UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-07484

Nuveen Massachusetts Quality Municipal Income Fund
(Exact name of registrant as specified in charter)

Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Address of principal executive offices) (Zip code)

Gifford R. Zimmerman
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Name and address of agent for service)

Registrant's telephone number, including area code: (312) 917-7700

Date of fiscal year end: May 31

Date of reporting period: November 30, 2016

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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. ss. 3507.





ITEM 1. REPORTS TO STOCKHOLDERS.




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Table of Contents

Chairman's Letter to Shareholders
4
   
Portfolio Manager's Comments
5
   
Fund Leverage
8
   
Common Share Information
9
   
Risk Considerations
11
   
Performance Overview and Holding Summaries
12
   
Shareholder Meeting Report
14
   
Portfolios of Investments
15
   
Statement of Assets and Liabilities
28
   
Statement of Operations
29
   
Statement of Changes in Net Assets
30
   
Statement of Cash Flows
31
   
Financial Highlights
32
   
Notes to Financial Statements
35
   
Additional Fund Information
46
   
Glossary of Terms Used in this Report
47
   
Reinvest Automatically, Easily and Conveniently
49

NUVEEN
3


Chairman's Letter to Shareholders
Dear Shareholders,
After a sluggish first half of 2016, the U.S. economy gained some momentum in the third quarter. In fact, it was the economy's strongest quarterly acceleration in two years, propelled by healthy consumer spending, a temporary surge in exports and a turnaround in inventories. As the year wound down, 2016 looked on track to deliver the same steady-but-slow growth that has characterized the seven-year recovery.
A year ago, the U.S. Federal Reserve (Fed) took the first step toward policy "normalization" by raising its benchmark interest rate at its December 2015 meeting. Speculation about the Fed's intentions since then has been a strong influence on the markets throughout 2016. After remaining on hold for a year, the Fed judged that the economy's modest growth, the return to "full" employment and an uptick in inflation were sufficient to raise the target rate at the December 2016 meeting.
The global economy stayed on a path of low growth overall. Some concerns eased in 2016: China managed a gradual slowdown, stabilizing commodity prices provided some relief to emerging markets and the U.K. and eurozone economies held steady despite the U.K.'s surprise vote to leave the European Union. However, other uncertainties have surfaced. The threat of protectionism and potential trade wars has risen amid the populist sentiment underscoring the Brexit majority and the election of Donald Trump, as well as appearing in campaign rhetoric across Europe as elections loom in 2017. Moreover, there are growing concerns that global central banks' unprecedented efforts to revive growth may be showing signs of fatigue. Interest rates are currently at or near zero across the developed world and only slightly higher than that in the U.S.; nonetheless, growth has remained subdued.
Since the election, U.S. stocks have rallied strongly on expectations that the Republican controlled Congress and Trump administration will pursue more business friendly policies. But the details have yet to be seen. Given muted global growth, the risk of policy errors by central banks around the world, the unfolding Brexit process and an uncertain political outlook (not just in the U.S. but also in Europe), we anticipate that turbulence remains on the horizon for the time being. In this environment, Nuveen remains committed to both managing downside risks and seeking upside potential. If you're concerned about how resilient your investment portfolio might be, we encourage you to talk to your financial advisor. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
Sincerely,
William J. Schneider
Chairman  of the Board
January 23, 2017

4
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Portfolio Manager's Comments
Nuveen Connecticut Quality Municipal Income Fund (NTC)
(formerly known as Nuveen Connecticut Premium Income Municipal Fund)
Nuveen Massachusetts Quality Income Municipal Fund (NMT)
(formerly known as Nuveen Massachusetts Premium Income Municipal Fund)
These Funds feature portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen Investments, Inc. Portfolio manager Michael S. Hamilton discusses key investment strategies and the six-month performance of the Nuveen Connecticut and Massachusetts Funds. Michael assumed portfolio management responsibility for these Funds in 2011.
What key strategies were used to manage these Funds during the six-month reporting period ended November 30, 2016?
After declining in the first half of the reporting period, interest rates began to rise moderately at first then accelerated steeply in the aftermath of the November U.S. presidential election. Fixed income yields, including those of municipal bonds, ended the six-month reporting period higher. Municipal bond credit spreads also widened in this reporting period, driven by a reversal of investor flows from high yield municipal bond mutual funds. This environment was negative for municipal bond performance, leading the broad market lower for the reporting period as whole.
Despite the more challenging backdrop, our trading activity continued to focus on pursuing the Funds' investment objectives. We continued to seek bonds in areas of the market that we expected to perform well as the economy continued to improve. The Funds' positioning emphasized intermediate and longer maturities, lower-rated credits and sectors offering higher yields. To fund these purchases, we generally reinvested the proceeds from called and maturing bonds. In some cases, we sold bonds that we believed had deteriorating fundamentals or could be traded for a better relative value, as well as selling short-dated, higher quality issues that we tend to hold over short timeframes as a source of liquidity.
NTC's trading activity was fairly active in this reporting period. We bought credits from a range of sectors, including utilities, hospitals, higher education, local general obligation (GO) and special tax districts. Most of the cash to fund our buying came from called and maturing bonds. We also reinvested the proceeds from selling some non-insured Virgin Islands paper due to our credit
 
Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio manager as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.
For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor's (S&P), Moody's Investors Service, Inc. (Moody's) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings, while BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.
Bond insurance guarantees only the payment of principal and interest on the bond when due, and not the value of the bonds themselves, which will fluctuate with the bond market and the financial success of the issuer and the insurer. Insurance relates specifically to the bonds in the portfolio and not to the share prices of a Fund. No representation is made as to the insurers' ability to meet their commitments.
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.

NUVEEN
5


Portfolio Manager's Comments (continued)
concerns about the territory. Additionally, we sold a depreciated bond and replaced it with a similarly structured bond to realize a capital loss and boost the Fund's income. We also invested the proceeds from incremental preferred share offerings that were conducted as part of the overall management of the Fund's leverage. NMT's trading activity was relatively lighter. We sold some bonds with shorter calls to buy longer duration bonds, as well as depreciated bonds to increase the Fund's income.
As of November 30, 2016, the Funds continued to use inverse floating rate securities. We employ inverse floaters for a variety of reasons, including duration management, income enhancement and total return enhancement.
How did the Funds perform during the six-month reporting period ended November 30, 2016?
The tables in each Fund's Performance Overview and Holding Summaries section of this report provide the Funds' total returns for the six-month, one-year, five-year and ten-year periods ended November 30, 2016. Each Fund's total returns at common share net asset value (NAV) are compared with the performance of a corresponding market index.
For the six months ended November 30, 2016, the total returns at common share NAV for NTC and NMT lagged the returns for their respective state's S&P Municipal Bond Index and the national S&P Municipal Bond Index.
Positive contributors to the Funds' relative performance during this reporting period were credit quality allocations, sector allocations and credit selection, while duration and yield curve positioning detracted. In addition, the use of regulatory leverage was a dominant factor negatively affecting performance of the Funds. Leverage is discussed in more detail later in the Fund Leverage section of this report.
Rising yields, with the longest end of the yield curve experiencing the largest increases, hampered the Funds' overweight positioning in longer duration bonds and their corresponding underweight allocations in shorter duration bonds. The Connecticut Fund's underweight to maturities of six years and shorter and overweight to maturities of eight years and longer were the main detractors. The Massachusetts Fund's underweight to the zero- to six-year segment and overweight to the 10- to 12-year segment were detrimental to relative performance. However, NMT modestly benefited from its underweight to durations 12 years and longer.
The Funds' credit quality allocations added value during the reporting period. Despite the negative impact of an underweight to AAA rated credits, NTC's underweight to AA rated, overweight to A rated and exposure to B rated and below, including non-rated bonds, provided relative gains. NMT was most helped by its overweight allocations to A, BB and non-rated bonds. We should point out that although the A rated category as whole underperformed the broad municipal market during this reporting period, our Funds' positioning within single A, shorter-dated (five years and less) call structures outperformed.
A similar theme emerged at the sector level. The Funds held overweight allocations in some of the more volatile and underperforming sectors, notably health care and utilities. However, because NTC and NMT tended to own health care (especially hospital) and utilities bonds with shorter call structures, which were less volatile than sectors as a whole, these sectors turned out to be positive contributors to performance. NMT's overweight to higher education and the "other revenue" sector also included exposure to shorter calls, which performed better than the overall higher education sector. (An example of an "other revenue" bond held by NMT is a bond issued by the Massachusetts Development Finance Agency for the Broad Institute, a genomic research center affiliated with MIT and Harvard.) Additionally, NMT benefited from an overweight to pre-refunded bonds, a group which outperformed due to its short duration, and underweight to tax-supported bonds such as dedicated tax and state GOs, segments which lagged in this reporting period.

6
NUVEEN



An Update Involving Puerto Rico
As noted in the Funds' previous shareholder reports, we continue to monitor situations in the broader municipal market for any impact on the Funds' holdings and performance: the ongoing economic problems of Puerto Rico is one such case. Puerto Rico's continued economic weakening, escalating debt service obligations, and long-standing inability to deliver a balanced budget led to multiple downgrades on its debt over the past two years. Puerto Rico has warned investors since 2014 that the island's debt burden may be unsustainable and the Commonwealth has been exploring various strategies to deal with this burden, including Chapter 9 bankruptcy, which is currently not available by law. On June 30, 2016, President Obama signed the Puerto Rico Oversight, Management and Economic Stability Act (PROMESA) into law. The legislation creates a path for Puerto Rico to establish an independent oversight board responsible for managing the government's financial operations and restructure debt. Implementation is expected to take time, as the law focuses on developing a comprehensive five-year fiscal plan.
In terms of Puerto Rico holdings, shareholders should note that NTC and NMT had limited exposure to Puerto Rico debt, 0.85% and 0.58%, respectively, which was either insured or investment grade, as of the end of this reporting period. The Puerto Rico credits offered higher yields, added diversification and triple exemption (i.e., exemption from most federal, state and local taxes). Puerto Rico general obligation debt is currently rated Caa2/CC/CC (below investment grade) by Moody's, S&P and Fitch, respectively, with negative outlooks.
A Note About Investment Valuations
The municipal securities held by the Funds are valued by the Funds' pricing service using a range of market-based inputs and assumptions. A different municipal pricing service might incorporate different assumptions and inputs into its valuation methodology, potentially resulting in different values for the same securities. These differences could be significant, both as to such individual securities, and as to the value of a given Fund's portfolio in its entirety. Thus, the current net asset value of a Fund's shares may be impacted, higher or lower, if the Fund were to change pricing service, or if its pricing service were to materially change its valuation methodology. On October 4, 2016, the Funds' current municipal bond pricing service was acquired by the parent company of another pricing service. The two services have not yet combined their valuation organizations and process, but may do so in the future. Thus there is an increased risk that the organization acting as each Fund's pricing service may change, or that the Funds' pricing service may change its valuation methodology, either of which could have an impact on the net asset value of each Fund's shares.

NUVEEN
7


Fund Leverage
IMPACT OF THE FUNDS' LEVERAGE STRATEGIES ON PERFORMANCE
One important factor impacting the returns of the Funds relative to their comparative benchmarks was the Funds' use of leverage through their issuance of preferred shares and/or investments in inverse floating rate securities, which represent leveraged investments in underlying bonds. The Funds use leverage because our research has shown that, over time, leveraging provides opportunities for additional income, particularly in the recent market environment where short-term market rates are at or near historical lows, meaning that the short-term rates the Fund has been paying on its leveraging instruments have been much lower than the interest the Fund has been earning on its portfolio of long-term bonds that it has bought with the proceeds of that leverage. However, use of leverage also can expose the Fund to additional price volatility. When a Fund uses leverage, the Fund will experience a greater increase in its net asset value if the municipal bonds acquired through the use of leverage increase in value, but it will also experience a correspondingly larger decline in its net asset value if the bonds acquired through leverage decline in value, which will make the Fund's net asset value more volatile, and its total return performance more variable over time. In addition, income in levered funds will typically decrease in comparison to unlevered funds when short-term interest rates increase and increase when short-term interest rates decrease. Regulatory leverage had a negative impact on the performance of the Funds over the reporting period. The use of leverage through inverse floating rate securities had a negligible impact on the performance over the reporting period.
As of November 30, 2016, the Funds' percentages of leverage are as shown in the accompanying table.

   
NTC
   
NMT
 
Effective Leverage*
   
39.61
%
   
37.95
%
Regulatory Leverage*
   
36.13
%
   
35.75
%

*
Effective Leverage is a Fund's effective economic leverage, and includes both regulatory leverage and the leverage effects of certain derivative and other investments in a Fund's portfolio that increase the Fund's investment exposure. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any regulatory leverage. Regulatory leverage consists of preferred shares issued or borrowings of a Fund. A Fund, however, may from time to time borrow on a typically transient basis in connection with its day-to-day operations, primarily in connection with the need to settle portfolio trades. Such incidental borrowings are excluded from the calculation of a Fund's effective leverage ratio. Both of these are part of a Fund's capital structure. Regulatory leverage is subject to asset coverage limits set forth in the Investment Company Act of 1940.

THE FUNDS' REGULATORY LEVERAGE
As of November 30, 2016, the Funds have issued and outstanding Variable Rate MuniFund Term Preferred (VMTP) Shares as shown in the accompanying table.

   
VMTP Shares
 
           
Shares Issued at
 
     
Series
 
Liquidation Preference
 
NTC
   
2019
 
$
112,000,000
 
NMT
   
2017
 
$
74,000,000
 
During the current fiscal period, NTC refinanced all of its outstanding Series 2017 VMTP Shares with the issuance of new Series 2019 VMTP Shares. In conjunction with this refinancing NTC issued an additional $6,000,000 Series 2019 VMTP Shares at liquidation preference, to be invested in accordance with the Fund's investment policies.
Refer to Notes to Financial Statements, Note 4 — Fund Shares, Preferred Shares for further details on VMTP Shares and each Fund's respective transactions.

8
NUVEEN


Common Share Information

COMMON SHARE DISTRIBUTION INFORMATION
The following information regarding the Funds' distributions is current as of November 30, 2016. Each Fund's distribution levels may vary over time based on each Fund's investment activity and portfolio investments value changes.
During the current reporting period, each Fund's distributions to common shareholders were as shown in the accompanying table.

   
Per Common
 
   
Share Amounts
 
Monthly Distributions (Ex-Dividend Date)
   
NTC
   
NMT
 
June 2016
 
$
0.0550
 
$
0.0590
 
July
   
0.0550
   
0.0590
 
August
   
0.0550
   
0.0590
 
September
   
0.0505
   
0.0560
 
October
   
0.0505
   
0.0560
 
November 2016
   
0.0505
   
0.0560
 
Total Distributions from Net Investment Income
 
$
0.3165
 
$
0.3450
 
Yields
             
Market Yield*
   
4.91
%
 
5.00
%
Taxable-Equivalent Yield*
   
7.25
%
 
7.32
%

*
Market Yield is based on the Fund's current annualized monthly dividend divided by the Fund's current market price as of the end of the reporting period. Taxable-Equivalent Yield represents the yield that must be earned on a fully taxable investment in order to equal the yield of the Fund on an after-tax basis. It is based on a combined federal and state income tax rate of 32.3% and 31.7% for Connecticut and Massachusetts, respectively. When comparing a Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield would be lower.

Each Fund in this report seeks to pay regular monthly dividends out of their net investment income at a rate that reflects its past and projected net income performance. To permit each Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund's net asset value. Conversely, if a Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund's net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders.
As of November 30, 2016, the Funds had positive UNII balances, based upon our best estimate, for tax purposes. NTC had a negative UNII balance while NMT had a positive UNII balance for reporting purposes.
All monthly dividends paid by each Fund during the current reporting period were paid from net investment income. If a portion of the Fund's monthly distributions was sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, shareholders would have received a notice to that effect. For financial reporting purposes the composition and per share amounts of each Fund's dividends for the reporting period are presented in this report's Statement of Changes in Net Assets and Financial Highlights, respectively. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 — Income Tax Information within the Notes to Financial Statements of this report.

NUVEEN
9


Common Share Information (continued)
COMMON SHARE REPURCHASES
During August 2016, the Funds' Board of Trustees reauthorized an open-market share repurchase program, allowing each Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.
As of November 30, 2016, and since the inception of the Funds' repurchase programs, the Funds have cumulatively repurchased and retired common shares as shown in the accompanying table.

 
NTC
NMT
 
Common shares cumulatively repurchased and retired
155,000
 
Common shares authorized for repurchase
1,455,000
935,000
 
During the current reporting period, the Funds did not repurchase any of their outstanding common shares.
OTHER COMMON SHARE INFORMATION
As of November 30, 2016, and during the current reporting period, the Funds' common share prices were trading at a premium/(discount) to their common share NAVs as shown in the accompanying table.

     
NTC
   
NMT
 
Common share NAV
 
$
13.62
 
$
14.23
 
Common share price
 
$
12.34
 
$
13.43
 
Premium/(Discount) to NAV
   
(9.40
)%
 
(5.62
)%
6-month average premium/(discount) to NAV
   
(7.57
)%
 
(1.82
)%

10
NUVEEN


Risk Considerations
Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation.
Nuveen Connecticut Quality Municipal Income Fund (NTC)
(formerly known as Nuveen Connecticut Premium Income Municipal Fund)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund's investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage increases return volatility and magnifies the Fund's potential return and its risks; there is no guarantee a fund's leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund's web page at www.nuveen.com/NTC.
Nuveen Massachusetts Quality Municipal Income Fund (NMT)
(formerly known as Nuveen Massachusetts Premium Income Municipal Fund)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund's investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. Leverage increases return volatility and magnifies the Fund's potential return and its risks; there is no guarantee a fund's leverage strategy will be successful. State concentration makes the Fund more susceptible to local adverse economic, political, or regulatory changes affecting municipal bond issuers. These and other risk considerations such as inverse floater risk and tax risk are described in more detail on the Fund's web page at www.nuveen.com/NMT.

NUVEEN
11
 


NTC
 
 
Nuveen Connecticut Quality Municipal Income Fund
 
(formerly known as Nuveen Connecticut Premium Income Municipal Fund)
 
Performance Overview and Holding Summaries as of November 30, 2016
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
Average Annual Total Returns as of November 30, 2016

 
Cumulative
 
Average Annual
 
6-Month
 
1-Year
5-Year
10-Year
 
NTC at Common Share NAV
(6.74)%
   
(1.71)%
3.41%
4.02%
 
NTC at Common Share Price
(6.74)%
   
4.03%
2.72%
3.74%
 
S&P Municipal Bond Connecticut Index
(2.91)%
   
(0.24)%
2.35%
3.34%
 
S&P Municipal Bond Index
(2.82)%
   
0.48%
3.74%
4.07%
 
Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund's shares at NAV only. Indexes are not available for direct investment.
This data relates to the securities held in the Fund's portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.
For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor's Group, Moody's Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

Fund Allocation
 
(% of net assets)
 
Long-Term Municipal Bonds
159.1%
Other Assets Less Liabilities
3.9%
Net Assets Plus Floating Rate Obligations & VMTP Shares, at Liquidation Preference
163.0%
Floating Rate Obligations
(6.4)%
VMTP Shares, at Liquidation Preference
(56.6)%
Net Assets
100%

Portfolio Composition
 
(% of total investments)
 
Health Care
23.2%
Education and Civic Organizations
19.7%
Tax Obligation/General
17.4%
Tax Obligation/Limited
14.8%
Water and Sewer
11.3%
U.S. Guaranteed
7.8%
Other
5.8%
Total
100%

Portfolio Credit Quality
 
(% of total investment exposure)
 
AAA/U.S. Guaranteed
14.0%
AA
55.0%
A
25.3%
BBB
2.6%
N/R (not rated)
3.1%
Total
100%

12
NUVEEN


NMT
 
 
Nuveen Massachusetts Quality Municipal Income Fund
 
(formerly known as Nuveen Massachusetts Premium Income Municipal Fund)
 
Performance Overview and Holding Summaries as of November 30, 2016
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
Average Annual Total Returns as of November 30, 2016

 
Cumulative
 
Average Annual
 
6-Month
 
1-Year
5-Year
10-Year
 
NMT at Common Share NAV
(5.12)%
   
0.27%
4.35%
4.58%
 
NMT at Common Share Price
(8.30)%
   
3.41%
4.71%
4.53%
 
S&P Municipal Bond Massachusetts Index
(3.42)%
   
(0.35)%
3.18%
4.04%
 
S&P Municipal Bond Index
(2.82)%
   
0.48%
3.74%
4.07%
 
Past performance is not predictive of future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund's shares at NAV only. Indexes are not available for direct investment.
This data relates to the securities held in the Fund's portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.
For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor's Group, Moody's Investors Service, Inc. or Fitch, Inc. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

Fund Allocation
 
(% of net assets)
 
Long-Term Municipal Bonds
153.7%
Other Assets Less Liabilities
1.9%
Net Assets Plus VMTP Shares, at Liquidation Preference
155.6%
VMTP Shares, at Liquidation Preference
(55.6)%
Net Assets
100%

Portfolio Composition
 
(% of total investments)
 
Education and Civic Organizations
24.3%
Health Care
19.6%
U.S. Guaranteed
14.8%
Tax Obligation/Limited
11.0%
Tax Obligation/General
10.4%
Transportation
6.0%
Water and Sewer
6.0%
Other
7.9%
Total
100%

Portfolio Credit Quality
 
(% of total investment exposure)
 
AAA/U.S. Guaranteed
18.5%
AA
40.2%
A
31.3%
BBB
5.9%
BB or Lower
2.1%
N/R (not rated)
2.0%
Total
100%

NUVEEN
13


Shareholder Meeting Report
The annual meeting of shareholders was held in the offices of Nuveen Investments on November 15, 2016 for NMT; at this meeting the shareholders were asked to elect Board Members.

   
NMT
 
   
Common and
     
   
Preferred
     
   
shares
     
   
voting together
 
Preferred
 
   
as a class
 
Shares
 
Approval of the Board Members was reached as follows:
         
William C. Hunter
         
For
 
 
740
 
Withhold
 
 
 
Total
 
 
740
 
William J. Schneider
         
For
 
 
740
 
Withhold
 
 
 
Total
 
 
740
 
Judith M. Stockdale
         
For
 
8,624,534
 
 
Withhold
 
332,292
 
 
Total
 
8,956,826
 
 
Carole E. Stone
         
For
 
8,668,760
 
 
Withhold
 
288,066
 
 
Total
 
8,956,826
 
 
Margaret L. Wolff
         
For
 
8,668,874
 
 
Withhold
 
287,952
 
 
Total
 
8,956,826
 
 

14
NUVEEN


NTC
   
 
Nuveen Connecticut Quality Municipal Income Fund
 
 
(formerly known as Nuveen Connecticut Premium Income Municipal Fund)
 
 
Portfolio of Investments
November 30, 2016 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
LONG-TERM INVESTMENTS – 159.1% (100.0% of Total Investments)
           
                   
     
MUNICIPAL BONDS – 159.1% (100.0% of Total Investments)
           
                   
     
Education and Civic Organizations – 31.4% (19.7% of Total Investments)
           
$
840
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Chase Collegiate School, Series 2007A, 5.000%, 7/01/27 – RAAI Insured
7/17 at 100.00
 
AA
$
856,733
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Refunding Series 2016L-1:
           
 
375
 
4.000%, 7/01/39
7/26 at 100.00
 
A2
 
367,601
 
 
2,825
 
4.000%, 7/01/46
7/26 at 100.00
 
A2
 
2,757,793
 
 
1,150
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Series 2011H, 5.000%, 7/01/41
7/21 at 100.00
 
A2
 
1,249,073
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2010-O:
           
 
800
 
5.000%, 7/01/35
7/20 at 100.00
 
A–
 
866,896
 
 
4,000
 
5.000%, 7/01/40
7/20 at 100.00
 
A–
 
4,334,480
 
 
3,950
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Fairfield University, Series 2016Q-1, 5.000%, 7/01/46
7/26 at 100.00
 
A–
 
4,311,149
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Loomis Chaffee School, Series 2005F:
           
 
440
 
5.250%, 7/01/18 – AMBAC Insured
No Opt. Call
 
A2
 
465,406
 
 
1,510
 
5.250%, 7/01/19 – AMBAC Insured
No Opt. Call
 
A2
 
1,640,630
 
 
1,125
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Norwich Free Academy, Series 2013B, 4.000%, 7/01/34
7/23 at 100.00
 
A1
 
1,139,276
 
 
7,030
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Refunding Series 2015L, 5.000%, 7/01/45
7/25 at 100.00
 
A–
 
7,605,405
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2016M:
           
 
260
 
5.000%, 7/01/34
7/26 at 100.00
 
A–
 
285,301
 
 
1,650
 
5.000%, 7/01/35
7/26 at 100.00
 
A–
 
1,806,387
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2011G:
           
 
250
 
5.125%, 7/01/26
7/21 at 100.00
 
BBB+
 
271,678
 
 
3,260
 
5.625%, 7/01/41
7/21 at 100.00
 
BBB+
 
3,539,545
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Sacred Heart University, Series 2012H:
           
 
1,500
 
5.000%, 7/01/26 – AGM Insured
7/22 at 100.00
 
AA
 
1,653,225
 
 
1,000
 
5.000%, 7/01/28 – AGM Insured
7/22 at 100.00
 
AA
 
1,094,060
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, The Loomis Chaffee School Issue, Series 2011-I:
           
 
560
 
5.000%, 7/01/23 – AGM Insured
7/21 at 100.00
 
A2
 
620,301
 
 
225
 
5.000%, 7/01/24 – AGM Insured
7/21 at 100.00
 
A2
 
249,536
 
 
17,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2007, 5.050%, 7/01/42 (UB) (4)
7/17 at 100.00
 
AAA
 
17,352,070
 
 
5,580
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut State University System, Series 2013N, 5.000%, 11/01/31
11/23 at 100.00
 
AA–
 
6,276,217
 
 
2,425
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut State University System, Series 2016P-1, 5.000%, 11/01/28
11/26 at 100.00
 
AA–
 
2,800,463
 
 
515
 
University of Connecticut, Student Fee Revenue Bonds, Refunding Series 2010A, 5.000%, 11/15/27
11/19 at 100.00
 
Aa2
 
561,860
 
 
58,270
 
Total Education and Civic Organizations
       
62,105,085
 

NUVEEN
15


NTC
Nuveen Connecticut Quality Municipal Income Fund
 
 
Portfolio of Investments (continued)
November 30, 2016 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
Health Care – 36.9% (23.2% of Total Investments)
           
$
5,500
 
Connecticut Health and Educational Facilities Authority Revenue Bonds, Hartford HealthCare, Series 2015F, 5.000%, 7/01/45
7/25 at 100.00
 
A
$
5,941,815
 
 
4,540
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Ascension Health Series 2010A, 5.000%, 11/15/40
11/19 at 100.00
 
AA+
 
4,845,587
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Bristol Hospital, Series 2002B:
           
 
560
 
5.500%, 7/01/21 – RAAI Insured
1/17 at 100.00
 
AA
 
561,400
 
 
3,000
 
5.500%, 7/01/32 – RAAI Insured
1/17 at 100.00
 
AA
 
3,004,170
 
 
1,010
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Catholic Health East Series 2010, 4.750%, 11/15/29
11/20 at 100.00
 
AA
 
1,067,610
 
 
200
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Danbury Hospital, Series 2006H, 4.500%, 7/01/33 – AMBAC Insured
1/17 at 100.00
 
A
 
200,108
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Griffin Hospital, Series 2005B:
           
 
1,970
 
5.000%, 7/01/20 – RAAI Insured
1/17 at 100.00
 
A3
 
1,974,295
 
 
1,050
 
5.000%, 7/01/23 – RAAI Insured
1/17 at 100.00
 
A3
 
1,051,806
 
 
7,025
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford HealthCare, Series 2011A, 5.000%, 7/01/41
7/21 at 100.00
 
A
 
7,425,003
 
 
500
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hartford HealthCare, Series 2014E, 5.000%, 7/01/42
No Opt. Call
 
A
 
538,525
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C:
           
 
645
 
5.250%, 7/01/32 – AGC Insured
7/17 at 100.00
 
AA
 
655,281
 
 
185
 
5.250%, 7/01/37 – AGC Insured
7/17 at 100.00
 
AA
 
187,786
 
 
2,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Lawrence and Memorial Hospitals, Series 2011F, 5.000%, 7/01/36
7/21 at 100.00
 
A–
 
2,123,420
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2011N:
           
 
1,105
 
5.000%, 7/01/25
7/21 at 100.00
 
A3
 
1,201,732
 
 
400
 
5.000%, 7/01/26
7/21 at 100.00
 
A3
 
433,856
 
 
500
 
5.000%, 7/01/27
7/21 at 100.00
 
A3
 
540,645
 
 
1,915
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Middlesex Hospital, Series 2015O, 5.000%, 7/01/36
7/25 at 100.00
 
A3
 
2,077,564
 
 
1,275
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2010-I, 5.000%, 7/01/30
7/20 at 10.00
 
A
 
1,371,403
 
 
7,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2012J, 5.000%, 7/01/42
7/22 at 100.00
 
A
 
7,361,409
 
 
3,235
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Stamford Hospital, Series 2016K, 4.000%, 7/01/46
7/26 at 100.00
 
A–
 
3,042,356
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Trinity Health Credit Group, Series 2016CT:
           
 
2,650
 
5.000%, 12/01/41
6/26 at 100.00
 
AA
 
2,868,678
 
 
750
 
5.000%, 12/01/45
6/26 at 100.00
 
AA
 
809,423
 
 
3,905
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011M, 5.375%, 7/01/41
7/21 at 100.00
 
A
 
4,207,481
 
 
4,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Western Connecticut Health, Series 2011N, 5.000%, 7/01/29
7/21 at 100.00
 
A
 
4,312,720
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Health Issue, Series 2014E:
           
 
2,610
 
5.000%, 7/01/32
7/24 at 100.00
 
AA–
 
2,926,019
 
 
2,740
 
5.000%, 7/01/33
7/24 at 100.00
 
AA–
 
3,060,005
 
 
900
 
5.000%, 7/01/34
7/24 at 100.00
 
AA–
 
1,001,277
 

16
NUVEEN


 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
Health Care (continued)
           
$
7,475
 
Monroe County Industrial Development Corporation, New York, FHA Insured Mortgage Revenue Bonds, Unity Hospital of Rochester Project, Series 2010, 5.500%, 8/15/40
2/21 at 100.00
 
AA
$
8,357,269
 
 
68,645
 
Total Health Care
       
73,148,643
 
     
Long-Term Care – 2.3% (1.5% of Total Investments)
           
 
1,100
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Duncaster, Inc., Series 2014A, 5.000%, 8/01/44
8/24 at 100.00
 
BBB–
 
1,070,982
 
 
630
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Healthcare Facility Expansion Church Home of Hartford Inc. Project, Series 2016A, 5.000%, 9/01/46
9/26 at 100.00
 
N/R
 
586,681
 
 
1,500
 
Connecticut Housing Finance Authority, Special Needs Housing Mortgage Finance Program Special Obligation Bonds, Series 2002SNH-1, 5.000%, 6/15/32 – AMBAC Insured
6/17 at 100.00
 
N/R
 
1,501,140
 
 
1,285
 
Connecticut Housing Finance Authority, State Supported Special Obligation Bonds, Refunding Series 2010-16, 5.000%, 6/15/30
6/20 at 100.00
 
AA–
 
1,399,930
 
 
4,515
 
Total Long-Term Care
       
4,558,733
 
     
Tax Obligation/General – 27.7% (17.4% of Total Investments)
           
     
Bridgeport, Connecticut, General Obligation Bonds, Series 2014A:
           
 
2,345
 
5.000%, 7/01/32 – AGM Insured
7/24 at 100.00
 
AA
 
2,562,804
 
 
1,600
 
5.000%, 7/01/34 – AGM Insured
7/24 at 100.00
 
AA
 
1,734,240
 
 
2,100
 
Bridgeport, Connecticut, General Obligation Bonds, Series 2016D, 5.000%, 8/15/41 – AGM Insured
8/26 at 100.00
 
AA
 
2,267,454
 
 
5,100
 
Connecticut State, General Obligation Bonds, Green Series 2014G, 5.000%, 11/15/31
11/24 at 100.00
 
AA–
 
5,642,232
 
 
2,290
 
Connecticut State, General Obligation Bonds, Refunding Series 2012E, 5.000%, 9/15/32
9/22 at 100.00
 
AA–
 
2,536,862
 
 
2,740
 
Connecticut State, General Obligation Bonds, Refunding Series 2016B, 5.000%, 5/15/27
5/26 at 100.00
 
AA–
 
3,137,711
 
 
1,000
 
Connecticut State, General Obligation Bonds, Series 2011D, 5.000%, 11/01/31
11/21 at 100.00
 
AA–
 
1,105,100
 
 
2,600
 
Connecticut State, General Obligation Bonds, Series 2014A, 5.000%, 3/01/31
3/24 at 100.00
 
AA–
 
2,854,748
 
 
3,500
 
Connecticut State, General Obligation Bonds, Series 2014F, 5.000%, 11/15/34
11/24 at 100.00
 
AA–
 
3,838,940
 
 
2,630
 
Connecticut State, General Obligation Bonds, Series 2015F, 5.000%, 11/15/34
11/25 at 100.00
 
AA–
 
2,907,649
 
 
100
 
Greenwich, Connecticut, General Obligation Bonds, Refunding Series 2016, 4.000%, 7/15/33
7/24 at 100.00
 
Aaa
 
104,957
 
     
Hamden, Connecticut, General Obligation Bonds, Series 2016:
           
 
1,000
 
5.000%, 8/15/32 – BAM Insured
8/24 at 100.00
 
AA
 
1,091,340
 
 
250
 
4.000%, 8/15/34 – BAM Insured
8/24 at 100.00
 
AA
 
247,173
 
 
1,000
 
Hartford, Connecticut, General Obligation Bonds, Refunding Series 2013A, 5.000%, 4/01/31
4/23 at 100.00
 
BBB
 
990,350
 
 
870
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28
8/19 at 100.00
 
AA
 
934,189
 
 
2,000
 
Hartford, Connecticut, General Obligation Bonds, Series 2013B, 5.000%, 4/01/33
4/23 at 100.00
 
BBB
 
1,950,820
 
     
New Haven, Connecticut, General Obligation Bonds, Refunding Series 2016A:
           
 
1,000
 
5.000%, 8/15/32 – AGM Insured
8/26 at 100.00
 
AA
 
1,097,460
 
 
1,000
 
5.000%, 8/15/36 – AGM Insured
8/26 at 100.00
 
AA
 
1,083,090
 
 
985
 
New Haven, Connecticut, General Obligation Bonds, Series 2014A, 5.000%, 8/01/33 – AGM Insured
8/24 at 100.00
 
AA
 
1,071,838
 
     
New Haven, Connecticut, General Obligation Bonds, Series 2015:
           
 
790
 
5.000%, 9/01/32 – AGM Insured
9/25 at 100.00
 
AA
 
860,594
 
 
1,620
 
5.000%, 9/01/33 – AGM Insured
9/25 at 100.00
 
AA
 
1,759,741
 
 
500
 
5.000%, 9/01/35 – AGM Insured
9/25 at 100.00
 
AA
 
539,655
 
 
900
 
North Haven, Connecticut, General Obligation Bonds, Series 2006, 5.000%, 7/15/24
No Opt. Call
 
Aa1
 
1,055,412
 
 
3,890
 
Oregon State, General Obligation Bonds, Oregon University System Projects, Series 2011G, 5.000%, 8/01/36
8/21 at 100.00
 
AA+
 
4,306,308
 
 
2,500
 
Stamford, Connecticut, General Obligation Bonds, Refunding Series 2014, 3.000%, 8/15/22
8/21 at 100.00
 
AAA
 
2,605,525
 
 
600
 
Stratford, Connecticut, General Obligation Bonds, Series 2014, 5.000%, 12/15/32
12/22 at 100.00
 
AA
 
675,024
 

NUVEEN
17


NTC
Nuveen Connecticut Quality Municipal Income Fund
 
 
Portfolio of Investments (continued)
November 30, 2016 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
Tax Obligation/General (continued)
           
     
Suffield, Connecticut, General Obligation Bonds, Refunding Series 2005:
           
$
800
 
5.000%, 6/15/17
No Opt. Call
 
AA+
$
817,848
 
 
820
 
5.000%, 6/15/19
No Opt. Call
 
AA+
 
892,939
 
 
1,400
 
5.000%, 6/15/21
No Opt. Call
 
AA+
 
1,587,838
 
     
Waterbury, Connecticut, General Obligation Bonds, Lot A Series 2015:
           
 
445
 
5.000%, 8/01/30 – BAM Insured
8/25 at 100.00
 
AA
 
495,579
 
 
390
 
5.000%, 8/01/31 – BAM Insured
8/25 at 100.00
 
AA
 
432,787
 
 
610
 
5.000%, 8/01/32 – BAM Insured
8/25 at 100.00
 
AA
 
673,562
 
 
445
 
5.000%, 8/01/33 – BAM Insured
8/25 at 100.00
 
AA
 
489,629
 
 
445
 
5.000%, 8/01/34 – BAM Insured
8/25 at 100.00
 
AA
 
486,857
 
 
50,265
 
Total Tax Obligation/General
       
54,838,255
 
     
Tax Obligation/Limited – 23.6% (14.8% of Total Investments)
           
 
2,500
 
Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2012A, 5.000%, 1/01/33
No Opt. Call
 
AA
 
2,774,725
 
 
3,855
 
Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2013A, 5.000%, 10/01/33
10/23 at 100.00
 
AA
 
4,325,657
 
 
1,380
 
Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2015A, 5.000%, 8/01/33
8/25 at 100.00
 
AA
 
1,547,822
 
     
Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes Series 2016A:
           
 
1,075
 
5.000%, 9/01/33
9/26 at 100.00
 
AA
 
1,203,430
 
 
5,925
 
5.000%, 9/01/34
9/26 at 100.00
 
AA
 
6,596,658
 
     
Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Purposes, Series 2014A:
           
 
3,835
 
5.000%, 9/01/33
9/24 at 100.00
 
AA
 
4,308,239
 
 
1,000
 
5.000%, 9/01/34
9/24 at 100.00
 
AA
 
1,119,760
 
     
Government of Guam, Business Privilege Tax Bonds, Series 2011A:
           
 
840
 
5.250%, 1/01/36
1/22 at 100.00
 
A
 
883,520
 
 
3,200
 
5.125%, 1/01/42
1/22 at 100.00
 
A
 
3,340,128
 
 
3,000
 
Harbor Point Infrastructure Improvement District, Connecticut, Special Obligation Revenue Bonds, Harbor Point Project, Series 2010A, 7.875%, 4/01/39
4/20 at 100.00
 
N/R
 
3,382,650
 
 
1,500
 
Puerto Rico Municipal Finance Agency, Series 2002A, 5.250%, 8/01/21 – AGM Insured
2/17 at 100.00
 
AA
 
1,521,060
 
 
2,600
 
University of Connecticut, General Obligation Bonds, Series 2010A, 5.000%, 2/15/28
2/20 at 100.00
 
AA–
 
2,836,080
 
     
University of Connecticut, General Obligation Bonds, Series 2013A:
           
 
2,290
 
5.000%, 8/15/20
No Opt. Call
 
AA–
 
2,542,335
 
 
2,500
 
5.000%, 8/15/32
8/23 at 100.00
 
AA–
 
2,792,000
 
 
760
 
University of Connecticut, General Obligation Bonds, Series 2014A, 5.000%, 2/15/31
2/24 at 100.00
 
AA–
 
847,408
 
     
University of Connecticut, General Obligation Bonds, Series 2015A:
           
 
1,500
 
5.000%, 2/15/29
2/25 at 100.00
 
AA–
 
1,696,380
 
 
1,415
 
5.000%, 2/15/34
No Opt. Call
 
AA–
 
1,563,094
 
 
1,355
 
University of Connecticut, General Obligation Bonds, Series 2016A, 5.000%, 3/15/32
3/26 at 100.00
 
AA–
 
1,526,421
 
 
1,790
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series 2012A, 5.000%, 10/01/32 – AGM Insured
No Opt. Call
 
AA
 
1,899,476
 
 
42,320
 
Total Tax Obligation/Limited
       
46,706,843
 
     
Transportation – 0.2% (0.2% of Total Investments)
           
 
450
 
Virgin Islands Port Authority, Marine Revenue Bonds, Refunding Series 2014B, 5.000%, 9/01/44
9/24 at 100.00
 
BBB+
 
485,159
 
     
U.S. Guaranteed – 12.5% (7.8% of Total Investments) (5)
           
 
1,000
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Connecticut College, Series 2007G, 4.500%, 7/01/37 (Pre-refunded 7/01/17) – NPFG Insured
7/17 at 100.00
 
AA– (5)
 
1,021,350
 
 
4,405
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Quinnipiac University, Series 2007-I, 5.000%, 7/01/25 (Pre-refunded 7/01/17) – NPFG Insured
7/17 at 100.00
 
AA– (5)
 
4,509,795
 

18
NUVEEN


 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
U.S. Guaranteed (5) (continued)
           
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Renbrook School, Series 2007A:
           
$
465
 
5.000%, 7/01/30 (Pre-refunded 7/01/17) – AMBAC Insured
7/17 at 100.00
 
N/R (5)
$
476,062
 
 
735
 
5.000%, 7/01/37 (Pre-refunded 7/01/17) – AMBAC Insured
7/17 at 100.00
 
N/R (5)
 
752,486
 
     
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Hospital For Special Care, Series 2007C:
           
 
420
 
5.250%, 7/01/32 (Pre-refunded 7/01/17) – AGC Insured
7/17 at 100.00
 
AA (5)
 
430,752
 
 
115
 
5.250%, 7/01/37 (Pre-refunded 7/01/17) – AGC Insured
7/17 at 100.00
 
AA (5)
 
117,944
 
 
4,140
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Wesleyan University, Series 2010G, 5.000%, 7/01/35 (Pre-refunded 7/01/20)
7/20 at 100.00
 
AA (5)
 
4,628,603
 
 
775
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, William W. Backus Hospital, Series 2005F, 5.125%, 7/01/35 (Pre-refunded 7/01/18) – AGM Insured
7/18 at 100.00
 
AA (5)
 
823,655
 
 
1,240
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale-New Haven Hospital, Series 2010M, 5.500%, 7/01/40 (Pre-refunded 7/01/20)
7/20 at 100.00
 
Aa3 (5)
 
1,407,871
 
 
1,125
 
Connecticut State Development Authority, Health Facilities Revenue Bonds, Alzheimer's Resource Center of Connecticut, Inc., Series 2007, 5.500%, 8/15/27 (Pre-refunded 8/15/17)
8/17 at 100.00
 
N/R (5)
 
1,161,158
 
 
5,000
 
Connecticut State, Special Tax Obligation Bonds, Transportation Infrastructure Series 2007A, 5.000%, 8/01/27 (Pre-refunded 8/01/17) – AMBAC Insured
8/17 at 100.00
 
AA (5)
 
5,139,550
 
 
870
 
Hartford, Connecticut, General Obligation Bonds, Series 2009A, 5.000%, 8/15/28 (Pre-refunded 8/15/19)
8/19 at 100.00
 
AA (5)
 
952,206
 
 
40
 
New Haven, Connecticut, General Obligation Bonds, Series 2002A, 5.250%, 11/01/17 – AMBAC Insured (ETM)
2/17 at 100.00
 
A– (5)
 
41,388
 
 
1,010
 
Puerto Rico Public Finance Corporation, Commonwealth Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 – AMBAC Insured (ETM)
No Opt. Call
 
Aaa
 
1,143,623
 
 
1,725
 
Stamford, Connecticut, Special Obligation Revenue Bonds, Mill River Corridor Project, Series 2011aA, 7.000%, 4/01/41 (Pre-refunded 4/01/21)
4/21 at 100.00
 
N/R (5)
 
2,079,488
 
 
23,065
 
Total U.S. Guaranteed
       
24,685,931
 
     
Utilities – 6.5% (4.1% of Total Investments)
           
 
4,375
 
Connecticut Development Authority, Water Facility Revenue Bonds, Aquarion Water Company Project, Series 2007, 5.100%, 9/01/37 – SYNCORA GTY Insured (Alternative Minimum Tax)
9/17 at 100.00
 
N/R
 
4,410,569
 
     
Connecticut Municipal Electric Energy Cooperative, Power Supply System Revenue Bonds, Tender Option Bond Trust 2016-XG0059:
           
 
1,295
 
15.226%, 1/01/32 (IF) (4)
1/23 at 100.00
 
Aa3
 
1,787,320
 
 
410
 
15.092%, 1/01/38 (IF) (4)
1/23 at 100.00
 
Aa3
 
551,331
 
     
Connecticut Transmission Municipal Electric Energy Cooperative, Transmission System Revenue Bonds, Series 2012A:
           
 
655
 
5.000%, 1/01/31
1/22 at 100.00
 
Aa3
 
721,876
 
 
500
 
5.000%, 1/01/32
1/22 at 100.00
 
Aa3
 
549,805
 
 
2,830
 
5.000%, 1/01/42
1/22 at 100.00
 
Aa3
 
3,075,587
 
 
1,765
 
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/20 (Alternative Minimum Tax)
1/17 at 100.00
 
A–
 
1,773,966
 
 
11,830
 
Total Utilities
       
12,870,454
 
     
Water and Sewer – 18.0% (11.3% of Total Investments)
           
     
Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Refunding Series 2014B:
           
 
500
 
5.000%, 8/15/30
8/24 at 100.00
 
AA
 
563,575
 
 
1,000
 
5.000%, 8/15/31
8/24 at 100.00
 
AA
 
1,123,960
 
 
500
 
5.000%, 8/15/32
8/24 at 100.00
 
AA
 
557,410
 
 
55
 
Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System Revenue Bonds, Series 2005A, 5.000%, 8/15/35 – NPFG Insured
11/17 at 100.00
 
AA
 
55,161
 
 
2,050
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2010, 5.625%, 7/01/40
7/20 at 100.00
 
A–
 
2,166,502
 

NUVEEN
19


NTC
Nuveen Connecticut Quality Municipal Income Fund
 
 
Portfolio of Investments (continued)
November 30, 2016 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
Water and Sewer (continued)
           
$
1,125
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 1/01/46
7/26 at 100.00
 
A–
$
1,209,173
 
 
6,815
 
Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Refunding Green Bond Series 2014A, 5.000%, 11/01/42
11/24 at 100.00
 
AA
 
7,561,310
 
     
Hartford County Metropolitan District, Connecticut, Clean Water Project Revenue Bonds, Series 2013A:
           
 
4,100
 
5.000%, 4/01/36
4/22 at 100.00
 
AA
 
4,524,801
 
 
2,500
 
5.000%, 4/01/39
4/22 at 100.00
 
AA
 
2,751,225
 
 
795
 
South Central Connecticut Regional Water Authority Water System Revenue Bonds, Thirtieth Series 2014A, 5.000%, 8/01/44
8/24 at 100.00
 
AA–
 
867,305
 
     
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Refunding Thirty-Second Series 2016B:
           
 
1,470
 
4.000%, 8/01/36
8/26 at 100.00
 
AA–
 
1,491,168
 
 
1,110
 
5.000%, 8/01/37
8/26 at 100.00
 
AA–
 
1,239,737
 
 
930
 
5.000%, 8/01/38
8/26 at 100.00
 
AA–
 
1,037,899
 
 
4,870
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twentieth-Sixth Series, 2011, 5.000%, 8/01/41
8/21 at 100.00
 
AA–
 
5,377,649
 
 
4,000
 
South Central Connecticut Regional Water Authority, Water System Revenue Bonds, Twenty-Seventh Series 2012, 5.000%, 8/01/33
No Opt. Call
 
AA–
 
4,467,880
 
 
500
 
Stamford, Connecticut, Water Pollution Control System and Facility Revenue Bonds, Series 2013A, 5.250%, 8/15/43
8/23 at 100.00
 
AA+
 
559,495
 
 
32,320
 
Total Water and Sewer
       
35,554,250
 
$
291,680
 
Total Long-Term Investments (cost $310,411,911)
       
314,953,353
 
     
Floating Rate Obligations – (6.4)%
       
(12,750,000
) 
     
Variable Rate MuniFund Term Preferred Shares, at Liquidation Preference – (56.6)% (6)
       
(112,000,000
) 
     
Other Assets Less Liabilities – 3.9%
       
7,769,885
 
     
Net Assets Applicable to Common Shares – 100%
     
$
197,973,238
 

(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 recognized 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 35.6%.
(ETM)
Escrowed to maturity.
(IF)
Inverse floating rate investment.
(UB)
Underlying bond of an inverse floating rate trust reflected as a financing transaction. See Notes to Financial Statements, Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities for more information.

See accompanying notes to financial statements.
 
20
NUVEEN


NMT
   
 
Nuveen Massachusetts Quality Municipal Income Fund
 
 
(formerly known as Nuveen Massachusetts Premium Income Municipal Fund)
 
 
Portfolio of Investments
November 30, 2016 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
LONG-TERM INVESTMENTS – 153.7% (100.0% of Total Investments)
           
                   
     
MUNICIPAL BONDS – 153.7% (100.0% of Total Investments)
           
                   
     
Education and Civic Organizations – 37.4% (24.3% of Total Investments)
           
     
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Tender Option Bond Trust 2016-XG0070:
           
$
1,880
 
15.530%, 10/01/48 (IF) (4)
10/23 at 100.00
 
A+
$
2,598,968
 
 
575
 
15.443%, 10/01/48 (IF) (4)
10/23 at 100.00
 
A+
 
794,627
 
 
2,200
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston College Issue, Series 2013S, 5.000%, 7/01/38
7/23 at 100.00
 
AA–
 
2,437,556
 
 
1,400
 
Massachusetts Development Finance Agency, Revenue Bonds, Emerson College, Series 2010A, 5.000%, 1/01/40
1/20 at 100.00
 
BBB+
 
1,459,640
 
 
2,150
 
Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2011B-1, 5.250%, 7/01/33 – AGM Insured
7/21 at 100.00
 
AA
 
2,367,408
 
 
1,995
 
Massachusetts Development Finance Agency, Revenue Bonds, Lesley University, Series 2016, 5.000%, 7/01/35
7/26 at 100.00
 
A–
 
2,183,867
 
     
Massachusetts Development Finance Agency, Revenue Bonds, MCPHS University Issue, Series 2015H:
           
 
450
 
3.500%, 7/01/35
7/25 at 100.00
 
AA
 
429,863
 
 
190
 
5.000%, 7/01/37
7/25 at 100.00
 
AA
 
208,755
 
 
550
 
Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2012, 5.000%, 10/01/31
No Opt. Call
 
A2
 
612,205
 
     
Massachusetts Development Finance Agency, Revenue Bonds, Northeastern University, Series 2014A:
           
 
875
 
5.000%, 3/01/39
3/24 at 100.00
 
A2
 
947,888
 
 
1,400
 
5.000%, 3/01/44
3/24 at 100.00
 
A2
 
1,512,000
 
 
500
 
Massachusetts Development Finance Agency, Revenue Bonds, Simmons College, Series 2013J, 5.250%, 10/01/39
No Opt. Call
 
BBB+
 
542,320
 
 
1,230
 
Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2015, 5.000%, 7/01/33
7/25 at 100.00
 
AA
 
1,388,141
 
 
3,000
 
Massachusetts Development Finance Agency, Revenue Bonds, The Broad Institute, Series 2011A, 5.250%, 4/01/37
4/21 at 100.00
 
AA–
 
3,330,420
 
 
875
 
Massachusetts Development Finance Agency, Revenue Bonds, Tufts University, Series 2015Q, 5.000%, 8/15/38
8/25 at 100.00
 
Aa2
 
978,320
 
 
500
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 – NPFG Insured
9/17 at 100.00
 
AA–
 
512,430
 
 
1,365
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2012, 5.000%, 9/01/50
9/22 at 100.00
 
A1
 
1,473,736
 
 
295
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2016, 5.000%, 9/01/37
9/26 at 100.00
 
A1
 
324,872
 
 
3,000
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2002A, 5.750%, 1/01/42 – AMBAC Insured
No Opt. Call
 
A+
 
3,810,329
 
 
5,275
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 – AGC Insured
1/18 at 100.00
 
A3
 
5,439,473
 
     
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2016:
           
 
875
 
4.000%, 1/01/38
7/26 at 100.00
 
A+
 
879,830
 
 
675
 
5.000%, 1/01/40
7/26 at 100.00
 
A+
 
739,550
 

NUVEEN
21


NMT
Nuveen Massachusetts Quality Municipal Income Fund
 
Portfolio of Investments (continued)
November 30, 2016 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
Education and Civic Organizations (continued)
           
     
Massachusetts Development Finance Authority, Revenue Refunding Bonds, Boston University, Series 1999P:
           
$
1,090
 
6.000%, 5/15/29
No Opt. Call
 
A1
$
1,303,477
 
 
1,000
 
6.000%, 5/15/59
5/29 at 105.00
 
A1
 
1,210,510
 
 
280
 
Massachusetts Educational Financing Authority, Education Loan Revenue Bonds, Series 2008H, 6.350%, 1/01/30 – AGC Insured (Alternative Minimum Tax)
1/18 at 100.00
 
AA
 
292,541
 
 
635
 
Massachusetts Educational Financing Authority, Educational Loan Revenue, Series 2011J, 5.625%, 7/01/33 (Alternative Minimum Tax)
7/21 at 100.00
 
AA
 
672,910
 
 
255
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Northeastern University, Series 2010A, 4.875%, 10/01/35
10/20 at 100.00
 
A2
 
276,308
 
 
2,030
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Wheaton College Issues, Series 2010F, 5.000%, 1/01/41
1/20 at 100.00
 
A3
 
2,177,906
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Refunding Bonds, Suffolk University Issue, Series 2009A, 5.750%, 7/01/39
7/19 at 100.00
 
BBB
 
537,445
 
 
1,510
 
University of Massachusetts Building Authority, Project Revenue Bonds, Senior Lien Series 2009-1, 5.000%, 5/01/39
No Opt. Call
 
Aa2
 
1,615,232
 
 
2,000
 
University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2014-1, 5.000%, 11/01/44
11/24 at 100.00
 
Aa2
 
2,201,520
 
 
4,000
 
University of Massachusetts Building Authority, Project Revenue Bonds, Senior Series 2015-1, 5.000%, 11/01/40
11/25 at 100.00
 
Aa2
 
4,462,679
 
 
44,555
 
Total Education and Civic Organizations
       
49,722,726
 
     
Health Care – 30.2% (19.6% of Total Investments)
           
 
1,000
 
Massachusetts Development Finance Agency Revenue Bonds, Children's Hospital Issue, Series 2014P, 5.000%, 10/01/46
10/24 at 100.00
 
AA
 
1,117,230
 
 
1,340
 
Massachusetts Development Finance Agency Revenue Bonds, South Shore Hospital, Series 2016I, 5.000%, 7/01/41
7/26 at 100.00
 
A–
 
1,451,890
 
 
1,410
 
Massachusetts Development Finance Agency, Hospital Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2013, 5.250%, 11/15/41
11/23 at 100.00
 
A
 
1,547,503
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Baystate Medical Center Issue, Series 2014N, 5.000%, 7/01/44
7/24 at 100.00
 
A+
 
1,075,680
 
     
Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Health Systems, Series 2012G:
           
 
895
 
5.000%, 10/01/29
10/21 at 100.00
 
A
 
965,884
 
 
700
 
5.000%, 10/01/31
10/21 at 100.00
 
A
 
750,820
 
     
Massachusetts Development Finance Agency, Revenue Bonds, Boston Medical Center Issue, Series 2016E:
           
 
265
 
5.000%, 7/01/36
7/26 at 100.00
 
BBB
 
278,799
 
 
850
 
5.000%, 7/01/37
7/26 at 100.00
 
BBB
 
892,220
 
 
415
 
4.000%, 7/01/38
7/26 at 100.00
 
BBB
 
385,979
 
 
1,500
 
Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Refunding Series 2016-I, 5.000%, 7/01/37
7/26 at 100.00
 
A–
 
1,651,035
 
     
Massachusetts Development Finance Agency, Revenue Bonds, CareGroup Issue, Series 2015H-1:
           
 
900
 
5.000%, 7/01/30
7/25 at 100.00
 
A–
 
1,009,269
 
 
1,000
 
5.000%, 7/01/32
7/25 at 100.00
 
A–
 
1,111,950
 
 
500
 
5.000%, 7/01/33
7/25 at 100.00
 
A–
 
554,020
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Covenant Health System Obligated Group, Series 2012, 5.000%, 7/01/31
7/22 at 100.00
 
A–
 
1,069,720
 
 
2,800
 
Massachusetts Development Finance Agency, Revenue Bonds, Dana-Farber Cancer Institute Issue, Series 2016N, 5.000%, 12/01/46
12/26 at 100.00
 
A1
 
3,028,956
 
     
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+
 
1,479,339
 
 
3,500
 
5.000%, 8/15/45
8/25 at 100.00
 
A+
 
3,784,444
 

22
NUVEEN


 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
Health Care (continued)
           
$
1,080
 
Massachusetts Development Finance Agency, Revenue Bonds, Milford Regional Medical Center Issue, Series 2014F, 5.750%, 7/15/43
7/23 at 100.00
 
BBB–
$
1,179,144
 
 
2,200
 
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2011K-6, 5.375%, 7/01/41
7/20 at 100.00
 
AA
 
2,414,830
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Partners HealthCare System, Series 2012L, 5.000%, 7/01/36
7/21 at 100.00
 
AA
 
1,106,300
 
 
820
 
Massachusetts Development Finance Agency, Revenue Bonds, Southcoast Health System Obligated Group Issue, Series 2013F, 5.000%, 7/01/37
7/23 at 100.00
 
A3
 
883,763
 
     
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+
 
1,048,510
 
 
2,200
 
5.000%, 7/01/44
7/23 at 100.00
 
BBB+
 
2,293,852
 
 
500
 
Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Health, Series 2011H, 5.500%, 7/01/31
7/21 at 100.00
 
BBB+
 
546,225
 
 
445
 
Massachusetts Development Finance Agency, Revenue Bonds, UMass Memorial Healthcare, Refunding Series 2016I, 5.000%, 7/01/36
7/26 at 100.00
 
BBB+
 
475,376
 
 
945
 
Massachusetts Health and Educational Facilities Authority, Partners HealthCare System Inc., Series 2007G, 5.000%, 7/01/32
7/17 at 100.00
 
AA
 
964,278
 
 
160
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Baystate Medical Center, Series 2009I, 5.750%, 7/01/36
7/19 at 100.00
 
A+
 
173,107
 
 
500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Cape Cod Healthcare Obligated Group, Series 2004D, 5.125%, 11/15/35 – AGC Insured
11/19 at 100.00
 
AA
 
541,810
 
 
2,000
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Children's Hospital, Series 2009M, 5.500%, 12/01/39
12/19 at 100.00
 
AA
 
2,179,700
 
 
2,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Dana-Farber Cancer Institute, Series 2008K, 5.000%, 12/01/37
12/18 at 100.00
 
A1
 
2,629,875
 
 
1,495
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Milford Regional Medical Center, Series 2007E, 5.000%, 7/15/32
7/17 at 100.00
 
BBB–
 
1,514,719
 
 
37,265
 
Total Health Care
       
40,106,227
 
     
Housing/Multifamily – 3.8% (2.5% of Total Investments)
           
 
500
 
Boston Housing Authority, Massachusetts, Capital Program Revenue Bonds, Series 2008, 5.000%, 4/01/20 – AGM Insured
4/18 at 100.00
 
AA
 
523,190
 
 
2,480
 
Massachusetts Development Finance Authority, Multifamily Housing Revenue Bonds, Emerson Manor Project, Series 2007, 4.800%, 7/20/48
7/17 at 100.00
 
BB–
 
2,490,416
 
 
2,000
 
Massachusetts Housing Finance Agency, Housing Bonds, Series 2003H, 5.125%, 6/01/43
6/17 at 100.00
 
Aa2
 
2,001,480
 
 
4,980
 
Total Housing/Multifamily
       
5,015,086
 
     
Long-Term Care – 3.6% (2.4% of Total Investments)
           
 
460
 
Massachusetts Development Finance Agency, Revenue Bonds, Berkshire Retirement Community Lennox, Series 2015, 5.000%, 7/01/31
No Opt. Call
 
A–
 
502,923
 
 
285
 
Massachusetts Development Finance Agency, Revenue Bonds, Carleton-Willard Village, Series 2010, 5.625%, 12/01/30
12/19 at 100.00
 
A–
 
308,461
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Loomis Communities, Series 2013A, 5.250%, 1/01/26
1/23 at 100.00
 
BBB–
 
1,087,150
 
 
500
 
Massachusetts Development Finance Agency, Revenue Bonds, North Hill Communities Issue, Series 2013A, 6.250%, 11/15/28
11/23 at 100.00
 
N/R
 
528,670
 
 
2,410
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.250%, 10/01/26
4/17 at 101.00
 
N/R
 
2,427,858
 
 
4,655
 
Total Long-Term Care
       
4,855,062
 

NUVEEN
23


NMT
Nuveen Massachusetts Quality Municipal Income Fund
 
Portfolio of Investments (continued)
November 30, 2016 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
Tax Obligation/General – 16.0% (10.4% of Total Investments)
           
$
2,000
 
Hampden-Wilbraham Regional School District, Hampden County, Massachusetts, General Obligation Bonds, Series 2011, 5.000%, 2/15/41
2/21 at 100.00
 
Aa3
$
2,179,680
 
 
1,250
 
Hudson, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2011, 5.000%, 2/15/32
2/20 at 100.00
 
AA
 
1,356,850
 
 
1,010
 
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21
No Opt. Call
 
AA+
 
1,149,804
 
 
2,440
 
Massachusetts State, General Obligation Bonds, Consolidated Loan, Refunding Series 2014C, 5.000%, 8/01/22
No Opt. Call
 
AA+
 
2,813,344
 
 
1,500
 
Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2004B, 5.250%, 8/01/21 – AGM Insured
No Opt. Call
 
AA+
 
1,719,960
 
 
2,000
 
Massachusetts State, General Obligation Bonds, Consolidated Loan, Series 2015C, 5.000%, 7/01/45
7/25 at 100.00
 
AA+
 
2,225,480
 
 
1,000
 
Newburyport, Massachusetts, General Obligation Bonds, Municipal Purpose Loan, Refunding Series 2013, 4.000%, 1/15/30
1/23 at 100.00
 
AAA
 
1,037,940
 
 
1,775
 
North Reading, Massachusetts, General Obligation Bonds, Municipal Purpose Loan Series 2012, 5.000%, 5/15/35 – AMBAC Insured
5/22 at 100.00
 
Aa2
 
1,965,688
 
 
1,760
 
Norwell, Massachusetts, General Obligation Bonds, Series 2003, 5.000%, 11/15/20 – FGIC Insured
No Opt. Call
 
AAA
 
1,960,182
 
     
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
 
1,408,205
 
 
2,000
 
5.250%, 12/01/38
12/20 at 100.00
 
Aa2
 
2,210,600
 
 
1,220
 
Worcester, Massachusetts, General Obligation Bonds, Series 2005A, 5.000%, 7/01/19 – FGIC Insured
1/17 at 100.00
 
AA
 
1,250,085
 
 
19,235
 
Total Tax Obligation/General
       
21,277,818
 
     
Tax Obligation/Limited – 16.9% (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
 
2,103,620
 
 
1,310
 
5.125%, 1/01/42
1/22 at 100.00
 
A
 
1,367,365
 
     
Government of Guam, Business Privilege Tax Bonds, Series 2012B-1:
           
 
400
 
5.000%, 1/01/37
1/22 at 100.00
 
A
 
415,060
 
 
1,055
 
5.000%, 1/01/42
1/22 at 100.00
 
A
 
1,094,235
 
 
855
 
Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, Refunding Green Series 2014, 5.000%, 5/01/33 – BAM Insured
11/24 at 100.00
 
AA
 
946,126
 
 
1,000
 
Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2012A, 5.000%, 7/01/41
7/22 at 100.00
 
AAA
 
1,113,020
 
 
770
 
Massachusetts Bay Transportation Authority, Sales Tax Revenue Bonds, Refunding Senior Lien Series 2004C, 5.250%, 7/01/21
No Opt. Call
 
AA+
 
882,405
 
     
Massachusetts College Building Authority, Project Revenue Bonds, Green Series 2014B:
           
 
360
 
5.000%, 5/01/39
5/24 at 100.00
 
AA
 
398,228
 
 
1,610
 
5.000%, 5/01/44
5/24 at 100.00
 
AA
 
1,774,301
 
 
1,000
 
Massachusetts College Building Authority, Project Revenue Refunding Bonds, Series 2003B, 5.375%, 5/01/23 – SYNCORA GTY Insured
No Opt. Call
 
Aa2
 
1,184,290
 
 
855
 
Massachusetts College Building Authority, Revenue Bonds, Refunding Series 2012B, 5.000%, 5/01/37
5/22 at 100.00
 
AA
 
943,971
 
 
1,350
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Refunding Series 2015C, 5.000%, 8/15/37
8/25 at 100.00
 
AA+
 
1,515,888
 
 
1,875
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Senior Series 2013A, 5.000%, 5/15/38
5/23 at 100.00
 
AA+
 
2,073,938
 
     
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2011B:
           
 
975
 
5.000%, 10/15/35
No Opt. Call
 
AA+
 
1,085,643
 
 
1,000
 
5.000%, 10/15/41
10/21 at 100.00
 
AA+
 
1,113,480
 
 
1,070
 
Massachusetts State, Special Obligation Dedicated Tax Revenue Bonds, Series 2005, 5.000%, 1/01/20 – FGIC Insured
No Opt. Call
 
AA–
 
1,172,656
 

24
NUVEEN


 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
Tax Obligation/Limited (continued)
           
$
1,500
 
Massachusetts, Transportation Fund Revenue Bonds, Accelerated Bridge Program, Series 2013A, 5.000%, 6/01/38
6/21 at 100.00
 
AAA
$
1,662,360
 
 
520
 
Virgin Islands Public Finance Authority, Gross Receipts Taxes Loan Note, Refunding Series 2012A, 5.000%, 10/01/32 – AGM Insured
No Opt. Call
 
AA
 
551,803
 
 
1,000
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Series 2012A, 5.000%, 10/01/32 – AGM Insured
10/22 at 100.00
 
AA
 
1,061,160
 
 
20,505
 
Total Tax Obligation/Limited
       
22,459,549
 
     
Transportation – 9.2% (6.0% of Total Investments)
           
 
400
 
Massachusetts Department of Transportation, Metropolitan Highway System Revenue Bonds, Commonwealth Contract Assistance Secured, Refunding Series 2010B, 5.000%, 1/01/35
1/20 at 100.00
 
AA+
 
435,732
 
 
1,000
 
Massachusetts Port Authority, Airport System Revenue Bonds, Series 2010A, 5.000%, 7/01/30
7/20 at 100.00
 
AA
 
1,101,300
 
 
1,000
 
Massachusetts Port Authority, Revenue Bonds, Series 2012B, 5.000%, 7/01/33
7/22 at 100.00
 
AA
 
1,117,410
 
     
Massachusetts Port Authority, Revenue Bonds, Series 2014A:
           
 
1,000
 
5.000%, 7/01/39
7/24 at 100.00
 
AA
 
1,108,280
 
 
2,500
 
5.000%, 7/01/44
7/24 at 100.00
 
AA
 
2,760,150
 
     
Massachusetts Port Authority, Revenue Bonds, Series 2015A:
           
 
715
 
5.000%, 7/01/40
7/25 at 100.00
 
AA
 
796,167
 
 
1,000
 
5.000%, 7/01/45
7/25 at 100.00
 
AA
 
1,108,820
 
 
1,400
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, BOSFUEL Corporation, Series 2007, 5.000%, 7/01/32 – FGIC Insured (Alternative Minimum Tax)
7/17 at 100.00
 
AA–
 
1,421,686
 
 
1,225
 
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
1/17 at 100.00
 
N/R
 
1,229,410
 
 
730
 
Metropolitan Boston Transit Parking Corporation, Massachusetts, Systemwide Senior Lien Parking Revenue Bonds, Series 2011, 5.000%, 7/01/41
7/21 at 100.00
 
A+
 
802,285
 
 
330
 
Virgin Islands Port Authority, Marine Revenue Bonds, Refunding Series 2014B, 5.000%, 9/01/44
9/24 at 100.00
 
BBB+
 
355,783
 
 
11,300
 
Total Transportation
       
12,237,023
 
     
U.S. Guaranteed – 22.8% (14.8% of Total Investments) (5)
           
 
500
 
Boston Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Senior Lien Series 2010A, 5.000%, 11/01/30 (Pre-refunded 11/01/19)
11/19 at 100.00
 
AA+ (5)
 
550,600
 
 
450
 
Massachusetts Bay Transportation Authority, General Obligation Transportation System Bonds, Series 1991A, 7.000%, 3/01/21 (ETM)
No Opt. Call
 
N/R (5)
 
456,984
 
     
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)
 
26,521
 
 
975
 
5.000%, 7/01/26 (Pre-refunded 7/01/18)
7/18 at 100.00
 
AA+ (5)
 
1,034,300
 
 
2,500
 
Massachusetts College Building Authority, Project Revenue Bonds, Series 2008A, 5.000%, 5/01/33 (Pre-refunded 5/01/18) – AGC Insured
5/18 at 100.00
 
AA (5)
 
2,636,325
 
 
750
 
Massachusetts Development Finance Agency, Revenue Bonds, Boston University, Series 2009V-1, 5.000%, 10/01/29 (Pre-refunded 10/01/19)
10/19 at 100.00
 
A+ (5)
 
823,478
 
 
1,000
 
Massachusetts Development Finance Agency, Revenue Bonds, Sterling and Francine Clark Art Institute, Series 2011A, 5.000%, 7/01/41 (Pre-refunded 7/01/21)
7/21 at 100.00
 
AA (5)
 
1,138,820
 
 
1,595
 
Massachusetts Development Finance Agency, Revenue Bonds, Worcester Polytechnic Institute, Series 2007, 5.000%, 9/01/37 (Pre-refunded 9/01/17) – NPFG Insured
9/17 at 100.00
 
AA– (5)
 
1,644,620
 
 
4,675
 
Massachusetts Development Finance Authority, Revenue Bonds, WGBH Educational Foundation, Series 2008A, 5.000%, 1/01/42 (Pre-refunded 1/01/18) – AGC Insured
1/18 at 100.00
 
A3 (5)
 
4,873,359
 
 
1,055
 
Massachusetts Health and Educational Facilities Authority, Partners HealthCare System Inc., Series 2007G, 5.000%, 7/01/32 (Pre-refunded 7/01/17)
7/17 at 100.00
 
N/R (5)
 
1,080,404
 
 
410
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%, 7/01/25 (Pre-refunded 7/01/21) – NPFG Insured
7/21 at 100.00
 
AA– (5)
 
455,461
 

NUVEEN
25


NMT
Nuveen Massachusetts Quality Municipal Income Fund
 
Portfolio of Investments (continued)
November 30, 2016 (Unaudited)

 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
U.S. Guaranteed (5) (continued)
           
     
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)
$
3,615,485
 
 
600
 
5.375%, 2/01/27 (Pre-refunded 8/01/18) – NPFG Insured
8/18 at 100.00
 
AA– (5)
 
641,802
 
 
770
 
5.375%, 2/01/28 (Pre-refunded 8/01/18) – NPFG Insured
8/18 at 100.00
 
AA– (5)
 
823,646
 
     
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)
 
2,139,340
 
 
1,500
 
5.375%, 2/01/28 (Pre-refunded 8/01/18) – NPFG Insured
8/18 at 100.00
 
AA– (5)
 
1,604,505
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Lahey Medical Center, Series 2007D, 5.250%, 8/15/28 (Pre-refunded 8/15/17)
8/17 at 100.00
 
A+ (5)
 
1,547,040
 
 
1,500
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Springfield College, Series 2010, 5.500%, 10/15/31 (Pre-refunded 10/15/19)
10/19 at 100.00
 
Baa1 (5)
 
1,667,145
 
 
350
 
Massachusetts Health and Educational Facilities Authority, Revenue Bonds, Tufts University, Series 2008O, 5.375%, 8/15/38 (Pre-refunded 8/15/18)
8/18 at 100.00
 
Aa2 (5)
 
374,122
 
     
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A:
           
 
1,870
 
5.000%, 8/15/37 (Pre-refunded 8/15/17) – AMBAC Insured
8/17 at 100.00
 
Aa2 (5)
 
1,924,155
 
 
5
 
5.000%, 8/15/37 (Pre-refunded 8/15/17) – AMBAC Insured
8/17 at 100.00
 
AA+ (5)
 
5,145
 
 
95
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28 (Pre-refunded 8/01/17)
8/17 at 100.00
 
Aa1 (5)
 
97,625
 
 
1,065
 
Puerto Rico, Highway Revenue Bonds, Highway and Transportation Authority, Series 2003AA, 5.500%, 7/01/19 – NPFG Insured (ETM)
No Opt. Call
 
A3 (5)
 
1,175,792
 
 
28,570
 
Total U.S. Guaranteed
       
30,336,674
 
     
Utilities – 4.7% (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
 
2,803,351
 
 
1,265
 
Massachusetts Clean Energy Cooperative Corporation, Revenue Bonds, Massachusetts Municipal Lighting Plant Cooperative, Series 2013, 5.000%, 7/01/32
7/23 at 100.00
 
A1
 
1,403,973
 
 
2,010
 
Massachusetts Development Finance Agency, Resource Recovery Revenue Refunding Bonds, Covanta Energy Project, Series 2012B, 4.875%, 11/01/42
11/17 at 100.00
 
BB+
 
2,023,588
 
 
5,855
 
Total Utilities
       
6,230,912
 
     
Water and Sewer – 9.1% (6.0% of Total Investments)
           
 
565
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Refunding Series 2014A, 5.000%, 7/01/29
7/24 at 100.00
 
A–
 
616,505
 
 
735
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2016, 5.000%, 7/01/36
7/26 at 100.00
 
A–
 
792,418
 
 
415
 
Lynn Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2003A, 5.000%, 12/01/32 – NPFG Insured
6/17 at 100.00
 
AA–
 
416,212
 
 
2,300
 
Massachusetts Clean Water Trust, State Revolving Fund Bonds, Green 18 Series 2015, 5.000%, 2/01/45
2/24 at 100.00
 
AAA
 
2,575,770
 
 
60
 
Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 2003-9, 5.000%, 8/01/22
2/17 at 100.00
 
AAA
 
60,204
 
 
400
 
Massachusetts Water Pollution Abatement Trust, Revenue Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20
2/17 at 100.00
 
AAA
 
401,452
 
 
1,820
 
Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Green Bonds Series 2016C, 5.000%, 8/01/40
8/26 at 100.00
 
AA+
 
2,050,194
 
     
Massachusetts Water Resources Authority, General Revenue Bonds, Refunding Series 2016B:
           
 
455
 
5.000%, 8/01/40
8/26 at 100.00
 
AA+
 
512,548
 
 
1,000
 
4.000%, 8/01/40
8/26 at 100.00
 
AA+
 
1,013,590
 
 
1,000
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2002J, 5.250%, 8/01/19 – AGM Insured
No Opt. Call
 
AA+
 
1,098,940
 

26
NUVEEN


 
Principal
   
Optional Call
         
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
 
Value
 
     
Water and Sewer (continued)
           
$
1,405
 
Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.000%, 8/01/28
8/17 at 100.00
 
AA+
$
1,439,844
 
 
720
 
Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Refunding Series 2010B, 5.000%, 11/15/30 – AGC Insured
11/20 at 100.00
 
AA
 
796,198
 
     
Springfield Water and Sewer Commission, Massachusetts, General Revenue Bonds, Series 2014A:
           
 
185
 
5.000%, 7/15/22
No Opt. Call
 
AA–
 
212,711
 
 
150
 
5.000%, 7/15/23
No Opt. Call
 
AA–
 
174,276
 
 
11,210
 
Total Water and Sewer
       
12,160,862
 
$
188,130
 
Total Long-Term Investments (cost $196,900,375)
       
204,401,939
 
     
Variable Rate MuniFund Term Preferred Shares, at Liquidation Preference – (55.6)% (6)
       
(74,000,000
) 
     
Other Assets Less Liabilities – 1.9%
       
2,585,223
 
     
Net Assets Applicable to Common Shares – 100%
     
$
132,987,162
 

(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 36.2%.
(ETM)
Escrowed to maturity.
(IF)
Inverse floating rate investment.

See accompanying notes to financial statements.
 
NUVEEN
27

 
Statement of
 
 
Assets and Liabilities
November 30, 2016 (Unaudited)

   
Connecticut
 
Massachusetts
 
   
Quality
 
Quality
 
     
Income
   
Income
 
     
(NTC
)*
 
(NMT
)**
Assets
             
Long-term investments, at value (cost $310,411,911 and $196,900,375, respectively)
 
$
314,953,353
 
$
204,401,939
 
Cash
   
   
169,734
 
Receivable for:
             
Interest
   
4,725,866
   
3,031,290
 
Investments sold
   
4,601,750
   
2,341,452
 
Other assets
   
12,013
   
663
 
Total assets
   
324,292,982
   
209,945,078
 
Liabilities
             
Cash overdraft
   
432,219
   
 
Floating rate obligations
   
12,750,000
   
 
Payable for:
             
Dividends
   
712,968
   
506,222
 
Interest
   
136,574
   
90,236
 
Investments purchased
   
   
2,206,587
 
Variable Rate MuniFund Term Preferred ("VMTP") Shares, net of deferred offering costs (liquidation preference $112,000,000 and $74,000,000, respectively)
   
111,979,000
   
73,970,408
 
Accrued expenses:
             
Management fees
   
165,444
   
108,910
 
Trustees fees
   
14,127
   
2,345
 
Other
   
129,412
   
73,208
 
Total liabilities
   
126,319,744
   
76,957,916
 
Net assets applicable to common shares
 
$
197,973,238
 
$
132,987,162
 
Common shares outstanding
   
14,533,976
   
9,348,160
 
Net asset value ("NAV") per common share outstanding
 
$
13.62
 
$
14.23
 
Net assets applicable to common shares consist of:
             
Common shares, $0.01 par value per share
 
$
145,340
 
$
93,482
 
Paid-in surplus
   
200,637,490
   
129,748,892
 
Undistributed (Over-distribution of) net investment income
   
(110,164
)
 
101,408
 
Accumulated net realized gain (loss)
   
(7,240,870
)
 
(4,458,184
)
Net unrealized appreciation (depreciation)
   
4,541,442
   
7,501,564
 
Net assets applicable to common shares
 
$
197,973,238
 
$
132,987,162
 
Authorized shares:
             
Common
   
Unlimited
   
Unlimited
 
Preferred
   
Unlimited
   
Unlimited
 

*
Formerly known as Connecticut Premium Income.
**
Formerly known as Massachusetts Premium Income.

See accompanying notes to financial statements.

28
NUVEEN


Statement of
   
 
Operations
Six Months Ended November 30, 2016 (Unaudited)

   
Connecticut
 
Massachusetts
 
   
Quality
 
Quality
 
     
Income
   
Income
 
     
(NTC
)
 
(NMT
)
Investment Income
 
$
6,313,183
 
$
4,290,010
 
Expenses
             
Management fees
   
1,029,416
   
678,225
 
Interest expense and amortization of offering costs
   
1,050,155
   
572,320
 
Custodian fees
   
20,876
   
16,940
 
Trustees fees
   
4,829
   
3,259
 
Professional fees
   
15,850
   
14,451
 
Shareholder reporting expenses
   
17,681
   
10,235
 
Shareholder servicing agent fees
   
13,216
   
10,205
 
Stock exchange listing fees
   
3,916
   
3,916
 
Investor relations expenses
   
13,137
   
9,062
 
Other
   
11,712
   
14,307
 
Total expenses
   
2,180,788
   
1,332,920
 
Net investment income (loss)
   
4,132,395
   
2,957,090
 
Realized and Unrealized Gain (Loss)
             
Net realized gain (loss) from investments
   
(139,211
)
 
(69,050
)
Change in net unrealized appreciation (depreciation) of investments
   
(18,207,845
)
 
(10,090,512
)
Net realized and unrealized gain (loss)
   
(18,347,056
)
 
(10,159,562
)
Net increase (decrease) in net assets applicable to common shares from operations
 
$
(14,214,661
)
$
(7,202,472
)
See accompanying notes to financial statements.

NUVEEN
29


Statement of
   
 
Changes in Net Assets
(Unaudited)

   
Connecticut
 
Massachusetts
 
   
Quality Income (NTC)
 
Quality Income (NMT)
 
     
Six Months
   
Year
   
Six Months
   
Year
 
     
Ended
   
Ended
   
Ended
   
Ended
 
     
11/30/16
   
5/31/16
   
11/30/16
   
5/31/16
 
Operations
                         
Net investment income (loss)
 
$
4,132,395
 
$
9,744,068
 
$
2,957,090
 
$
6,473,183
 
Net realized gain (loss) from investments
   
(139,211
)
 
776,785
   
(69,050
)
 
(382,258
)
Change in net unrealized appreciation (depreciation) of investments
   
(18,207,845
)
 
7,661,915
   
(10,090,512
)
 
6,805,418
 
Net increase (decrease) in net assets applicable to common shares from operations
   
(14,214,661
)
 
18,182,768
   
(7,202,472
)
 
12,896,343
 
Distributions to Common Shareholders
                         
From net investment income
   
(4,600,004
)
 
(9,974,668
)
 
(3,225,002
)
 
(6,631,609
)
Decrease in net assets applicable to common shares from distributions to common shareholders
   
(4,600,004
)
 
(9,974,668
)
 
(3,225,002
)
 
(6,631,609
)
Capital Share Transactions
                         
Common shares:
                         
Net proceeds from shares issued to shareholders due to reinvestment of distributions
   
   
   
20,110
   
 
Net increase (decrease) in net assets applicable to common shares from capital share transactions
   
   
   
20,110
   
 
Net increase (decrease) in net assets applicable to common shares
   
(18,814,665
)
 
8,208,100
   
(10,407,364
)
 
6,264,734
 
Net assets applicable to common shares at the beginning of period
   
216,787,903
   
208,579,803
   
143,394,526
   
137,129,792
 
Net assets applicable to common shares at the end of period
 
$
197,973,238
 
$
216,787,903
 
$
132,987,162
 
$
143,394,526
 
Undistributed (Over-distribution of)net investment income at the end of period
 
$
(110,164
)
$
357,445
 
$
101,408
 
$
369,320
 
See accompanying notes to financial statements.

30
NUVEEN


Statement of
 
 
Cash Flows
Six Months Ended November 30, 2016 (Unaudited)

   
Connecticut
 
Massachusetts
 
   
Quality
 
Quality
 
     
Income
   
Income
 
     
(NTC
)
 
(NMT
)
Cash Flows from Operating Activities:
             
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
 
$
(14,214,661
)
$
(7,202,472
)
Adjustments to reconcile the net increase (decrease) in net assets applicable to common shares from operations to net cash provided by (used in) operating activities:
             
Purchases of investments
   
(40,833,429
)
 
(11,790,131
)
Proceeds from sales and maturities of investments
   
40,223,593
   
11,068,416
 
Taxes paid
   
(104
)
 
 
Amortization/(Accretion) of premiums and discounts, net
   
1,137,237
   
627,661
 
Amortization of deferred offering costs
   
13,483
   
22,192
 
(Increase) Decrease in:
             
Receivable for interest
   
72,109
   
(56,179
)
Receivable for investments sold
   
(3,976,750
)
 
(191,452
)
Other assets
   
2,701
   
4,123
 
Increase (Decrease) in:
             
Payable for interest
   
15,657
   
7,076
 
Payable for investments purchased
   
(3,351,897
)
 
2,206,587
 
Accrued management fees
   
(8,194
)
 
(2,960
)
Accrued Trustees fees
   
3,128
   
1,581
 
Accrued other expenses
   
59,795
   
(14,122
)
Net realized (gain) loss from investments
   
139,211
   
69,050
 
Change in net unrealized (appreciation) depreciation of investments
   
18,207,845
   
10,090,512
 
Net cash provided by (used in) operating activities
   
(2,510,276
)
 
4,839,882
 
Cash Flows from Financing Activities:
             
Increase (Decrease) in cash overdraft
   
432,219
   
(1,438,400
)
Proceeds from VMTP Shares issued, at liquidation preference
   
6,000,000
   
 
Cash distributions paid to common shareholders
   
(4,687,093
)
 
(3,231,748
)
Net cash provided by (used in) financing activities
   
1,745,126
   
(4,670,148
)
Net Increase (Decrease) in Cash
   
(765,150
)
 
169,734
 
Cash at the beginning of period
   
765,150
   
 
Cash at the end of period
 
$
 
$
169,734
 

   
Connecticut
 
Massachusetts
 
     
Quality
   
Quality
 
     
Income
   
Income
 
Supplemental Disclosure of Cash Flow Information
   
(NTC
)
 
(NMT
)
Cash paid for interest (excluding amortization of offering costs)
 
$
876,015
 
$
543,051
 
Non-cash financing activities not included herein consists of reinvestments of common share distributions
   
   
20,110
 
See accompanying notes to financial statements.
 
NUVEEN
31


Financial
 
 
Highlights (Unaudited)
Selected data for a common share outstanding throughout each period:

                           
Less Distributions to
                   
         
Investment Operations
 
Common Shareholders
 
Common Share
 
                                                               
                                   
From
                         
                                 
Accum-
       
Discount
             
   
Beginning
 
Net
 
Net
     
From
 
ulated
     
Per
         
   
Common
 
Investment
 
Realized/
     
Net
 
Net
     
Share
     
Ending
 
   
Share
 
Income
 
Unrealized
     
Investment
 
Realized
     
Repurchased
 
Ending
 
Share
 
     
NAV
   
(Loss
)
Gain (Loss
)
 
Total
   
Income
   
Gains
   
Total
 
and Retired
   
NAV
   
Price
 
Connecticut Quality Income (NTC)
                                         
Year Ended 5/31:  
                                                       
2017(e)
 
$
14.92
 
$
0.28
 
$
(1.26
)
$
(0.98
)
$
(0.32
)
$
 
$
(0.32
)
$
 
$
13.62
 
$
12.34
 
2016
   
14.35
   
0.67
   
0.59
   
1.26
   
(0.69
)
 
   
(0.69
)
 
   
14.92
   
13.54
 
2015
   
14.33
   
0.70
   
(0.01
)
 
0.69
   
(0.68
)
 
   
(0.68
)
 
0.01
   
14.35
   
12.62
 
2014
   
15.00
   
0.60
   
(0.59
)
 
0.01
   
(0.68
)
 
*
 
(0.68
)
 
*
 
14.33
   
12.68
 
2013
   
15.34
   
0.56
   
(0.19
)
 
0.37
   
(0.70
)
 
(0.01
)
 
(0.71
)
 
   
15.00
   
13.65
 
2012
   
14.22
   
0.58
   
1.29
   
1.87
   
(0.71
)
 
(0.04
)
 
(0.75
)
 
   
15.34
   
14.19
 
                                                               
Massachusetts Quality Income (NMT)
                                         
Year Ended 5/31:  
                                                       
2017(e)
   
15.34
   
0.32
   
(1.08
)
 
(0.76
)
 
(0.35
)
 
   
(0.35
)
 
   
14.23
   
13.43
 
2016
   
14.67
   
0.69
   
0.69
   
1.38
   
(0.71
)
 
   
(0.71
)
 
   
15.34
   
14.99
 
2015
   
14.65
   
0.65
   
0.05
   
0.70
   
(0.68
)
 
   
(0.68
)
 
   
14.67
   
13.14
 
2014
   
15.12
   
0.58
   
(0.37
)
 
0.21
   
(0.67
)
 
(0.01
)
 
(0.68
)
 
   
14.65
   
13.33
 
2013
   
15.45
   
0.62
   
(0.19
)
 
0.43
   
(0.71
)
 
(0.05
)
 
(0.76
)
 
   
15.12
   
13.64
 
2012
   
14.16
   
0.67
   
1.44
   
2.11
   
(0.77
)
 
(0.05
)
 
(0.82
)
 
   
15.45
   
15.12
 

(a)
Total Return Based on Common Share NAV is the combination of changes in common share NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
 
Total Return Based on Common Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.

32
NUVEEN


           
Common Share Supplemental Data/
           
Ratios Applicable to Common Shares
 
Common Share
                         
 
Total Returns
       
Ratios to Average Net Assets(b)
       
                                   
       
Based
   
Ending
         
Net
       
 
Based
   
on
   
Net
         
Investment
   
Portfolio
 
 
on
   
Share
   
Assets
         
Income
   
Turnover
 
 
NAV
(a)
 
Price
(a)
 
(000
)
 
Expenses
(c)
 
(Loss
)
 
Rate
(d)
                                   
 
(6.74
)%
 
(6.74
)%
$
197,973
   
1.95
%**
 
3.89
%**
 
12
%
 
8.97
   
13.19
   
216,788
   
1.66
   
4.61
   
11
 
 
4.96
   
5.03
   
208,580
   
1.68
   
4.85
   
15
 
 
0.41
   
(1.72
)
 
209,562
   
2.88
   
4.33
   
17
 
 
2.35
   
1.02
   
220,267
   
2.68
   
4.05
   
12
 
 
13.45
   
13.59
   
82,318
   
3.08
   
3.93
   
11
 
                                   
 
(5.12
)
 
(8.30
)
 
132,987
   
1.85
**
 
4.11
**
 
5
 
 
9.64
   
20.01
   
143,395
   
1.62
   
4.65
   
13
 
 
4.84
   
3.75
   
137,130
   
1.96
   
4.57
   
14
 
 
1.61
   
2.96
   
69,987
   
3.09
   
4.17
   
18
 
 
2.81
   
(5.18
)
 
72,250
   
2.86
   
3.99
   
10
 
 
15.29
   
17.78
   
73,758
   
3.03
   
4.48
   
12
 

(b)
Net Investment Income (Loss) ratios reflect income earned and expenses incurred on assets attributable to preferred shares issued by the Fund.
(c)
The expense ratios reflect, among other things, all interest expense and other costs related to preferred shares (as described in Note 4 – Fund Shares, Preferred Shares) and/or the interest expense deemed to have been paid by the Fund on the floating rate certificates issued by the special purpose trusts for the self-deposited inverse floaters held by the Fund (as described in Note 3 – Portfolio Securities and Investments in Derivatives, Inverse Floating Rate Securities), where applicable, as follows:

Connecticut Quality Income (NTC)
   
Year Ended 5/31:
   
2017(e)
0.90
%**
2016
0.60
 
2015
0.58
 
2014
1.71
 
2013
1.55
 
2012
1.54
 

Massachusetts Quality Income (NMT)
   
Year Ended 5/31:
   
2017(e)
0.80
%**
2016
0.58
 
2015
0.86
 
2014
1.71
 
2013
1.64
 
2012
1.74
 

(d)
Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
(e)
For the six months ended November 30, 2016.
*
Rounds to less than $0.01 per share.
**
Annualized.
See accompanying notes to financial statements.

NUVEEN
33


Financial Highlights (Unaudited) (continued)

   
MTP Shares
 
VMTP Shares
 
   
at the End of Period (a)
 
at the End of Period
 
                           
     
Aggregate
   
Asset
   
Aggregate
   
Asset
 
     
Amount
   
Coverage
   
Amount
   
Coverage
 
     
Outstanding
   
Per $10
   
Outstanding
   
Per $100,000
 
     
(000
)
 
Share
   
(000
)
 
Share
 
Connecticut Quality Income (NTC)
                         
Year Ended 5/31:
                         
2017(c)
 
$
 
$
 
$
112,000
 
$
276,762
 
2016
   
   
   
106,000
   
304,517
 
2015
   
   
   
106,000
   
296,773
 
2014
   
   
   
106,000
   
297,700
 
2013
   
105,500
   
30.88
   
   
 
2012
   
36,080
   
32.82
   
   
 
                           
Massachusetts Quality Income (NMT)
                         
Year Ended 5/31:
                         
2017(c)
   
   
   
74,000
   
279,712
 
2016
   
   
   
74,000
   
293,776
 
2015
   
   
   
74,000
   
285,311
 
2014
   
36,645
   
29.10
   
   
 
2013
   
36,645
   
29.72
   
   
 
2012
   
36,645
   
30.13
   
   
 

(a)
The Ending and Average Market Value Per Share for each Series of the Fund's MTP Shares were as follows:

     
2015
   
2014
   
2013
   
2012
 
Connecticut Quality Income (NTC)
                         
Series 2015 (NTC PRC)
                         
Ending Market Value per Share
 
$
 
$
 
$
10.06
 
$
10.05
 
Average Market Value per Share
   
   
10.03
ΩΩ 
 
10.07
   
10.08
 
Series 2016 (NTC PRD)
                         
Ending Market Value per Share
   
   
   
10.07
   
10.10
 
Average Market Value per Share
   
   
10.03
ΩΩ  
10.11
   
10.06
 
Series 2015 (NTC PRE) (b)
                         
Ending Market Value per Share
   
   
   
10.07
   
 
Average Market Value per Share
   
   
10.03
ΩΩ  
10.06
Ω   
 
Series 2015-1 (NTC PRF) (b)
                         
Ending Market Value per Share
   
   
   
10.06
   
 
Average Market Value per Share
   
   
10.03
ΩΩ  
10.07
Ω  
 
Series 2015-1 (NTC PRG) (b)
                         
Ending Market Value per Share
   
   
   
10.08
   
 
Average Market Value per Share
   
   
10.03
ΩΩ  
10.08
Ω   
 
                           
Massachusetts Quality Income (NMT)
                         
Series 2015 (NMT PRC)
                         
Ending Market Value per Share
 
$
 
$
10.06
 
$
10.07
 
$
10.10
 
Average Market Value per Share
   
10.02
ΩΩΩ  
10.04
   
10.09
   
10.08
 
Series 2016 (NMT PRD)
                         
Ending Market Value per Share
   
   
10.06
   
10.12
   
10.10
 
Average Market Value per Share
   
10.03
ΩΩΩ   
10.06
   
10.11
   
10.08
 
Series 2015 (NMT PRE) (b)
                         
Ending Market Value per Share
   
   
10.06
   
10.09
   
10.10
 
Average Market Value per Share
   
10.00
∆   
10.04
   
10.08
   
10.07
 
Series 2015-1 (NMT PRF) (b)
                         
Ending Market Value per Share
   
   
10.02
   
10.05
   
10.10
 
Average Market Value per Share
   
10.00
∆ 
 
10.04
   
10.09
   
10.08
 

(b)
MTP Shares issued in connection with the reorganizations.
(c) For the six months ended November 30, 2016.
Ω
For the period July 9, 2012 (effective date of the reorganizations) through May 31, 2013.
ΩΩ
For the period June 1, 2013 through March 3, 2014.
ΩΩΩ
For the period June 1, 2014 through July 11, 2014.
For the period June 9, 2014 (effective date of the reorganizations) through July 11, 2014.

See accompanying notes to financial statements.
 
34
NUVEEN


Notes to  Financial Statements (Unaudited)
1. General Information and Significant Accounting Policies
General Information
Fund Information
The funds covered in this report and their corresponding New York Stock Exchange ("NYSE") symbols are as follows (each a "Fund" and collectively, the "Funds"):

 
• Nuveen Connecticut Quality Municipal Income Fund (NTC) ("Connecticut Quality Income (NTC)")
 
• Nuveen Massachusetts Quality Municipal Income Fund (NMT) ("Massachusetts Quality Income (NMT)")

The Funds are registered under the Investment Company Act of 1940, as amended, as diversified closed-end management investment companies. Connecticut Quality Income (NTC) and Massachusetts Quality Income (NMT) were organized as Massachusetts business trusts on January 12, 1993.
The end of the reporting period for the Funds is November 30, 2016, and the period covered by these Notes to Financial Statements is the six months ended November 30, 2016 (the "current fiscal period").
Effective December 28, 2016, subsequent to the end of the reporting period, Connecticut Quality Income (NTC) changed its name from Nuveen Connecticut Premium Income Municipal Fund ("Connecticut Premium Income") and Massachusetts Quality Income (NMT) changed its name from Nuveen Massachusetts Premium Income Municipal Fund ("Massachusetts Premium Income").
Investment Adviser
The Funds' investment adviser is Nuveen Fund Advisors, LLC (the "Adviser"), a wholly-owned subsidiary of Nuveen Investments, Inc. ("Nuveen"). Nuveen is an operating division of TIAA Global Asset Management. The Adviser has overall responsibility for management of the Funds, oversees the management of the Funds' portfolios, manages the Funds' business affairs and provides certain clerical, bookkeeping and other administrative services, and, if necessary, asset allocation decisions. The Adviser has entered into sub-advisory agreements with Nuveen Asset Management, LLC (the "Sub-Adviser"), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolios of the Funds.
Investment Objectives and Principal Investment Strategies
Each Fund seeks to provide current income exempt from both regular federal and designated state income taxes by investing primarily in a portfolio of municipal obligations issued by state and local government authorities within a single state or certain U.S. territories.
Effective August 5, 2016, Connecticut Quality Income (NTC) and Massachusetts Quality Income (NMT) have added an investment policy to limit the amount of securities subject to the alternative minimum tax ("AMT") to no more than 20% of each Fund's managed assets (as defined in Note 7 –Management Fees and Other Transactions with Affiliates).
Significant Accounting Policies
Each Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 "Financial Services – Investment Companies." The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with U.S. generally accepted accounting principles ("U.S. GAAP").
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have earmarked securities in their portfolios with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.
As of the end of the reporting period, the Funds did not have any when-issued/delayed delivery purchase commitments.
Investment Income
Investment income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also reflects paydown gains and losses, if any.

NUVEEN
35


Notes to Financial Statements (Unaudited) (continued)
Professional Fees
Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment or to pursue other claims or legal actions on behalf of Fund shareholders. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as "Legal fee refund" on the Statement of Operations.
Dividends and Distributions to Common Shareholders
Dividends from net investment income, if any, are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
Distributions to common shareholders of net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications
Under the Funds' organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
Netting Agreements
In the ordinary course of business, the Funds may enter into transactions subject to enforceable International Swaps and Derivative Association, Inc. ("ISDA") master agreements or other similar arrangements ("netting agreements"). Generally, the right to offset in netting agreements allows each Fund to offset certain securities and derivatives with a specific counterparty, when applicable, as well as any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, each Fund manages its cash collateral and securities collateral on a counterparty basis.
The Funds' investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to common shares from operations during the current fiscal period. Actual results may differ from those estimates.
2. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
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 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).

Prices of fixed income securities are provided by an independent pricing service ("pricing service") approved by the Funds' Board of Trustees (the "Board"). The pricing service establishes a security's fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and lower quality securities,

36
NUVEEN


the pricing service may consider information about a security, its issuer or market activity, provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Board and/or its appointee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of a Fund's net asset value ("NAV") (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security's fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.
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 each Fund's fair value measurements as of the end of the reporting period:

Connecticut Quality Income (NTC)
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments*:
                         
Municipal Bonds
 
$
 
$
314,953,353
 
$
 
$
314,953,353
 
Massachusetts Quality Income (NMT)
                         
Long-Term Investments*:
                         
Municipal Bonds
 
$
 
$
204,401,939
 
$
 
$
204,401,939
 

*
Refer to the Fund's Portfolio of Investments for industry classifications.
The Board is responsible for the valuation process and has appointed the oversight of the daily valuation process to the Adviser's Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board, is responsible for making fair value determinations, evaluating the effectiveness of the Funds' pricing policies and reporting to the Board. The Valuation Committee is aided in its efforts by the Adviser's dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:
     
 
(i)
If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities.
     
 
(ii)
If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements.Such analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value of a similar freely-traded security, discounted cash flow analysis, book value or a multiple thereof, risk premium/yield analysis, yield to maturity and/or fundamental investment analysis.
The purchase price of a portfolio instrument will be used to fair value the instrument only if no other valuation methodology is available or deemed appropriate, and it is determined that the purchase price fairly reflects the instrument's current value.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board.

NUVEEN
37


Notes to Financial Statements (Unaudited) (continued)
3. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Inverse Floating Rate Securities
Each Fund is authorized to invest in inverse floating rate securities. An inverse floating rate security is created by depositing a municipal bond (referred to as an "Underlying Bond"), typically with a fixed interest rate, into a special purpose tender option bond ("TOB") trust (referred to as the "TOB Trust") created by or at the direction of one or more Funds. In turn, the TOB Trust issues (a) floating rate certificates (referred to as "Floaters"), in face amounts equal to some fraction of the Underlying Bond's par amount or market value, and (b) an inverse floating rate certificate (referred to as an "Inverse Floater") that represents all remaining or residual interest in the TOB Trust. Floaters typically pay short-term tax-exempt interest rates to third parties who are also provided a right to tender their certificate and receive its par value, which may be paid from the proceeds of a remarketing of the Floaters, by a loan to the TOB Trust from a third party liquidity provider ("Liquidity Provider"), or by the sale of assets from the TOB Trust. The Inverse Floater is issued to a long term investor, such as one or more of the Funds. The income received by the Inverse Floater holder varies inversely with the short-term rate paid to holders of the Floaters, and in most circumstances the Inverse Floater holder bears substantially all of the Underlying Bond's downside investment risk and also benefits disproportionately from any potential appreciation of the Underlying Bond's value. The value of an Inverse Floater will be more volatile than that of the Underlying Bond because the interest rate is dependent on not only the fixed coupon rate of the Underlying Bond but also on the short-term interest paid on the Floaters, and because the Inverse Floater essentially bears the risk of loss (and possible gain) of the greater face value of the Underlying Bond.
The Inverse Floater held by a Fund gives the Fund the right to (a) cause the holders of the Floaters to tender their certificates at par (or slightly more than par in certain circumstances) and (b) have the trustee of the TOB Trust (the "Trustee") transfer the Underlying Bond held by the TOB Trust to the Fund, thereby collapsing the TOB Trust.
The Fund may acquire an Inverse Floater in a transaction where it (a) transfers an Underlying Bond that it owns to a TOB Trust created by a third party or (b) transfers an Underlying Bond that it owns, or that it has purchased in a secondary market transaction for the purpose of creating an Inverse Floater, to a TOB Trust created at its direction, and in return receives the Inverse Floater of the TOB Trust (referred to as a "self-deposited Inverse Floater"). A Fund may also purchase an Inverse Floater in a secondary market transaction from a third party creator of the TOB Trust without first owning the Underlying Bond (referred to as an "externally-deposited Inverse Floater").
An investment in a self-deposited Inverse Floater is accounted for as a "financing" transaction (i.e., a secured borrowing). For a self-deposited Inverse Floater, the Underlying Bond deposited into the TOB Trust is identified in the Fund's Portfolio of Investments as "(UB) – Underlying bond of an inverse floating rate trust reflected as a financing transaction," with the Fund recognizing as liabilities, labeled "Floating rate obligations" on the Statement of Assets and Liabilities, (a) the liquidation value of Floaters issued by the TOB Trust, and (b) the amount of any borrowings by the TOB Trust from a Liquidity Provider to enable the TOB Trust to purchase outstanding Floaters in lieu of a remarketing. In addition, the Fund recognizes in "Investment Income" the entire earnings of the Underlying Bond, and recognizes (a) the interest paid to the holders of the Floaters or on the TOB Trust's borrowings, and (b) other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust, as a component of "Interest expense and amortization of offering costs" on the Statement of Operations.
In contrast, an investment in an externally-deposited Inverse Floater is accounted for as a purchase of the Inverse Floater and is identified in the Fund's Portfolio of Investments as "(IF) – Inverse floating rate investment." For an externally-deposited Inverse Floater, a Fund's Statement of Assets and Liabilities recognizes the Inverse Floater and not the Underlying Bond as an asset, and the Fund does not recognize the Floaters, or any related borrowings from a Liquidity Provider, as a liability. Additionally, the Fund reflects in "Investment Income" only the net amount of earnings on the Inverse Floater (net of the interest paid to the holders of the Floaters or the Liquidity Provider as lender, and the expenses of the Trust), and does not show the amount of that interest paid or the expenses of the TOB Trust as described above as interest expense on the Statement of Operations.
Fees paid upon the creation of a TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters are recognized as part of the cost basis of the Inverse Floater and are capitalized over the term of the TOB Trust.
As of the end of the reporting period, the aggregate value of Floaters issued by each Fund's TOB Trust for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:

   
Connecticut
 
Massachusetts
 
     
Quality
   
Quality
 
     
Income
   
Income
 
Floating Rate Obligations Outstanding
   
(NTC
)
 
(NMT
)
Floating rate obligations: self-deposited Inverse Floaters
 
$
12,750,000
 
$
 
Floating rate obligations: externally-deposited Inverse Floaters
   
5,085,000
   
7,325,000
 
Total
 
$
17,835,000
 
$
7,325,000
 

38
NUVEEN


During the current fiscal period, the average amount of Floaters (including any borrowings from a Liquidity Provider) outstanding, and the average annual interest rate and fees related to self-deposited Inverse Floaters, were as follows:

   
Connecticut
 
Massachusetts
 
     
Quality
   
Quality
 
     
Income
   
Income
 
Self-Deposited Inverse Floaters
   
(NTC
)
 
(NMT
)
Average floating rate obligations outstanding
 
$
12,750,000
 
$
 
Average annual interest rate and fees
   
1.16
%
 
%
TOB Trusts are supported by a liquidity facility provided by a Liquidity Provider pursuant to which the Liquidity Provider agrees, in the event that Floaters are (a) tendered to the Trustee for remarketing and the remarketing does not occur, or (b) subject to mandatory tender pursuant to the terms of the TOB Trust agreement, to either purchase Floaters or to provide the Trustee with an advance from a loan facility to fund the purchase of Floaters by the TOB Trust. In certain circumstances, the Liquidity Provider may otherwise elect to have the Trustee sell the Underlying Bond to retire the Floaters that were tendered and not remarketed prior to providing such a loan. In these circumstances, the Liquidity Provider remains obligated to provide a loan to the extent that the proceeds of the sale of the Underlying Bond are not sufficient to pay the purchase price of the Floaters.
The size of the commitment under the loan facility for a given TOB Trust is at least equal to the balance of that TOB Trust's outstanding Floaters plus any accrued interest. In consideration of the loan facility, fee schedules are in place and are charged by the Liquidity Provider(s). Any loans made by the Liquidity Provider will be secured by the purchased Floaters held by the TOB Trust. Interest paid on any outstanding loan balances will be effectively borne by the Fund that owns the Inverse Floaters of the TOB Trust that has incurred the borrowing and may be at a rate that is greater than the rate that would have been paid had the Floaters been successfully remarketed.
As described above, any amounts outstanding under a liquidity facility are recognized as a component of "Floating rate obligations" on the Statement of Assets and Liabilities by the Fund holding the corresponding Inverse Floaters issued by the borrowing TOB Trust. As of the end of the reporting period, there were no loans outstanding under any such facility.
Each Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a "recourse arrangement" or "credit recovery swap") (TOB Trusts involving such agreements are referred to herein as "Recourse Trusts"), under which a Fund agrees to reimburse the Liquidity Provider for the Trust's Floaters, in certain circumstances, for the amount (if any) by which the liquidation value of the Underlying Bond held by the TOB Trust may fall short of the sum of the liquidation value of the Floaters issued by the TOB Trust plus any amounts borrowed by the TOB Trust from the Liquidity Provider, plus any shortfalls in interest cash flows. Under these agreements, a Fund's potential exposure to losses related to or on an Inverse Floater may increase beyond the value of the Inverse Floater as a Fund may potentially be liable to fulfill all amounts owed to holders of the Floaters or the Liquidity Provider. Any such shortfall amount in the aggregate is recognized as "Unrealized depreciation on Recourse Trusts" on the Statement of Assets and Liabilities.
As of the end of the reporting period, each Fund's maximum exposure to the Floaters issued by Recourse Trusts for self-deposited Inverse Floaters and externally-deposited Inverse Floaters was as follows:

   
Connecticut
 
Massachusetts
 
     
Quality
   
Quality
 
     
Income
   
Income
 
Floating Rate Obligations – Recourse Trusts
   
(NTC
)
 
(NMT
)
Maximum exposure to Recourse Trusts: self-deposited Inverse Floaters
 
$
12,750,000
 
$
 
Maximum exposure to Recourse Trusts: externally-deposited Inverse Floaters
   
5,085,000
   
7,325,000
 
Total
 
$
17,835,000
 
$
7,325,000
 
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investments in Derivatives
In addition to the inverse floating rate securities in which each Fund may invest, which are considered portfolio securities for financial reporting purposes, each Fund is authorized to invest in certain derivative instruments such as futures, options and swap contracts. Each Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion from registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds' investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

NUVEEN
39


Notes to Financial Statements (Unaudited) (continued)
Although the Funds are authorized to invest in derivative instruments and may do so in the future, they did not make any such investments during the current fiscal period.
Market and Counterparty Credit Risk
In the normal course of business each Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose each Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of each Fund's exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.
Each Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when each Fund has an unrealized loss, the Funds have instructed the custodian to pledge assets of the Funds as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.
4. Fund Shares
Common Share Transactions
Transactions in common shares for the following Fund during the Funds' current and prior fiscal period, where applicable, were as follows:

   
Massachusetts
 
   
Quality Income (NMT)
 
     
Six Months
   
Year
 
     
Ended
   
Ended
 
     
11/30/16
   
5/31/16
 
Common shares:
             
Issued to shareholders due to reinvestment of distributions
   
1,283
   
 
Preferred Shares
Variable Rate MuniFund Term Preferred Shares
The Funds have issued and have outstanding Variable Rate MuniFund Term Preferred ("VMTP") Shares, with a $100,000 liquidation preference per share. VMTP Shares are issued via private placement and are not publicly available.
As of the end of the reporting period, VMTP Shares outstanding, at liquidation preference, for each Fund were as follows:

       
Shares
 
Liquidation
 
Fund
 
Series
 
Outstanding
 
Preference
 
Connecticut Quality Income (NTC)
   
2019
   
1,120
 
$
112,000,000
 
                     
Massachusetts Quality Income (NMT)
   
2017
   
740
 
$
74,000,000
 
During the current fiscal period, Connecticut Quality Income (NTC) refinanced all of its outstanding Series 2017 VMTP Shares with the issuance of new Series 2019 VMTP Shares. In conjunction with this refinancing Connecticut Quality Income (NTC) issued an additional $6,000,000 Series 2019 VMTP Shares at liquidation preference, to be invested in accordance with the Fund's investment policies.
Each Fund is obligated to redeem its VMTP Shares by the date as specified in its offering document ("Term Redemption Date"), unless earlier redeemed by the Fund. VMTP Shares are subject to optional and mandatory redemption in certain circumstances. The VMTP Shares may be redeemed at the option of each Fund, subject to payment of premium for approximately one year following the date of issuance ("Premium Expiration Date"), and at the redemption price per share thereafter. The redemption price per share is equal to the sum of the liquidation preference per share plus any accumulated but unpaid dividends. Each Fund may be obligated to redeem certain of the VMTP Shares if a Fund fails to maintain certain asset coverage and leverage ratio requirements and such failures are not cured by the applicable cure date. The Term Redemption Date and Premium Expiration Date for each Fund's VMTP Shares are as follows:

       
Term
 
Premium
 
Fund
 
Series
 
Redemption Date
 
Expiration Date
 
Connecticut Quality Income (NTC)
   
2019
   
September 1, 2019
   
August 31, 2017
 
Massachusetts Quality Income (NMT)
   
2017
   
August 1, 2017
   
June 30, 2015
 

40
NUVEEN


The average liquidation preference of VMTP Shares outstanding and annualized dividend rate for each Fund during the current fiscal period were as follows:

   
Connecticut
 
Massachusetts
 
   
Quality
 
Quality
 
     
Income
   
Income
 
     
(NTC
)
 
(NMT
)
Average liquidation preference of VMTP Shares outstanding
 
$
108,983,607
 
$
74,000,000
 
Annualized dividend rate
   
1.50
%
 
1.48
%
VMTP Shares are subject to restrictions on transfer, generally do not trade, and market quotations are generally not available. VMTP Shares are short-term or short/intermediate-term instruments that pay a variable dividend rate tied to a short-term index, plus an additional fixed "spread" amount established at the time of issuance. The fair value of VMTP Shares is expected to be approximately their liquidation preference so long as the fixed "spread" on the VMTP Shares remains roughly in line with the "spread" being demanded by investors on instruments having similar terms in the current market environment. In present market conditions, the Funds' Adviser has determined that fair value of VMTP Shares is approximately their liquidation preference, but their fair value could vary if market conditions change materially. For financial reporting purposes, the liquidation preference of VMTP Shares is a liability and is recognized as "Variable Rate MuniFund Term Preferred ("VMTP") Shares, net of deferred offering costs" on the Statement of Assets and Liabilities.
Dividends on the VMTP shares (which are treated as interest payments for financial reporting purposes) are set weekly. Unpaid dividends on VMTP Shares are recognized as a component of "Interest payable" on the Statement of Assets and Liabilities. Dividends accrued on VMTP Shares are recognized as a component of "Interest expense and amortization of offering costs" on the Statement of Operations.
Costs incurred in connection with each Fund's initial offering of VMTP Shares were recorded as a deferred charge, which are amortized over the life of the shares and are recognized as components of "Variable Rate MuniFund Term Preferred ("VMTP") shares, net of deferred offering costs" on the Statement of Assets and Liabilities and "Interest expense and amortization of offering costs" on the Statement of Operations.
Connecticut Quality Income (NTC) incurred offering costs of $145,000 in connection with its issuance of Series 2019 VMTP Shares, which was expensed as incurred and is recognized as a component of "Interest expense and amortization of offering costs" on the Statement of Operations.
Preferred Share Transactions

Transactions in preferred shares for the Funds during the Funds' current and prior fiscal period, where applicable, are noted in the following tables.
Transactions in VMTP Shares for the Funds, where applicable, were as follows:

   
Six Months Ended
 
   
November 31, 2016
 
Connecticut Quality Income (NTC)
   
Series
   
Shares
   
Amount
 
VMTP Shares issued
   
2019
   
1,120
 
$
112,000,000
 
VMTP Shares exchanged
   
2017
   
(1,060
)
 
(106,000,000
)
Net increase (decrease)
         
60
 
$
6,000,000
 
5. Investment Transactions
Long-term purchases and sales (including maturities) during the current fiscal period were as follows:

   
Connecticut
 
Massachusetts
 
     
Quality
   
Quality
 
     
Income
   
Income
 
     
(NTC
)
 
(NMT
)
Purchases
 
$
40,833,429
 
$
11,790,031
 
Sales and maturities
   
40,223,593
   
11,068,416
 
6. Income Tax Information
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, each Fund intends to satisfy conditions that will enable interest from municipal securities, which is exempt from regular federal and designated state income taxes, to retain such tax-exempt status when distributed to shareholders of the Funds. Net realized capital gains and ordinary income distributions paid by the Funds are subject to federal taxation.

NUVEEN
41


Notes to Financial Statements (Unaudited) (continued)
For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
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 as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAVs of the Funds.
As of November 30, 2016, the cost and unrealized appreciation (depreciation) of investments, as determined on a federal income tax basis, were as follows:

   
Connecticut
 
Massachusetts
 
     
Quality
   
Quality
 
     
Income
   
Income
 
     
(NTC
)
 
(NMT
)
Cost of investments
 
$
297,588,541
 
$
196,843,588
 
Gross unrealized:
             
Appreciation
 
$
9,964,494
 
$
9,065,670
 
Depreciation
   
(5,349,682
)
 
(1,507,319
)
Net unrealized appreciation (depreciation) of investments
 
$
4,614,812
 
$
7,558,351
 
Permanent differences, primarily due to federal taxes paid, taxable market discount, nondeductible offering costs, expiration of capital loss carryforwards and nondeductible reorganization expenses resulted in reclassifications among the Funds' components of common share net assets as of May 31, 2016, the Funds' last tax year end, as follows:

   
Connecticut
 
Massachusetts
 
     
Quality
   
Quality
 
     
Income
   
Income
 
     
(NTC
)
 
(NMT
)
Paid-in surplus
 
$
(58,349
)
$
(259,442
)
Undistributed (Over-distribution of) net investment income
   
87,663
   
36,864
 
Accumulated net realized gain (loss)
   
(29,314
)
 
222,578
 
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of May 31, 2016, the Funds' last tax year end, were as follows:

   
Connecticut
 
Massachusetts
 
     
Quality
   
Quality
 
     
Income
   
Income
 
     
(NTC
)
 
(NMT
)
Undistributed net tax-exempt income1
 
$
1,206,431
 
$
951,923
 
Undistributed net ordinary income2
   
7,085
   
 
Undistributed net long-term capital gains
   
   
 

1
Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on May 2, 2016, paid on June 1, 2016.
2
Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
The tax character of distributions paid during the Funds' last tax year ended May 31, 2016, was designated for purposes of the dividends paid deduction as follows:

   
Connecticut
 
Massachusetts
 
     
Quality
   
Quality
 
     
Income
   
Income
 
     
(NTC
)
 
(NMT
)
Distributions from net tax-exempt income
 
$
11,024,024
 
$
7,357,278
 
Distributions from net ordinary income2
   
33,762
   
15,643
 
Distributions from net long-term capital gains
   
   
 

2
Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.

42
NUVEEN


As of May 31, 2016, the Funds' last tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by a Fund.

   
Connecticut
 
Massachusetts
 
     
Quality
   
Quality
 
     
Income
   
Income
 
     
(NTC
)
 
(NMT
)
Expiration:
             
May 31, 2017
 
$
 
$
24,486
 
May 31, 2018
   
   
62,941
 
Not subject to expiration
   
7,101,763
   
4,301,707
 
Total
 
$
7,101,763
 
$
4,389,134
 
As of May 31, 2016, the Fund's last tax year end, $215,629 of Massachusetts Quality Income's (NMT) capital loss carryforward expired.
During the Funds' last tax year ended May 31, 2016, Connecticut Quality Income (NTC) utilized $492,909 of its capital loss carryforward.
7. Management Fees and Other Transactions with Affiliates
Management Fees
Each Fund's management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Sub-Adviser is compensated for its services to the Funds from the management fees paid to the Adviser.
Each Fund's management fee consists of two components – a fund-level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.
For the period June 1, 2016 through July 31, 2016, the annual Fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:

 
Connecticut Quality Income (NTC)
 
Massachusetts Quality Income (NMT)
Average Daily Managed Assets*
Fund-Level Fee
For the first $125 million
0.4500
%
For the next $125 million
0.4375
 
For the next $250 million
0.4250
 
For the next $500 million
0.4125
 
For the next $1 billion
0.4000
 
For the next $3 billion
0.3875
 
For managed assets over $5 billion
0.3750
 
Effective August 1, 2016, annual Fund-level fee, payable monthly, for each Fund is calculated according to the following schedule:

 
Connecticut Quality Income (NTC)
 
Massachusetts Quality Income (NMT)
Average Daily Managed Assets*
Fund-Level Fee
For the first $125 million
0.4500
%
For the next $125 million
0.4375
 
For the next $250 million
0.4250
 
For the next $500 million
0.4125
 
For the next $1 billion
0.4000
 
For the next $3 billion
0.3750
 
For managed assets over $5 billion
0.3625
 

NUVEEN
43


Notes to Financial Statements (Unaudited) (continued)
The annual complex-level fee, payable monthly, for each Fund is calculated by multiplying the current complex-wide fee rated, determined according to the following schedule by the Fund's daily managed assets:

Complex-Level Managed Asset Breakpoint Level*
Effective Rate at Breakpoint Level
$55 billion
0.2000
%
$56 billion
0.1996
 
$57 billion
0.1989
 
$60 billion
0.1961
 
$63 billion
0.1931
 
$66 billion
0.1900
 
$71 billion
0.1851
 
$76 billion
0.1806
 
$80 billion
0.1773
 
$91 billion
0.1691
 
$125 billion
0.1599
 
$200 billion
0.1505
 
$250 billion
0.1469
 
$300 billion
0.1445
 

*
For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds' use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by the TOB trust that has been effectively financed by the trust's issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen Funds that constitute "eligible assets." Eligible assets do not include assets attributable to investments in other Nuveen Funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser's assumption of the management of the former First American Funds effective January 1, 2011. As of November 30, 2016, the complex-level fee for each Fund was 0.1621%.

Other Transactions with Affiliates
The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.
Each Fund is permitted to purchase or sell securities from or to certain other funds managed by the Adviser ("inter-fund trade") under specified conditions outlined in procedures adopted by the Board. These procedures have been designed to ensure that any inter-fund trade of securities by the Fund from or to another fund that is, or could be, considered an affiliate of the Fund under certain limited circumstances by virtue of having a common investment adviser (or affiliated investment adviser), common officer and/or common trustee complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each inter-fund trade is effected at the current market price as provided by an independent pricing service. Unsettled inter-fund trades as of the end of the reporting period are recognized as a component of "Receivable for investments sold" and/or "Payable for investments purchased" on the Statement of Assets and Liabilities, when applicable.
During the current fiscal period, the Funds did not engage in any inter-fund trades pursuant to these procedures.
8. Borrowing Arrangements
Uncommitted Line of Credit
During the current fiscal period, the Funds participated in an unsecured bank line of credit ("Unsecured Credit Line") under which outstanding balances would bear interest at a variable rate. Although the Funds participated in the Unsecured Credit Line, they did not have any outstanding balances during the current fiscal period.
Committed Line of Credit
The Funds, along with certain other funds managed by the Adviser ("Participating Funds"), have established a 364-day, approximately $2.5 billion standby credit facility with a group of lenders, under which the Participating Funds may borrow for various purposes other than leveraging for investment purposes. A large portion of this facility's capacity (and its associated costs as described below) is currently dedicated for use by a small number of Participating Funds, which does not include any of the Funds covered by this shareholder report. The remaining capacity under the facility (and the corresponding portion of the facility's annual costs) is separately dedicated to most of the other open-end funds in the Nuveen fund family, along with a number of Nuveen closed-end funds, including all of the Funds covered by this shareholder report. The credit facility expires in July 2017 unless extended or renewed.

44
NUVEEN


The credit facility has the following terms: a fee of 0.15% per annum on unused commitment amounts, and interest at a rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate) plus 1.25% per annum or (b) the Fed Funds rate plus 1.25% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of "Other expenses" on the Statement of Operations, and along with commitment fees, have been allocated among such Participating Funds based upon the relative proportions of the facility's aggregate capacity reserved for them and other factors deemed relevant by the Adviser and the Board of each Participating Fund.
During the current fiscal period, none of the Funds utilized this facility.
9. New Accounting Pronouncements
Financial Accounting Standards Board ("FASB") Accounting Standards Update ("ASU") 2015-03: Interest-Imputation of Interest
The Funds have adopted the disclosure provisions of ASU 2015-03, Interest-Imputation of Interest (Subtopic 835-30) — Simplifying the Presentation of Debt Issuance Costs. ASU 2015-03 requires debt issuance costs to be presented in the Statement of Assets and Liabilities as a direct deduction from the carrying amount of the associated debt liability. Prior to the issuance of ASU 2015-03, debt issuance costs were required to be presented in the Statement of Assets and Liabilities as a deferred charge (i.e., an asset). ASU 2015-03 is limited to simplifying the presentation of debt issuance costs. ASU 2015-03 does not affect the recognition and measurement of debt issuance costs.
10. Subsequent Events
Fund Information
As mentioned in Note 1 – General Information and Significant Accounting Policies, Connecticut Quality Income (NTC) changed its name from Connecticut Premium Income and Massachusetts Quality Income (NMT) changed its name from Massachusetts Premium Income, effective December 28, 2016.

NUVEEN
45


Additional Fund Information

Board of Trustees
         
William Adams IV*
John K. Nelson
Margo Cook*
William J. Schneider
Jack B. Evans
Judith M. Stockdale
William C. Hunter
Carole E. Stone
David J. Kundert
Terence J. Toth
Albin F. Moschner
Margaret L Wolff
* Interested Board Member.
         
 
           
Fund Manager
Nuveen Fund Advisors, LLC
333 West Wacker Drive
Chicago, IL 60606
Custodian
State Street Bank
& Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Chapman and Cutler LLP
Chicago, IL 60603
Independent Registered
Public Accounting Firm
KPMG LLP
200 East Randolph Street
Chicago, IL 60601
Transfer Agent and
Shareholder Services
State Street Bank
& Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
 
Quarterly Form N-Q Portfolio of Investments Information
Each Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC toll-free at (800) SEC-0330 for room hours and operation.
Nuveen Funds' Proxy Voting Information
You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.
           
CEO Certification Disclosure
Each Fund's Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. Each Fund has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
           
Common Share Repurchases
Each Fund intends to repurchase, through its open-market share repurchase program, shares of its own common stock at such times and in such amounts as is deemed advisable. During the period covered by this report, each Fund repurchased shares of its common stock, as shown in the accompanying table. Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

 
NTC
NMT
 
Common shares repurchased
 
FINRA BrokerCheck
The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.

46
NUVEEN


Glossary of Terms Used in this Report

Auction Rate Bond: An auction rate bond is a security whose interest payments are adjusted periodically through an auction process, which process typically also serves as a means for buying and selling the bond. Auctions that fail to attract enough buyers for all the shares offered for sale are deemed to have "failed," with current holders receiving a formula-based interest rate until the next scheduled auction.
   
Average Annual Total Return: This is a commonly used method to express an investment's performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment's actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
   
Duration: Duration is a measure of the expected period over which a bond's principal and interest will be paid, and consequently is a measure of the sensitivity of a bond's or bond fund's value to changes when market interest rates change. Generally, the longer a bond's or fund's duration, the more the price of the bond or fund will change as interest rates change.
   
Effective Leverage: Effective leverage is a fund's effective economic leverage, and includes both regulatory leverage (see leverage) and the leverage effects of certain derivative investments in the fund's portfolio. Currently, the leverage effects of Tender Option Bond (TOB) inverse floater holdings are included in effective leverage values, in addition to any regulatory leverage.
   
Escrowed to Maturity Bond: When proceeds of a refunding issue are deposited in an escrow account for investment in an amount sufficient to pay the principal and interest on the issue being refunded. In some cases, though, an issuer may expressly reserve its right to exercise an early call of bonds that have been escrowed to maturity.
   
Inverse Floating Rate Securities: Inverse floating rate securities, also known as inverse floaters or tender option bonds (TOBs), are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust. This trust, in turn, (a) issues floating rate certificates typically paying short-term tax-exempt interest rates to third parties in amounts equal to some fraction of the deposited bond's par amount or market value, and (b) issues an inverse floating rate certificate (sometimes referred to as an "inverse floater") to an investor (such as a Fund) interested in gaining investment exposure to a long-term municipal bond. The income received by the holder of the inverse floater varies inversely with the short-term rate paid to the floating rate certificates' holders, and in most circumstances the holder of the inverse floater bears substantially all of the underlying bond's downside investment risk. The holder of the inverse floater typically also benefits disproportionately from any potential appreciation of the underlying bond's value. Hence, an inverse floater essentially represents an investment in the underlying bond on a leveraged basis.
   
Leverage: Leverage is created whenever a fund has investment exposure (both reward and/or risk) equivalent to more than 100% of the investment capital.
   
Net Asset Value (NAV) Per Share: A fund's Net Assets is equal to its total assets (securities, cash, accrued earnings and receivables) less its total liabilities. NAV per share is equal to the fund's Net Assets divided by its number of shares outstanding.
   
Pre-Refunding: Pre-Refunding, also known as advanced refundings or refinancings, is a procedure used by state and local governments to refinance municipal bonds to lower interest expenses. The issuer sells new bonds with a lower yield and uses the proceeds to buy U.S. Treasury securities, the interest from which is used to make payments on the higher-yielding bonds. Because of this collateral, pre-refunding generally raises a bond's credit rating and thus its value.

NUVEEN
47


Glossary of Terms Used in this Report (continued)

Regulatory Leverage: Regulatory Leverage consists of preferred shares issued by or borrowings of a fund. Both of these are part of a fund's capital structure. Regulatory leverage is subject to asset coverage limits set in the Investment Company Act of 1940.
   
S&P Municipal Bond Connecticut Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade Connecticut municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
   
S&P Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
   
S&P Municipal Bond Massachusetts Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade Massachusetts municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
   
Total Investment Exposure: Total investment exposure is a fund's assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes a fund's use of preferred stock and borrowings and investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust's issuance of floating rate securities.
   
Zero Coupon Bond: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically.

48
NUVEEN



Reinvest Automatically, Easily and Conveniently
Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.
           
Nuveen Closed-End Funds Automatic Reinvestment Plan
Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares. By choosing to reinvest, you'll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested. It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.
Easy and convenient
To make recordkeeping easy and convenient, each month you'll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.
How shares are purchased
The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net as -set value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund's shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares' net asset value or 95% of the shares' market value on the last business day imme -diately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.
Flexible
You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan. The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.
Call today to start reinvesting distributions
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

NUVEEN
49


Notes

50
NUVEEN


Notes
 
NUVEEN
51


Nuveen:
                     Serving Investors for Generations
 
           
Since 1898, financial advisors and their clients have relied on Nuveen to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.
           
Focused on meeting investor needs.
Nuveen helps secure the long-term goals of individual investors and the advisors who serve them. As an operating division of TIAA Global Asset Management, Nuveen provides access to investment expertise from leading asset managers and solutions across traditional and alternative asset classes. Built on more than a century of industry leadership, Nuveen's teams of experts align with clients' specific financial needs and goals, demonstrating commitment to advisors and investors through market perspectives and wealth management and portfolio advisory services. Nuveen manages $236 billion in assets as of December 31, 2016.
           
Find out how we can help you.
To learn more about how the products and services of Nuveen may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.
Learn more about Nuveen Funds at: www.nuveen.com/cef

Distributed by Nuveen Investments, LLC | 333 West Wacker Drive | Chicago, IL 60606 | www.nuveen.com
 
ESA-B-1116D 22025-INV-B-01/18

 
 
ITEM 2. CODE OF ETHICS.

Not applicable to this filing.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable to this filing.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable to this filing.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable to this filing.

ITEM 6. SCHEDULE OF INVESTMENTS.

(a) See Portfolio of Investments in Item 1.

(b) Not applicable.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to this filing.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to this filing.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant's Board implemented after the registrant last provided disclosure in response to this Item.

ITEM 11. 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 Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the "Exchange Act")(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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.

ITEM 12. EXHIBITS.

File the exhibits listed below as part of this Form.

(a)(1)
Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing.

(a)(2)
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)) in the exact form set forth below: See Ex-99.CERT attached hereto.

(a)(3)
Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the  report by or on behalf of the registrant to 10 or more persons: Not applicable.

(b)
If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: See Ex-99.906 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 Quality Municipal Income Fund

By (Signature and Title) /s/ Gifford R. Zimmerman
Gifford R. Zimmerman
Vice President and Secretary

Date: February 3, 2017
 
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: February 3, 2017
 
By (Signature and Title) /s/ Stephen D. Foy
Stephen D. Foy
Vice President and Controller
 (principal financial officer)

Date: February 3, 2017