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:         8/31/16         
 
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) 
 
 
 
 
  
August 31, 2016 (Unaudited) 
 
 
 
 
 
Principal 
  
 
Optional Call 
 
 
Amount (000) 
  
Description (1) 
Provisions (2) 
Ratings (3) 
Value 
 
 
  
LONG-TERM INVESTMENTS – 149.3% (100.0% of Total Investments) 
 
 
 
 
 
  
MUNICIPAL BONDS – 149.3% (100.0% of Total Investments) 
 
 
 
 
 
  
Education and Civic Organizations – 38.8% (26.0% of Total Investments) 
 
 
 
 
  
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Tender Option 
 
 
 
 
  
Bond Trust 2016-XG0070: 
 
 
 
$ 1,880 
  
15.404%, 10/01/48 (IF) (4) 
10/23 at 100.00 
A+ 
$ 3,288,082 
575 
  
15.318%, 10/01/48 (IF) (4) 
10/23 at 100.00 
A+ 
1,005,135 
2,200 
  
Massachusetts Development Finance Agency, Revenue Bonds, Boston College Issue, Series 2013S, 
7/23 at 100.00 
AA– 
2,666,444 
 
  
5.000%, 7/01/38 
 
 
 
750 
  
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 
10/19 at 100.00 
A+ 
845,318 
 
  
5.000%, 10/01/29 
 
 
 
1,400 
  
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 
1/20 at 100.00 
BBB+ 
1,522,934 
 
  
5.000%, 1/01/40 
 
 
 
2,150 
  
Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2011B-1, 
7/21 at 100.00 
AA 
2,490,775 
 
  
5.250%, 7/01/33 – AGM Insured 
 
 
 
2,135 
  
Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2016, 
7/26 at 100.00 
A– 
2,579,806 
 
  
5.000%, 7/01/39 (WI/DD, Settling 9/13/16) 
 
 
 
 
  
Massachusetts Development Finance Agency, Revenue Bonds, MCPHS University Issue, 
 
 
 
 
  
Series 2015H: 
 
 
 
450 
  
3.500%, 7/01/35 
7/25 at 100.00 
AA 
484,025 
190 
  
5.000%, 7/01/37 
7/25 at 100.00 
AA 
229,440 
550 
  
Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 
No Opt. Call 
A2 
655,782 
 
  
2012, 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 
1,055,626 
1,400 
  
5.000%, 3/01/44 
3/24 at 100.00 
A2 
1,680,378 
500 
  
Massachusetts Development Finance Agency, Revenue Bonds, Simmons College, Series 2013J, 
No Opt. Call 
BBB+ 
591,235 
 
  
5.250%, 10/01/39 
 
 
 
1,000 
  
Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art 
7/21 at 100.00 
AA 
1,154,490 
 
  
Institute, Series 2011A, 5.000%, 7/01/41 
 
 
 
1,230 
  
Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art 
7/25 at 100.00 
AA 
1,522,900 
 
  
Institute, Series 2015, 5.000%, 7/01/33 
 
 
 
3,000 
  
Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 
4/21 at 100.00 
AA– 
3,506,640 
 
  
5.250%, 4/01/37 
 
 
 
875 
  
Massachusetts Development Finance Agency, Revenue Bonds, Tufts University, Series 2015Q, 
8/25 at 100.00 
Aa2 
1,072,356 
 
  
5.000%, 8/15/38 
 
 
 
500 
  
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, 
9/17 at 100.00 
AA– 
520,635 
 
  
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 
A1 
1,579,564 
 
  
Series 2012, 5.000%, 9/01/50 
 
 
 
295 
  
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, 
9/26 at 100.00 
A1 
361,947 
 
  
Series 2016, 5.000%, 9/01/37 
 
 
 
3,000 
  
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
No Opt. Call 
A+ 
4,420,980 
 
  
Series 2002A, 5.750%, 1/01/42 – AMBAC Insured 
 
 
 
5,275 
  
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
1/18 at 100.00 
A3 
5,543,599 
 
  
Series 2008A, 5.000%, 1/01/42 – AGC Insured 
 
 
 
 
  
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
 
 
 
 
  
Series 2016: 
 
 
 
875 
  
4.000%, 1/01/38 
7/26 at 100.00 
A+ 
983,089 
675 
  
5.000%, 1/01/40 
7/26 at 100.00 
A+ 
819,977 
 
  
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, 
 
 
 
 
  
Series 1999P: 
 
 
 
1,090 
  
6.000%, 5/15/29 
No Opt. Call 
A1 
1,421,796 
1,000 
  
6.000%, 5/15/59 
5/29 at 105.00 
A1 
1,361,880 
280 
  
Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2008H, 
1/18 at 100.00 
AA 
294,129 
 
  
6.350%, 1/01/30 – AGC Insured (Alternative Minimum Tax) 
 
 
 
635 
  
Massachusetts Educational Financing Authority, Educational Loan Revenue, Series 2011J, 5.625%, 
7/21 at 100.00 
AA 
710,965 
 
  
7/01/33 (Alternative Minimum Tax) 
 
 
 
255 
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northeastern 
10/20 at 100.00 
A2 
288,068 
 
  
University, Series 2010A, 4.875%, 10/01/35 
 
 
 
2,030 
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College 
1/20 at 100.00 
A3 
2,261,522 
 
  
Issues, Series 2010F, 5.000%, 1/01/41 
 
 
 
500 
  
Massachusetts Health and Educational Facilities Authority, Revenue Refunding Bonds, Suffolk 
7/19 at 100.00 
BBB 
555,700 
 
  
University Issue, Series 2009A, 5.750%, 7/01/39 
 
 
 
2,000 
  
University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2014-1, 
11/24 at 100.00 
Aa2 
2,423,120 
 
  
5.000%, 11/01/44 
 
 
 
4,000 
  
University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2015-1, 
11/25 at 100.00 
Aa2 
4,899,000 
 
  
5.000%, 11/01/40 
 
 
 
1,510 
  
University of Massachusetts Building Authority, Senior Lien Project Revenue Bonds, Series 
No Opt. Call 
Aa2 
1,669,803 
 
  
2009-1, 5.000%, 5/01/39 
 
 
 
46,445 
  
Total Education and Civic Organizations 
 
 
56,467,140 
 
  
Health Care – 26.1% (17.5% of Total Investments) 
 
 
 
1,000 
  
Massachusetts Development Finance Agency Revenue Bonds, Children’s Hospital Issue, Series 
10/24 at 100.00 
AA 
1,211,240 
 
  
2014P, 5.000%, 10/01/46 
 
 
 
1,340 
  
Massachusetts Development Finance Agency Revenue Bonds, South Shore Hospital, Series 2016I, 
7/26 at 100.00 
A– 
1,609,045 
 
  
5.000%, 7/01/41 
 
 
 
1,410 
  
Massachusetts Development Finance Agency, Hospital Revenue Bonds, Cape Cod Healthcare 
11/23 at 100.00 
A 
1,675,940 
 
  
Obligated Group, Series 2013, 5.250%, 11/15/41 
 
 
 
1,000 
  
Massachusetts Development Finance Agency, Revenue Bonds, Baystate Medical Center Issue, 
7/24 at 100.00 
A+ 
1,171,000 
 
  
Series 2014N, 5.000%, 7/01/44 
 
 
 
 
  
Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems, 
 
 
 
 
  
Series 2012G: 
 
 
 
895 
  
5.000%, 10/01/29 
10/21 at 100.00 
A 
1,018,000 
700 
  
5.000%, 10/01/31 
10/21 at 100.00 
A 
793,947 
 
  
Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2015H-1: 
 
 
 
900 
  
5.000%, 7/01/30 
7/25 at 100.00 
A– 
1,100,871 
1,000 
  
5.000%, 7/01/32 
7/25 at 100.00 
A– 
1,216,030 
500 
  
5.000%, 7/01/33 
7/25 at 100.00 
A– 
605,790 
1,500 
  
Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2016-I, 
7/26 at 100.00 
A– 
1,814,175 
 
  
5.000%, 7/01/37 
 
 
 
1,000 
  
Massachusetts Development Finance Agency, Revenue Bonds, Covenant Health System Obligated 
7/22 at 100.00 
A– 
1,138,670 
 
  
Group, Series 2012, 5.000%, 7/01/31 
 
 
 
 
  
Massachusetts Development Finance Agency, Revenue Bonds, Lahey Health System Obligated 
 
 
 
 
  
Group Issue, Series 2015F: 
 
 
 
1,345 
  
5.000%, 8/15/35 
8/25 at 100.00 
A+ 
1,616,287 
3,500 
  
5.000%, 8/15/45 
8/25 at 100.00 
A+ 
4,159,540 
1,080 
  
Massachusetts Development Finance Agency, Revenue Bonds, Milford Regional Medical Center 
7/23 at 100.00 
BBB– 
1,286,431 
 
  
Issue, Series 2014F, 5.750%, 7/15/43 
 
 
 
2,200 
  
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 
7/20 at 100.00 
AA 
2,528,790 
 
  
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 
1,167,660 
 
  
2012L, 5.000%, 7/01/36 
 
 
 
820 
  
Massachusetts Development Finance Agency, Revenue Bonds, Southcoast Health System Obligated 
7/23 at 100.00 
A3 
959,515 
 
  
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+ 
1,132,930 
2,200 
  
5.000%, 7/01/44 
7/23 at 100.00 
BBB+ 
2,479,356 
500 
  
Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health, Series 
7/21 at 100.00 
BBB+ 
576,365 
 
  
2011H, 5.500%, 7/01/31 
 
 
 
445 
  
Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Healthcare, 
7/26 at 100.00 
A– 
534,347 
 
  
Refunding Series 2016I, 5.000%, 7/01/36 
 
 
 
945 
  
Massachusetts Health and Educational Facilities Authority, Partners HealthCare System Inc., 
7/17 at 100.00 
AA 
978,737 
 
  
Series 2007G, 5.000%, 7/01/32 
 
 
 
160 
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical 
7/19 at 100.00 
A+ 
180,194 
 
  
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 
564,055 
 
  
Obligated Group, Series 2004D, 5.125%, 11/15/35 – AGC Insured 
 
 
 
2,000 
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children’s Hospital, 
12/19 at 100.00 
AA 
2,265,560 
 
  
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 
2,718,100 
 
  
Institute, Series 2008K, 5.000%, 12/01/37 
 
 
 
1,495 
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional 
7/17 at 100.00 
BBB– 
1,539,162 
 
  
Medical Center, Series 2007E, 5.000%, 7/15/32 
 
 
 
32,935 
  
Total Health Care 
 
 
38,041,737 
 
  
Housing/Multifamily – 3.5% (2.3% of Total Investments) 
 
 
 
500 
  
Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%, 
4/18 at 100.00 
AA 
532,995 
 
  
4/01/20 – AGM Insured 
 
 
 
2,480 
  
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson 
7/17 at 100.00 
BB– 
2,516,481 
 
  
Manor Project, Series 2007, 4.800%, 7/20/48 
 
 
 
2,000 
  
Massachusetts Housing Finance Agency, Housing Bonds, Series 2003H, 5.125%, 6/01/43 
11/16 at 100.00 
AA– 
2,003,180 
4,980 
  
Total Housing/Multifamily 
 
 
5,052,656 
 
  
Long-Term Care – 3.4% (2.3% of Total Investments) 
 
 
 
460 
  
Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Retirement Community 
No Opt. Call 
A– 
549,222 
 
  
Lennox, Series 2015, 5.000%, 7/01/31 
 
 
 
285 
  
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 
12/19 at 100.00 
A– 
320,793 
 
  
2010, 5.625%, 12/01/30 
 
 
 
1,000 
  
Massachusetts Development Finance Agency, Revenue Bonds, Loomis Communities, Series 2013A, 
1/23 at 100.00 
BBB– 
1,156,000 
 
  
5.250%, 1/01/26 
 
 
 
500 
  
Massachusetts Development Finance Agency, Revenue Bonds, North Hill Communities Issue, 
11/23 at 100.00 
N/R 
559,990 
 
  
Series 2013A, 6.250%, 11/15/28 
 
 
 
2,410 
  
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 
10/16 at 101.00 
N/R 
2,437,595 
 
  
5.250%, 10/01/26 
 
 
 
4,655 
  
Total Long-Term Care 
 
 
5,023,600 
 
  
Tax Obligation/General – 15.4% (10.3% of Total Investments) 
 
 
 
2,000 
  
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General 
2/21 at 100.00 
Aa3 
2,291,760 
 
  
Obligation 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 
1,411,500 
 
  
5.000%, 2/15/32 
 
 
 
1,010 
  
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, 
No Opt. Call 
AA+ 
1,180,842 
 
  
Series 1991A, 7.000%, 3/01/21 
 
 
 
2,440 
  
Massachusetts State, General Obligation Bonds, Consolidated Loan, Refunding Series 2014C, 
No Opt. Call 
AA+ 
2,981,948 
 
  
5.000%, 8/01/22 
 
 
 
1,500 
  
Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.250%, 
No Opt. Call 
AA+ 
1,812,165 
 
  
8/01/21 – AGM Insured 
 
 
 
2,000 
  
Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2015C, 5.000%, 7/01/45 
7/25 at 100.00 
AA+ 
2,432,940 
1,000 
  
Newburyport, Massachusetts, General Obligation Bonds, Municipal Purpose Loan, Refunding Series 
1/23 at 100.00 
AAA 
1,114,010 
 
  
2013, 4.000%, 1/15/30 
 
 
 
1,775 
  
North Reading, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2012, 
5/22 at 100.00 
Aa2 
2,118,818 
 
  
5.000%, 5/15/35 – AMBAC Insured 
 
 
 
1,760 
  
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured 
No Opt. Call 
AAA 
2,021,870 
 
  
Quincy, Massachusetts, General Obligation Bonds, State Qualified Municipal Purpose Loan 
 
 
 
 
  
Series 2011: 
 
 
 
1,280 
  
5.125%, 12/01/33 
12/20 at 100.00 
Aa2 
1,473,690 
2,000 
  
5.250%, 12/01/38 
12/20 at 100.00 
Aa2 
2,312,920 
1,220 
  
Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 – 
11/16 at 100.00 
AA– 
1,252,745 
 
  
FGIC Insured 
 
 
 
19,235 
  
Total Tax Obligation/General 
 
 
22,405,208 
 
  
Tax Obligation/Limited – 16.5% (11.0% 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 
2,230,620 
1,310 
  
5.125%, 1/01/42 
1/22 at 100.00 
A 
1,444,511 
 
  
Government of Guam, Business Privilege Tax Bonds, Series 2012B-1: 
 
 
 
400 
  
5.000%, 1/01/37 
1/22 at 100.00 
A 
438,728 
1,055 
  
5.000%, 1/01/42 
1/22 at 100.00 
A 
1,154,423 
855 
  
Martha’s Vineyard Land Bank, Massachusetts, Revenue Bonds, Refunding Green Series 2014, 
11/24 at 100.00 
AA 
1,035,884 
 
  
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 
1,189,550 
770 
  
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Refunding Senior Lien 
No Opt. Call 
AA+ 
925,640 
 
  
Series 2004C, 5.250%, 7/01/21 
 
 
 
 
  
Massachusetts College Building Authority, Project Revenue Bonds, Green Series 2014B: 
 
 
 
360 
  
5.000%, 5/01/39 
5/24 at 100.00 
AA 
432,151 
1,610 
  
5.000%, 5/01/44 
5/24 at 100.00 
AA 
1,926,397 
1,000 
  
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 
No Opt. Call 
Aa2 
1,264,050 
 
  
5.375%, 5/01/23 – SYNCORA GTY Insured 
 
 
 
855 
  
Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 
5/22 at 100.00 
AA 
1,017,997 
 
  
5.000%, 5/01/37 
 
 
 
1,350 
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Refunding 
8/25 at 100.00 
AA+ 
1,665,603 
 
  
Series 2015C, 5.000%, 8/15/37 
 
 
 
1,875 
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series 
5/23 at 100.00 
AA+ 
2,265,525 
 
  
2013A, 5.000%, 5/15/38 
 
 
 
5 
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A, 
8/17 at 100.00 
AA+ 
5,201 
 
  
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+ 
1,151,514 
1,000 
  
5.000%, 10/15/41 
10/21 at 100.00 
AA+ 
1,181,040 
1,070 
  
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 
No Opt. Call 
AA– 
1,214,108 
 
  
1/01/20 – FGIC Insured 
 
 
 
1,500 
  
Massachusetts, Transportation Fund Revenue Bonds, Accelerated Bridge Program, Series 2013A, 
6/21 at 100.00 
AAA 
1,757,340 
 
  
5.000%, 6/01/38 
 
 
 
520 
  
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series 
No Opt. Call 
AA 
568,646 
 
  
2012A, 5.000%, 10/01/32 – AGM Insured 
 
 
 
1,000 
  
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Series 2012A, 
10/22 at 100.00 
AA 
1,093,550 
 
  
5.000%, 10/01/32 – AGM Insured 
 
 
 
20,510 
  
Total Tax Obligation/Limited 
 
 
23,962,478 
 
  
Transportation – 8.9% (6.0% of Total Investments) 
 
 
 
400 
  
Massachusetts Department of Transportation, Metropolitan Highway System Revenue Bonds, 
1/20 at 100.00 
AA+ 
453,024 
 
  
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 
1,147,000 
1,000 
  
Massachusetts Port Authority, Revenue Bonds, Series 2012B, 5.000%, 7/01/33 
7/22 at 100.00 
AA 
1,203,770 
 
  
Massachusetts Port Authority, Revenue Bonds, Series 2014A: 
 
 
 
1,000 
  
5.000%, 7/01/39 
7/24 at 100.00 
AA 
1,214,870 
2,500 
  
5.000%, 7/01/44 
7/24 at 100.00 
AA 
3,027,100 
 
  
Massachusetts Port Authority, Revenue Bonds, Series 2015A: 
 
 
 
715 
  
5.000%, 7/01/40 
7/25 at 100.00 
AA 
871,699 
1,000 
  
5.000%, 7/01/45 
7/25 at 100.00 
AA 
1,214,690 
1,400 
  
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 
7/17 at 100.00 
AA– 
1,440,110 
 
  
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 
1/17 at 100.00 
N/R 
1,230,059 
 
  
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+ 
849,793 
 
  
Revenue Bonds, Series 2011, 5.000%, 7/01/41 
 
 
 
330 
  
Virgin Islands Port Authority, Marine Revenue Bonds, Refunding Series 2014B, 5.000%, 9/01/44 
9/24 at 100.00 
BBB+ 
378,401 
11,300 
  
Total Transportation 
 
 
13,030,516 
 
  
U.S. Guaranteed – 22.9% (15.4% of Total Investments) (5) 
 
 
 
450 
  
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, 
No Opt. Call 
N/R (5) 
463,802 
 
  
Series 1991A, 7.000%, 3/01/21 (ETM) 
 
 
 
 
  
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Senior Lien Series 2006C: 
 
 
 
25 
  
5.000%, 7/01/26 (Pre-refunded 7/01/18) 
7/18 at 100.00 
AA+ (5) 
27,010 
975 
  
5.000%, 7/01/26 (Pre-refunded 7/01/18) 
7/18 at 100.00 
AA+ (5) 
1,053,371 
2,500 
  
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 
5/18 at 100.00 
AA (5) 
2,682,925 
 
  
(Pre-refunded 5/01/18) – AGC Insured 
 
 
 
2,185 
  
Massachusetts Development Finance Agency, Revenue Bonds, Draper Laboratory, Series 2008, 
9/18 at 100.00 
Aa3 (5) 
2,412,480 
 
  
5.875%, 9/01/30 (Pre-refunded 9/01/18) 
 
 
 
1,595 
  
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, 
9/17 at 100.00 
AA– (5) 
1,666,201 
 
  
Series 2007, 5.000%, 9/01/37 (Pre-refunded 9/01/17) – NPFG Insured 
 
 
 
4,675 
  
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, 
1/18 at 100.00 
A3 (5) 
4,948,675 
 
  
Series 2008A, 5.000%, 1/01/42 (Pre-refunded 1/01/18) – AGC Insured 
 
 
 
1,055 
  
Massachusetts Health and Educational Facilities Authority, Partners HealthCare System Inc., 
7/17 at 100.00 
N/R (5) 
1,094,383 
 
  
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– (5) 
476,760 
 
  
Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG 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 (Pre-refunded 8/01/18) – NPFG Insured 
8/18 at 100.00 
AA– (5) 
3,686,634 
600 
  
5.375%, 2/01/27 (Pre-refunded 8/01/18) – NPFG Insured 
8/18 at 100.00 
AA– (5) 
654,432 
770 
  
5.375%, 2/01/28 (Pre-refunded 8/01/18) – NPFG Insured 
8/18 at 100.00 
AA– (5) 
839,854 
 
  
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 (Pre-refunded 8/01/18) – NPFG Insured 
8/18 at 100.00 
AA– (5) 
2,181,440 
1,500 
  
5.375%, 2/01/28 (Pre-refunded 8/01/18) – NPFG Insured 
8/18 at 100.00 
AA– (5) 
1,636,080 
3,000 
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical 
8/17 at 100.00 
A+ (5) 
3,135,810 
 
  
Center, Series 2007D, 5.250%, 8/15/28 (Pre-refunded 8/15/17) 
 
 
 
1,500 
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, 
10/19 at 100.00 
Baa1 (5) 
1,716,750 
 
  
Series 2010, 5.500%, 10/15/31 (Pre-refunded 10/15/19) 
 
 
 
350 
  
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, 
8/18 at 100.00 
Aa2 (5) 
382,389 
 
  
Series 2008O, 5.375%, 8/15/38 (Pre-refunded 8/15/18) 
 
 
 
1,870 
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A, 
8/17 at 100.00 
Aa2 (5) 
1,949,849 
 
  
5.000%, 8/15/37 (Pre-refunded 8/15/17) – AMBAC Insured 
 
 
 
1,000 
  
Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2009A, 5.000%, 
3/19 at 100.00 
AA+ (5) 
1,104,590 
 
  
3/01/21 (Pre-refunded 3/01/19) 
 
 
 
95 
  
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 
8/17 at 100.00 
Aa1 (5) 
98,876 
 
  
8/01/28 (Pre-refunded 8/01/17) 
 
 
 
1,065 
  
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 
No Opt. Call 
A3 (5) 
1,205,101 
 
  
5.500%, 7/01/19 – NPFG Insured (ETM) 
 
 
 
31,000 
  
Total U.S. Guaranteed 
 
 
33,417,412 
 
  
Utilities – 4.5% (3.0% 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 
2,929,461 
1,265 
  
Massachusetts Clean Energy Cooperative Corporation, Revenue Bonds, Massachusetts Municipal 
7/23 at 100.00 
A1 
1,517,848 
 
  
Lighting Plant Cooperative, Series 2013, 5.000%, 7/01/32 
 
 
 
2,010 
  
Massachusetts Development Finance Agency, Resource Recovery Revenue Refunding Bonds, 
11/17 at 100.00 
BB+ 
2,048,873 
 
  
Covanta Energy Project, Series 2012B, 4.875%, 11/01/42 
 
 
 
5,855 
  
Total Utilities 
 
 
6,496,182 
 
  
Water and Sewer – 9.3% (6.2% of Total Investments) 
 
 
 
500 
  
Boston Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Senior 
11/19 at 100.00 
AA+ 
566,340 
 
  
Lien Series 2010A, 5.000%, 11/01/30 
 
 
 
565 
  
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, 
7/24 at 100.00 
A– 
662,711 
 
  
Refunding Series 2014A, 5.000%, 7/01/29 
 
 
 
735 
  
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 
7/26 at 100.00 
A– 
867,587 
 
  
2016, 5.000%, 7/01/36 
 
 
 
415 
  
Lynn Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2003A, 
11/16 at 100.00 
AA– 
416,498 
 
  
5.000%, 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 
2,782,195 
 
  
5.000%, 2/01/45 
 
 
 
60 
  
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 
11/16 at 100.00 
AAA 
60,226 
 
  
5.000%, 8/01/22 
 
 
 
400 
  
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 
11/16 at 100.00 
AAA 
401,592 
 
  
2002A, 5.250%, 8/01/20 
 
 
 
1,820 
  
Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Green Bonds Series 
8/26 at 100.00 
AA+ 
2,284,682 
 
  
2016C, 5.000%, 8/01/40 
 
 
 
 
  
Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Series 2016B: 
 
 
 
455 
  
5.000%, 8/01/40 
8/26 at 100.00 
AA+ 
571,171 
1,000 
  
4.000%, 8/01/40 
8/26 at 100.00 
AA+ 
1,133,830 
1,000 
  
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 
No Opt. Call 
AA+ 
1,131,850 
 
  
8/01/19 – AGM Insured 
 
 
 
1,405 
  
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 
8/17 at 100.00 
AA+ 
1,459,317 
 
  
5.000%, 8/01/28 
 
 
 
720 
  
Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding 
11/20 at 100.00 
AA 
830,952 
 
  
Series 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– 
224,810 
150 
  
5.000%, 7/15/23 
No Opt. Call 
AA– 
186,161 
11,710 
  
Total Water and Sewer 
 
 
13,579,922 
$ 188,625 
  
Total Long-Term Investments (cost $197,646,607) 
 
 
217,476,851 
 
  
Variable Rate MuniFund Term Preferred Shares, at Liquidation Preference – (50.8)% (6) 
 
 
(74,000,000) 
 
  
Other Assets Less Liabilities – 1.5% 
 
 
2,131,086 
 
  
Net Assets Applicable to Common Shares – 100% 
 
 
$ 145,607,937 
 
 
 

Fair Value Measurements
Fair Value is defined as the price that would be received 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 hierarch of valuation input levels.
Level 1 – Inputs are adjusted 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 risk 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 
$ — 
$217,476,851 
$ — 
$217,476,851 
 
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 no require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
As of August 31, 2016, the cost of investments was $197,592,215.
Gross unrealized appreciation and gross unrealized depreciation of investments as of August 31, 2016, were as follows:
   
Gross unrealized: 
 
Appreciation 
$19,893,523 
Depreciation 
(8,887) 
Net unrealized appreciation (depreciation) of investments 
$19,884,636 
     
(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) 
  
For financial reporting purposes, the ratings disclosed are the highest of Standard & Poor’s Group 
 
  
(“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. 
 
  
This treatment of split-rated securities may differ from that used for other purposes, such as for Fund 
 
  
investment policies. 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) 
  
Variable Rate MuniFund Term Preferred Shares, at Liquidation Preference as a percentage of Total 
 
  
Investments is 34.0%. 
(ETM) 
  
Escrowed to maturity. 
(IF) 
  
Inverse floating rate investment. 
(WI/DD) 
  
Investment, or portion of investment, 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/ Gifford R. Zimmerman            
       Gifford R. Zimmerman
     Vice President and Secretary
                                         
Date:         October 28, 2016        
 
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/ Cedric H. Antosiewicz            
       Cedric H. Antosiewicz
     Chief Administrative Officer (principal executive officer)
                        
Date:         October 28, 2016        
 
By (Signature and Title) /s/ Stephen D. Foy                         
 
     Stephen D. Foy
     Vice President and Controller (principal financial officer)
                                                                                         
Date:         October 28, 2016