nq2.htm



 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 
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, Illinois 60606         
(Address of principal executive offices) (Zip code)
 

Kevin J. McCarthy
Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)
 
Registrant's telephone number, including area code:         312-917-7700        
 
Date of fiscal year end:            5/31          
 
Date of reporting period:         2/29/12         
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. § 3507.

 
 
 

 
Item 1. Schedule of Investments
 

           
   
Portfolio of Investments (Unaudited) 
     
   
Nuveen Massachusetts Premium Income Municipal Fund (NMT) 
     
   
February 29, 2012 
     
           
Principal 
   
Optional Call 
   
Amount (000) 
 
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
   
Consumer Discretionary – 1.5% (1.0% of Total Investments) 
     
$    1,425 
 
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds, 
9/12 at 102.00 
Caa3 
$    1,064,076 
   
Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) 
     
   
Education and Civic Organizations – 33.9% (22.6% of Total Investments) 
     
1,000 
 
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1 and 
7/21 at 100.00 
AA– 
1,117,630 
   
B-2, 5.250%, 7/01/33 – AGM Insured 
     
375 
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 
10/19 at 100.00 
A 
418,410 
   
5.000%, 10/01/29 
     
1,000 
 
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 
1/20 at 100.00 
BBB+ 
1,018,430 
   
5.000%, 1/01/40 
     
1,000 
 
Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art 
7/21 at 100.00 
AA 
1,101,400 
   
Institute, Series 2011A, 5.000%, 7/01/41 
     
2,000 
 
Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 
4/21 at 100.00 
AA– 
2,202,480 
   
5.250%, 4/01/37 
     
1,045 
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, 
9/17 at 100.00 
A+ 
1,102,778 
   
Series 2007, 5.000%, 9/01/37 – NPFG Insured 
     
705 
 
Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A, 
9/12 at 100.00 
BBB 
706,544 
   
6.000%, 3/01/20 – ACA Insured 
     
1,745 
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy 
7/15 at 100.00 
AA– 
1,855,022 
   
and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured 
     
1,500 
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
No Opt. Call 
A 
1,859,190 
   
Series 2002A, 5.750%, 1/01/42 – AMBAC Insured 
     
4,850 
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
1/18 at 100.00 
AA– 
5,103,946 
   
Series 2008A, 5.000%, 1/01/42 – AGC Insured 
     
1,090 
 
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, 
No Opt. Call 
A2 
1,407,637 
   
Series 1999P, 6.000%, 5/15/29 
     
1,000 
 
Massachusetts Educational Financing Authority, Educational Loan Revenue, Serie 2011J, 5.625%, 
7/21 at 100.00 
AA 
1,065,700 
   
7/01/33 (Alternative Minimum Tax) 
     
2,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College, 
6/13 at 100.00 
AA– 
2,112,800 
   
Series 2003N, 5.250%, 6/01/18 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, 
10/19 at 100.00 
Baa1 
1,040,000 
   
Series 2010, 5.500%, 10/15/31 
     
250 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, 
8/18 at 100.00 
Aa2 
293,498 
   
Series 2008O, 5.375%, 8/15/38 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College, 
7/13 at 100.00 
Aaa 
524,230 
   
Series 2003H, 5.000%, 7/01/26 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College 
No Opt. Call 
A2 
537,340 
   
Issues, Series 2010F, 5.000%, 1/01/41 
     
555 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College, 
7/13 at 100.00 
AAA 
586,629 
   
Series 2003H, 5.000%, 7/01/21 
     
500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State 
11/12 at 100.00 
A 
504,035 
   
College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured 
     
305 
 
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities 
8/12 at 100.00 
BBB– 
305,192 
   
Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System, 
     
   
Series 1999, 5.375%, 2/01/19 
     
22,920 
 
Total Education and Civic Organizations 
   
24,862,891 
   
Health Care – 25.6% (17.1% of Total Investments) 
     
1,000 
 
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 
7/20 at 100.00 
AA 
1,101,470 
   
2011K-6, 5.375%, 7/01/41 
     
1,250 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health 
10/13 at 100.00 
BBB+ 
1,263,875 
   
System, Series 2001E, 6.250%, 10/01/31 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Health Care 
5/12 at 101.00 
BBB+ 
1,010,440 
   
Inc., Series 2001C, 5.250%, 11/15/31 – RAAI Insured 
     
   
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., 
     
   
Series B1 Capital Asset Program Converted June 13,2008: 
     
2,300 
 
5.375%, 2/01/26 – NPFG Insured 
8/18 at 100.00 
A– 
2,600,104 
770 
 
5.375%, 2/01/28 – NPFG Insured 
8/18 at 100.00 
A– 
861,060 
1,500 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc., 
8/18 at 100.00 
A– 
1,686,615 
   
Series B2, Capital Asset Program, Converted June 9, 2009, 5.375%, 2/01/27 – NPFG Insured 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children’s Hospital, 
12/19 at 100.00 
AA 
1,107,890 
   
Series 2009M, 5.500%, 12/01/39 
     
935 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital, 
8/15 at 100.00 
N/R 
834,244 
   
Series 2005E, 5.000%, 8/15/35 – RAAI Insured 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical 
8/15 at 100.00 
A+ 
1,063,380 
   
Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured 
     
2,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical 
8/17 at 100.00 
A+ 
2,139,240 
   
Center, Series 2007D, 5.250%, 8/15/28 
     
585 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional 
7/17 at 100.00 
BBB– 
572,165 
   
Medical Center, Series 2007E, 5.000%, 7/15/32 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital 
7/15 at 100.00 
BB– 
944,790 
   
Project, Series 2005D, 5.250%, 7/01/30 
     
1,445 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial 
7/15 at 100.00 
A– 
1,460,158 
   
Health Care, Series 2005D, 5.000%, 7/01/33 
     
2,000 
 
Massachusetts State, Health and Educational Facilities Authority, Partners HealthCare System 
7/17 at 100.00 
AA 
2,138,320 
   
Inc., Series 2007G, 5.000%, 7/01/32 
     
17,785 
 
Total Health Care 
   
18,783,751 
   
Housing/Multifamily – 6.3% (4.2% of Total Investments) 
     
1,300 
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor 
7/17 at 100.00 
BB 
1,324,167 
   
Project, Series 2007, 4.800%, 7/20/48 
     
1,715 
 
Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House 
6/12 at 100.00 
N/R 
1,653,209 
   
Apartments, Series 1999, 7.000%, 12/01/31 
     
500 
 
Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23 
6/13 at 100.00 
AA– 
504,410 
   
(Alternative Minimum Tax) 
     
95 
 
Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 1999D, 
7/12 at 100.00 
N/R 
95,677 
   
5.500%, 7/01/13 – AMBAC Insured (Alternative Minimum Tax) 
     
1,000 
 
Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds, 
5/12 at 103.00 
N/R 
1,033,810 
   
Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22 
     
4,610 
 
Total Housing/Multifamily 
   
4,611,273 
   
Housing/Single Family – 3.7% (2.4% of Total Investments) 
     
1,500 
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126, 
6/16 at 100.00 
AA 
1,494,045 
   
4.625%, 6/01/32 (Alternative Minimum Tax) 
     
985 
 
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust 
No Opt. Call 
AA 
1,199,977 
   
3145, 14.354%, 6/01/16 (IF) 
     
2,485 
 
Total Housing/Single Family 
   
2,694,022 
   
Industrials – 0.9% (0.6% of Total Investments) 
     
220 
 
Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds, 
No Opt. Call 
N/R 
216,014 
   
Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 
     
400 
 
Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste Management 
No Opt. Call 
BBB 
432,488 
   
Inc., Series 2003, 5.450%, 6/01/14 
     
620 
 
Total Industrials 
   
648,502 
   
Long-Term Care – 6.8% (4.5% of Total Investments) 
     
1,270 
 
Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc., Series 
4/12 at 102.00 
AAA 
1,297,800 
   
1998A, 6.125%, 10/01/31 
     
185 
 
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 
12/19 at 100.00 
A– 
199,931 
   
2010, 5.625%, 12/01/30 
     
1,685 
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 
10/12 at 102.00 
N/R 
1,533,417 
   
5.250%, 10/01/26 
     
1,500 
 
Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility 
3/12 at 105.00 
AAA 
1,586,340 
   
Revenue Bonds, Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42 (Alternative Minimum Tax) 
     
400 
 
Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement 
7/12 at 100.00 
BBB 
400,408 
   
Community, Series 1994B, 4.750%, 7/01/17 
     
5,040 
 
Total Long-Term Care 
   
5,017,896 
   
Tax Obligation/General – 20.1% (13.4% of Total Investments) 
     
500 
 
Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured 
5/15 at 100.00 
Aa2 
544,140 
300 
 
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17 
1/15 at 100.00 
Aaa 
337,143 
1,000 
 
Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – AGM Insured 
2/13 at 101.00 
AA– 
1,033,700 
1,000 
 
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation 
2/21 at 100.00 
Aa3 
1,104,390 
   
Bonds, Series 2011, 5.000%, 2/15/41 
     
1,250 
 
Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 
2/20 at 100.00 
AA 
1,419,700 
   
5.000%, 2/15/32 
     
1,205 
 
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, 
No Opt. Call 
AA+ 
1,583,237 
   
Series 1991A, 7.000%, 3/01/21 
     
1,275 
 
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2001D, 6.000%, 11/01/13 – 
No Opt. Call 
AA+ 
1,397,821 
   
NPFG Insured 
     
980 
 
Monson, Massachusetts, General Obligation Bonds, Series 2002, 5.250%, 5/15/22 – AMBAC Insured 
5/12 at 101.00 
A1 
998,091 
1,260 
 
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured 
No Opt. Call 
AAA 
1,591,002 
1,000 
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 – 
No Opt. Call 
Baa1 
1,139,600 
   
FGIC Insured 
     
2,000 
 
Quincy, Massachusetts, General Obligation Bonds, Series 2011, 5.250%, 12/01/38 
12/20 at 100.00 
Aa2 
2,270,760 
1,220 
 
Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 – 
7/15 at 100.00 
A1 
1,344,891 
   
FGIC Insured 
     
12,990 
 
Total Tax Obligation/General 
   
14,764,475 
   
Tax Obligation/Limited – 12.3% (8.2% of Total Investments) 
     
210 
 
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 – 
5/14 at 100.00 
A– 
224,816 
   
AMBAC Insured 
     
975 
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 
7/18 at 100.00 
AAA 
1,118,267 
   
5.000%, 7/01/26 
     
385 
 
Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds, 
No Opt. Call 
AAA 
496,785 
   
Series 2004C, 5.250%, 7/01/21 
     
1,200 
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 – 
5/18 at 100.00 
Aa2 
1,307,076 
   
AGC Insured 
     
1,000 
 
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 
No Opt. Call 
Aa2 
1,279,710 
   
5.375%, 5/01/23 – SYNCORA GTY Insured 
     
570 
 
Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 5.000%, 
5/22 at 100.00 
AA 
644,442 
   
5/01/37 (WI/DD, Settling 3/01/12) 
     
1,300 
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 
8/15 at 100.00 
AA+ 
1,483,859 
   
5.000%, 8/15/20 – AGM Insured (UB) 
     
1,000 
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B, 
10/21 at 100.00 
AA+ 
1,124,710 
   
5.000%, 10/15/41 
     
540 
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 
No Opt. Call 
A1 
637,438 
   
1/01/20 – FGIC Insured 
     
240 
 
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A, 
No Opt. Call 
BBB+ 
32,935 
   
0.000%, 7/01/43 – AMBAC Insured 
     
1,650 
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 
No Opt. Call 
A+ 
379,038 
   
2010C, 0.000%, 8/01/38 
     
235 
 
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 
No Opt. Call 
A3 
270,673 
   
5.500%, 7/01/19 – NPFG Insured 
     
9,305 
 
Total Tax Obligation/Limited 
   
8,999,749 
   
Transportation – 11.4% (7.6% of Total Investments) 
     
500 
 
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30 
7/20 at 100.00 
AA– 
564,030 
2,000 
 
Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 – NPFG Insured 
7/13 at 100.00 
AA– 
2,088,460 
1,000 
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 
7/17 at 100.00 
A2 
1,027,020 
   
2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax) 
     
225 
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 
7/12 at 100.00 
N/R 
185,301 
   
2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax) 
     
4,000 
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, US Airways Group Inc., Series 
9/12 at 100.00 
BBB 
3,999,560 
   
1996A, 5.750%, 9/01/16 – NPFG Insured (Alternative Minimum Tax) 
     
470 
 
Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Parking Revenue 
7/21 at 100.00 
A+ 
503,840 
   
Bonds, Senior Lien Series 2011, 5.000%, 7/01/41 
     
8,195 
 
Total Transportation 
   
8,368,211 
   
U.S. Guaranteed – 14.2% (9.5% of Total Investments) (4) 
     
650 
 
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17 
1/15 at 100.00 
N/R (4) 
735,007 
   
(Pre-refunded 1/01/15) 
     
1,115 
 
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, 
3/17 at 100.00 
N/R (4) 
1,306,669 
   
Series 1991A, 7.000%, 3/01/21 (Pre-refunded 3/01/17) 
     
25 
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C, 
7/18 at 100.00 
AAA 
31,205 
   
5.000%, 7/01/26 (Pre-refunded 7/01/18) 
     
550 
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 
5/14 at 100.00 
Aa2 (4) 
604,940 
   
(Pre-refunded 5/01/14) – NPFG Insured 
     
325 
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 
5/16 at 100.00 
Aa2 (4) 
383,715 
   
(Pre-refunded 5/01/16) – AMBAC Insured 
     
1,000 
 
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy 
7/13 at 101.00 
A (4) 
1,082,370 
   
and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13) 
     
750 
 
Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A, 
9/13 at 100.00 
AA– (4) 
802,380 
   
5.000%, 9/01/19 (Pre-refunded 9/01/13) 
     
410 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., 
7/21 at 100.00 
BBB (4) 
501,385 
   
Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG Insured 
     
1,000 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi 
7/12 at 101.00 
N/R (4) 
1,030,110 
   
Obligated Group, Series 2002B, 6.250%, 7/01/22 (Pre-refunded 7/01/12) 
     
600 
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical 
5/12 at 100.00 
N/R (4) 
606,432 
   
Center Hospitals, Series 2002H, 5.375%, 5/15/19 (Pre-refunded 5/15/12) – FGIC Insured 
     
295 
 
Massachusetts Port Authority, Revenue Bonds, Series 1982, 13.000%, 7/01/13 (ETM) 
5/12 at 100.00 
AAA 
325,028 
1,500 
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 
1/14 at 100.00 
A1 (4) 
1,635,615 
   
1/01/25 (Pre-refunded 1/01/14) – FGIC Insured 
     
1,065 
 
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 
No Opt. Call 
A3 (4) 
1,372,806 
   
5.500%, 7/01/19 – NPFG Insured (ETM) 
     
9,285 
 
Total U.S. Guaranteed 
   
10,417,662 
   
Utilities – 2.7% (1.8% of Total Investments) 
     
1,000 
 
Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System, 
1/13 at 100.00 
BBB 
1,012,460 
   
Series 2001A, 5.625%, 1/01/16 – NPFG Insured 
     
1,000 
 
Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden 
6/12 at 100.00 
A– 
1,003,700 
   
Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) 
     
2,000 
 
Total Utilities 
   
2,016,160 
   
Water and Sewer – 10.8% (7.1% of Total Investments) 
     
500 
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Lien 
11/19 at 100.00 
AA+ 
580,510 
   
Refunding Series 2010A, 5.000%, 11/01/30 
     
2,000 
 
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series 
11/14 at 100.00 
AA+ 
2,224,720 
   
2004A, 5.000%, 11/01/25 
     
60 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 
8/13 at 100.00 
AAA 
63,625 
   
5.000%, 8/01/22 
     
285 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10, 
8/14 at 100.00 
AAA 
311,602 
   
5.000%, 8/01/26 
     
750 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11, 
8/15 at 100.00 
AAA 
819,128 
   
4.500%, 8/01/29 
     
1,000 
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12, 
8/16 at 100.00 
AAA 
1,060,150 
   
4.375%, 8/01/31 (UB) 
     
500 
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A, 
8/12 at 100.00 
AAA 
510,220 
   
5.250%, 8/01/20 
     
1,500 
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28 – 
8/17 at 100.00 
AA+ 
1,685,385 
   
NPFG Insured 
     
625 
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46 
8/16 at 100.00 
AA+ 
622,430 
7,220 
 
Total Water and Sewer 
   
7,877,770 
$    103,880 
 
Total Investments (cost $103,853,522) – 150.2% 
   
110,126,438 
   
Floating Rate Obligations – (2.0)% 
   
(1,435,000) 
   
MuniFund Term Preferred Shares, at Liquidation Value – (50.0)% (5) 
   
(36,645,000) 
   
Other Assets Less Liabilities – 1.8% 
   
1,269,726 
   
Net Assets Applicable to Common Shares – 100% 
   
$    73,316,164 
 
 
 
 

 
 
Fair Value Measurements
 
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
 
Level 1 – Quoted prices in active markets for identical securities.
 
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of February 29, 2012:
 
                         
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments: 
                       
Municipal Bonds 
  $     $ 110,126,438     $     $ 110,126,438  
 
During the period ended February 29, 2012, the Fund recognized no significant transfers to or from Level 1, Level 2 or Level 3.
 
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 value of the Fund.
 
At February 29, 2012, the cost of investments was $102,374,023.
       
Gross unrealized appreciation and gross unrealized depreciation of investments at February 29, 2012, 
     
were as follows: 
     
       
Gross unrealized: 
     
Appreciation 
  $ 7,063,035  
Depreciation 
    (745,263 ) 
Net unrealized appreciation (depreciation) of investments 
  $ 6,317,772  
 
     
(1) 
 
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares 
   
unless otherwise noted. 
(2) 
 
Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. 
   
There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities 
   
may be subject to periodic principal paydowns. 
(3) 
 
Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. 
   
(“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB 
   
by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of 
   
these national rating agencies. 
(4) 
 
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, 
   
which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or 
   
agency securities are regarded as having an implied rating equal to the rating of such securities. 
(5) 
 
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 33.3%. 
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. 
 
 
 
 

 
Item 2. 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 Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
 
 
b.  
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
 
Item 3. Exhibits.

File as exhibits as part of this Form 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)), exactly as set forth below: See EX-99 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         April 27, 2012        
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
By (Signature and Title)     /s/ Gifford R. Zimmerman                    
                                                    Gifford R. Zimmerman
                                                  Chief Administrative Officer (principal executive officer) 
 
Date         April 27, 2012        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date         April 27, 2012