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:         2/28/10         
 
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 28, 2010       
Principal    Optional Call     
Amount (000)  Description (1)  Provisions (2)  Ratings (3)  Value 
  Consumer Discretionary – 1.2% (0.8% of Total Investments)       
$     1,425  Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,  9/12 at 102.00  Caa3  $    822,482 
  Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax)       
  Education and Civic Organizations – 33.9% (22.4% of Total Investments)       
375  Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1,  10/19 at 100.00  A  386,224 
  5.000%, 10/01/29       
1,045  Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute,  9/17 at 100.00  A+  1,050,842 
  Series 2007, 5.000%, 9/01/37 – NPFG Insured       
830  Massachusetts Development Finance Authority, Revenue Bonds, Curry College, Series 2000A,  3/10 at 100.50  BBB  834,789 
  6.000%, 3/01/20 – ACA Insured       
1,745  Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy  7/15 at 100.00  AAA  1,823,891 
  and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 – AGC Insured       
750  Massachusetts Development Finance Authority, Revenue Bonds, Milton Academy, Series 2003A,  9/13 at 100.00  AA–  797,168 
  5.000%, 9/01/19       
1,500  Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,  No Opt. Call  N/R  1,600,755 
  Series 2002A, 5.750%, 1/01/42 – AMBAC Insured       
4,900  Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,  1/18 at 100.00  AAA  4,988,788 
  Series 2008A, 5.000%, 1/01/42 – AGC Insured (UB)       
1,090  Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University,  No Opt. Call  A2  1,287,868 
  Series 1999P, 6.000%, 5/15/29       
1,550  Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2002E,  1/12 at 100.00  AA  1,614,341 
  5.000%, 1/01/13 – AMBAC Insured (Alternative Minimum Tax)       
2,000  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Boston College,  6/13 at 100.00  AA–  2,210,400 
  Series 2003N, 5.250%, 6/01/18       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Hebrew College,  3/10 at 100.00  N/R  475,000 
  Series 1999A,, 0.560%, 7/01/31 – RAAI Insured (5)       
1,000  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College  10/19 at 100.00  Baa1  1,003,640 
  Issue, Series 2010, 5.500%, 10/15/31       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wellesley College,  7/13 at 100.00  Aaa  523,875 
  Series 2003H, 5.000%, 7/01/26       
555  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College,  7/13 at 100.00  AAA  614,318 
  Series 2003H, 5.000%, 7/01/21       
1,380  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College,  7/16 at 100.00  AAA  1,457,804 
  Series 2007L, 5.000%, 7/01/31       
500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Worcester State  11/12 at 100.00  A–  501,205 
  College, Series 2002, 5.000%, 11/01/32 – AMBAC Insured       
1,645  Massachusetts Industrial Finance Agency, Revenue Bonds, Whitehead Institute for Biomedical  7/10 at 100.00  Aa1  1,646,497 
  Research, Series 1993, 5.125%, 7/01/26       
375  Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities  8/10 at 100.50  BBB–  371,449 
  Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System,       
  Series 1999, 5.375%, 2/01/19       
22,240  Total Education and Civic Organizations      23,188,854 
  Health Care – 25.8% (17.0% of Total Investments)       
1,000  Massachusetts Health and Educational Facilities Authority Revenue Bonds, Children’s Hospital  12/19 at 100.00  AA  1,055,570 
  Issue, Series M (2009), 5.500%, 12/01/39       
1,250  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Berkshire Health  10/11 at 101.00  BBB+  1,264,713 
  System, Series 2001E, 6.250%, 10/01/31       
1,000  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Health Care  11/11 at 101.00  BBB  849,350 
  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  1,814,850 
770  5.375%, 2/01/28 – MBIA Insured  8/18 at 100.00  A  771,263 
1,500  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Capital Asset  8/18 at 100.00  A  1,503,465 
  Program, Series 1998B-2, 5.375%, 2/01/27 – MBIA Insured       
1,000  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caritas Christi  7/12 at 101.00  BBB  1,011,600 
  Obligated Group, Series 2002B, 6.250%, 7/01/22       
935  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital,  8/15 at 100.00  N/R  699,922 
  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+  1,018,170 
  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+  1,976,680 
  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–  475,699 
  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–  670,610 
  Project, Series 2005D, 5.250%, 7/01/30       
750  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical  7/10 at 100.00  A  743,655 
  Center Hospitals, Series 1993G-1, 5.375%, 7/01/24 – MBIA Insured       
75  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Partners HealthCare  7/11 at 101.00  AA  76,964 
  System Inc., Series 2001C, 5.750%, 7/01/32       
375  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial  7/11 at 100.00  BBB+  378,773 
  Health Care, Series 2001C, 6.625%, 7/01/32       
1,445  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial  7/15 at 100.00  BBB+  1,286,209 
  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  2,017,000 
  Inc., Series 2007G, 5.000%, 7/01/32       
18,485  Total Health Care      17,614,493 
  Housing/Multifamily – 7.0% (4.6% of Total Investments)       
1,320  Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor  7/17 at 100.00  AAA  1,247,796 
  Project, Series 2007, 4.800%, 7/20/48       
1,795  Massachusetts Development Financing Authority, Assisted Living Revenue Bonds, Prospect House  6/10 at 102.00  N/R  1,727,005 
  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–  502,200 
  (Alternative Minimum Tax)       
250  Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 1999D,  7/10 at 101.00  N/R  253,685 
  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  AAA  1,049,590 
  Clarendon Hill Towers, Series 2002, 5.200%, 11/20/22       
4,865  Total Housing/Multifamily      4,780,276 
  Housing/Single Family – 3.6% (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  1,394,400 
  4.625%, 6/01/32 (Alternative Minimum Tax)       
985  Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2008, Trust  6/18 at 100.00  AA  1,074,546 
  3145, 14.374%, 12/01/28 (IF)       
2,485  Total Housing/Single Family      2,468,946 
  Industrials – 1.0% (0.7% of Total Investments)       
305  Massachusetts Development Finance Agency, Pioneer Valley Resource Recovery Revenue Bonds,  No Opt. Call  N/R  275,458 
  Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)       
400  Massachusetts Development Finance Agency, Solid Waste Disposal Revenue Bonds, Waste  No Opt. Call  BBB  428,496 
  Management Inc., Series 2003, 5.450%, 6/01/14       
705  Total Industrials      703,954 
  Long-Term Care – 6.8% (4.5% of Total Investments)       
1,270  Boston, Massachusetts, FHA-Insured Mortgage Revenue Bonds, Deutsches Altenheim Inc.,  4/10 at 104.00  AAA  1,321,803 
  Series 1998A, 6.125%, 10/01/31       
1,685  Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,  10/12 at 102.00  N/R  1,365,389 
  5.250%, 10/01/26       
1,500  Massachusetts Development Finance Authority, GNMA Collateralized Assisted Living Facility  3/12 at 105.00  AAA  1,583,175 
  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  1/11 at 101.00  BBB  390,052 
  Community, Series 1994B, 4.750%, 7/01/17       
4,855  Total Long-Term Care      4,660,419 
  Tax Obligation/General – 18.3% (12.1% of Total Investments)       
500  Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 – AMBAC Insured  5/15 at 100.00  A1  539,800 
1,250  Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17  1/15 at 100.00  AA+  1,436,725 
1,000  Fall River, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 2/01/21 – AGM Insured  2/13 at 101.00  AAA  1,044,750 
2,500  Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds,  No Opt. Call  AA  3,126,750 
  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  1,498,457 
  NPFG Insured       
980  Monson, Massachusetts, General Obligation Bonds, Series 2002, 5.250%, 5/15/22 – AMBAC Insured  5/12 at 101.00  A3  1,051,109 
1,260  Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured  No Opt. Call  AAA  1,498,518 
1,000  Puerto Rico, General Obligation and Public Improvement Bonds, Series 2001A, 5.500%, 7/01/29 –  No Opt. Call  Baa3  1,015,450 
  FGIC Insured       
1,220  Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 –  7/15 at 100.00  A  1,305,107 
  FGIC Insured       
10,985  Total Tax Obligation/General      12,516,666 
  Tax Obligation/Limited – 14.1% (9.3% 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  217,182 
  AMBAC Insured       
385  Massachusetts Bay Transportation Authority, Senior Lien Sales Tax Revenue Refunding Bonds,  No Opt. Call  AAA  462,027 
  Series 2004C, 5.250%, 7/01/21       
975  Massachusetts Bay Transportation Authority, Senior Sales Tax Revenue Bonds, Series 2006,  7/18 at 100.00  AAA  1,074,460 
  5.000%, 7/01/26       
550  Massachusetts College Building Authority, Project Revenue Bonds, Series 2004A, 5.000%, 5/01/19 –  5/14 at 100.00  Aa3  596,519 
  NPFG Insured       
325  Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31 –  5/16 at 100.00  Aa3  331,552 
  AMBAC Insured       
1,200  Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 –  5/18 at 100.00  AAA  1,244,352 
  AGC Insured       
1,000  Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B,  No Opt. Call  Aa3  1,136,100 
  5.375%, 5/01/23 – SYNCORA GTY Insured       
1,300  Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,  8/15 at 100.00  AAA  1,426,321 
  5.000%, 8/15/20 – AGM Insured       
540  Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 –  No Opt. Call  A  603,612 
  FGIC Insured       
1,000  Massachusetts, Special Obligation Refunding Notes, Federal Highway Grant Anticipation Note  No Opt. Call  Aa3  1,126,230 
  Program, Series 2003A, 5.000%, 12/15/13 – AGM Insured       
240  Puerto Rico Infrastructure Financing Authority, Special Tax Revenue Bonds, Series 2005A,  No Opt. Call  BBB+  23,191 
  0.000%, 7/01/43 – AMBAC Insured       
1,300  Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA,  No Opt. Call  A  1,391,052 
  5.500%, 7/01/19 – NPFG Insured       
9,025  Total Tax Obligation/Limited      9,632,598 
  Transportation – 10.4% (6.9% of Total Investments)       
2,000  Massachusetts Port Authority, Revenue Bonds, Series 2003A, 5.000%, 7/01/33 – NPFG Insured  7/13 at 100.00  AA–  2,109,680 
1,000  Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series  7/17 at 100.00  A  954,610 
  2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)       
225  Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series  1/11 at 101.00  N/R  160,425 
  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  3/10 at 100.00  A  3,795,520 
  1996A, 5.750%, 9/01/16 – NPFG Insured (Alternative Minimum Tax)       
115  Massachusetts Turnpike Authority, Metropolitan Highway System Revenue Bonds, Senior Series  7/10 at 100.00  A  112,827 
  1997A, 5.000%, 1/01/37 – NPFG Insured       
7,340  Total Transportation      7,133,062 
  U.S. Guaranteed – 14.3% (9.4% of Total Investments) (4)       
550  Guam Economic Development Authority, Tobacco Settlement Asset-Backed Bonds, Series 2001B,  5/11 at 100.00  N/R (4)  583,187 
  5.500%, 5/15/41 (Pre-refunded 5/15/11)       
25  Massachusetts Bay Transportation Authority, Senior Sales Tax Revenue Bonds, Series 2006,  7/18 at 100.00  AAA  29,547 
  5.000%, 7/01/26 (Pre-refunded 7/01/18)       
2,500  Massachusetts Development Finance Authority, GNMA Collateralized Revenue Bonds, VOA Concord  10/11 at 105.00  N/R (4)  2,880,400 
  Assisted Living Inc., Series 2000A, 6.900%, 10/20/41 (Pre-refunded 10/20/11)       
500  Massachusetts Development Finance Authority, Revenue Bonds, Belmont Hills School, Series 2001,  9/11 at 101.00  A (4)  541,365 
  5.375%, 9/01/23 (Pre-refunded 9/01/11)       
1,000  Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy  7/13 at 101.00  A– (4)  1,165,820 
  and Allied Health Sciences, Series 2003C, 5.750%, 7/01/33 (Pre-refunded 7/01/13)       
410  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc.,  7/21 at 100.00  AAA  482,094 
  Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – MBIA Insured       
600  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, New England Medical  5/12 at 100.00  N/R (4)  659,994 
  Center Hospitals, Series 2002H, 5.375%, 5/15/19 (Pre-refunded 5/15/12) – FGIC Insured       
1,000  Massachusetts Health and Educational Facilities Authority, Revenue Bonds, University of  10/11 at 100.00  A+ (4)  1,075,220 
  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, 13.000%, 7/01/13 (ETM)  7/10 at 100.00  AAA  641,240 
1,500  Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/25  1/14 at 100.00  A (4)  1,718,880 
  (Pre-refunded 1/01/14) – FGIC Insured       
8,610  Total U.S. Guaranteed      9,777,747 
  Utilities – 2.9% (1.9% of Total Investments)       
1,000  Massachusetts Development Finance Agency, Resource Recovery Revenue Bonds, SEMass System,  1/12 at 101.00  A  1,031,210 
  Series 2001A, 5.625%, 1/01/16 – NPFG Insured       
1,000  Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden  6/10 at 101.00  BBB  946,630 
  Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)       
2,000  Total Utilities      1,977,840 
  Water and Sewer – 12.2% (8.0% of Total Investments)       
500  Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Lien  11/19 at 100.00  AA+  542,495 
  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+  2,131,680 
  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  63,688 
  5.000%, 8/01/22       
285  Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2004-10,  8/14 at 100.00  AAA  302,699 
  5.000%, 8/01/26       
750  Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11,  8/15 at 100.00  AAA  771,630 
  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  1,001,640 
  4.375%, 8/01/31       
1,250  Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program,  8/12 at 100.00  AAA  1,373,338 
  Series 2002A, 5.250%, 8/01/20       
1,500  Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%,  8/17 at 100.00  AA+  1,591,590 
  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+  529,771 
7,970  Total Water and Sewer      8,308,531 
$      100,990  Total Investments (cost $102,485,401) – 151.5%      103,585,868 
  Floating Rate Obligations – (3.6)%      (2,450,000)
  MuniFund Term Preferred Shares, at Liquidation Value – (29.6)% (6)      (20,210,000)
  Other Assets Less Liabilities – 2.8%      1,825,980 
  Auction Rate Preferred Shares, at Liquidation Value – (21.1)% (6)      (14,400,000)
  Net Assets Applicable to Common Shares – 100%      $ 68,351,848 

 
 
 

Fair Value Measurements

In determining the value of the 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 the Fund’s fair value measurements as of February 28, 2010:

  Level 1  Level 2  Level 3  Total 
Investments:         
Municipal Bonds  $ —  $103,110,868  $ 475,000  $103,585,868 

The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the measurement period:

  Level 3 
  Municipal Bonds 
Balance at beginning of period  $457,505 
Gains (losses):   
Net realized gains (losses)  — 
Net change in unrealized appreciation (depreciation)  17,495 
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  $475,000 

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 28, 2010, the cost of investments was $99,944,726.

Gross unrealized appreciation and gross unrealized depreciation of investments at February 28, 2010, were as follows:

Gross unrealized:   
  Appreciation  $ 3,967,064 
  Depreciation  (2,775,873)
Net unrealized appreciation (depreciation) of investments  $ 1,191,191 

(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. 
(6)  MuniFund Term Preferred Shares and Auction Rate Preferred Shares, at Liquidation Value as a percentage 
  of Total Investments are 19.5% and 13.9%, respectively. 
N/R  Not rated. 
(ETM)  Escrowed to maturity. 
(IF)  Inverse floating rate investment. 
(UB)  Underlying bond of an inverse floating rate trust reflected as a financing transaction. 

 
 
 
 
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 29, 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         April 29, 2010        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date        April 29, 2010