Unassociated Document



 
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:         8/31/13         
 
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)
      
   
August 31, 2013
      
 
Principal
    
Optional Call
    
Amount (000)
  
Description (1)
Provisions (2)
Ratings (3)
Value
   
Consumer Discretionary – 1.6% (1.0% of Total Investments)
      
$    1,425
  
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,
3/14 at 101.00
Caa3
$  1,003,414
   
Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)
      
   
Education and Civic Organizations – 32.0% (21.1% of Total Investments)
      
   
Massachusetts Developoment Finance Agency, Revenue Bonds, Boston University, Tender Option
      
   
Bond Trust 1163:
      
995
  
17.277%, 10/01/48 (IF) (4)
10/23 at 100.00
A1
894,236
305
  
17.176%, 10/01/48 (IF) (4)
10/23 at 100.00
A1
274,149
1,000
  
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1
7/21 at 100.00
AA–
1,026,410
   
and B-2, 5.250%, 7/01/33 – AGM Insured
      
500
  
Massachusetts Development Finance Agency, Revenue Bonds, Boston College Issue, Series 2013S,
7/23 at 100.00
AA–
510,490
   
5.000%, 7/01/38
      
375
  
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1,
10/19 at 100.00
A1
390,788
   
5.000%, 10/01/29
      
1,000
  
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A,
1/20 at 100.00
BBB+
936,070
   
5.000%, 1/01/40
      
455
  
Massachusetts Development Finance Agency, Revenue Bonds, Merrimack College, Series 2012A,
7/22 at 100.00
BBB–
421,908
   
5.250%, 7/01/42
      
1,000
  
Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art
7/21 at 100.00
AA
1,007,020
   
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–
2,032,420
   
5.250%, 4/01/37
      
1,045
  
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute,
9/17 at 100.00
A+
1,042,105
   
Series 2007, 5.000%, 9/01/37 – NPFG Insured
      
700
  
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute,
9/22 at 100.00
A+
674,877
   
Series 2012, 5.000%, 9/01/50
      
635
  
Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A,
3/14 at 100.00
BBB
636,238
   
6.000%, 3/01/20 – ACA Insured
      
1,500
  
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,
No Opt. Call
A
1,584,405
   
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–
4,720,699
   
Series 2008A, 5.000%, 1/01/42 – AGC Insured
      
1,090
  
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University,
No Opt. Call
A1
1,227,765
   
Series 1999P, 6.000%, 5/15/29
      
1,000
  
Massachusetts Educational Financing Authority, Educational Loan Revenue, Series 2011J, 5.625%,
7/21 at 100.00
AA
974,850
   
7/01/33 (Alternative Minimum Tax)
      
1,000
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College,
10/19 at 100.00
Baa1
1,034,030
   
Series 2010, 5.500%, 10/15/31
      
350
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University,
8/18 at 100.00
Aa2
380,660
   
Series 2008O, 5.375%, 8/15/38
      
530
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College
1/20 at 100.00
A2
517,609
   
Issues, Series 2010F, 5.000%, 1/01/41
      
210
  
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Fin
No Opt. Call
BBB
141,422
   
Authority, Higher Ed Rev and Rev Refunding Bonds, University of the Sacred Heart Project,
      
   
Series 2012, 4.375%, 10/01/31
      
20,540
  
Total Education and Civic Organizations
    
20,428,151
   
Health Care – 29.5% (19.5% of Total Investments)
      
940
  
Massachusetts Development Finance Agency, Hospital Revenue Bonds, Cape Cod Healthcare
11/23 at 100.00
A–
911,020
   
Obligated Group, Series 2013, 5.250%, 11/15/41
      
   
Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems,
      
   
Series 2012G:
      
895
  
5.000%, 10/01/29
10/21 at 100.00
A–
887,643
700
  
5.000%, 10/01/31
10/21 at 100.00
A–
682,486
1,000
  
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series
7/20 at 100.00
AA
1,017,360
   
2011K-6, 5.375%, 7/01/41
      
300
  
Massachusetts Development Finance Agency, Revenue Bonds, Southcoast Health System Obligated
7/23 at 100.00
A
287,292
   
Group Issue, Series 2013F, 5.000%, 7/01/37
      
2,000
  
Massachusetts Health and Educational Facilities Authority, Partners HealthCare System Inc.,
7/17 at 100.00
AA
2,015,820
   
Series 2007G, 5.000%, 7/01/32
      
   
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
2,401,246
770
  
5.375%, 2/01/28 – NPFG Insured
8/18 at 100.00
A
804,450
1,500
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc.,
8/18 at 100.00
A
1,582,050
   
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
1,044,260
   
Series 2009M, 5.500%, 12/01/39
      
500
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Dana-Farber Cancer
12/18 at 100.00
A1
495,000
   
Institute, Series 2008K, 5.000%, 12/01/37
      
935
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital,
8/15 at 100.00
N/R
754,461
   
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+
1,068,500
   
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+
2,053,420
   
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–
534,515
   
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–
961,030
   
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
BBB+
1,380,987
   
Health Care, Series 2005D, 5.000%, 7/01/33
      
18,870
  
Total Health Care
    
18,881,540
   
Housing/Multifamily – 4.3% (2.8% of Total Investments)
      
1,285
  
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor
7/17 at 100.00
BB
1,210,072
   
Project, Series 2007, 4.800%, 7/20/48
      
500
  
Massachusetts Housing Finance Agency, Housing Revenue Bonds, Series 2003S, 5.050%, 12/01/23
11/13 at 100.00
AA–
500,130
   
(Alternative Minimum Tax)
      
1,000
  
Somerville Housing Authority, Massachusetts, GNMA Collateralized Mortgage Revenue Bonds,
5/14 at 101.00
N/R
1,020,970
   
Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22
      
2,785
  
Total Housing/Multifamily
    
2,731,172
   
Housing/Single Family – 2.3% (1.5% of Total Investments)
      
1,500
  
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126,
6/16 at 100.00
AA
1,437,240
   
4.625%, 6/01/32 (Alternative Minimum Tax)
      
   
Industrials – 0.8% (0.6% of Total Investments)
      
115
  
Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,
No Opt. Call
N/R
113,635
   
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
409,244
   
Inc., Series 2003, 5.450%, 6/01/14
      
515
  
Total Industrials
    
522,879
   
Long-Term Care – 4.1% (2.7% of Total Investments)
      
185
  
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series
12/19 at 100.00
A–
188,591
   
2010, 5.625%, 12/01/30
      
500
  
Massachusetts Development Finance Agency, Revenue Bonds, North Hill Communities Issue, Series
11/23 at 100.00
N/R
482,370
   
2013A, 6.250%, 11/15/28
      
1,685
  
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,
10/13 at 102.00
N/R
1,558,490
   
5.250%, 10/01/26
      
375
  
Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement
11/13 at 100.00
BBB
375,375
   
Community, Series 1994B, 4.750%, 7/01/17
      
2,745
  
Total Long-Term Care
    
2,604,826
   
Tax Obligation/General – 17.9% (11.9% of Total Investments)
      
500
  
Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured
5/15 at 100.00
Aa2
534,995
300
  
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17
1/15 at 100.00
Aaa
318,432
125
  
Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – AGM Insured
2/14 at 100.00
AA–
126,723
1,000
  
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation
2/21 at 100.00
Aa3
1,006,780
   
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
1,283,263
   
5.000%, 2/15/32
      
1,010
  
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds,
No Opt. Call
AA+
1,262,823
   
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+
1,287,546
   
NPFG Insured
      
1,260
  
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured
No Opt. Call
AAA
1,475,977
1,000
  
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/29 –
No Opt. Call
Baa3
781,370
   
FGIC Insured
      
2,000
  
Quincy, Massachusetts, General Obligation Bonds, Series 2011, 5.250%, 12/01/38
12/20 at 100.00
Aa2
2,068,040
1,220
  
Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 –
7/15 at 100.00
Aa3
1,312,854
   
FGIC Insured
      
10,940
  
Total Tax Obligation/General
    
11,458,803
   
Tax Obligation/Limited – 20.2% (13.3% of Total Investments)
      
210
  
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Series 2004, 5.000%, 5/01/26 –
5/14 at 100.00
A–
215,475
   
AMBAC Insured
      
975
  
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C,
7/18 at 100.00
AAA
1,070,384
   
5.000%, 7/01/26
      
385
  
Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds,
No Opt. Call
AAA
453,622
   
Series 2004C, 5.250%, 7/01/21
      
1,200
  
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%,
5/18 at 100.00
AA
1,221,048
   
5/01/33 – AGC Insured
      
1,000
  
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B,
No Opt. Call
Aa2
1,172,980
   
5.375%, 5/01/23 – SYNCORA GTY Insured
      
570
  
Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B,
5/22 at 100.00
AA
583,657
   
5.000%, 5/01/37
      
1,250
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series
5/23 at 100.00
AA+
1,283,788
   
2013A, 5.000%, 5/15/38
      
380
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A,
8/17 at 100.00
AA+
383,587
   
5.000%, 8/15/37 – AMBAC Insured
      
1,000
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B,
10/21 at 100.00
AA+
1,019,340
   
5.000%, 10/15/41
      
540
  
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%,
No Opt. Call
A1
607,516
   
1/01/20 – FGIC Insured
      
240
  
Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A,
No Opt. Call
BBB+
20,244
   
0.000%, 7/01/43 – AMBAC Insured
      
1,000
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
8/19 at 100.00
A+
891,250
   
2009A, 6.000%, 8/01/42
      
1,650
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
No Opt. Call
A+
270,485
   
2010C, 0.000%, 8/01/38
      
3,000
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
8/21 at 100.00
A+
2,249,100
   
2011A-1, 5.000%, 8/01/43
      
235
  
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA,
No Opt. Call
A
225,534
   
5.500%, 7/01/19 – NPFG Insured
      
1,300
  
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series
No Opt. Call
BBB+
1,231,061
   
2012A, 5.000%, 10/01/32
      
14,935
  
Total Tax Obligation/Limited
    
12,899,071
   
Transportation – 8.0% (5.3% of Total Investments)
      
500
  
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30
7/20 at 100.00
AA
528,980
1,000
  
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series
7/17 at 100.00
A
959,850
   
2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)
      
725
  
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series
1/14 at 100.00
N/R
648,592
   
2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
      
2,530
  
Massachusetts Port Authority, Special Facilities Revenue Bonds, US Airways Group Inc., Series
3/14 at 100.00
A
2,534,200
   
1996A, 5.750%, 9/01/16 – NPFG Insured (Alternative Minimum Tax)
      
470
  
Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Senior Lien Parking
7/21 at 100.00
A+
471,481
   
Revenue Bonds, Series 2011, 5.000%, 7/01/41
      
5,225
  
Total Transportation
    
5,143,103
   
U.S. Guaranteed – 22.9% (15.1% of Total Investments) (5)
      
2,000
  
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Series
11/14 at 100.00
AA+ (5)
2,112,200
   
2004A, 5.000%, 11/01/25 (Pre-refunded 11/01/14)
      
650
  
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17
1/15 at 100.00
N/R (5)
690,294
   
(Pre-refunded 1/01/15)
      
1,115
  
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds,
3/17 at 100.00
N/R (5)
1,251,710
   
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
29,195
   
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 (5)
567,633
   
(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 (5)
362,245
   
(Pre-refunded 5/01/16) – AMBAC Insured
      
1,745
  
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of
7/15 at 100.00
AA – (5)
1,887,165
   
Pharmacy and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 (Pre-refunded 7/01/15) –
      
   
AGC Insured
      
410
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc.,
7/21 at 100.00
A (5)
462,000
   
Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG Insured
      
1,300
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,
8/15 at 100.00
AA+ (5)
1,415,674
   
5.000%, 8/15/20 (Pre-refunded 8/15/15) – AGM Insured (UB)
      
1,500
  
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%,
1/14 at 100.00
A1 (5)
1,525,410
   
1/01/25 (Pre-refunded 1/01/14) – FGIC Insured
      
750
  
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11,
8/15 at 100.00
AAA
808,335
   
4.500%, 8/01/29 (Pre-refunded 8/01/15)
      
1,000
  
Massachusetts, General Obligation Bonds, Consolidated Loan, Series 2005A, 5.000%, 3/01/23
3/15 at 100.00
Aaa
1,069,140
   
(Pre-refunded 3/01/15) – AGM Insured
      
1,330
  
Puerto Rico Electric Power Authority, Power Revenue Refunding Bonds, Series 1989O, 0.000%,
No Opt. Call
A (5)
1,170,679
   
7/01/17 – NPFG Insured (ETM)
      
1,065
  
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA,
No Opt. Call
A (5)
1,282,058
   
5.500%, 7/01/19 – NPFG Insured (ETM)
      
13,765
  
Total U.S. Guaranteed
    
14,633,738
   
Utilities – 1.2% (0.8% of Total Investments)
      
185
  
Guam Power Authority, Revenue Bonds, Series 2012A, 5.000%, 10/01/30 – AGM Insured
10/22 at 100.00
AA–
188,783
750
  
Massachusetts Development Finance Agency, Resource Recovery Revenue Refunding Bonds, Covanta
11/17 at 100.00
BB+
588,210
   
Energy Project, Series 2012B, 4.875%, 11/01/42
      
935
  
Total Utilities
    
776,993
   
Water and Sewer – 6.6% (4.4% of Total Investments)
      
500
  
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Lien
11/19 at 100.00
AA+
534,965
   
Refunding Series 2010A, 5.000%, 11/01/30
      
60
  
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9,
8/14 at 100.00
AAA
60,231
   
5.000%, 8/01/22
      
285
  
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10,
8/14 at 100.00
AAA
296,135
   
5.000%, 8/01/26
      
1,000
  
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12,
8/16 at 100.00
AAA
1,004,460
   
4.375%, 8/01/31 (UB)
      
200
  
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A,
11/13 at 100.00
AAA
200,822
   
5.250%, 8/01/20
      
1,500
  
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%,
8/17 at 100.00
AA+
1,601,010
   
8/01/28 – NPFG Insured
      
625
  
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46
8/16 at 100.00
AA+
550,560
4,170
  
Total Water and Sewer
    
4,248,183
$ 98,350
  
Total Investments (cost $99,151,926) – 151.4%
    
96,769,113
   
Floating Rate Obligations – (2.2)%
    
(1,435,000)
   
MuniFund Term Preferred Shares, at Liquidation Value – (57.3)% (6)
    
(36,645,000)
   
Other Assets Less Liabilities – 8.1%
    
5,224,688
   
Net Assets Applicable to Common Shares – 100%
    
$  63,913,801
 

 
 
 
 
 
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 following is a summary of the three-tiered hierarchy of valuation input levels.
 
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
 
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Prices are determined using 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 risks associated with investing in those securities. The following is a summary of the Fund's fair value measurements as of the end of the reporting period:
         
 
Level 1
Level 2
Level 3
Total
Long-Term Investments:
        
Municipal Bonds
$ —
$96,769,113
$ —
$96,769,113
 
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.
 
As of August 31, 2013, the cost of investments was $97,632,945.
 
Gross unrealized appreciation and gross unrealized depreciation of investments as of August 31, 2013, were as follows:
   
Gross unrealized:
  
Appreciation
$  2,358,849
Depreciation
(4,657,263)
Net unrealized appreciation (depreciation) of investments
$(2,298,414)
 
(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)
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in inverse floating rate transactions.
(5)
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(6)
MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 37.9%.
(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:         October 30, 2013        
 
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:         October 30, 2013        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:         October 30, 2013