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 811-07484
 
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:         2/28/15         
 
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
      
 
   
Nuveen Massachusetts Premium Income Municipal Fund (NMT)
      
   
February 28, 2015 (Unaudited)
      
 
Principal
    
Optional Call
    
Amount (000)
  
Description (1)
Provisions (2)
Ratings (3)
Value
 
   
LONG-TERM INVESTMENTS – 153.3% (100.0% of Total Investments)
      
 
   
MUNICIPAL BONDS – 153.3% (100.0% of Total Investments)
      
 
   
Consumer Discretionary – 1.0% (0.7% of Total Investments)
      
$ 1,905
  
Boston Industrial Development Financing Authority, Massachusetts, Senior Revenue Bonds,
5/15 at 100.00
Caa3
$ 1,378,248
   
Crosstown Center Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum Tax) (4)
      
   
Education and Civic Organizations – 39.3% (25.6% of Total Investments)
      
   
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Tender Option
      
   
Bond Trust 1163:
      
1,880
  
17.116%, 10/01/48 (IF) (5)
10/23 at 100.00
AAA
2,837,390
575
  
17.017%, 10/01/48 (IF) (5)
10/23 at 100.00
AAA
867,457
2,150
  
Massachusetts Development Finance Agency Revenue Bonds, Lesley University Issue Series B-1
7/21 at 100.00
AA
2,448,807
   
and B-2, 5.250%, 7/01/33 – AGM Insured
      
2,200
  
Massachusetts Development Finance Agency, Revenue Bonds, Boston College Issue, Series 2013S,
7/23 at 100.00
AA–
2,505,184
   
5.000%, 7/01/38
      
1,135
  
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2005T-1,
10/15 at 100.00
A1
1,162,524
   
5.000%, 10/01/39 – AMBAC Insured
      
750
  
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1,
10/19 at 100.00
A1
859,823
   
5.000%, 10/01/29
      
1,400
  
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A,
1/20 at 100.00
BBB+
1,489,558
   
5.000%, 1/01/40
      
550
  
Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2012,
No Opt. Call
A2
623,794
   
5.000%, 10/01/31
      
   
Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2014A:
      
875
  
5.000%, 3/01/39
3/24 at 100.00
A2
991,585
1,400
  
5.000%, 3/01/44
3/24 at 100.00
A2
1,580,712
500
  
Massachusetts Development Finance Agency, Revenue Bonds, Simmons College, Series 2013J,
No Opt. Call
BBB+
553,875
   
5.250%, 10/01/39
      
1,000
  
Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art
7/21 at 100.00
AA
1,108,630
   
Institute, Series 2011A, 5.000%, 7/01/41
      
3,000
  
Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A,
4/21 at 100.00
AA–
3,454,079
   
5.250%, 4/01/37
      
875
  
Massachusetts Development Finance Agency, Revenue Bonds, Tufts University, Series 2015Q,
8/25 at 100.00
Aa2
1,021,773
   
5.000%, 8/15/38
      
2,095
  
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute,
9/17 at 100.00
AA–
2,276,113
   
Series 2007, 5.000%, 9/01/37 – NPFG Insured
      
1,365
  
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute,
9/22 at 100.00
A+
1,519,218
   
Series 2012, 5.000%, 9/01/50
      
3,000
  
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,
No Opt. Call
A
3,886,139
   
Series 2002A, 5.750%, 1/01/42 – AMBAC Insured
      
9,950
  
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation,
1/18 at 100.00
AA
10,454,961
   
Series 2008A, 5.000%, 1/01/42 – AGC Insured
      
   
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University,
      
   
Series 1999P:
      
1,090
  
6.000%, 5/15/29
No Opt. Call
A1
1,376,943
1,000
  
6.000%, 5/15/59
5/29 at 105.00
A1
1,264,550
35
  
Massachusetts Educational Finance Authority, Educational Loan Revenue Bonds, Series 2001E,
7/15 at 100.00
AA
35,140
   
5.300%, 1/01/16 – AMBAC Insured (Alternative Minimum Tax)
      
390
  
Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2008H,
1/18 at 100.00
AA
411,957
   
6.350%, 1/01/30 – AGC Insured (Alternative Minimum Tax)
      
865
  
Massachusetts Educational Financing Authority, Educational Loan Revenue, Series 2011J, 5.625%,
7/21 at 100.00
AA
950,142
   
7/01/33 (Alternative Minimum Tax)
      
255
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northeastern
10/20 at 100.00
A2
276,713
   
University, Series 2010A, 4.875%, 10/01/35
      
1,500
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College,
10/19 at 100.00
Baa1
1,646,730
   
Series 2010, 5.500%, 10/15/31
      
2,030
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College
1/20 at 100.00
A2
2,245,485
   
Issues, Series 2010F, 5.000%, 1/01/41
      
75
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College,
7/16 at 100.00
AA+
79,245
   
Series 2007L, 5.000%, 7/01/31
      
500
  
Massachusetts Health and Educational Facilities Authority, Revenue Refunding Bonds, Suffolk
7/19 at 100.00
BBB
568,145
   
University Issue, Series 2009A, 5.750%, 7/01/39
      
200
  
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Fin
No Opt. Call
BBB
157,998
   
Authority, Higher Ed Rev and Rev Refunding Bonds, University of the Sacred Heart Project,
      
   
Series 2012, 5.000%, 10/01/42
      
4,000
  
University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2015-1,
11/25 at 100.00
Aa2
4,678,279
   
5.000%, 11/01/40 (WI/DD, Settling 3/25/15)
      
1,510
  
University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series
No Opt. Call
Aa2
1,704,684
   
2009-1, 5.000%, 5/01/39
      
48,150
  
Total Education and Civic Organizations
    
55,037,633
   
Health Care – 32.5% (21.2% of Total Investments)
      
1,000
  
Massachusetts Development Finance Agency Revenue Bonds, Baystate Medical Center Issue, Series
7/24 at 100.00
A+
1,121,600
   
2014N, 5.000%, 7/01/44
      
2,000
  
Massachusetts Development Finance Agency Revenue Bonds, Partners HealthCare System Issue,
7/25 at 100.00
AA
2,295,840
   
Series 2015-O1, 5.000%, 7/01/45
      
1,000
  
Massachusetts Development Finance Agency Revenue Bonds, Children’s Hospital Issue, Series
10/24 at 100.00
AA
1,133,360
   
2014P, 5.000%, 10/01/46
      
1,410
  
Massachusetts Development Finance Agency, Hospital Revenue Bonds, Cape Cod Healthcare
11/23 at 100.00
A–
1,586,588
   
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–
998,802
700
  
5.000%, 10/01/31
10/21 at 100.00
A–
777,651
1,000
  
Massachusetts Development Finance Agency, Revenue Bonds, Covenant Health System Obligated
7/22 at 100.00
A
1,106,250
   
Group, Series 2012, 5.000%, 7/01/31
      
1,080
  
Massachusetts Development Finance Agency, Revenue Bonds, Milford Regional Medical Center
7/23 at 100.00
BBB–
1,212,214
   
Issue, Series 2014F, 5.750%, 7/15/43
      
155
  
Massachusetts Development Finance Agency, Revenue Bonds, Northern Berkshire Community
5/15 at 100.00
N/R
8,653
   
Services Inc., Series 2012B, 0.000%, 2/15/43 (6), (7)
      
124
  
Massachusetts Development Finance Agency, Revenue Bonds, Northern Berkshire Community
5/15 at 100.00
N/R
6,888
   
Services Inc., Series 2012B, 0.000%, 2/15/43 (6), (7)
      
176
  
Massachusetts Development Finance Agency, Revenue Bonds, Northern Berkshire Community
5/15 at 103.00
N/R
9,808
   
Services Inc., Series 2012C, 0.000%, 2/15/43 (6), (7)
      
2,200
  
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series
7/20 at 100.00
AA
2,513,324
   
2011K-6, 5.375%, 7/01/41
      
1,000
  
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series
7/21 at 100.00
AA
1,133,250
   
2012L, 5.000%, 7/01/36
      
820
  
Massachusetts Development Finance Agency, Revenue Bonds, Southcoast Health System Obligated
7/23 at 100.00
A
915,538
   
Group Issue, Series 2013F, 5.000%, 7/01/37
      
   
Massachusetts Development Finance Agency, Revenue Bonds, The Lowell General Hospital,
      
   
Series 2013G:
      
1,000
  
5.000%, 7/01/37
7/23 at 100.00
BBB+
1,081,730
2,200
  
5.000%, 7/01/44
7/23 at 100.00
BBB+
2,350,634
500
  
Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health, Series 2011H,
7/21 at 100.00
BBB+
561,415
   
5.500%, 7/01/31
      
500
  
Massachusetts Health and Educational Facilities Authority Revenue Bonds, Quincy Medical Center
1/18 at 100.00
N/R
1,280
   
Issue, Series 2008A, 6.500%, 1/15/38 (6)
      
945
  
Massachusetts Health and Educational Facilities Authority, Partners HealthCare System Inc.,
7/17 at 100.00
AA
1,028,226
   
Series 2007G, 5.000%, 7/01/32
      
160
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical
7/19 at 100.00
A+
184,051
   
Center, Series 2009I, 5.750%, 7/01/36
      
500
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare
11/19 at 100.00
AA
563,730
   
Obligated Group, Series 2004D, 5.125%, 11/15/35 – AGC Insured
      
   
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc.,
      
   
Series B1 Capital Asset Program Converted June 13,2008:
      
3,380
  
5.375%, 2/01/26 – NPFG Insured
8/18 at 100.00
AA–
3,800,336
600
  
5.375%, 2/01/27 – NPFG Insured
8/18 at 100.00
AA–
674,616
770
  
5.375%, 2/01/28 – NPFG Insured
8/18 at 100.00
AA–
861,823
   
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Caregroup Inc.,
      
   
Series B2, Capital Asset Program, Converted June 9, 2009:
      
2,000
  
5.375%, 2/01/27 – NPFG Insured
8/18 at 100.00
AA–
2,248,720
1,500
  
5.375%, 2/01/28 – NPFG Insured
8/18 at 100.00
AA–
1,678,875
2,000
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children’s Hospital,
12/19 at 100.00
AA
2,314,920
   
Series 2009M, 5.500%, 12/01/39
      
2,500
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Dana-Farber Cancer
12/18 at 100.00
A1
2,753,175
   
Institute, Series 2008K, 5.000%, 12/01/37
      
550
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Emerson Hospital,
8/15 at 100.00
N/R
557,387
   
Series 2005E, 5.000%, 8/15/25 – RAAI Insured
      
1,600
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Clinic Medical
8/15 at 100.00
AA–
1,634,832
   
Center, Series 2005C, 5.000%, 8/15/21 – FGIC Insured
      
3,000
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical
8/17 at 100.00
A+
3,236,520
   
Center, Series 2007D, 5.250%, 8/15/28
      
1,495
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional
7/17 at 100.00
BBB–
1,532,868
   
Medical Center, Series 2007E, 5.000%, 7/15/32
      
1,700
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milton Hospital
7/15 at 100.00
BB+
1,706,919
   
Project, Series 2005D, 5.250%, 7/01/30
      
1,980
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial
7/15 at 100.00
BBB+
1,992,494
   
Health Care, Series 2005D, 5.000%, 7/01/33
      
42,440
  
Total Health Care
    
45,584,317
   
Housing/Multifamily – 3.7% (2.4% of Total Investments)
      
500
  
Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%,
4/18 at 100.00
AA
558,570
   
4/01/20 – AGM Insured
      
2,525
  
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor
7/17 at 100.00
BB
2,585,045
   
Project, Series 2007, 4.800%, 7/20/48
      
2,000
  
Massachusetts Housing Finance Agency, Housing Bonds, Series 2003H, 5.125%, 6/01/43
5/15 at 100.00
AA–
2,002,060
5,025
  
Total Housing/Multifamily
    
5,145,675
   
Housing/Single Family – 1.5% (1.0% of Total Investments)
      
2,150
  
Massachusetts Housing Finance Agency, Single Family Housing Revenue Bonds, Series 2006-126,
6/16 at 100.00
AA
2,169,802
   
4.625%, 6/01/32 (Alternative Minimum Tax)
      
   
Industrials – 2.2% (1.4% of Total Investments)
      
   
Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street
      
   
Redevelopment, M/SRBC Project, Series 2002A:
      
1,475
  
5.125%, 8/01/28 – NPFG Insured
4/15 at 100.00
AA–
1,476,814
1,565
  
5.125%, 2/01/34 – NPFG Insured
4/15 at 100.00
AA–
1,566,675
3,040
  
Total Industrials
    
3,043,489
   
Long-Term Care – 3.8% (2.5% of Total Investments)
      
285
  
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series
12/19 at 100.00
A–
325,832
   
2010, 5.625%, 12/01/30
      
1,000
  
Massachusetts Development Finance Agency, Revenue Bonds, Loomis Communities, Series 2013A,
1/23 at 100.00
BBB–
1,114,370
   
5.250%, 1/01/26
      
500
  
Massachusetts Development Finance Agency, Revenue Bonds, North Hill Communities Issue, Series
11/23 at 100.00
N/R
542,575
   
2013A, 6.250%, 11/15/28
      
2,410
  
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,
4/15 at 101.00
N/R
2,435,908
   
5.250%, 10/01/26
      
500
  
Massachusetts Development Finance Authority, First Mortgage Revenue Bonds, Berkshire
7/15 at 100.00
BBB
502,310
   
Retirement Community – Edgecombe Project, Series 2001A, 6.750%, 7/01/21
      
375
  
Massachusetts Industrial Finance Agency, First Mortgage Revenue Bonds, Berkshire Retirement
5/15 at 100.00
BBB
375,548
   
Community, Series 1994B, 4.750%, 7/01/17
      
5,070
  
Total Long-Term Care
    
5,296,543
   
Tax Obligation/General – 15.7% (10.3% of Total Investments)
      
300
  
Boston, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 1/01/17
5/15 at 100.00
AAA
301,233
2,000
  
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation
2/21 at 100.00
Aa3
2,232,060
   
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
1,426,150
   
5.000%, 2/15/32
      
1,010
  
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds,
No Opt. Call
AA+
1,241,300
   
Series 1991A, 7.000%, 3/01/21
      
2,440
  
Massachusetts State, General Obligation Bonds, Consolidated Loan, Refunding Series 2014C,
No Opt. Call
AA+
2,986,267
   
5.000%, 8/01/22
      
1,500
  
Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.250%,
No Opt. Call
AA+
1,833,330
   
8/01/21 – AGM Insured
      
1,000
  
Newburyport, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2013,
1/23 at 100.00
AA+
1,071,170
   
4.000%, 1/15/30
      
1,705
  
North Attleborough, Massachusetts, General Obligation Bonds, Series 2004, 5.000%, 7/15/15 –
5/15 at 101.00
Aa2
1,729,006
   
FGIC Insured
      
1,775
  
North Reading, Massachusetts, General Obligation Bonds, Series 2012, 5.000%, 5/15/35 –
5/22 at 100.00
Aa2
2,008,661
   
AMBAC Insured
      
1,760
  
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured
No Opt. Call
AAA
2,100,630
   
Quincy, Massachusetts, General Obligation Bonds, Series 2011:
      
1,280
  
5.125%, 12/01/33
12/20 at 100.00
Aa2
1,475,507
2,000
  
5.250%, 12/01/38
12/20 at 100.00
Aa2
2,321,240
1,220
  
Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 –
7/15 at 100.00
AA–
1,258,479
   
FGIC Insured
      
19,240
  
Total Tax Obligation/General
    
21,985,033
   
Tax Obligation/Limited – 20.8% (13.6% of Total Investments)
      
   
Government of Guam, Business Privilege Tax Bonds, Series 2011A:
      
2,000
  
5.250%, 1/01/36
1/22 at 100.00
A
2,237,100
1,310
  
5.125%, 1/01/42
1/22 at 100.00
A
1,447,733
   
Government of Guam, Business Privilege Tax Bonds, Series 2012B-1:
      
400
  
5.000%, 1/01/37
1/22 at 100.00
A
438,772
1,055
  
5.000%, 1/01/42
1/22 at 100.00
A
1,150,530
855
  
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Refunding Green Series 2014,
11/24 at 100.00
AA
987,568
   
5.000%, 5/01/33 – BAM Insured
      
1,000
  
Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2012A, 5.000%, 7/01/41
7/22 at 100.00
AAA
1,133,030
770
  
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Refunding Senior Lien
No Opt. Call
AAA
942,311
   
Series 2004C, 5.250%, 7/01/21
      
975
  
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C,
7/18 at 100.00
AAA
1,098,357
   
5.000%, 7/01/26
      
   
Massachusetts College Building Authority, Project Revenue Bonds, Green Series 2014B:
      
460
  
5.000%, 5/01/39
5/24 at 100.00
AA
529,327
1,610
  
5.000%, 5/01/44
5/24 at 100.00
AA
1,847,105
2,500
  
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%,
5/18 at 100.00
AA
2,763,675
   
5/01/33 – AGC Insured
      
1,000
  
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B,
No Opt. Call
Aa2
1,259,190
   
5.375%, 5/01/23 – SYNCORA GTY Insured
      
855
  
Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B,
5/22 at 100.00
AA
968,783
   
5.000%, 5/01/37
      
1,875
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series
5/23 at 100.00
AA+
2,149,144
   
2013A, 5.000%, 5/15/38
      
1,875
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A,
8/17 at 100.00
AA+
2,044,088
   
5.000%, 8/15/37 – AMBAC Insured
      
   
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B:
      
975
  
5.000%, 10/15/35
No Opt. Call
AA+
1,120,538
1,000
  
5.000%, 10/15/41
10/21 at 100.00
AA+
1,139,250
1,070
  
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%,
No Opt. Call
AA–
1,233,517
   
1/01/20 – FGIC Insured
      
1,500
  
Massachusetts, Transportation Fund Revenue Bonds, Accelerated Bridge Program, Series 2013A,
6/21 at 100.00
AAA
1,720,065
   
5.000%, 6/01/38
      
2,700
  
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series
No Opt. Call
BBB+
2,986,929
   
2012A, 5.000%, 10/01/32
      
25,785
  
Total Tax Obligation/Limited
    
29,197,012
   
Transportation – 7.4% (4.8% of Total Investments)
      
400
  
Massachusetts Department of Transportation, Metropolitan Highway System Revenue Bonds,
1/20 at 100.00
AA+
456,324
   
Commonwealth Contract Assistance Secured, Refunding Series 2010B, 5.000%, 1/01/35
      
1,000
  
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30
7/20 at 100.00
AA
1,158,200
1,000
  
Massachusetts Port Authority, Revenue Bonds, Series 2012B, 5.000%, 7/01/33
7/22 at 100.00
AA
1,157,310
   
Massachusetts Port Authority, Revenue Bonds, Series 2014A:
      
1,000
  
5.000%, 7/01/39
7/24 at 100.00
AA
1,150,450
2,500
  
5.000%, 7/01/44
7/24 at 100.00
AA
2,856,525
1,400
  
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series
7/17 at 100.00
AA–
1,494,710
   
2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)
      
1,225
  
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series
7/15 at 100.00
N/R
1,225,245
   
2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
      
730
  
Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Senior Lien Parking
7/21 at 100.00
A+
818,359
   
Revenue Bonds, Series 2011, 5.000%, 7/01/41
      
9,255
  
Total Transportation
    
10,317,123
   
U.S. Guaranteed – 12.3% (8.0% of Total Investments) (8)
      
1,310
  
Ashland, Massachusetts, General Obligation Bonds, Series 2004, 5.250%, 5/15/23 (Pre-refunded
5/15 at 100.00
Aa2 (8)
1,324,620
   
5/15/15) – AMBAC Insured
      
125
  
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2005,
7/15 at 100.00
A– (8)
127,453
   
6.000%, 7/01/25 (Pre-refunded 7/01/15)
      
685
  
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds,
3/17 at 100.00
N/R (8)
728,888
   
Series 1991A, 7.000%, 3/01/21 (ETM)
      
25
  
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C,
7/18 at 100.00
AAA
28,427
   
5.000%, 7/01/26 (Pre-refunded 7/01/18)
      
575
  
Massachusetts College Building Authority, Project Revenue Bonds, Series 2006A, 5.000%, 5/01/31
5/16 at 100.00
Aa2 (8)
607,068
   
(Pre-refunded 5/01/16) – AMBAC Insured
      
110
  
Massachusetts Development Finance Agency, Revenue Bonds, Draper Laboratory, Series 2008,
9/18 at 100.00
Aa3 (8)
128,600
   
5.875%, 9/01/30 (Pre-refunded 9/01/18)
      
2,240
  
Massachusetts Development Finance Authority, Revenue Bonds, Massachusetts College of Pharmacy
7/15 at 100.00
AA (8)
2,277,363
   
and Allied Health Sciences, Series 2005D, 5.000%, 7/01/27 (Pre-refunded 7/01/15) – AGC Insured
      
1,055
  
Massachusetts Health and Educational Facilities Authority, Partners HealthCare System Inc.,
7/17 at 100.00
N/R (8)
1,163,285
   
Series 2007G, 5.000%, 7/01/32 (Pre-refunded 7/01/17)
      
410
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc.,
7/21 at 100.00
AA– (8)
480,680
   
Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG Insured
      
350
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University,
8/18 at 100.00
Aa2 (8)
403,085
   
Series 2008O, 5.375%, 8/15/38 (Pre-refunded 8/15/18)
      
515
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Williams College,
7/16 at 100.00
N/R (8)
547,342
   
Series 2007L, 5.000%, 7/01/31 (Pre-refunded 7/01/16)
      
1,700
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,
8/15 at 100.00
AA+ (8)
1,738,862
   
5.000%, 8/15/20 (Pre-refunded 8/15/15) – AGM Insured
      
2,500
  
Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2005C, 5.000%,
9/15 at 100.00
Aaa
2,562,550
   
9/01/22 (Pre-refunded 9/01/15)
      
1,250
  
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2005-11,
8/15 at 100.00
AAA
1,273,300
   
4.500%, 8/01/29 (Pre-refunded 8/01/15)
      
785
  
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12,
8/16 at 100.00
Aaa
830,459
   
4.375%, 8/01/31 (Pre-refunded 8/01/16)
      
95
  
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28
8/17 at 100.00
Aa1 (8)
105,059
   
(Pre-refunded 8/01/17)
      
1,500
  
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 5.000%, 8/01/31
8/16 at 100.00
AA+ (8)
1,599,990
   
(Pre-refunded 8/01/16) – AMBAC Insured
      
1,065
  
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA,
No Opt. Call
A3 (8)
1,266,988
   
5.500%, 7/01/19 – NPFG Insured (ETM)
      
16,295
  
Total U.S. Guaranteed
    
17,194,019
   
Utilities – 4.2% (2.7% of Total Investments)
      
2,580
  
Guam Power Authority, Revenue Bonds, Series 2010A, 5.000%, 10/01/37 – AGM Insured
10/20 at 100.00
AA
2,849,455
1,265
  
Massachusetts Clean Energy Cooperative Corporation, Revenue Bonds, Massachusetts Municipal
7/23 at 100.00
A1
1,458,558
   
Lighting Plant Cooperative, Series 2013, 5.000%, 7/01/32
      
1,510
  
Massachusetts Development Finance Agency, Resource Recovery Revenue Refunding Bonds, Covanta
11/17 at 100.00
BB+
1,552,038
   
Energy Project, Series 2012B, 4.875%, 11/01/42
      
5,355
  
Total Utilities
    
5,860,051
   
Water and Sewer – 8.9% (5.8% of Total Investments)
      
500
  
Boston Water and Sewerage Commission, Massachusetts, General Revenue Bonds, Senior Lien
11/19 at 100.00
AA+
573,795
   
Refunding Series 2010A, 5.000%, 11/01/30
      
565
  
Guam Waterworks Authority, Water and Wastewater System Revenue Bonds, Refunding Series 2014A,
7/24 at 100.00
A–
628,218
   
5.000%, 7/01/29
      
1,900
  
Lynn Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2003A, 5.000%,
5/15 at 100.00
AA–
1,906,764
   
12/01/32 – NPFG Insured
      
2,300
  
Massachusetts Clean Water Trust, State Revolving Fund Bonds, Green 18 Series 2015,
2/24 at 100.00
AAA
2,663,745
   
5.000%, 2/01/45
      
60
  
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9,
5/15 at 100.00
AAA
60,242
   
5.000%, 8/01/22
      
1,215
  
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2006-12,
8/16 at 100.00
AAA
1,275,398
   
4.375%, 8/01/31
      
400
  
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A,
5/15 at 100.00
AAA
401,712
   
5.250%, 8/01/20
      
1,000
  
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%,
No Opt. Call
AA+
1,180,830
   
8/01/19 – AGM Insured
      
1,405
  
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28
8/17 at 100.00
AA+
1,533,515
1,000
  
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2006A, 4.000%, 8/01/46
8/16 at 100.00
AA+
1,005,100
720
  
Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Series
11/20 at 100.00
AA
833,962
   
2010B, 5.000%, 11/15/30 – AGC Insured
      
   
Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2014A:
      
185
  
5.000%, 7/15/22
No Opt. Call
AA–
224,980
150
  
5.000%, 7/15/23
No Opt. Call
AA–
184,185
11,400
  
Total Water and Sewer
    
12,472,446
$ 195,110
  
Total Long-Term Investments (cost $200,935,315) – 153.3%
    
214,681,391
   
Variable Rate MuniFund Term Preferred Shares, at Liquidation Value – (52.8)% (9)
    
(74,000,000)
   
Other Assets Less Liabilities – (0.5)%
    
(649,893)
   
Net Assets Applicable to Common Shares – 100%
    
$ 140,031,498
 
 
 
 
 
 
 
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
$ —
$214,656,042
$25,349
$214,681,391
 
 
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 February 28, 2015, the cost of investments was $200,810,710.
 
Gross unrealized appreciation and gross unrealized depreciation of investments as of February 28, 2015, were as follows:
   
Gross unrealized:
  
Appreciation
$14,651,914
Depreciation
(781,233)
Net unrealized appreciation (depreciation) of investments
$13,870,681
 
(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 Investor 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)
  
On September 1, 2013, the Fund's Adviser determined it was unlikely that this borrower would fulfill its
   
entire obligation on this security, and therefore reduced the security's interest rate of accrual from
   
6.500% to 5.200%.
(5)
  
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for
   
investments in derivatives and/ or inverse floating rate transactions.
(6)
  
At or subsequent to the end of the reporting period, this security is non-income producing. Non-income
   
producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on
   
the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the
   
Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations
   
and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(7)
  
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the
   
Board of Directors/Trustees. For fair value measurement disclosure purposes, investment classified
   
as Level 3.
(8)
  
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.
(9)
  
Variable Rate MuniFund Term Preferred Shares, at Liquidation Value as a percentage of Total Investments
   
is 34.5%.
(ETM)
  
Escrowed to maturity.
(IF)
  
Inverse floating rate investment.
(WI/DD)
  
Purchased on a when-issued or delayed delivery basis.
 
 
 
 
 
 
 
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, 2015        
 
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, 2015        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:         April 29, 2015