-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, HMU3dt/w0T7SyOFsfed2cjGkbsMhEwy2MaLw2IIbCdCySwPedrE/0kR85PfS7TU/ gh6NPqruWz1sWtGe9t1ctQ== 0000891804-08-002105.txt : 20080709 0000891804-08-002105.hdr.sgml : 20080709 20080709163028 ACCESSION NUMBER: 0000891804-08-002105 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20080430 FILED AS OF DATE: 20080709 DATE AS OF CHANGE: 20080709 EFFECTIVENESS DATE: 20080709 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Nuveen Municipal High Income Opportunity Fund 2 CENTRAL INDEX KEY: 0001412495 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-22123 FILM NUMBER: 08945310 BUSINESS ADDRESS: STREET 1: 333 WEST WACKER DRIVE CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 312-917-8146 MAIL ADDRESS: STREET 1: 333 WEST WACKER DRIVE CITY: CHICAGO STATE: IL ZIP: 60606 FORMER COMPANY: FORMER CONFORMED NAME: Nuveen Municipal High Income Strategy Fund DATE OF NAME CHANGE: 20070917 N-CSRS 1 file001.txt NUVEEN MUNICIPAL HIGH INCOME OPPORTUNITY FUND 2 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 911-22123 --------------------- Nuveen Municipal High Income Opportunity Fund 2 ------------------------------------------------------------------------------ (Exact name of registrant as specified in charter) Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 ------------------------------------------------------------------------------ (Address of principal executive offices) (Zip code) Kevin J. McCarthy 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: October 31 ------------------ Date of reporting period: April 30, 2008 ------------------ 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. SEMI-ANNUAL REPORT April 30, 2008 Nuveen Investments MUNICIPAL CLOSED-END FUNDS Photo of: Small child NUVEEN INVESTMENT QUALITY MUNICIPAL FUND, INC. NQM NUVEEN SELECT QUALITY MUNICIPAL FUND, INC. NQS NUVEEN QUALITY INCOME MUNICIPAL FUND, INC. NQU NUVEEN PREMIER MUNICIPAL INCOME FUND, INC. NPF NUVEEN MUNICIPAL HIGH INCOME OPPORTUNITY FUND NMZ NUVEEN MUNICIPAL HIGH INCOME OPPORTUNITY FUND 2 NMD IT'S NOT WHAT YOU EARN, IT'S WHAT YOU KEEP.(R) Logo: NUVEEN Investments Photo of: Man working on computer LIFE IS COMPLEX. NUVEEN MAKES THINGS E-simple. ---------------------------------------------------------------------------- It only takes a minute to sign up for e-Reports. Once enrolled, you'll receive an e-mail as soon as your Nuveen Investments Fund information is ready--no more waiting for delivery by regular mail. Just click on the link within the e-mail to see the report and save it on your computer if you wish. FREE E-REPORTS RIGHT TO YOUR E-MAIL! www.investordelivery.com If you receive your Nuveen Fund dividends and statements from your financial advisor or brokerage account. OR www.nuveen.com/accountaccess If you receive your Nuveen Fund dividends and statements directly from Nuveen. Logo: NUVEEN Investments Chairman's LETTER TO SHAREHOLDERS Photo of: Timothy R. Schwertfeger Timothy R. Schwertfeger | Chairman of the Board It is with a variety of emotions that I write my last letter to Nuveen Fund shareholders. For a dozen years, it has been my privilege to communicate periodically with you through these annual and semi-annual reports about the performance and uses of your Fund. Over that time, I've tried to emphasize the central role that quality municipal bonds can play in creating attractive opportunities for current tax-free income, long-term return and portfolio diversification. I firmly believe that all our Fund shareholders, working in conjunction with a trusted financial advisor, have the potential to reach their financial objectives by using Nuveen Funds as a core component of a well-balanced portfolio. As I noted in your Fund's last shareholder report, Nuveen Investments was acquired in November 2007 by a group led by Madison Dearborn Partners, LLC. While this event had no impact on the investment objectives, portfolio management strategies or dividend policies of your Fund, it did provide a convenient point to begin implementing a long-planned transition in the senior management team at Nuveen. As a part of this process, I will be leaving the Board of the Nuveen Funds on June 30, 2008. In addition, Nuveen and your Fund's Board determined that Fund shareholders would be best served by having an independent director serve as the new chairman of the Fund Board. Therefore, I am very excited and pleased to report that I will be succeeded as chairman of your Nuveen Fund Board by Robert Bremner. A member of the Board since 1997, Bob is a management consultant and private investor not affiliated with Nuveen. Over the years, he has played a critical role on the Fund Board, most recently as the lead independent director, and I know Bob and the other Board members are determined to maintain the standards and commitment to quality that you have come to expect from your Nuveen investment. Please take the time to review the Portfolio Managers' Comments, the Common Share Dividend and Share Price Information, and the Performance Overview sections of this report. All of us are grateful that you have chosen Nuveen Investments as a partner as you pursue your financial goals, and, on behalf of Bob Bremner and the other members of your Fund's Board, let me say we look forward to continuing to earn your trust in the months and years ahead. Sincerely, /s/ Timothy R. Schwertfeger Timothy R. Schwertfeger Chairman of the Board June 16, 2008 Portfolio Managers' COMMENTS Nuveen Investments Municipal Closed-End Funds NQM, NQS, NQU, NPF, NMZ, NMD Portfolio managers Paul Brennan, Tom Spalding, John Miller, and Johnathan Wilhelm review key investment strategies and the six-month performance of these six national Funds. With 19 years of industry experience, Paul assumed portfolio management responsibility for NQM and NPF in 2006. A 31-year veteran of Nuveen, Tom has managed NQS and NQU since 2003. John, who has 15 years of municipal market experience, has managed NMZ and NMD since their inceptions in 2003 and November 2007, respectively. Johnathan, who came to Nuveen in 2001 with 18 years of industry experience, joined John as co-portfolio manager for NMZ and NMD in 2007. WHAT KEY STRATEGIES WERE USED TO MANAGE THESE FUNDS DURING THE SIX-MONTH REPORTING PERIOD ENDED APRIL 30, 2008? During this six-month period, the municipal market experienced a great deal of volatility, as issues related to the sub-prime mortgage industry had an indirect, but important, influence on the municipal market's performance. Tighter liquidity stemming from problems in the credit markets contributed to a turbulent municipal market environment, as did the continued uncertainty about municipal bond insurers and the flight to quality driven by dislocations in the financial markets. We sought to capitalize on this environment by continuing to focus on relative value, using a fundamental approach to find undervalued sectors and individual credits with the potential to perform well over the long term. As the market discounted bonds that were out of favor, such as those with lower credit quality and higher yields, we took advantage of opportunities that we considered overlooked and undervalued to selectively add these types of bonds to our portfolios, especially bonds rated BBB. In addition, we believed that the steepening municipal yield curve began to offer better reward opportunities for purchases made further out on the curve. As a result, many of the additions to our portfolios emphasized longer maturities. Among the credits we added to the Funds were uninsured health care bonds, marking the first time in a while that we found bonds in this sector at attractive levels relative to their credit quality. NQM, NQS and NQU also purchased zero coupon bonds, which we believed offered good long-term potential at discounted prices. In NQM and NPF, we added exposure to the short end of the yield curve by purchasing variable rate demand obligations (VRDOs) at very attractive yields. VRDOs are floating-rate securities that offer interest rates set daily or weekly based on an index of short-term municipal rates. In NMZ, we added high-grade issues such as Duke University at attractive yields as well as non-rated bonds such as those issued for the Old Palm and Pine Island (Florida) Discussions of specific investments are for illustrative purposes only and are not intended as recommendations of individual investments. The views expressed in this commentary represent those of the portfolio managers as of the date of this report and are subject to change at any time, based on market conditions and other factors. The Funds disclaim any obligation to advise shareholders of such changes. 4 community development districts (CDD). Although the market for these CDD, or land-secured, offerings was under pressure due to the housing market slowdown, we used a bottom-up approach to find the strongest credits at attractive prices, adding both yield and price appreciation potential to our portfolio. To generate cash for purchases, NQM, NQS, NQU, and NPF selectively sold some holdings with shorter durations,(1) including pre-refunded bonds,(2) at attractive prices resulting from high demand. Selling shorter duration bonds and reinvesting further out on the yield curve also helped to improve the Funds' overall call protection profiles. NMZ sold bonds with lower embedded yields, particularly subinvestment-grade bonds, to take advantage of situations offering better yields and more upside price potential in both the new issue and secondary markets. In addition, a number of our new purchases were funded with cash generated by bond redemptions and calls, especially in NMZ. As mentioned earlier, over the course of the entire reporting period, we saw the municipal yield curve steepen, as municipal bond interest rates at the short end of the curve declined and longer rates rose. In this environment, we continued to emphasize disciplined approach to duration management. As part of this strategy, we used inverse floating rate securities,(3) a type of derivative financial instrument, in all six of these Funds. Inverse floaters typically provide the dual benefit of bringing the Funds' durations closer to our strategic target and enhancing their income-generation capabilities. NPF also used forward interest rate swaps, another type of derivative financial instrument. The goal of this strategy was to help us manage NPF's common share net asset value (NAV) volatility without having a negative impact on its income stream or common share dividends over the short term. In November 2007, we introduced the Nuveen Municipal High Income Opportunity Fund 2 (NMD), which--like NMZ--was established as a high-yield Fund that invests at least 50% of its portfolio in investment-grade quality municipal securities and up to 50% in municipal credits that are rated subinvestment-grade quality or that are unrated but judged to be of comparable quality. Our management strategies for NMZ during this time focused on the successful completion of the Fund's initial investment phase. At the end of this reporting period, the Fund was fully invested and had met all of its targeted objectives in terms of individual credit, diversification, and yield expectations. Our focus during the investment phase was primarily on credit-specific analysis and selection, which we believe are critical, especially in the high-yield segment of the market. Potential Fund holdings were analyzed on the basis of credit quality, credit spreads, and relative value. The investment process was facilitated by a market that provided ample supply of the types of bonds we were seeking for NMD's portfolio, including hospitals and long-term care, limited tax obligations, community development districts, charter schools and transportation. (1) Duration is a measure of a bond's price sensitivity as interest rates change, with longer duration bonds displaying more sensitivity to these changes than bonds with shorter durations. (2) Advance refundings, also known as pre-refundings or refinancings, occur when an issuer sells new bonds and uses the proceeds to fund principal and interest payments of older existing bonds. This process often results in lower borrowing costs for bond issuers. (3) An inverse floating rate security is a financial instrument designed to pay long-term tax-exempt interest at a rate that varies inversely with a short-term tax-exempt interest rate index. For the Nuveen Funds, the index typically used is the Securities Industry and Financial Markets (SIFM) Municipal Swap Index (previously referred to as the Bond Market Association Index or BMA). Inverse floaters, including those inverse floating rate securities in which the Funds invested during this reporting period, are further defined within the Notes to Financial Statements and Glossary of Terms Used in This Report sections of this shareholder report. 5 HOW DID THE FUNDS PERFORM? Individual results for these Funds, as well as relevant index and peer group information, are presented in the accompanying table. Total Returns on Common Share Net Asset Value* For periods ended 4/30/08 Six-Month 1-Year 5-Year 10-Year NQM -1.25% -1.67% 4.26% 5.44% NQS -1.71% -1.52% 4.76% 5.71% NQU 0.31% 0.38% 5.24% 5.60% NPF -2.65% -3.55% 3.54% 5.18% Lipper General Leveraged Municipal Debt Funds Average(4) -2.54% -3.47% 4.64% 5.24% Lehman Brothers Municipal Bond Index(5) 1.47% 2.79% 4.03% 5.16% NMZ -6.66% -7.65% N/A N/A NMD(6)** -2.90% N/A N/A N/A Lipper High-Yield Municipal Debt Funds Average(4) -4.71% -5.96% N/A N/A Lehman Brothers High-Yield Municipal Bond Index(5) -5.60% -6.65% N/A N/A For the six months ended April 30, 2008, the cumulative returns on common share NAV for NQM, NQS, NQU and NPF underperformed the return on the Lehman Brothers Municipal Bond Index. The performance of NQM, NQS, and NQU exceeded the average return for their Lipper General Leveraged Municipal Debt Funds Average, while NPF slightly trailed the average. NMZ underperformed both the Lehman Brothers High-Yield Municipal Bond Index and the Lipper High-Yield Municipal Debt Funds Average. Because its results are based on less than six months, NMD's return should not be compared directly with the six-month returns for the Lehman Brothers High-Yield Municipal Bond Index and Lipper High-Yield Municipal Debt Funds Average. However, these returns can serve as relative guidelines for NMD's performance over this period. One of the major factors impacting the six-month performance of NQM, NQS, NQU, NPF and NMZ in relation to those of their respective unleveraged Lehman Brothers * Six-month returns are cumulative; returns for one-year, five-year, and ten-year are annualized. ** NMD's cumulative return represents the period from its inception on November 15, 2007, through April 30, 2008; the six-month returns for the Lehman Brothers High-Yield Municipal Bond Index and the Lipper High-Yield Municipal Debt Funds Average represent the period November 1, 2007, through April 30, 2008. 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. For additional information, see the individual Performance Overview for your Fund in this report. (4) The Lipper General Leveraged Municipal Debt Funds Average is calculated using the returns of all closed-end funds in this category for each period as follows: six months, 54; 1 year, 54; 5 years, 52; and 10 years, 38. Fund and Lipper returns assume reinvestment of dividends. The Lipper High-Yield Municipal Debt Funds Average is calculated using the returns of all 15 closed-end funds in this category for the six-month and one-year periods. Fund and Lipper returns assume reinvestment of dividends. (5) The Lehman Brothers Municipal Bond Index is an unleveraged, unmanaged national index comprising a broad range of investment-grade municipal bonds. The Lehman High-Yield Municipal Bond Index is an unleveraged, unmanaged national index comprising municipal bonds rated below investment grade (i.e., below Baa by Moody's Investors Service and below BBB by Standard & Poor's or Fitch Ratings). Results for the Lehman indexes do not reflect any expenses. (6) NMD is an unleveraged Fund; the remaining five Funds in this report are leveraged. 6 Municipal Bond Indexes was the use of financial leverage. While leverage provides opportunities for additional income and total returns for common shareholders, the benefits of leveraging are tied in part to the short-term rates that leveraged Funds pay their preferred shareholders. During this period, as the yields on longer-term bonds rose and their prices correspondingly fell, declining valuations had a negative effect on performance that was magnified by the use of leverage. In addition, the Funds' borrowing costs remained relatively high, negatively impacting their total returns. Other key factors that influenced the Funds' returns included yield curve and duration positioning, the use of derivatives, credit exposure and sector allocations and holdings of bonds backed by certain municipal bond insurers. During this six-month period, bonds in the Lehman Brothers Municipal Bond Index with maturities of eight years or less, especially those maturing in two to six years, benefited the most from changes in the interest rate environment. As a result, these shorter maturity bonds generally outperformed credits with longer maturities. Bonds having the longest maturities (22 years and longer) posted the worst returns. As previously noted, one of our strategies during this period focused on adding longer bonds to our portfolios as the yield curve steepened, based on our belief that these bonds offered solid long-term potential. This purchase activity helped to extend the Funds' durations, which generally had a negative impact on performance during these past six months. While NQU benefited from having the shortest duration among these Funds, on the whole the Funds were overexposed to the underperforming longer part of the yield curve, with NMZ and NMD having the longest durations. As mentioned earlier, NPF used forward interest rate swaps to synthetically shorten duration and move the Fund closer to our strategic duration target. During this period, in contrast to historical trends, the U.S. Treasury market and the municipal market moved in the opposite directions. As municipal market performance lagged the significant gains made by Treasuries, these forward interest rate swaps performed poorly, hurting NPF's performance. In addition, the inverse floaters used by all six of these Funds had a negative impact on performance. This resulted from the fact that the inverse floaters effectively increased the Funds' exposure to longer maturity bonds during a period when shorter maturities were in favor in the market. However, the inverse floaters also benefited the Funds by helping to support their income streams. As credit spreads widened, bonds rated BBB or below posted poor returns. The underperformance of the lower credit quality sector was largely the result of risk-averse investors' flight to quality as disruptions in the financial and housing markets deepened. As of April 30, 2008, holdings of bonds rated BBB ranged from 7% in NQU and 10% in NQM to 11% in NPF and 14% in NQS. These allocations were generally higher than that of the Lehman Brothers Municipal Bond Index, and the negative impact of this 7 greater exposure to credit risk accounted for some of the performance differential between these Funds and the index. In addition to its holdings of approximately 16% in bonds rated BBB, NMZ held 15% in bonds rated BB or lower (subinvestment-grade) and 41% in non-rated bonds, some of which Nuveen has determined to be of investment-grade quality. NMD's lower-rated holdings comprised 28% in BBB rated bonds, 11% in bonds rated BB or lower, and 35% in non-rated bonds. Overall, conditions in the high-yield market were poor due to the flight to quality, low demand for high-yield paper, and credit spreads that widened significantly. These factors were the main drivers behind the performance of these Funds' holdings of higher-yielding credits. In general, bonds that carried any credit risk, regardless of sector, tended to perform poorly. Revenue bonds as a whole, and especially the industrial development and health care sectors that had ranked among the top performers in the Lehman Brothers Municipal Bond Index over the past few years, underperformed the general municipal market. The housing sector also performed poorly, as did bonds backed by the 1998 master tobacco settlement agreement, which comprised approximately 4% to 5% of the portfolios of these Funds as of April 30, 2008. NMZ also held two credits that experienced some financial stress, which resulted in declines in valuation: Pontiac Hospital Finance Authority for North Oakland Medical Center in Michigan and the Las Vegas monorail project in Nevada. The four-year-old monorail project, which has been struggling to build ridership and turn a profit, was penalized by the market for dipping into its debt service reserve fund to cover scheduled bond principal and interest payments. Sectors of the market that generally contributed positively to the Funds' performances included general obligation bonds, water and sewer, electric utilities and special tax issues. Pre-refunded bonds performed exceptionally well, due primarily to their shorter effective maturities and higher credit quality. Among these Funds, NQU had the heaviest allocation of bonds that had been advance refunded, while NPF had the fewest. (As a newly established Fund, NMD did not hold any bonds pre-refunded as of April 30, 2008.) NMZ continued to see positive contributions from advance refunding activity, which benefited the Fund through price appreciation and enhanced credit quality. Some of the larger advance refundings included bonds issued by New Jersey Tobacco Settlement Financing Corporation, West Penn Allegheny Health System, and Nataki Talibah Schoolhouse in Michigan. Another factor that had an impact on the performance of these Funds was their position in bonds backed by certain municipal insurers. As concern increased about the balance sheets of municipal bond insurers, prices on bonds insured by these companies declined, detracting from the performance of the Funds. On the whole, the holdings of all of our Funds continued to be well diversified not only between insured and uninsured bonds, but also within the insured bond category. 8 RECENT DEVELOPMENTS REGARDING BOND INSURANCE COMPANIES The portfolios of investments reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. During the period covered by this report, at least one rating agency reduced the rating for AMBAC-insured and MBIA-insured bonds to AA and at least one rating agency further reduced the ratings for FGIC-insured and XLCA-insured bonds to BB. Subsequent to April 30, 2008, and at the time this report was prepared, at least one rating agency further reduced the rating for CIFG-insured bonds to BB and MBIA-insured bonds to A. As of April 30, 2008, at least one rating agency has placed XLCA-insured bonds on "negative credit watch" and one or more rating agencies have placed each of these insurers on "negative outlook", which may presage one or more rating reductions for such insurer or insurers in the future. If one or more insurers' ratings are reduced by these rating agencies, it would likely reduce the effective rating of many of the bonds insured by that insurer or insurers. It is important to note that municipal bonds historically have had a very low rate of default. RECENT DEVELOPMENTS IN THE AUCTION RATE PREFERRED MARKETS Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the preferred shares issued by these Funds than there were offers to buy. This meant that these auctions "failed to clear'' and that many or all auction preferred shareholders who wanted to sell their shares in these auctions were unable to do so. This decline in liquidity in auction preferred shares did not lower the credit quality of these shares, and auction preferred shareholders unable to sell their shares received distributions at the "maximum rate'' applicable to failed auctions as calculated in accordance with the pre-established terms of the auction preferred shares. At the time this report was prepared, the Funds' managers could not predict when future auctions might succeed in attracting sufficient buyers for the shares offered, if ever. The Funds' managers are working diligently to refund the auction preferred shares, and have made progress in these efforts, but at present there is no assurance that these efforts will succeed. These developments generally do not affect the management or investment policies of these Funds. However, one implication of these auction failures for common shareholders is that the Funds' cost of leverage will likely be higher, at least temporarily, than it otherwise would have been had the auctions continued to be successful. As a result, the Funds' future common share earnings may be lower than they otherwise would have been. For current, up-to-date information, please visit the Nuveen CEF Auction Rate Preferred Resource Center at: http://www.nuveen.com/ResourceCenter/AuctionRatePreferred.aspx. 9 Common Share Dividend and Share Price INFORMATION As previously noted, all of the Funds in this report except NMD use leverage to potentially enhance opportunities for additional income for common shareholders. This strategy continued to provide support for the leveraged Funds' income streams during this turbulent period. As a result, the dividends of NQM, NQS, NQU, NPF and NMZ remained stable throughout the six-month reporting period ended April 30, 2008. NMD, which was introduced in November 2007, paid its first regular monthly dividend in January 2008, and its dividend continued to be stable during the remainder of this period. Due to capital gains generated by normal portfolio activity, common shareholders of the following Funds received capital gains and/or net ordinary income distributions at the end of December 2007 as follows: Short-Term Capital Gains Long-Term Capital Gains and/or Ordinary Income (per share) (per share) NQM -- $0.0041 NMZ $0.0905 $0.0028 All of the Funds in this report seek to pay stable dividends at rates that reflect each Fund's past results and projected future performance. During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund's common share NAV. Conversely, if a Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund's common share NAV. Each Fund will, over time, pay all of its net investment income as dividends to shareholders. As of April 30, 2008, all of the funds in this report had positive UNII balances, based upon our best estimate, for tax purposes. NQM, NQS, NQU and NPF, 10 had negative UNII balances while NMZ and NMD had positive UNII balances for financial statement purposes. As of April 30, 2008, the Funds' common share prices were trading at premiums or discounts to their common share NAVs as shown in the accompanying chart: 4/30/08 Six-Month Average Premium/Discount Premium/Discount NQM -5.12% -6.31% NQS -0.90% -3.59% NQU -7.87% -8.27% NPF -8.53% -10.64% NMZ +12.56% +5.99% NMD +7.06% +4.76% COMMONSHARE REPURCHASE AND SHARE PRICE INFORMATION On July 10, 2007, the Board of Directors of NPF approved an open market share repurchase program, as part of a broad, ongoing effort designed to support the market prices of the Fund's common shares. Repurchases not only help to support the market price, but because such purchases are made at a discount to NAV, they have the effect of augmenting NAV. Under the terms of the program, NPF may repurchase up to 10% of its outstanding common shares. As of April 30, 2008, NPF had repurchased 186,800 common shares, representing 0.9% of the Fund's total common shares outstanding. SHELF EQUITY PROGRAM On September 24, 2007, a registration statement filed by NMZ became effective. This registration statement permits the Fund to issue up to 2,400,000 of additional shares of common stock through a shelf offering. Under this equity shelf program, the Fund, subject to market conditions, may raise additional equity capital from time to time in varying amounts and offering methods at a net price at or above the Fund's NAV per common share. NMZ issued 297,054 shares during the reporting period at an average price of $15.75 and an average premium to NAV of 4.99% per common share. 11 NQM Performance OVERVIEW Nuveen Investment Quality Municipal Fund, Inc. as of April 30, 2008 Pie Chart: Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 62% AA 13% A 12% BBB 10% BB or Lower 1% N/R 2% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) May 0.0675 Jun 0.0675 Jul 0.0675 Aug 0.0675 Sep 0.0645 Oct 0.0645 Nov 0.0645 Dec 0.0645 Jan 0.0645 Feb 0.0645 Mar 0.0645 Apr 0.0645 Line Chart: Common Share Price Performance -- Weekly Closing Price 5/01/07 15.67 15.7 15.66 15.62 15.48 15.46 15.13 14.89 14.92 14.89 14.877 14.75 14.75 14.67 14.7201 14.6 14.78 14.49 14.47 14.65 14.5 14.37 14.4 14.53 14.54 14.69 13.82 13.78 13.4 13.23 13.31 13.5 13.65 13.46 13.28 13.6 14.11 14.23 14.23 14.49 14.61 14.66 13.92 13.62 13.57 13.7 13.52 13.36 13.58 13.69 13.62 13.7 13.83 4/30/08 13.71 FUND SNAPSHOT - ------------------------------------ Common Share Price $13.71 - ------------------------------------ Common Share Net Asset Value $14.45 - ------------------------------------ Premium/(Discount) to NAV -5.12% - ------------------------------------ Market Yield 5.65% - ------------------------------------ Taxable-Equivalent Yield(2) 7.85% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $517,704 - ------------------------------------ Average Effective Maturity on Securities (Years) 14.48 - ------------------------------------ Leverage-Adjusted Duration 11.96 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 6/21/90) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month Cumulative 1.60% -1.25% - ------------------------------------ 1-Year -7.64% -1.67% - ------------------------------------ 5-Year 3.98% 4.26% - ------------------------------------ 10-Year 5.22% 5.44% - ------------------------------------ STATES (as a % of total investments) - ------------------------------------ California 13.5% - ------------------------------------ New York 10.2% - ------------------------------------ Texas 8.9% - ------------------------------------ Illinois 7.8% - ------------------------------------ Washington 5.8% - ------------------------------------ Minnesota 4.6% - ------------------------------------ District of Columbia 4.3% - ------------------------------------ Georgia 3.0% - ------------------------------------ Nevada 2.9% - ------------------------------------ Ohio 2.8% - ------------------------------------ Michigan 2.6% - ------------------------------------ Wisconsin 2.5% - ------------------------------------ Louisiana 2.4% - ------------------------------------ Florida 2.4% - ------------------------------------ Indiana 2.1% - ------------------------------------ Oklahoma 2.0% - ------------------------------------ Massachusetts 1.9% - ------------------------------------ Pennsylvania 1.8% - ------------------------------------ Colorado 1.7% - ------------------------------------ South Carolina 1.6% - ------------------------------------ New Jersey 1.4% - ------------------------------------ Other 13.8% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 26.6% - ------------------------------------ Health Care 14.7% - ------------------------------------ Tax Obligation/General 12.9% - ------------------------------------ Tax Obligation/Limited 11.5% - ------------------------------------ Transportation 9.5% - ------------------------------------ Water and Sewer 6.3% - ------------------------------------ Utilities 5.8% - ------------------------------------ Other 12.7% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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 federal income tax rate of 28%. When comparing this Fund to investments that qualified dividend income, the Taxable-Equivalent Yield is lower. (3) The Fund paid shareholders a net ordinary income distribution in December 2007 of $0.0041 per share. 12 NQS Performance OVERVIEW Nuveen Select Quality Municipal Fund, Inc. as of April 30, 2008 Pie Chart: Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 64% AA 9% A 8% BBB 14% BB or Lower 4% N/R 1% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share May 0.0705 Jun 0.067 Jul 0.067 Aug 0.067 Sep 0.067 Oct 0.067 Nov 0.067 Dec 0.067 Jan 0.067 Feb 0.067 Mar 0.067 Apr 0.067 Line Chart: Common Share Price Performance -- Weekly Closing Price 5/01/07 16.45 16.6 16.6 16.36 16 15.84 15.54 14.96 14.84 14.97 14.84 14.76 15.01 14.77 14.74 14.62 14.4 14.5 14.83 14.93 14.76 14.72 14.86 14.8 14.74 15.1 15.15 14.81 14.12 13.76 14.11 13.95 14.05 14 13.84 13.72 14.53 14.82 14.51 14.87 14.98 14.93 14.14 13.75 13.35 13.8 13.33 13.25 13.73 13.82 14.09 14.23 14.24 4/30/08 14.26 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.26 - ------------------------------------ Common Share Net Asset Value $14.39 - ------------------------------------ Premium/(Discount) to NAV -0.90% - ------------------------------------ Market Yield 5.64% - ------------------------------------ Taxable-Equivalent Yield(2) 7.83% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $489,646 - ------------------------------------ Average Effective Maturity on Securities (Years) 14.78 - ------------------------------------ Leverage-Adjusted Duration 11.04 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 3/21/91) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month Cumulative -2.18% -1.71% - ------------------------------------ 1-Year -8.03% -1.52% - ------------------------------------ 5-Year 5.64% 4.76% - ------------------------------------ 10-Year 5.62% 5.71% - ------------------------------------ STATES (as a % of total investments) - ------------------------------------ Texas 9.4% - ------------------------------------ Illinois 9.2% - ------------------------------------ Colorado 7.7% - ------------------------------------ New York 7.2% - ------------------------------------ South Carolina 6.2% - ------------------------------------ Michigan 5.3% - ------------------------------------ Nevada 4.8% - ------------------------------------ New Jersey 4.6% - ------------------------------------ Tennessee 4.1% - ------------------------------------ California 3.8% - ------------------------------------ Ohio 3.8% - ------------------------------------ New Mexico 3.1% - ------------------------------------ Florida 2.7% - ------------------------------------ Utah 2.6% - ------------------------------------ Washington 2.4% - ------------------------------------ North Carolina 2.4% - ------------------------------------ District of Columbia 2.1% - ------------------------------------ Alabama 2.1% - ------------------------------------ Wisconsin 1.9% - ------------------------------------ Other 14.6% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 30.4% - ------------------------------------ Health Care 14.5% - ------------------------------------ Utilities 14.3% - ------------------------------------ Transportation 12.3% - ------------------------------------ Tax Obligation/General 8.2% - ------------------------------------ Tax Obligation/Limited 7.7% - ------------------------------------ Consumer Staples 5.8% - ------------------------------------ Other 6.8% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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 federal income tax rate of 28%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 13 NQU Performance OVERVIEW Nuveen Quality Income Municipal Fund, Inc. as of April 30, 2008 Pie Chart: Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 70% AA 10% A 8% BBB 7% BB or Lower 4% N/R 1% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share May 0.0635 Jun 0.0605 Jul 0.0605 Aug 0.0605 Sep 0.0605 Oct 0.0605 Nov 0.0605 Dec 0.0605 Jan 0.0605 Feb 0.0605 Mar 0.0605 Apr 0.0605 Line Chart: Common Share Price Performance -- Weekly Closing Price 5/01/07 15.58 15.59 15.47 15.22 15.13 15.04 14.7 14.1 13.92 13.96 13.94 13.72 13.72 13.75 13.81 13.56 13.5 13.65 13.8 14.24 13.89 13.65 13.72 13.66 13.74 13.97 13.62 13.58 13.16 12.95 13.1 13.35 13.32 12.99 12.98 13.16 14.25 14.2 14.03 14.35 14.28 14.36 13.5 13.196 12.94 13.53 13.44 13.29 13.46 13.44 13.31 13.46 13.46 4/30/08 13.47 FUND SNAPSHOT - ------------------------------------ Common Share Price $13.47 - ------------------------------------ Common Share Net Asset Value $14.62 - ------------------------------------ Premium/(Discount) to NAV -7.87% - ------------------------------------ Market Yield 5.39% - ------------------------------------ Taxable-Equivalent Yield(2) 7.49% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $792,663 - ------------------------------------ Average Effective Maturity on Securities (Years) 13.02 - ------------------------------------ Leverage-Adjusted Duration 10.21 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 6/19/91) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month Cumulative 1.40% 0.31% - ------------------------------------ 1-Year -8.60% 0.38% - ------------------------------------ 5-Year 4.50% 5.24% - ------------------------------------ 10-Year 4.55% 5.60% - ------------------------------------ STATES (as a % of total investments) - ------------------------------------ Texas 10.9% - ------------------------------------ New York 10.6% - ------------------------------------ Illinois 9.7% - ------------------------------------ California 8.5% - ------------------------------------ South Carolina 5.8% - ------------------------------------ Washington 5.6% - ------------------------------------ Massachusetts 5.0% - ------------------------------------ Oklahoma 4.3% - ------------------------------------ Nevada 3.8% - ------------------------------------ Colorado 3.3% - ------------------------------------ New Jersey 3.1% - ------------------------------------ Puerto Rico 3.0% - ------------------------------------ Ohio 2.7% - ------------------------------------ Pennsylvania 2.3% - ------------------------------------ Louisiana 2.2% - ------------------------------------ Alabama 2.0% - ------------------------------------ North Carolina 1.9% - ------------------------------------ Iowa 1.4% - ------------------------------------ Other 13.9% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ U.S. Guaranteed 37.0% - ------------------------------------ Tax Obligation/General 14.6% - ------------------------------------ Transportation 13.6% - ------------------------------------ Utilities 9.0% - ------------------------------------ Health Care 8.0% - ------------------------------------ Tax Obligation/Limited 5.4% - ------------------------------------ Other 12.4% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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 federal income tax rate of 28%. When comparing this Fund to investments that qualified dividend income, the Taxable-Equivalent Yield is lower. 14 NPF Performance OVERVIEW Nuveen Premier Municipal Income Fund, Inc. as of April 30, 2008 Pie Chart: Credit Quality (as a % of total investments)(1), (2) AAA/U.S. Guaranteed 46% AA 21% A 21% BBB 11% N/R 1% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share May 0.056 Jun 0.056 Jul 0.056 Aug 0.056 Sep 0.056 Oct 0.056 Nov 0.056 Dec 0.056 Jan 0.056 Feb 0.056 Mar 0.056 Apr 0.056 Line Chart: Common Share Price Performance -- Weekly Closing Price 5/01/07 14.12 14.19 14.16 14.12 13.93 13.88 13.61 13.48 13.5 13.61 13.5 13.43 13.461 13.49 13.66 13.25 13.15 13.05 13.4 13.58 13.54 13.28 13.3 13.26 13.2 13.21 13.2109 13.04 12.66 12.4 12.63 12.74 12.81 12.65 12.65 12.85 13.3 13.55 13.36 13.44 13.27 13.37 12.72 12.61 12.18 12.49 12.31 12.2201 12.64 12.55 12.74 12.78 12.93 4/30/08 12.86 FUND SNAPSHOT - ------------------------------------ Common Share Price $12.86 - ------------------------------------ Common Share Net Asset Value $14.06 - ------------------------------------ Premium/(Discount) to NAV -8.53% - ------------------------------------ Market Yield 5.23% - ------------------------------------ Taxable-Equivalent Yield(3) 7.26% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $279,886 - ------------------------------------ Average Effective Maturity on Securities (Years) 15.26 - ------------------------------------ Leverage-Adjusted Duration 11.60 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 12/19/91) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month Cumulative -0.76% -2.65% - ------------------------------------ 1-Year -4.18% -3.55% - ------------------------------------ 5-Year 2.98% 3.54% - ------------------------------------ 10-Year 4.10% 5.18% - ------------------------------------ STATES (as a % of total investments)(2) - ------------------------------------ California 13.6% - ------------------------------------ New York 12.3% - ------------------------------------ Illinois 7.6% - ------------------------------------ Colorado 6.2% - ------------------------------------ Washington 5.2% - ------------------------------------ South Carolina 4.6% - ------------------------------------ Louisiana 4.3% - ------------------------------------ Arizona 4.2% - ------------------------------------ Texas 3.6% - ------------------------------------ Wisconsin 3.4% - ------------------------------------ New Jersey 3.3% - ------------------------------------ Minnesota 2.9% - ------------------------------------ Georgia 2.5% - ------------------------------------ Michigan 2.3% - ------------------------------------ North Carolina 2.3% - ------------------------------------ Indiana 1.8% - ------------------------------------ Nebraska 1.6% - ------------------------------------ Ohio 1.6% - ------------------------------------ Rhode Island 1.5% - ------------------------------------ Oklahoma 1.4% - ------------------------------------ Other 13.8% - ------------------------------------ INDUSTRIES (as a % of total investments)(2) - ------------------------------------ Tax Obligation/Limited 17.4% - ------------------------------------ U.S. Guaranteed 13.9% - ------------------------------------ Utilities 13.6% - ------------------------------------ Tax Obligation/General 12.9% - ------------------------------------ Health Care 12.2% - ------------------------------------ Transportation 9.7% - ------------------------------------ Water and Sewer 5.7% - ------------------------------------ Other 14.6% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) Excluding derivative transactions. (3) 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 federal income tax rate of 28%. When comparing this Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower. 15 NMZ Performance OVERVIEW Nuveen Municipal High Income Opportunity Fund as of April 30, 2008 Pie Chart: Credit Quality (as a % of total investments)(1) AAA/U.S. Guaranteed 18% AA 6% A 4% BBB 16% BB or Lower 15% N/R 41% Bar Chart: 2007-2008 Monthly Tax-Free Dividends Per Common Share(3) May 0.0815 Jun 0.0815 Jul 0.0815 Aug 0.0815 Sep 0.0815 Oct 0.0815 Nov 0.0815 Dec 0.0815 Jan 0.0815 Feb 0.0815 Mar 0.0815 Apr 0.0815 Line Chart: Common Share Price Performance -- Weekly Closing Price 5/01/07 18.03 18.1112 18.16 17.82 17.69 17.6 16.65 16.44 16.9 17.06 16.99 16.74 16.31 16.15 16.2001 16.29 15.33 16.01 16.5 16.81 16.45 16.21 16.17 16.07 16.11 16 15.85 15.87 15.69 15.51 15.31 14.98 15.38 15 14.34 14.57 15.52 15.98 15.5399 15.81 15.97 16.03 15.01 14.95 14.92 15.26 15.03 14.75 15.21 15.24 15.22 15.4 15.31 4/30/08 15.5 FUND SNAPSHOT - ------------------------------------ Common Share Price $15.50 - ------------------------------------ Common Share Net Asset Value $13.77 - ------------------------------------ Premium/(Discount) to NAV 12.56% - ------------------------------------ Market Yield 6.31% - ------------------------------------ Taxable-Equivalent Yield(2) 8.76% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $328,504 - ------------------------------------ Average Effective Maturity on Securities (Years) 19.17 - ------------------------------------ Leverage-Adjusted Duration 13.92 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 11/19/03) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 6-Month Cumulative 1.90% -6.66% - ------------------------------------ 1-Year -8.51% -7.65% - ------------------------------------ Since Inception 7.62% 6.13% - ------------------------------------ STATES (as a % of total investments) - ------------------------------------ California 9.1% - ------------------------------------ Colorado 6.6% - ------------------------------------ Indiana 6.4% - ------------------------------------ Texas 6.2% - ------------------------------------ Ohio 6.1% - ------------------------------------ Wisconsin 6.1% - ------------------------------------ Louisiana 5.9% - ------------------------------------ Florida 5.8% - ------------------------------------ Illinois 4.8% - ------------------------------------ Arizona 3.5% - ------------------------------------ Pennsylvania 3.3% - ------------------------------------ Virginia 3.3% - ------------------------------------ New Jersey 3.1% - ------------------------------------ Washington 2.7% - ------------------------------------ Michigan 2.6% - ------------------------------------ Maryland 2.2% - ------------------------------------ Minnesota 2.1% - ------------------------------------ Tennessee 1.8% - ------------------------------------ Nebraska 1.8% - ------------------------------------ Missouri 1.7% - ------------------------------------ Other 14.9% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Health Care 19.6% - ------------------------------------ Tax Obligation/Limited 15.7% - ------------------------------------ U.S. Guaranteed 14.4% - ------------------------------------ Housing/Multifamily 8.1% - ------------------------------------ Utilities 6.1% - ------------------------------------ Transportation 5.5% - ------------------------------------ Industrials 5.1% - ------------------------------------ Water and Sewer 5.0% - ------------------------------------ Education and Civic Organizations 5.0% - ------------------------------------ Materials 4.5% - ------------------------------------ Other 11.0% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) 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 federal income tax rate of 28%. When comparing this Fund to investments that qualified dividend income, the Taxable-Equivalent Yield is lower. (3) The Fund paid shareholders capital gains and net ordinary income distributions in December 2007 of $0.0933 per share. 16 NMD Performance OVERVIEW Nuveen Municipal High Income Opportunity Fund 2 as of April 30, 2008 Pie Chart: Credit Quality (as a % of total investments)(1), (2) AAA/U.S. Guaranteed 4% AA 6% A 16% BBB 28% BB or Lower 11% N/R 35% Bar Chart: 2008 Monthly Tax-Free Dividends Per Common Share Jan 0.0785 Feb 0.0785 Mar 0.0785 Apr 0.0785 Line Chart: Common Share Price Performance -- Weekly Closing Price 11/16/07 15 15 15.01 15.01 15.04 14.97 14.85 15.09 15 15.03 15.01 15.1 15.14 14.6601 14.45 14.05 14.15 13.7 13.64 13.85 13.92 14.12 14.26 14.42 4/30/08 14.55 FUND SNAPSHOT - ------------------------------------ Common Share Price $14.55 - ------------------------------------ Common Share Net Asset Value $13.59 - ------------------------------------ Premium/(Discount) to NAV 7.06% - ------------------------------------ Market Yield 6.47% - ------------------------------------ Taxable-Equivalent Yield(3) 8.99% - ------------------------------------ Net Assets Applicable to Common Shares ($000) $214,608 - ------------------------------------ Average Effective Maturity on Securities (Years) 26.93 - ------------------------------------ Modified Duration 18.09 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 11/15/07) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ Since Inception -0.77% -2.90% - ------------------------------------ STATES (as a % of total investments)(2) - ------------------------------------ California 18.2% - ------------------------------------ Florida 9.9% - ------------------------------------ Illinois 7.2% - ------------------------------------ Texas 7.0% - ------------------------------------ Louisiana 7.0% - ------------------------------------ Colorado 5.4% - ------------------------------------ Wisconsin 5.1% - ------------------------------------ Washington 4.2% - ------------------------------------ South Carolina 3.3% - ------------------------------------ New Jersey 3.2% - ------------------------------------ Utah 3.2% - ------------------------------------ Arizona 3.1% - ------------------------------------ Ohio 3.0% - ------------------------------------ Georgia 2.1% - ------------------------------------ Indiana 2.1% - ------------------------------------ Minnesota 1.9% - ------------------------------------ Other 14.1% - ------------------------------------ INDUSTRIES (as a % of total investments)(2) - ------------------------------------ Health Care 31.4% - ------------------------------------ Tax Obligation/Limited 22.7% - ------------------------------------ Education and Civic Organizations 11.0% - ------------------------------------ Consumer Discretionary 5.5% - ------------------------------------ Transportation 5.0% - ------------------------------------ Industrials 4.8% - ------------------------------------ Consumer Staples 4.4% - ------------------------------------ Utilities 4.0% - ------------------------------------ Other 11.2% - ------------------------------------ (1) The percentages shown in the foregoing chart may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (2) Excluding derivative transactions. (3) 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 federal income tax rate of 28%. When comparing this Fund to investments that qualified dividend income, the Taxable-Equivalent Yield is lower. 17 NQM Nuveen Investment Quality Municipal Fund, Inc. Portfolio of INVESTMENTS April 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ ALABAMA - 1.3% (0.8% OF TOTAL INVESTMENTS) $ 3,800 Alabama Special Care Facilities Financing Authority, Revenue Bonds, 11/16 at 100.00 Aa1 $ 3,754,362 Ascension Health, Series 2006C-2, 5.000%, 11/15/36 Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health System Inc., Series 2005A: 1,200 5.250%, 11/15/20 11/15 at 100.00 Baa1 1,167,744 800 5.000%, 11/15/30 11/15 at 100.00 Baa1 696,472 1,250 Courtland Industrial Development Board, Alabama, Pollution 6/15 at 100.00 BBB 1,090,250 Control Revenue Bonds, International Paper Company, Series 2005A, 5.000%, 6/01/25 - ------------------------------------------------------------------------------------------------------------------------------------ 7,050 Total Alabama 6,708,828 - ------------------------------------------------------------------------------------------------------------------------------------ ALASKA - 1.7% (1.0% OF TOTAL INVESTMENTS) 4,000 Northern Tobacco Securitization Corporation, Alaska, Tobacco 6/10 at 100.00 AAA 4,300,720 Settlement Asset-Backed Bonds, Series 2000, 6.500%, 6/01/31 (Pre-refunded 6/01/10) Northern Tobacco Securitization Corporation, Alaska, Tobacco Settlement Asset-Backed Bonds, Series 2006A: 4,000 5.000%, 6/01/32 6/14 at 100.00 Baa3 3,287,040 1,500 5.000%, 6/01/46 6/14 at 100.00 Baa3 1,172,025 - ------------------------------------------------------------------------------------------------------------------------------------ 9,500 Total Alaska 8,759,785 - ------------------------------------------------------------------------------------------------------------------------------------ ARIZONA - 1.0% (0.6% OF TOTAL INVESTMENTS) Glendale Industrial Development Authority, Arizona, Revenue Bonds, John C. Lincoln Health Network, Series 2005B: 200 5.250%, 12/01/24 12/15 at 100.00 BBB 197,376 265 5.250%, 12/01/25 12/15 at 100.00 BBB 259,920 3,335 Mesa, Arizona, Utility System Revenue Bonds, Reset Option Longs, 7/17 at 100.00 Aaa 2,620,343 Series 11032- 11034, 7.452%, 7/01/31 - FSA Insured (IF) 2,450 Salt Verde Financial Corporation, Arizona, Senior Gas Revenue No Opt. Call AA- 2,199,610 Bonds, Series 2007, 5.000%, 12/01/37 - ------------------------------------------------------------------------------------------------------------------------------------ 6,250 Total Arizona 5,277,249 - ------------------------------------------------------------------------------------------------------------------------------------ ARKANSAS - 2.2% (1.4% OF TOTAL INVESTMENTS) 1,125 Arkansas Development Finance Authority, Home Mortgage Revenue 7/08 at 101.50 AAA 1,146,150 Bonds, FNMA/GNMA Mortgage-Backed Securities Program, Series 1998A, 5.150%, 7/01/17 University of Arkansas, Pine Bluff Campus, Revenue Bonds, Series 2005A: 3,290 5.000%, 12/01/30 - AMBAC Insured 12/15 at 100.00 Aaa 3,360,669 2,000 5.000%, 12/01/35 - AMBAC Insured 12/15 at 100.00 Aaa 2,036,560 Van Buren County, Arkansas, Sales and Use Tax Revenue Refunding and Construction Bonds, Series 2000: 1,055 5.600%, 12/01/25 - AMBAC Insured 12/10 at 100.00 Aaa 1,096,303 2,960 5.650%, 12/01/31 - AMBAC Insured 12/10 at 100.00 Aaa 3,080,383 1,000 Washington County, Arkansas, Hospital Revenue Bonds, Washington 2/15 at 100.00 BBB 925,000 Regional Medical Center, Series 2005B, 5.000%, 2/01/30 - ------------------------------------------------------------------------------------------------------------------------------------ 11,430 Total Arkansas 11,645,065 - ------------------------------------------------------------------------------------------------------------------------------------ 18 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA - 20.8% (12.9% OF TOTAL INVESTMENTS) $ 2,250 California Educational Facilities Authority, Revenue Bonds, 10/15 at 100.00 AA+ $ 2,272,343 University of Southern California, Series 2005, 4.750%, 10/01/28 1,000 California Educational Facilities Authority, Revenue Bonds, 11/15 at 100.00 A2 1,000,000 University of the Pacific, Series 2006, 5.000%, 11/01/30 2,500 California Health Facilities Financing Authority, Revenue Bonds, 11/15 at 100.00 A2 2,504,600 Cedars-Sinai Medical Center, Series 2005, 5.000%, 11/15/27 4,285 California Health Facilities Financing Authority, Revenue Bonds, 4/16 at 100.00 A+ 4,151,137 Kaiser Permanante System, Series 2006, 5.000%, 4/01/37 5,500 California Health Facilities Financing Authority, Revenue Bonds, 11/16 at 100.00 AA- 5,367,340 Sutter Health, Series 2007A, 5.000%, 11/15/42 California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity Health System, Series 2005A: 1,000 5.250%, 7/01/30 7/15 at 100.00 BBB+ 925,920 1,000 5.000%, 7/01/39 7/15 at 100.00 BBB+ 860,900 10,000 California, General Obligation Bonds, Series 2003, 5.250%, 2/01/25 8/13 at 100.00 A+ 10,327,800 1,900 Chula Vista, California, Industrial Development Revenue Bonds, 6/14 at 102.00 A2 1,934,922 San Diego Gas and Electric Company, Series 1996A, 5.300%, 7/01/21 2,530 Commerce Joint Power Financing Authority, California, Tax 8/13 at 100.00 AA 2,473,100 Allocation Refunding Bonds, Redevelopment Projects 2 and 3, Series 2003A, 5.000%, 8/01/28 - RAAI Insured 145 Commerce Joint Power Financing Authority, California, Tax Allocation 8/13 at 100.00 N/R (4) 158,643 Refunding Bonds, Redevelopment Projects 2 and 3, Series 2003A, 5.000%, 8/01/28 (Pre-refunded 8/01/13) - RAAI Insured Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Bonds, Series 2007A-1: 3,000 5.000%, 6/01/33 6/17 at 100.00 BBB 2,561,610 610 5.125%, 6/01/47 6/17 at 100.00 BBB 493,679 9,740 Huntington Park Redevelopment Agency, California, Single Family No Opt. Call AAA 13,406,136 Residential Mortgage Revenue Refunding Bonds, Series 1986A, 8.000%, 12/01/19 (ETM) 1,030 Natomas Union School District, Sacramento County, California, No Opt. Call AAA 1,153,713 General Obligation Refunding Bonds, Series 1999, 5.950%, 9/01/21 - MBIA Insured 15,770 Ontario Redevelopment Financing Authority, San Bernardino County, No Opt. Call AAA 20,094,132 California, Revenue Refunding Bonds, Redevelopment Project 1, Series 1995, 7.400%, 8/01/25 - MBIA Insured 13,145 Perris, California, GNMA Mortgage-Backed Securities Program No Opt. Call AAA 18,147,593 Single Family Mortgage Revenue Bonds, Series 1988B, 8.200%, 9/01/23 (Alternative Minimum Tax) (ETM) 3,415 Rancho Mirage Joint Powers Financing Authority, California, 7/14 at 100.00 A3 (4) 3,864,380 Revenue Bonds, Eisenhower Medical Center, Series 2004, 5.875%, 7/01/26 (Pre-refunded 7/01/14) 5,000 Riverside Unified School District, Riverside County, California, 2/12 at 101.00 A+ 5,014,300 General Obligation Bonds, Series 2002A, 5.000%, 2/01/27 - FGIC Insured San Diego County, California, Certificates of Participation, Burnham Institute, Series 2006: 250 5.000%, 9/01/21 9/15 at 102.00 Baa3 240,218 275 5.000%, 9/01/23 9/15 at 102.00 Baa3 259,633 San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Refunding Bonds, Series 1997A: 6,175 0.000%, 1/15/28 - MBIA Insured No Opt. Call AAA 1,940,741 8,135 0.000%, 1/15/34 - MBIA Insured No Opt. Call AAA 1,735,684 17,195 0.000%, 1/15/35 - MBIA Insured No Opt. Call AAA 3,454,819 3,185 University of California, General Revenue Bonds, Series 2005G, 5/13 at 101.00 AAA 3,186,593 4.750%, 5/15/31 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 119,035 Total California 107,529,936 - ------------------------------------------------------------------------------------------------------------------------------------ 19 NQM Nuveen Investment Quality Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ COLORADO - 2.7% (1.7% OF TOTAL INVESTMENTS) $ 1,000 Colorado Health Facilities Authority, Revenue Bonds, Evangelical 6/16 at 100.00 A- $ 941,570 Lutheran Good Samaritan Society, Series 2005, 5.000%, 6/01/29 400 Colorado Health Facilities Authority, Revenue Bonds, Poudre Valley 3/15 at 100.00 BBB+ 381,148 Health Care, Series 2005F, 5.000%, 3/01/25 10 Colorado Housing Finance Authority, Single Family Program 5/08 at 104.50 Aaa 10,195 Senior Bonds, Series 1996B, 7.450%, 11/01/27 12,450 Denver City and County, Colorado, Airport System Revenue 11/10 at 100.00 AAA 12,706,470 Refunding Bonds, Series 2000A, 6.000%, 11/15/19 - AMBAC Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 13,860 Total Colorado 14,039,383 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRICT OF COLUMBIA - 6.9% (4.3% OF TOTAL INVESTMENTS) 23,745 District of Columbia Water and Sewerage Authority, Public Utility 4/09 at 160.00 AAA 26,600,570 Revenue Bonds, Series 1998, 5.500%, 10/01/23 - FSA Insured 3,000 District of Columbia, General Obligation Bonds, Series 1998B, No Opt. Call AAA 3,457,710 6.000%, 6/01/16 - MBIA Insured 15,950 District of Columbia, Revenue Bonds, Georgetown University, 4/11 at 31.03 AAA 4,532,671 Series 2001A, 0.000%, 4/01/31 (Pre-refunded 4/01/11) - MBIA Insured 1,200 Washington Convention Center Authority, District of Columbia, 10/16 at 100.00 AA 991,296 Senior Lien Dedicated Tax Revenue Bonds, Series 2007, Residuals 1606, 8.033%, 10/01/30 - AMBAC Insured (IF) - ------------------------------------------------------------------------------------------------------------------------------------ 43,895 Total District of Columbia 35,582,247 - ------------------------------------------------------------------------------------------------------------------------------------ FLORIDA - 3.9% (2.4% OF TOTAL INVESTMENTS) 1,000 Board of Regents, Florida State University, Housing Facility 5/15 at 101.00 AAA 1,017,150 Revenue Bonds, Series 2005A, 5.000%, 5/01/27 - MBIA Insured 4,230 Brevard County Health Facilities Authority, Florida, Revenue 4/16 at 100.00 A 4,193,199 Bonds, Health First Inc. Project, Series 2005, 5.000%, 4/01/24 1,580 Escambia County Health Facilities Authority, Florida, Health Facility 10/08 at 101.00 BBB+ 1,573,854 Revenue Refunding Bonds, Baptist Hospital and Baptist Manor, Series 1998, 5.125%, 10/01/19 3,200 Hillsborough County Industrial Development Authority, Florida, 4/10 at 101.00 N/R 3,116,800 Exempt Facilities Remarketed Revenue Bonds, National Gypsum Company, Apollo Beach Project, Series 2000B, 7.125%, 4/01/30 (Alternative Minimum Tax) 1,000 Miami-Dade County, Florida, Aviation Revenue Bonds, Miami 10/17 at 100.00 AAA 935,350 International Airport Hub, Series 2007B, 4.500%, 10/01/31 - MBIA Insured 4,335 Miami-Dade County, Florida, Aviation Revenue Bonds, Residuals 10/17 at 100.00 AA 3,494,357 Series 1016, 2.967%, 10/01/31 - MBIA Insured (IF) 5,895 South Miami Health Facilities Authority, Florida, Hospital 8/17 at 100.00 AA- 5,752,872 Revenue, Baptist Health System Obligation Group, Series 2007, 5.000%, 8/15/42 - ------------------------------------------------------------------------------------------------------------------------------------ 21,240 Total Florida 20,083,582 - ------------------------------------------------------------------------------------------------------------------------------------ GEORGIA - 4.8% (3.0% OF TOTAL INVESTMENTS) 10,000 Atlanta, Georgia, Airport General Revenue Refunding Bonds, 1/10 at 101.00 A+ (4) 10,601,900 Series 2000A, 5.600%, 1/01/30 (Pre-refunded 1/01/10) - FGIC Insured 2,710 Atlanta, Georgia, Water and Wastewater Revenue Bonds, 11/14 at 100.00 AAA 2,805,744 Series 2004, 5.000%, 11/01/23 - FSA Insured 2,000 Dalton Development Authority, Georgia, Revenue Certificates, No Opt. Call AAA 2,202,520 Hamilton Health Care System Inc., Series 1996, 5.500%, 8/15/26 - MBIA Insured 5,980 Fulton County Development Authority, Georgia, Revenue Bonds, 9/11 at 102.00 AAA 6,365,291 Georgia State University - TUFF/Atlanta Housing LLC, Series 2001A, 5.500%, 9/01/22 - AMBAC Insured 2,250 Georgia Municipal Electric Authority, Project One Special No Opt. Call A+ 2,623,883 Obligation Bonds, Fourth Crossover Series 1997E, 6.500%, 1/01/20 - ------------------------------------------------------------------------------------------------------------------------------------ 22,940 Total Georgia 24,599,338 - ------------------------------------------------------------------------------------------------------------------------------------ 20 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ IDAHO - 1.1% (0.7% OF TOTAL INVESTMENTS) $ 4,810 Boise City, Idaho, Revenue Refunding Bonds, Series 2001A, 12/11 at 100.00 Aaa $ 4,974,791 5.375%, 12/01/31 - MBIA Insured Madison County, Idaho, Hospital Revenue Certificates of Participation, Madison Memorial Hospital, Series 2006: 500 5.250%, 9/01/26 9/16 at 100.00 BBB- 452,925 500 5.250%, 9/01/30 9/16 at 100.00 BBB- 436,390 - ------------------------------------------------------------------------------------------------------------------------------------ 5,810 Total Idaho 5,864,106 - ------------------------------------------------------------------------------------------------------------------------------------ ILLINOIS - 12.5.% (7.8% OF TOTAL INVESTMENTS) 4,705 Bourbonnais, Illinois, Revenue Bonds, Olivet Nazarene University, 3/10 at 101.00 AA (4) 5,062,251 Series 2000, 6.250%, 3/01/20 (Pre-refunded 3/01/10) - RAAI Insured 14,600 Chicago Greater Metropolitan Area Sanitary District, Illinois, 12/16 at 100.00 AAA 16,288,490 General Obligation Bonds, Series 2006, 5.000%, 12/01/35 (Pre-refunded 12/01/16) (UB) 4,775 Chicago Public Building Commission, Illinois, General Obligation 3/13 at 100.00 AAA 5,247,200 Lease Bonds, Chicago Transit Authority, Series 2003, 5.250%, 3/01/23 (Pre-refunded 3/01/13) - AMBAC Insured 2,110 Illinois Development Finance Authority, Local Government Program 1/11 at 100.00 Aaa 2,292,916 Revenue Bonds, DuPage and Cook Counties Community Unit School District 205 - Elmhurst, Series 2000, 6.000%, 1/01/19 (Pre-refunded 1/01/11) - FSA Insured Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Series 2004: 2,500 5.250%, 11/15/21 5/14 at 100.00 A 2,492,750 1,000 5.250%, 11/15/22 5/14 at 100.00 A 989,960 395 Illinois Finance Authority, Revenue Bonds, Proctor Hospital, 1/16 at 100.00 BBB- 359,640 Series 2006, 5.125%, 1/01/25 2,600 Illinois Health Facilities Authority, Revenue Bonds, Condell Medical 5/12 at 100.00 Baa3 2,486,484 Center, Series 2002, 5.500%, 5/15/32 12,725 Kane, Cook and DuPage Counties School District 46, Elgin, Illinois, No Opt. Call Aaa 14,803,629 General Obligation School Bonds, Series 1997, 7.800%, 1/01/12 - FSA Insured 6,300 Madison County Community Unit School District 7, Edwardsville, No Opt. Call Baa3 (4) 6,872,922 Illinois, School Building Bonds, Series 1994, 5.850%, 2/01/13 - FGIC Insured (ETM) 6,015 Metropolitan Pier and Exposition Authority, Illinois, Revenue No Opt. Call AAA 3,114,326 Refunding Bonds, McCormick Place Expansion Project, Series 1996A, 0.000%, 12/15/21 - MBIA Insured Will County High School District 204, Joliet, Illinois, General Obligation Bonds, Series 2001: 1,145 8.700%, 12/01/13 - FSA Insured No Opt. Call AAA 1,463,608 1,300 8.700%, 12/01/14 - FSA Insured No Opt. Call AAA 1,706,588 1,180 Will County School District 17, Channahon, Illinois, General No Opt. Call Aaa 1,488,995 Obligation School Building Bonds, Series 2001, 8.400%, 12/01/13 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 61,350 Total Illinois 64,669,759 - ------------------------------------------------------------------------------------------------------------------------------------ INDIANA - 3.3% (2.1% OF TOTAL INVESTMENTS) 5,530 Allen County Jail Building Corporation, Indiana, First Mortgage 4/11 at 101.00 Aa3 (4) 6,057,175 Bonds, Series 2000, 5.750%, 4/01/20 (Pre-refunded 4/01/11) 1,880 Indianapolis, Indiana, GNMA Collateralized Multifamily Housing 7/10 at 102.00 Aaa 1,940,498 Mortgage Revenue Bonds, Cloverleaf Apartments Project Phase I, Series 2000, 6.000%, 1/20/31 2,495 Shelbyville, Indiana, GNMA Collateralized Multifamily Housing 7/10 at 102.00 Aaa 2,567,006 Revenue Bonds, Blueridge Terrace Project, Series 2000, 6.050%, 1/20/36 St. Joseph County Hospital Authority, Indiana, Revenue Bonds, Madison Center Inc., Series 2005: 1,550 5.250%, 2/15/23 2/15 at 100.00 BBB 1,460,100 2,500 5.375%, 2/15/34 2/15 at 100.00 BBB 2,203,925 2,765 Wayne County Jail Holding Corporation, Indiana, First Mortgage 1/13 at 101.00 AAA 3,114,358 Bonds, Series 2001, 5.750%, 7/15/14 (Pre-refunded 1/15/13) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 16,720 Total Indiana 17,343,062 - ------------------------------------------------------------------------------------------------------------------------------------ 21 NQM Nuveen Investment Quality Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ IOWA - 1.3% (0.8% OF TOTAL INVESTMENTS) $ 8,000 Iowa Tobacco Settlement Authority, Asset Backed Settlement 6/15 at 100.00 BBB $ 6,840,480 Revenue Bonds, Series 2005C, 5.500%, 6/01/42 - ------------------------------------------------------------------------------------------------------------------------------------ KANSAS - 1.1% (0.7% OF TOTAL INVESTMENTS) 1,000 Kansas Development Finance Authority, Health Facilities Revenue 11/15 at 100.00 A2 1,006,530 Bonds, Hays Medical Center Inc., Series 2005L, 5.000%, 11/15/22 565 Sedgwick and Shawnee Counties, Kansas, GNMA Mortgage-Backed No Opt. Call Aaa 596,663 Securities Program Single Family Revenue Bonds, Series 1997A-1, 6.950%, 6/01/29 (Alternative Minimum Tax) 3,400 Topeka, Kansas, Industrial Revenue Refunding Bonds, Sunwest 8/16 at 100.00 AAA 4,260,200 Hotel Corporation, Series 1988, 9.500%, 10/01/16 (Pre-refunded 8/15/16) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 4,965 Total Kansas 5,863,393 - ------------------------------------------------------------------------------------------------------------------------------------ KENTUCKY - 0.5% (0.3% OF TOTAL INVESTMENTS) 2,000 Jefferson County, Kentucky, Health Facilities Revenue Refunding 7/08 at 101.00 AAA 2,022,520 Bonds, Jewish Hospital HealthCare Services Inc., Series 1996, 5.700%, 1/01/21 - AMBAC Insured 510 Louisville and Jefferson County Metropolitan Government, 10/16 at 100.00 N/R 478,196 Kentucky, Industrial Building Revenue Bonds, Sisters of Mercy of the Americas, Series 2006, 5.000%, 10/01/35 - ------------------------------------------------------------------------------------------------------------------------------------ 2,510 Total Kentucky 2,500,716 - ------------------------------------------------------------------------------------------------------------------------------------ LOUISIANA - 3.9% (2.4% OF TOTAL INVESTMENTS) 785 East Baton Rouge Mortgage Finance Authority, Louisiana, 10/08 at 101.50 Aaa 795,260 GNMA/FNMA Mortgage-Backed Securities Program Family Mortgage Revenue Refunding Bonds, Series 1997D, 5.900%, 10/01/30 (Alternative Minimum Tax) Jefferson Parish Home Mortgage Authority, Louisiana, Single Family Mortgage Revenue Bonds, Series 2000G-2: 885 6.300%, 6/01/32 (Alternative Minimum Tax) 12/10 at 102.00 Aaa 915,948 595 5.550%, 6/01/32 (Alternative Minimum Tax) 12/10 at 102.00 Aaa 601,896 380 Jefferson Parish Home Mortgage Authority, Louisiana, Single Family 12/09 at 103.00 Aaa 396,431 Mortgage Revenue Refunding Bonds, Series 2000A-2, 7.500%, 12/01/30 (Alternative Minimum Tax) 3,000 Louisiana Public Facilities Authority, Hospital Revenue Bonds, 8/15 at 100.00 A+ 3,008,760 Franciscan Missionaries of Our Lady Health System, Series 2005A, 5.250%, 8/15/31 2,500 Louisiana Public Facilities Authority, Revenue Bonds, Ochsner 5/17 at 100.00 A3 2,402,000 Clinic Foundation Project, Series 2007A, 5.500%, 5/15/47 11,545 Orleans Parish School Board, Louisiana, General Obligation No Opt. Call AAA 12,129,523 Refunding Bonds, Series 1987, 9.000%, 2/01/09 - MBIA Insured (ETM) - ------------------------------------------------------------------------------------------------------------------------------------ 19,690 Total Louisiana 20,249,818 - ------------------------------------------------------------------------------------------------------------------------------------ MARYLAND - 0.5% (0.3% OF TOTAL INVESTMENTS) 2,500 Maryland Health and Higher Educational Facilities Authority, 8/14 at 100.00 A- 2,518,350 Revenue Bonds, MedStar Health, Series 2004, 5.375%, 8/15/24 - ------------------------------------------------------------------------------------------------------------------------------------ MASSACHUSETTS - 3.1% (1.9% OF TOTAL INVESTMENTS) 4,925 Massachusetts Development Financing Authority, Assisted Living 12/09 at 102.00 N/R 4,993,655 Revenue Bonds, Prospect House Apartments, Series 1999, 7.000%, 12/01/31 1,105 Massachusetts Health and Educational Facilities Authority, 1/09 at 101.00 BBB 1,091,033 Revenue Bonds, Caritas Christi Obligated Group, Series 1999A, 5.625%, 7/01/20 1,875 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 1,942,988 Revenue Bonds, UMass Memorial Health Care, Series 2001C, 6.500%, 7/01/21 2,030 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 2,032,923 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) 5,100 Massachusetts School Building Authority, Dedicated Sales Tax 8/15 at 100.00 AAA 5,317,872 Revenue Bonds, Series 2005A, 5.000%, 8/15/23 - FSA Insured (UB) 22 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ MASSACHUSETTS (continued) $ 1,040 Massachusetts Water Resources Authority, General Revenue 2/17 at 100.00 Aaa $ 819,374 Bonds, Series 2007, Residual Trust 7039, 4.069%, 8/01/46 - FSA Insured (IF) - ------------------------------------------------------------------------------------------------------------------------------------ 16,075 Total Massachusetts 16,197,845 - ------------------------------------------------------------------------------------------------------------------------------------ MICHIGAN - 4.2% (2.6% OF TOTAL INVESTMENTS) 4,250 Detroit City School District, Wayne County, Michigan, Unlimited Tax 5/12 at 100.00 AAA 4,659,360 School Building and Site Improvement Bonds, Series 2001A, 5.500%, 5/01/20 (Pre-refunded 5/01/12) - FSA Insured 10,215 Detroit, Michigan, Water Supply System Revenue Refunding Bonds, No Opt. Call A+ 11,675,439 Series 1993, 6.500%, 7/01/15 - FGIC Insured 1,800 Kent Hospital Finance Authority, Michigan, Revenue Bonds, 7/15 at 100.00 BBB 1,792,656 Metropolitan Hospital, Series 2005A, 6.000%, 7/01/35 1,350 Michigan State Building Authority, Revenue Bonds, Facilities 10/15 at 100.00 AAA 1,400,126 Program, Series 2005II, 5.000%, 10/15/22 - AMBAC Insured 2,000 Michigan State Hospital Finance Authority, Revenue Bonds, Trinity 12/16 at 100.00 AA 1,994,420 Health Care Group, Series 2006A, 5.000%, 12/01/31 340 Monroe County Hospital Finance Authority, Michigan, Mercy 6/16 at 100.00 Baa3 292,883 Memorial Hospital Corporation Revenue Bonds, Series 2006, 5.500%, 6/01/35 - ------------------------------------------------------------------------------------------------------------------------------------ 19,955 Total Michigan 21,814,884 - ------------------------------------------------------------------------------------------------------------------------------------ MINNESOTA - 7.4% (4.6% OF TOTAL INVESTMENTS) 8,250 Cohasset, Minnesota, Pollution Control Revenue Bonds, Allete Inc., 7/14 at 100.00 A- 8,106,038 Series 2004, 4.950%, 7/01/22 5,000 Dakota and Washington Counties Housing and Redevelopment No Opt. Call AAA 6,990,300 Authority, Minnesota, GNMA Mortgage-Backed Securities Program Single Family Residential Mortgage Revenue Bonds, Series 1988, 8.450%, 9/01/19 (Alternative Minimum Tax) (ETM) 620 Minnesota Agricultural and Economic Development Board, 11/10 at 101.00 A 644,434 Healthcare System Revenue Bonds, Fairview Hospital and Healthcare Services, Series 2000A, 6.375%, 11/15/29 19,380 Minnesota Agricultural and Economic Development Board, 11/10 at 101.00 A (4) 21,379,626 Healthcare System Revenue Bonds, Fairview Hospital and Healthcare Services, Series 2000A, 6.375%, 11/15/29 (Pre-refunded 11/15/10) 1,000 St. Paul Housing and Redevelopment Authority, Minnesota, 11/15 at 100.00 Baa3 1,012,960 Revenue Bonds, Healtheast Inc., Series 2005, 6.000%, 11/15/25 - ------------------------------------------------------------------------------------------------------------------------------------ 34,250 Total Minnesota 38,133,358 - ------------------------------------------------------------------------------------------------------------------------------------ MISSISSIPPI - 0.5% (0.3% OF TOTAL INVESTMENTS) 2,275 Mississippi Hospital Equipment and Facilities Authority, Revenue 9/14 at 100.00 AA 2,287,103 Bonds, Baptist Memorial Healthcare, Series 2004B-1, 5.000%, 9/01/24 - ------------------------------------------------------------------------------------------------------------------------------------ MISSOURI - 0.6% (0.4% OF TOTAL INVESTMENTS) 200 Hannibal Industrial Development Authority, Missouri, Health 3/16 at 100.00 BBB+ 195,112 Facilities Revenue Bonds, Hannibal Regional Hospital, Series 2006, 5.000%, 3/01/22 1,000 Jackson County Reorganized School District R-7, Lees Summit, 3/16 at 100.00 Aaa 1,054,410 Missouri, General Obligation Bonds, Series 2006, 5.250%, 3/01/26 - MBIA Insured Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, Branson Landing Project, Series 2005A: 780 6.000%, 6/01/20 No Opt. Call BBB+ 832,182 1,225 5.000%, 6/01/35 6/15 at 100.00 BBB+ 1,082,018 - ------------------------------------------------------------------------------------------------------------------------------------ 3,205 Total Missouri 3,163,722 - ------------------------------------------------------------------------------------------------------------------------------------ MONTANA - 0.5% (0.3% OF TOTAL INVESTMENTS) 3,000 Montana Board of Housing, Single Family Program Bonds, 6/14 at 100.00 AA+ 2,780,970 Series 2005-RA-1, 4.750%, 6/01/44 - ------------------------------------------------------------------------------------------------------------------------------------ 23 NQM Nuveen Investment Quality Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ NEBRASKA - 1.4% (0.9% OF TOTAL INVESTMENTS) $ 6,000 Lincoln Electric System, Nebraska, Electric System Revenue 9/17 at 100.00 AA $ 5,417,880 Bonds, Series 2007A, Residuals 07-1007-9, 3.374%, 9/01/37 - FGIC Insured (IF) 2,015 NebHelp Inc., Nebraska, Revenue Bonds, Student Loan Program, 9/08 at 100.00 N/R 2,037,508 Series 1993B, 5.875%, 6/01/14 - MBIA Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 8,015 Total Nebraska 7,455,388 - ------------------------------------------------------------------------------------------------------------------------------------ NEVADA - 4.7% (2.9% OF TOTAL INVESTMENTS) 11,000 Clark County School District, Nevada, General Obligation Bonds, 6/12 at 100.00 AAA 12,093,180 Series 2002C, 5.500%, 6/15/19 (Pre-refunded 6/15/12) - MBIA Insured 14,530 Director of Nevada State Department of Business and Industry, 1/10 at 102.00 AAA 12,337,278 Revenue Bonds, Las Vegas Monorail Project, First Tier, Series 2000, 5.625%, 1/01/34 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 25,530 Total Nevada 24,430,458 - ------------------------------------------------------------------------------------------------------------------------------------ NEW JERSEY - 2.3% (1.4% OF TOTAL INVESTMENTS) New Jersey Economic Development Authority, School Facilities Construction Bonds, Series 2005P: 1,325 5.250%, 9/01/24 9/15 at 100.00 AA- 1,394,033 1,000 5.250%, 9/01/26 9/15 at 100.00 AA- 1,045,720 680 New Jersey Health Care Facilities Financing Authority, 7/18 at 100.00 Baa2 663,048 New Jersey, Revenue Bonds, Saint Peters University Hospital, Series 2007, 5.750%, 7/01/37 3,425 New Jersey Transportation Trust Fund Authority, Transportation No Opt. Call AA- 3,792,160 System Bonds, Series 2006A, 5.250%, 12/15/20 1,645 Tobacco Settlement Financing Corporation, New Jersey, 6/12 at 100.00 AAA 1,784,726 Tobacco Settlement Asset-Backed Bonds, Series 2002, 5.750%, 6/01/32 (Pre-refunded 6/01/12) 4,000 Tobacco Settlement Financing Corporation, New Jersey, 6/17 at 100.00 BBB 3,163,680 Tobacco Settlement Asset-Backed Bonds, Series 2007-1A, 4.750%, 6/01/34 - ------------------------------------------------------------------------------------------------------------------------------------ 12,075 Total New Jersey 11,843,367 - ------------------------------------------------------------------------------------------------------------------------------------ NEW MEXICO - 0.4% (0.2% OF TOTAL INVESTMENTS) Farmington, New Mexico, Hospital Revenue Bonds, San Juan Regional Medical Center Inc., Series 2004A: 880 5.125%, 6/01/17 6/14 at 100.00 A3 884,752 1,295 5.125%, 6/01/19 6/14 at 100.00 A3 1,279,318 - ------------------------------------------------------------------------------------------------------------------------------------ 2,175 Total New Mexico 2,164,070 - ------------------------------------------------------------------------------------------------------------------------------------ NEW YORK - 16.3% (10.2% OF TOTAL INVESTMENTS) 1,665 Dormitory Authority of the State of New York, State Personal 3/15 at 100.00 AAA 1,732,649 Income Tax Revenue Bonds, Series 2005F, 5.000%, 3/15/24 - AMBAC Insured 25 Hudson Yards Infrastructure Corporation, New York, Revenue 2/17 at 100.00 AA 19,970 Bonds, Driver Trust 1649, 2006, 6.799%, 2/15/47 - MBIA Insured (IF) 3,980 Hudson Yards Infrastructure Corporation, New York, Revenue 2/17 at 100.00 AA 3,712,982 Bonds, Series 2006A, 4.500%, 2/15/47 - MBIA Insured (UB) 3,000 Long Island Power Authority, New York, Electric System Revenue 11/16 at 100.00 AA 2,773,650 Bonds, Series 2006, 4.250%, 5/01/33 - MBIA Insured (UB) 2,250 Metropolitan Transportation Authority, New York, Transportation 11/15 at 100.00 AAA 2,278,148 Revenue Bonds, Series 2005B, 5.000%, 11/15/30 - AMBAC Insured 3,200 Metropolitan Transportation Authority, New York, Transportation 11/15 at 100.00 A 3,225,920 Revenue Bonds, Series 2005F, 5.000%, 11/15/30 7,800 New York City Municipal Water Finance Authority, New York, 12/14 at 100.00 AAA 7,998,432 Water and Sewerage System Revenue Bonds, Fiscal Series 2005B, 5.000%, 6/15/28 - AMBAC Insured 5,570 New York City Transitional Finance Authority, New York, Future 2/14 at 100.00 AAA 5,791,797 Tax Secured Bonds, Fiscal Series 2004C, 5.000%, 2/01/22 1,745 New York City, New York, General Obligation Bonds, Fiscal 6/13 at 100.00 AA 1,883,396 Series 2003J, 5.500%, 6/01/20 24 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ NEW YORK (continued) $ 3,255 New York City, New York, General Obligation Bonds, Fiscal 6/13 at 100.00 AA (4) $ 3,634,500 Series 2003J, 5.500%, 6/01/20 (Pre-refunded 6/01/13) 5,000 New York City, New York, General Obligation Bonds, Fiscal 8/14 at 100.00 AA 5,265,850 Series 2004C, 5.250%, 8/15/20 4,200 New York City, New York, General Obligation Bonds, Fiscal 3/15 at 100.00 AA 4,312,182 Series 2005J, 5.000%, 3/01/25 7,000 New York City, New York, General Obligation Bonds, Fiscal 4/15 at 100.00 AA 7,197,470 Series 2005M, 5.000%, 4/01/24 5,000 New York State Municipal Bond Bank Agency, Special School 6/13 at 100.00 A+ 5,302,600 Purpose Revenue Bonds, Series 2003C, 5.250%, 12/01/19 5,400 New York State Tobacco Settlement Financing Corporation, 6/10 at 100.00 AA- 5,567,994 Tobacco Settlement Asset-Backed and State Contingency Contract-Backed Bonds, Series 2003A-1, 5.500%, 6/01/16 4,205 New York State Urban Development Corporation, State Personal 3/14 at 100.00 AAA 4,365,042 Income Tax Revenue Bonds, Series 2004A-1, 5.000%, 3/15/23 - FGIC Insured 16,445 Port Authority of New York and New Jersey, Special Project No Opt. Call AAA 18,307,723 Bonds, JFK International Air Terminal LLC, Sixth Series 1997, 7.000%, 12/01/12 - MBIA Insured (Alternative Minimum Tax) 1,000 Rensselaer County Industrial Development Agency, New York, 3/16 at 100.00 A 1,032,650 Civic Facility Revenue Bonds, Rensselaer Polytechnic Institute, Series 2006, 5.000%, 3/01/26 - ------------------------------------------------------------------------------------------------------------------------------------ 80,740 Total New York 84,402,955 - ------------------------------------------------------------------------------------------------------------------------------------ NORTH CAROLINA - 1.6% (1.0% OF TOTAL INVESTMENTS) 7,420 North Carolina Medical Care Commission, Health System Revenue 10/11 at 101.00 AA (4) 8,077,412 Bonds, Mission St. Joseph's Health System, Series 2001, 5.250%, 10/01/26 (Pre-refunded 10/01/11) - ------------------------------------------------------------------------------------------------------------------------------------ OHIO - 2.8% (1.8% OF TOTAL INVESTMENTS) Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue Bonds, Senior Lien, Series 2007A-2: 3,520 5.125%, 6/01/24 6/17 at 100.00 BBB 3,315,594 530 5.875%, 6/01/30 6/17 at 100.00 BBB 493,165 525 5.750%, 6/01/34 6/17 at 100.00 BBB 474,595 1,180 5.875%, 6/01/47 6/17 at 100.00 BBB 1,044,206 8,650 Cuyahoga County, Ohio, Hospital Revenue and Improvement 2/09 at 101.00 A- (4) 8,994,703 Bonds, MetroHealth System, Series 1999, 6.150%, 2/15/29 (Pre-refunded 2/15/09) 250 Port of Greater Cincinnati Development Authority, Ohio, Economic 10/16 at 100.00 N/R 244,305 Development Revenue Bonds, Sisters of Mercy of the Americas, Series 2006, 5.000%, 10/01/25 - ------------------------------------------------------------------------------------------------------------------------------------ 14,655 Total Ohio 14,566,568 - ------------------------------------------------------------------------------------------------------------------------------------ OKLAHOMA - 3.3% (2.0% OF TOTAL INVESTMENTS) Norman Regional Hospital Authority, Oklahoma, Hospital Revenue Bonds, Series 2005: 500 5.375%, 9/01/29 9/16 at 100.00 BBB 498,075 750 5.375%, 9/01/36 9/16 at 100.00 BBB 729,218 Oklahoma Development Finance Authority, Revenue Bonds, Saint John Health System, Series 2007: 6,100 5.000%, 2/15/37 2/17 at 100.00 AA- 6,008,012 2,480 5.000%, 2/15/42 2/17 at 100.00 AA- 2,424,423 3,940 Tulsa County Industrial Authority, Oklahoma, Health Care Revenue 12/16 at 100.00 AA 3,886,613 Bonds, Saint Francis Health System, Series 2006, 5.000%, 12/15/36 3,300 Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding 12/08 at 100.00 B 3,284,886 Bonds, American Airlines Inc., Series 2000B, 6.000%, 6/01/35 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 17,070 Total Oklahoma 16,831,227 - ------------------------------------------------------------------------------------------------------------------------------------ PENNSYLVANIA - 2.9% (1.8% OF TOTAL INVESTMENTS) 500 Bucks County Industrial Development Authority, Pennsylvania, 3/17 at 100.00 BBB 416,010 Charter School Revenue Bonds, School Lane Charter School, Series 2007A, 5.000%, 3/15/37 3,000 Commonwealth Financing Authority, Pennsylvania, State 6/16 at 100.00 AAA 3,115,050 Appropriation Lease Bonds, Series 2006A, 5.000%, 6/01/26 - FSA Insured 25 NQM Nuveen Investment Quality Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ PENNSYLVANIA (continued) $ 5,125 Pennsylvania Public School Building Authority, Lease Revenue 12/16 at 100.00 AAA $ 4,992,468 Bonds, School District of Philadelphia, Series 2006B, 4.500%, 6/01/32 - FSA Insured (UB) 5,000 Philadelphia, Pennsylvania, General Obligation Bonds, 3/11 at 100.00 AAA 5,356,550 Series 2001, 5.250%, 9/15/18 (Pre-refunded 3/15/11) - FSA Insured 1,000 St. Mary Hospital Authority, Pennsylvania, Health System Revenue 11/14 at 100.00 A1 (4) 1,125,540 Bonds, Catholic Health East, Series 2004B, 5.500%, 11/15/24 (Pre-refunded 11/15/14) - ------------------------------------------------------------------------------------------------------------------------------------ 14,625 Total Pennsylvania 15,005,618 - ------------------------------------------------------------------------------------------------------------------------------------ PUERTO RICO - 0.9% (0.6% OF TOTAL INVESTMENTS) 1,500 Puerto Rico Infrastructure Financing Authority, Special Obligation 10/10 at 101.00 AAA 1,562,145 Bonds, Series 2000A, 5.500%, 10/01/40 1,225 Puerto Rico Municipal Finance Agency, Series 2005C, No Opt. Call A+ 1,225,821 5.250%, 8/01/21 - CIFG Insured 14,000 Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue No Opt. Call A+ 1,882,160 Bonds, Series 2007A, 0.000%, 8/01/42 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 16,725 Total Puerto Rico 4,670,126 - ------------------------------------------------------------------------------------------------------------------------------------ RHODE ISLAND - 1.5% (1.0% OF TOTAL INVESTMENTS) 2,410 Rhode Island Health and Educational Building Corporation, 5/08 at 101.00 AAA 2,438,028 Hospital Financing Revenue Bonds, Lifespan Obligated Group, Series 1996, 5.750%, 5/15/23 - MBIA Insured 5,610 Rhode Island Tobacco Settlement Financing Corporation, Tobacco 6/12 at 100.00 BBB 5,556,986 Settlement Asset-Backed Bonds, Series 2002A, 6.000%, 6/01/23 - ------------------------------------------------------------------------------------------------------------------------------------ 8,020 Total Rhode Island 7,995,014 - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH CAROLINA - 2.5% (1.6% OF TOTAL INVESTMENTS) 2,000 Berkeley County School District, South Carolina, Installment 12/13 at 100.00 A- 2,039,620 Purchase Revenue Bonds, Securing Assets for Education, Series 2003, 5.250%, 12/01/24 4,405 Dorchester County School District 2, South Carolina, Installment 12/14 at 100.00 A 4,372,403 Purchase Revenue Bonds, GROWTH, Series 2004, 5.250%, 12/01/23 1,355 South Carolina JOBS Economic Development Authority, 11/12 at 100.00 A- (4) 1,506,475 Economic Development Revenue Bonds, Bon Secours Health System Inc., Series 2002A, 5.625%, 11/15/30 (Pre-refunded 11/15/12) 5,145 South Carolina JOBS Economic Development Authority, Economic 11/12 at 100.00 A- 5,218,831 Development Revenue Bonds, Bon Secours Health System Inc., Series 2002B, 5.625%, 11/15/30 - ------------------------------------------------------------------------------------------------------------------------------------ 12,905 Total South Carolina 13,137,329 - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH DAKOTA - 0.4% (0.2% OF TOTAL INVESTMENTS) 1,750 South Dakota Health and Educational Facilities Authority, 11/14 at 100.00 AA- 1,779,610 Revenue Bonds, Sioux Valley Hospitals, Series 2004A, 5.500%, 11/01/31 - ------------------------------------------------------------------------------------------------------------------------------------ TENNESSEE - 1.6% (1.0% OF TOTAL INVESTMENTS) 3,200 Johnson City Health and Educational Facilities Board, Tennessee, 7/16 at 100.00 BBB+ 2,983,488 Revenue Bonds, Mountain States Health Alliance, Series 2006A, 5.500%, 7/01/36 3,000 Knox County Health, Educational and Housing Facilities Board, 4/12 at 101.00 Ba2 3,106,890 Tennessee, Hospital Revenue Bonds, Baptist Health System of East Tennessee Inc., Series 2002, 6.500%, 4/15/31 Sumner County Health, Educational, and Housing Facilities Board, Tennessee, Revenue Refunding Bonds, Sumner Regional Health System Inc., Series 2007: 700 5.500%, 11/01/37 11/17 at 100.00 N/R 650,951 1,700 5.500%, 11/01/46 11/17 at 100.00 N/R 1,541,441 - ------------------------------------------------------------------------------------------------------------------------------------ 8,600 Total Tennessee 8,282,770 - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS - 14.3% (8.9% OF TOTAL INVESTMENTS) 3,117 Austin Housing Finance Corporation, Texas, GNMA Collateralized 12/10 at 105.00 Aaa 3,321,257 Mortgage Loan Multifamily Housing Revenue Bonds, Santa Maria Village Project, Series 2000A, 7.375%, 6/20/35 (Alternative Minimum Tax) 26 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS (continued) $ 5,000 Board of Regents, University of Texas System, Financing System 2/17 at 100.00 Aaa $ 4,351,858 Revenue Bonds, Series 2006F, 4.250%, 8/15/36 (UB) 635 Clear Creek Independent School District, Galveston and Harris 2/10 at 100.00 AAA 655,491 Counties, Texas, Unlimited Tax Schoolhouse and Refunding Bonds, Series 2000, 5.500%, 2/15/22 18,075 Clear Creek Independent School District, Galveston and Harris 2/10 at 100.00 AAA 19,064,243 Counties, Texas, Unlimited Tax Schoolhouse and Refunding Bonds, Series 2000, 5.500%, 2/15/22 (Pre-refunded 2/15/10) 2,735 Harris County Hospital District, Texas, Revenue Refunding Bonds, No Opt. Call AAA 2,887,203 Series 1990, 7.400%, 2/15/10 - AMBAC Insured 755 Harris County Hospital District, Texas, Revenue Refunding Bonds, No Opt. Call AAA 791,187 Series 1990, 7.400%, 2/15/10 - AMBAC Insured (ETM) 2,256 Heart of Texas Housing Finance Corporation, GNMA Collateralized 6/10 at 105.00 Aaa 2,382,855 Mortgage Loan Revenue Bonds, Robinson Garden Project, Series 2000A, 7.375%, 6/20/35 (Alternative Minimum Tax) 11,950 Houston, Texas, Junior Lien Water and Sewerage System Revenue No Opt. Call AAA 6,120,671 Refunding Bonds, Series 1998A, 0.000%, 12/01/22 - FSA Insured (ETM) 4,680 Houston, Texas, Junior Lien Water and Sewerage System Revenue No Opt. Call AAA 2,306,585 Refunding Bonds, Series 1998A, 0.000%, 12/01/22 - FSA Insured Kerrville Health Facilities Development Corporation, Texas, Revenue Bonds, Sid Peterson Memorial Hospital Project, Series 2005: 800 5.250%, 8/15/21 No Opt. Call BBB- 778,312 1,220 5.125%, 8/15/26 No Opt. Call BBB- 1,127,805 1,000 Sabine River Authority, Texas, Pollution Control Revenue Bonds, 11/15 at 100.00 Caa1 741,640 TXU Electric Company, Series 2001C, 5.200%, 5/01/28 3,960 Stafford Economic Development Corporation, Texas, Sales Tax 9/15 at 100.00 A 4,072,702 Revenue Bonds, Series 2000, 5.500%, 9/01/30 - FGIC Insured 7,100 Tarrant County Cultural & Educational Facilities Financing 2/17 at 100.00 AA- 6,994,565 Corporation, Texas, Revenue Bonds, Series 2007A, 5.000%, 2/15/36 5,125 Tarrant County Health Facilities Development Corporation, 12/10 at 105.00 Aaa 5,555,859 Texas, GNMA Collateralized Mortgage Loan Revenue Bonds, Eastview Nursing Home, Ebony Lake Nursing Center, Ft. Stockton Nursing Center, Lynnhaven Nursing Center and Mission Oaks Manor, Series 2000A-1, 7.500%, 12/20/22 Texas Turnpike Authority, First Tier Revenue Bonds, Central Texas Turnpike System, Series 2002A: 10,000 0.000%, 8/15/21 - AMBAC Insured No Opt. Call AAA 5,041,300 12,000 0.000%, 8/15/23 - AMBAC Insured No Opt. Call AAA 5,376,360 2,500 Tomball Hospital Authority, Texas, Hospital Revenue Bonds, 7/15 at 100.00 Baa3 2,392,100 Tomball Regional Hospital, Series 2005, 5.000%, 7/01/20 - ------------------------------------------------------------------------------------------------------------------------------------ 92,908 Total Texas 73,961,993 - ------------------------------------------------------------------------------------------------------------------------------------ VIRGINIA - 0.6% (0.4% OF TOTAL INVESTMENTS) 1,000 Amherst Industrial Development Authority, Virginia, Revenue 9/16 at 100.00 BBB 937,690 Bonds, Sweet Briar College, Series 2006, 5.000%, 9/01/26 1,905 Virginia Beach Development Authority, Virginia, Multifamily 10/14 at 102.00 N/R 2,027,530 Residential Rental Housing Revenue Bonds, Hamptons and Hampton Court Apartments, Series 1999, 7.500%, 10/01/39 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 2,905 Total Virginia 2,965,220 - ------------------------------------------------------------------------------------------------------------------------------------ 27 NQM Nuveen Investment Quality Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WASHINGTON - 9.3% (5.8% OF TOTAL INVESTMENTS) $ 11,345 Chelan County Public Utility District 1, Washington, Columbia No Opt. Call AAA $ 6,654,864 River-Rock Island Hydro-Electric System Revenue Refunding Bonds, Series 1997A, 0.000%, 6/01/19 - MBIA Insured 17,075 Port of Seattle, Washington, Limited Tax General Obligation Bonds, 12/10 at 100.00 AAA 17,563,857 Series 2000B, 5.750%, 12/01/25 (Alternative Minimum Tax) 16,750 Port of Seattle, Washington, Revenue Bonds, Series 2000A, 8/10 at 100.00 AAA 17,904,578 5.625%, 2/01/30 (Pre-refunded 8/01/10) - MBIA Insured 5,000 Port of Seattle, Washington, Revenue Bonds, Series 2001B, 10/11 at 100.00 Aa2 5,087,450 5.625%, 4/01/17 - FGIC Insured (Alternative Minimum Tax) 1,000 Washington State Health Care Facilities Authority, Revenue Bonds, No Opt. Call N/R 934,050 Northwest Hospital and Medical Center of Seattle, Series 2007, 5.700%, 12/01/32 - ------------------------------------------------------------------------------------------------------------------------------------ 51,170 Total Washington 48,144,799 - ------------------------------------------------------------------------------------------------------------------------------------ WEST VIRGINIA - 0.9% (0.6% OF TOTAL INVESTMENTS) 5,000 Mason County, West Virginia, Pollution Control Revenue Bonds, 10/11 at 100.00 BBB 4,895,100 Appalachian Power Company, Series 2003L, 5.500%, 10/01/22 - ------------------------------------------------------------------------------------------------------------------------------------ WISCONSIN - 3.9% (2.5% OF TOTAL INVESTMENTS) 6,710 Badger Tobacco Asset Securitization Corporation, Wisconsin, 6/12 at 100.00 BBB 6,725,165 Tobacco Settlement Asset-Backed Bonds, Series 2002, 6.125%, 6/01/27 315 Wisconsin Health and Educational Facilities Authority, Revenue 5/16 at 100.00 BBB 278,114 Bonds, Divine Savior Healthcare, Series 2006, 5.000%, 5/01/32 Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Eagle River Memorial Hospital Inc., Series 2000: 1,000 5.750%, 8/15/20 - RAAI Insured 8/10 at 101.00 AA 1,028,400 3,000 5.875%, 8/15/30 - RAAI Insured 8/10 at 101.00 AA 3,062,460 1,150 Wisconsin Health and Educational Facilities Authority, Revenue 5/14 at 100.00 BBB+ 1,155,198 Bonds, Fort Healthcare Inc., Series 2004, 5.750%, 5/01/24 4,000 Wisconsin Health and Educational Facilities Authority, Revenue 8/16 at 100.00 A- 3,436,080 Bonds, Wheaton Franciscan Healthcare System, Series 2006, 5.250%, 8/15/34 4,600 Wisconsin State, General Obligation Bonds, Series 2006A, 5/16 at 100.00 AA- 4,688,964 4.750%, 5/01/25 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 20,775 Total Wisconsin 20,374,381 - ------------------------------------------------------------------------------------------------------------------------------------ WYOMING - 0.5% (0.3% OF TOTAL INVESTMENTS) 2,500 Sweetwater County, Wyoming, Solid Waste Disposal Revenue 12/15 at 100.00 BBB 2,304,350 Bonds, FMC Corporation, Series 2005, 5.600%, 12/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ $ 861,068 Total Long-Term Investments (cost $799,049,783) - 157.9% 817,740,734 =============----------------------------------------------------------------------------------------------------------------------- 28 PRINCIPAL AMOUNT (000) DESCRIPTION (1) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 2.6% (1.6% OF TOTAL INVESTMENTS) $ 5,000 Golden State Tobacco Securitization Corporation, California, VMIG-1 $ 5,000,000 Tobacco Settlement Enhanced Revenue Bonds, Trust 1220, Variable Rate Demand Obligations, 6.000%, 6/01/35 - FGIC Insured (5) 8,300 Ohio Air Quality Development Authority, Pollution Control Revenue VMIG-1 8,300,000 Bonds, Dayton Power and Light Company Project, Trust 1223, Variable Rate Demand Obligations, 5.500%, 1/01/34 - FGIC Insured (5) - ------------------------------------------------------------------------------------------------------------------------------------ $ 13,300 Total Short-Term Investments (cost $13,300,000) 13,300,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $812,349,783) - 160.5% 831,040,734 -------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (4.8)% (24,930,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.4% 12,593,666 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (58.1)% (6) (301,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $517,704,400 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Investment has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. (6) Preferred Shares, at Liquidation Value as a percentage of total investments is (36.2)%. N/R Not rated. (ETM) Escrowed to maturity. (IF) Inverse floating rate investment. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 29 NQS Nuveen Select Quality Municipal Fund, Inc. Portfolio of INVESTMENTS April 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ ALABAMA - 3.2% (2.1% OF TOTAL INVESTMENTS) $ 10,000 Lauderdale County and Florence Health Authority, Alabama, 7/10 at 102.00 AAA $10,613,900 Revenue Bonds, Coffee Health Group, Series 2000A, 6.000%, 7/01/29 - MBIA Insured 5,155 Phenix City Industrial Development Board, Alabama, 5/12 at 100.00 BBB 5,105,512 Environmental Improvement Revenue Bonds, MeadWestvaco Corporation, Series 2002A, 6.350%, 5/15/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 15,155 Total Alabama 15,719,412 - ------------------------------------------------------------------------------------------------------------------------------------ ALASKA - 0.5% (0.3% OF TOTAL INVESTMENTS) 500 Alaska Housing Finance Corporation, General Housing Purpose 12/14 at 100.00 AA 508,960 Bonds, Series 2005A, 5.000%, 12/01/26 - FGIC Insured 2,000 Kenai Peninsula Borough, Alaska, Revenue Bonds, Central Kenai 8/13 at 100.00 A3 1,997,740 Peninsula Hospital Service Area, Series 2003, 5.000%, 8/01/23 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 2,500 Total Alaska 2,506,700 - ------------------------------------------------------------------------------------------------------------------------------------ ARIZONA - 2.3% (1.5% OF TOTAL INVESTMENTS) 3,750 Salt River Project Agricultural Improvement and Power District, 12/13 at 100.00 AAA 3,904,313 Arizona, Electric System Revenue Bonds, Series 2003, 5.000%, 12/01/18 - MBIA Insured 8,000 Salt Verde Financial Corporation, Arizona, Senior Gas Revenue No Opt. Call AA- 7,182,400 Bonds, Series 2007, 5.000%, 12/01/37 - ------------------------------------------------------------------------------------------------------------------------------------ 11,750 Total Arizona 11,086,713 - ------------------------------------------------------------------------------------------------------------------------------------ ARKANSAS - 1.1% (0.7% OF TOTAL INVESTMENTS) 4,500 Little Rock, Arkansas, Hotel and Restaurant Gross Receipts Tax No Opt. Call A3 5,218,020 Refunding Bonds, Series 1993, 7.375%, 8/01/15 - ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA - 5.9% (3.8% OF TOTAL INVESTMENTS) Calexico Unified School District, Imperial County, California, General Obligation Bonds, Series 2005B: 3,685 0.000%, 8/01/31 - FGIC Insured No Opt. Call BBB+ 959,795 4,505 0.000%, 8/01/33 - FGIC Insured No Opt. Call BBB+ 1,046,962 550 California Pollution Control Financing Authority, Remarketed 4/11 at 102.00 AAA 571,142 Revenue Bonds, Pacific Gas and Electric Company, Series 1996A, 5.350%, 12/01/16 - MBIA Insured (Alternative Minimum Tax) 1,550 California Statewide Community Development Authority, Revenue 7/18 at 100.00 AA- 1,610,466 Bonds, St. Joseph Health System, Series 2007A, 5.750%, 7/01/47 - FGIC Insured 1,000 Coachella Valley Unified School District, Riverside County, No Opt. Call A- 291,750 California, General Obligation Bonds, Series 2005A, 0.000%, 8/01/30 - FGIC Insured Colton Joint Unified School District, San Bernardino County, California, General Obligation Bonds, Series 2006C: 3,200 0.000%, 2/01/30 - FGIC Insured 2/15 at 45.69 A 928,480 6,800 0.000%, 2/01/35 - FGIC Insured 2/15 at 34.85 A 1,464,244 Cupertino Union School District, Santa Clara County, California, General Obligation Bonds, Series 2003B: 8,100 0.000%, 8/01/24 - FGIC Insured 8/13 at 58.68 AA 3,353,562 11,430 0.000%, 8/01/27 - FGIC Insured 8/13 at 49.98 AA 3,909,974 30 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA (continued) $ 7,000 Golden State Tobacco Securitization Corporation, California, 6/15 at 100.00 A $ 5,916,540 Enhanced Tobacco Settlement Revenue Bonds, Residual Series 2040, 9.530%, 6/01/45 - FGIC Insured (IF) 1,045 Lake Tahoe Unified School District, El Dorado County, California, No Opt. Call Aaa 358,027 General Obligation Bonds, Series 2001B, 0.000%, 8/01/31 - MBIA Insured 6,000 Placentia-Yorba Linda Unified School District, Orange County, No Opt. Call A+ 1,350,840 California, Certificates of Participation, Series 2006, 0.000%, 10/01/34 - FGIC Insured 5,000 Riverside County Asset Leasing Corporation, California, Leasehold No Opt. Call AAA 2,083,350 Revenue Bonds, Riverside County Hospital Project, Series 1997, 0.000%, 6/01/25 - MBIA Insured 14,605 San Joaquin Hills Transportation Corridor Agency, Orange County, No Opt. Call AAA 2,934,437 California, Toll Road Revenue Refunding Bonds, Series 1997A, 0.000%, 1/15/35 - MBIA Insured 5,000 Santa Monica Community College District, Los Angeles County, No Opt. Call AAA 1,840,800 California, General Obligation Bonds, Series 2005C, 0.000%, 8/01/26 - MBIA Insured 2,000 Yuma Community College District, California, General Obligation 8/17 at 45.45 AAA 477,760 Bonds, Series 2007B, 0.000%, 8/01/33 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 81,470 Total California 29,098,129 - ------------------------------------------------------------------------------------------------------------------------------------ COLORADO - 12.1% (7.7% OF TOTAL INVESTMENTS) 11,000 Colorado Department of Transportation, Revenue Anticipation 6/10 at 100.50 AAA 11,867,570 Bonds, Series 2000, 6.000%, 6/15/15 (Pre-refunded 6/15/10) - AMBAC Insured 9,250 Colorado Health Facilities Authority, Remarketed Revenue Bonds, 7/08 at 101.00 AAA 9,409,193 Kaiser Permanente System, Series 1994A, 5.350%, 11/01/16 (ETM) 1,150 Colorado Health Facilities Authority, Revenue Bonds, Poudre Valley 9/18 at 102.00 AAA 1,168,205 Health System, Series 2005C, 5.250%, 3/01/40 - FSA Insured 16,995 Denver City and County, Colorado, Airport System Revenue 11/10 at 100.00 AAA 17,164,439 Refunding Bonds, Series 2000A, 5.625%, 11/15/23 - AMBAC Insured (Alternative Minimum Tax) 1,500 Denver Convention Center Hotel Authority, Colorado, Senior 11/16 at 100.00 A- 1,307,715 Revenue Bonds, Convention Center Hotel, Series 2006, 4.625%, 12/01/30 - XLCA Insured E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 1997B: 1,420 0.000%, 9/01/23 - MBIA Insured No Opt. Call AAA 611,466 8,515 0.000%, 9/01/25 - MBIA Insured No Opt. Call AAA 3,197,723 7,500 E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, No Opt. Call AAA 2,173,500 Series 2000B, 0.000%, 9/01/29 - MBIA Insured 13,000 E-470 Public Highway Authority, Colorado, Toll Revenue Bonds, 9/20 at 45.40 AAA 2,740,140 Series 2004B, 0.000%, 9/01/34 - MBIA Insured 5,000 Ebert Metropolitan District, Colorado, Limited Tax General Obligation 12/17 at 100.00 AA 4,877,950 Bonds, Series 2007, 5.350%, 12/01/37 - RAAI Insured 12,355 Northwest Parkway Public Highway Authority, Colorado, Senior 6/11 at 40.52 AAA 4,491,784 Lien Revenue Bonds, Series 2001B, 0.000%, 6/15/26 (Pre-refunded 6/15/11) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 87,685 Total Colorado 59,009,685 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRICT OF COLUMBIA - 3.2% (2.1% OF TOTAL INVESTMENTS) 2,630 District of Columbia Tobacco Settlement Corporation, Tobacco 5/11 at 101.00 BBB 2,654,143 Settlement Asset-Backed Bonds, Series 2001, 6.250%, 5/15/24 District of Columbia, General Obligation Bonds, Series 1998B: 5,000 6.000%, 6/01/19 - MBIA Insured No Opt. Call AAA 5,804,950 7,265 5.250%, 6/01/26 - FSA Insured 6/08 at 101.00 AAA 7,346,150 - ------------------------------------------------------------------------------------------------------------------------------------ 14,895 Total District of Columbia 15,805,243 - ------------------------------------------------------------------------------------------------------------------------------------ 31 NQS Nuveen Select Quality Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ FLORIDA - 4.2% (2.7% OF TOTAL INVESTMENTS) Lee County, Florida, Airport Revenue Bonds, Series 2000A: $ 3,075 5.875%, 10/01/18 - FSA Insured (Alternative Minimum Tax) 10/10 at 101.00 AAA $ 3,221,462 4,860 5.875%, 10/01/19 - FSA Insured (Alternative Minimum Tax) 10/10 at 101.00 AAA 5,091,482 9,250 Port Saint Lucie, Florida, Special Assessment Revenue Bonds, 7/17 at 100.00 AAA 9,330,013 Southwest Annexation District 1B, Series 2007, 5.000%, 7/01/40 - MBIA Insured 3,335 South Miami Health Facilities Authority, Florida, Revenue Bonds, 8/17 at 100.00 AA- 3,093,980 Baptist Health Systems of South Florida, Series 2007, ROLS 11151, 9.726%, 8/15/42 (IF) - ------------------------------------------------------------------------------------------------------------------------------------ 20,520 Total Florida 20,736,937 - ------------------------------------------------------------------------------------------------------------------------------------ GEORGIA - 0.8% (0.5% OF TOTAL INVESTMENTS) 3,750 Atlanta, Georgia, Airport General Revenue Bonds, Series 2000B, 1/10 at 101.00 A+ 3,767,550 5.625%, 1/01/30 - FGIC Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ ILLINOIS - 14.4% (9.2% OF TOTAL INVESTMENTS) Chicago Board of Education, Illinois, Unlimited Tax General Obligation Bonds, Dedicated Tax Revenues, Series 1998B-1: 3,855 0.000%, 12/01/25 - FGIC Insured No Opt. Call AA- 1,549,633 2,925 0.000%, 12/01/31 - FGIC Insured No Opt. Call AA- 822,890 5,865 Chicago, Illinois, General Obligation Bonds, Neighborhoods Alive 21 7/10 at 101.00 AAA 6,425,166 Program, Series 2000A, 6.500%, 1/01/35 (Pre-refunded 7/01/10) - FGIC Insured 15,000 Chicago, Illinois, Second Lien Passenger Facility Charge Revenue 1/11 at 101.00 AAA 14,850,149 Bonds, O'Hare International Airport, Series 2001A, 5.375%, 1/01/32 - AMBAC Insured (Alternative Minimum Tax) Chicago, Illinois, Second Lien Passenger Facility Charge Revenue Bonds, O'Hare International Airport, Series 2001C: 3,770 5.100%, 1/01/26 - AMBAC Insured (Alternative Minimum Tax) 1/11 at 101.00 AAA 3,709,378 5,460 5.250%, 1/01/32 - AMBAC Insured (Alternative Minimum Tax) 1/11 at 101.00 AAA 5,315,310 2,000 Illinois Finance Authority, Revenue Bonds, Children's Memorial 8/18 at 100.00 AAA 1,957,500 Hospital, Series 2008A, 5.250%, 8/15/47 (WI/DD, Settling 5/15/08) - AGC Insured 1,000 Illinois Finance Authority, Revenue Bonds, Edward Health Services 2/18 at 100.00 AAA 1,025,710 Corporation, Series 2008A, 5.500%, 2/01/40 - AMBAC Insured 3,975 Illinois Finance Authority, Revenue Bonds, Sherman Health 8/17 at 100.00 A- 3,728,073 Systems, Series 2007A, 5.500%, 8/01/37 10,000 Illinois Health Facilities Authority, Revenue Bonds, Condell Medical 5/12 at 100.00 Baa3 10,147,000 Center, Series 2002, 5.750%, 5/15/22 2,000 Illinois Health Facilities Authority, Revenue Bonds, Midwest Care 2/11 at 102.00 Aaa 2,070,260 Center I Inc., Series 2001, 5.950%, 2/20/36 8,945 Lake and McHenry Counties Community Unit School District 118, 1/15 at 74.44 Aaa 4,679,398 Wauconda, Illinois, General Obligation Bonds, Series 2005B, 0.000%, 1/01/21 - FSA Insured 9,000 McHenry County Community Unit School District 200, Woodstock, No Opt. Call A1 4,217,760 Illinois, General Obligation Bonds, Series 2006B, 0.000%, 1/15/23 - FGIC Insured Metropolitan Pier and Exposition Authority, Illinois, Revenue Bonds, McCormick Place Expansion Project, Series 2002A: 6,700 0.000%, 12/15/23 - MBIA Insured No Opt. Call AAA 3,087,695 2,920 5.000%, 12/15/28 - MBIA Insured 6/12 at 101.00 AAA 2,979,305 1,100 0.000%, 12/15/35 - MBIA Insured No Opt. Call AAA 254,463 2,455 0.000%, 6/15/41 - MBIA Insured No Opt. Call AAA 417,546 32 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ ILLINOIS (continued) $ 7,500 Valley View Public Schools, Community Unit School District 365U No Opt. Call AAA $ 3,127,650 of Will County, Illinois, General Obligation Bonds, Series 2005, 0.000%, 11/01/25 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 94,470 Total Illinois 70,364,886 - ------------------------------------------------------------------------------------------------------------------------------------ INDIANA - 3.0% (1.9% OF TOTAL INVESTMENTS) 2,000 Hospital Authority of Delaware County, Indiana, Hospital Revenue 8/16 at 100.00 Baa2 1,696,440 Bonds, Cardinal Health System, Series 2006, 5.250%, 8/01/36 2,000 Indiana Health Facility Financing Authority, Revenue Bonds, 3/17 at 100.00 BBB- 1,757,180 Community Foundation of Northwest Indiana, Series 2007, 5.500%, 3/01/37 765 Indiana Housing Finance Authority, Single Family Mortgage 1/10 at 100.00 Aaa 768,534 Revenue Bonds, Series 2000D-3, 5.950%, 7/01/26 (Alternative Minimum Tax) 2,225 Indiana Municipal Power Agency, Power Supply Revenue Bonds, 1/17 at 100.00 AAA 2,223,042 Series 2007A, 5.000%, 1/01/42 - MBIA Insured 7,660 St. Joseph County Hospital Authority, Indiana, Revenue Bonds, 2/11 at 100.00 AAA 8,266,825 Memorial Health System, Series 2000, 5.625%, 8/15/33 (Pre-refunded 2/15/11) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 14,650 Total Indiana 14,712,021 - ------------------------------------------------------------------------------------------------------------------------------------ KANSAS - 0.8% (0.5% OF TOTAL INVESTMENTS) 3,790 Kansas Department of Transportation, Highway Revenue Bonds, 3/14 at 100.00 AAA 3,949,256 Series 2004A, 5.000%, 3/01/23 - ------------------------------------------------------------------------------------------------------------------------------------ MARYLAND - 1.6% (1.0% OF TOTAL INVESTMENTS) 7,500 Maryland Health and Higher Educational Facilities Authority, 7/09 at 101.00 AA (4) 7,873,650 Revenue Bonds, Johns Hopkins University, Series 1999, 6.000%, 7/01/39 (Pre-refunded 7/01/09) - ------------------------------------------------------------------------------------------------------------------------------------ MASSACHUSETTS - 0.2% (0.1% OF TOTAL INVESTMENTS) 880 Massachusetts Educational Finance Authority, Student Loan 12/09 at 101.00 N/R 908,512 Revenue Refunding Bonds, Series 2000G, 5.700%, 12/01/11 - MBIA Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ MICHIGAN - 8.2% (5.3% OF TOTAL INVESTMENTS) 10,000 Detroit, Michigan, Sewerage Disposal System Revenue Bonds, 1/10 at 101.00 Aaa 10,648,400 Series 1999A, 5.750%, 7/01/26 (Pre-refunded 1/01/10) - FGIC Insured 6,475 Michigan State Hospital Finance Authority, Hospital Revenue Bonds, 11/09 at 101.00 AAA 6,869,910 Ascension Health Credit Group, Series 1999A, 5.750%, 11/15/16 (Pre-refunded 11/15/09) - MBIA Insured 3,275 Michigan State Hospital Finance Authority, Revenue Refunding 8/08 at 100.00 BB- 3,276,212 Bonds, Detroit Medical Center Obligated Group, Series 1993A, 6.500%, 8/15/18 6,000 Michigan Strategic Fund, Collateralized Limited Obligation Pollution 9/11 at 100.00 A- 6,028,380 Control Revenue Refunding Bonds, Fixed Rate Conversion, Detroit Edison Company, Series 1999C, 5.650%, 9/01/29 - XLCA Insured (Alternative Minimum Tax) 7,500 Michigan Strategic Fund, Limited Obligation Revenue Refunding 12/12 at 100.00 A- 7,439,250 Bonds, Detroit Edison Company, Series 2002C, 5.450%, 12/15/32 - XLCA Insured (Alternative Minimum Tax) 5,900 Royal Oak Hospital Finance Authority, Michigan, Hospital 11/11 at 100.00 AAA 5,962,599 Revenue Bonds, William Beaumont Hospital, Series 2001M, 5.250%, 11/15/35 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 39,150 Total Michigan 40,224,751 - ------------------------------------------------------------------------------------------------------------------------------------ 33 NQS Nuveen Select Quality Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ MINNESOTA - 2.1% (1.3% OF TOTAL INVESTMENTS) $ 7,000 Minneapolis-St. Paul Metropolitan Airports Commission, 1/11 at 100.00 AAA $ 7,472,360 Minnesota, Airport Revenue Bonds, Series 2001A, 5.250%, 1/01/32 (Pre-refunded 1/01/11) - FGIC Insured 2,465 Minnesota Housing Finance Agency, Single Family Mortgage 7/09 at 100.00 AA+ 2,573,509 Revenue Bonds, Series 2000C, 6.100%, 7/01/30 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 9,465 Total Minnesota 10,045,869 - ------------------------------------------------------------------------------------------------------------------------------------ MISSISSIPPI - 0.5% (0.3% OF TOTAL INVESTMENTS) 2,475 Mississippi Hospital Equipment and Facilities Authority, Revenue 9/14 at 100.00 AA 2,488,167 Bonds, Baptist Memorial Healthcare, Series 2004B-1, 5.000%, 9/01/24 - ------------------------------------------------------------------------------------------------------------------------------------ MISSOURI - 0.7% (0.4% OF TOTAL INVESTMENTS) 5,000 Kansas City Municipal Assistance Corporation, Missouri, Leasehold No Opt. Call AAA 1,763,600 Revenue Bonds, Series 2004B-1, 0.000%, 4/15/28 - AMBAC Insured 1,500 Missouri-Illinois Metropolitan District Bi-State Development Agency, 10/13 at 100.00 AAA 1,527,000 Mass Transit Sales Tax Appropriation Bonds, Metrolink Cross County Extension Project, Series 2002B, 5.000%, 10/01/32 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 6,500 Total Missouri 3,290,600 - ------------------------------------------------------------------------------------------------------------------------------------ NEVADA - 7.4% (4.8% OF TOTAL INVESTMENTS) 4,885 Clark County, Nevada, Limited Tax General Obligation Bank Bonds, 7/10 at 100.00 AA+ (4) 5,202,574 Series 2000, 5.500%, 7/01/18 (Pre-refunded 7/01/10) 7,500 Clark County, Nevada, Subordinate Lien Airport Revenue Bonds, 7/10 at 101.00 AAA 8,137,500 Series 1999A, 6.000%, 7/01/29 (Pre-refunded 7/01/10) - MBIA Insured 1,950 Director of Nevada State Department of Business and Industry, 1/10 at 102.00 AAA 1,749,599 Revenue Bonds, Las Vegas Monorail Project, First Tier, Series 2000, 5.625%, 1/01/32 - AMBAC Insured 10,000 Reno, Nevada, Health Facilities, Revenue Bonds, Catholic 7/17 at 100.00 A 9,737,800 Healthcare West, Series 2007A, 5.250%, 7/01/31 (UB) 10,750 Truckee Meadows Water Authority, Nevada, Water Revenue Bonds, 7/11 at 100.00 AAA 11,561,625 Series 2001A, 5.250%, 7/01/34 (Pre-refunded 7/01/11) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 35,085 Total Nevada 36,389,098 - ------------------------------------------------------------------------------------------------------------------------------------ NEW JERSEY - 7.2% (4.6% OF TOTAL INVESTMENTS) 2,400 New Jersey Health Care Facilities Financing Authority, Revenue 7/10 at 101.00 BBB- (4) 2,669,880 Bonds, Trinitas Hospital Obligated Group, Series 2000, 7.500%, 7/01/30 (Pre-refunded 7/01/10) 14,865 New Jersey Housing and Mortgage Finance Agency, Home Buyer 10/10 at 100.00 AAA 15,432,396 Program Revenue Bonds, Series 2000CC, 5.850%, 10/01/25 - MBIA Insured (Alternative Minimum Tax) 1,905 New Jersey Housing and Mortgage Finance Agency, Multifamily 5/08 at 101.50 AAA 1,910,163 Housing Revenue Bonds, Series 1997A, 5.550%, 5/01/27 - AMBAC Insured (Alternative Minimum Tax) 20,000 New Jersey Transportation Trust Fund Authority, Transportation No Opt. Call AAA 5,239,800 System Bonds, Series 2006C, 0.000%, 12/15/33 - FSA Insured 7,690 Tobacco Settlement Financing Corporation, New Jersey, Tobacco 6/12 at 100.00 AAA 8,343,189 Settlement Asset-Backed Bonds, Series 2002, 5.750%, 6/01/32 (Pre-refunded 6/01/12) 2,000 Tobacco Settlement Financing Corporation, New Jersey, Tobacco 6/17 at 100.00 BBB 1,600,760 Settlement Asset-Backed Bonds, Series 2007-1A, 5.000%, 6/01/41 - ------------------------------------------------------------------------------------------------------------------------------------ 48,860 Total New Jersey 35,196,188 - ------------------------------------------------------------------------------------------------------------------------------------ 34 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ NEW MEXICO - 4.9% (3.1% OF TOTAL INVESTMENTS) $ 8,500 Farmington, New Mexico, Pollution Control Revenue Refunding 10/08 at 100.00 Baa3 $ 8,487,505 Bonds, Public Service Company of New Mexico - San Juan Project, Series 1997B, 5.800%, 4/01/22 New Mexico Hospital Equipment Loan Council, Hospital Revenue Bonds, Presbyterian Healthcare Services, Series 2001A: 8,000 5.500%, 8/01/25 (Pre-refunded 8/01/11) 8/11 at 101.00 AA- (4) 8,742,960 6,200 5.500%, 8/01/30 (Pre-refunded 8/01/11) 8/11 at 101.00 AA- (4) 6,775,794 - ------------------------------------------------------------------------------------------------------------------------------------ 22,700 Total New Mexico 24,006,259 - ------------------------------------------------------------------------------------------------------------------------------------ NEW YORK - 11.2% (7.2% OF TOTAL INVESTMENTS) 5,650 Dormitory Authority of the State of New York, Improvement 8/09 at 101.00 AAA 5,924,195 Revenue Bonds, Mental Health Services Facilities, Series 1999D, 5.250%, 8/15/24 (Pre-refunded 8/15/09) - FSA Insured 10,000 Dormitory Authority of the State of New York, New York City, 5/10 at 101.00 AA- (4) 10,825,000 Lease Revenue Bonds, Court Facilities, Series 1999, 6.000%, 5/15/39 (Pre-refunded 5/15/10) 7,000 Metropolitan Transportation Authority, New York, State Service 7/12 at 100.00 AA- 7,116,270 Contract Refunding Bonds, Series 2002A, 5.125%, 1/01/29 5,000 New York City Municipal Water Finance Authority, New York, 6/09 at 101.00 AAA 5,043,800 Water and Sewerage System Revenue Bonds, Fiscal Series 1999B, 5.000%, 6/15/29 - FSA Insured 2,255 New York City Transit Authority, New York, Metropolitan 1/10 at 101.00 AAA 2,403,514 Transportation Authority, Triborough Bridge and Tunnel Authority, Certificates of Participation, Series 2000A, 5.750%, 1/01/20 (Pre-refunded 1/01/10) - AMBAC Insured 9,750 New York City Transitional Finance Authority, New York, Future 5/10 at 101.00 AAA 10,554,375 Tax Secured Bonds, Fiscal Series 2000B, 6.000%, 11/15/29 (Pre-refunded 5/15/10) 5,400 New York State Mortgage Agency, Homeowner Mortgage Revenue 3/09 at 101.00 Aa1 5,476,086 Bonds, Series 79, 5.300%, 4/01/29 (Alternative Minimum Tax) New York State Urban Development Corporation, Subordinate Lien Corporate Purpose Refunding Bonds, Series 1996: 4,490 5.500%, 7/01/26 (Pre-refunded 7/01/08) 7/08 at 100.00 AAA 4,515,997 3,055 5.500%, 7/01/26 (Pre-refunded 7/01/08) 7/08 at 100.00 AAA 3,072,688 - ------------------------------------------------------------------------------------------------------------------------------------ 52,600 Total New York 54,931,925 - ------------------------------------------------------------------------------------------------------------------------------------ NORTH CAROLINA - 3.8% (2.4% OF TOTAL INVESTMENTS) 18,555 North Carolina Eastern Municipal Power Agency, Power System 7/08 at 100.00 Baa1 18,566,503 Revenue Refunding Bonds, Series 1993B, 5.500%, 1/01/17 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ OHIO - 5.9% (3.8% OF TOTAL INVESTMENTS) Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue Bonds, Senior Lien, Series 2007A-2: 270 5.125%, 6/01/24 6/17 at 100.00 BBB 254,321 2,700 5.875%, 6/01/30 6/17 at 100.00 BBB 2,512,350 2,635 5.750%, 6/01/34 6/17 at 100.00 BBB 2,382,014 5,895 5.875%, 6/01/47 6/17 at 100.00 BBB 5,216,603 5,150 Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco 6/22 at 100.00 BBB 3,400,288 Settlement Asset-Backed Revenue Bonds, Senior Lien, Series 2007A-3, 0.000%, 6/01/37 Montgomery County, Ohio, Hospital Facilities Revenue Bonds, Kettering Medical Center, Series 1999: 5,000 6.750%, 4/01/18 (Pre-refunded 4/01/10) 4/10 at 101.00 A (4) 5,448,800 5,000 6.750%, 4/01/22 (Pre-refunded 4/01/10) 4/10 at 101.00 A (4) 5,448,800 35 NQS Nuveen Select Quality Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ OHIO (continued) $ 230 Ohio Housing Finance Agency, GNMA Mortgage-Backed 8/10 at 100.00 Aaa $ 239,736 Securities Program Residential Mortgage Revenue Bonds, Series 2000C, 6.050%, 3/01/32 (Alternative Minimum Tax) 4,550 Ohio State Higher Educational Facilities Commission, Revenue 1/17 at 100.00 AA 4,137,179 Bonds, University Hospitals Project, Residual Series 2007- 1033, 5.151%, 1/15/46 - AMBAC Insured (IF) - ------------------------------------------------------------------------------------------------------------------------------------ 31,430 Total Ohio 29,040,091 - ------------------------------------------------------------------------------------------------------------------------------------ OKLAHOMA - 2.5% (1.6% OF TOTAL INVESTMENTS) 2,235 Oklahoma Development Finance Authority, Revenue Bonds, 2/14 at 100.00 AA- 2,254,959 St. John Health System, Series 2004, 5.000%, 2/15/24 10,000 Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding 12/08 at 100.00 B 9,951,200 Bonds, American Airlines Inc., Series 2001B, 5.650%, 12/01/35 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 12,235 Total Oklahoma 12,206,159 - ------------------------------------------------------------------------------------------------------------------------------------ PENNSYLVANIA - 0.6% (0.4% OF TOTAL INVESTMENTS) 95 Delaware River Port Authority, New Jersey and Pennsylvania, 1/10 at 100.00 AAA 99,520 Revenue Bonds, Series 1999, 5.750%, 1/01/15 - FSA Insured 3,250 Pennsylvania Housing Finance Agency, Single Family Mortgage 10/16 at 100.00 AA+ 2,880,735 Revenue Bonds, Series 96A, 4.650%, 10/01/31 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 3,345 Total Pennsylvania 2,980,255 - ------------------------------------------------------------------------------------------------------------------------------------ PUERTO RICO - 0.9% (0.6% OF TOTAL INVESTMENTS) 800 Puerto Rico Public Buildings Authority, Guaranteed Government No Opt. Call AAA 667,544 Facilities Revenue Refunding Bonds, Series 2002D, 0.000%, 7/01/31 - AMBAC Insured 2,200 Puerto Rico Public Buildings Authority, Guaranteed Government 7/17 at 100.00 Aaa 1,988,272 Facilities Revenue Refunding Bonds, Series 2002D, 0.000%, 7/01/31 (Pre-refunded 7/01/17) - AMBAC Insured 20,500 Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue No Opt. Call AAA 1,486,865 Bonds, Series 2007A, 0.000%, 8/01/54 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 23,500 Total Puerto Rico 4,142,681 - ------------------------------------------------------------------------------------------------------------------------------------ RHODE ISLAND - 0.3% (0.2% OF TOTAL INVESTMENTS) 665 Rhode Island Housing & Mortgage Finance Corporation, 4/17 at 100.00 AA+ 593,885 Homeownership Opportunity Bond Program, 2007 Series 57-B, Residual 1038, 10.483%, 10/01/32 (Alternative Minimum Tax) (IF) 1,000 Rhode Island Housing & Mortgage Finance Corporation, 4/17 at 100.00 AA+ 956,660 Homeownership Opportunity Bond Program, Residual Trust 1038, 10.342%, 10/01/27 (Alternative Minimum Tax) (IF) - ------------------------------------------------------------------------------------------------------------------------------------ 1,665 Total Rhode Island 1,550,545 - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH CAROLINA - 9.6% (6.2% OF TOTAL INVESTMENTS) Greenville County School District, South Carolina, Installment Purchase Revenue Bonds, Series 2002: 5,500 6.000%, 12/01/21 (Pre-refunded 12/01/12) 12/12 at 101.00 AA- (4) 6,284,190 4,500 6.000%, 12/01/21 (Pre-refunded 12/01/12) 12/12 at 101.00 AA- (4) 5,141,610 3,750 Greenwood County, South Carolina, Hospital Revenue Bonds, 10/11 at 100.00 A 3,780,563 Self Memorial Hospital, Series 2001, 5.500%, 10/01/31 2,500 Lexington County Health Service District, South Carolina, 11/13 at 100.00 A+ (4) 2,798,975 Hospital Revenue Refunding and Improvement Bonds, Series 2003, 5.750%, 11/01/28 (Pre-refunded 11/01/13) 36 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH CAROLINA (continued) $ 2,825 Medical University Hospital Authority, South Carolina, 8/14 at 100.00 AAA $ 2,942,916 FHA-Insured Mortgage Revenue Bonds, Series 2004A, 5.250%, 2/15/22 - MBIA Insured 21,565 Piedmont Municipal Power Agency, South Carolina, Electric No Opt. Call AAA 6,366,635 Revenue Bonds, Series 2004A-2, 0.000%, 1/01/30 - AMBAC Insured 1,250 South Carolina Housing Finance and Development Authority, 6/10 at 100.00 Aaa 1,263,038 Mortgage Revenue Bonds, Series 2000A-2, 6.000%, 7/01/20 - FSA Insured (Alternative Minimum Tax) Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement Asset-Backed Bonds, Series 2001B: 11,530 6.000%, 5/15/22 5/11 at 101.00 BBB 11,615,783 4,000 6.375%, 5/15/28 5/11 at 101.00 BBB 4,024,240 3,000 6.375%, 5/15/30 No Opt. Call BBB 2,952,840 - ------------------------------------------------------------------------------------------------------------------------------------ 60,420 Total South Carolina 47,170,790 - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH DAKOTA - 2.1% (1.4% OF TOTAL INVESTMENTS) 5,195 Sioux Falls, South Dakota, Industrial Revenue Refunding Bonds, 10/14 at 100.00 AAA 6,258,780 Great Plains Hotel Corporation, Series 1989, 8.500%, 11/01/16 (Pre-refunded 10/15/14) (Alternative Minimum Tax) 2,280 South Dakota Education Loans Inc., Revenue Bonds, Subordinate 6/08 at 102.00 A2 2,318,053 Series 1998-1K, 5.600%, 6/01/20 (Alternative Minimum Tax) 1,750 South Dakota Health and Educational Facilities Authority, Revenue 11/14 at 100.00 AA- 1,779,610 Bonds, Sioux Valley Hospitals, Series 2004A, 5.500%, 11/01/31 - ------------------------------------------------------------------------------------------------------------------------------------ 9,225 Total South Dakota 10,356,443 - ------------------------------------------------------------------------------------------------------------------------------------ TENNESSEE - 6.5% (4.1% OF TOTAL INVESTMENTS) 5,000 Knox County Health, Educational and Housing Facilities Board, 4/12 at 101.00 Ba2 5,178,150 Tennessee, Hospital Revenue Bonds, Baptist Health System of East Tennessee Inc., Series 2002, 6.500%, 4/15/31 20,060 Knox County Health, Educational and Housing Facilities Board, 1/13 at 80.49 AAA 13,134,887 Tennessee, Hospital Revenue Refunding Bonds, Covenant Health, Series 2002A, 0.000%, 1/01/17 - FSA Insured 12,500 Metropolitan Government of Nashville-Davidson County Health and 11/09 at 101.00 AAA 13,291,750 Educational Facilities Board, Tennessee, Revenue Bonds, Ascension Health Credit Group, Series 1999A, 5.875%, 11/15/28 (Pre-refunded 11/15/09) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 37,560 Total Tennessee 31,604,787 - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS - 14.6% (9.4% OF TOTAL INVESTMENTS) 5,110 Brazos River Authority, Texas, Pollution Control Revenue 4/13 at 101.00 Caa1 4,997,529 Refunding Bonds, TXU Electric Company, Series 1999C, 7.700%, 3/01/32 (Alternative Minimum Tax) 7,925 Brazos River Authority, Texas, Pollution Control Revenue No Opt. Call Caa1 7,404,328 Refunding Bonds, TXU Electric Company, Series 2001C, 5.750%, 5/01/36 (Mandatory put 11/01/11) (Alternative Minimum Tax) 4,080 Central Texas Regional Mobility Authority, Travis and Williamson 1/15 at 100.00 BBB- 3,690,564 Counties, Toll Road Revenue Bonds, Series 2005, 5.000%, 1/01/35 - FGIC Insured 5,500 Dallas Area Rapid Transit, Texas, Senior Lien Sales Tax Revenue 12/11 at 100.00 AAA 5,916,790 Bonds, Series 2001, 5.000%, 12/01/31 (Pre-refunded 12/01/11) - AMBAC Insured 2,000 Ennis Independent School District, Ellis County, Texas, General 8/16 at 54.64 Aaa 666,420 Obligation Bonds, Series 2006, 0.000%, 8/15/28 37 NQS Nuveen Select Quality Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS (continued) $ 1,550 Gulf Coast Waste Disposal Authority, Texas, Waste Disposal 4/11 at 101.00 BBB $ 1,570,894 Revenue Bonds, Valero Energy Corporation, Series 2001, 6.650%, 4/01/32 (Alternative Minimum Tax) 7,570 Harris County-Houston Sports Authority, Texas, Junior Lien No Opt. Call AAA 1,873,651 Revenue Bonds, Series 2001H, 0.000%, 11/15/31 - MBIA Insured 5,000 Houston Community College, Texas, Limited Tax General 2/13 at 100.00 AAA 5,110,650 Obligation Bonds, Series 2003, 5.000%, 2/15/26 - AMBAC Insured 4,590 Houston, Texas, Subordinate Lien Airport System Revenue Bonds, 7/10 at 100.00 AAA 4,627,317 Series 2000A, 5.625%, 7/01/30 - FSA Insured (Alternative Minimum Tax) 9,000 Matagorda County Navigation District 1, Texas, Collateralized No Opt. Call AAA 8,430,570 Revenue Refunding Bonds, Houston Light and Power Company, Series 1997, 5.125%, 11/01/28 - AMBAC Insured (Alternative Minimum Tax) 340 Panhandle Regional Housing Finance Corporation, Texas, 5/08 at 100.00 AAA 345,981 GNMA Mortgage-Backed Securities Program Single Family Mortgage Revenue Bonds, Series 1991A, 7.500%, 5/01/24 (Alternative Minimum Tax) 2,110 Richardson Hospital Authority, Texas, Revenue Bonds, Richardson 12/13 at 100.00 Baa2 2,144,836 Regional Medical Center, Series 2004, 6.000%, 12/01/19 4,700 Sam Rayburn Municipal Power Agency, Texas, Power Supply 10/12 at 100.00 Baa2 4,804,669 System Revenue Refunding Bonds, Series 2002A, 6.000%, 10/01/21 5,500 Spring Independent School District, Harris County, Texas, 8/11 at 100.00 AAA 5,586,240 Unlimited Tax Schoolhouse Bonds, Series 2001, 5.000%, 8/15/26 2,920 Tarrant County Cultural and Education Facilities Financing 11/17 at 100.00 AA- 2,650,104 Corporation, Texas, Revenue Bonds, County Health Resources, Series 2007B, Residuals 1830, 9.802%, 11/15/47 (IF) 4,520 Texas, General Obligation Bonds, Water Financial Assistance, 8/09 at 100.00 Aa1 4,616,773 State Participation Program, Series 1999C, 5.500%, 8/01/35 White Settlement Independent School District, Tarrant County, Texas, General Obligation Bonds, Series 2006: 9,110 0.000%, 8/15/36 8/15 at 33.75 AAA 1,882,308 9,110 0.000%, 8/15/41 8/15 at 25.73 AAA 1,394,832 7,110 0.000%, 8/15/45 8/15 at 20.76 AAA 861,945 2,175 Winter Garden Housing Finance Corporation, Texas, 10/08 at 100.00 AAA 2,209,778 GNMA/FNMA Mortgage-Backed Securities Program Single Family Mortgage Revenue Bonds, Series 1994, 6.950%, 10/01/27 (Alternative Minimum Tax) 2,000 Wylie Independent School District, Taylor County, Texas, 8/15 at 57.10 AAA 780,640 General Obligation Bonds, Series 2005, 0.000%, 8/15/26 - ------------------------------------------------------------------------------------------------------------------------------------ 101,920 Total Texas 71,566,819 - ------------------------------------------------------------------------------------------------------------------------------------ UTAH - 4.1% (2.6% OF TOTAL INVESTMENTS) 3,565 Utah Associated Municipal Power Systems, Revenue Bonds, 4/13 at 100.00 AAA 3,700,720 Payson Power Project, Series 2003A, 5.000%, 4/01/24 - FSA Insured 16,050 Utah County, Utah, Hospital Revenue Bonds, IHC Health 7/08 at 101.00 AAA 16,173,745 Services Inc., Series 1997, 5.250%, 8/15/26 - MBIA Insured (ETM) - ------------------------------------------------------------------------------------------------------------------------------------ 19,615 Total Utah 19,874,465 - ------------------------------------------------------------------------------------------------------------------------------------ VERMONT - 2.0% (1.3% OF TOTAL INVESTMENTS) Vermont Educational and Health Buildings Financing Agency, Revenue Bonds, Fletcher Allen Health Care Inc., Series 2000A: 3,720 6.125%, 12/01/15 - AMBAC Insured 12/10 at 101.00 AAA 4,009,714 4,265 6.250%, 12/01/16 - AMBAC Insured 12/10 at 101.00 AAA 4,610,806 1,340 Vermont Housing Finance Agency, Single Family Housing Bonds, 11/09 at 100.00 AAA 1,356,938 Series 2000-13A, 5.950%, 11/01/25 - FSA Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 9,325 Total Vermont 9,977,458 - ------------------------------------------------------------------------------------------------------------------------------------ 38 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WASHINGTON - 3.8% (2.4% OF TOTAL INVESTMENTS) $ 8,810 Chelan County Public Utility District 1, Washington, Hydro 7/11 at 101.00 AAA $ 8,844,976 Consolidated System Revenue Bonds, Series 2001A, 5.600%, 1/01/36 - MBIA Insured (Alternative Minimum Tax) 7,225 Port of Seattle, Washington, Special Facility Revenue Bonds, 3/10 at 101.00 AAA 7,387,779 Terminal 18, Series 1999B, 6.000%, 9/01/20 - MBIA Insured (Alternative Minimum Tax) 2,500 Washington State Health Care Facilities Authority, Revenue No Opt. Call N/R 2,335,125 Bonds, Northwest Hospital and Medical Center of Seattle, Series 2007, 5.700%, 12/01/32 - ------------------------------------------------------------------------------------------------------------------------------------ 18,535 Total Washington 18,567,880 - ------------------------------------------------------------------------------------------------------------------------------------ WEST VIRGINIA - 1.0% (0.6% OF TOTAL INVESTMENTS) 5,000 Mason County, West Virginia, Pollution Control Revenue Bonds, 10/11 at 100.00 BBB 4,895,100 Appalachian Power Company, Series 2003L, 5.500%, 10/01/22 - ------------------------------------------------------------------------------------------------------------------------------------ WISCONSIN - 3.0% (1.9% OF TOTAL INVESTMENTS) 7,870 Badger Tobacco Asset Securitization Corporation, Wisconsin, 6/12 at 100.00 BBB 7,887,786 Tobacco Settlement Asset-Backed Bonds, Series 2002, 6.125%, 6/01/27 5,000 Madison, Wisconsin, Industrial Development Revenue 4/12 at 100.00 AA- 5,116,250 Refunding Bonds, Madison Gas and Electric Company Projects, Series 2002A, 5.875%, 10/01/34 (Alternative Minimum Tax) 2,100 Wisconsin Health and Educational Facilities Authority, Revenue 8/13 at 100.00 A- 1,778,028 Bonds, Wheaton Franciscan Services Inc., Series 2003A, 5.125%, 8/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ 14,970 Total Wisconsin 14,782,064 - ------------------------------------------------------------------------------------------------------------------------------------ $ 947,650 Total Investments (cost $748,498,836) - 156.2% 764,611,611 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (1.5)% (7,500,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.3% 11,533,974 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (57.0)% (5) (279,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $489,645,585 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of total investments is (36.5)%. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. (IF) Inverse floating rate investment. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 39 NQU Nuveen Quality Income Municipal Fund, Inc. Portfolio of INVESTMENTS April 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ ALABAMA - 3.3% (2.0% OF TOTAL INVESTMENTS) $ 3,500 Bessemer Governmental Utility Services Corporation, Alabama, 6/08 at 102.00 AAA $ 3,573,815 Water Supply Revenue Bonds, Series 1998, 5.200%, 6/01/24 - MBIA Insured Jefferson County, Alabama, Sewer Revenue Capitol Improvement Warrants, Series 2001A: 7,475 5.500%, 2/01/31 (Pre-refunded 2/01/11) - FGIC Insured 2/11 at 101.00 AAA 8,109,927 6,340 5.500%, 2/01/31 (Pre-refunded 2/01/11) - FGIC Insured 2/11 at 101.00 AAA 6,867,932 6,970 5.500%, 2/01/31 (Pre-refunded 2/01/11) - FGIC Insured 2/11 at 101.00 AAA 7,562,032 - ------------------------------------------------------------------------------------------------------------------------------------ 24,285 Total Alabama 26,113,706 - ------------------------------------------------------------------------------------------------------------------------------------ ALASKA - 1.9% (1.1% OF TOTAL INVESTMENTS) 6,110 Alaska Housing Finance Corporation, General Housing Purpose 12/14 at 100.00 AA 6,205,622 Bonds, Series 2005A, 5.000%, 12/01/27 - FGIC Insured 11,000 Northern Tobacco Securitization Corporation, Alaska, Tobacco 6/14 at 100.00 Baa3 8,594,850 Settlement Asset-Backed Bonds, Series 2006A, 5.000%, 6/01/46 - ------------------------------------------------------------------------------------------------------------------------------------ 17,110 Total Alaska 14,800,472 - ------------------------------------------------------------------------------------------------------------------------------------ ARIZONA - 1.9% (1.1% OF TOTAL INVESTMENTS) 5,350 Arizona Tourism and Sports Authority, Tax Revenue Bonds, 7/13 at 100.00 Aaa 5,427,468 Multipurpose Stadium Facility Project, Series 2003A, 5.000%, 7/01/28 - MBIA Insured 1,000 Mesa, Arizona, Utility System Revenue Refunding Bonds, No Opt. Call A+ 1,083,520 Series 2002, 5.250%, 7/01/17 - FGIC Insured 8,010 Salt River Project Agricultural Improvement and Power District, 1/12 at 101.00 Aa1 8,238,605 Arizona, Electric System Revenue Refunding Bonds, Series 2002A, 5.125%, 1/01/27 - ------------------------------------------------------------------------------------------------------------------------------------ 14,360 Total Arizona 14,749,593 - ------------------------------------------------------------------------------------------------------------------------------------ ARKANSAS - 0.9% (0.5% OF TOTAL INVESTMENTS) Arkansas Development Finance Authority, Tobacco Settlement Revenue Bonds, Arkansas Cancer Research Center Project, Series 2006: 2,500 0.000%, 7/01/36 - AMBAC Insured No Opt. Call Aaa 537,775 19,800 0.000%, 7/01/46 - AMBAC Insured No Opt. Call Aaa 2,333,034 4,000 University of Arkansas, Fayetteville, Revenue Bonds, Medical 11/14 at 100.00 Aaa 4,080,040 Sciences Campus, Series 2004B, 5.000%, 11/01/34 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 26,300 Total Arkansas 6,950,849 - ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA - 13.9% (8.5% OF TOTAL INVESTMENTS) 12,500 Anaheim Public Finance Authority, California, Subordinate No Opt. Call AAA 2,754,625 Lease Revenue Bonds, Public Improvement Project, Series 1997C, 0.000%, 9/01/35 - FSA Insured 1,000 California Department of Water Resources, Power Supply 5/12 at 101.00 Aaa 1,117,820 Revenue Bonds, Series 2002A, 5.750%, 5/01/17 (Pre-refunded 5/01/12) 6,000 California Health Facilities Financing Authority, Health Facility 3/13 at 100.00 A 5,657,820 Revenue Bonds, Adventist Health System/West, Series 2003A, 5.000%, 3/01/33 3,450 California Infrastructure Economic Development Bank, Revenue 10/11 at 101.00 A- 3,456,590 Bonds, J. David Gladstone Institutes, Series 2001, 5.250%, 10/01/34 25,000 California, General Obligation Bonds, Series 2005, 3/16 at 100.00 AA 24,736,750 4.750%, 3/01/35 - MBIA Insured (UB) 40 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA (continued) $ 1,360 California Statewide Community Development Authority, Revenue 7/15 at 100.00 BBB+ $ 1,259,251 Bonds, Daughters of Charity Health System, Series 2005A, 5.250%, 7/01/30 3,600 California Statewide Community Development Authority, Revenue 7/18 at 100.00 AA- 3,740,436 Bonds, St. Joseph Health System, Series 2007A, 5.750%, 7/01/47 - FGIC Insured 14,600 California, General Obligation Bonds, Series 2003, 8/13 at 100.00 A+ 14,989,382 5.250%, 2/01/28 16,000 California, General Obligation Bonds, 5.000%, 6/01/37 (UB) 6/17 at 100.00 A+ 15,998,080 10,000 California, Various Purpose General Obligation Bonds, 4/09 at 101.00 AAA 10,010,500 Series 1999, 4.750%, 4/01/29 - MBIA Insured 8,500 Foothill/Eastern Transportation Corridor Agency, California, 1/10 at 100.00 AAA 8,243,725 Toll Road Revenue Bonds, Series 1995A, 5.000%, 1/01/35 - MBIA Insured Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Bonds, Series 2007A-1: 10,000 5.000%, 6/01/33 6/17 at 100.00 BBB 8,538,700 1,500 5.125%, 6/01/47 6/17 at 100.00 BBB 1,213,965 30,000 San Joaquin Hills Transportation Corridor Agency, Orange County, No Opt. Call AAA 6,027,600 California, Toll Road Revenue Refunding Bonds, Series 1997A, 0.000%, 1/15/35 - MBIA Insured 3,000 San Mateo County Community College District, California, No Opt. Call AAA 935,850 General Obligation Bonds, Series 2006C, 0.000%, 9/01/30 - MBIA Insured 1,500 Tobacco Securitization Authority of Northern California, 6/15 at 100.00 BBB 1,296,225 Tobacco Settlement Asset-Backed Bonds, Series 2005A-1, 5.500%, 6/01/45 - ------------------------------------------------------------------------------------------------------------------------------------ 148,010 Total California 109,977,319 - ------------------------------------------------------------------------------------------------------------------------------------ COLORADO - 5.3% (3.3% OF TOTAL INVESTMENTS) 1,000 Colorado Health Facilities Authority, Revenue Bonds, Poudre 9/18 at 102.00 AAA 1,015,830 Valley Health System, Series 2005C, 5.250%, 3/01/40 - FSA Insured 10,000 Denver City and County, Colorado, Airport System Revenue 11/10 at 100.00 AAA 10,099,700 Refunding Bonds, Series 2000A, 5.625%, 11/15/23 - AMBAC Insured (Alternative Minimum Tax) 5,385 E-470 Public Highway Authority, Colorado, Senior Revenue No Opt. Call AAA 1,901,013 Bonds, Series 1997B, 0.000%, 9/01/26 - MBIA Insured 43,000 E-470 Public Highway Authority, Colorado, Senior Revenue No Opt. Call AAA 9,662,960 Bonds, Series 2000B, 0.000%, 9/01/33 - MBIA Insured 14,400 E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, 9/10 at 65.63 AAA 8,877,744 Series 2000B, 0.000%, 9/01/17 (Pre-refunded 9/01/10) - MBIA Insured 7,000 E-470 Public Highway Authority, Colorado, Toll Revenue Bonds, No Opt. Call AAA 1,475,460 Series 2004A, 0.000%, 9/01/34 - MBIA Insured 8,740 Larimer County School District R1, Poudre, Colorado, General 12/10 at 100.00 Aa3 (4) 9,311,596 Obligation Bonds, Series 2000, 5.125%, 12/15/19 (Pre-refunded 12/15/10) - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 89,525 Total Colorado 42,344,303 - ------------------------------------------------------------------------------------------------------------------------------------ CONNECTICUT - 0.6% (0.4% OF TOTAL INVESTMENTS) 4,395 Bridgeport, Connecticut, General Obligation Bonds, Series 2001C, 8/11 at 100.00 A- (4) 4,763,433 5.375%, 8/15/17 (Pre-refunded 8/15/11) - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ FLORIDA - 0.7% (0.4% OF TOTAL INVESTMENTS) 5,000 Orange County Health Facilities Authority, Florida, Hospital 11/10 at 101.00 A+ (4) 5,514,250 Revenue Bonds, Adventist Health System/Sunbelt Obligated Group, Series 2000, 6.500%, 11/15/30 (Pre-refunded 11/15/10) - ------------------------------------------------------------------------------------------------------------------------------------ HAWAII - 1.3% (0.8% OF TOTAL INVESTMENTS) 10,000 Hawaii Department of Transportation, Airport System Revenue 7/10 at 101.00 A2 10,472,600 Refunding Bonds, Series 2000B, 5.750%, 7/01/21 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 41 NQU Nuveen Quality Income Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ ILLINOIS - 15.9% (9.7% OF TOTAL INVESTMENTS) Chicago Board of Education, Illinois, Unlimited Tax General Obligation Bonds, Dedicated Revenues, Series 2001C: $ 1,000 5.500%, 12/01/18 (Pre-refunded 12/01/11) - FSA Insured 12/11 at 100.00 AAA $ 1,093,450 3,690 5.000%, 12/01/19 (Pre-refunded 12/01/11) - FSA Insured 12/11 at 100.00 AAA 3,972,248 3,000 5.000%, 12/01/20 (Pre-refunded 12/01/11) - FSA Insured 12/11 at 100.00 AAA 3,229,470 2,000 5.000%, 12/01/21 (Pre-refunded 12/01/11) - FSA Insured 12/11 at 100.00 AAA 2,152,980 Chicago Board of Education, Illinois, Unlimited Tax General Obligation Bonds, Dedicated Tax Revenues, Series 1998B-1: 9,400 0.000%, 12/01/14 - FGIC Insured No Opt. Call AA- 7,233,394 4,400 0.000%, 12/01/15 - FGIC Insured No Opt. Call AA- 3,210,284 32,670 Chicago, Illinois, General Obligation Bonds, City Colleges, No Opt. Call AA- 8,941,452 Series 1999, 0.000%, 1/01/32 - FGIC Insured Chicago, Illinois, General Obligation Bonds, Neighborhoods Alive 21 Program, Series 2000A: 680 6.000%, 1/01/28 (Pre-refunded 7/01/10) - FGIC Insured 7/10 at 101.00 AA- (4) 737,800 4,320 6.000%, 1/01/28 (Pre-refunded 7/01/10) - FGIC Insured 7/10 at 101.00 AA- (4) 4,687,200 190 Chicago, Illinois, General Obligation Bonds, Series 2002A, 7/12 at 100.00 AAA 197,553 5.000%, 1/01/18 - AMBAC Insured Chicago, Illinois, General Obligation Bonds, Series 2002A: 70 5.000%, 1/01/18 (Pre-refunded 7/01/12) - AMBAC Insured 7/12 at 100.00 AAA 75,660 6,190 5.000%, 1/01/18 (Pre-refunded 7/01/12) - AMBAC Insured 7/12 at 100.00 AAA 6,690,462 5,045 Chicago, Illinois, General Obligation Refunding Bonds, 1/10 at 101.00 AA- 5,237,265 Series 2000D, 5.750%, 1/01/30 - FGIC Insured 13,190 Chicago, Illinois, Revenue Bonds, Midway Airport, Series 1998A, 1/09 at 101.00 AAA 12,536,567 5.125%, 1/01/35 - MBIA Insured (Alternative Minimum Tax) Chicago, Illinois, Second Lien Wastewater Transmission Revenue Bonds, Series 2000: 8,000 5.750%, 1/01/25 (Pre-refunded 1/01/10) - MBIA Insured 1/10 at 101.00 AAA 8,520,080 7,750 6.000%, 1/01/30 (Pre-refunded 1/01/10) - MBIA Insured 1/10 at 101.00 AAA 8,285,370 Illinois Educational Facilities Authority, Student Housing Revenue Bonds, Educational Advancement Foundation Fund, University Center Project, Series 2002: 3,000 6.625%, 5/01/17 (Pre-refunded 5/01/12) 5/12 at 101.00 Aaa 3,433,680 1,800 6.000%, 5/01/22 (Pre-refunded 5/01/12) 5/12 at 101.00 Aaa 2,018,088 1,050 Illinois Finance Authority, General Obligation Debt Certificates, 12/14 at 100.00 Aaa 1,076,828 Local Government Program - Kankakee County, Series 2005B, 5.000%, 12/01/20 - AMBAC Insured 15,000 Illinois Finance Authority, Illinois, Northwestern University, 12/15 at 100.00 AAA 15,207,300 Revenue Bonds, Series 2006, 5.000%, 12/01/42 (UB) 2,000 Illinois Finance Authority, Revenue Bonds, Children's Memorial 8/18 at 100.00 AAA 1,957,500 Hospital, Series 2008A, 5.250%, 8/15/47 (WI/DD, Settling 5/15/08) - AGC Insured 1,000 Illinois Finance Authority, Revenue Bonds, Edward Health 2/18 at 100.00 AAA 1,025,710 Services Corporation, Series 2008A, 5.500%, 2/01/40 - AMBAC Insured 5,000 Illinois Finance Authority, Revenue Bonds, Northwestern 8/14 at 100.00 AA+ (4) 5,640,700 Memorial Hospital, Series 2004A, 5.500%, 8/15/43 (Pre-refunded 8/15/14) 10,000 Illinois Health Facilities Authority, Revenue Bonds, Iowa Health 2/10 at 101.00 AAA 10,459,600 System, Series 2000, 5.875%, 2/15/30 - AMBAC Insured (ETM) 5,000 Illinois, General Obligation Bonds, Illinois FIRST Program, 12/10 at 100.00 AAA 5,233,000 Series 2000, 5.450%, 12/01/21 - MBIA Insured 2,270 Metropolitan Pier and Exposition Authority, Illinois, Revenue 6/12 at 101.00 AAA 2,316,104 Bonds, McCormick Place Expansion Project, Series 2002A, 5.000%, 12/15/28 - MBIA Insured 986 Montgomery, Illinois, Lakewood Creek Project Special 3/16 at 100.00 AA 896,629 Assessment Bonds, Series 2007, 4.700%, 3/01/30 - RAAI Insured - ------------------------------------------------------------------------------------------------------------------------------------ 148,701 Total Illinois 126,066,374 - ------------------------------------------------------------------------------------------------------------------------------------ 42 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ INDIANA - 1.8% (1.1% OF TOTAL INVESTMENTS) $ 2,000 Indiana Health Facility Financing Authority, Hospital Revenue 3/14 at 100.00 AAA $ 2,037,420 Bonds, Deaconess Hospital Inc., Series 2004A, 5.375%, 3/01/34 - AMBAC Insured 3,240 Indiana Health Facility Financing Authority, Hospital Revenue 7/12 at 100.00 AAA 3,393,868 Bonds, Marion General Hospital, Series 2002, 5.625%, 7/01/19 - AMBAC Insured 2,400 Indiana Health Facility Financing Authority, Revenue Bonds, 5/15 at 100.00 AAA 2,400,000 Community Hospitals of Indiana, Series 2005A, 5.000%, 5/01/35 - AMBAC Insured 6,540 St. Joseph County Hospital Authority, Indiana, Revenue Bonds, 8/08 at 101.00 AAA 6,245,177 Memorial Health System, Series 1998A, 4.625%, 8/15/28 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 14,180 Total Indiana 14,076,465 - ------------------------------------------------------------------------------------------------------------------------------------ IOWA - 2.3% (1.4% OF TOTAL INVESTMENTS) 8,585 Iowa Finance Authority, Hospital Facilities Revenue Bonds, 7/08 at 102.00 AAA 8,799,968 Iowa Health System, Series 1998A, 5.125%, 1/01/28 (Pre-refunded 7/01/08) - MBIA Insured Iowa Tobacco Settlement Authority, Asset Backed Settlement Revenue Bonds, Series 2005C: 4,000 5.375%, 6/01/38 6/15 at 100.00 BBB 3,403,840 7,000 5.625%, 6/01/46 6/15 at 100.00 BBB 6,078,520 - ------------------------------------------------------------------------------------------------------------------------------------ 19,585 Total Iowa 18,282,328 - ------------------------------------------------------------------------------------------------------------------------------------ KANSAS - 0.8% (0.5% OF TOTAL INVESTMENTS) 4,585 Johnson County Unified School District 232, Kansas, General 9/10 at 100.00 Aaa 4,822,686 Obligation Bonds, Series 2000, 4.750%, 9/01/19 (Pre-refunded 9/01/10) - FSA Insured 1,750 Wamego, Kansas, Pollution Control Revenue Bonds, Kansas 6/14 at 100.00 AAA 1,776,443 Gas and Electric Company, Series 2004, 5.300%, 6/01/31 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 6,335 Total Kansas 6,599,129 - ------------------------------------------------------------------------------------------------------------------------------------ KENTUCKY - 0.3% (0.2% OF TOTAL INVESTMENTS) 2,500 Kentucky State Property and Buildings Commission, Revenue 2/12 at 100.00 AAA 2,716,825 Refunding Bonds, Project 74, Series 2002, 5.375%, 2/01/18 (Pre-refunded 2/01/12) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ LOUISIANA - 3.5% (2.2% OF TOTAL INVESTMENTS) 10,000 Louisiana Public Facilities Authority, Hospital Revenue Bonds, No Opt. Call AAA 11,239,700 Franciscan Missionaries of Our Lady Health System, Series 1998A, 5.750%, 7/01/25 - FSA Insured 9,000 Louisiana Public Facilities Authority, Revenue Bonds, Ochsner 5/17 at 100.00 A3 8,647,200 Clinic Foundation Project, Series 2007A, 5.500%, 5/15/47 5,500 Louisiana Public Facilities Authority, Revenue Bonds, Tulane 7/12 at 100.00 AAA 5,911,125 University, Series 2002A, 5.000%, 7/01/32 (Pre-refunded 7/01/12) - AMBAC Insured 2,600 Tobacco Settlement Financing Corporation, Louisiana, Tobacco 5/11 at 101.00 BBB 2,460,224 Settlement Asset-Backed Bonds, Series 2001B, 5.875%, 5/15/39 - ------------------------------------------------------------------------------------------------------------------------------------ 27,100 Total Louisiana 28,258,249 - ------------------------------------------------------------------------------------------------------------------------------------ MASSACHUSETTS - 8.1% (5.0% OF TOTAL INVESTMENTS) 7,405 Massachusetts Health and Educational Facilities Authority, No Opt. Call AAA 8,488,722 Revenue Bonds, Massachusetts Institute of Technology, Series 2002K, 5.500%, 7/01/32 6,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 6,008,640 Revenue Refunding Bonds, Ogden Haverhill Project, Series 1998A, 5.600%, 12/01/19 (Alternative Minimum Tax) 12,500 Massachusetts Turnpike Authority, Metropolitan Highway 7/08 at 101.00 AAA 12,508,125 System Revenue Bonds, Senior Series 1997A, 5.000%, 1/01/37 - MBIA Insured 13,500 Massachusetts Turnpike Authority, Metropolitan Highway 1/09 at 101.00 AAA 13,511,880 System Revenue Bonds, Subordinate Series 1999A, 5.000%, 1/01/39 - AMBAC Insured 1,375 Massachusetts Water Pollution Abatement Trust, Revenue 8/09 at 101.00 AAA 1,449,044 Bonds, MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29 (Pre-refunded 8/01/09) 43 NQU Nuveen Quality Income Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ MASSACHUSETTS (continued) $ 5,570 Massachusetts Water Pollution Abatement Trust, Revenue Bonds, 8/09 at 101.00 AAA $ 5,760,661 MWRA Loan Program, Subordinate Series 1999A, 5.750%, 8/01/29 10,000 Massachusetts Water Resources Authority, General Revenue 8/10 at 101.00 AA (4) 10,795,100 Bonds, Series 2000A, 5.750%, 8/01/39 (Pre-refunded 8/01/10) - FGIC Insured 5,730 University of Massachusetts Building Authority, Senior Lien 11/10 at 100.00 AAA 6,110,128 Project Revenue Bonds, Series 2000-2, 5.250%, 11/01/20 (Pre-refunded 11/01/10) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 62,080 Total Massachusetts 64,632,300 - ------------------------------------------------------------------------------------------------------------------------------------ MICHIGAN - 2.1% (1.3% OF TOTAL INVESTMENTS) 5,000 Detroit, Michigan, Second Lien Sewerage Disposal System 7/15 at 100.00 AAA 5,017,600 Revenue Bonds, Series 2005A, 5.000%, 7/01/35 - MBIA Insured 3,790 Michigan Municipal Bond Authority, General Obligation Bonds, 6/15 at 100.00 AAA 3,961,270 Detroit City School District, Series 2005, 5.000%, 6/01/20 - FSA Insured 7,425 Michigan State Hospital Finance Authority, Hospital Revenue 11/09 at 101.00 A1 (4) 7,897,601 Bonds, Henry Ford Health System, Series 1999A, 6.000%, 11/15/24 (Pre-refunded 11/15/09) - ------------------------------------------------------------------------------------------------------------------------------------ 16,215 Total Michigan 16,876,471 - ------------------------------------------------------------------------------------------------------------------------------------ MINNESOTA - 1.3% (0.8% OF TOTAL INVESTMENTS) Chaska, Minnesota, Electric Revenue Bonds, Generating Facility Project, Series 2000A: 1,930 6.000%, 10/01/20 (Pre-refunded 10/01/10) 10/10 at 100.00 A3 (4) 2,081,216 2,685 6.000%, 10/01/25 (Pre-refunded 10/01/10) 10/10 at 100.00 A3 (4) 2,895,370 3,655 Dakota and Washington Counties Housing and Redevelopment No Opt. Call AAA 5,109,909 Authority, Minnesota, GNMA Mortgage-Backed Securities Program Single Family Residential Mortgage Revenue Bonds, Series 1988, 8.450%, 9/01/19 (Alternative Minimum Tax) (ETM) - ------------------------------------------------------------------------------------------------------------------------------------ 8,270 Total Minnesota 10,086,495 - ------------------------------------------------------------------------------------------------------------------------------------ MISSISSIPPI - 0.6% (0.4% OF TOTAL INVESTMENTS) 1,875 Mississippi Hospital Equipment and Facilities Authority, Revenue 9/14 at 100.00 AA 1,884,975 Bonds, Baptist Memorial Healthcare, Series 2004B-1, 5.000%, 9/01/24 2,500 Mississippi Hospital Equipment and Facilities Authority, Revenue 1/11 at 101.00 Aaa 2,697,250 Bonds, Forrest County General Hospital, Series 2000, 5.500%, 1/01/27 (Pre-refunded 1/01/11) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,375 Total Mississippi 4,582,225 - ------------------------------------------------------------------------------------------------------------------------------------ MISSOURI - 1.6% (0.9% OF TOTAL INVESTMENTS) 15,000 Kansas City Municipal Assistance Corporation, Missouri, No Opt. Call AAA 5,290,800 Leasehold Revenue Bonds, Series 2004B-1, 0.000%, 4/15/28 - AMBAC Insured 2,400 Missouri-Illinois Metropolitan District Bi-State Development 10/13 at 100.00 AAA 2,508,672 Agency, Mass Transit Sales Tax Appropriation Bonds, Metrolink Cross County Extension Project, Series 2002B, 5.000%, 10/01/23 - FSA Insured 15,350 Springfield Public Building Corporation, Missouri, Lease Revenue No Opt. Call AAA 4,519,961 Bonds, Jordan Valley Park Projects, Series 2000A, 0.000%, 6/01/30 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 32,750 Total Missouri 12,319,433 - ------------------------------------------------------------------------------------------------------------------------------------ NEVADA - 6.2% (3.8% OF TOTAL INVESTMENTS) 34,470 Clark County School District, Nevada, General Obligation Bonds, 6/12 at 100.00 AAA 37,230,700 Series 2002C, 5.000%, 6/15/20 (Pre-refunded 6/15/12) - MBIA Insured 5,000 Director of Nevada State Department of Business and Industry, No Opt. Call AAA 1,852,350 Revenue Bonds, Las Vegas Monorail Project, First Tier, Series 2000, 0.000%, 1/01/23 - AMBAC Insured 10,000 Reno, Nevada, Health Facilities Revenue Bonds, Catholic 7/17 at 100.00 A 9,737,800 Healthcare West, Series 2007A, 5.250%, 7/01/31 (UB) - ------------------------------------------------------------------------------------------------------------------------------------ 49,470 Total Nevada 48,820,850 - ------------------------------------------------------------------------------------------------------------------------------------ 44 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ NEW JERSEY - 5.1% (3.1% OF TOTAL INVESTMENTS) $ 1,000 New Jersey Building Authority, State Building Revenue Bonds, 12/12 at 100.00 AAA $ 1,090,480 Series 2002A, 5.000%, 12/15/21 (Pre-refunded 12/15/12) - FSA Insured 2,150 New Jersey Health Care Facilities Financing Authority, Revenue 7/10 at 101.00 BBB- (4) 2,391,768 Bonds, Trinitas Hospital Obligated Group, Series 2000, 7.500%, 7/01/30 (Pre-refunded 7/01/10) 2,025 New Jersey Transportation Trust Fund Authority, Transportation 12/11 at 100.00 AAA 2,252,003 System Bonds, Series 2001B, 6.000%, 12/15/19 (Pre-refunded 12/15/11) - MBIA Insured 3,200 New Jersey Transportation Trust Fund Authority, Transportation 6/13 at 100.00 AAA 3,572,160 System Bonds, Series 2003C, 5.500%, 6/15/22 (Pre-refunded 6/15/13) New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2006C: 20,000 0.000%, 12/15/33 - FSA Insured No Opt. Call AAA 5,239,800 20,000 0.000%, 12/15/35 - AMBAC Insured No Opt. Call AAA 4,656,600 20,000 0.000%, 12/15/36 - AMBAC Insured No Opt. Call AAA 4,400,200 Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2002: 2,340 5.750%, 6/01/32 (Pre-refunded 6/01/12) 6/12 at 100.00 AAA 2,538,760 1,000 6.125%, 6/01/42 (Pre-refunded 6/01/12) 6/12 at 100.00 AAA 1,115,510 Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2003: 9,420 6.750%, 6/01/39 (Pre-refunded 6/01/13) 6/13 at 100.00 AAA 10,968,271 1,850 6.250%, 6/01/43 (Pre-refunded 6/01/13) 6/13 at 100.00 AAA 2,110,980 - ------------------------------------------------------------------------------------------------------------------------------------ 82,985 Total New Jersey 40,336,532 - ------------------------------------------------------------------------------------------------------------------------------------ NEW MEXICO - 0.8% (0.5% OF TOTAL INVESTMENTS) 5,925 New Mexico Hospital Equipment Loan Council, Hospital Revenue 8/11 at 101.00 AA- (4) 6,475,255 Bonds, Presbyterian Healthcare Services, Series 2001A, 5.500%, 8/01/21 (Pre-refunded 8/01/11) - ------------------------------------------------------------------------------------------------------------------------------------ NEW YORK - 17.5% (10.6% OF TOTAL INVESTMENTS) Dormitory Authority of the State of New York, Improvement Revenue Bonds, Mental Health Services Facilities, Series 2000B: 100 6.000%, 2/15/30 (Pre-refunded 2/15/10) - MBIA Insured 2/10 at 100.00 Aaa 106,454 65 6.000%, 2/15/30 (Pre-refunded 2/15/10) - MBIA Insured 2/10 at 100.00 AAA 69,159 1,005 6.000%, 2/15/30 (Pre-refunded 2/15/10) - MBIA Insured 2/10 at 100.00 AAA 1,069,863 8,830 6.000%, 2/15/30 (Pre-refunded 2/15/10) - MBIA Insured 2/10 at 100.00 AAA 9,399,888 275 Dormitory Authority of the State of New York, Insured Revenue 7/08 at 101.00 AAA 276,947 Bonds, Fordham University, Series 1998, 5.000%, 7/01/28 - MBIA Insured 2,250 Dormitory Authority of the State of New York, Insured Revenue No Opt. Call AAA 2,322,090 Bonds, Mount Sinai School of Medicine, Series 1994A, 5.150%, 7/01/24 - MBIA Insured 20,000 Erie County Tobacco Asset Securitization Corporation, New York, 7/10 at 101.00 AAA 21,693,399 Senior Tobacco Settlement Asset-Backed Bonds, Series 2000, 6.125%, 7/15/30 (Pre-refunded 7/15/10) 1,320 Hudson Yards Infrastructure Corporation, New York, Revenue 2/17 at 100.00 AAA 1,231,441 Bonds, Series 2006A, 4.500%, 2/15/47 - MBIA Insured 1,130 Long Island Power Authority, New York, Electric System General 9/11 at 100.00 AAA 1,227,960 Revenue Bonds, Series 2001A, 5.375%, 9/01/25 (Pre-refunded 9/01/11) 15,000 Metropolitan Transportation Authority, New York, Dedicated Tax 4/10 at 100.00 AA (4) 16,034,550 Fund Bonds, Series 2000A, 6.000%, 4/01/30 (Pre-refunded 4/01/10) - FGIC Insured 90 Metropolitan Transportation Authority, New York, Transportation 11/16 at 100.00 Aaa 84,883 Revenue Bonds, Series 2006B, Drivers 1662, 8.131%, 11/15/32 - FSA Insured (IF) 13,335 Metropolitan Transportation Authority, New York, Transportation 11/16 at 100.00 Aaa 13,082,302 Revenue Bonds, Series 2006B, 4.500%, 11/15/32 - FSA Insured (UB) 12,500 Nassau County Tobacco Settlement Corporation, New York, 7/09 at 101.00 AAA 13,245,375 Tobacco Settlement Asset-Backed Bonds, Series 1999A, 6.400%, 7/15/33 (Pre-refunded 7/15/09) 45 NQU Nuveen Quality Income Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ NEW YORK (continued) New York City Transitional Finance Authority, New York, Future Tax Secured Bonds, Fiscal Series 2000B: $ 8,035 5.750%, 11/15/19 (Pre-refunded 5/15/10) 5/10 at 101.00 AAA $ 8,659,721 2,065 5.750%, 11/15/19 (Pre-refunded 5/15/10) 5/10 at 101.00 AAA 2,225,554 New York City, New York, General Obligation Bonds, Fiscal Series 2002G: 950 5.000%, 8/01/17 8/12 at 100.00 AA 986,794 6,555 5.750%, 8/01/18 8/12 at 100.00 AAA 7,092,313 3,990 New York City, New York, General Obligation Bonds, Fiscal 8/12 at 100.00 AA (4) 4,444,222 Series 2002G, 5.750%, 8/01/18 (Pre-refunded 8/01/12) 5,000 New York City, New York, General Obligation Bonds, Fiscal 8/12 at 100.00 AA 5,455,500 Series 2003A, 5.750%, 8/01/16 New York State Environmental Facilities Corporation, State Clean Water and Drinking Water Revolving Funds Revenue Bonds, New York City Municipal Water Finance Authority Projects, Second Resolution Bonds, Series 2001C: 6,035 5.000%, 6/15/20 6/11 at 100.00 AAA 6,274,227 6,575 5.000%, 6/15/22 6/11 at 100.00 AAA 6,814,988 13,620 Port Authority of New York and New Jersey, Consolidated 11/12 at 101.00 AAA 14,333,279 Revenue Bonds, One Hundred Twenty-Eighth Series 2002, 5.000%, 11/01/20 - FSA Insured 2,250 United Nations Development Corporation, New York, Senior Lien 7/08 at 100.00 A3 2,253,330 Revenue Bonds, Series 2004A, 5.250%, 7/01/21 - ------------------------------------------------------------------------------------------------------------------------------------ 130,975 Total New York 138,384,239 - ------------------------------------------------------------------------------------------------------------------------------------ NORTH CAROLINA - 3.1% (1.9% OF TOTAL INVESTMENTS) 4,000 North Carolina Medical Care Commission, Health System 10/17 at 100.00 AA 3,699,680 Revenue Bonds, Mission St. Joseph's Health System, Series 2007, 4.500%, 10/01/31 665 North Carolina Medical Care Commission, Hospital Revenue 12/08 at 101.00 AAA 652,132 Bonds, Pitt County Memorial Hospital, Series 1998A, 4.750%, 12/01/28 - MBIA Insured 12,405 North Carolina Medical Care Commission, Hospital Revenue 12/08 at 101.00 AAA 12,721,079 Bonds, Pitt County Memorial Hospital, Series 1998A, 4.750%, 12/01/28 (Pre-refunded 12/01/08) - MBIA Insured 7,500 North Carolina Municipal Power Agency 1, Catawba Electric 1/13 at 100.00 AAA 7,857,825 Revenue Bonds, Series 2003A, 5.250%, 1/01/19 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 24,570 Total North Carolina 24,930,716 - ------------------------------------------------------------------------------------------------------------------------------------ OHIO - 4.4% (2.7% OF TOTAL INVESTMENTS) Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue Bonds, Senior Lien, Series 2007A-2: 180 5.125%, 6/01/24 6/17 at 100.00 BBB 169,547 1,800 5.875%, 6/01/30 6/17 at 100.00 BBB 1,674,900 1,740 5.750%, 6/01/34 6/17 at 100.00 BBB 1,572,943 5,430 5.875%, 6/01/47 6/17 at 100.00 BBB 4,805,116 Cincinnati City School District, Hamilton County, Ohio, General Obligation Bonds, Series 2002: 2,165 5.250%, 6/01/19 - FSA Insured 12/12 at 100.00 AAA 2,302,932 2,600 5.250%, 6/01/21 - FSA Insured 12/12 at 100.00 AAA 2,765,646 2,000 5.000%, 12/01/22 - FSA Insured 12/12 at 100.00 AAA 2,092,360 10,000 Columbus City School District, Franklin County, Ohio, General 12/16 at 100.00 AAA 9,389,500 Obligation Bonds, Series 2006, 4.250%, 12/01/32 - FSA Insured (UB) 10,350 Ohio Water Development Authority, Solid Waste Disposal 9/08 at 102.00 N/R 9,860,549 Revenue Bonds, Bay Shore Power, Series 1998A, 5.875%, 9/01/20 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 36,265 Total Ohio 34,633,493 - ------------------------------------------------------------------------------------------------------------------------------------ OKLAHOMA - 7.1% (4.3% OF TOTAL INVESTMENTS) 2,000 Oklahoma Municipal Power Authority, Power Supply System 1/17 at 100.00 A 1,774,880 Revenue Bonds, Series 2007, 4.500%, 1/01/47 - FGIC Insured 17,510 Pottawatomie County Home Finance Authority, Oklahoma, No Opt. Call AAA 19,757,233 Single Family Mortgage Revenue Bonds, Series 1991A, 8.625%, 7/01/10 (ETM) 46 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ OKLAHOMA (continued) $ 11,750 Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding 12/08 at 100.00 B $11,696,185 Bonds, American Airlines Inc., Series 2000B, 6.000%, 6/01/35 (Mandatory put 12/01/08) (Alternative Minimum Tax) 23,005 Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding 12/08 at 100.00 B 22,892,735 Bonds, American Airlines Inc., Series 2001B, 5.650%, 12/01/35 (Mandatory put 12/01/08) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 54,265 Total Oklahoma 56,121,033 - ------------------------------------------------------------------------------------------------------------------------------------ OREGON - 0.4% (0.3% OF TOTAL INVESTMENTS) 3,000 Deschutes County School District 1, Bend-La Pine, Oregon, 6/11 at 100.00 Aaa 3,252,720 General Obligation Bonds, Series 2001A, 5.500%, 6/15/18 (Pre-refunded 6/15/11) - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ PENNSYLVANIA - 3.7% (2.3% OF TOTAL INVESTMENTS) 2,875 Carbon County Industrial Development Authority, Pennsylvania, No Opt. Call BBB- 2,918,413 Resource Recovery Revenue Refunding Bonds, Panther Creek Partners Project, Series 2000, 6.650%, 5/01/10 (Alternative Minimum Tax) 1,960 Falls Township Hospital Authority, Pennsylvania, FHA-Insured 8/08 at 100.00 AAA 1,975,562 Revenue Refunding Bonds, Delaware Valley Medical Center, Series 1992, 7.000%, 8/01/22 1,500 Pennsylvania Housing Finance Agency, Single Family Mortgage 10/16 at 100.00 AA+ 1,329,570 Revenue Bonds, Series 96A, 4.650%, 10/01/31 (Alternative Minimum Tax) 2,600 Pennsylvania Turnpike Commission, Turnpike Revenue Bonds, 12/14 at 100.00 AAA 2,727,790 Series 2004A, 5.500%, 12/01/31 - AMBAC Insured 7,800 Philadelphia Gas Works, Pennsylvania, Revenue Bonds, General 8/13 at 100.00 AAA 7,881,900 Ordinance, Fourth Series 1998, 5.000%, 8/01/32 - FSA Insured Philadelphia School District, Pennsylvania, General Obligation Bonds, Series 2002B: 6,000 5.625%, 8/01/19 (Pre-refunded 8/01/12) - FGIC Insured 8/12 at 100.00 Aa3 (4) 6,643,080 5,500 5.625%, 8/01/20 (Pre-refunded 8/01/12) - FGIC Insured 8/12 at 100.00 Aa3 (4) 6,089,490 - ------------------------------------------------------------------------------------------------------------------------------------ 28,235 Total Pennsylvania 29,565,805 - ------------------------------------------------------------------------------------------------------------------------------------ PUERTO RICO - 5.0% (3.0% OF TOTAL INVESTMENTS) 2,500 Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, 7/18 at 100.00 BBB- 2,617,975 Senior Lien Series 2008A, 6.000%, 7/01/44 5,000 Puerto Rico Infrastructure Financing Authority, Special Tax No Opt. Call BBB+ 661,500 Revenue Bonds, Series 2005A, 0.000%, 7/01/42 - FGIC Insured 5,000 Puerto Rico Municipal Finance Agency, Series 2002A, 8/12 at 100.00 AAA 5,068,400 5.000%, 8/01/27 - FSA Insured 1,500 Puerto Rico Public Buildings Authority, Guaranteed Government 7/12 at 100.00 BBB- 1,499,220 Facilities Revenue Refunding Bonds, Series 2002D, 5.125%, 7/01/20 Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A: 50,000 0.000%, 8/01/47 - AMBAC Insured No Opt. Call AAA 5,515,000 55,000 0.000%, 8/01/54 - AMBAC Insured No Opt. Call AAA 3,989,150 15,000 Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue 8/17 at 100.00 A+ 15,031,350 Bonds, Series 2007A, 5.250%, 8/01/57 (UB) 1,500 Puerto Rico, General Obligation and Public Improvement Bonds, No Opt. Call AAA 1,532,010 Series 2001A, 5.500%, 7/01/29 3,840 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 3,709,286 Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ 139,340 Total Puerto Rico 39,623,891 - ------------------------------------------------------------------------------------------------------------------------------------ RHODE ISLAND - 0.2% (0.1% OF TOTAL INVESTMENTS) 1,500 Rhode Island Tobacco Settlement Financing Corporation, 6/12 at 100.00 BBB 1,448,715 Tobacco Settlement Asset-Backed Bonds, Series 2002A, 6.250%, 6/01/42 - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH CAROLINA - 9.5% (5.8% OF TOTAL INVESTMENTS) 24,725 Greenville County School District, South Carolina, Installment 12/12 at 101.00 AA- (4) 27,722,658 Purchase Revenue Bonds, Series 2002, 5.500%, 12/01/22 (Pre-refunded 12/01/12) 47 NQU Nuveen Quality Income Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH CAROLINA (continued) Horry County School District, South Carolina, General Obligation Bonds, Series 2001A: $ 5,840 5.000%, 3/01/20 3/12 at 100.00 Aa1 $ 6,095,091 5,140 5.000%, 3/01/21 3/12 at 100.00 Aa1 5,352,025 Medical University Hospital Authority, South Carolina, FHA-Insured Mortgage Revenue Bonds, Series 2004A: 5,240 5.250%, 8/15/20 - MBIA Insured 8/14 at 100.00 AAA 5,512,690 3,000 5.250%, 2/15/24 - MBIA Insured 8/14 at 100.00 AAA 3,103,620 13,615 South Carolina Transportation Infrastructure Bank, Junior Lien 10/11 at 100.00 Aaa 14,674,655 Revenue Bonds, Series 2001B, 5.125%, 10/01/21 (Pre-refunded 10/01/11) - AMBAC Insured 12,670 Tobacco Settlement Revenue Management Authority, 5/11 at 101.00 BBB 12,746,780 South Carolina, Tobacco Settlement Asset-Backed Bonds, Series 2001B, 6.375%, 5/15/28 - ------------------------------------------------------------------------------------------------------------------------------------ 70,230 Total South Carolina 75,207,519 - ------------------------------------------------------------------------------------------------------------------------------------ TENNESSEE - 0.4% (0.2% OF TOTAL INVESTMENTS) 3,000 Knox County Health, Educational and Housing Facilities Board, 4/12 at 101.00 Ba2 3,155,070 Tennessee, Hospital Revenue Bonds, Baptist Health System of East Tennessee Inc., Series 2002, 6.375%, 4/15/22 - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS - 17.9% (10.9% OF TOTAL INVESTMENTS) 535 Alamo Community College District, Bexar County, Texas, Combined 11/11 at 100.00 AAA 574,515 Fee Revenue Refunding Bonds, Series 2001, 5.375%, 11/01/16 - FSA Insured 465 Alamo Community College District, Bexar County, Texas, Combined 11/11 at 100.00 Aaa 505,739 Fee Revenue Refunding Bonds, Series 2001, 5.375%, 11/01/16 (Pre-refunded 11/01/11) - FSA Insured 6,500 Bell County Health Facilities Development Corporation, Texas, 11/08 at 101.00 AAA 6,672,315 Retirement Facility Revenue Bonds, Buckner Retirement Services Inc. Obligated Group, Series 1998, 5.250%, 11/15/19 (Pre-refunded 11/15/08) 11,255 Brazos River Authority, Texas, Pollution Control Revenue No Opt. Call Caa1 10,515,547 Refunding Bonds, TXU Electric Company, Series 2001C, 5.750%, 5/01/36 (Mandatory put 11/01/11) (Alternative Minimum Tax) 5,500 Central Texas Regional Mobility Authority, Travis and Williamson 1/15 at 100.00 BBB- 4,860,515 Counties, Toll Road Revenue Bonds, Series 2005, 5.000%, 1/01/45 - FGIC Insured 5,000 Dallas-Ft. Worth International Airport, Texas, Joint Revenue 11/11 at 100.00 A+ 5,050,550 Refunding and Improvement Bonds, Series 2001A, 5.625%, 11/01/21 - FGIC Insured (Alternative Minimum Tax) 2,700 Harris County-Houston Sports Authority, Texas, Senior Lien 11/11 at 100.00 AAA 2,725,947 Revenue Bonds, Series 2001G, 5.250%, 11/15/30 - MBIA Insured 22,500 Houston, Texas, Junior Lien Water and Sewerage System 12/10 at 100.00 AA (4) 23,812,199 Revenue Refunding Bonds, Series 2000B, 5.250%, 12/01/30 (Pre-refunded 12/01/10) - FGIC Insured 6,000 Leander Independent School District, Williamson and Travis 8/14 at 33.33 AAA 1,425,720 Counties, Texas, General Obligation Bonds, Series 2006, 0.000%, 8/15/34 Lubbock Health Facilities Development Corporation, Texas, Revenue Bonds, St. Joseph Health System, Series 1998: 4,900 5.250%, 7/01/15 7/08 at 101.00 AA- 4,968,600 8,495 5.250%, 7/01/16 7/08 at 101.00 AA- 8,600,253 17,655 Matagorda County Navigation District 1, Texas, Revenue 11/08 at 102.00 AAA 17,679,540 Refunding Bonds, Houston Industries Inc., Series 1998B, 5.150%, 11/01/29 - MBIA Insured 7,650 Port of Corpus Christi Authority, Nueces County, Texas, Revenue 5/08 at 100.00 BBB 7,660,940 Refunding Bonds, Union Pacific Corporation, Series 1992, 5.350%, 11/01/10 2,000 Sam Rayburn Municipal Power Agency, Texas, Power Supply 10/12 at 100.00 AA 2,095,840 System Revenue Refunding Bonds, Series 2002A, 5.750%, 10/01/21 - RAAI Insured 14,680 San Antonio Independent School District, Bexar County, Texas, 8/09 at 100.00 AAA 15,353,812 General Obligation Bonds, Series 1999, 5.800%, 8/15/29 (Pre-refunded 8/15/09) 11,300 San Antonio, Texas, Electric and Gas System Revenue Refunding No Opt. Call AAA 12,125,126 Bonds, New Series 1992, 5.000%, 2/01/17 (ETM) 48 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS (continued) $ 3,750 Spring Branch Independent School District, Harris County, 2/11 at 100.00 AAA $ 3,996,525 Texas, Limited Tax Schoolhouse and Refunding Bonds, Series 2001, 5.125%, 2/01/23 (Pre-refunded 2/01/11) 2,920 Tarrant County Cultural and Education Facilities Financing 11/17 at 100.00 AA- 2,650,104 Corporation, Texas, Revenue Bonds, Tarrant County Health Resources, Series 2007B, Residuals 1831, 9.802%, 11/15/47 (IF) White Settlement Independent School District, Tarrant County, Texas, General Obligation Bonds, Series 2006: 9,110 0.000%, 8/15/38 8/15 at 30.30 AAA 1,670,410 9,110 0.000%, 8/15/39 8/15 at 28.63 AAA 1,575,119 6,610 0.000%, 8/15/42 8/15 at 24.42 AAA 953,426 7,110 0.000%, 8/15/43 8/15 at 23.11 AAA 966,249 5,000 Wichita Falls, Wichita County, Texas, Priority Lien Water and 8/11 at 100.00 AAA 5,355,950 Sewerage System Revenue Bonds, Series 2001, 5.000%, 8/01/22 (Pre-refunded 8/01/11) - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 170,745 Total Texas 141,794,941 - ------------------------------------------------------------------------------------------------------------------------------------ UTAH - 1.7% (1.0% OF TOTAL INVESTMENTS) 5,800 Carbon County, Utah, Solid Waste Disposal Revenue Refunding 8/08 at 100.00 BB- 5,818,328 Bonds, Laidlaw/ECDC Project, Guaranteed by Allied Waste Industries, Series 1995, 7.500%, 2/01/10 (Alternative Minimum Tax) 7,155 Utah Associated Municipal Power Systems, Revenue Bonds, 4/13 at 100.00 AAA 7,370,866 Payson Power Project, Series 2003A, 5.000%, 4/01/25 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 12,955 Total Utah 13,189,194 - ------------------------------------------------------------------------------------------------------------------------------------ VIRGINIA - 2.1% (1.3% OF TOTAL INVESTMENTS) 4,000 Norfolk Airport Authority, Virginia, Airport Revenue Refunding 7/11 at 100.00 A3 3,804,560 Bonds, Series 2001B, 5.125%, 7/01/31 - FGIC Insured (Alternative Minimum Tax) 11,040 Suffolk Redevelopment and Housing Authority, Virginia, No Opt. Call Aaa 11,579,304 FNMA Multifamily Housing Revenue Refunding Bonds, Windsor at Potomac Vista L.P. Project, Series 2001, 4.850%, 7/01/31 (Mandatory put 7/01/11) 665 Virginia Housing Development Authority, Rental Housing Bonds, 5/09 at 101.00 AA+ 674,742 Series 1999F, 5.000%, 5/01/15 (Alternative Minimum Tax) Virginia Resources Authority, Water System Revenue Refunding Bonds, Series 2002: 500 5.000%, 4/01/18 4/12 at 102.00 AA 530,930 500 5.000%, 4/01/19 4/12 at 102.00 AA 529,350 - ------------------------------------------------------------------------------------------------------------------------------------ 16,705 Total Virginia 17,118,886 - ------------------------------------------------------------------------------------------------------------------------------------ WASHINGTON - 9.2% (5.6% OF TOTAL INVESTMENTS) 6,750 Energy Northwest, Washington, Electric Revenue Refunding 7/12 at 100.00 AAA 7,163,708 Bonds, Columbia Generating Station - Nuclear Project 2, Series 2002B, 5.350%, 7/01/18 - FSA Insured 2,500 Energy Northwest, Washington, Electric Revenue Refunding 7/12 at 100.00 AAA 2,715,825 Bonds, Columbia Generating Station - Nuclear Project 2, Series 2002C, 5.750%, 7/01/17 - MBIA Insured 6,950 Port of Seattle, Washington, Revenue Bonds, Series 2000B, 8/10 at 100.00 AAA 7,005,531 5.625%, 2/01/24 - MBIA Insured (Alternative Minimum Tax) 13,400 Seattle, Washington, Municipal Light and Power Revenue Bonds, 12/10 at 100.00 Aa3 13,918,848 Series 2000, 5.400%, 12/01/25 5,000 Washington State Healthcare Facilities Authority, Revenue Bonds, 10/16 at 100.00 AA 4,747,600 Providence Health Care Services, Series 2006A, 4.625%, 10/01/34 - FGIC Insured 3,265 Washington State Tobacco Settlement Authority, Tobacco 6/13 at 100.00 BBB 3,331,149 Settlement Asset-Backed Revenue Bonds, Series 2002, 6.500%, 6/01/26 18,145 Washington, General Obligation Bonds, Series 2001-02A, 7/11 at 100.00 AAA 18,788,422 5.000%, 7/01/23 - FSA Insured Washington, Motor Vehicle Fuel Tax General Obligation Bonds, Series 2002C: 7,000 5.000%, 1/01/21 - FSA Insured 1/12 at 100.00 AAA 7,285,810 7,960 5.000%, 1/01/22 - FSA Insured 1/12 at 100.00 AAA 8,256,271 - ------------------------------------------------------------------------------------------------------------------------------------ 70,970 Total Washington 73,213,164 - ------------------------------------------------------------------------------------------------------------------------------------ 49 NQU Nuveen Quality Income Municipal Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WISCONSIN - 1.6% (1.0% OF TOTAL INVESTMENTS) $ 180 Badger Tobacco Asset Securitization Corporation, Wisconsin, 6/12 at 100.00 BBB $ 180,407 Tobacco Settlement Asset-Backed Bonds, Series 2002, 6.125%, 6/01/27 7,545 La Crosse, Wisconsin, Pollution Control Revenue Refunding 12/08 at 102.00 Aaa 7,821,373 Bonds, Dairyland Power Cooperative, Series 1997A, 5.450%, 9/01/14 - AMBAC Insured 3,000 Wisconsin Health and Educational Facilities Authority, Revenue 5/14 at 100.00 BBB+ 2,932,110 Bonds, Fort Healthcare Inc., Series 2004, 5.750%, 5/01/29 2,100 Wisconsin Health and Educational Facilities Authority, Revenue 8/13 at 100.00 A- 1,778,027 Bonds, Wheaton Franciscan Services Inc., Series 2003A, 5.125%, 8/15/33 - ------------------------------------------------------------------------------------------------------------------------------------ 12,825 Total Wisconsin 12,711,917 - ------------------------------------------------------------------------------------------------------------------------------------ $ 1,595,036 Total Investments (cost $1,252,655,479) - 164.0% 1,300,166,759 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (9.2)% (72,960,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 2.2% 17,455,926 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (57.0)% (5) (452,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 792,662,685 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Preferred Shares, at Liquidation Value as a percentage of total investments is (34.8)%. N/R Not rated. WI/DD Purchased on a when-issued or delayed delivery basis. (ETM) Escrowed to maturity. (IF) Inverse floating rate investment. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 50 NPF Nuveen Premier Municipal Income Fund, Inc. Portfolio of INVESTMENTS April 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ ALABAMA - 1.6% (0.9% OF TOTAL INVESTMENTS) $ 2,000 Alabama Special Care Facilities Financing Authority, Revenue 11/16 at 100.00 Aa1 $ 1,970,600 Bonds, Ascension Health, Series 2006C-2, 5.000%, 11/15/39 Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health System Inc., Series 2005A: 1,200 5.250%, 11/15/20 11/15 at 100.00 Baa1 1,167,744 400 5.000%, 11/15/30 11/15 at 100.00 Baa1 348,236 1,000 Montgomery BMC Special Care Facilities Financing Authority, 11/14 at 100.00 A3 (4) 1,110,960 Alabama, Revenue Bonds, Baptist Medical Center, Series 2004C, 5.250%, 11/15/29 (Pre-refunded 11/15/14) - ------------------------------------------------------------------------------------------------------------------------------------ 4,600 Total Alabama 4,597,540 - ------------------------------------------------------------------------------------------------------------------------------------ ALASKA - 1.0% (0.6% OF TOTAL INVESTMENTS) 2,000 Alaska Housing Finance Corporation, General Mortgage Revenue 6/09 at 101.00 AAA 2,033,500 Bonds, Series 1999A, 6.000%, 6/01/49 - MBIA Insured 1,000 Northern Tobacco Securitization Corporation, Alaska, Tobacco 6/14 at 100.00 Baa3 781,350 Settlement Asset-Backed Bonds, Series 2006A, 5.000%, 6/01/46 - ------------------------------------------------------------------------------------------------------------------------------------ 3,000 Total Alaska 2,814,850 - ------------------------------------------------------------------------------------------------------------------------------------ ARIZONA - 7.5% (4.2% OF TOTAL INVESTMENTS) Glendale Industrial Development Authority, Arizona, Revenue Bonds, John C. Lincoln Health Network, Series 2005B: 100 5.250%, 12/01/24 12/15 at 100.00 BBB 98,688 135 5.250%, 12/01/25 12/15 at 100.00 BBB 132,412 7,000 Phoenix, Arizona, Civic Improvement Revenue Bonds, Civic Plaza, No Opt. Call AA 5,436,270 Series 2005B, 0.000%, 7/01/39 - FGIC Insured 7,500 Salt River Project Agricultural Improvement and Power District, 1/13 at 100.00 Aa1 7,706,775 Arizona, Electric System Revenue Bonds, Series 2002B, 5.000%, 1/01/25 6,000 Salt River Project Agricultural Improvement and Power District, 1/12 at 101.00 Aa1 6,460,620 Arizona, Electric System Revenue Refunding Bonds, Series 2002A, 5.250%, 1/01/15 1,200 Salt Verde Financial Corporation, Arizona, Senior Gas Revenue No Opt. Call AA- 1,077,360 Bonds, Series 2007, 5.000%, 12/01/37 - ------------------------------------------------------------------------------------------------------------------------------------ 21,935 Total Arizona 20,912,125 - ------------------------------------------------------------------------------------------------------------------------------------ ARKANSAS - 1.7% (1.0% OF TOTAL INVESTMENTS) 4,655 Arkansas Development Finance Authority, State Facility 11/15 at 100.00 AAA 4,831,843 Revenue Bonds, Department of Correction Special Needs Unit Project, Series 2005B, 5.000%, 11/01/25 - FSA Insured 14 Stuttgart Public Facilities Board, Arkansas, Single Family Mortgage 7/08 at 100.00 Aaa 13,905 Revenue Refunding Bonds, Series 1993A, 7.900%, 9/01/11 - ------------------------------------------------------------------------------------------------------------------------------------ 4,669 Total Arkansas 4,845,748 - ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA - 24.5% (13.6% OF TOTAL INVESTMENTS) 10,000 Anaheim Public Finance Authority, California, Public Improvement 9/17 at 100.00 A 8,855,498 Project Lease Bonds, Series 2007A-1, 4.375%, 3/01/37 - FGIC Insured 5,690 California Department of Veterans Affairs, Home Purchase 6/12 at 101.00 AAA 5,988,953 Revenue Bonds, Series 2002A, 5.300%, 12/01/21 - AMBAC Insured 51 NPF Nuveen Premier Municipal Income Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA (continued) $ 1,350 California Educational Facilities Authority, Revenue Bonds, 10/15 at 100.00 AA+ $ 1,363,406 University of Southern California, Series 2005, 4.750%, 10/01/28 1,975 California Health Facilities Financing Authority, Revenue Bonds, No Opt. Call A 2,069,978 Catholic Healthcare West, Series 2004I, 4.950%, 7/01/26 (Mandatory put 7/01/14) 8,000 California Infrastructure Economic Development Bank, First Lien No Opt. Call AAA 8,545,120 Revenue Bonds, San Francisco Bay Area Toll Bridge, Series 2003A, 5.000%, 7/01/33 (Pre-refunded 1/01/28) - AMBAC Insured (UB) 500 California Statewide Community Development Authority, 7/15 at 100.00 BBB+ 430,450 Revenue Bonds, Daughters of Charity Health System, Series 2005A, 5.000%, 7/01/39 1,600 California Statewide Community Development Authority, 8/16 at 100.00 A+ 1,596,672 Revenue Bonds, Kaiser Permanente System, Series 2001C, 5.250%, 8/01/31 California, General Obligation Bonds, Series 2004: 4,000 5.000%, 2/01/23 2/14 at 100.00 A+ 4,079,800 4,900 5.000%, 6/01/23 - AMBAC Insured 12/14 at 100.00 AAA 5,038,131 1,000 Chula Vista, California, Industrial Development Revenue Bonds, 6/14 at 102.00 A2 1,018,380 San Diego Gas and Electric Company, Series 1996A, 5.300%, 7/01/21 28,000 Foothill/Eastern Transportation Corridor Agency, California, No Opt. Call AAA 19,778,638 Toll Road Revenue Bonds, Series 1995A, 0.000%, 1/01/17 (ETM) 3,500 Golden State Tobacco Securitization Corporation, California, 6/17 at 100.00 BBB 2,832,585 Enhanced Tobacco Settlement Asset-Backed Bonds, Series 2007A-1, 5.125%, 6/01/47 450 Golden State Tobacco Securitization Corporation, California, 6/13 at 100.00 AAA 518,486 Tobacco Settlement Asset-Backed Bonds, Series 2003A-1, 6.750%, 6/01/39 (Pre-refunded 6/01/13) 6,005 Los Angeles Unified School District, California, General 7/15 at 100.00 AAA 6,272,943 Obligation Bonds, Series 2005E, 5.000%, 7/01/22 - AMBAC Insured San Diego County, California, Certificates of Participation, Burnham Institute, Series 2006: 100 5.000%, 9/01/21 9/15 at 102.00 Baa3 96,087 110 5.000%, 9/01/23 9/15 at 102.00 Baa3 103,853 - ------------------------------------------------------------------------------------------------------------------------------------ 77,180 Total California 68,588,980 - ------------------------------------------------------------------------------------------------------------------------------------ COLORADO - 11.1% (6.2% OF TOTAL INVESTMENTS) 1,000 Colorado Health Facilities Authority, Revenue Bonds, Evangelical 6/16 at 100.00 A- 941,570 Lutheran Good Samaritan Society, Series 2005, 5.000%, 6/01/29 1,150 Colorado Health Facilities Authority, Revenue Bonds, Parkview 9/14 at 100.00 A3 1,129,001 Medical Center, Series 2004, 5.000%, 9/01/25 400 Colorado Health Facilities Authority, Revenue Bonds, 3/15 at 100.00 BBB+ 381,148 Poudre Valley Health Care, Series 2005F, 5.000%, 3/01/25 1,000 Colorado Health Facilities Authority, Revenue Bonds, 12/09 at 101.00 Aaa 1,063,020 Poudre Valley Healthcare Inc., Series 1999A, 5.750%, 12/01/23 (Pre-refunded 12/01/09) - FSA Insured 750 Colorado Health Facilities Authority, Revenue Bonds, Vail Valley 1/15 at 100.00 BBB+ 756,750 Medical Center, Series 2004, 5.000%, 1/15/17 Denver City and County, Colorado, Airport Revenue Bonds Series 2006: 11,060 5.000%, 11/15/23 - FGIC Insured (UB) 11/16 at 100.00 A+ 11,113,199 6,800 5.000%, 11/15/24 - FGIC Insured (UB) 11/16 at 100.00 A+ 6,801,632 8,940 5.000%, 11/15/25 - FGIC Insured (UB) 11/16 at 100.00 A+ 8,898,608 - ------------------------------------------------------------------------------------------------------------------------------------ 31,100 Total Colorado 31,084,928 - ------------------------------------------------------------------------------------------------------------------------------------ CONNECTICUT - 0.7% (0.4% OF TOTAL INVESTMENTS) 2,020 Connecticut Development Authority, Pollution Control Revenue 10/08 at 102.00 Baa1 2,030,403 Refunding Bonds, Connecticut Light and Power Company, Series 1993A, 5.850%, 9/01/28 - ------------------------------------------------------------------------------------------------------------------------------------ 52 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ FLORIDA - 1.8% (1.0% OF TOTAL INVESTMENTS) $ 1,700 Hillsborough County Industrial Development Authority, Florida, 4/10 at 101.00 N/R $ 1,655,800 Exempt Facilities Remarketed Revenue Bonds, National Gypsum Company, Apollo Beach Project, Series 2000B, 7.125%, 4/01/30 (Alternative Minimum Tax) 2,500 Hillsborough County Industrial Development Authority, Florida, 10/12 at 100.00 Baa2 2,539,300 Pollution Control Revenue Bonds, Tampa Electric Company Project, Series 2002, 5.100%, 10/01/13 1,000 South Miami Health Facilities Authority, Florida, Hospital 8/17 at 100.00 AA- 975,890 Revenue, Baptist Health System Obligation Group, Series 2007, 5.000%, 8/15/42 - ------------------------------------------------------------------------------------------------------------------------------------ 5,200 Total Florida 5,170,990 - ------------------------------------------------------------------------------------------------------------------------------------ GEORGIA - 4.5% (2.5% OF TOTAL INVESTMENTS) 8,050 George L. Smith II World Congress Center Authority, Atlanta, 7/10 at 101.00 AAA 8,146,037 Georgia, Revenue Refunding Bonds, Domed Stadium Project, Series 2000, 5.500%, 7/01/20 - MBIA Insured (Alternative Minimum Tax) 4,105 Municipal Electric Authority of Georgia, Combustion Turbine 11/13 at 100.00 AAA 4,386,439 Revenue Bonds, Series 2003A, 5.125%, 11/01/17 - MBIA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 12,155 Total Georgia 12,532,476 - ------------------------------------------------------------------------------------------------------------------------------------ HAWAII - 0.8% (0.4% OF TOTAL INVESTMENTS) 2,250 Hawaii Department of Budget and Finance, Special Purpose 1/09 at 101.00 AAA 2,286,878 Revenue Bonds, Hawaiian Electric Company Inc., Series 1999D, 6.150%, 1/01/20 - AMBAC Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ IDAHO - 0.2% (0.1% OF TOTAL INVESTMENTS) 85 Idaho Housing and Finance Association, Single Family Mortgage 7/08 at 100.00 Aa1 87,509 Bonds, Series 1996E, 6.350%, 7/01/14 (Alternative Minimum Tax) 500 Madison County, Idaho, Hospital Revenue Certificates of 9/16 at 100.00 BBB- 452,925 Participation, Madison Memorial Hospital, Series 2006, 5.250%, 9/01/26 - ------------------------------------------------------------------------------------------------------------------------------------ 585 Total Idaho 540,434 - ------------------------------------------------------------------------------------------------------------------------------------ ILLINOIS - 13.7% (7.6% OF TOTAL INVESTMENTS) 8,300 Chicago Greater Metropolitan Area Sanitary District, Illinois, 12/16 at 100.00 AAA 9,259,895 General Obligation Bonds, Series 2006, 5.000%, 12/01/35 (UB) 655 Chicago Public Building Commission, Illinois, General Obligation No Opt. Call AAA 732,945 Lease Certificates, Chicago Board of Education, Series 1990B, 7.000%, 1/01/15 - MBIA Insured (ETM) 8,670 Chicago, Illinois, General Obligation Bonds, City Colleges, No Opt. Call AA- 3,837,342 Series 1999, 0.000%, 1/01/24 - FGIC Insured 8,500 Chicago, Illinois, Senior Lien Water Revenue Bonds, Series 2001, No Opt. Call AAA 9,731,308 5.750%, 11/01/30 - AMBAC Insured (5) 200 Illinois Finance Authority, Revenue Bonds, Proctor Hospital, 1/16 at 100.00 BBB- 182,096 Series 2006, 5.125%, 1/01/25 1,000 Illinois Health Facilities Authority, Revenue Bonds, Condell 5/12 at 100.00 Baa3 956,340 Medical Center, Series 2002, 5.500%, 5/15/32 1,500 Illinois, General Obligation Bonds, Illinois FIRST Program, 2/12 at 100.00 AA 1,603,845 Series 2002, 5.500%, 2/01/17 - FGIC Insured Lombard Public Facilities Corporation, Illinois, Second Tier Conference Center and Hotel Revenue Bonds, Series 2005B: 850 5.250%, 1/01/25 1/16 at 100.00 AA- 856,341 1,750 5.250%, 1/01/30 1/16 at 100.00 AA- 1,725,360 Metropolitan Pier and Exposition Authority, Illinois, Revenue Refunding Bonds, McCormick Place Expansion Project, Series 1996A: 10,575 0.000%, 12/15/23 - MBIA Insured No Opt. Call AAA 4,873,489 10,775 0.000%, 12/15/24 - MBIA Insured No Opt. Call AAA 4,694,883 - ------------------------------------------------------------------------------------------------------------------------------------ 52,775 Total Illinois 38,453,844 - ------------------------------------------------------------------------------------------------------------------------------------ 53 NPF Nuveen Premier Municipal Income Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ INDIANA - 3.1% (1.8% OF TOTAL INVESTMENTS) $ 2,275 Anderson School Building Corporation, Madison County, Indiana, 1/14 at 100.00 AAA $ 2,548,796 First Mortgage Bonds, Series 2003, 5.500%, 7/15/23 (Pre-refunded 1/15/14) - FSA Insured 6,180 Crown Point Multi-School Building Corporation, Indiana, No Opt. Call AAA 2,993,283 First Mortgage Bonds, Crown Point Community School Corporation, Series 2000, 0.000%, 1/15/23 - MBIA Insured 1,250 Portage, Indiana, Revenue Bonds, Series 2006, 5.000%, 7/15/23 7/16 at 100.00 BBB+ 1,152,713 1,000 St. Joseph County Hospital Authority, Indiana, Revenue Bonds, 2/15 at 100.00 BBB 906,180 Madison Center Inc., Series 2005, 5.250%, 2/15/28 1,190 St. Joseph County PHM Elementary/Middle School Building No Opt. Call A 1,210,278 Corporation, Indiana, First Mortgage Bonds, Series 1994, 6.300%, 1/15/09 - ------------------------------------------------------------------------------------------------------------------------------------ 11,895 Total Indiana 8,811,250 - ------------------------------------------------------------------------------------------------------------------------------------ IOWA - 1.2% (0.7% OF TOTAL INVESTMENTS) 4,000 Iowa Tobacco Settlement Authority, Asset Backed Settlement 6/15 at 100.00 BBB 3,420,240 Revenue Bonds, Series 2005C, 5.500%, 6/01/42 - ------------------------------------------------------------------------------------------------------------------------------------ KENTUCKY - 0.2% (0.1% OF TOTAL INVESTMENTS) 510 Louisville and Jefferson County Metropolitan Government, 10/16 at 100.00 N/R 478,196 Kentucky, Industrial Building Revenue Bonds, Sisters of Mercy of the Americas, Series 2006, 5.000%, 10/01/35 - ------------------------------------------------------------------------------------------------------------------------------------ LOUISIANA - 6.2% (3.5% OF TOTAL INVESTMENTS) 1,310 Louisiana Housing Finance Agency, GNMA Collateralized 9/08 at 100.00 AAA 1,321,214 Mortgage Revenue Bonds, St. Dominic Assisted Care Facility, Series 1995, 6.850%, 9/01/25 1,500 Louisiana Public Facilities Authority, Revenue Bonds, Ochsner 5/17 at 100.00 A3 1,441,200 Clinic Foundation Project, Series 2007A, 5.500%, 5/15/47 Louisiana State, Gasoline and Fuels Tax Revenue Bonds, Series 2006: 825 4.750%, 5/01/39 - FSA Insured (UB) 5/16 at 100.00 AAA 815,768 8,880 4.500%, 5/01/41 - FGIC Insured (UB) 5/16 at 100.00 AA- 8,413,000 5 Louisiana State, Gasoline Tax Revenue Bonds, Series 2006, 5/16 at 100.00 AA- 4,211 Residuals 660-3, 5.082%, 5/01/41 - FGIC Insured (IF) 3,950 Morehouse Parish, Louisiana, Pollution Control Revenue Bonds, No Opt. Call BBB 4,086,117 International Paper Company, Series 2002A, 5.700%, 4/01/14 1,375 Tobacco Settlement Financing Corporation, Louisiana, Tobacco 5/11 at 101.00 BBB 1,301,080 Settlement Asset-Backed Bonds, Series 2001B, 5.875%, 5/15/39 - ------------------------------------------------------------------------------------------------------------------------------------ 17,845 Total Louisiana 17,382,590 - ------------------------------------------------------------------------------------------------------------------------------------ MAINE - 1.3% (0.7% OF TOTAL INVESTMENTS) 3,620 Maine State Housing Authority, Single Family Mortgage Purchase 5/13 at 100.00 AA+ 3,653,775 Bonds, Series 2004A-2, 5.000%, 11/15/21 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ MARYLAND - 1.3% (0.7% OF TOTAL INVESTMENTS) 2,000 Maryland Health and Higher Educational Facilities Authority, 8/14 at 100.00 A- 2,014,680 Revenue Bonds, MedStar Health, Series 2004, 5.375%, 8/15/24 1,550 Maryland Health and Higher Educational Facilities Authority, 7/16 at 100.00 AA 1,523,914 Revenue Bonds, Western Maryland Health, Series 2006A, 4.750%, 7/01/36 - MBIA Insured (UB) - ------------------------------------------------------------------------------------------------------------------------------------ 3,550 Total Maryland 3,538,594 - ------------------------------------------------------------------------------------------------------------------------------------ MASSACHUSETTS - 1.5% (0.9% OF TOTAL INVESTMENTS) 1,000 Massachusetts Development Finance Authority, Revenue Bonds, 10/14 at 100.00 BBB 1,005,830 Hampshire College, Series 2004, 5.625%, 10/01/24 54 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ MASSACHUSETTS (continued) $ 3,000 Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, 1/14 at 100.00 A (4) $ 3,273,360 Series 2004, 5.250%, 1/01/24 (Pre-refunded 1/01/14) - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 4,000 Total Massachusetts 4,279,190 - ------------------------------------------------------------------------------------------------------------------------------------ MICHIGAN - 4.2% (2.3% OF TOTAL INVESTMENTS) 2,925 Detroit, Michigan, General Obligation Bonds, Series 2003A, 4/13 at 100.00 A- 3,038,783 5.250%, 4/01/17 - XLCA Insured 4,600 Detroit, Michigan, Sewer Disposal System Revenue Bonds, 7/16 at 100.00 A 4,292,260 Second Lien, Series 2006B, 4.625%, 7/01/34 - FGIC Insured 1,000 Michigan State Hospital Finance Authority, Revenue Bonds, 12/16 at 100.00 AA 997,210 Trinity Health Care Group, Series 2006A, 5.000%, 12/01/31 170 Monroe County Hospital Finance Authority, Michigan, Mercy 6/16 at 100.00 Baa3 146,441 Memorial Hospital Corporation Revenue Bonds, Series 2006, 5.500%, 6/01/35 3,025 Wayne County, Michigan, Airport Revenue Refunding Bonds, 12/12 at 100.00 A2 3,165,965 Detroit Metropolitan Airport, Series 2002C, 5.375%, 12/01/19 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 11,720 Total Michigan 11,640,659 - ------------------------------------------------------------------------------------------------------------------------------------ MINNESOTA - 5.3% (2.9% OF TOTAL INVESTMENTS) 4,350 Cohasset, Minnesota, Pollution Control Revenue Bonds, Allete Inc., 7/14 at 100.00 A- 4,274,093 Series 2004, 4.950%, 7/01/22 1,000 Duluth Economic Development Authority, Minnesota, Healthcare 2/14 at 100.00 A- (4) 1,105,320 Facilities Revenue Bonds, Benedictine Health System - St. Mary's Duluth Clinic, Series 2004, 5.250%, 2/15/21 (Pre-refunded 2/15/14) 2,290 Minneapolis-St. Paul Housing and Redevelopment Authority, 12/13 at 100.00 Baa1 2,381,073 Minnesota, Revenue Bonds, HealthPartners Inc., Series 2003, 6.000%, 12/01/20 Minnesota Higher Education Facilities Authority, Revenue Bonds, University of St. Thomas, Series 2004-5Y: 530 5.250%, 10/01/19 10/14 at 100.00 A2 551,778 1,500 5.250%, 10/01/34 10/14 at 100.00 A2 1,510,485 665 Minnesota Higher Education Facilities Authority, Revenue Bonds, 4/16 at 100.00 A2 671,903 University of St. Thomas, Series 2006-6I, 5.000%, 4/01/23 1,000 Minnesota Municipal Power Agency, Electric Revenue Bonds, 10/14 at 100.00 A3 1,042,510 Series 2004A, 5.250%, 10/01/19 3,000 St. Paul Port Authority, Minnesota, Lease Revenue Bonds, 12/13 at 100.00 AA+ 3,217,770 Office Building at Cedar Street, Series 2003, 5.250%, 12/01/20 - ------------------------------------------------------------------------------------------------------------------------------------ 14,335 Total Minnesota 14,754,932 - ------------------------------------------------------------------------------------------------------------------------------------ MISSISSIPPI - 0.8% (0.5% OF TOTAL INVESTMENTS) 2,325 Mississippi Hospital Equipment and Facilities Authority, 9/14 at 100.00 AA 2,337,369 Revenue Bonds, Baptist Memorial Healthcare, Series 2004B-1, 5.000%, 9/01/24 - ------------------------------------------------------------------------------------------------------------------------------------ MISSOURI - 1.1% (0.6% OF TOTAL INVESTMENTS) 100 Hannibal Industrial Development Authority, Missouri, Health 3/16 at 100.00 BBB+ 97,556 Facilities Revenue Bonds, Hannibal Regional Hospital, Series 2006, 5.000%, 3/01/22 2,880 Joplin Industrial Development Authority, Missouri, Health 2/15 at 102.00 BBB+ 2,917,786 Facilities Revenue Bonds, Freeman Health System, Series 2004, 5.500%, 2/15/24 - ------------------------------------------------------------------------------------------------------------------------------------ 2,980 Total Missouri 3,015,342 - ------------------------------------------------------------------------------------------------------------------------------------ NEBRASKA - 3.0% (1.6% OF TOTAL INVESTMENTS) 1,580 Douglas County Hospital Authority 2, Nebraska, Health Facilities No Opt. Call A1 1,671,071 Revenue Bonds, Nebraska Medical Center, Series 2003, 5.000%, 11/15/16 1,760 Grand Island, Nebraska, Electric System Revenue Bonds, 9/08 at 100.00 AAA 1,886,509 Series 1977, 6.100%, 9/01/12 (ETM) 2,350 NebHelp Inc., Nebraska, Senior Subordinate Bonds, Student No Opt. Call Aaa 2,443,953 Loan Program, Series 1993A-5B, 6.250%, 6/01/18 - MBIA Insured (Alternative Minimum Tax) 55 NPF Nuveen Premier Municipal Income Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ NEBRASKA (continued) $ 2,300 Omaha Public Power District, Nebraska, Separate Electric System 2/17 at 100.00 Aaa $ 2,276,563 Revenue Bonds, Nebraska City 2, Series 2006A, 5.000%, 2/01/49 - AMBAC Insured (UB) - ------------------------------------------------------------------------------------------------------------------------------------ 7,990 Total Nebraska 8,278,096 - ------------------------------------------------------------------------------------------------------------------------------------ NEW HAMPSHIRE - 1.9% (1.0% OF TOTAL INVESTMENTS) 5,000 New Hampshire Housing Finance Authority, FHLMC Multifamily 7/10 at 101.00 Aaa 5,105,800 Housing Remarketed Revenue Bonds, Countryside LP, Series 1994, 6.100%, 7/01/24 (Alternative Minimum Tax) 90 New Hampshire Municipal Bond Bank, Revenue Bonds, No Opt. Call N/R 90,416 Coe-Brown Northwood Academy, Series 1994, 7.250%, 5/01/09 - ------------------------------------------------------------------------------------------------------------------------------------ 5,090 Total New Hampshire 5,196,216 - ------------------------------------------------------------------------------------------------------------------------------------ NEW JERSEY - 6.0% (3.3% OF TOTAL INVESTMENTS) 1,000 New Jersey Economic Development Authority, School Facilities 9/15 at 100.00 AA- 1,052,100 Construction Bonds, Series 2005P, 5.250%, 9/01/24 New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2006C: 25,000 0.000%, 12/15/35 - AMBAC Insured (UB) No Opt. Call Aaa 5,929,254 10,000 0.000%, 12/15/36 - AMBAC Insured (UB) No Opt. Call Aaa 2,235,904 3,000 New Jersey Transportation Trust Fund Authority, Transportation 6/13 at 100.00 AAA 3,348,900 System Bonds, Series 2003C, 5.500%, 6/15/24 (Pre-refunded 6/15/13) 1,500 New Jersey Turnpike Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 A 1,544,265 5.000%, 1/01/19 - FGIC Insured 2,500 New Jersey Turnpike Authority, Revenue Bonds, Series 2005A, 1/15 at 100.00 AAA 2,587,200 5.000%, 1/01/25 - FSA Insured - ------------------------------------------------------------------------------------------------------------------------------------ 43,000 Total New Jersey 16,697,623 - ------------------------------------------------------------------------------------------------------------------------------------ NEW YORK - 22.0% (12.3% OF TOTAL INVESTMENTS) 10,000 Dormitory Authority of the State of New York, Revenue Bonds, 5/10 at 101.00 AAA 10,725,798 State University Educational Facilities Revenue Bonds, 1999 Resolution, Series 2000B, 5.500%, 5/15/30 (Pre-refunded 5/15/10) - FSA Insured 1,500 Dormitory Authority of the State of New York, State and Local 7/14 at 100.00 AA- 1,596,885 Appropriation Lease Bonds, Upstate Community Colleges, Series 2004B, 5.250%, 7/01/19 10 Hudson Yards Infrastructure Corporation, New York, Revenue 2/17 at 100.00 AA 7,988 Bonds, Driver Trust 1649, 2006, 6.799%, 2/15/47 - MBIA Insured (IF) 2,180 Hudson Yards Infrastructure Corporation, New York, Revenue 2/17 at 100.00 AA 2,033,744 Bonds, Series 2006A, 4.500%, 2/15/47 - MBIA Insured (UB) 7,500 Long Island Power Authority, New York, Electric System Revenue 6/16 at 100.00 A- 7,629,375 Bonds, Series 2006A, 5.000%, 12/01/25 - FGIC Insured (UB) 5,000 Metropolitan Transportation Authority, New York, Transportation 11/12 at 100.00 A 5,111,300 Revenue Refunding Bonds, Series 2002A, 5.125%, 11/15/21 - FGIC Insured 4,000 New York City Municipal Water Finance Authority, New York, 12/14 at 100.00 AAA 4,170,280 Water and Sewerage System Revenue Bonds, Fiscal Series 2005B, 5.000%, 6/15/23 - AMBAC Insured 4,265 New York City, New York, General Obligation Bonds, Fiscal 10/13 at 100.00 AA 4,432,828 Series 2003D, 5.250%, 10/15/22 1,200 New York City, New York, General Obligation Bonds, Fiscal 8/14 at 100.00 AA 1,301,724 Series 2004B, 5.250%, 8/01/15 4,000 New York City, New York, General Obligation Bonds, Fiscal 8/14 at 100.00 AA 4,212,680 Series 2004C, 5.250%, 8/15/20 3,645 New York Convention Center Development Corporation, Hotel Fee 11/15 at 100.00 AA 3,648,536 Revenue Bonds, Series 2005, 5.000%, 11/15/44 - AMBAC Insured (UB) 3,250 New York State Municipal Bond Bank Agency, Special School 6/13 at 100.00 A+ 3,370,055 Purpose Revenue Bonds, Series 2003C, 5.250%, 6/01/22 New York State Thruway Authority, General Revenue Bonds, Series 2005G: 6,460 5.000%, 1/01/25 - FSA Insured (UB) 7/15 at 100.00 AAA 6,719,886 2,580 5.000%, 1/01/26 - FSA Insured (UB) 7/15 at 100.00 AAA 2,675,770 1,850 New York State Urban Development Corporation, Service Contract 3/15 at 100.00 AAA 1,927,404 Revenue Bonds, Series 2005B, 5.000%, 3/15/24 - FSA Insured 56 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ NEW YORK (continued) $ 1,000 New York State Urban Development Corporation, Subordinate 7/14 at 100.00 A $ 1,039,830 Lien Corporate Purpose Bonds, Series 2004A, 5.125%, 1/01/22 1,000 Rensselaer County Industrial Development Agency, New York, 3/16 at 100.00 A 1,032,650 Civic Facility Revenue Bonds, Rensselaer Polytechnic Institute, Series 2006, 5.000%, 3/01/26 - ------------------------------------------------------------------------------------------------------------------------------------ 59,440 Total New York 61,636,733 - ------------------------------------------------------------------------------------------------------------------------------------ NORTH CAROLINA - 4.1% (2.3% OF TOTAL INVESTMENTS) 10,300 North Carolina Eastern Municipal Power Agency, Power System No Opt. Call AAA 11,440,105 Revenue Refunding Bonds, Series 1993B, 6.000%, 1/01/22 - CAPMAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ OHIO - 2.9% (1.6% OF TOTAL INVESTMENTS) Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue Bonds, Senior Lien, Series 2007A-2: 105 5.125%, 6/01/24 6/17 at 100.00 BBB 98,903 1,050 5.875%, 6/01/30 6/17 at 100.00 BBB 977,025 1,055 5.750%, 6/01/34 6/17 at 100.00 BBB 953,709 2,355 5.875%, 6/01/47 6/17 at 100.00 BBB 2,083,987 4,000 Ohio, Solid Waste Revenue Bonds, Republic Services Inc., No Opt. Call BBB+ 3,681,040 Series 2004, 4.250%, 4/01/33 (Mandatory put 4/01/14) (Alternative Minimum Tax) 250 Port of Greater Cincinnati Development Authority, Ohio, Economic 10/16 at 100.00 N/R 244,305 Development Revenue Bonds, Sisters of Mercy of the Americas, Series 2006, 5.000%, 10/01/25 - ------------------------------------------------------------------------------------------------------------------------------------ 8,815 Total Ohio 8,038,969 - ------------------------------------------------------------------------------------------------------------------------------------ OKLAHOMA - 2.5% (1.4% OF TOTAL INVESTMENTS) Norman Regional Hospital Authority, Oklahoma, Hospital Revenue Bonds, Series 2005: 500 5.375%, 9/01/29 9/16 at 100.00 BBB 498,075 450 5.375%, 9/01/36 9/16 at 100.00 BBB 437,531 Oklahoma Development Finance Authority, Revenue Bonds, Saint John Health System, Series 2007: 2,900 5.000%, 2/15/37 2/17 at 100.00 AA- 2,856,268 1,305 5.000%, 2/15/42 2/17 at 100.00 AA- 1,275,755 2,035 Tulsa County Industrial Authority, Oklahoma, Health Care Revenue 12/16 at 100.00 AA 2,007,426 Bonds, Saint Francis Health System, Series 2006, 5.000%, 12/15/36 - ------------------------------------------------------------------------------------------------------------------------------------ 7,190 Total Oklahoma 7,075,055 - ------------------------------------------------------------------------------------------------------------------------------------ OREGON - 1.4% (0.8% OF TOTAL INVESTMENTS) Oregon, General Obligation Bonds, State Board of Higher Education, Series 2004A: 1,795 5.000%, 8/01/21 8/14 at 100.00 AA 1,886,742 1,990 5.000%, 8/01/23 8/14 at 100.00 AA 2,072,187 - ------------------------------------------------------------------------------------------------------------------------------------ 3,785 Total Oregon 3,958,929 - ------------------------------------------------------------------------------------------------------------------------------------ PENNSYLVANIA - 1.2% (0.7% OF TOTAL INVESTMENTS) 2,000 Allegheny County Sanitary Authority, Pennsylvania, Sewerage 12/15 at 100.00 AAA 2,054,540 Revenue Bonds, Series 2005A, 5.000%, 12/01/23 - MBIA Insured 1,315 Falls Township Hospital Authority, Pennsylvania, FHA-Insured 8/08 at 100.00 AAA 1,325,441 Revenue Refunding Bonds, Delaware Valley Medical Center, Series 1992, 7.000%, 8/01/22 - ------------------------------------------------------------------------------------------------------------------------------------ 3,315 Total Pennsylvania 3,379,981 - ------------------------------------------------------------------------------------------------------------------------------------ RHODE ISLAND - 2.7% (1.5% OF TOTAL INVESTMENTS) 7,655 Rhode Island Tobacco Settlement Financing Corporation, 6/12 at 100.00 BBB 7,582,660 Tobacco Settlement Asset-Backed Bonds, Series 2002A, 6.000%, 6/01/23 - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH CAROLINA - 8.3% (4.6% OF TOTAL INVESTMENTS) 2,500 Berkeley County School District, South Carolina, Installment 12/13 at 100.00 A- 2,549,525 Purchase Revenue Bonds, Securing Assets for Education, Series 2003, 5.250%, 12/01/24 57 NPF Nuveen Premier Municipal Income Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH CAROLINA (continued) $ 4,405 Dorchester County School District 2, South Carolina, Installment 12/14 at 100.00 A $ 4,372,403 Purchase Revenue Bonds, GROWTH, Series 2004, 5.250%, 12/01/23 3,340 Greenville County School District, South Carolina, Installment 12/13 at 100.00 AA- 3,499,685 Purchase Revenue Bonds, Series 2003, 5.250%, 12/01/19 3,620 Greenville, South Carolina, Hospital Facilities Revenue Refunding 5/13 at 100.00 AAA 3,735,514 Bonds, Series 2003A, 5.250%, 5/01/21 - AMBAC Insured 310 South Carolina JOBS Economic Development Authority, Economic 11/12 at 100.00 A- (4) 344,655 Development Revenue Bonds, Bon Secours Health System Inc., Series 2002A, 5.625%, 11/15/30 (Pre-refunded 11/15/12) 1,190 South Carolina JOBS Economic Development Authority, Economic 11/12 at 100.00 A- 1,207,077 Development Revenue Bonds, Bon Secours Health System Inc., Series 2002B, 5.625%, 11/15/30 South Carolina JOBS Economic Development Authority, Hospital Refunding and Improvement Revenue Bonds, Palmetto Health Alliance, Series 2003C: 4,895 6.375%, 8/01/34 (Pre-refunded 8/01/13) 8/13 at 100.00 BBB+ (4) 5,654,215 605 6.375%, 8/01/34 (Pre-refunded 8/01/13) 8/13 at 100.00 BBB+ (4) 697,256 1,145 Tobacco Settlement Revenue Management Authority, 5/11 at 101.00 BBB 1,153,519 South Carolina, Tobacco Settlement Asset-Backed Bonds, Series 2001B, 6.000%, 5/15/22 - ------------------------------------------------------------------------------------------------------------------------------------ 22,010 Total South Carolina 23,213,849 - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH DAKOTA - 0.6% (0.4% OF TOTAL INVESTMENTS) 1,750 South Dakota Health and Educational Facilities Authority, 11/14 at 100.00 AA- 1,779,610 Revenue Bonds, Sioux Valley Hospitals, Series 2004A, 5.500%, 11/01/31 - ------------------------------------------------------------------------------------------------------------------------------------ TENNESSEE - 1.4% (0.8% OF TOTAL INVESTMENTS) 2,060 Johnson City Health and Educational Facilities Board, Tennessee, 7/23 at 100.00 AAA 2,098,955 Hospital Revenue Refunding and Improvement Bonds, Johnson City Medical Center, Series 1998C, 5.125%, 7/01/25 (Pre-refunded 7/01/23) - MBIA Insured 1,600 Johnson City Health and Educational Facilities Board, Tennessee, 7/16 at 100.00 BBB+ 1,491,744 Revenue Bonds, Mountain States Health Alliance, Series 2006A, 5.500%, 7/01/36 400 Sumner County Health, Educational, and Housing Facilities Board, 11/17 at 100.00 N/R 371,972 Tennessee, Revenue Refunding Bonds, Sumner Regional Health System Inc., Series 2007, 5.500%, 11/01/37 - ------------------------------------------------------------------------------------------------------------------------------------ 4,060 Total Tennessee 3,962,671 - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS - 6.4% (3.6% OF TOTAL INVESTMENTS) 1,075 Brazos River Authority, Texas, Pollution Control Revenue Bonds, 10/13 at 101.00 Caa1 928,327 TXU Energy Company LLC Project, Series 2003C, 6.750%, 10/01/38 (Alternative Minimum Tax) 3,000 Houston, Texas, First Lien Combined Utility System Revenue 5/14 at 100.00 AAA 3,116,190 Bonds, Series 2004A, 5.250%, 5/15/25 - MBIA Insured Kerrville Health Facilities Development Corporation, Texas, Revenue Bonds, Sid Peterson Memorial Hospital Project, Series 2005: 400 5.250%, 8/15/21 No Opt. Call BBB- 389,156 600 5.125%, 8/15/26 No Opt. Call BBB- 554,658 2,265 Lower Colorado River Authority, Texas, Contract Revenue 5/13 at 100.00 AAA 2,330,526 Refunding Bonds, Transmission Services Corporation, Series 2003C, 5.250%, 5/15/25 - AMBAC Insured 290 Mansfield Independent School District, Tarrant County, Texas, 2/11 at 100.00 AAA 301,116 General Obligation Bonds, Series 2001, 5.375%, 2/15/26 1,710 Mansfield Independent School District, Tarrant County, Texas, 2/11 at 100.00 AAA 1,835,001 General Obligation Bonds, Series 2001, 5.375%, 2/15/26 (Pre-refunded 2/15/11) 1,000 Sabine River Authority, Texas, Pollution Control Revenue Bonds, 11/15 at 100.00 Caa1 741,640 TXU Electric Company, Series 2001C, 5.200%, 5/01/28 1,600 Tarrant County Cultural & Educational Facilities Financing 2/17 at 100.00 AA- 1,576,240 Corporation, Texas, Revenue Bonds, Series 2007A, 5.000%, 2/15/36 58 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS (continued) Texas Tech University, Financing System Revenue Bonds, 9th Series 2003: $ 3,525 5.250%, 2/15/18 - AMBAC Insured 8/13 at 100.00 AAA $ 3,740,836 2,250 5.250%, 2/15/19 - AMBAC Insured 8/13 at 100.00 AAA 2,373,458 - ------------------------------------------------------------------------------------------------------------------------------------ 17,715 Total Texas 17,887,148 - ------------------------------------------------------------------------------------------------------------------------------------ UTAH - 0.2% (0.1% OF TOTAL INVESTMENTS) 340 Utah Housing Corporation, Single Family Mortgage Bonds, 7/11 at 100.00 Aaa 341,931 Series 2001D, 5.500%, 1/01/21 (Alternative Minimum Tax) 25 Utah Housing Finance Agency, Single Family Mortgage Bonds, 7/08 at 101.00 Aaa 25,763 Series 1996C, 6.450%, 7/01/14 (Alternative Minimum Tax) 105 Utah Housing Finance Agency, Single Family Mortgage Bonds, 7/08 at 101.00 Aaa 107,371 Series 1997F, 5.750%, 7/01/15 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 470 Total Utah 475,065 - ------------------------------------------------------------------------------------------------------------------------------------ WASHINGTON - 8.6% (4.8% OF TOTAL INVESTMENTS) 2,500 Energy Northwest, Washington, Electric Revenue Refunding 7/12 at 100.00 AAA 2,715,825 Bonds, Columbia Generating Station - Nuclear Project 2, Series 2002C, 5.750%, 7/01/17 - MBIA Insured 7,000 Energy Northwest, Washington, Electric Revenue Refunding 7/13 at 100.00 Aaa 7,587,510 Bonds, Nuclear Project 1, Series 2003A, 5.500%, 7/01/16 6,160 King County Public Hospital District 2, Washington, Limited Tax 6/11 at 101.00 AAA 6,272,913 General Obligation Bonds, Evergreen Hospital Medical Center, Series 2007A, 5.250%, 12/01/24 - AMBAC Insured 1,000 Skagit County Public Hospital District 1, Washington, Revenue No Opt. Call Baa2 1,018,900 Bonds, Skagit Valley Hospital, Series 2003, 6.000%, 12/01/23 6,220 Washington, General Obligation Refunding Bonds, Series 1992A No Opt. Call AA+ 6,602,903 and 1992AT-6, 6.250%, 2/01/11 - ------------------------------------------------------------------------------------------------------------------------------------ 22,880 Total Washington 24,198,051 - ------------------------------------------------------------------------------------------------------------------------------------ WEST VIRGINIA - 2.0% (1.1% OF TOTAL INVESTMENTS) 2,000 West Virginia Water Development Authority, Infrastructure 10/13 at 101.00 AAA 2,258,920 Revenue Bonds, Series 2003A, 5.500%, 10/01/23 (Pre-refunded 10/01/13) - AMBAC Insured 3,150 West Virginia Water Development Authority, Loan Program II 11/13 at 101.00 AAA 3,287,340 Revenue Bonds, Series 2003B, 5.250%, 11/01/23 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 5,150 Total West Virginia 5,546,260 - ------------------------------------------------------------------------------------------------------------------------------------ WISCONSIN - 6.2% (3.4% OF TOTAL INVESTMENTS) 5,670 Wisconsin Health and Educational Facilities Authority, Revenue 7/11 at 100.00 A- 5,767,411 Bonds, Agnesian Healthcare Inc., Series 2001, 6.000%, 7/01/30 160 Wisconsin Health and Educational Facilities Authority, Revenue 5/16 at 100.00 BBB 141,260 Bonds, Divine Savior Healthcare, Series 2006, 5.000%, 5/01/32 1,000 Wisconsin Health and Educational Facilities Authority, Revenue 5/14 at 100.00 BBB+ 1,000,760 Bonds, Fort Healthcare Inc., Series 2004, 5.375%, 5/01/18 205 Wisconsin Health and Educational Facilities Authority, Revenue 10/11 at 101.00 AA- 210,291 Bonds, Froedtert and Community Health Obligated Group, Series 2001, 5.375%, 10/01/30 2,145 Wisconsin Health and Educational Facilities Authority, Revenue 10/11 at 101.00 AA- (4) 2,347,420 Bonds, Froedtert and Community Health Obligated Group, Series 2001, 5.375%, 10/01/30 (Pre-refunded 10/01/11) 5,000 Wisconsin Health and Educational Facilities Authority, Revenue 2/10 at 101.00 AA 5,262,050 Bonds, Marshfield Clinic, Series 1999, 6.250%, 2/15/18 - RAAI Insured 2,500 Wisconsin State, General Obligation Bonds, Series 2006A, 5/16 at 100.00 AA- 2,548,350 4.750%, 5/01/25 - FGIC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 16,680 Total Wisconsin 17,277,542 - ------------------------------------------------------------------------------------------------------------------------------------ 59 NPF Nuveen Premier Municipal Income Fund, Inc. (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WYOMING - 0.5% (0.2% OF TOTAL INVESTMENTS) $ 1,350 Sweetwater County, Wyoming, Solid Waste Disposal Revenue 12/15 at 100.00 BBB $ 1,244,349 Bonds, FMC Corporation, Series 2005, 5.600%, 12/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ $ 542,894 Total Long-Term Investments (cost $488,248,101) - 177.2% 496,040,245 =============----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 2.3% (1.3% OF TOTAL INVESTMENTS) 2,000 King County, Washington, Sewer Revenue Bonds, Series 2001, A-1+ 2,000,000 Trust 554, Variable Rate Demand Obligation, 5.870%, 1/01/19 - FGIC Insured (6) 4,375 Louisiana State, Gasoline Tax Revenue Bonds, Series 2006, VMIG-1 4,375,000 ROCS 660, Variable Rate Demand Obligation, 4.010%, 5/01/41 - FGIC Insured (6) - ------------------------------------------------------------------------------------------------------------------------------------ $ 6,375 Total Short-Term Investments (cost $6,375,000) 6,375,000 =============----------------------------------------------------------------------------------------------------------------------- Total Investments (cost $494,623,101) - 179.5% 502,415,245 -------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (22.2)% (62,107,900) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 1.7% 4,579,032 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (59.0)% (7) (165,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 279,886,377 ====================================================================================================================
FORWARD SWAPS OUTSTANDING AT APRIL 30, 2008: FUND FIXED RATE UNREALIZED NOTIONAL PAY/RECEIVE FLOATING RATE FIXED RATE PAYMENT EFFECTIVE TERMINATION APPRECIATION COUNTERPARTY AMOUNT FLOATING RATE INDEX (ANNUALIZED) FREQUENCY DATE (8) DATE (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ Citigroup Inc. $36,000,000 Receive 3-Month USD-LIBOR 5.299% Semi-Annually 11/07/08 11/07/28 $(2,160,962) ====================================================================================================================================
USD-LIBOR (United States Dollar-London Inter-bank Offered Rate). (1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) Portion of investment, with an aggregate market value of $1,711,565, has been pledged to collateralize the net payment obligations under forward swap contracts. (6) Investment has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. This rate changes periodically based on market conditions or a specified market index. (7) Preferred Shares, at Liquidation Value as a percentage of total investments is (32.8)%. (8) Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract. N/R Not rated. (ETM) Escrowed to maturity. (IF) Inverse floating rate investment. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 60 NMZ Nuveen Municipal High Income Opportunity Fund Portfolio of INVESTMENTS April 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ NATIONAL - 2.3% (1.4% OF TOTAL INVESTMENTS) Charter Mac Equity Issuer Trust, Preferred Shares, Series 2004A-4: $ 5,000 6.000%, 12/31/45 (Mandatory put 4/30/19) 4/19 at 100.00 Aaa $ 5,353,900 (Alternative Minimum Tax) 1,000 5.750%, 12/31/45 (Mandatory put 4/30/15) 4/15 at 100.00 Aaa 1,066,760 (Alternative Minimum Tax) 1,000 GMAC Municipal Mortgage Trust, Series B-1, 5.600%, 10/31/39 No Opt. Call Baa1 1,028,760 (Mandatory put 10/31/19) (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 7,000 Total National 7,449,420 - ------------------------------------------------------------------------------------------------------------------------------------ ALABAMA - 0.8% (0.5% OF TOTAL INVESTMENTS) 2,000 Bessemer, Alabama, General Obligation Warrants, Series 2007, 2/17 at 102.00 N/R 1,776,880 6.500%, 2/01/37 1,000 Birmingham Special Care Facilities Financing Authority, Alabama, 11/15 at 100.00 Baa1 870,590 Revenue Bonds, Baptist Health System Inc., Series 2005A, 5.000%, 11/15/30 - ------------------------------------------------------------------------------------------------------------------------------------ 3,000 Total Alabama 2,647,470 - ------------------------------------------------------------------------------------------------------------------------------------ ARIZONA - 5.4% (3.5% OF TOTAL INVESTMENTS) 505 Estrella Mountain Ranch Community Facilities District, Goodyear, 7/10 at 102.00 N/R 528,291 Arizona, Special Assessment Lien Bonds, Series 2001A, 7.875%, 7/01/25 2,000 Maricopa County Industrial Development Authority, Arizona, 7/08 at 103.00 N/R 2,013,480 Multifamily Housing Revenue Bonds, Privado Park Apartments Project, Series 2006A, 5.250%, 11/01/41 (Mandatory put 11/01/11) (Alternative Minimum Tax) 6,720 Maricopa County Industrial Development Authority, Arizona, 1/11 at 103.00 BB 6,344,554 Senior Living Facility Revenue Bonds, Christian Care Mesa II Inc., Series 2004A, 6.625%, 1/01/34 (Alternative Minimum Tax) Phoenix Industrial Development Authority, Arizona, Educational Revenue Bonds, Keystone Montessori School, Series 2004A: 275 6.375%, 11/01/13 11/11 at 103.00 N/R 286,690 790 7.250%, 11/01/23 11/11 at 103.00 N/R 834,256 1,715 7.500%, 11/01/33 11/11 at 103.00 N/R 1,802,722 1,000 Pima County Industrial Development Authority, Arizona, 7/16 at 100.00 N/R 870,640 Charter School Revenue Bonds, Franklin Phonetic Charter School, Series 2006, 5.750%, 7/01/36 1,645 Pima County Industrial Development Authority, Arizona, Charter 7/14 at 100.00 N/R (4) 1,946,627 School Revenue Bonds, Heritage Elementary School, Series 2004, 7.500%, 7/01/34 (Pre-refunded 7/01/14) 550 Pima County Industrial Development Authority, Arizona, Charter 12/14 at 100.00 BBB- 533,121 School Revenue Bonds, Noah Webster Basic Schools Inc., Series 2004, 6.125%, 12/15/34 500 Pima County Industrial Development Authority, Arizona, Charter No Opt. Call AAA 584,890 School Revenue Bonds, Pointe Educational Services Charter School, Series 2004, 6.250%, 7/01/14 (ETM) 1,150 Pinal County Industrial Development Authority, Arizona, 10/12 at 100.00 BBB- 1,070,110 Correctional Facilities Contract Revenue Bonds, Florence West Prison LLC, Series 2002A, 5.250%, 10/01/22 - ACA Insured 1,000 Tucson Industrial Development Authority, Arizona, Charter 9/14 at 100.00 BBB- 976,090 School Revenue Bonds, Arizona Agribusiness and Equine Center Charter School, Series 2004A, 5.850%, 9/01/24 - ------------------------------------------------------------------------------------------------------------------------------------ 17,850 Total Arizona 17,791,471 - ------------------------------------------------------------------------------------------------------------------------------------ 61 NMZ Nuveen Municipal High Income Opportunity Fund (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA - 14.3% (9.1% OF TOTAL INVESTMENTS) $ 8,000 Alameda Public Finance Authority, California, Revenue Bond No Opt. Call N/R $ 6,910,800 Anticipation Notes, Alameda Power and Telecom, Series 2004, 7.000%, 6/01/09 940 California Health Facilities Financing Authority, Hospital Revenue 5/08 at 100.00 BB 910,672 Bonds, Downey Community Hospital, Series 1993, 5.750%, 5/15/15 4,000 California Statewide Communities Development Authority, No Opt. Call BB 3,392,360 Revenue Bonds, EnerTech Regional Biosolids Project, Series 2007A, 5.500%, 12/01/33 (Alternative Minimum Tax) 2,925 California Statewide Community Development Authority, Revenue 3/14 at 102.00 N/R 3,006,432 Bonds, Epidaurus Project, Series 2004A, 7.750%, 3/01/34 1,005 California Statewide Community Development Authority, 1/14 at 100.00 N/R 1,041,843 Subordinate Lien Multifamily Housing Revenue Bonds, Corona Park Apartments, Series 2004I-S, 7.750%, 1/01/34 (Alternative Minimum Tax) 1,000 Golden State Tobacco Securitization Corporation, California, 6/17 at 100.00 BBB 897,890 Enhanced Tobacco Settlement Asset-Backed Bonds, Series 2007A-1, 5.750%, 6/01/47 5,500 Golden State Tobacco Securitization Corporation, California, 6/13 at 100.00 AAA 6,337,045 Tobacco Settlement Asset-Backed Bonds, Series 2003A-1, 6.750%, 6/01/39 (Pre-refunded 6/01/13) 1,000 Golden State Tobacco Securitization Corporation, California, 6/13 at 100.00 AAA 1,202,500 Tobacco Settlement Asset-Backed Revenue Bonds, Series 2003A-2, 7.900%, 6/01/42 (Pre-refunded 6/01/13) Huntington Beach, California, Special Tax Bonds, Community Facilities District 2003-1, Huntington Center, Series 2004: 500 5.800%, 9/01/23 9/14 at 100.00 N/R 504,830 1,000 5.850%, 9/01/33 9/14 at 100.00 N/R 971,000 2,500 Independent Cities Lease Finance Authority, California, Revenue 5/14 at 100.00 N/R 2,539,175 Bonds, El Granada Mobile Home Park, Series 2004A, 6.450%, 5/15/44 1,015 Independent Cities Lease Finance Authority, California, 5/14 at 100.00 N/R 997,633 Subordinate Lien Revenue Bonds, El Granada Mobile Home Park, Series 2004B, 6.500%, 5/15/44 1,200 Lake Elsinore, California, Special Tax Bonds, Community Facilities 9/13 at 102.00 N/R 1,135,200 District 2003-2 Improvement Area A, Canyon Hills, Series 2004A, 5.950%, 9/01/34 3,400 Lee Lake Water District, Riverside County, California, Special 9/13 at 102.00 N/R 3,216,400 Tax Bonds, Community Facilities District 3, Series 2004, 5.950%, 9/01/34 300 Los Angeles Regional Airports Improvement Corporation, 12/12 at 102.00 B 287,409 California, Sublease Revenue Bonds, Los Angeles International Airport, American Airlines Inc. Terminal 4 Project, Series 2002B, 7.500%, 12/01/24 (Alternative Minimum Tax) 2,950 Los Angeles Regional Airports Improvement Corporation, 12/12 at 102.00 B 2,822,265 California, Sublease Revenue Bonds, Los Angeles International Airport, American Airlines Inc. Terminal 4 Project, Series 2002C, 7.500%, 12/01/24 (Alternative Minimum Tax) Moreno Valley Unified School District, Riverside County, California, Special Tax Bonds, Community Facilities District, Series 2004: 800 5.550%, 9/01/29 9/14 at 100.00 N/R 730,824 1,250 5.650%, 9/01/34 9/14 at 100.00 N/R 1,133,775 Orange County, California, Special Tax Bonds, Community Facilities District 03-1 of Ladera Ranch, Series 2004A: 500 5.500%, 8/15/23 8/12 at 101.00 N/R 503,260 1,625 5.600%, 8/15/28 8/12 at 101.00 N/R 1,619,573 1,000 5.625%, 8/15/34 8/12 at 101.00 N/R 981,070 2,250 San Diego County, California, Certificates of Participation, 9/12 at 100.00 Baa1 2,193,638 San Diego-Imperial Counties Developmental Services Foundation Project, Series 2002, 5.500%, 9/01/27 3,895 West Patterson Financing Authority, California, Special Tax Bonds, 9/13 at 103.00 N/R 3,760,661 Community Facilities District 2001-1, Series 2004A, 6.125%, 9/01/39 - ------------------------------------------------------------------------------------------------------------------------------------ 48,555 Total California 47,096,255 - ------------------------------------------------------------------------------------------------------------------------------------ 62 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ COLORADO - 10.4% (6.6% OF TOTAL INVESTMENTS) $ 925 Bradburn Metropolitan District 3, Colorado, General Obligation 12/13 at 101.00 N/R $ 928,950 Bonds, Series 2003, 7.500%, 12/01/33 5,594 Buffalo Ridge Metropolitan District, Colorado, Limited Obligation 12/13 at 101.00 N/R 5,725,795 Assessment Bonds, Series 2003, 7.500%, 12/01/33 400 Colorado Educational and Cultural Facilities Authority, Charter 12/10 at 101.00 BBB (4) 446,756 School Revenue Bonds, Academy Charter School - Douglas County School District Re. 1, Series 2000, 6.875%, 12/15/20 (Pre-refunded 12/15/10) 650 Colorado Educational and Cultural Facilities Authority, Charter 9/11 at 100.00 Ba1 (4) 738,725 School Revenue Bonds, Bromley East Charter School, Series 2000A, 7.250%, 9/15/30 (Pre-refunded 9/15/11) 900 Colorado Educational and Cultural Facilities Authority, Charter 7/08 at 100.00 N/R (4) 910,098 School Revenue Bonds, Compass Montessori Elementary Charter School, Series 2000, 7.750%, 7/15/31 (Pre-refunded 7/15/08) 3,500 Colorado Educational and Cultural Facilities Authority, Charter 5/14 at 101.00 N/R 3,500,910 School Revenue Bonds, Denver Arts and Technology Academy, Series 2003, 8.000%, 5/01/34 Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Excel Academy Charter School, Series 2003: 470 7.300%, 12/01/23 (Pre-refunded 12/01/11) 12/11 at 100.00 AAA 541,929 875 7.500%, 12/01/33 (Pre-refunded 12/01/11) 12/11 at 100.00 AAA 1,014,843 1,784 Colorado Educational and Cultural Facilities Authority, Charter 2/10 at 100.00 AAA 1,934,855 School Revenue Bonds, Jefferson County School District R-1 - Compass Montessori Secondary School, Series 2002, 8.000%, 2/15/32 (Pre-refunded 2/15/10) 1,000 Colorado Educational and Cultural Facilities Authority, Charter 2/16 at 101.00 N/R 859,560 School Revenue Bonds, Jefferson County School District R-1 - Compass Montessori Secondary School, Series 2006, 5.625%, 2/15/36 1,240 Colorado Educational and Cultural Facilities Authority, Charter 6/11 at 100.00 Ba1 (4) 1,368,588 School Revenue Bonds, Weld County School District 6 - Frontier Academy, Series 2001, 7.250%, 6/01/20 (Pre-refunded 6/01/11) 1,000 Colorado Health Facilities Authority, Colorado, Revenue Bonds, 9/16 at 100.00 AA 910,920 Catholic Health Initiatives, Series 2006A, Trust 1088, 11.697%, 9/01/41 (IF) 1,000 Colorado Health Facilities Authority, Colorado, Revenue Bonds, 4/18 at 100.00 AAA 1,000,400 Catholic Health Initiatives, Series 2006C-1, Trust 1090, 11.524%, 10/01/41 - FSA Insured (IF) 4,300 Denver Health and Hospitals Authority, Colorado, Revenue Bonds, 12/14 at 100.00 AAA 5,041,363 Series 2004A, 6.250%, 12/01/33 (Pre-refunded 12/01/14) 1,000 Denver, Colorado, FHA-Insured Multifamily Housing Mortgage 7/08 at 102.00 AAA 1,002,760 Loan Revenue Bonds, Garden Court Community Project, Series 1998, 5.400%, 7/01/39 3,145 Kit Carson County Health Service District, Colorado, Health Care No Opt. Call N/R 2,960,797 Facility Revenue Bonds, Series 2007, 6.750%, 1/01/34 1,250 Mesa County, Colorado, Residential Care Facilities Mortgage 12/11 at 101.00 AA 1,264,138 Revenue Bonds, Hilltop Community Resources Inc. Obligated Group, Series 2001A, 5.250%, 12/01/21 - RAAI Insured 1,000 Mountain Shadows Metropolitan District, Colorado, General 12/16 at 100.00 N/R 795,010 Obligation Limited Tax Bonds, Series 2007, 5.500%, 12/01/27 1,995 Park Creek Metropolitan District, Colorado, Limited Tax Obligation 12/13 at 100.00 N/R 2,104,186 Revenue Bonds, Series 2003CR-2, 7.875%, 12/01/32 (Mandatory put 12/01/13) Tallyn's Reach Metropolitan District 3, Aurora, Colorado, Limited Tax General Obligation Bonds, Series 2004: 500 6.625%, 12/01/23 12/13 at 100.00 N/R 510,460 500 6.750%, 12/01/33 12/13 at 100.00 N/R 508,660 - ------------------------------------------------------------------------------------------------------------------------------------ 33,028 Total Colorado 34,069,703 - ------------------------------------------------------------------------------------------------------------------------------------ CONNECTICUT - 0.8% (0.5% OF TOTAL INVESTMENTS) 1,025 Eastern Connecticut Resource Recovery Authority, Solid Waste 7/08 at 100.00 BBB 978,619 Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/20 (Alternative Minimum Tax) 63 NMZ Nuveen Municipal High Income Opportunity Fund (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CONNECTICUT (continued) $ 1,700 Mashantucket Western Pequot Tribe, Connecticut, Subordinate 11/17 at 100.00 Baa3 $ 1,544,229 Special Revenue Bonds, Series 2007A, 5.750%, 9/01/34 - ------------------------------------------------------------------------------------------------------------------------------------ 2,725 Total Connecticut 2,522,848 - ------------------------------------------------------------------------------------------------------------------------------------ FLORIDA - 9.0% (5.8% OF TOTAL INVESTMENTS) 1,600 Aberdeen Community Development District, Florida, Special 5/14 at 100.00 N/R 1,243,648 Assessment Bonds, Series 2005, 5.500%, 5/01/36 4,240 Bartram Springs Community Development District, Duval County, 5/13 at 102.00 N/R (4) 4,799,553 Florida, Special Assessment Bonds, Series 2003A, 6.650%, 5/01/34 (Pre-refunded 5/01/13) 700 Broward County, Florida, Airport Facility Revenue Bonds, Learjet 11/14 at 101.00 Ba2 738,031 Inc., Series 2000, 7.500%, 11/01/20 (Alternative Minimum Tax) 1,140 Century Gardens Community Development District, Miami-Dade 5/14 at 101.00 N/R 1,112,629 County, Florida, Special Assessment Revenue Bonds, Series 2004, 5.900%, 5/01/34 440 Islands at Doral Northeast Community Development District, 5/14 at 101.00 N/R 455,418 Miami-Dade County, Florida, Special Assessment Bonds, Series 2004, 6.125%, 5/01/24 3,000 Jacksonville, Florida, Economic Development Commission 9/17 at 100.00 N/R 2,930,040 Health Care Facilities Revenue Bonds, The Florida Proton Therapy Institute Project, Series 2007, 6.250%, 9/01/27 610 Lexington Community Development District, Florida, Special 5/14 at 101.00 N/R 584,789 Assessment Revenue Bonds, Series 2004, 6.125%, 5/01/34 3,813 MMA Financial CDD Junior Securitization Trust, Florida, 11/08 at 100.00 N/R 3,829,707 Pass-Through Certificates, Class A, Series 2003I, 8.000%, 11/01/13 985 Old Palm Community Development District, Florida, Special 5/15 at 101.00 N/R 775,914 Assessment Bonds, Palm Beach Gardens, Series 2004A, 5.900%, 5/01/35 3,790 Palm Beach County Housing Finance Authority, Florida, 7/09 at 103.00 N/R 3,798,490 Multifamily Housing Revenue Bonds, Lake Delray Apartments, Series 1999A, 6.400%, 1/01/31 (Alternative Minimum Tax) 2,000 Pine Island Community Development District, Florida, Special 5/12 at 101.00 N/R 1,727,660 Assessment Bonds, Bella Collina, Series 2004, 5.750%, 5/01/35 1,000 Sarasota County Health Facility Authority, Florida, Revenue 7/17 at 100.00 N/R 860,720 Bonds, Sarasota-Manatee Jewish Housing Council, Inc., Series 2007, 5.750%, 7/01/45 Stonegate Community Development District, Florida, Special Assessment Revenue Bonds, Series 2004: 440 6.000%, 5/01/24 5/14 at 101.00 N/R 441,368 500 6.125%, 5/01/34 5/14 at 101.00 N/R 501,125 995 Tolomato Community Development District, Florida, Special 5/14 at 101.00 N/R 817,990 Assessment Bonds, Series 2006, 5.400%, 5/01/37 1,715 Tolomato Community Development District, Florida, Special 5/18 at 100.00 N/R 1,678,333 Assessment Bonds, Series 2007, 6.650%, 5/01/40 Westchester Community Development District 1, Florida, Special Assessment Bonds, Series 2003: 135 6.000%, 5/01/23 5/13 at 101.00 N/R 121,831 3,745 6.125%, 5/01/35 5/13 at 101.00 N/R 3,278,635 - ------------------------------------------------------------------------------------------------------------------------------------ 30,848 Total Florida 29,695,881 - ------------------------------------------------------------------------------------------------------------------------------------ GEORGIA - 1.2% (0.8% OF TOTAL INVESTMENTS) 500 Effingham County Development Authority, Georgia, Solid Waste 7/08 at 102.00 B 439,735 Disposal Revenue Bonds, Ft. James Project, Series 1998, 5.625%, 7/01/18 (Alternative Minimum Tax) (5) 900 Fulton County Residential Care Facilities Authority, Georgia, 2/09 at 100.00 N/R 833,139 Revenue Bonds, Canterbury Court, Series 2004A, 6.125%, 2/15/34 1,000 Fulton County Residential Care Facilities Authority, Georgia, 7/17 at 100.00 N/R 769,560 Revenue Bonds, Elderly Care, Lenbrook Square Project, Series 2006A, 5.125%, 7/01/37 1,915 Fulton County Residential Care Facilities Authority, Georgia, 12/13 at 102.00 N/R 2,048,188 Revenue Bonds, St. Anne's Terrace, Series 2003, 7.625%, 12/01/33 - ------------------------------------------------------------------------------------------------------------------------------------ 4,315 Total Georgia 4,090,622 - ------------------------------------------------------------------------------------------------------------------------------------ 64 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ HAWAII - 0.8% (0.5% OF TOTAL INVESTMENTS) $ 2,000 Hawaii State Department of Budget and Finance, Private School No Opt. Call N/R $ 1,835,820 Revenue Bonds, Island Pacific Academy Project, Series 2007, 6.375%, 3/01/34 1,000 Hawaii State Department of Budget and Finance, Private School 2/17 at 100.00 N/R 874,720 Revenue Bonds, Montessori of Maui, Series 2007, 5.500%, 1/01/37 - ------------------------------------------------------------------------------------------------------------------------------------ 3,000 Total Hawaii 2,710,540 - ------------------------------------------------------------------------------------------------------------------------------------ ILLINOIS - 7.5% (4.8% OF TOTAL INVESTMENTS) 2,000 Chicago, Illinois, Certificates of Participation Tax Increment 12/08 at 100.00 N/R 2,011,360 Revenue Notes, Chicago/Kingsbury Redevelopment Project, Series 2004A, 6.570%, 2/15/13 1,000 Chicago, Illinois, Certificates of Participation, Tax Increment 7/11 at 100.00 N/R 1,018,100 Allocation Revenue Bonds, Diversey-Narragansett Project, Series 2006, 7.460%, 2/15/26 2,000 Illinois Finance Authority, Revenue Bonds, Midwest Regional 10/16 at 100.00 N/R 1,857,540 Medical Center Galena-Stauss Hospital, Series 2006, 6.750%, 10/01/46 1,350 Illinois Health Facilities Authority, FHA-Insured Mortgage 8/13 at 100.00 AAA 1,353,240 Revenue Refunding Bonds, Sinai Health System, Series 2003, 5.150%, 2/15/37 1,000 Illinois Health Facilities Authority, Revenue Bonds, Condell 5/12 at 100.00 Baa3 956,340 Medical Center, Series 2002, 5.500%, 5/15/32 8,800 Illinois Health Facilities Authority, Revenue Bonds, Lake Forest 7/12 at 100.00 A- 8,980,224 Hospital, Series 2016, 5.750%, 7/01/29 (UB) 1,400 Illinois Health Facilities Authority, Revenue Bonds, Midwest 11/08 at 102.00 N/R 1,280,594 Physicians Group Ltd., Series 1998, 5.500%, 11/15/19 1,650 Lombard Public Facilities Corporation, Illinois, First Tier 1/16 at 100.00 N/R 1,682,901 Conference Center and Hotel Revenue Bonds, Series 2005A-1, 7.125%, 1/01/36 1,203 Lombard Public Facilities Corporation, Illinois, Third Tier 7/18 at 100.00 N/R 1,031,763 Conference Center and Hotel Revenue Bonds, Series 2005C-3, 4.000%, 1/01/36 2,022 Plano Special Service Area 1, Illinois, Special Tax Bonds, 3/14 at 102.00 N/R 1,967,264 Lakewood Springs Project, Series 2004A, 6.200%, 3/01/34 998 Volo Village, Illinois, Special Service Area 3 Special Tax Bonds, 3/16 at 102.00 N/R 895,885 Symphony Meadows Project 1, Series 2006, 6.000%, 3/01/36 (Mandatory put 2/29/16) 1,000 Yorkville United City Business District, Illinois, Storm Water and 1/17 at 102.00 N/R 885,070 Water Improvement Project Revenue Bonds, Series 2007, 6.000%, 1/01/26 980 Yorkville, Illinois, Special Service Area 2005-108 Assessment 3/16 at 102.00 N/R 879,726 Bonds, Autumn Creek Project, Series 2006, 6.000%, 3/01/36 - ------------------------------------------------------------------------------------------------------------------------------------ 25,403 Total Illinois 24,800,007 - ------------------------------------------------------------------------------------------------------------------------------------ INDIANA - 10.1% (6.4% OF TOTAL INVESTMENTS) 6,360 Carmel Redevelopment District, Indiana, Tax Increment Revenue 7/12 at 103.00 N/R 6,457,499 Bonds, Series 2004A, 6.650%, 1/15/24 22,770 Indiana Finance Authority, Water Facilities Refunding Revenue 10/16 at 100.00 AA 20,735,501 Bonds, Indiana-American Water Company Inc. Project, Series 2006, 4.875%, 10/01/36 - AMBAC Insured (UB) Indiana Health Facility Financing Authority, Hospital Revenue Bonds, Community Foundation of Northwest Indiana, Series 2004A: 500 6.250%, 3/01/25 3/14 at 101.00 BBB- 518,305 2,500 6.000%, 3/01/34 3/14 at 101.00 BBB- 2,477,075 200 Jasper County, Indiana, Economic Development Revenue 4/10 at 101.00 B2 186,304 Refunding Bonds, Georgia Pacific Corporation Project, Series 2000, 6.700%, 4/01/29 (Alternative Minimum Tax) 1,000 St. Joseph County, Indiana, Economic Development Revenue 7/15 at 103.00 N/R 1,025,570 Bonds, Chicago Trail Village Apartments, Series 2005A, 7.500%, 7/01/35 1,735 Whitley County, Indiana, Solid Waste and Sewerage Disposal 11/10 at 102.00 N/R 1,796,350 Revenue Bonds, Steel Dynamics Inc., Series 1998, 7.250%, 11/01/18 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 35,065 Total Indiana 33,196,604 - ------------------------------------------------------------------------------------------------------------------------------------ 65 NMZ Nuveen Municipal High Income Opportunity Fund (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ IOWA - 0.3% (0.2% OF TOTAL INVESTMENTS) $ 1,000 Iowa Finance Authority, Health Facility Revenue Bonds, 7/16 at 100.00 BBB- $ 924,590 Care Initiatives Project, Series 2006A, 5.500%, 7/01/25 - ------------------------------------------------------------------------------------------------------------------------------------ KANSAS - 0.5% (0.4% OF TOTAL INVESTMENTS) 2,000 Fredonia, Kansas, Hospital Revenue Bonds, Series 2007, 8/17 at 100.00 N/R 1,808,220 6.125%, 8/15/37 - ------------------------------------------------------------------------------------------------------------------------------------ LOUISIANA - 9.3% (5.9% OF TOTAL INVESTMENTS) 1,000 Carter Marina Community Development District, Louisiana, 10/12 at 100.00 N/R 953,850 Special Assessment Bonds, Series 2007, 6.250%, 10/01/22 3,000 Greystone Community Development District, Louisiana, 12/14 at 100.00 N/R 2,998,380 Special Assessment Bonds, Livingston Parish, Series 2007, 6.750%, 12/01/22 8,500 Hodge, Louisiana, Combined Utility System Revenue Bonds, No Opt. Call B- 8,035,729 Smurfit-Stone Container Corporation, Series 2003, 7.450%, 3/01/24 (Alternative Minimum Tax) 5,000 Louisiana Local Government Environmental Facilities & 11/17 at 100.00 BB+ 4,926,450 Community Development Authority, Revenue Bonds, Westlake Chemical Corporation Project, Series 2007, 6.750%, 11/01/32 1,000 Louisiana Local Government Environmental Facilities and 9/16 at 100.00 N/R 891,250 Community Development Authority, Carter Plantation Hotel Project Revenue Bonds, Series 2006A, 6.000%, 9/01/36 1,000 Louisiana Local Government Environmental Facilities and 6/16 at 101.00 N/R 1,012,300 Community Development Authority, Revenue Bonds, CDF Healthcare of Louisiana LLC, Series 2006A, 7.000%, 6/01/36 3,000 Louisiana Local Government Environmental Facilities and 12/17 at 100.00 N/R 2,906,490 Community Development Authority, Revenue Bonds, Southgate Suites Hotel LLC Project, Series 2007A, 6.750%, 12/15/37 Ouachita Parish Industrial Development Authority, Louisiana, Solid Waste Disposal Revenue Bonds, White Oaks Project, Series 2004A: 865 8.250%, 3/01/19 (Alternative Minimum Tax) 3/10 at 102.00 N/R 882,828 805 8.500%, 3/01/24 (Alternative Minimum Tax) 3/10 at 102.00 N/R 827,202 5,125 St. James Parish, Louisiana, Solid Waste Disposal Revenue 4/11 at 100.00 N/R 5,128,126 Bonds, Freeport McMoran Project, Series 1992, 7.700%, 10/01/22 (Alternative Minimum Tax) 2,000 Tobacco Settlement Financing Corporation, Louisiana, Tobacco 5/11 at 101.00 BBB 1,892,480 Settlement Asset-Backed Bonds, Series 2001B, 5.875%, 5/15/39 - ------------------------------------------------------------------------------------------------------------------------------------ 31,295 Total Louisiana 30,455,085 - ------------------------------------------------------------------------------------------------------------------------------------ MAINE - 0.9% (0.6% OF TOTAL INVESTMENTS) 3,155 Portland Housing Development Corporation, Maine, 2/14 at 102.00 Baa2 3,103,857 Section 8 Assisted Senior Living Revenue Bonds, Avesta Housing Development Corporation, Series 2004A, 6.000%, 2/01/34 - ------------------------------------------------------------------------------------------------------------------------------------ MARYLAND - 3.5% (2.2% OF TOTAL INVESTMENTS) 2,000 Maryland Energy Financing Administration, Revenue Bonds, 7/08 at 100.00 N/R 1,930,620 AES Warrior Run Project, Series 1995, 7.400%, 9/01/19 (Alternative Minimum Tax) 3,850 Maryland Health and Higher Educational Facilities Authority, 8/14 at 100.00 A- 3,839,220 Revenue Bonds, MedStar Health, Series 2004, 5.500%, 8/15/33 7,435 Prince George's County, Maryland, Revenue Bonds, Dimensions 7/08 at 100.00 B3 5,718,333 Health Corporation, Series 1994, 5.300%, 7/01/24 - ------------------------------------------------------------------------------------------------------------------------------------ 13,285 Total Maryland 11,488,173 - ------------------------------------------------------------------------------------------------------------------------------------ MASSACHUSETTS - 1.1% (0.7% OF TOTAL INVESTMENTS) 580 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 557,972 Resource Recovery Revenue Bonds, Eco/Springfield LLC, Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax) 2,000 Massachusetts Development Finance Agency, Revenue Bonds, 10/12 at 102.00 BB- 1,788,920 Orchard Cove, Series 2007, 5.250%, 10/01/26 1,350 Massachusetts Health and Educational Facilities Authority, 7/14 at 100.00 BB- 1,343,885 Revenue Bonds, Northern Berkshire Community Services Inc., Series 2004B, 6.375%, 7/01/34 - ------------------------------------------------------------------------------------------------------------------------------------ 3,930 Total Massachusetts 3,690,777 - ------------------------------------------------------------------------------------------------------------------------------------ 66 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ MICHIGAN - 4.1% (2.6% OF TOTAL INVESTMENTS) $ 1,240 Countryside Charter School, Berrien County, Michigan, Charter 4/09 at 100.00 N/R $ 1,244,861 School Revenue Bonds, Series 1999, 7.000%, 4/01/29 870 Countryside Charter School, Berrien County, Michigan, Charter 4/09 at 100.00 N/R 881,971 School Revenue Bonds, Series 2000, 8.000%, 4/01/29 Detroit Local Development Finance Authority, Michigan, Tax Increment Bonds, Series 1998A: 1,425 5.500%, 5/01/21 5/09 at 101.00 BB- 1,234,036 15 5.500%, 5/01/21 - ACA Insured 5/09 at 101.00 BB- 13,364 1,000 Garden City Hospital Finance Authority, Michigan, Revenue 8/17 at 100.00 N/R 769,590 Bonds, Garden City Hospital Obligated Group, Series 2007A, 5.000%, 8/15/38 3,580 Michigan State Hospital Finance Authority, Hospital Revenue 8/08 at 100.00 BB- 3,149,111 Refunding Bonds, Detroit Medical Center Obligated Group, Series 1993B, 5.500%, 8/15/23 500 Michigan State Hospital Finance Authority, Revenue Bonds, 5/15 at 100.00 BBB 433,800 Chelsea Community Hospital, Series 2005, 5.000%, 5/15/30 1,500 Michigan State Hospital Finance Authority, Revenue Bonds, 11/15 at 102.00 N/R 1,466,760 Hills and Dales General Hospital, Series 2005A, 6.750%, 11/15/38 2,665 Nataki Talibah Schoolhouse, Wayne County, Michigan, Certificates 6/10 at 102.00 N/R (4) 2,945,092 of Participation, Series 2000, 8.250%, 6/01/30 (Pre-refunded 6/01/10) Pontiac Hospital Finance Authority, Michigan, Hospital Revenue Refunding Bonds, NOMC Obligated Group, Series 1993: 985 6.000%, 8/01/13 (6) 8/08 at 100.00 C 96,136 1,500 6.000%, 8/01/18 (6) 8/08 at 100.00 C 146,400 1,800 6.000%, 8/01/23 (6) 8/08 at 100.00 C 175,680 1,000 Summit Academy North Charter School, Michigan, Charter 11/15 at 100.00 BB+ 854,850 School Revenue Bonds, Series 2005, 5.500%, 11/01/30 - ------------------------------------------------------------------------------------------------------------------------------------ 18,080 Total Michigan 13,411,651 - ------------------------------------------------------------------------------------------------------------------------------------ MINNESOTA - 3.3% (2.1% OF TOTAL INVESTMENTS) Minneapolis, Minnesota, Student Housing Revenue Bonds, Riverton Community Housing Project, Series 2000: 100 7.200%, 7/01/14 (Pre-refunded 7/01/10) 7/10 at 100.00 N/R (4) 109,191 100 7.300%, 7/01/15 (Pre-refunded 7/01/10) 7/10 at 100.00 N/R (4) 109,391 1,325 Ramsey, Anoka County, Minnesota, Charter School Lease 6/14 at 102.00 N/R 1,341,748 Revenue Bonds, PACT Charter School, Series 2004A, 6.750%, 12/01/33 5,000 St. Louis Park, Minnesota, Revenue Bonds, Park Nicollet Health 7/14 at 100.00 A (4) 5,553,250 Services, Series 2003B, 5.250%, 7/01/30 (Pre-refunded 7/01/14) 1,430 St. Paul Housing and Redevelopment Authority, Minnesota, 6/14 at 102.00 N/R 1,456,727 Charter School Revenue Bonds, Higher Ground Academy Charter School, Series 2004A, 6.625%, 12/01/23 1,100 St. Paul Housing and Redevelopment Authority, Minnesota, 6/14 at 102.00 N/R 1,117,347 Charter School Revenue Bonds, HOPE Community Academy Charter School, Series 2004A, 6.750%, 12/01/33 1,000 St. Paul Port Authority, Minnesota, Lease Revenue Bonds, 5/15 at 100.00 N/R 998,180 HealthEast Midway Campus, Series 2005B, 6.000%, 5/01/30 - ------------------------------------------------------------------------------------------------------------------------------------ 10,055 Total Minnesota 10,685,834 - ------------------------------------------------------------------------------------------------------------------------------------ MISSISSIPPI - 0.3% (0.2% OF TOTAL INVESTMENTS) 963 Mississippi Home Corporation, Multifamily Housing Revenue 10/19 at 101.00 N/R 875,734 Bonds, Tupelo Personal Care Apartments, Series 2004-2, 6.125%, 9/01/34 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ MISSOURI - 2.7% (1.7% OF TOTAL INVESTMENTS) 2,000 Branson Regional Airport Transportation Development District, 7/17 at 100.00 N/R 1,740,260 Missouri, Project Revenue Bonds, Series 2007B, 6.000%, 7/01/37 (Alternative Minimum Tax) 5,935 Missouri Environmental Improvement and Energy Resources 12/16 at 100.00 AA 5,178,822 Authority, Water Facility Revenue Bonds, Missouri-American Water Company, Series 2006, 4.600%, 12/01/36 - AMBAC Insured (Alternative Minimum Tax) (UB) 67 NMZ Nuveen Municipal High Income Opportunity Fund (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ MISSOURI (continued) $ 1,300 Saint Louis Industrial Development Authority, Missouri, 12/10 at 102.00 Caa2 $ 1,229,748 Saint Louis Convention Center Headquarters Hotel Project, Series 2000A, 7.250%, 12/15/35 (Alternative Minimum Tax) 805 Saint Louis, Missouri, Tax Increment Financing Revenue 12/08 at 100.00 N/R 767,205 Bonds, Grace Lofts Redevelopment Projects, Series 2007A, 6.000%, 3/27/26 - ------------------------------------------------------------------------------------------------------------------------------------ 10,040 Total Missouri 8,916,035 - ------------------------------------------------------------------------------------------------------------------------------------ MONTANA - 2.1% (1.4% OF TOTAL INVESTMENTS) 5,200 Montana Board of Investments, Exempt Facility Revenue Bonds, 7/10 at 101.00 B+ 5,031,676 Stillwater Mining Company, Series 2000, 8.000%, 7/01/20 (Alternative Minimum Tax) 2,060 Montana Board of Investments, Resource Recovery Revenue No Opt. Call N/R 2,003,247 Bonds, Yellowstone Energy LP, Series 1993, 7.000%, 12/31/19 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 7,260 Total Montana 7,034,923 - ------------------------------------------------------------------------------------------------------------------------------------ NEBRASKA - 2.8% (1.8% OF TOTAL INVESTMENTS) 6,500 Omaha Public Power District, Nebraska, Separate Electric 2/17 at 100.00 Aaa 6,234,930 System Revenue Bonds, Nebraska City 2, Series 2006A, Residuals 1508-2, 7.623%, 2/01/49 - AMBAC Insured (IF) 3,000 Omaha Public Power District, Nebraska, Separate Electric 2/17 at 100.00 Aaa 2,969,430 System Revenue Bonds, Nebraska City 2, Series 2006A, 5.000%, 2/01/49 - AMBAC Insured (UB) - ------------------------------------------------------------------------------------------------------------------------------------ 9,500 Total Nebraska 9,204,360 - ------------------------------------------------------------------------------------------------------------------------------------ NEVADA - 1.5% (1.0% OF TOTAL INVESTMENTS) 1,170 Clark County, Nevada, Industrial Development Revenue Bonds, 7/08 at 100.00 BB 989,691 Nevada Power Company Project, Series 1995C, 5.500%, 10/01/30 500 Clark County, Nevada, Industrial Development Revenue Bonds, 5/08 at 100.00 BB 432,595 Nevada Power Company, Series 1997A, 5.900%, 11/01/32 (Alternative Minimum Tax) 1,475 Clark County, Nevada, Local Improvement Bonds, Mountain's 8/16 at 100.00 N/R 1,409,141 Edge Special Improvement District 142, Series 2003, 6.375%, 8/01/23 1,000 Director of Nevada State Department of Business and Industry, 1/10 at 100.00 AAA 799,000 Revenue Bonds, Las Vegas Monorail Project, First Tier, Series 2000, 5.375%, 1/01/40 - AMBAC Insured 4,500 Director of Nevada State Department of Business and Industry, 1/10 at 102.00 N/R 1,434,825 Revenue Bonds, Las Vegas Monorail Project, Second Tier, Series 2000, 7.375%, 1/01/40 - ------------------------------------------------------------------------------------------------------------------------------------ 8,645 Total Nevada 5,065,252 - ------------------------------------------------------------------------------------------------------------------------------------ NEW JERSEY - 4.9% (3.1% OF TOTAL INVESTMENTS) 1,000 New Jersey Economic Development Authority, Revenue Bonds, 7/08 at 102.00 BB+ 850,440 United Methodist Homes of New Jersey Obligated Group, Series 1998, 5.125%, 7/01/25 1,660 New Jersey Economic Development Authority, Special Facilities 9/09 at 101.00 B 1,396,475 Revenue Bonds, Continental Airlines Inc., Series 1999, 6.250%, 9/15/29 (Alternative Minimum Tax) 500 New Jersey Economic Development Authority, Special Facilities 11/10 at 101.00 B 458,570 Revenue Bonds, Continental Airlines Inc., Series 2000, 7.000%, 11/15/30 (Alternative Minimum Tax) 500 New Jersey Health Care Facilities Financing Authority, Revenue 7/10 at 101.00 BBB- (4) 556,225 Bonds, Trinitas Hospital Obligated Group, Series 2000, 7.500%, 7/01/30 (Pre-refunded 7/01/10) Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2003: 7,825 6.750%, 6/01/39 (Pre-refunded 6/01/13) 6/13 at 100.00 AAA 9,111,116 2,760 7.000%, 6/01/41 (Pre-refunded 6/01/13) 6/13 at 100.00 AAA 3,244,325 500 Tobacco Settlement Financing Corporation, New Jersey, Tobacco 6/17 at 100.00 BBB 400,190 Settlement Asset-Backed Bonds, Series 2007-1A, 5.000%, 6/01/41 - ------------------------------------------------------------------------------------------------------------------------------------ 14,745 Total New Jersey 16,017,341 - ------------------------------------------------------------------------------------------------------------------------------------ 68 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ NEW YORK - 0.9% (0.6% OF TOTAL INVESTMENTS) $ 5 Dormitory Authority of the State of New York, Revenue Bonds, 7/11 at 101.00 Ba2 $ 4,716 Lenox Hill Hospital Obligated Group, Series 2001, 5.500%, 7/01/30 1,000 New York City Industrial Development Agency, New York, 8/16 at 101.00 B 980,520 American Airlines-JFK International Airport Special Facility Revenue Bonds, Series 2005, 7.750%, 8/01/31 (Alternative Minimum Tax) 1,700 New York City Industrial Development Agency, New York, 7/08 at 100.00 CCC+ 1,297,763 Special Facilities Revenue Bonds, American Airlines Inc., Series 1994, 6.900%, 8/01/24 (Alternative Minimum Tax) 750 New York City Industrial Development Agency, New York, No Opt. Call B 760,725 Special Facilities Revenue Bonds, JFK Airport - American Airlines Inc., Series 2002A, 8.000%, 8/01/12 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 3,455 Total New York 3,043,724 - ------------------------------------------------------------------------------------------------------------------------------------ NORTH CAROLINA - 1.9% (1.2% OF TOTAL INVESTMENTS) 5,500 North Carolina Capital Facilities Finance Agency, Solid Waste 7/12 at 106.00 N/R 5,163,895 Facilities Revenue Bonds, Liberty Tire Services of North Carolina LLC, Series 2004A, 6.750%, 7/01/29 1,000 North Carolina Capital Facilities Financing Agency, General 10/16 at 100.00 AA+ 1,088,100 Revenue Bonds, Duke University, Series 2006A, Trust 1076, 11.838%, 10/01/44 (IF) - ------------------------------------------------------------------------------------------------------------------------------------ 6,500 Total North Carolina 6,251,995 - ------------------------------------------------------------------------------------------------------------------------------------ OHIO - 9.6% (6.1% OF TOTAL INVESTMENTS) Belmont County, Ohio, Revenue Bonds, Ohio Valley Health Services and Education Corporation, Series 1998: 500 5.700%, 1/01/13 1/10 at 100.00 B 495,825 400 5.800%, 1/01/18 1/10 at 100.00 B 372,616 Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue Bonds, Senior Lien, Series 2007A-2: 355 5.125%, 6/01/24 6/17 at 100.00 BBB 334,385 3,570 5.875%, 6/01/30 6/17 at 100.00 BBB 3,321,885 3,375 5.750%, 6/01/34 6/17 at 100.00 BBB 3,050,966 10,855 5.875%, 6/01/47 6/17 at 100.00 BBB 9,605,804 3,255 Cleveland-Cuyahoga County Port Authority, Ohio, Development 5/14 at 102.00 N/R 3,109,860 Revenue Bonds, Bond Fund Program - Garfield Heights Project, Series 2004D, 5.250%, 5/15/23 7,000 Ohio Water Development Authority, Solid Waste Disposal Revenue 9/08 at 102.00 N/R 6,668,970 Bonds, Bay Shore Power, Series 1998A, 5.875%, 9/01/20 (Alternative Minimum Tax) 1,000 Ohio, Environmental Facilities Revenue Bonds, Ford Motor 4/15 at 100.00 Ba1 747,050 Company, Series 2005, 5.750%, 4/01/35 (Alternative Minimum Tax) 4,000 Western Reserve Port Authority, Ohio, Solid Waste Facility 7/17 at 102.00 N/R 3,714,680 Revenue Bonds, Central Waste Inc., Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 34,310 Total Ohio 31,422,041 - ------------------------------------------------------------------------------------------------------------------------------------ OKLAHOMA - 1.6% (1.0% OF TOTAL INVESTMENTS) 985 Okeene Municipal Hospital and Schallmo Authority, Oklahoma, 1/16 at 101.00 N/R 950,919 Revenue Bonds, Series 2006, 7.000%, 1/01/35 660 Oklahoma Development Finance Authority, Revenue Refunding 8/09 at 101.00 AAA 692,472 Bonds, Hillcrest Healthcare System, Series 1999A, 5.625%, 8/15/29 (Pre-refunded 8/15/09) 850 Tulsa Industrial Authority, Oklahoma, Student Housing 10/16 at 100.00 A2 826,362 Revenue Bonds, University of Tulsa, Series 2006, 5.000%, 10/01/37 1,335 Tulsa Municipal Airport Trust, Oklahoma, Revenue Bonds, 6/08 at 100.00 B 1,175,294 American Airlines Inc., Series 1995, 6.250%, 6/01/20 1,500 Tulsa Municipal Airport Trust, Oklahoma, Revenue Refunding No Opt. Call Caa1 1,488,840 Bonds, American Airlines Inc., Series 2004A, 7.750%, 6/01/35 (Mandatory put 12/01/14) - ------------------------------------------------------------------------------------------------------------------------------------ 5,330 Total Oklahoma 5,133,887 - ------------------------------------------------------------------------------------------------------------------------------------ 69 NMZ Nuveen Municipal High Income Opportunity Fund (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ PENNSYLVANIA - 5.2% (3.3% OF TOTAL INVESTMENTS) Allegheny County Hospital Development Authority, Pennsylvania, Revenue Bonds, West Penn Allegheny Health System, Series 2000B: $ 695 9.250%, 11/15/22 (Pre-refunded 11/15/10) 11/10 at 102.00 AAA $ 818,029 6,455 9.250%, 11/15/30 (Pre-refunded 11/15/10) 11/10 at 102.00 AAA 7,597,663 500 Allentown Area Hospital Authority, Pennsylvania, Revenue Bonds, No Opt. Call BB- 488,740 Sacred Heart Hospital, Series 2005, 6.000%, 11/15/16 1,000 Berks County Industrial Development Authority, Pennsylvania, 11/17 at 101.00 N/R 945,070 First Mortgage Revenue Bonds, One Douglassville Properties Project, Series 2007A, 6.125%, 11/01/34 (Alternative Minimum Tax) 2,000 Chester County Health and Education Facilities Authority, 10/15 at 102.00 N/R 1,844,660 Pennsylvania, Revenue Bonds, Immaculata University, Series 2005, 5.750%, 10/15/37 500 New Morgan Industrial Development Authority, Pennsylvania, 10/08 at 100.00 BB- 486,100 Solid Waste Disposal Revenue Bonds, New Morgan Landfill Company Inc., Series 1994, 6.500%, 4/01/19 (Alternative Minimum Tax) 400 Pennsylvania Economic Development Financing Authority, 12/09 at 103.00 Ba3 404,232 Exempt Facilities Revenue Bonds, Reliant Energy Inc., Series 2002A, 6.750%, 12/01/36 (Alternative Minimum Tax) 600 Pennsylvania Economic Development Financing Authority, 12/09 at 103.00 Ba3 606,348 Exempt Facilities Revenue Bonds, Reliant Energy Inc., Series 2003A, 6.750%, 12/01/36 (Alternative Minimum Tax) 4,000 Pennsylvania Economic Development Financing Authority, 6/12 at 102.00 BBB 3,966,080 Revenue Bonds, Amtrak 30th Street Station Parking Garage, Series 2002, 5.800%, 6/01/23 - ACA Insured (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 16,150 Total Pennsylvania 17,156,922 - ------------------------------------------------------------------------------------------------------------------------------------ RHODE ISLAND - 1.4% (0.9% OF TOTAL INVESTMENTS) 1,500 Central Falls Detention Facility Corporation, Rhode Island, 7/15 at 103.00 N/R 1,552,230 Detention Facility Revenue Bonds, Series 2005, 7.250%, 7/15/35 3,000 Rhode Island Tobacco Settlement Financing Corporation, 6/12 at 100.00 BBB 2,897,430 Tobacco Settlement Asset-Backed Bonds, Series 2002A, 6.250%, 6/01/42 - ------------------------------------------------------------------------------------------------------------------------------------ 4,500 Total Rhode Island 4,449,660 - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH CAROLINA - 1.4% (0.9% OF TOTAL INVESTMENTS) 4,000 Lancaster County, South Carolina, Assessment Bonds, 11/17 at 100.00 N/R 4,011,960 Edgewater II Improvement District, Series 2007A, 7.750%, 11/01/39 490 Tobacco Settlement Revenue Management Authority, No Opt. Call BBB 482,297 South Carolina, Tobacco Settlement Asset-Backed Bonds, Series 2001B, 6.375%, 5/15/30 - ------------------------------------------------------------------------------------------------------------------------------------ 4,490 Total South Carolina 4,494,257 - ------------------------------------------------------------------------------------------------------------------------------------ TENNESSEE - 2.9% (1.8% OF TOTAL INVESTMENTS) 3,500 Knox County Health, Educational and Housing Facilities Board, 4/12 at 101.00 Ba2 3,624,705 Tennessee, Hospital Revenue Bonds, Baptist Health System of East Tennessee Inc., Series 2002, 6.500%, 4/15/31 1,500 Maury County Industrial Development Board, Tennessee, 9/08 at 100.00 B- 1,283,505 Multi-Modal Interchangeable Rate Pollution Control Revenue Refunding Bonds, Saturn Corporation, Series 1994, 6.500%, 9/01/24 Sumner County Health, Educational, and Housing Facilities Board, Tennessee, Revenue Refunding Bonds, Sumner Regional Health System Inc., Series 2007: 2,000 5.500%, 11/01/37 11/17 at 100.00 N/R 1,859,860 2,000 5.500%, 11/01/46 11/17 at 100.00 N/R 1,813,460 1,000 Wilson County Health and Educational Facilities Board, 7/17 at 100.00 N/R 898,210 Tennessee, Senior Living Revenue Bonds, Rutland Place, Series 2007A, 6.300%, 7/01/37 - ------------------------------------------------------------------------------------------------------------------------------------ 10,000 Total Tennessee 9,479,740 - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS - 9.8% (6.2% OF TOTAL INVESTMENTS) 1,935 Austin Convention Enterprises Inc., Texas, Convention 1/11 at 100.00 N/R 1,935,619 Center Hotel Revenue Bonds, First Tier Series 2001A, 9.750%, 1/01/26 1,000 Austin Convention Enterprises Inc., Texas, Convention 1/17 at 100.00 BB 885,440 Center Hotel Revenue Bonds, First Tier Series 2006B, 5.750%, 1/01/34 70 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS (continued) $ 10 Brazos River Authority, Texas, Pollution Control Revenue No Opt. Call Caa1 $ 9,343 Refunding Bonds, TXU Electric Company, Series 2001C, 5.750%, 5/01/36 (Mandatory put 11/01/11) (Alternative Minimum Tax) 1,750 Dallas-Ft. Worth International Airport Facility Improvement 11/12 at 100.00 CCC+ 1,046,378 Corporation, Texas, Revenue Bonds, American Airlines Inc., Series 2007, 5.500%, 11/01/30 (Alternative Minimum Tax) Decatur Hospital Authority, Texas, Revenue Bonds, Wise Regional Health System, Series 2004A: 1,840 7.000%, 9/01/25 9/14 at 100.00 N/R 1,869,311 6,600 7.125%, 9/01/34 9/14 at 100.00 N/R 6,764,274 585 Gulf Coast Industrial Development Authority, Texas, 4/12 at 100.00 Baa3 627,073 Solid Waste Disposal Revenue Bonds, Citgo Petroleum Corporation Project, Series 1998, 8.000%, 4/01/28 (Alternative Minimum Tax) 1,000 Heart of Texas Education Finance Corporation, Texas, 8/16 at 100.00 N/R 895,450 Gateway Charter Academy, Series 2006A, 6.000%, 2/15/36 2,020 Houston, Texas, Airport System Special Facilities Revenue 7/09 at 101.00 B- 1,577,135 Bonds, Continental Air Lines Inc., Series 1998B, 5.700%, 7/15/29 (Alternative Minimum Tax) 975 Houston, Texas, Airport System Special Facilities Revenue 7/09 at 101.00 B- 761,241 Bonds, Continental Air Lines Inc., Series 1998C, 5.700%, 7/15/29 (Alternative Minimum Tax) Houston, Texas, Airport System Special Facilities Revenue Bonds, Continental Air Lines Inc., Series 2001E: 600 7.375%, 7/01/22 (Alternative Minimum Tax) 7/11 at 101.00 B- 580,758 5,350 6.750%, 7/01/29 (Alternative Minimum Tax) 7/11 at 101.00 B- 1,000 La Vernia Education Financing Corporation, Texas, Charter 8/11 at 100.00 N/R 839,480 School Revenue Bonds, Riverwalk Education Foundation, Series 2007A, 5.450%, 8/15/36 1,000 Sabine River Authority, Texas, Pollution Control Revenue 8/13 at 101.00 Caa1 856,710 Refunding Bonds, TXU Energy Company LLC Project, Series 2003B, 6.150%, 8/01/22 2,000 Sea Breeze Public Facility Corporation, Texas, Multifamily 1/21 at 100.00 N/R 1,846,600 Housing Revenue Bonds, Sea Breeze Senior Apartments, Series 2006, 6.500%, 1/01/46 (Alternative Minimum Tax) 5,785 Texas Department of Housing and Community Affairs, 7/21 at 100.00 N/R 5,719,340 Multifamily Housing Revenue Bonds, Humble Parkway Townhomes, Series 2004, 6.600%, 1/01/41 (Alternative Minimum Tax) 1,000 Texas Public Finance Authority, Charter School Finance 2/15 at 100.00 N/R 781,980 Corporation Revenue Bonds, Cosmos Foundation Inc., Series 2007A, 5.375%, 2/15/37 340 Trinity River Authority of Texas, Pollution Control Revenue 5/13 at 101.00 Caa1 282,139 Refunding Bonds, TXU Electric Company, Series 2003, 6.250%, 5/01/28 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 34,790 Total Texas 32,057,426 - ------------------------------------------------------------------------------------------------------------------------------------ VIRGIN ISLANDS - 2.5% (1.6% OF TOTAL INVESTMENTS) 5,000 Virgin Islands Public Finance Authority, Revenue Bonds, 1/14 at 100.00 BBB 5,005,400 Refinery Project - Hovensa LLC, Series 2003, 6.125%, 7/01/22 (Alternative Minimum Tax) 3,300 Virgin Islands Public Finance Authority, Senior Secured Lien 7/14 at 100.00 BBB 3,256,044 Revenue Bonds, Refinery Project - Hovensa LLC, Series 2004, 5.875%, 7/01/22 - ------------------------------------------------------------------------------------------------------------------------------------ 8,300 Total Virgin Islands 8,261,444 - ------------------------------------------------------------------------------------------------------------------------------------ VIRGINIA - 5.2% (3.3% OF TOTAL INVESTMENTS) 1,940 Isle of Wight County Industrial Development Authority, 3/17 at 100.00 BBB 1,466,989 Virginia, Environmental Improvement Revenue Bonds, International Paper Company Project, Series 2007A, 4.700%, 3/01/31 (Alternative Minimum Tax) Pocahontas Parkway Association, Virginia, Senior Lien Revenue Bonds, Route 895 Connector Toll Road, Series 1998A: 2,000 0.000%, 8/15/14 (Pre-refunded 8/15/08) 8/08 at 73.23 AAA 1,456,360 4,250 5.500%, 8/15/28 (Pre-refunded 8/15/08) 8/08 at 102.00 AAA 4,376,778 1,850 0.000%, 8/15/30 (Pre-refunded 8/15/08) 8/08 at 28.38 AAA 522,107 71 NMZ Nuveen Municipal High Income Opportunity Fund (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ VIRGINIA (continued) Pocahontas Parkway Association, Virginia, Senior Lien Revenue Bonds, Route 895 Connector Toll Road, Series 1998B: $ 2,000 0.000%, 8/15/12 (Pre-refunded 8/15/08) 8/08 at 82.10 AAA $ 1,632,800 3,000 0.000%, 8/15/15 (Pre-refunded 8/15/08) 8/08 at 68.82 AAA 2,053,170 9,000 0.000%, 8/15/19 (Pre-refunded 8/15/08) 8/08 at 54.38 AAA 4,867,020 605 Rockbridge County Industrial Development Authority, Virginia, 7/11 at 105.00 B2 (4) 696,603 Horse Center Revenue Bonds, Series 2001A, 7.400%, 7/15/21 (Pre-refunded 7/15/11) - ------------------------------------------------------------------------------------------------------------------------------------ 24,645 Total Virginia 17,071,827 - ------------------------------------------------------------------------------------------------------------------------------------ WASHINGTON - 4.3% (2.7% OF TOTAL INVESTMENTS) 3,000 Skagit County Public Hospital District 1, Washington, 12/13 at 100.00 Baa2 3,091,470 Revenue Bonds, Skagit Valley Hospital, Series 2003, 6.000%, 12/01/18 Vancouver Downtown Redevelopment Authority, Washington, Revenue Bonds, Conference Center Project, Series 2003A: 1,750 6.000%, 1/01/28 - ACA Insured 1/14 at 100.00 N/R 1,684,410 4,725 6.000%, 1/01/34 - ACA Insured 1/14 at 100.00 N/R 4,404,125 2,500 5.250%, 1/01/34 - ACA Insured 1/14 at 100.00 N/R 2,124,450 1,000 Washington State Economic Development Finance Authority, 12/17 at 100.00 N/R 860,610 Revenue Bonds, Coeur D'Alene Fiber Project, Series 2007G, 7.000%, 12/01/27 (Alternative Minimum Tax) 2,000 Washington State Health Care Facilities Authority, Revenue No Opt. Call N/R 1,868,100 Bonds, Northwest Hospital and Medical Center of Seattle, Series 2007, 5.700%, 12/01/32 - ------------------------------------------------------------------------------------------------------------------------------------ 14,975 Total Washington 14,033,165 - ------------------------------------------------------------------------------------------------------------------------------------ WEST VIRGINIA - 0.3% (0.3% OF TOTAL INVESTMENTS) 500 Ohio County Commission, West Virginia, Special District 3/16 at 100.00 N/R 479,295 Excise Tax Revenue Bonds, Fort Henry Economic Development, Series 2006B, 5.625%, 3/01/36 500 Ohio County Commission, West Virginia, Tax Increment No Opt. Call N/R 501,540 Revenue Bonds, Fort Henry Centre Financing District, Series 2007A, 5.850%, 6/01/34 - ------------------------------------------------------------------------------------------------------------------------------------ 1,000 Total West Virginia 980,835 - ------------------------------------------------------------------------------------------------------------------------------------ WISCONSIN - 9.5% (6.1% OF TOTAL INVESTMENTS) 550 Lac Courte Oreilles Band of Lake Superior Chippewa Indians, 12/14 at 101.00 N/R (4) 693,974 Wisconsin, Revenue Bonds, Series 2003A, 7.750%, 6/01/16 (Pre-refunded 12/01/14) Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care Inc., Series 1999A: 9,485 5.600%, 2/15/29 2/09 at 101.00 BBB+ 9,045,369 2,300 5.600%, 2/15/29 - ACA Insured 2/09 at 101.00 BBB+ 2,230,586 Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Southwest Health Center Inc., Series 2004A: 875 6.125%, 4/01/24 4/14 at 100.00 N/R 856,258 1,000 6.250%, 4/01/34 4/14 at 100.00 N/R 943,180 Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan Health Care System, Series 2006: 7,995 5.250%, 8/15/26 (UB) 8/16 at 100.00 A- 7,259,620 12,000 5.250%, 8/15/34 (UB) 8/16 at 100.00 A- 10,308,240 - ------------------------------------------------------------------------------------------------------------------------------------ 34,205 Total Wisconsin 31,337,227 - ------------------------------------------------------------------------------------------------------------------------------------ 72 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WYOMING - 0.3% (0.2% OF TOTAL INVESTMENTS) $ 1,000 Sweetwater County, Wyoming, Solid Waste Disposal Revenue 12/15 at 100.00 BBB $ 921,740 Bonds, FMC Corporation, Series 2005, 5.600%, 12/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ $ 548,392 Total Investments (cost $528,081,305) - 156.7% 514,848,543 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (13.5)% (44,370,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - 4.0% 13,025,073 -------------------------------------------------------------------------------------------------------------------- Preferred Shares, at Liquidation Value - (47.2)% (7) (155,000,000) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $328,503,616 ====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. (4) Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. (5) The issuer has received a formal adverse determination from the Internal Revenue Service (the "IRS") regarding the tax-exempt status of the bonds' coupon payments. The Fund will continue to treat coupon payments as tax-exempt income until such time that it is formally determined that the interest on the bonds should be treated as taxable. (6) On April 14, 2008, the Adviser concluded that the issuer was not likely to meet its interest payment obligations and directed the custodian to cease accruing additional income and "write-off" any remaining recorded balances on the Fund's records. (7) Preferred Shares, at Liquidation Value as a percentage of total investments is (30.1)%. N/R Not rated. (ETM) Escrowed to maturity. (IF) Inverse floating rate investment. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 73 NMD Nuveen Municipal High Income Opportunity Fund 2 Portfolio of INVESTMENTS April 30, 2008 (Unaudited)
PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ ALABAMA - 1.0% (0.8% OF TOTAL INVESTMENTS) $ 2,290 Birmingham Special Care Facilities Financing Authority, 11/15 at 100.00 Baa1 $ 2,228,445 Alabama, Revenue Bonds, Baptist Health System Inc., Series 2005A, 5.250%, 11/15/20 - ------------------------------------------------------------------------------------------------------------------------------------ ARIZONA - 4.0% (3.1% OF TOTAL INVESTMENTS) 1,000 Estrella Mountain Ranch Community Facilities District, 7/17 at 100.00 N/R 953,130 Goodyear, Arizona, General Obligation Bonds, Series 2007, 6.200%, 7/15/32 4,000 Quechan Indian Tribe of the Fort Yuma Reservation, Arizona, 12/17 at 102.00 N/R 3,948,520 Government Project Bonds, Series 2007, 7.000%, 12/01/27 3,125 Salt Verde Financial Corporation, Arizona, Senior Gas Revenue No Opt. Call AA- 2,588,188 Bonds, Trust 2373, 13.299%, 12/01/37 (IF) 1,000 Yuma County Industrial Development Authority, Arizona, Exempt 12/17 at 100.00 N/R 948,740 Revenue Bonds, Far West Water & Sewer Inc. Refunding, Series 2007A, 6.375%, 12/01/37 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 9,125 Total Arizona 8,438,578 - ------------------------------------------------------------------------------------------------------------------------------------ CALIFORNIA - 22.8% (18.2% OF TOTAL INVESTMENTS) 2,000 California Educational Facilities Authority, Revenue Bonds, 12/16 at 100.00 Baa3 1,748,960 Dominican University, Series 2006, 5.000%, 12/01/36 3,750 California Health Facilities Financing Authority, Revenue Bonds, 11/16 at 100.00 Aa3 3,817,275 Sutter Health, Series 2007, Trust 1757, 12.893%, 11/15/46 (IF) 7,000 California Statewide Community Development Authority, 7/15 at 100.00 BBB+ 6,334,579 Revenue Bonds, Daughters of Charity Health System, Series 2005A, 5.250%, 7/01/35 Daly City Housing Development Finance Agency, California, Mobile Home Park Revenue Bonds, Franciscan Mobile Home Park Refunding, Series 2007A: 3,500 5.000%, 12/15/37 12/17 at 100.00 A- 3,144,365 2,000 6.500%, 12/15/47 12/17 at 100.00 N/R 1,799,280 Golden State Tobacco Securitization Corporation, California, Enhanced Tobacco Settlement Asset-Backed Bonds, Series 2007A-1: 3,000 5.750%, 6/01/47 6/17 at 100.00 BBB 2,693,670 2,500 5.125%, 6/01/47 6/17 at 100.00 BBB 2,023,275 3,190 Golden State Tobacco Securitization Corporation, California, 6/15 at 100.00 Aaa 2,531,648 Tobacco Settlement Asset-Backed Revenue Bonds, Series 2005A, Trust 2213, 11.800%, 6/01/45 - AMBAC Insured (IF) 20,000 Golden State Tobacco Securitization Corporation, California, 6/15 at 100.00 A 19,159,600 Tobacco Settlement Asset-Backed Revenue Bonds, Series 2005A, 5.000%, 6/01/38 - FGIC Insured (UB) 6,015 Independent Cities Lease Finance Authority, California, 8/15 at 100.00 BBB 5,280,809 Senior Lien Revenue Bonds, Caritas Affordable Housing Project Mobile Home Park, Series 2005A, 5.200%, 8/15/45 - ACA Insured 495 Moorpark, California, Special Tax Bonds, Community 9/16 at 100.00 N/R 417,151 Facilities District 2004-1, Moorpark Highlands Project, Series 2006, 5.300%, 9/01/38 - ------------------------------------------------------------------------------------------------------------------------------------ 53,450 Total California 48,950,612 - ------------------------------------------------------------------------------------------------------------------------------------ COLORADO - 6.8% (5.4% OF TOTAL INVESTMENTS) 2,000 Arista Metropolitan District, Colorado, Special Revenue Bonds, 12/15 at 100.00 N/R 2,132,640 Series 2008, 9.250%, 12/01/37 500 Colorado Educational and Cultural Facilities Authority, Charter 12/16 at 100.00 N/R 429,125 School Revenue Bonds, Carbon Valley Academy, Series 2006, 5.625%, 12/01/36 74 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ COLORADO (continued) $ 1,530 Colorado Educational and Cultural Facilities Authority, Charter 5/17 at 100.00 BB+ $ 1,311,088 School Revenue Bonds, Windsor Academy, Series 2007A, 5.700%, 5/01/37 2,000 Colorado Educational and Cultural Facilities Authority, Revenue 6/18 at 102.00 N/R 1,912,240 Bonds, Pikes Peak School of Expeditionary Learning Charter School, Series 2008, 6.625%, 6/01/38 1,510 Colorado Health Facilities Authority, Revenue Bonds, Poudre 3/15 at 100.00 BBB+ 1,438,834 Valley Health Care, Series 2005F, 5.000%, 3/01/25 5,045 Colorado Housing and Finance Authority, Revenue Bonds, 4/17 at 100.00 N/R 4,554,525 Confluence Energy LLC Project, Series 2007, 6.750%, 4/01/27 (Alternative Minimum Tax) 3,000 University of Colorado Hospital Authority, Revenue Bonds, 5/16 at 100.00 Baa1 2,799,150 Series 2006A, 5.250%, 11/15/39 - ------------------------------------------------------------------------------------------------------------------------------------ 15,585 Total Colorado 14,577,602 - ------------------------------------------------------------------------------------------------------------------------------------ FLORIDA - 12.4% (9.9% OF TOTAL INVESTMENTS) 1,500 Beeline Community Development District, Palm Beach County, 5/18 at 100.00 N/R 1,424,505 Florida, Special Assessment Bonds, Series 2008A, 7.000%, 5/01/37 2,000 Escambia County, Florida, Environmental Improvement Revenue 8/11 at 100.00 BBB 1,658,520 Bonds, International Paper Company Projects, Series 2006B, 5.000%, 8/01/26 (Alternative Minimum Tax) 3,000 Jacksonville Economic Development Commission, Florida, 5/16 at 100.00 AA 3,013,740 Health Care Facilities Revenue Bonds, Mayo Clinic, Series 2006, 5.000%, 11/15/36 2,960 Old Palm Community Development District, Florida, 5/15 at 101.00 N/R 2,331,681 Special Assessment Bonds, Palm Beach Gardens, Series 2004A, 5.900%, 5/01/35 1,500 Palm Glades Community Development District, Florida, 5/18 at 100.00 N/R 1,424,040 Special Assessment Bond, Series 2008A, 7.125%, 5/01/39 1,000 Pine Island Community Development District, Florida, Special 5/12 at 101.00 N/R 863,830 Assessment Bonds, Bella Collina, Series 2004, 5.750%, 5/01/35 1,000 Poinciana West Community Development District, Florida, 5/17 at 100.00 N/R 867,190 Special Assessment Bonds, Series 2007, 6.000%, 5/01/37 985 Reunion West Community Development District, Florida, 5/12 at 101.00 N/R 868,908 Special Assessment Bonds, Series 2004, 6.250%, 5/01/36 2,850 South Miami Health Facilities Authority, Florida, Revenue Bonds, 8/17 at 100.00 AA- 2,659,905 Baptist Health Systems of South Florida, Trust 1030, 12.145%, 8/15/37 (IF) 6,000 Split Pine Community Development District, Florida, 5/17 at 100.00 N/R 4,794,660 Special Assessment Bonds, Series 2007A, 5.250%, 5/01/39 5,000 Stoneybrook Venice Community Development District, Florida, 5/18 at 100.00 N/R 4,727,850 Capital Improvement Revenue Bonds, Series 2007, 6.750%, 5/01/38 1,495 Tolomato Community Development District, Florida, 5/14 at 101.00 N/R 1,229,040 Special Assessment Bonds, Series 2006, 5.400%, 5/01/37 985 Winter Garden Village at Fowler Groves Community 5/16 at 100.00 N/R 835,280 Development District, Florida, Special Assessment Bonds, Series 2006, 5.650%, 5/01/37 - ------------------------------------------------------------------------------------------------------------------------------------ 30,275 Total Florida 26,699,149 - ------------------------------------------------------------------------------------------------------------------------------------ GEORGIA - 2.7% (2.1% OF TOTAL INVESTMENTS) 3,500 Effingham County Industrial Development Authority, 6/11 at 101.00 B2 3,176,810 Georgia, Pollution Control Revenue Refunding Bonds, Georgia-Pacific Project, Series 2001, 6.500%, 6/01/31 2,000 Fulton County Residential Care Facilities Authority, Georgia, 2/09 at 100.00 N/R 1,851,420 Revenue Bonds, Canterbury Court, Series 2004A, 6.125%, 2/15/34 1,000 Fulton County Residential Care Facilities Authority, Georgia, 7/17 at 100.00 N/R 757,050 Revenue Bonds, Elderly Care, Lenbrook Square Project, Series 2006A, 5.125%, 7/01/42 - ------------------------------------------------------------------------------------------------------------------------------------ 6,500 Total Georgia 5,785,280 - ------------------------------------------------------------------------------------------------------------------------------------ 75 NMD Nuveen Municipal High Income Opportunity Fund 2 (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ IDAHO - 1.7% (1.4% OF TOTAL INVESTMENTS) Madison County, Idaho, Hospital Revenue Certificates of Participation, Madison Memorial Hospital, Series 2006: $ 2,145 5.250%, 9/01/26 9/16 at 100.00 BBB- $ 1,943,048 2,000 5.250%, 9/01/37 9/16 at 100.00 BBB- 1,687,820 - ------------------------------------------------------------------------------------------------------------------------------------ 4,145 Total Idaho 3,630,868 - ------------------------------------------------------------------------------------------------------------------------------------ ILLINOIS - 8.9% (7.2% OF TOTAL INVESTMENTS) 5,620 Illinois Finance Authority, Charter School Revenue Bonds, No Opt. Call BBB 4,731,703 Chicago Charter School Foundation, Series 2007, 5.000%, 12/01/36 1,500 Illinois Finance Authority, Revenue Bonds, Roosevelt University, 4/17 at 100.00 Baa1 1,435,155 Series 2007, 5.500%, 4/01/37 7,425 Illinois Finance Authority, Revenue Bonds, Sherman 8/17 at 100.00 A- 6,963,758 Health Systems, Series 2007A, 5.500%, 8/01/37 2,500 Lombard Public Facilities Corporation, Illinois, First Tier 1/16 at 100.00 N/R 2,079,725 Conference Center and Hotel Revenue Bonds, Series 2005A-2, 5.500%, 1/01/36 - ACA Insured Southwestern Illinois Development Authority, Illinois, Saint Clair County Comprehensive Mental Health Center, Series 2007: 1,295 6.200%, 6/01/17 No Opt. Call N/R 1,288,085 2,745 6.625%, 6/01/37 6/17 at 103.00 N/R 2,694,465 - ------------------------------------------------------------------------------------------------------------------------------------ 21,085 Total Illinois 19,192,891 - ------------------------------------------------------------------------------------------------------------------------------------ INDIANA - 2.7% (2.1% OF TOTAL INVESTMENTS) 3,000 Hospital Authority of Delaware County, Indiana, Hospital 8/16 at 100.00 Baa2 2,605,710 Revenue Bonds, Cardinal Health System, Series 2006, 5.125%, 8/01/29 2,000 Indiana Health Facility Financing Authority, Revenue Bonds, 3/17 at 100.00 BBB- 1,757,180 Community Foundation of Northwest Indiana, Series 2007, 5.500%, 3/01/37 1,625 Vigo County, Indiana, Hospital Authority, Union Hospital, 9/17 at 100.00 N/R 1,414,303 Revenue Bonds, Series 2007, 5.800%, 9/01/47 - ------------------------------------------------------------------------------------------------------------------------------------ 6,625 Total Indiana 5,777,193 - ------------------------------------------------------------------------------------------------------------------------------------ LOUISIANA - 8.7% (7.0% OF TOTAL INVESTMENTS) 5,000 Greystone Community Development District, Louisiana, 12/14 at 100.00 N/R 4,997,300 Special Assessment Bonds, Livingston Parish, Series 2007, 6.750%, 12/01/22 7,500 Louisiana Local Government Environmental Facilities & 11/17 at 100.00 BB+ 7,389,673 Community Development Authority, Revenue Bonds, Westlake Chemical Corporation Project, Series 2007, 6.750%, 11/01/32 500 Louisiana Local Government Environmental Facilities and No Opt. Call AAA 523,240 Community Development Authority, Revenue Bonds, Capital Projects and Equipment Acquisition Program, Series 2000A, 6.300%, 7/01/30 - AMBAC Insured 5,000 Louisiana Local Government Environmental Facilities and 12/17 at 100.00 N/R 4,844,150 Community Development Authority, Revenue Bonds, Southgate Suites Hotel LLC Project, Series 2007A, 6.750%, 12/15/37 1,000 Tobacco Settlement Financing Corporation, Louisiana, 5/11 at 101.00 BBB 946,240 Tobacco Settlement Asset-Backed Bonds, Series 2001B, 5.875%, 5/15/39 - ------------------------------------------------------------------------------------------------------------------------------------ 19,000 Total Louisiana 18,700,603 - ------------------------------------------------------------------------------------------------------------------------------------ MARYLAND - 1.3% (1.0% OF TOTAL INVESTMENTS) 3,000 Maryland Health and Higher Educational Facilities Authority, 7/17 at 100.00 BBB 2,817,120 Revenue Bonds, Mercy Medical Center Project, Series 2007A, 5.500%, 7/01/42 - ------------------------------------------------------------------------------------------------------------------------------------ MICHIGAN - 0.8% (0.6% OF TOTAL INVESTMENTS) 1,750 Michigan Public Educational Facilities Authority, Charter 12/17 at 100.00 N/R 1,667,330 School Revenue Bonds, American Montessori Academy, Series 2007, 6.500%, 12/01/37 20 Michigan State Hospital Finance Authority, Hospital Revenue 8/08 at 101.00 Ba3 18,038 Bonds, Detroit Medical Center Obligated Group, Series 1998A, 5.250%, 8/15/23 - ------------------------------------------------------------------------------------------------------------------------------------ 1,770 Total Michigan 1,685,368 - ------------------------------------------------------------------------------------------------------------------------------------ 76 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ MINNESOTA - 2.3% (1.9% OF TOTAL INVESTMENTS) $ 5,000 St. Paul Housing and Redevelopment Authority, Minnesota, 11/15 at 100.00 Baa3 $ 4,976,450 Revenue Bonds, Healtheast Inc., Series 2005, 6.000%, 11/15/35 - ------------------------------------------------------------------------------------------------------------------------------------ MISSOURI - 1.0% (0.8% OF TOTAL INVESTMENTS) 40 Saint Louis Industrial Development Authority, Missouri, 12/10 at 102.00 Caa2 38,748 Saint Louis Convention Center Headquarters Hotel Project, Series 2000A, 7.000%, 12/15/15 (Alternative Minimum Tax) 2,105 Saint Louis, Missouri, Tax Increment Financing Revenue Bonds, 9/08 at 100.00 N/R 2,069,552 Fashion Square Redevelopment Project, Series 2008A, 6.300%, 8/22/26 - ------------------------------------------------------------------------------------------------------------------------------------ 2,145 Total Missouri 2,108,300 - ------------------------------------------------------------------------------------------------------------------------------------ NEVADA - 1.0% (0.8% OF TOTAL INVESTMENTS) 55 Clark County, Nevada, Industrial Development Revenue Bonds, 7/08 at 100.00 BB 45,997 Nevada Power Company, Series 1995A, 5.600%, 10/01/30 (Alternative Minimum Tax) Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas Monorail Project, First Tier, Series 2000: 1,200 5.625%, 1/01/32 - AMBAC Insured 1/10 at 102.00 AAA 1,076,676 1,200 5.375%, 1/01/40 - AMBAC Insured 1/10 at 100.00 AAA 958,800 - ------------------------------------------------------------------------------------------------------------------------------------ 2,455 Total Nevada 2,081,473 - ------------------------------------------------------------------------------------------------------------------------------------ NEW JERSEY - 4.0% (3.2% OF TOTAL INVESTMENTS) New Jersey Economic Development Authority, Special Facilities Revenue Bonds, Continental Airlines Inc., Series 1999: 3,000 6.250%, 9/15/19 (Alternative Minimum Tax) 9/09 at 101.00 B 2,666,640 55 6.400%, 9/15/23 (Alternative Minimum Tax) 9/09 at 101.00 B 48,233 240 6.250%, 9/15/29 (Alternative Minimum Tax) 9/09 at 101.00 B 201,900 25 New Jersey Economic Development Authority, Special Facilities 11/10 at 101.00 B 22,929 Revenue Bonds, Continental Airlines Inc., Series 2000, 7.000%, 11/15/30 (Alternative Minimum Tax) 5,700 New Jersey Health Care Facilities Financing Authority, 7/18 at 100.00 Baa2 5,557,899 New Jersey, Revenue Bonds, Saint Peters University Hospital, Series 2007, 5.750%, 7/01/37 - ------------------------------------------------------------------------------------------------------------------------------------ 9,020 Total New Jersey 8,497,601 - ------------------------------------------------------------------------------------------------------------------------------------ NEW MEXICO - 0.2% (0.2% OF TOTAL INVESTMENTS) 500 Montecito Estates Public Improvement District, New Mexico, 10/17 at 100.00 N/R 467,650 Special Levee Revenue Bonds, Series 2007, 7.000%, 10/01/37 - ------------------------------------------------------------------------------------------------------------------------------------ NEW YORK - 1.8% (1.5% OF TOTAL INVESTMENTS) 3,000 New York City Industrial Development Agency, New York, 8/16 at 101.00 B 2,941,560 American Airlines-JFK International Airport Special Facility Revenue Bonds, Series 2005, 7.750%, 8/01/31 (Alternative Minimum Tax) 1,030 New York City Industrial Development Agency, New York, 7/16 at 101.00 N/R 987,327 Civic Facility Revenue Bonds, Special Needs Facilities Pooled Program, Series 2008A-1, 5.800%, 7/01/23 - ------------------------------------------------------------------------------------------------------------------------------------ 4,030 Total New York 3,928,887 - ------------------------------------------------------------------------------------------------------------------------------------ NORTH CAROLINA - 2.0% (1.6% OF TOTAL INVESTMENTS) 1,685 Albemarle Hospital Authority, North Carolina, Health Care 10/17 at 100.00 BBB 1,517,814 Facilities Revenue Bonds, Series 2007, 5.250%, 10/01/38 North Carolina Capital Facilities Financing Agency, Educational Facilities Revenue Bond, Meredith College, Series 2008A: 1,740 6.000%, 6/01/31 6/18 at 100.00 BBB 1,747,064 1,000 6.125%, 6/01/35 6/18 at 100.00 BBB 1,008,920 - ------------------------------------------------------------------------------------------------------------------------------------ 4,425 Total North Carolina 4,273,798 - ------------------------------------------------------------------------------------------------------------------------------------ OHIO - 3.7% (3.0% OF TOTAL INVESTMENTS) 6,845 Buckeye Tobacco Settlement Financing Authority, Ohio, 6/17 at 100.00 BBB 6,057,276 Tobacco Settlement Asset-Backed Revenue Bonds, Senior Lien, Series 2007A-2, 5.875%, 6/01/47 77 NMD Nuveen Municipal High Income Opportunity Fund 2 (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ OHIO (continued) $ 95 Coshocton County, Ohio, Environmental Revenue Bonds, No Opt. Call B- $ 83,452 Smurfit-Stone Container Corporation, Series 2005, 5.125%, 8/01/13 2,000 Western Reserve Port Authority, Ohio, Solid Waste Facility 7/17 at 102.00 N/R 1,857,340 Revenue Bonds, Central Waste Inc., Series 2007A, 6.350%, 7/01/27 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 8,940 Total Ohio 7,998,068 - ------------------------------------------------------------------------------------------------------------------------------------ OKLAHOMA - 1.0% (0.8% OF TOTAL INVESTMENTS) 2,295 Oklahoma Development Finance Authority, Revenue Bonds, 2/17 at 100.00 AA- 2,089,414 Saint John Health System, Series 2007, Trust 1037, 12.031%, 2/15/42 (IF) 45 Tulsa Municipal Airport Trust, Oklahoma, Revenue Bonds, 6/08 at 100.00 B 39,617 American Airlines Inc., Series 1995, 6.250%, 6/01/20 - ------------------------------------------------------------------------------------------------------------------------------------ 2,340 Total Oklahoma 2,129,031 - ------------------------------------------------------------------------------------------------------------------------------------ PENNSYLVANIA - 1.3% (1.1% OF TOTAL INVESTMENTS) 1,010 Chester County Industrial Development Authority, Pennsylvania, 12/17 at 100.00 BB+ 962,884 Avon Grove Charter School Revenue Bonds, Series 2007A, 6.375%, 12/15/37 1,900 Lancaster County Hospital Authority, Pennsylvania, Revenue 7/17 at 100.00 N/R 1,875,794 Bonds, Brethren Village Project, Series 2008A, 6.500%, 7/01/40 - ------------------------------------------------------------------------------------------------------------------------------------ 2,910 Total Pennsylvania 2,838,678 - ------------------------------------------------------------------------------------------------------------------------------------ PUERTO RICO - 0.7% (0.5% OF TOTAL INVESTMENTS) 1,000 Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, 7/18 at 100.00 BBB- 1,047,990 Senior Lien Series 2008A, 6.000%, 7/01/38 500 Puerto Rico Industrial, Tourist, Educational, Medical and 6/10 at 100.00 CCC+ 370,970 Environmental Control Facilities Financing Authority, Revenue Bonds, American Airlines Inc., Series 1985A, 6.450%, 12/01/25 20 Puerto Rico Ports Authority, Special Facilities Revenue Bonds, 6/08 at 100.00 CCC+ 14,239 American Airlines Inc., Series 1996A, 6.250%, 6/01/26 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ 1,520 Total Puerto Rico 1,433,199 - ------------------------------------------------------------------------------------------------------------------------------------ SOUTH CAROLINA - 4.1% (3.3% OF TOTAL INVESTMENTS) 4,000 Charleston, South Carolina, Tax Increment Revenue Bonds, 6/08 at 100.00 N/R 3,991,040 Charleston Neck redevelopment Project, Series 2007, 7.500%, 6/01/09 1,600 Georgetown County, South Carolina, Environmental Improvement 8/11 at 100.00 BBB 1,289,904 Revenue Bonds, International Paper Company, Series 2006A, 5.000%, 8/01/30 (Alternative Minimum Tax) 3,488 Lancaster County, South Carolina, Special Assessment Bonds, No Opt. Call N/R 3,498,464 Edgewater II Improvement District, Series 2007B, 7.700%, 11/01/17 - ------------------------------------------------------------------------------------------------------------------------------------ 9,088 Total South Carolina 8,779,408 - ------------------------------------------------------------------------------------------------------------------------------------ TENNESSEE - 2.1% (1.7% OF TOTAL INVESTMENTS) Sumner County Health, Educational, and Housing Facilities Board, Tennessee, Revenue Refunding Bonds, Sumner Regional Health System Inc., Series 2007: 2,000 5.500%, 11/01/37 11/17 at 100.00 N/R 1,859,860 3,000 5.500%, 11/01/46 11/17 at 100.00 N/R 2,720,190 - ------------------------------------------------------------------------------------------------------------------------------------ 5,000 Total Tennessee 4,580,050 - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS - 8.7% (7.0% OF TOTAL INVESTMENTS) 10 Alliance Airport Authority, Texas, Special Facilities Revenue No Opt. Call CCC+ 9,142 Bonds, American Airlines Inc., Series 1991, 7.000%, 12/01/11 (Alternative Minimum Tax) 440 Brazos River Authority, Texas, Pollution Control Revenue No Opt. Call Caa1 411,092 Refunding Bonds, TXU Electric Company, Series 2001C, 5.750%, 5/01/36 (Mandatory put 11/01/11) (Alternative Minimum Tax) 3,000 Danbury Higher Education Authority Inc., Texas, Golden Rule 2/18 at 100.00 BB+ 2,817,330 Charter School Revenue Bonds, Series 2008A, 6.500%, 8/15/38 78 PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ TEXAS (continued) $ 1,330 La Vernia Higher Education Financing Corporation, Texas, 2/16 at 100.00 N/R $ 1,266,865 Education Revenue Bonds, Amigos Por Vida Friends For Life Public Charter School, Series 2008, 6.375%, 2/15/37 4,000 Mission Economic Development Corporation, Texas, 4/12 at 100.00 B+ 3,530,240 Solid Waste Disposal Revenue Bonds, Allied Waste Industries, Inc., Series 2007A, 5.200%, 4/01/18 (Alternative Minimum Tax) 110 Sabine River Authority, Texas, Pollution Control Revenue Bonds, No Opt. Call Caa1 102,773 TXU Energy Company LLC Project, Series 2001B, 5.750%, 5/01/30 (Mandatory put 11/01/11) (Alternative Minimum Tax) 385 Sabine River Authority, Texas, Pollution Control Revenue No Opt. Call Caa1 359,032 Refunding Bonds, TXU Electric Company, Series 2001A, 5.500%, 5/01/22 (Mandatory put 11/01/11) 3,000 Sabine River Authority, Texas, Pollution Control Revenue 8/13 at 101.00 Caa1 2,570,130 Refunding Bonds, TXU Energy Company LLC Project, Series 2003B, 6.150%, 8/01/22 2,875 Tarrant County Cultural and Educational Facilities Finance 2/17 at 100.00 AA- 2,704,398 Corporation, Texas, Revenue Bonds, Texas Health Resources Project, Trust 1031, 12.153%, 2/15/36 (IF) 5,000 Texas Turnpike Authority, First Tier Revenue Bonds, 8/12 at 100.00 AAA 4,977,650 Central Texas Turnpike System, Series 2002A, 5.000%, 8/15/42 - AMBAC Insured - ------------------------------------------------------------------------------------------------------------------------------------ 20,150 Total Texas 18,748,652 - ------------------------------------------------------------------------------------------------------------------------------------ UTAH - 4.0% (3.2% OF TOTAL INVESTMENTS) 1,750 Spanish Fork City, Utah, Charter School Revenue Bonds, 11/16 at 100.00 N/R 1,530,358 American Leadership Academy, Series 2006, 5.700%, 11/15/36 Utah State Charter School Finance Authority, Noah Webster Academy Revenue Bonds, Series: 500 6.250%, 6/15/28 6/17 at 100.00 N/R 479,810 1,430 6.500%, 6/15/38 6/17 at 100.00 N/R 1,379,607 5,500 Utah State Charter School Finance Authority, Revenue Bonds, 12/17 at 100.00 BBB- 5,100,480 Summit Academy Project, Series 2007A, 5.800%, 6/15/38 - ------------------------------------------------------------------------------------------------------------------------------------ 9,180 Total Utah 8,490,255 - ------------------------------------------------------------------------------------------------------------------------------------ WASHINGTON - 5.3% (4.2% OF TOTAL INVESTMENTS) 4,000 Kalispel Indian Tribe, Washington, Priority Distribution Bonds, No Opt. Call N/R 3,876,160 Series 2008, 6.750%, 1/01/38 1,000 Klickitat County Public Hospital District 2, Washington, No Opt. Call N/R 963,380 Skyline Hospital Revenue Bonds, Series 2007, 6.500%, 12/01/38 7,000 Washington State Health Care Facilities Authority, Revenue No Opt. Call N/R 6,538,349 Bonds, Northwest Hospital and Medical Center of Seattle, Series 2007, 5.700%, 12/01/32 - ------------------------------------------------------------------------------------------------------------------------------------ 12,000 Total Washington 11,377,889 - ------------------------------------------------------------------------------------------------------------------------------------ WEST VIRGINIA - 0.3% (0.3% OF TOTAL INVESTMENTS) 740 Ohio County Commission, West Virginia, Special District Excise 3/16 at 100.00 N/R 709,357 Tax Revenue Bonds, Fort Henry Economic Development, Series 2006B, 5.625%, 3/01/36 - ------------------------------------------------------------------------------------------------------------------------------------ WISCONSIN - 6.5% (5.1% OF TOTAL INVESTMENTS) 16,000 Wisconsin Health and Educational Facilities Authority, Revenue 8/16 at 100.00 A- 13,744,320 Bonds, Wheaton Franciscan Health Care System, Series 2006, 5.250%, 8/15/34 (UB) - ------------------------------------------------------------------------------------------------------------------------------------ 79 NMD Nuveen Municipal High Income Opportunity Fund 2 (continued) Portfolio of INVESTMENTS April 30, 2008 (Unaudited) PRINCIPAL OPTIONAL CALL AMOUNT (000) DESCRIPTION (1) PROVISIONS (2) RATINGS (3) VALUE - ------------------------------------------------------------------------------------------------------------------------------------ WYOMING - 1.3% (1.0% OF TOTAL INVESTMENTS) $ 3,000 Sweetwater County, Wyoming, Solid Waste Disposal Revenue 12/15 at 100.00 BBB $ 2,765,220 Bonds, FMC Corporation, Series 2005, 5.600%, 12/01/35 (Alternative Minimum Tax) - ------------------------------------------------------------------------------------------------------------------------------------ $ 291,293 Total Investments (cost $253,719,338) - 125.1% 268,411,995 =============----------------------------------------------------------------------------------------------------------------------- Floating Rate Obligations - (12.6)% (27,000,000) -------------------------------------------------------------------------------------------------------------------- Other Assets Less Liabilities - (12.5)% (26,803,696) -------------------------------------------------------------------------------------------------------------------- Net Assets Applicable to Common Shares - 100% $ 214,608,299 ====================================================================================================================
FUTURES CONTRACTS OUTSTANDING AT APRIL 30, 2008: UNREALIZED CONTRACT NUMBER OF CONTRACT VALUE AT APPRECIATION TYPE POSITION CONTRACTS EXPIRATION APRIL 30, 2008 (DEPRECIATION) - ------------------------------------------------------------------------------------------------------------------------------------ U.S. Treasury Bonds Short (563) 6/08 $(65,809,422) $946,310 ====================================================================================================================================
(1) All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. (2) Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. (3) Ratings: Using the higher of Standard & Poor's Group ("Standard & Poor's") or Moody's Investor Service, Inc. ("Moody's") rating. Ratings below BBB by Standard & Poor's or Baa by Moody's are considered to be below investment grade. The Portfolio of Investments may reflect the ratings on certain bonds insured by AMBAC, CIFG, FGIC, MBIA and XLCA as of April 30, 2008. Please see the Portfolio Managers' Commentary for an expanded discussion of the affect on the Fund of changes to the ratings of certain bonds in the portfolio resulting from changes to the ratings of the underlying insurers both during the period and after period end. N/R Not rated. (IF) Inverse floating rate investment. (UB) Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the provisions of SFAS No. 140. See accompanying notes to financial statements. 80 Statement of ASSETS & LIABILITIES April 30, 2008 (Unaudited)
INVESTMENT SELECT QUALITY PREMIER HIGH INCOME HIGH INCOME QUALITY QUALITY INCOME INCOME OPPORTUNITY OPPORTUNITY 2 (NQM) (NQS) (NQU) (NPF) (NMZ) (NMD) - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at value (cost $812,349,783, $748,498,836, $1,252,655,479, $494,623,101, $528,081,305 and $280,719,338, respectively) $831,040,734 $764,611,611 $1,300,166,759 $502,415,245 $514,848,543 $268,411,995 Cash 2,968,036 3,382,609 1,629,427 1,326,426 2,683,614 -- Receivables: Interest 13,186,884 11,937,934 20,655,103 7,630,734 10,331,341 6,000,721 Investments sold 55,000 771,190 2,385,000 100,000 2,811,263 1,860,159 Deferred offering cost -- -- -- -- 324,586 33,872 Other assets 87,559 81,215 127,946 42,228 42,355 26,253 - ------------------------------------------------------------------------------------------------------------------------------------ Total assets 847,338,213 780,784,559 1,324,964,235 511,514,633 531,041,702 276,333,000 - ------------------------------------------------------------------------------------------------------------------------------------ LIABILITIES Borrowings from custodian -- -- -- -- -- 32,562,804 Floating rate obligations 24,930,000 7,500,000 72,960,000 62,107,900 44,370,000 27,000,000 Payable for investments purchased 982,104 1,957,500 3,324,861 992,186 1,001,533 -- Variation margin on futures contracts -- -- -- -- -- 439,844 Unrealized depreciation on forward swaps -- -- -- 2,160,962 -- -- Accrued expenses: Management fees 410,558 385,732 616,388 226,436 158,906 63,933 Offering costs -- -- -- -- -- 472,500 Other 212,283 193,110 309,553 110,411 92,949 111,489 Common share dividends payable 1,989,671 1,997,049 2,901,998 976,815 1,869,029 1,074,131 Preferred share dividends payable 109,197 105,583 188,750 53,546 45,669 N/A - ------------------------------------------------------------------------------------------------------------------------------------ Total liabilities 28,633,813 12,138,974 80,301,550 66,628,256 47,538,086 61,724,701 - ------------------------------------------------------------------------------------------------------------------------------------ Preferred shares, at liquidation value 301,000,000 279,000,000 452,000,000 165,000,000 155,000,000 N/A - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $517,704,400 $489,645,585 $ 792,662,685 $279,886,377 $328,503,616 $214,608,299 ==================================================================================================================================== Common shares outstanding 35,820,767 34,015,420 54,219,374 19,904,218 23,859,362 15,796,696 ==================================================================================================================================== Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding) $ 14.45 $ 14.39 $ 14.62 $ 14.06 $ 13.77 $ 13.59 ==================================================================================================================================== NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF: - ------------------------------------------------------------------------------------------------------------------------------------ Common shares, $.01 par value per share $ 358,208 $ 340,154 $ 542,194 $ 199,042 $ 238,594 $ 157,967 Paid-in surplus 499,418,358 473,839,020 755,310,592 276,591,039 338,649,115 225,628,553 Undistributed (Over-distribution of) net investment income (1,127,650) (253,042) (135,306) (628,161) 1,623,700 1,571,912 Accumulated net realized gain (loss) from investments and derivative transactions 364,533 (393,322) (10,566,075) (1,906,725) 1,224,969 (1,389,100) Net unrealized appreciation (depreciation) of investments and derivative transactions 18,690,951 16,112,775 47,511,280 5,631,182 (13,232,762) (11,361,033) - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares $517,704,400 $489,645,585 $ 792,662,685 $279,886,377 $328,503,616 $214,608,299 ==================================================================================================================================== Authorized shares: Common 200,000,000 200,000,000 200,000,000 200,000,000 Unlimited Unlimited Preferred 1,000,000 1,000,000 1,000,000 1,000,000 Unlimited Unlimited ====================================================================================================================================
N/A - Fund did not issue Preferred shares during the period November 15, 2007 (commencement of operations) through April 30, 2008. See accompanying notes to financial statements. 81 Statement of OPERATIONS Six Months Ended April 30, 2008 (Unaudited)
INVESTMENT SELECT QUALITY PREMIER HIGH INCOME HIGH INCOME QUALITY QUALITY INCOME INCOME OPPORTUNITY OPPORTUNITY 2 (NQM) (NQS) (NQU) (NPF) (NMZ) (NMD)* - ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT INCOME $ 21,802,369 $ 21,335,553 $ 33,355,902 $ 12,191,166 $ 17,363,403 $ 7,122,777 - ------------------------------------------------------------------------------------------------------------------------------------ EXPENSES Management fees 2,518,740 2,368,167 3,762,088 1,392,827 1,789,504 701,409 Preferred shares - auction fees 374,194 346,845 561,912 205,123 192,691 N/A Preferred shares - dividend disbursing agent fees 24,836 24,804 29,808 14,879 14,932 N/A Shareholders' servicing agent fees and expenses 25,979 22,695 38,104 13,978 1,182 705 Interest expense on floating rate obligations 310,636 97,501 722,470 771,955 591,664 212,539 Interest expense on borrowings from custodian -- -- -- -- -- 108,272 Custodian's fees and expenses 74,536 90,254 98,512 46,275 160,890 41,537 Directors'/Trustees' fees and expenses 7,599 7,527 10,823 4,698 5,319 4,861 Professional fees 23,220 23,202 32,089 15,449 22,104 9,764 Shareholders' reports - printing and mailing expenses 48,245 45,243 69,343 28,884 33,769 26,585 Stock exchange listing fees 6,286 5,993 9,412 4,658 1,423 12,966 Investor relations expense 51,255 48,847 77,968 28,374 32,476 73,483 Other expenses 22,177 23,217 29,086 19,434 5,996 5,571 - ------------------------------------------------------------------------------------------------------------------------------------ Total expenses before custodian fee credit and expense reimbursement 3,487,703 3,104,295 5,441,615 2,546,534 2,851,950 1,197,692 Custodian fee credit (48,691) (75,209) (56,932) (27,542) (2,572) (27,754) Expense reimbursement -- -- -- -- (795,953) (573,043) - ------------------------------------------------------------------------------------------------------------------------------------ Net expenses 3,439,012 3,029,086 5,384,683 2,518,992 2,053,425 596,895 - ------------------------------------------------------------------------------------------------------------------------------------ Net investment income 18,363,357 18,306,467 27,971,219 9,672,174 15,309,978 6,525,882 - ------------------------------------------------------------------------------------------------------------------------------------ REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from: Investments 742,653 653,614 1,272,142 (1,503,401) 1,220,269 (1,409,768) Forward swaps -- -- -- (247,000) -- -- Futures -- -- -- -- -- 20,668 Change in net unrealized appreciation (depreciation) of: Investments (20,257,130) (22,468,060) (18,894,077) (10,397,018) (37,622,252) (12,307,343) Forward swaps -- -- -- (2,290,721) -- -- Futures -- -- -- -- -- 946,310 - ------------------------------------------------------------------------------------------------------------------------------------ Net realized and unrealized gain (loss) (19,514,477) (21,814,446) (17,621,935) (14,438,140) (36,401,983) (12,750,133) - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO PREFERRED SHAREHOLDERS From net investment income (5,400,870) (5,012,273) (8,090,972) (2,979,946) (2,503,766) N/A From accumulated net realized gains -- -- -- -- (526,498) N/A - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Preferred shareholders (5,400,870) (5,012,273) (8,090,972) (2,979,946) (3,030,264) N/A - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations $ (6,551,990) $ (8,520,252) $ 2,258,312 $ (7,745,912) $(24,122,269) $ (6,224,251) ====================================================================================================================================
* For the period November 15, 2007 (commencement of operations) through April 30, 2008. N/A - Fund did not issue Preferred shares during the period November 15, 2007 (commencement of operations) through April 30, 2008. See accompanying notes to financial statements. 82 Statement of CHANGES in NET ASSETS (Unaudited)
INVESTMENT QUALITY (NQM) SELECT QUALITY (NQS) ----------------------------- ------------------------------ SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED 4/30/08 10/31/07 4/30/08 10/31/07 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 18,363,357 $ 36,606,543 $ 18,306,467 $ 36,198,697 Net realized gain (loss) from: Investments 742,653 1,949,305 653,614 1,994,624 Forward swaps -- -- -- -- Futures -- -- -- -- Change in net unrealized appreciation (depreciation) of: Investments (20,257,130) (23,427,097) (22,468,060) (19,571,728) Forward swaps -- -- -- -- Futures -- -- -- -- Distributions to Preferred Shareholders: From net investment income (5,400,870) (10,668,647) (5,012,273) (9,950,399) From accumulated net realized gains -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations (6,551,990) 4,460,104 (8,520,252) 8,671,194 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (14,009,505) (28,773,137) (13,671,951) (28,151,510) From accumulated net realized gains -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (14,009,505) (28,773,137) (13,671,951) (28,151,510) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Proceeds from sale of shares, net of offering costs adjustments -- -- -- -- Proceeds from shelf offering, net of offering costs adjustments -- -- -- -- Net proceeds from shares issued to shareholders due to reinvestment of distributions -- 1,107,500 167,321 1,154,896 Cost of repurchases -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions -- 1,107,500 167,321 1,154,896 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (20,561,495) (23,205,533) (22,024,882) (18,325,420) Net assets applicable to Common shares at the beginning of period 538,265,895 561,471,428 511,670,467 529,995,887 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $517,704,400 $538,265,895 $489,645,585 $511,670,467 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ (1,127,650) $ (80,632) $ (253,042) $ 124,715 ====================================================================================================================================
See accompanying notes to financial statements. 83 Statement of CHANGES in NET ASSETS (continued) (Unaudited)
QUALITY INCOME (NQU) PREMIER INCOME (NPF) ----------------------------- ------------------------------ SIX MONTHS YEAR SIX MONTHS YEAR ENDED ENDED ENDED ENDED 4/30/08 10/31/07 4/30/08 10/31/07 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 27,971,219 $ 54,707,748 $ 9,672,174 $ 19,093,554 Net realized gain (loss) from: Investments 1,272,142 1,756,386 (1,503,401) 53,881 Forward swaps -- -- (247,000) 178,000 Futures -- -- -- -- Change in net unrealized appreciation (depreciation) of: Investments (18,894,077) (29,728,496) (10,397,018) (12,901,205) Forward swaps -- -- (2,290,721) 636,942 Futures -- -- -- -- Distributions to Preferred Shareholders: From net investment income (8,090,972) (16,132,468) (2,979,946) (5,895,868) From accumulated net realized gains -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations 2,258,312 10,603,170 (7,745,912) 1,165,304 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (19,681,635) (40,496,209) (6,688,322) (13,479,410) From accumulated net realized gains -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (19,681,635) (40,496,209) (6,688,322) (13,479,410) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Proceeds from sale of shares, net of offering costs adjustments -- -- -- -- Proceeds from shelf offering, net of offering costs adjustments -- -- -- -- Net proceeds from shares issued to shareholders due to reinvestment of distributions -- 227,748 -- -- Cost of repurchases -- -- (57,215) (2,448,254) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions -- 227,748 57,215 (2,448,254) - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (17,423,323) (29,665,291) (14,491,449) (14,762,360) Net assets applicable to Common shares at the beginning of period 810,086,008 839,751,299 294,377,826 309,140,186 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $792,662,685 $810,086,008 $279,886,377 $294,377,826 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ (135,306) $ (333,918) $ (628,161) $ (632,067) ====================================================================================================================================
See accompanying notes to financial statements. 84
HIGH INCOME HIGH INCOME OPPORTUNITY (NMZ) OPPORTUNITY 2 (NMD) ----------------------------- ------------------------------ SIX MONTHS YEAR FOR THE PERIOD 11/15/07 ENDED ENDED (COMMENCEMENT OF OPERATIONS) 4/30/08 10/31/07 THROUGH 4/30/08 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 15,309,978 $ 28,668,897 $ 6,525,882 Net realized gain (loss) from: Investments 1,220,269 2,665,874 (1,409,768) Forward swaps -- -- -- Futures -- -- 20,668 Change in net unrealized appreciation (depreciation) of: Investments (37,622,252) (17,903,629) (12,307,343) Forward swaps -- -- -- Futures -- -- 946,310 Distributions to Preferred Shareholders: From net investment income (2,503,766) (5,501,664) N/A From accumulated net realized gains (526,498) (19,807) N/A - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from operations (24,122,269) 7,909,671 (6,224,251) - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO COMMON SHAREHOLDERS From net investment income (11,688,264) (22,823,070) (4,953,970) From accumulated net realized gains (2,146,329) (105,253) -- - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets applicable to Common shares from distributions to Common shareholders (13,834,593) (22,928,323) (4,953,970) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Common shares: Proceeds from sale of shares, net of offering costs adjustments -- -- 225,146,250 Proceeds from shelf offering, net of offering costs adjustments 4,659,413 3,071,410 -- Net proceeds from shares issued to shareholders due to reinvestment of distributions 317,482 731,262 539,995 Cost of repurchases -- -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares from capital share transactions 4,976,895 3,802,672 225,686,245 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets applicable to Common shares (32,979,967) (11,215,980) 214,508,024 Net assets applicable to Common shares at the beginning of period 361,483,583 372,699,563 100,275 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets applicable to Common shares at the end of period $328,503,616 $361,483,583 $214,608,299 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 1,623,700 $ 505,752 $ 1,571,912 ====================================================================================================================================
N/A - Fund did not issue Preferred shares during the period November 15, 2007 (commencement of operations) through April 30, 2008. See accompanying notes to financial statements. 85 Statement of CASH FLOWS Six Months Ended April 30, 2008 (Unaudited)
PREMIER HIGH INCOME HIGH INCOME INCOME OPPORTUNITY OPPORTUNITY 2 (NPF) NMZ) (NMD)* - ------------------------------------------------------------------------------------------------------------------------------------ CASH FLOWS FROM OPERATING ACTIVITIES: NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHARES FROM OPERATIONS $ (7,745,912) $(24,122,269) $ (6,224,251) 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 (22,239,396) (34,586,680) (287,154,369) Proceeds from sales and maturities of investments 37,830,474 49,165,462 32,059,936 Cash settlement of forward swaps (247,000) -- -- Proceeds from (Purchases of) short-term investments, net (6,375,000) -- -- Amortization/(Accretion) of premiums and discounts, net (553,262) (297,673) (34,673) (Increase) Decrease in receivable for interest (456,521) (632,430) (6,000,721) (Increase) Decrease in receivable for investments sold 791,508 (77,100) (1,860,159) (Increase) Decrease in other assets 14,389 (14,805) (26,253) Increase (Decrease) in payable for investments purchased 992,186 (5,091,943) -- Increase (Decrease) in payable for variation margin -- -- 439,844 Increase (Decrease) in accrued management fees (15,371) (15,282) 63,933 Increase (Decrease) in accrued other liabilities (50,814) (40,608) 111,489 Increase (Decrease) in Preferred share dividends payable 8,118 3,267 N/A Net realized (gain) loss from investments 1,503,401 (1,220,269) 1,409,768 Net realized (gain) loss from paydowns -- (2,097) -- Net realized (gain) loss from forward swaps 247,000 -- -- Change in net unrealized (appreciation) depreciation of investments 10,397,018 37,622,252 12,307,343 Change in net unrealized (appreciation) depreciation of forward swaps 2,290,721 -- -- Taxes paid on undistributed capital gains -- 8,903 -- - ------------------------------------------------------------------------------------------------------------------------------------ Net cash provided by (used in) operating activities 16,391,539 20,698,728 (254,908,113) - ------------------------------------------------------------------------------------------------------------------------------------ CASH FLOWS FROM FINANCING ACTIVITIES: Increase (Decrease) in floating rate obligations (8,385,000) -- -- Increase (Decrease) in cash overdraft balance -- (8,965,318) -- Increase (Decrease) in borrowings from custodian -- -- 32,562,804 Cash distributions paid to Common shareholders (6,681,948) (13,482,818) (3,339,844) Proceeds from sale of Common Shares -- -- 225,685,153 Proceeds from Common share shelf offering -- 4,433,022 -- Cost of Common shares repurchased (57,215) -- -- - ------------------------------------------------------------------------------------------------------------------------------------ Net cash provided by (used in) financing activities (15,124,163) (18,015,114) 254,908,113 - ------------------------------------------------------------------------------------------------------------------------------------ NET INCREASE (DECREASE) IN CASH 1,267,376 2,683,614 -- Cash at the beginning of period 59,050 -- -- - ------------------------------------------------------------------------------------------------------------------------------------ CASH AT THE END OF PERIOD $ 1,326,426 $ 2,683,614 $ -- ====================================================================================================================================
* For the period November 15, 2007 (commencement of operations) through April 30, 2008. N/A - Fund did not issue Preferred shares during the period November 15, 2007 (commencement of operations) through April 30, 2008. SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION Cash paid for interest on floating rate obligations was $771,955, $591,664 and $212,539 for Premier Income (NPF), High Income Opportunity (NMZ) and High Income Opportunity 2 (NMD), respectively. Non-cash financing activities not included herein consist of reinvestments of Common share distributions of $317,482 and $539,995 for High Income Opportunity (NMZ) and High Income Opportunity 2 (NMD), respectively. See accompanying notes to financial statements. 86 Notes to FINANCIAL STATEMENTS (Unaudited) 1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES The funds covered in this report and their corresponding Common share stock exchange symbols are Nuveen Investment Quality Municipal Fund, Inc. (NQM), Nuveen Select Quality Municipal Fund, Inc. (NQS), Nuveen Quality Income Municipal Fund, Inc. (NQU), Nuveen Premier Municipal Income Fund, Inc. (NPF), Nuveen Municipal High Income Opportunity Fund (NMZ) and Nuveen Municipal High Income Opportunity Fund 2 (NMD) (collectively, the "Funds"). Common shares of Investment Quality (NQM), Select Quality (NQS), Quality Income (NQU), Premier Income (NPF) and High Income Opportunity 2 (NMD) are traded on the New York Stock Exchange while Common shares of High Income Opportunity (NMZ) are traded on the American Stock Exchange. The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end, diversified management investment companies. Prior to the commencement of operations, the High Income Opportunity 2 (NMD) had no operations other than those related to organizational matters, the initial capital contribution of $100,275 by Nuveen Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen Investments, Inc. ("Nuveen"), and the recording of the organization expenses ($11,000) and their reimbursement by Nuveen Investments, LLC, also a wholly owned subsidiary of Nuveen. Each Fund seeks to provide current income exempt from regular federal income tax by investing primarily in a diversified portfolio of municipal obligations issued by state and local government authorities or certain U.S. territories. 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. Investment Valuation The prices of municipal bonds in each Fund's investment portfolio are provided by a pricing service approved by the Fund's Board of Directors/Trustees. When market price quotes are not readily available (which is usually the case for municipal securities), the pricing service may establish fair value based on yields or prices of municipal bonds of comparable quality, type of issue, coupon, maturity and rating, indications of value from securities dealers, evaluations of anticipated cash flows or collateral and general market conditions. Prices of forward swap contracts are also provided by an independent pricing service approved by each Fund's Board of Directors/Trustees. Futures contracts are valued using the closing settlement price, or, in the absence of such price, at the mean of the bid and asked prices. If the pricing service is unable to supply a price for a municipal bond, forward swap or futures contract, each Fund may use market quotes provided by major broker/dealers in such investments. If it is determined that the market price for an investment or derivative instrument is unavailable or inappropriate, the Board of Directors/Trustees of the Funds, or its designee, may establish fair value in accordance with procedures established in good faith by the Board of Directors/Trustees. Temporary investments in securities that have variable rate and demand features qualifying them as short-term investments are valued at amortized cost, which approximates market value. Investment Transactions Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method. 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 instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At April 30, 2008, Select Quality (NQS) and Quality Income (NQU) each had outstanding when issued/delayed delivery purchase commitments of $1,957,500. There were no such outstanding purchase commitments in any of the other Funds. Investment Income Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also includes paydown gains and losses, if any. 87 Notes to FINANCIAL STATEMENTS (continued) (Unaudited) Professional Fees Professional fees presented in 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. Federal Income Taxes 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 which will enable interest from municipal securities, which is exempt from regular federal income tax, 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. Effective April 30, 2008, the Funds adopted Financial Accounting Standards Board (FASB) Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds' tax returns to determine whether it is "more-likely-than-not" (i.e., a greater than 50-percent likelihood) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax benefit or expense in the current year. Implementation of FIN 48 required management of the Funds to analyze all open tax years, as defined by the statute of limitations, for all major jurisdictions, which includes federal and certain states. 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). The Funds have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds has reviewed all tax positions taken or expected to be taken in the preparation of the Funds' tax returns and concluded the adoption of FIN 48 resulted in no impact to the Funds' net assets or results of operations as of and during the six months ended April 30, 2008. The Funds are 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. Dividends and Distributions to Common Shareholders Dividends from tax-exempt net investment income 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 tax-exempt 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. generally accepted accounting principles. 88 Preferred Shares High Income Opportunity 2 (NMD) did not issue any Preferred shares during the period November 15, 2007 (commencement of operations) through April 30, 2008. The Funds have issued and outstanding Preferred shares, $25,000 stated value per share, as a means of effecting financial leverage. Each Fund's Preferred shares are issued in more than one Series. The dividend rate paid by the Funds on each Series is determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and is payable at the end of each rate period. The number of Preferred shares outstanding, by Series and in total, for each Fund is as follows:
INVESTMENT SELECT QUALITY PREMIER HIGH INCOME QUALITY QUALITY INCOME INCOME OPPORTUNITY (NQM) (NQS) (NQU) (NPF) (NMZ) - ------------------------------------------------------------------------------------------------------------------ Number of shares: Series M 2,500 2,000 3,000 1,000 3,000 Series T 2,500 2,000 3,000 2,800 1,600 Series W 2,500 2,800 3,000 -- 1,600 Series W2 -- -- 2,080 -- -- Series TH 2,040 1,560 4,000 2,800 -- Series F 2,500 2,800 3,000 -- -- - ------------------------------------------------------------------------------------------------------------------ Total 12,040 11,160 18,080 6,600 6,200 ==================================================================================================================
Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the Preferred shares issued by the Funds than there were offers to buy. This meant that these auctions "failed to clear," and that many Preferred shareholders who wanted to sell their shares in these auctions were unable to do so. Preferred shareholders unable to sell their shares received distributions at the "maximum rate" applicable to failed auctions as calculated in accordance with the pre-established terms of the Preferred shares. These developments generally do not affect the management or investment policies of the Funds. However, one implication of these auction failures for Common shareholders is that the Funds' cost of leverage will likely be higher, at least temporarily, than it otherwise would have been had the auctions continued to be successful. As a result, the Funds' future Common share earnings may be lower then they otherwise would have been. Organization and Offering Costs Nuveen Investments, LLC has agreed to reimburse all organizational costs (approximately $11,000) and pay all Common share offering costs (other than the sales load) that exceed $.03 per Common share of High Income Opportunity Fund 2 (NMD). High Income Opportunity Fund 2's (NMD) share of Common share offering costs ($472,500) were recorded as reductions of the proceeds from the sale of Common shares. Common Shares Shelf Offering On September 24, 2007, a registration statement filed by High Income Opportunity (NMZ) became effective. This registration statement permits the Fund to issue up to 2,400,000 of additional shares of common stock through a shelf offering. Under this equity shelf program, the Fund, subject to market conditions, may raise additional equity capital from time to time in varying amounts and offering methods at a net price at or above the Fund's net asset value per common share. Shelf Offering Costs Costs incurred by High Income Opportunity (NMZ) in connection with the offering of its additional common shares are recorded as a deferred charge which are amortized over the period such additional Common shares are sold. 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, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. In turn, this trust (a) issues floating rate certificates, in face amounts equal to some fraction of the deposited bond's par amount or market value, that typically pay short-term tax-exempt interest rates to third parties, and (b) issues to a long-term investor (such as one of the Funds) an inverse floating rate certificate (sometimes referred to as an "inverse floater") that represents all remaining or residual interest in the trust. The income received by the inverse floater holder varies inversely with the short-term rate paid to the floating rate certificates' holders, 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 price of an inverse floating rate security 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 floating rate certificates, and because the inverse floating rate security essentially bears the risk of loss of the greater face value of the underlying bond. 89 Notes to FINANCIAL STATEMENTS (continued) (Unaudited) A Fund may purchase an inverse floating rate security in a secondary market transaction without first owning the underlying bond (referred to as an "externally-deposited inverse floater"), or instead by first selling a fixed-rate bond to a broker-dealer for deposit into the special purpose trust and receiving in turn the residual interest in the trust (referred to as a "self-deposited inverse floater"). A Fund may also enter into shortfall and forbearance agreements (sometimes referred to as a "recourse trust" or "credit recovery swap") with a broker-dealer by which a Fund agrees to reimburse the broker-dealer, in certain circumstances, for the difference between the liquidation value of the fixed-rate bond held by the trust and the liquidation value of the floating rate certificates, as well as any shortfalls in interest cash flows. The inverse floater held by a Fund gives the Fund the right (a) to cause the holders of the floating rate certificates to tender their notes at par, and (b) to have the broker transfer the fixed-rate bond held by the trust to the Fund, thereby collapsing the trust. An investment in an externally-deposited inverse floater is identified in the Portfolio of Investments as an "Inverse floating rate investment". An investment in a self-deposited inverse floater, recourse trust or credit recovery swap is accounted for as a financing transaction in accordance with Statement of Financial Accounting Standards (SFAS) No. 140 "Accounting for Transfers and Servicing of Financial Assets and Extinguishment of Liabilities". In such instances, a fixed-rate bond deposited into a special purpose trust is identified in the Portfolio of Investments as an "Underlying bond of an inverse floating rate trust", with the Fund accounting for the short-term floating rate certificates issued by the trust as "Floating rate obligations" on the Statement of Assets and Liabilities. In addition, the Fund reflects in Investment Income the entire earnings of the underlying bond and accounts for the related interest paid to the holders of the short-term floating rate certificates as "Interest expense on floating rate obligations" in the Statement of Operations. During the six months ended April 30, 2008, each Fund invested in externally deposited inverse floaters and/or self-deposited inverse floaters. The average floating rate obligations outstanding and average annual interest rate and fees related to self-deposited inverse floaters during the six months ended April 30, 2008, were as follows:
INVESTMENT SELECT QUALITY PREMIER HIGH INCOME HIGH INCOME QUALITY QUALITY INCOME INCOME OPPORTUNITY OPPORTUNITY 2 (NQM) (NQS) (NQU) (NPF) (NMZ) (NMD) - ------------------------------------------------------------------------------------------------------------------------------ Average floating rate obligations $21,399,231 $6,733,736 $49,837,967 $53,210,615 $41,720,769 $15,758,242 Average annual interest rate and fees 2.92% 2.91% 2.92% 2.92% 2.85% 2.94% ==============================================================================================================================
Forward Swap Transactions Each Fund is authorized to invest in forward interest rate swap transactions. Each Fund's use of forward interest rate swap transactions is intended to help the Fund manage its overall interest rate sensitivity, either shorter or longer, generally to more closely align the Fund's interest rate sensitivity with that of the broader municipal market. Forward interest rate swap transactions involve each Fund's agreement with a counterparty to pay, in the future, a fixed or variable rate payment in exchange for the counterparty paying the Fund a variable or fixed rate payment, the accruals for which would begin at a specified date in the future (the "effective date"). The amount of the payment obligation is based on the notional amount of the forward swap contract and the termination date of the swap (which is akin to a bond's maturity). The value of the Fund's swap commitment would increase or decrease based primarily on the extent to which long-term interest rates for bonds having a maturity of the swap's termination date increases or decreases. The Funds may terminate a swap contract prior to the effective date, at which point a realized gain or loss is recognized. When a forward swap is terminated, it ordinarily does not involve the delivery of securities or other underlying assets or principal, but rather is settled in cash on a net basis. Each Fund intends, but is not obligated, to terminate its forward swaps before the effective date. Accordingly, the risk of loss with respect to the swap counterparty on such transactions is limited to the credit risk associated with a counterparty failing to honor its commitment to pay any realized gain to the Fund upon termination. To reduce such credit risk, all counterparties are required to pledge collateral daily (based on the daily valuation of each swap) on behalf of each Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when any of the Funds have an unrealized loss on a swap contract, 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 90 a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate, either up or down, by at least the predetermined threshold amount. Premier Income (NPF) was the only Fund to invest in forward interest rate swap transactions during the six months ended April 30, 2008. Futures Contracts Each Fund is authorized to invest in futures contracts. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect the changes in market value of the contract. When the contract is closed or expired, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and value of the contract when originally entered into. Cash held by the broker to cover initial margin requirements on open futures contracts, if any, is recognized in the Statement of Assets and Liabilities. Additionally, the Statement of Assets and Liabilities reflects a receivable or payable for the variation margin, when applicable. High Income Opportunity 2 (NMD) was the only Fund to invest in futures contracts during the period November 15, 2007, (commencement of operations) through April 30, 2008. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and/or that a change in the value of the contract may not correlate with a change in the value of the underlying securities or indices. Zero Coupon Securities Each Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt 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. Such securities are included in the Portfolios of Investments with a 0.000% coupon rate in their description. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically. Borrowings from Custodian In anticipation of the issuance of preferred shares in January 2008, High Income Opportunity 2 (NMD) purchased securities with the intent of funding the settlement of the purchases with the proceeds from the preferred stock issuance. During January 2008, credit issues associated with sub-prime mortgages and municipal bond insurers caused the postponement of the Fund's preferred shares offering, and subsequent failed auctions of the preferred shares issued by other closed-end funds have extended that postponement indefinitely. Consequently, the Fund overdrew its bank account with the custodian bank. Management has determined that leveraging the Fund with taxable debt such as a bank loan would be advantageous to Fund shareholders and has secured a commitment to obtain long-term financing to replace the bank overdraft. The Fund's cash account continues to be overdrawn at April 30, 2008, in anticipation of the loan closing in the near term. Management believes that the bank overdraft with the custodian should be viewed as a Borrowing from Custodian much like a formal bank loan and has reclassified it accordingly on the Statement of Assets & Liabilities. In addition, the Fund has reclassified its custodian overdraft charges related to this balance during this period to "Interest expense on borrowings from custodian" on the Statement of Operations. Overdraft charges are calculated at the Federal Funds Rate plus .15%, which is the same rate to be paid on the prospective long-term financing. For the period November 15, 2007 (commencement of operations) through April 30, 2008, the average daily balance outstanding on such Borrowings from Custodian and weighted average interest rate for the Fund were $29,839,790 and 3.61%, respectively. Custodian Fee Credit Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund's cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank. Indemnifications Under the Funds' organizational documents, their Officers and Directors/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. Use of Estimates The preparation of financial statements in conformity with U.S. generally accepted accounting principles 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 reporting period. Actual results may differ from those estimates. 91 Notes to FINANCIAL STATEMENTS (continued) (Unaudited) 2. FUND SHARES On July 10, 2007, the Board of Directors of Premium Income (NPF), approved an open-market share repurchase program, as part of a broad, ongoing effort designed to support the market prices of the Fund's Common shares. Under the terms of the program, the Fund may repurchase up to 10% of its outstanding Common shares. Transactions in Common shares were as follows:
INVESTMENT QUALITY (NQM) SELECT QUALITY (NQS) QUALITY INCOME (NQU) ------------------------ ----------------------- --------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED 4/30/08 10/31/07 4/30/08 10/31/07 4/30/08 10/31/07 - --------------------------------------------------------------------------------------------------------------------- Common shares: Issued to shareholders due to reinvestment of distributions -- 71,808 11,184 73,380 -- 14,886 Repurchased -- -- -- -- -- -- - --------------------------------------------------------------------------------------------------------------------- Weighted average Common share: Price per share repurchased -- -- -- -- -- -- Discount per share repurchased -- -- -- -- -- -- ===================================================================================================================== HIGH HIGH PREMIER INCOME (NPF) INCOME OPPORTUNITY (NMZ) INCOME OPPORTUNITY 2 (NMD) ------------------------ ------------------------ --------------------------- SIX MONTHS SIX MONTHS FOR THE PERIOD 11/15/07 ENDED YEAR ENDED ENDED YEAR ENDED (COMMENCEMENT OF OPERATIONS) 4/30/08 10/31/07 4/30/08 10/31/07 THROUGH 4/30/08 - --------------------------------------------------------------------------------------------------------------------- Common shares: Sold -- -- -- -- 15,750,000 Sold through shelf offering -- -- 297,054 197,111 -- Issued to shareholders due to reinvestment of distributions -- -- 21,277 44,002 39,696 Repurchased (4,500) (182,300) -- -- -- - --------------------------------------------------------------------------------------------------------------------- (4,500) (182,300) 318,331 241,113 15,789,696 ===================================================================================================================== Weighted average Common share: Price per share repurchased 12.69 13.41 -- -- -- Discount per share repurchased 12.99% 8.71% -- -- -- Premium per shelf offering share sold -- -- 4.99% 4.32% -- =====================================================================================================================
3. INVESTMENT TRANSACTIONS Purchases and sales (including maturities but excluding short-term investments and derivative transactions) during the six months ended April 30, 2008, were as follows:
INVESTMENT SELECT QUALITY PREMIER HIGH INCOME HIGH INCOME QUALITY QUALITY INCOME INCOME OPPORTUNITY OPPORTUNITY 2 (NQM) (NQS) (NQU) (NPF) (NMZ) (NMD)* - -------------------------------------------------------------------------------------------------------------------- Purchases $20,889,517 $40,901,532 $61,116,103 $22,239,396 $34,586,680 $287,154,369 Sales and maturities 33,015,116 54,583,026 68,193,638 37,830,474 49,165,462 32,059,936 ====================================================================================================================
* For the period November 15, 2007 (commencement of operations) through April 30, 2008. 92 4. INCOME TAX INFORMATION The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate transactions subject to SFAS No.140. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds. At April 30, 2008, the cost of investments was as follows:
INVESTMENT SELECT QUALITY PREMIER HIGH INCOME HIGH INCOME QUALITY QUALITY INCOME INCOME OPPORTUNITY OPPORTUNITY 2 (NQM) (NQS) (NQU) (NPF) (NMZ) (NMD) - -------------------------------------------------------------------------------------------------------------------- Cost of investments $787,102,742 $740,440,855 $1,179,144,986 $432,448,255 $482,257,071 $253,669,988 ====================================================================================================================
Gross unrealized appreciation and gross unrealized depreciation of investments at April 30, 2008, were as follows:
INVESTMENT SELECT QUALITY PREMIER HIGH INCOME HIGH INCOME QUALITY QUALITY INCOME INCOME OPPORTUNITY OPPORTUNITY 2 (NQM) (NQS) (NQU) (NPF) (NMZ) (NMD) - ---------------------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $ 36,069,715 $ 30,804,397 $ 65,757,957 $16,562,244 $ 15,069,491 $ 308,356 Depreciation (17,064,753) (14,133,441) (17,696,613) (8,700,149) (26,848,379) (12,565,809) - ---------------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $ 19,004,962 $ 16,670,956 $ 48,061,344 $ 7,862,095 $(11,778,888) $(12,257,453) ======================================================================================================================
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at October 31, 2007, the Funds' last tax year end, were as follows:
INVESTMENT SELECT QUALITY PREMIER HIGH INCOME QUALITY QUALITY INCOME INCOME OPPORTUNITY (NQM) (NQS) (NQU) (NPF) (NMZ) - ------------------------------------------------------------------------------------------------------------------ Undistributed net tax-exempt income * $1,813,319 $1,897,389 $2,245,512 $458,294 $ 794,702 Undistributed net ordinary income ** 203,237 797 -- 10,401 82,621 Undistributed net long-term capital gains -- -- -- -- 2,667,895 ==================================================================================================================
* Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on October 1, 2007, paid on November 1, 2007. ** 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 October 31, 2007, was designated for purposes of the dividends paid deduction as follows:
INVESTMENT SELECT QUALITY PREMIER HIGH INCOME QUALITY QUALITY INCOME INCOME OPPORTUNITY (NQM) (NQS) (NQU) (NPF) (NMZ) - ------------------------------------------------------------------------------------------------------------------ Distributions from net tax-exempt income $39,550,444 $38,224,899 $56,796,248 $19,389,148 $28,368,237 Distributions from net ordinary income ** -- -- -- -- 4,938 Distributions from net long-term capital gains -- -- -- -- 125,060 ==================================================================================================================
** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any. 93 Notes to FINANCIAL STATEMENTS (continued) (Unaudited) At October 31, 2007, the Funds' last tax year end, the following 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 follows: INVESTMENT SELECT QUALITY PREMIER QUALITY QUALITY INCOME INCOME (NQM) (NQS) (NQU) (NPF) - -------------------------------------------------------------------------------- Expiration: October 31, 2011 $ -- $ -- $11,423,918 $ -- October 31, 2012 -- -- -- -- October 31, 2013 -- -- -- 156,324 October 31, 2014 379,755 1,047,056 -- -- - -------------------------------------------------------------------------------- Total $379,755 $1,047,056 $11,423,918 $156,324 ================================================================================ 5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES Each Fund's management fee is separated into two components - a complex-level component, based on the aggregate amount of all fund assets managed by the Adviser, and a specific fund-level component, based only on the amount of assets within each individual Fund. This pricing structure enables Nuveen fund shareholders to benefit from growth in the assets within each individual fund as well as from growth in the amount of complex-wide assets managed by the Adviser. The annual fund-level fee, payable monthly, for each Fund is based upon the average daily net assets (including net assets attributable to Preferred shares) of each Fund as follows: INVESTMENT QUALITY (NQM) SELECT QUALITY (NQS) AVERAGE DAILY NET ASSETS QUALITY INCOME (NQU) (INCLUDING NET ASSETS PREMIER INCOME (NPF) ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE - -------------------------------------------------------------------------------- For the first $125 million .4500% For the next $125 million .4375 For the next $250 million .4250 For the next $500 million .4125 For the next $1 billion .4000 For the next $3 billion .3875 For net assets over $5 billion .3750 ================================================================================ AVERAGE DAILY NET ASSETS HIGH INCOME OPPORTUNITY (NMZ) (INCLUDING NET ASSETS HIGH INCOME OPPORTUNITY FUND 2 (NMD) ATTRIBUTABLE TO PREFERRED SHARES) FUND-LEVEL FEE RATE - -------------------------------------------------------------------------------- For the first $125 million .5500% For the next $125 million .5375 For the next $250 million .5250 For the next $500 million .5125 For the next $1 billion .5000 For net assets over $2 billion .4750 ================================================================================ 94 The annual complex-level fee, payable monthly, which is additive to the fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the aggregate amount of total fund assets managed as stated in the table below. As of April 30, 2008, the complex-level fee rate was .1855%. The complex-level fee schedule is as follows: COMPLEX-LEVEL ASSET BREAKPOINT LEVEL (1) EFFECTIVE RATE AT BREAKPOINT LEVEL - -------------------------------------------------------------------------------- $55 billion .2000% $56 billion .1996 $57 billion .1989 $60 billion .1961 $63 billion .1931 $66 billion .1900 $71 billion .1851 $76 billion .1806 $80 billion .1773 $91 billion .1691 $125 billion .1599 $200 billion .1505 $250 billion .1469 $300 billion .1445 ================================================================================ (1) The complex-level fee component of the management fee for the funds is calculated based upon the aggregate Managed Assets ("Managed Assets" means the average daily net assets of each fund including assets attributable to preferred stock issued by or borrowings by the Nuveen funds) of Nuveen-sponsored funds in the U.S. The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Funds pay no compensation directly to those of its Directors/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 of Directors/Trustees has adopted a deferred compensation plan for independent Directors/Trustees that enables Directors/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. For the first eight years of High Income Opportunity's (NMZ) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily net assets (including net assets attributable to Preferred shares), for fees and expenses in the amounts, and for the time periods set forth below: YEAR ENDING YEAR ENDING NOVEMBER 30, NOVEMBER 30, - -------------------------------------------------------------------------------- 2003* .32% 2009 .24% 2004 .32 2010 .16 2005 .32 2011 .08 2006 .32 2007 .32 2008 .32 ================================================================================ * From the commencement of operations. The Adviser has not agreed to reimburse High Income Opportunity (NMZ) for any portion of its fees and expenses beyond November 30, 2011. The Adviser has agreed to waive 100% of High Income Opportunity 2's (NMD) management fee from November 15, 2007 (commencement of operations) through February 29, 2008, 50% of the management fee for the period March 1, 2008 through May 31, 2008, and 25% of the management fee for the period June 1, 2008 through August 31, 2008. The Adviser has not agreed to waive any portion of High Income Opportunity 2's (NMD) management fee beyond August 31, 2008. As of April 30, 2008 and October 31, 2007, Nuveen Investments, LLC received commissions of $24,212 and $17,981, respectively, related to the sale of common shares as a result of the High Income Opportunity (NMZ) shelf offering. 95 Notes to FINANCIAL STATEMENTS (continued) (Unaudited) 6. NEW ACCOUNTING PRONOUNCEMENTS Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157 In September 2006, the FASB issued SFAS No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007, and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this standard relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of April 30, 2008, management does not believe the adoption of SFAS No. 157 will impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements included within the Statement of Operations for the period. Financial Accounting Standards Board Statement of Financial Accounting Standards No. 161 In March 2008, the FASB issued SFAS No. 161, "Disclosures about Derivative Instruments and Hedging Activities." This standard is intended to enhance financial statement disclosures for derivative instruments and hedging activities and enable investors to understand: a) how and why a fund uses derivative instruments, b) how derivative instruments and related hedge items are accounted for, and c) how derivative instruments and related hedge items affect a fund's financial position, results of operations and cash flows. SFAS No. 161 is effective for financial statements issued for fiscal years and interim periods beginning after November 15, 2008. As of April 30, 2008, management does not believe the adoption of SFAS No. 161 will impact the financial statement amounts; however, additional footnote disclosures may be required about the use of derivative instruments and hedging items. 7. SUBSEQUENT EVENTS Distributions to Common Shareholders The Funds declared Common share dividend distributions from their tax-exempt net investment income which were paid on June 2, 2008, to shareholders of record on May 15, 2008, as follows:
INVESTMENT SELECT QUALITY PREMIER HIGH INCOME HIGH INCOME QUALITY QUALITY INCOME INCOME OPPORTUNITY OPPORTUNITY 2 (NQM) (NQS) (NQU) (NPF) (NMZ) (NMD) - -------------------------------------------------------------------------------------------------------------------- Dividend per share $.0645 $.0670 $.0605 $.0560 $.0815 $.0785 ====================================================================================================================
Auction Rate Preferred Shares (ARPS) On June 11, 2008, Nuveen announced the Fund Board's approval of plans to use tender option bonds (TOBs), also known as inverse floating rate securities or inverse floaters, to refinance a portion of the funds' outstanding ARPS, whose auctions have been failing for several months, including an initial phase of approximately $1 billion in forty-one funds. Of this amount, Nuveen expects that approximately $560 million in ARPS redemption notices will be issued within shortly for thirteen funds, including Investment Quality (NQM), Quality Income (NQU) and Premier Income (NPF). 96 Financial HIGHLIGHTS (Unaudited) 97 Financial HIGHLIGHTS (Unaudited) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions --------------------------------------------------------------- -------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total =============================================================================================================================== INVESTMENT QUALITY (NQM) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) $15.03 $ .51 $(.55) $(.15) $ -- $ (.19) $ (.39) $ -- $ (.39) 2007 15.71 1.02 (.60) (.30) -- .12 (.80) -- (.80) 2006 15.49 1.05 .42 (.24) (.03) 1.20 (.84) (.14) (.98) 2005 16.06 1.05 (.39) (.16) (.01) .49 (.96) (.10) (1.06) 2004 15.65 1.07 .43 (.08) -- 1.42 (1.01) -- (1.01) 2003 15.63 1.11 .02 (.08) -- 1.05 (1.01) (.02) (1.03) SELECT QUALITY (NQS) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) 15.05 .54 (.65) (.15) -- (.26) (.40) -- (.40) 2007 15.62 1.07 (.52) (.29) -- .26 (.83) -- (.83) 2006 15.46 1.07 .23 (.26) -- 1.04 (.88) -- (.88) 2005 15.69 1.06 (.16) (.16) -- .74 (.97) -- (.97) 2004 15.33 1.09 .42 (.07) (.01) 1.43 (1.00) (.07) (1.07) 2003 15.00 1.08 .30 (.07) -- 1.31 (.98) -- (.98) =============================================================================================================================== Total Returns --------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Net Asset Market Market Asset Discounts Value Value Value* Value* =================================================================================== INVESTMENT QUALITY (NQM) - ----------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) $ -- $14.45 $13.71 1.60% (1.25)% 2007 -- 15.03 13.88 (6.17) .82 2006 -- 15.71 15.60 15.33 8.09 2005 -- 15.49 14.45 1.17 3.10 2004 -- 16.06 15.33 8.54 9.37 2003 -- 15.65 15.10 7.78 6.88 SELECT QUALITY (NQS) - ----------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) -- 14.39 14.26 (2.18) (1.71) 2007 -- 15.05 15.00 2.31 1.70 2006 -- 15.62 15.47 10.47 6.94 2005 -- 15.46 14.83 4.14 4.77 2004 -- 15.69 15.19 10.19 9.64 2003 -- 15.33 14.81 9.91 8.96 =================================================================================== Ratios/Supplemental Data ------------------------------------------------------------------------------------------------------------------ Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement/Refund After Credit/Reimbursement/Refund** ------------------------------------------ ------------------------------------------ Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate ==================================================================================================================================== INVESTMENT QUALITY (NQM) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 10/31: 2008(b) $517,704 1.33%*** 1.21%*** 6.97%*** 1.31%*** 1.19%*** 6.99%*** 3% 2007 538,266 1.35 1.19 6.67 1.33 1.17 6.69 11 2006 561,471 1.20 1.20 6.79 1.17 1.17 6.82 10 2005 553,857 1.20 1.20 6.59 1.18 1.18 6.61 22 2004 574,164 1.20 1.20 6.78 1.20 1.20 6.79 16 2003 559,644 1.22 1.22 7.05 1.22 1.22 7.05 5 SELECT QUALITY (NQS) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 10/31: 2008(b) 489,646 1.25*** 1.21*** 7.34*** 1.22*** 1.18*** 7.37*** 5 2007 511,670 1.21 1.18 6.95 1.20 1.17 6.96 8 2006 529,996 1.18 1.18 6.91 1.17 1.17 6.93 5 2005 523,994 1.18 1.18 6.76 1.16 1.16 6.78 4 2004 531,694 1.21 1.21 6.96 1.15 1.15 7.02 4 2003 519,361 1.26 1.26 7.06 1.25 1.25 7.06 9 ====================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period -------------------------------------- -------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ INVESTMENT QUALITY (NQM) - -------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) $301,000 $25,000 $67,999 $24,930 $ 33,840 2007 301,000 25,000 69,706 21,105 40,766 2006 301,000 25,000 71,634 -- -- 2005 301,000 25,000 71,001 -- -- 2004 301,000 25,000 72,688 -- -- 2003 301,000 25,000 71,482 -- -- SELECT QUALITY (NQS) - -------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) 279,000 25,000 68,875 7,500 103,486 2007 279,000 25,000 70,849 6,665 119,630 2006 279,000 25,000 72,491 -- -- 2005 279,000 25,000 71,953 -- -- 2004 279,000 25,000 72,643 -- -- 2003 279,000 25,000 71,538 -- -- ================================================================================ * Total Return on Market Value 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 takes 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. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, 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 net asset value. 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 net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After custodian fee credit, expense reimbursement and legal fee refund, where applicable. *** Annualized. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. (b) For the six months ended April 30, 2008. See accompanying notes to financial statements. 98-99 spread Financial HIGHLIGHTS (continued) (Unaudited) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions --------------------------------------------------------------- -------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total =============================================================================================================================== QUALITY INCOME (NQU) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) $14.94 $ .52 $(.33) $(.15) $ -- $ .04 $(.36) $ -- $( .36) 2007 15.49 1.01 (.51) (.30) -- .20 (.75) -- (.75) 2006 15.26 1.01 .30 (.26) -- 1.05 (.82) -- (.82) 2005 15.54 1.02 (.22) (.16) -- .64 (.92) -- (.92) 2004 15.04 1.04 .51 (.08) -- 1.47 (.97) -- (.97) 2003 14.70 1.06 .34 (.07) -- 1.33 (.96) (.03) (.99) PREMIER INCOME (NPF) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) 14.79 .49 (.73) (.15) -- (.39) (.34) -- (.34) 2007 15.39 .95 (.59) (.29) -- .07 (.67) -- (.67) 2006 14.90 .94 .51 (.26) -- 1.19 (.70) -- (.70) 2005 15.53 .94 (.39) (.16) (.01) .38 (.88) (.13) (1.01) 2004 15.13 1.00 .47 (.08) -- 1.39 (.99) -- (.99) 2003 15.23 1.06 (.01) (.07) (.01) .97 (.98) (.09) (1.07) =============================================================================================================================== Total Returns --------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Net Asset Market Market Asset Discounts Value Value Value* Value* =================================================================================== QUALITY INCOME (NQU) - ----------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) $ -- $14.62 $13.47 1.40% .31% 2007 -- 14.94 13.64 (2.54) 1.31 2006 -- 15.49 14.73 8.55 7.07 2005 -- 15.26 14.34 4.78 4.15 2004 -- 15.54 14.58 8.76 10.07 2003 -- 15.04 14.33 9.31 9.37 PREMIER INCOME (NPF) - ----------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) -- 14.06 12.86 (.76) (2.65) 2007 -- 14.79 13.30 2.28 .48 2006 -- 15.39 13.65 5.93 8.20 2005 -- 14.90 13.57 1.05 2.49 2004 -- 15.53 14.43 4.75 9.48 2003 -- 15.13 14.74 9.13 6.57 =================================================================================== Ratios/Supplemental Data ---------------------------------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement/Refund After Credit/Reimbursement/Refund** ------------------------------------------ ------------------------------------------ Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate ==================================================================================================================================== QUALITY INCOME (NQU) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 10/31: 2008(b) $792,663 1.37%*** 1.19%*** 7.01%*** 1.35%*** 1.17%*** 7.02%*** 5% 2007 810,086 1.38 1.17 6.65 1.37 1.16 6.66 5 2006 839,751 1.18 1.18 6.62 1.17 1.17 6.63 11 2005 827,077 1.18 1.18 6.57 1.17 1.17 6.57 6 2004 842,093 1.20 1.20 6.83 1.20 1.20 6.83 6 2003 815,270 1.21 1.21 7.12 1.21 1.21 7.13 9 PREMIER INCOME (NPF) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 10/31: 2008(b) 279,886 1.79*** 1.25*** 6.78*** 1.77*** 1.23*** 6.79*** 4 2007 294,378 1.84 1.20 6.30 1.82 1.18 6.32 10 2006 309,140 1.24 1.24 6.27 1.23 1.23 6.28 35 2005 299,423 1.23 1.23 6.16 1.22 1.22 6.17 20 2004 311,991 1.28 1.28 6.57 1.27 1.27 6.58 22 2003 304,048 1.24 1.24 6.91 1.23 1.23 6.91 19 ====================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period -------------------------------------- -------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ QUALITY INCOME (NQU) - -------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) $452,000 $25,000 $68,842 $72,960 $18,060 2007 452,000 25,000 69,806 48,875 26,823 2006 452,000 25,000 71,446 -- -- 2005 452,000 25,000 70,745 -- -- 2004 452,000 25,000 71,576 -- -- 2003 452,000 25,000 70,092 -- -- PREMIER INCOME (NPF) - -------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) 165,000 25,000 67,407 62,108 8,163 2007 165,000 25,000 69,603 47,355 10,701 2006 165,000 25,000 71,839 -- -- 2005 165,000 25,000 70,367 -- -- 2004 165,000 25,000 72,271 -- -- 2003 165,000 25,000 71,068 -- -- ================================================================================ * Total Return on Market Value 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 takes 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. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, 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 net asset value. 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 net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After custodian fee credit, expense reimbursement and legal fee refund, where applicable. *** Annualized. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. (b) For the six months ended April 30, 2008. See accompanying notes to financial statements. 100-101 spread Financial HIGHLIGHTS (continued) (Unaudited) Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions --------------------------------------------------------------- -------------------------------- Distributions Distributions from Net from Net Beginning Investment Capital Investment Capital Common Net Income to Gains to Income to Gains to Share Net Realized/ Preferred Preferred Common Common Net Asset Investment Unrealized Share- Share- Share- Share- Value Income Gain (Loss) holders+ holders+ Total holders holders Total =============================================================================================================================== HIGH INCOME OPPORTUNITY (NMZ) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) $15.36 $ .64 $(1.52) $(.11) $(.02) $(1.01) $ (.49) $(.09) $ (.58) 2007 16.00 1.23 (.65) (.24) --*** .34 (.98) --*** (.98) 2006 15.36 1.21 .65 (.19) -- 1.67 (1.04) -- (1.04) 2005 14.87 1.22 .54 (.13) (.01) 1.62 (1.07) (.06) (1.13) 2004(c) 14.33 .98 .71 (.08) -- 1.61 (.89) -- (.89) HIGH INCOME OPPORTUNITY 2 (NMD) - ------------------------------------------------------------------------------------------------------------------------------- Year Ended 10/31: 2008(d) 14.33 .41 (.81) -- -- (.40) (.31) -- (.31) =============================================================================================================================== Total Returns --------------------- Offering Based Costs and Ending on Preferred Common Based Common Share Share Ending on Share Net Underwriting Net Asset Market Market Asset Discounts Value Value Value* Value* ==================================================================================== HIGH INCOME OPPORTUNITY (NMZ) - ------------------------------------------------------------------------------------ Year Ended 10/31: 2008(b) $ -- $13.77 $15.50 1.90% (6.66)% 2007 -- 15.36 15.82 (2.68) 2.14 2006 .01 16.00 17.25 14.79 11.34 2005 -- 15.36 15.99 14.35 11.20 2004(c) (.18) 14.87 15.04 6.49 10.38 HIGH INCOME OPPORTUNITY 2 (NMD) - ------------------------------------------------------------------------------------ Year Ended 10/31: 2008(d) (.03) 13.59 14.55 (.77) (2.90) ==================================================================================== Ratios/Supplemental Data ------------------------------------------------------------------------------------------------------------------- Ratios to Average Net Assets Ratios to Average Net Assets Applicable to Common Shares Applicable to Common Shares Before Credit/Reimbursement/Refund After Credit/Reimbursement/Refund** ------------------------------------------- ------------------------------------------ Ending Net Assets Applicable Expenses Expenses Net Expenses Expenses Net Portfolio to Common Including Excluding Investment Including Excluding Investment Turnover Shares (000) Interest++(a) Interest++(a) Income++ Interest++(a) Interest++(a) Income++ Rate ==================================================================================================================================== HIGH INCOME OPPORTUNITY (NMZ) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 10/31: 2008(b) $328,504 1.66%**** 1.32%**** 8.46%**** 1.20%**** .85%**** 8.92%**** 6% 2007 361,484 1.50 1.28 7.31 1.04 .82 7.77 12 2006 372,700 1.21 1.21 7.31 .75 .75 7.77 9 2005 357,025 1.20 1.20 7.54 .74 .74 8.00 6 2004(c) 345,023 1.15* 1.15* 6.75* .70* .70* 7.20* 52 HIGH INCOME OPPORTUNITY 2 (NMD) - ------------------------------------------------------------------------------------------------------------------------------------ Year Ended 10/31: 2008(d) 214,608 1.22**** 1.01**** 6.06**** .61**** .39**** 6.67**** 16 ====================================================================================================================================
Floating Rate Obligations Preferred Shares at End of Period at End of Period -------------------------------------- -------------------------- Aggregate Liquidation Aggregate Amount and Market Asset Amount Asset Outstanding Value Coverage Outstanding Coverage (000) Per Share Per Share (000) Per $1,000 ================================================================================ HIGH INCOME OPPORTUNITY (NMZ) - -------------------------------------------------------------------------------- Year Ended 10/31: 2008(b) $155,000 $25,000 $77,894 $44,370 $11,897 2007 155,000 25,000 83,304 32,995 16,653 2006 155,000 25,000 85,113 -- -- 2005 155,000 25,000 82,585 -- -- 2004(c) 155,000 25,000 80,649 -- -- HIGH INCOME OPPORTUNITY 2 (NMD) - -------------------------------------------------------------------------------- Year Ended 10/31: 2008(d) N/A N/A N/A 27,000 8,948 ================================================================================ N/A Fund did not issue Preferred shares during the period November 15, 2007 (commencement of operations) through April 30, 2008. * Total Return on Market Value 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 takes 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. Total Return on Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, 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 net asset value. 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 net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized. ** After custodian fee credit, expense reimbursement and legal fee refund, where applicable. *** Distributions from Capital Gains to Preferred Shareholders and Capital Gains to Common Shareholders round to less than $.01 per share. **** Annualized. + The amounts shown are based on Common share equivalents. ++ Ratios do not reflect the effect of dividend payments to Preferred shareholders; income ratios reflect income earned on assets attributable to Preferred shares. (a) Interest expense arises from the application of SFAS No. 140 to certain inverse floating rate transactions entered into by the Fund as more fully described in Footnote 1 - Inverse Floating Rate Securities. (b) For the six months ended April 30, 2008. (c) For the period November 19, 2003 (commencement of operations) through October 31, 2004. (d) For the period November 15, 2007 (commencement of operations) through April 30, 2008. See accompanying notes to financial statements. 102-103 spread Annual Investment Management Agreement APPROVAL PROCESS The Board Members are responsible for approving the advisory arrangement for the Nuveen Municipal High Income Opportunity Fund 2 (the "Fund"). At a meeting held on October 16, 2007 (the "Meeting"), the Board Members, including the Independent Board Members, unanimously approved an investment management agreement (the "Investment Management Agreement") between the Fund and Nuveen Asset Management ("NAM"). Earlier in the year, the Board Members were advised of, and in connection with the approval and renewal of investment advisory arrangements for other Nuveen funds had taken into account, the potential acquisition of Nuveen Investments, Inc. ("Nuveen") by Windy City Investments, Inc., a corporation formed by investors led by Madison Dearborn Partners, LLC ("MDP"), a private equity investment firm (the "Transaction"). If the Fund had been launched before the closing of the Transaction, the Investment Management Agreement would have automatically terminated upon the closing of the Transaction. Accordingly, in case the Investment Management Agreement was entered into prior to the closing of the Transaction, the Board Members, including the Independent Board Members, also unanimously approved a new investment management agreement between the Fund and NAM (the "New Investment Management Agreement") to take effect upon the closing of the Transaction. To assist the Board in its evaluation of an advisory contract with NAM at the Meeting, the Independent Board Members previously had received, in adequate time in advance of the Meeting or at prior meetings, materials which outlined, among other things: [] the services currently provided by NAM to other Nuveen funds and expected to be provided to the Fund; [] the organization of NAM, including the responsibilities of various departments and key personnel; [] the expertise and background of NAM with respect to the Fund's investment strategy; [] the performance records of NAM and of a similar Nuveen fund (as described below); [] the profitability of Nuveen (which incorporated Nuveen's wholly-owned subsidiaries); [] the proposed management fees of NAM, including comparisons of such fees with the management fees of comparable, unaffiliated funds, as well as comparable, affiliated funds, if any; [] the advisory fees NAM assesses to other types of investment products or clients; [] the soft dollar practices of NAM, if any; and [] the expected expenses of the Fund, including comparisons of the Fund's expected expense ratio with the expense ratios of comparable, unaffiliated funds, as well as comparable, affiliated funds, if any. In addition, in light of the impending Transaction, the Board Members were aware of and considered the impact of the Transaction on the provision of services by NAM and its affiliates on behalf of the Fund. During the Meeting, the Independent Board Members met privately with their legal counsel to review the Board's duties under the Investment Company Act of 1940 (the "1940 Act"), the general principles of state law in reviewing and approving advisory contracts, the standards used by courts in determining whether investment company boards of directors have fulfilled their duties and factors to be considered in voting on advisory contracts. It is with this background that the Board Members considered the advisory agreement with NAM for the Fund. As outlined in more detail below, the Board Members considered all factors they believed relevant with respect to the Fund, including the impact that the Transaction could be expected to have on the following: (a) the nature, extent and quality of the services to be provided by NAM; (b) investment performance, as described below; (c) the profitability of Nuveen and its affiliates; (d) the extent to which economies of scale would be realized; and (e) whether fee levels reflect these economies of scale for the benefit of Fund investors. 104 A. NATURE, EXTENT AND QUALITY OF SERVICES The Board Members considered the nature, extent and quality of NAM's services. As NAM already serves as adviser to other Nuveen funds overseen by the Board Members, the Board has a good understanding of NAM's organization, operations and personnel. In this regard, the Board Members are familiar with and have evaluated the professional experience, qualifications and credentials of NAM's personnel. At the Meeting and at prior meetings of the Board, including the meeting of the Board held on May 21, 2007 to conduct the Board's annual review of advisory contracts (the "May Meeting"), the Board Members reviewed materials outlining, among other things, Nuveen's organization and business; the types of services that NAM or its affiliates provide to the Nuveen funds; and NAM's experience with the applicable investment strategy. Given the Board Members' experience with Nuveen funds advised by NAM, the Board Members recognized and considered the quality of its investment process in making portfolio management decisions. In addition to advisory services, the Independent Board Members considered the quality of any administrative or non-advisory services to be provided. In this regard, NAM is expected to provide the Fund with such administrative and other services (exclusive of, and in addition to, any such services provided by others for the Fund) and officers and other personnel as are necessary for the operations of the Fund. In addition to investment management services, NAM and its affiliates will provide the Fund with a wide range of services, including, among other things: product management; preparing shareholder reports; providing daily accounting; overseeing and coordinating the activities of other service providers; administering and organizing Board meetings and preparing the Board materials for such meetings; providing legal support (such as helping to prepare registration statements, amendments thereto and proxy statements and responding to regulatory inquiries); and performing other fund administrative tasks necessary for the operation of the Fund (such as tax reporting and fulfilling regulatory filing requirements, compliance functions and monitoring and overseeing any sub-adviser). In addition to the foregoing services, the Board Members also noted the additional services that NAM or its affiliates provide to Nuveen's closed-end funds, including, in particular, its secondary market support activities. The Board Members have recognized Nuveen's continued commitment to supporting the secondary market for the common shares of its closed-end funds through a variety of programs designed to raise investor and analyst awareness and understanding of closed-end funds. These efforts include: [] maintaining shareholder communications; [] providing advertising for the Nuveen closed-end funds; [] maintaining its closed-end fund website; [] maintaining continual contact with financial advisers; [] providing educational symposia; [] conducting research with investors and financial analysis regarding closed-end funds; and [] evaluating secondary market performance. If the Fund utilizes leverage through the issuance of preferred shares, the Board Members have noted Nuveen's continued support for the holders of preferred shares of its closed-end funds by, among other things: [] maintaining an in-house trading desk; [] maintaining a product manager for preferred shares; [] managing leverage and risk management of leverage; and [] maintaining systems necessary to test compliance with rating agency criteria. In light of the Transaction, the Board Members also considered the nature, quality and extent of the services expected to be provided by NAM under the New Investment Management Agreement. More specifically, the Independent Board Members considered, among other things, the expected impact, if any, of the Transaction on the operations, facilities, organization and personnel of NAM; the potential implications of regulatory restrictions on the Fund following the Transaction; the ability of NAM and its affiliates to perform their duties after the Transaction; and any anticipated changes to the investment and other practices of the Fund. 105 ANNUAL INVESTMENT MANAGEMENT AGREEMENT APPROVAL PROCESS (continued) The Board noted that the terms of the New Investment Management Agreement, including the fees payable thereunder, are substantially identical to those of the Investment Management Agreement. The Board considered that the services to be provided and the standard of care under the New Investment Management Agreement are the same as those under the Investment Management Agreement. The Board Members further noted that key personnel of NAM who will have responsibility for the Fund in each area, including portfolio management, investment oversight, fund management, fund operations, product management, legal/compliance and board support functions, are expected to be the same following the Transaction. The Board also considered certain information regarding any anticipated retention or incentive plans designed to retain key personnel. Further, the Board Members noted that no changes to Nuveen's infrastructure or operations as a result of the Transaction were anticipated other than potential enhancements as a result of an expected increase in the level of investment in such infrastructure and personnel. The Board noted MDP's previous representations that it does not plan to have a direct role in the management of Nuveen, appointing new management personnel, or directly impacting individual staffing decisions. The Board Members also noted that there were not any planned "cost cutting" measures that could be expected to reduce the nature, extent or quality of services. After consideration of the foregoing, the Board Members concluded that no diminution in the nature, quality and extent of services provided to the Fund by NAM is expected. In addition to the above, the Board Members considered potential changes in the expected operations of the Fund. In this regard, the Board Members considered the potential effect of regulatory restrictions on the Fund's transactions with future affiliated persons. During their deliberations at meetings held earlier during the year, it was noted that, after the Transaction, a subsidiary of Merrill Lynch is expected to have an ownership interest in Nuveen at a level that will make Merrill Lynch an affiliated person of Nuveen. The Board Members have recognized that applicable law would generally prohibit the Nuveen funds from engaging in securities transactions with Merrill Lynch as principal, and would also impose restrictions on using Merrill Lynch for agency transactions. They also recognized that having MDP and Merrill Lynch as affiliates may restrict the Nuveen funds' ability to invest in securities of issuers controlled by MDP or issued by Merrill Lynch and its affiliates even if not bought directly from MDP or Merrill Lynch as principal. They further recognized that various regulations may require the Nuveen funds to apply investment limitations on a combined basis with affiliates of Merrill Lynch. The Board Members also had considered information provided by NAM regarding the potential impact on the Nuveen funds' operations as a result of these regulatory restrictions. In addition to the regulatory restrictions considered by the Board, the Board Members were aware of and had considered potential conflicts of interest that could arise between the Nuveen funds and various parties to the Transaction. Based on its review, and taking into account considerations from prior meetings, the Board concluded that the Transaction was not expected to adversely affect the nature, quality or extent of services expected to be provided by NAM and that the expected nature, quality and extent of such services, before and after the Transaction, were satisfactory and supported approval of the Investment Management Agreement and the New Investment Management Agreement. B. INVESTMENT PERFORMANCE The Fund is new and therefore did not have its own performance history. However, the Board Members were provided with certain performance information for the one-year, three-year and five-year periods ending June 30, 2007 for a Nuveen fund managed by the same team responsible for the Fund that has a similar structure and investment strategy. The Board Members are also familiar with NAM's performance record on other Nuveen funds. With respect to performance, the Board also considered that the portfolio management personnel responsible for the management of the Fund's portfolio were expected to continue to manage the portfolio following the completion of the Transaction. 106 C. FEES, EXPENSES AND PROFITABILITY 1. FEES AND EXPENSES In evaluating the management fees and expenses that the Fund was expected to bear, the Board Members considered, among other things, the Fund's proposed management fee structure and its expected expense ratios in absolute terms as well as compared with the fees and expense ratios of comparable, unaffiliated funds and comparable, affiliated funds (if any). In this regard, the Board Members also considered the fund-level breakpoint schedule and the complex-wide breakpoint schedule. The complex-wide breakpoint schedule was instituted in 2004 and is described in further detail below in Section D entitled "Economies of Scale and Whether Fee Levels Reflect These Economies of Scale." With respect to the New Investment Management Agreement, the Board Members noted that the fee schedule is identical to that of the Investment Management Agreement. Based on the information provided, the Board Members did not expect overall Fund expenses would increase as a result of the Transaction. 2. COMPARISONS WITH THE FEES OF OTHER CLIENTS Due to their experience with other Nuveen funds, the Board Members were familiar with the fees NAM assesses to other clients of Nuveen or its affiliates, including separately managed accounts. With respect to separately managed accounts, the advisory fees charged to such separately managed accounts are generally lower than those charged to comparable funds. The Board Members have recognized, however, the additional services that are provided (as described above) and the costs incurred by Nuveen in managing and operating registered investment companies compared to individually managed separate accounts. These services are generally not required to the same extent, if at all, for separate accounts. Accordingly, the Board Members have noted that the nature and number of services provided to operate a fund merit the higher fees than those assessed to the separately managed accounts. 3. PROFITABILITY In conjunction with its review of fees, the Board Members have considered the profitability of Nuveen for advisory activities (which incorporated Nuveen's wholly-owned subsidiaries). At the Meeting or prior meetings, the Board Members reviewed Nuveen's revenues, expenses and profitability margins for advisory activities (on both a pre-tax and after-tax basis). At the May Meeting, the Board Members reviewed data comparing Nuveen's profitability with other investment management companies prepared by three independent third party service providers as well as comparisons of the revenues, expenses and profit margins of various unaffiliated management firms with similar amounts of assets under management prepared by Nuveen. In reviewing profitability, the Board Members recognized the inherent limitations in determining profitability as well as the difficulty in comparing the profitability of other unaffiliated advisers. The Board Members recognized the subjective nature of determining profitability which may be affected by numerous factors, including the allocation of expenses. Further, the Board Members have noted the difficulties in making comparisons as the profitability of other advisers generally is not publicly available and the profitability information that is available for certain advisers may not be representative of the industry and may be affected by, among other things, the adviser's particular business mix, capital costs, types of funds managed and expense allocations. The Board Members further received the 2006 Annual Report for Nuveen Investments as well as its quarterly report ending June 30, 2007. As noted below, the Board Members also recognized the recent changes to the complex-wide fee breakpoint schedule that went into effect August 20, 2007. The Board Members further noted that it is difficult to predict with any degree of certainty the impact of the Transaction on Nuveen's profitability for its advisory services (which includes its affiliated sub-advisers). Based on their review, the Board Members were satisfied that the level of profitability was reasonable in light of the services to be provided. In evaluating the reasonableness of the compensation, the Board Members also considered any other revenues paid to NAM as well as any indirect benefits (such as soft dollar arrangements, if any) NAM and its affiliates are expected to receive that are directly attributable to their management of the Fund, if any. See Section E below for additional information. Based on their review of the overall fee arrangements of the Fund, the Board Members determined that the advisory fees and expected expenses of the Fund were reasonable. 107 ANNUAL INVESTMENT MANAGEMENT AGREEMENT APPROVAL PROCESS (continued) D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE With respect to economies of scale, the Board Members have recognized the potential benefits resulting from the costs of a fund being spread over a larger asset base. To help ensure that shareholders share in these benefits, the Board Members received and considered the breakpoints in the advisory fee schedules that reduce advisory fees. In addition to advisory fee breakpoints, the Board had also approved a complex-wide fee arrangement that was introduced on August 1, 2004 and modified in August 2007 to generate additional fee savings. Pursuant to the complex-wide fee arrangement, the fees of the funds in the Nuveen complex, including the Fund, are reduced as the assets in the fund complex reach certain levels. Based on their review, the Board Members concluded that the applicable breakpoint schedules and complex-wide fee arrangement were acceptable and desirable in providing benefits from economies of scale to shareholders of the Fund. E. INDIRECT BENEFITS In evaluating fees, the Board Members also considered any indirect benefits or profits NAM or its affiliates may receive as a result of its relationship with the Fund. In this regard, the Board Members considered any benefits from soft dollar arrangements. The Board Members noted that NAM does not currently have any soft dollar arrangements; however, to the extent certain bona fide agency transactions that occur on markets that traditionally trade on a principal basis and riskless principal transactions are considered as generating "commissions," NAM intends to comply with the applicable safe harbor provisions. The Board Members also recognized that affiliates of NAM receive revenues for serving as agent at Nuveen's preferred trading desk and for serving as co-manager in the initial public offering of new closed-end exchange-traded funds. With respect to the Transaction, the Board Members also recognized that as the policies and operations of NAM are not anticipated to change significantly after the Transaction, such indirect benefits should remain after the Transaction. The Board Members further considered any additional indirect benefits to be received by NAM or its affiliates after the Transaction. The Board Members noted that other than benefits from its ownership interest in Nuveen and indirect benefits from fee revenues paid by the Nuveen funds under the management agreements and other Board-approved relationships, it was not expected that MDP or its affiliates would derive any benefit from the Nuveen funds as a result of the Transaction or transact any business with or on behalf of the Nuveen funds (other than perhaps potential Nuveen fund acquisitions, in secondary market transactions, of securities issued by MDP portfolio companies); or that Merrill Lynch or its affiliates would derive any benefits from the Nuveen funds as a result of the Transaction (noting that, indeed, Merrill Lynch would stand to experience the discontinuation of principal transaction activity with the Nuveen funds and likely would experience a noticeable reduction in the volume of agency transactions with the Nuveen funds). F. OTHER CONSIDERATIONS In addition to the factors above, the Board Members also considered the following: [] Nuveen would rely on the provisions of Section 15(f) of the 1940 Act. Section 15(f) provides, in substance, that when a sale of a controlling interest in an investment adviser occurs, the investment adviser or any of its affiliated persons may receive any amount or benefit in connection with the sale so long as (i) during the three-year period following the consummation of a transaction, at least 75% of the investment company's board of directors must not be "interested persons" (as defined in the 1940 Act) of the investment adviser or predecessor adviser and (ii) an "unfair burden" (as defined in the 1940 Act, including any interpretations or no-action letters of the Securities and Exchange Commission) must not be imposed on the investment company as a result of the transaction relating to the sale of such interest, or any express or implied terms, conditions or understanding applicable thereto. In this regard, to help ensure that an unfair burden is not imposed on the Nuveen funds, Nuveen has committed for a period of two years from the date of the closing of the Transaction (i) not to increase gross management fees for any Nuveen fund; (ii) not to reduce voluntary expense reimbursement levels for any Nuveen fund from their currently scheduled prospective levels during that period; (iii) that no Nuveen fund whose portfolio is managed by a Nuveen affiliate shall use Merrill Lynch as a broker with respect to portfolio 108 transactions done on an agency basis, except as may be approved in the future by the Compliance Committee of the Board; and (iv) that NAM shall not cause the Fund and other municipal funds that NAM manages, as a whole, to enter into portfolio transactions with or through the other minority owners of Nuveen, on either a principal or an agency basis, to a significantly greater extent than both what one would expect an investment team to use such firm in the normal course of business, and what NAM has historically done, without prior Board or Compliance Committee approval (excluding the impact of proportionally increasing the use of such other "minority owners" to fill the void necessitated by not being able to use Merrill Lynch). [] The reputation, financial strength and resources of MDP. [] The long-term investment philosophy of MDP and anticipated plans to grow Nuveen's business to the benefit of the Nuveen funds. [] The benefits to the Nuveen funds as a result of the Transaction including: (i) as a private company, Nuveen may have more flexibility in making additional investments in its business; (ii) as a private company, Nuveen may be better able to structure compensation packages to attract and retain talented personnel; (iii) as certain of Nuveen's distribution partners are expected to be equity or debt investors in Nuveen, Nuveen may be able to take advantage of new or enhanced distribution arrangements with such partners; and (iv) MDP's experience, capabilities and resources that may help Nuveen identify and acquire investment teams or firms and finance such acquisitions. G. APPROVAL The Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including a majority of the Independent Board Members, concluded that the terms of the Investment Management Agreement and New Investment Management Agreement were fair and reasonable, that NAM's fees are reasonable in light of the services to be provided to the Fund and that the Investment Management Agreement and New Investment Management Agreement should be and were approved on behalf of the Fund. 109 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 DIVIDEND REINVESTMENT PLAN Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or capital gains 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 tax-free compounding. Just like dividends or distributions in cash, there may be times when income or capital gains taxes may be payable on dividends or 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 dividends and 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 asset 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 immediately prior to the purchase date. Dividends and distributions received to purchase shares in the open market will normally be invested shortly after the dividend payment date. No interest will be paid on dividends and 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 dividend or 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. 110 FLEXIBLE You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. Should you withdraw, you can receive a certificate for all whole shares credited to your reinvestment account and cash payment for fractional shares, or cash payment for all reinvestment account shares, less brokerage commissions and a $2.50 service fee. 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 DIVIDENDS AND/OR 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. 111 NOTES 112 NOTES 113 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. [] AVERAGE EFFECTIVE MATURITY: The average of the number of years to maturity of the bonds in a Fund's portfolio, computed by weighting each bond's time to maturity (the date the security comes due) by the market value of the security. This figure does not account for the likelihood of prepayments or the exercise of call provisions unless an escrow account has been established to redeem the bond before maturity. The market value weighting for an investment in an inverse floating rate security is the value of the portfolio's residual interest in the inverse floating rate trust, and does not include the value of the floating rate securities issued by the trust. [] INVERSE FLOATERS: Inverse floating rate securities are created by depositing a municipal bond, typically with a fixed interest rate, into a special purpose trust created by a broker-dealer. 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. [] 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. Leverage-adjusted duration takes into account the leveraging process for a Fund and therefore is longer than the duration of the Fund's portfolio of bonds. Modified duration is a formula that expresses the measurable change in the value of a security in response to a change in interest rates. [] MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An investment's current annualized dividend divided by its current market price. [] NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by subtracting the liabilities of the Fund (including any Preferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of shares outstanding. Fund NAVs are calculated at the end of each business day. [] TAXABLE-EQUIVALENT YIELD: The yield necessary from a fully taxable investment to equal, on an after-tax basis, the yield of a municipal bond investment. [] ZERO COUPON BOND: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Tax-exempt 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. 114 Other Useful INFORMATION QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION You may obtain (i) each Fund's quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the twelve-month period ended June 30, 2007, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com. You may also obtain this and other Fund information directly from the Securities and Exchange Commission ("SEC"). The SEC may charge a copying fee for this information. 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 at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public References Section at 100 F Street NE, Washington, D.C. 20549. CEO CERTIFICATION DISCLOSURE Each Fund's Chief Executive Officer 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 Securities and Exchange Commission the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act. BOARD OF DIRECTORS/TRUSTEES Robert P. Bremner Jack B. Evans William C. Hunter David J. Kundert William J. Schneider Timothy R. Schwertfeger Judith M. Stockdale Carole E. Stone FUND MANAGER Nuveen Asset Management 333 West Wacker Drive Chicago, IL 60606 CUSTODIAN State Street Bank & Trust Company Boston, MA TRANSFER AGENT AND SHAREHOLDER SERVICES State Street Bank & Trust Company Nuveen Funds P.O. Box 43071 Providence, RI 02940-3071 (800) 257-8787 LEGAL COUNSEL Chapman and Cutler LLP Chicago, IL INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Chicago, IL Each Fund intends to repurchase shares of its own common or preferred stock in the future at such times and in such amounts as is deemed advisable. During the period covered by this report, NPF repurchased 4,500 common shares. Any future repurchases will be reported to shareholders in the next annual or semi-annual report. 115 Nuveen Investments: - ------------------- SERVING INVESTORS FOR GENERATIONS Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions. For the past century, Nuveen Investments has adhered to the belief that the best approach to investing is to apply conservative risk-management principles to help minimize volatility. Building on this tradition, we today offer a range of high quality equity and fixed-income solutions that are integral to a well-diversified core portfolio. Our clients have come to appreciate this diversity, as well as our continued adherence to proven, long-term investing principles. WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT NEEDS. Managing $153 billion in assets, as of March 31, 2008, Nuveen Investments offers access to a number of different asset classes and investing solutions through a variety of products. Nuveen Investments markets its capabilities under six distinct brands: Nuveen, a leader in fixed-income investments; NWQ, a leader in value-style equities; Rittenhouse, a leader in growth-style equities; Symphony, a leading institutional manager of market-neutral alternative investment portfolios; Santa Barbara, a leader in growth equities; and Tradewinds, a leader in global equities. FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS. To learn more about the products and services Nuveen Investments offers, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest. Be sure to obtain a prospectus, where applicable. Investors should consider the investment objective and policies, risk considerations, charges and expenses of the Fund carefully before investing. The prospectus contains this and other information relevant to an investment in the Fund. For a prospectus, please contact your securities representative or Nuveen Investments, 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/etf Share prices Fund details Daily financial news Investor education Interactive planning tools ESA-C-0408D 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. See Portfolio of Investments in Item 1. 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 Municipal High Income Opportunity Fund 2 ----------------------------------------------------------- By (Signature and Title) /s/ Kevin J. McCarthy ---------------------------------------------- Kevin J. McCarthy (Vice President and Secretary) Date: July 9, 2008 ------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title) /s/ Gifford R. Zimmerman ---------------------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) Date: July 9, 2008 ------------------------------------------------------------------- By (Signature and Title) /s/ Stephen D. Foy ---------------------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) Date: July 9, 2008 ------------------------------------------------------------------- EX-99.CERT 2 file002.txt CERTIFICATIONS CERTIFICATION I, Gifford R. Zimmerman, certify that: 1. I have reviewed this report on Form N-CSR of Nuveen Municipal High Income Opportunity Fund 2; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting 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; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: July 9, 2008 /s/ Gifford R. Zimmerman ------------------------- -------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) CERTIFICATION I, Stephen D. Foy, certify that: 1. I have reviewed this report on Form N-CSR of Nuveen Municipal High Income Opportunity Fund 2; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) disclosed in this report any change in the registrant's internal control over financial reporting 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; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: July 9, 2008 /s/ Stephen D. Foy ------------------------- -------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) EX-99.906CERT 3 file003.txt CERTIFICATIONS Certification Pursuant to 18 U.S.C. 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002; provided by the Chief Executive Officer and Chief Financial Officer, based on each such officer's knowledge and belief. The undersigned officers of Nuveen Municipal High Income Opportunity Fund 2 (the "Fund"), certify that, to the best of each such officer's knowledge and belief: 1. The Form N-CSR of the Fund for the period ended April 30, 2008 (the "Report") fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund. Date: July 9, 2008 ----------------------- /s/ Gifford R. Zimmerman --------------------------------- Gifford R. Zimmerman Chief Administrative Officer (principal executive officer) /s/ Stephen D. Foy --------------------------------- Stephen D. Foy Vice President, Controller (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----