787. Nuveen Investments 83 GLOSSARY OF TERMS USED IN THIS REPORT o AUCTION RATE BOND: An auction rate bond is a security whose interest payments are adjusted periodically through an auction process, which process typically also serves as a means for buying and selling the bond. Auctions that fail to attract enough buyers for all the shares offered for sale are deemed to have "failed," with current holders receiving a formula-based interest rate until the next scheduled auction. o AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an investment's performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment's actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered. o AVERAGE EFFECTIVE MATURITY: The average of the number of years to maturity of the bonds in a Fund's portfolio, computed by weighting each bond's time to maturity (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 unless an escrow account has been established to redeem the bond before maturity. The market value weighting for an investment in an inverse floating rate security is the value of the portfolio's residual interest in the inverse floating rate trust, and does not include the value of the floating rate securities issued by the trust. o INVERSE FLOATERS: Inverse floating rate securities, also known as inverse floaters, are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond's par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an "inverse floater") to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates' holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond's downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond's value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis. 84 Nuveen Investments o LEVERAGE-ADJUSTED DURATION: Duration is a measure of the expected period over which a bond's principal and interest will be paid, and consequently is a measure of the sensitivity of a bond's or bond Fund's value to changes when market interest rates change. Generally, the longer a bond's or Fund's duration, the more the price of the bond or Fund will change as interest rates change. Leverage-adjusted duration takes into account the leveraging process for a Fund and therefore is longer than the duration of the Fund's portfolio of bonds. o MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An investment's current annualized dividend divided by its current market price. o NET ASSET VALUE (NAV): A Fund's NAV per common share is calculated by subtracting the liabilities of the Fund (including any Preferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of common shares outstanding. Fund NAVs are calculated at the end of each business day. o PRE-REFUNDING: Pre-refunding, also known as advanced refundings or refinancings, is a procedure used by state and local governments to refinance municipal bonds to lower interest expenses. The issuer sells new bonds with a lower yield and uses the proceeds to buy U.S. Treasury securities, the interest from which is used to make payments on the higher-yielding bonds. Because of this collateral, pre-refunding generally raises a bond's credit rating and thus its value. o 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. o ZERO COUPON BOND: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Tax-exempt income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically. Nuveen Investments 85 NOTES 86 Nuveen Investments NOTES Nuveen Investments 87 NOTES 88 Nuveen Investments OTHER USEFUL INFORMATION QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION You may obtain (i) each Fund's quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the twelve-month period ended June 30, 2009, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com. You may also obtain this and other Fund information directly from the Securities and Exchange Commission ("SEC"). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public References Section at 100 F Street NE, Washington, D.C. 20549. CEO CERTIFICATION DISCLOSURE Each Fund's Chief Executive Officer has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the SEC the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act. COMMON AND PREFERRED SHARE INFORMATION Each Fund intends to repurchase and/or redeem shares of its own common or preferred stock in the future at such times and in such amounts as is deemed advisable. During the period covered by this report, the Funds did not repurchased and/or redeemed shares of their common and/or preferred stock. Any future repurchases and/or redemptions will be reported to shareholders in the next annual or semi-annual report. BOARD OF TRUSTEES John P. Amboian Robert P. Bremner Jack B. Evans William C. Hunter David J. Kundert William J. Schneider Judith M. Stockdale Carole E. Stone Terence J. Toth FUND MANAGER Nuveen Asset Management 333 West Wacker Drive Chicago, IL 60606 CUSTODIAN State Street Bank & Trust Company Boston, MA TRANSFER AGENT AND SHAREHOLDER SERVICES State Street Bank & Trust Company Nuveen Funds P.O. Box 43071 Providence, RI 02940-3071 (800) 257-8787 LEGAL COUNSEL Chapman and Cutler LLP Chicago, IL INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Chicago, IL Nuveen Investments 89 NUVEEN INVESTMENTS: 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. WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT NEEDS. Nuveen Investments is a global investment management firm that seeks to help secure the long-term goals of institutions and high net worth investors as well as the consultants and financial advisors who serve them. Nuveen Investments markets its growing range of specialized investment solutions under the high-quality brands of HydePark, NWQ, Nuveen, Santa Barbara, Symphony, Tradewinds and Winslow Capital. In total, the Company managed $141 billion of assets on September 30, 2009. FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS. To learn more about the products and services Nuveen Investments offers, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Be sure to obtain a prospectus, where applicable. Investors should consider the investment objective and policies, risk considerations, charges and expenses of the Fund carefully before investing. The prospectus contains this and other information relevant to an investment in the Fund. For a prospectus, please contact your securities representative or NUVEEN INVESTMENTS, 333 W. WACKER DR., CHICAGO, IL 60606. Please read the prospectus carefully before you invest or send money. Learn more about Nuveen Funds at: WWW.NUVEEN.COM/CEF o Share prices o Fund details o Daily financial news o Investor education o Interactive planning tools Distributed by Nuveen Investments, LLC 333 West Wacker Drive Chicago, IL 60606 www.nuveen.com IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R) ESA-B-1109D ITEM 2. CODE OF ETHICS. Not applicable to this filing. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to this filing. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to this filing. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to this filing. ITEM 6. SCHEDULE OF INVESTMENTS. (a) See Portfolio of Investments in Item 1. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's Board of Directors or Trustees implemented after the registrant last provided disclosure in response to this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the "Exchange Act")(17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. File the exhibits listed below as part of this Form. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: See Ex-99.CERT attached hereto. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable. (b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: See Ex-99.906 CERT attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Nuveen Massachusetts Premium Income Municipal Fund ----------------------------------------------------------- By (Signature and Title) /s/ Kevin J. McCarthy ---------------------------------------------- Kevin J. McCarthy (Vice President and Secretary) Date: February 2, 2010 ------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Gifford R. Zimmerman ---------------------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) Date: February 2, 2010 ------------------------------------------------------------------- By (Signature and Title) /s/ Stephen D. Foy ---------------------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) Date: February 2, 2010 -------------------------------------------------------------------