Nuveen Investment Trust Iii N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number 811-09037

Nuveen Investment Trust III

(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: September 30

Date of reporting period: March 31, 2007

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 policy making 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.

NUVEEN INVESTMENTS MUTUAL FUNDS

Semiannual Report   dated March 31, 2007   For Investors Seeking Attractive
Monthly Income Potential

Nuveen Investments

Taxable Bond Funds

Nuveen Short Duration Bond Fund

Nuveen Core Bond Fund

Nuveen High Yield Bond Fund

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NOT FDIC INSURED    MAY LOSE VALUE    NO BANK GUARANTEE

“In addition to

providing regular

income, a bond

investment like

your Fund also

may help you

achieve and benefit

from greater portfolio

diversification – a

potential way to

reduce some of

the risk that comes

with investing.”

Dear Shareholder,

I am pleased to report that over the six-month period covered by this report your Fund continued to provide you with attractive monthly income. For more details about the performance and management strategy of your Fund, please read the Portfolio Manager’s Comments and Fund Spotlight sections of this report.

In addition to providing regular income, a bond investment like your Fund also may help you achieve and benefit from greater portfolio diversification – a potential way to reduce some of the risk that comes with investing. Since one part of your portfolio may be going up when another is going down, portfolio diversification may help smooth your investment returns over time. Your financial advisor can explain these potential advantages in more detail. I urge you to contact him or her soon for more information on this important investment strategy.

As you look through this report, be sure to review the inside front cover. This contains information on how you can receive future Fund reports and other Fund information faster by using e-mails and the internet. You may also help your Fund reduce expenses. Sign up is quick and easy – just follow the step-by-step instructions.

At Nuveen Investments, our mission continues to be to assist you and your financial advisor by offering investment services and products that can help you to secure your financial objectives. We are grateful that you have chosen us as a partner as you pursue your financial goals, and we look forward to continuing to earn your trust in the months and years ahead.

Sincerely,

Timothy R. Schwertfeger

Chairman of the Board

May 15, 2007

Semiannual Report    Page 1

Portfolio Manager’s Comments for the Nuveen Short Duration Bond Fund,

Nuveen Core Bond Fund, and Nuveen High Yield Bond Fund

The Nuveen Short Duration, Core, and High Yield Bond Funds feature portfolio management by the Taxable Fixed Income group of Nuveen Asset Management. We recently spoke with Andrew Stenwall, Managing Director, Taxable Fixed Income, and the Funds’ portfolio manager, about the performance and management of the Funds during the six-month reporting period ended March 31, 2007.

How did the Funds perform during the six-month reporting period?

The nearby chart provides the total return on net asset value for the Class A shares of the three Funds for the six months ended March 31, 2007. Each Fund’s total return performance is compared with its corresponding benchmark index and Lipper peer fund category average. All three Funds Class A shares at NAV outperformed their benchmark indexes and performed in line with their Lipper peer group category averages during the period.

Both the Nuveen Short Duration Bond Fund and the Nuveen Core Bond Fund benefited from our multi-strategy approach. During this six-month period our U.S. interest rate strategy, credit positions, global fixed income exposure, and the positioning in mortgage-backed securities all added to relative outperformance. Volatility in commodity markets and the sudden correction in local Chinese stock markets created significant volatility in non-U.S. dollar securities and currencies, which detracted from returns slightly. However, our proprietary risk models helped to limit the exposure to these events.

Both Funds’ interest rate exposure added to performance during the final quarter of 2006. We held short positions in U.S. Treasury securities because we believed that interest rates in the United States were lower than warranted. This stance helped results as yields rose during that quarter and Treasury prices fell accordingly (bond yields and prices move in opposite directions). Also contributing positively was our allocation to lower-rated, higher-yielding bonds, which helped offset our relative underweighting in strong-performing investment-grade debt. Another positive was our lack of exposure during the period to 15-year Government National Mortgage Association (GNMA) mortgage-backed securities, which underperformed, as well as our relative overweighting in 30-year Federal National Mortgage Association (FNMA) mortgage-backed securities, which outperformed.

The Funds also benefited from their exposure to higher-yielding currencies all of which recovered after a period of high volatility. Our exposure to currencies of commodity-exporting countries, proved to be a negative early in 2007 following a sharp correction in commodity markets. By late February, a significant correction in China’s stock market had spilled over to other world stock markets, which in turn led to currency market volatility. Relying on our proprietary risk models, we subsequently reduced exposure and invested in U.S. LIBOR bonds (very short-term, liquid debt). As the markets calmed, we reinvested in currencies, many of which performed well during the first quarter of 2007.

The Nuveen High Yield Bond Fund continues to enjoy solid results relative to its benchmark and Lipper peer group, thanks primarily to effective sector and security selection. During the fourth quarter the Fund’s relatively short duration (price sensitivity to interest rate movements) relative to its benchmark was another positive. Having less price sensitivity was helpful during a quarter in which bond prices generally were trending downward. Overweighting building materials bonds, which performed well, and underweighting aerospace and lodging bonds, which lagged, contributed to results

Semiannual Report    Page 2

Class A Shares—

Total Returns as of 3/31/07

		Average Annual
	Cumulative 6-Month	1-Year	Since inception (12/20/04)
Nuveen Short Duration Bond Fund
A Shares at NAV	2.55%	4.63%	2.84%
A Shares at Offer	0.51%	2.56%	1.94%
Lipper Short Investment Grade Debt Funds Category Average1	2.57%	5.32%	3.38%
Citigroup 1-3 Year Treasury Index2	2.30%	4.98%	3.11%
Nuveen Core Bond Fund
A Shares at NAV	2.89%	5.87%	3.12%
A Shares at Offer	-0.96%	1.89%	1.41%
Lipper Intermediate Investment Grade Debt Funds Category Average3	2.87%	6.60%	3.66%
Citigroup Broad Investment Grade Bond Index4	2.76%	6.60%	3.75%
Nuveen High Yield Bond Fund
A Shares at NAV	7.06%	11.16%	7.28%
A Shares at Offer	1.96%	5.86%	5.02%
Lipper High Current Yield Funds Category Average5	7.06%	10.33%	7.04%
Citigroup High Yield BB/B Index6	6.29%	10.53%	7.11%

Returns quoted represent past performance, which is no guarantee of future results. Returns at NAV would be lower if the sales charge were included. Returns less than one year are cumulative. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Maximum sales charges for Class A shares of each Fund are 2.0% for Nuveen Short Duration Bond Fund, 3.75% for Nuveen Core Bond Fund, and 4.75% for Nuveen High Yield Bond Fund. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. For the most recent month-end performance, visit www.nuveen.com or call (800) 257-8787.

during the period. Counterbalancing these benefits, our relative underweighting in auto-related, paper, and cable-television bonds generally detracted from performance as these lower-quality sectors tended to outperform the overall market during this period. Sector selection boosted results during the first three months of 2007. Specifically, our continued underweighting in automotive finance bonds and overweightings in chemical, retail, and consumer products bonds contributed to positive overall performance. However, the Fund’s underweighting in gas pipeline bonds and continued limited exposure to cable and paper/forest product bonds was a corresponding negative, as these sectors performed well. Unlike the last three months of 2006, the Fund’s relatively short duration proved to be a negative when interest rates fell and the market outperformed in February 2007.

What strategies were used to manage the Funds during the period, and how did these strategies influence performance?

We manage both the Short Duration and Core Bond Funds with similar strategies. Both Funds principally invest in corporate debt securities, including bonds, notes, and debentures; U.S. government obligations; foreign debt securities; mortgage-related securities issued by governments, their agencies or instrumentalities, or corporations; and asset-backed securities. In addition, in an effort to enhance returns and manage risk, both Funds

1 The Lipper Short Investment Grade Debt Funds Category Average represents the cumulative or average annualized total returns for the 30 largest funds in the Lipper Short Investment Grade Debt Funds Category for the periods ended March 31, 2007. The since inception data for the Lipper index represents returns for the period 12/31/04 - 3/31/07, as returns for the index are calculated on a calendar-month basis. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

2 The Citigroup 1-3 Year Treasury Index is an index comprised of U.S. Treasury Notes and Bonds with maturities of one year or greater, but less than three years (minimum amount outstanding is $1 billion per issue). The since inception data for the Index represents returns for the period 12/31/04 - 3/31/07, as returns for the Index are calculated on a calendar-month basis. An index is not available for direct investment.

3 The Lipper Intermediate Investment Grade Debt Funds Category Average represents the cumulative or average annualized total returns for the 30 largest funds in the Lipper Intermediate Investment Grade Debt Funds Category for the periods ended March 31, 2007. The since inception data for the Lipper index represents returns for the period 12/31/04 - 3/31/07, as returns for the index are calculated on a calendar-month basis. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

4 The Citigroup Broad Investment Grade Bond Index (the “BIG” Index) is an unmanaged index generally considered representative of the U.S. investment grade bond market. The since inception data for the Index represents returns for the period 12/31/04 - 3/31/07, as returns for the Index are calculated on a calendar-month basis. An index is not available for direct investment.

5 The Lipper High Current Yield Funds Category Average represents the cumulative or average annualized total returns for the 30 largest funds in the Lipper High Current Yield Funds Category for the periods ended March 31, 2007. The since inception data for the Lipper index represents returns for the period 12/31/04 - 3/31/07, as returns for the index are calculated on a calendar-month basis. The returns account for the effects of management fees and assume reinvestment of dividends, but do not reflect any applicable sales charges. You cannot invest directly in a Lipper index.

6 The Citigroup High Yield BB/B Index is a market capitalization-weighted index that comprises all high-yield issues rated BB or B by Standard & Poor’s for which Citigroup calculates a monthly return. The since inception data for the Index represents returns for the period 12/31/04 - 3/31/07, as returns for the Index are calculated on a calendar-month basis. An index is not available for direct investment.

Semiannual Report    Page 3

employ a variety of strategies that may include the use of futures, options, swaps, and other derivatives to create debt or foreign currency exposures designed to take advantage of our outlook for the global economic environment and the expected relative performance of different sectors of and securities in the fixed-income market.

In the High Yield Bond Fund, we generally invest at least 80% of the Fund’s assets in both domestic and foreign corporate high yield debt securities, including zero-coupon, payment in-kind, and convertible bonds. These securities generally are rated BB or below at the time of purchase or are unrated. In addition, the Fund also invests in domestic and foreign corporate investment grade securities; U.S. government obligations, including U.S. Treasury securities and securities issued by U.S. government agencies or instrumentalities; and cash equivalents and other short-duration investments. At times, in an effort to hedge risk, enhance returns, or as a substitute for a position in the underlying asset, the Fund also may invest in futures, options, interest rate or total return swaps, credit derivatives, or other fixed-income derivative instruments.

In the lower-rated portion of the bond market, volatility in credit spreads – the premium investors expect in exchange for taking on additional credit risk – remained relatively attractive during this six-month period. Issuer fundamentals have remained strong and corporate default rates are expected to stay well below their historical averages. Despite the strong fundamentals, we looked for opportunities to reduce the Funds’ risk by selling some lower-quality bonds that we believed were overvalued.

We remained relatively inactive in the mortgage-backed securities (MBS) market during the period as these investments turned in a relatively flat performance, especially during the first quarter of 2007. This was due primarily to uncertainty about interest rates and market volatility, as well as turmoil in the subprime mortgage market. None of the Funds had exposure to the subprime debt market during the period.

Over this period, countries with low fixed-income yields, strongly appreciating currencies, and robust economic growth generally saw higher inflation and, in some cases, interest rate increases from their central banks. Countries with higher-yielding securities generally saw inflation decelerate or stabilize and their central banks either lowered or kept interest rates steady. In the Short Duration and Core Bond Funds, we owned long positions in debt of higher-yielding countries such as Turkey, Columbia, Hungary, Poland, and Mexico. We also owned Norwegian interest rate swaps, believing that the country’s central bank would not raise interest rates as aggressively as others in the market appeared to believe. Our interest rate positions proved to be positives overall during the first quarter of 2007, with our Brazilian positions making especially favorable contributions to relative performance.

Dividend Information

Each Fund seeks to pay dividends at a rate that reflects the past and projected performance of the Fund. To permit a Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net investments income actually earned by the Fund during the period. If the Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if the Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders. As of March 31, 2007, the Nuveen Short Duration Bond Fund and Nuveen Core Bond Fund had negative UNII balances for financial statement purposes and positive UNII balances, based on our best estimate, for tax purposes. The Nuveen High Yield Bond Fund had a positive UNII balance for financial statement purposes, and a positive UNII balance, based on our best estimate, for tax purposes.

Semiannual Report    Page 4

Fund Spotlight as of 3/31/07 Nuveen Short Duration Bond Fund

Quick Facts
	A Shares	C Shares	R Shares
NAV	$19.29	$19.30	$19.26
Latest Monthly Dividend1	$0.0730	$0.0610	$0.0770
Inception Date	12/20/04	12/20/04	12/20/04

Returns quoted represent past performance which is no guarantee of future results. Returns without sales charges would be lower if the sales charge were included. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.

Fund returns assume reinvestment of dividends and capital gains. Class A shares have a 2.00% maximum sales charge. Class C shares have a 1% contingent deferred sales charge (CDSC), also known as a back-end sales charge, for redemptions within less than one year, which is not reflected in the one-year total return. Class R shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors. Returns reflect an expense limitation by the Fund’s investment adviser.

Average Annual Total Returns as of 3/31/07
A Shares	NAV	Offer
1-Year	4.63%	2.56%
Since Inception	2.84%	1.94%
C Shares	NAV
1-Year	3.85%
Since Inception	2.08%
R Shares	NAV
1-Year	4.90%
Since Inception	3.04%
Yields
A Shares	NAV	Offer
Dividend Yield4	4.54%	4.45%
SEC 30-Day Yield5	4.66%	4.57%
C Shares	NAV
Dividend Yield4	3.79%
SEC 30-Day Yield	3.91%
R Shares	NAV
Dividend Yield4	4.80%
SEC 30-Day Yield	4.91%

Credit Quality²

Portfolio Allocation³

Net Assets ($000) $11,352

1 Paid April 2, 2007. This is the latest monthly dividend declared during the period ended March 31, 2007.

2 As a percentage of total investments (excluding securities sold short, short-term investments and derivative transactions) as of March 31, 2007. Holdings are subject to change.

3 As a percentage of total investments (excluding securities sold short and derivative transactions) as of March 31, 2007. Holdings are subject to change.

4 Dividend Yield is the most recent dividend per share (annualized) divided by the appropriate price per share. The SEC 30-Day Yield is a standardized measure of the current market yield on the Fund’s portfolio and is based on the maximum offer price per share. The Dividend Yield also differs from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.

5 The SEC 30-Day Yield on A Shares at NAV applies only to A Shares purchased at no-load pursuant to the Fund’s policy permitting waiver of the A Share load in certain specified circumstances.

Semiannual Report  _l  Page 5

Fund Spotlight as of 3/31/07 Nuveen Short Duration Bond Fund

Industry/Security Type1
U.S. Treasury Bonds/Notes	34.8%
Electric Utilities	6.6%
Residentials – Mortgage-Backed Securities	4.6%
Sovereign Debt	3.4%
Metals & Mining	3.2%
Capital Markets	3.1%
Media	3.0%
Pharmaceuticals	2.5%
Commercial Banks	2.4%
Food Products	2.3%
Multi-Utilities	2.3%
Diversified Telecommunication Services	2.3%
Road & Rail	2.0%
Oil, Gas & Consumable Fuels	1.6%
Machinery	1.5%
Health Care Providers & Services	1.5%
Short-Term Investments	8.7%
Other	14.2%

1 As a percentage of total investments (excluding securities sold short and derivative transactions) as of March 31, 2007. Holdings are subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including front and back end sales charges (loads) or redemption fees, where applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees, where applicable; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example below is based on an investment of $1,000 invested at the beginning of the period and held for the period.

The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.

The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expense you incurred for the period. You may use this information to compare the ongoing costs of investing in the Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front and back end sales charges (loads) or redemption fees, where applicable. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transactional costs were included, your costs would have been higher.

							Hypothetical Performance
	Actual Performance						(5% return before expenses)
	A Shares		C Shares		R Shares		A Shares		C Shares		R Shares
Beginning Account Value (10/01/06)	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value (3/31/07)	$	1,025.50	$	1,021.10	$	1,026.80	$	1,022.14	$	1,018.35	$	1,023.34
Expenses Incurred During Period	$	2.83	$	6.65	$	1.62	$	2.82	$	6.64	$	1.61

For each class of the Fund, expenses are equal to the Fund’s annualized expense ratio of .56%, 1.32%, and .32% for Classes A, C and R, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Semiannual Report  _l  Page 6

Fund Spotlight as of 3/31/07Nuveen Core Bond Fund

Quick Facts
	A Shares	B Shares	C Shares	R Shares
NAV	$19.38	$19.42	$19.40	$19.37
Latest Monthly Dividend1	$0.0775	$0.0655	$0.0655	$0.0815
Inception Date	12/20/04	12/20/04	12/20/04	12/20/04

Returns quoted represent past performance which is no guarantee of future results. Returns without sales charges would be lower if the sales charge were included. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.

Fund returns assume reinvestment of dividends and capital gains. Class A shares have a 3.75% maximum sales charge. Class B shares have a contingent deferred sales charge (CDSC), also known as a back-end sales charge, that begins at 5% for redemptions during the first year after purchase and declines periodically to 0% over the following five years. Class B shares automatically convert to Class A shares eight years after purchase. Class C shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors. Returns reflect an expense limitation by the Fund’s investment adviser.

Average Annual Total Returns as of 3/31/07
A Shares	NAV	Offer
1-Year	5.87%	1.89%
Since Inception	3.12%	1.41%
B Shares	w/o CDSC	w/CDSC
1-Year	5.24%	1.24%
Since Inception	2.42%	0.76%
C Shares	NAV	w/CDSC
1-Year	5.14%
Since Inception	2.38%
R Shares	NAV
1-Year	6.25%
Since Inception	3.36%
Yields
A Shares	NAV	Offer
Dividend Yield4	4.80%	4.62%
SEC 30-Day Yield5	4.82%	4.64%
B Shares	NAV
Dividend Yield4	4.05%
SEC 30-Day Yield	5.17%
C Shares	NAV
Dividend Yield4	4.05%
SEC 30-Day Yield	4.07%
R Shares	NAV
Dividend Yield4	5.05%
SEC 30-Day Yield	5.08%

Credit Quality²

Portfolio Allocation³

Net Assets ($000) $12,290

1 Paid April 2, 2007. This is the latest monthly dividend declared during the period ended March 31, 2007.

2 As a percentage of total investments (excluding securities sold short, short-term investments and derivative transactions) as of March 31, 2007. Holdings are subject to change.

3 As a percentage of total investments (excluding securities sold short and derivative transactions) as of March 31, 2007. Holdings are subject to change.

4 Dividend Yield is the most recent dividend per share (annualized) divided by the appropriate price per share. The SEC 30-Day Yield is a standardized measure of the current market yield on the Fund’s portfolio and is based on the maximum offer price per share. The Dividend Yield also differs from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.

5 The SEC 30-Day Yield on A Shares at NAV applies only to A Shares purchased at no-load pursuant to the Fund’s policy permitting waiver of the A Share load in certain specified circumstances.

Semiannual Report  _l  Page 7

Fund Spotlight as of 3/31/07 Nuveen Core Bond Fund

Industry/Security Type1
Residentials – Mortgage-Backed Securities	38.5%
U.S. Treasury Bonds/Notes	10.5%
Metals & Mining	3.9%
Sovereign Debt	3.9%
Oil, Gas & Consumable Fuels	3.1%
Chemicals	1.6%
Cards – Asset-Backed Securities	1.6%
Media	1.5%
Short-Term Investments	20.7%
Other	14.7%

1 As a percentage of total investments (excluding securities sold short and derivative transactions) as of March 31, 2007. Holdings are subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including front and back end sales charges (loads) or redemption fees, where applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees, where applicable; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example below is based on an investment of $1,000 invested at the beginning of the period and held for the period.

The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.

The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expense you incurred for the period. You may use this information to compare the ongoing costs of investing in the Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front and back end sales charges (loads) or redemption fees, where applicable. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transactional costs were included, your costs would have been higher.

									Hypothetical Performance
	Actual Performance								(5% return before expenses)
	A Shares		B Shares		C Shares		R Shares		A Shares		B Shares		C Shares		R Shares
Beginning Account Value (10/01/06)	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value (3/31/07)	$	1,028.90	$	1,026.70	$	1,026.20	$	1,031.30	$	1,021.34	$	1,018.95	$	1,017.60	$	1,022.59
Expenses Incurred During Period	$	3.64	$	6.06	$	7.43	$	2.38	$	3.63	$	6.04	$	7.39	$	2.37

For each class of the Fund, expenses are equal to the Fund’s annualized expense ratio of .72%, 1.20%, 1.47% and .47% for Classes A, B, C and R, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Semiannual Report  _l  Page 8

Fund Spotlight as of 3/31/07 Nuveen High Yield Bond Fund

Quick Facts
	A Shares	B Shares	C Shares	R Shares
NAV	$20.00	$19.98	$19.96	$19.98
Latest Monthly Dividend1	$0.1200	$0.1075	$0.1075	$0.1240
Inception Date	12/20/04	12/20/04	12/20/04	12/20/04

Returns quoted represent past performance which is no guarantee of future results. Returns without sales charges would be lower if the sales charge were included. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of shares. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.

Fund returns assume reinvestment of dividends and capital gains. Class A shares have a 4.75% maximum sales charge. Class B shares have a contingent deferred sales charge (CDSC), also known as a back-end sales charge, that begins at 5% for redemptions during the first year after purchase and declines periodically to 0% over the following five years. Class B shares automatically convert to Class A shares eight years after purchase. Class C shares have a 1% CDSC for redemptions within less than one year, which is not reflected in the one-year total return. Class R shares have no sales charge and may be purchased under limited circumstances or by specified classes of investors. Returns reflect an expense limitation by the Fund’s investment adviser.

Average Annual Total Returns as of 3/31/07
A Shares	NAV	Offer
1-Year	11.16%	5.86%
Since Inception	7.28%	5.02%
B Shares	w/o CDSC	w/CDSC
1-Year	10.18%	6.18%
Since Inception	6.42%	4.79%
C Shares	NAV	w/CDSC
1-Year	10.07%
Since Inception	6.37%
R Shares	NAV
1-Year	11.27%
Since Inception	7.50%
Yields
A Shares	NAV	Offer
Dividend Yield4	7.20%	6.86%
SEC 30-Day Yield5	7.13%	6.79%
B Shares	NAV
Dividend Yield4	6.46%
SEC 30-Day Yield	6.37%
C Shares	NAV
Dividend Yield4	6.46%
SEC 30-Day Yield	6.37%
R Shares	NAV
Dividend Yield4	7.45%
SEC 30-Day Yield	7.39%

Credit Quality²

Portfolio Allocation³

Net Assets ($000) $22,221

1 Paid April 2, 2007. This is the latest monthly dividend declared during the period ended March 31, 2007.

2 As a percentage of total investments (excluding short-term investments and derivative transactions) as of March 31, 2007. Holdings are subject to change.

3 As a percentage of total investments (excluding derivative transactions) as of March 31, 2007. Holdings are subject to change.

4 Dividend Yield is the most recent dividend per share (annualized) divided by the appropriate price per share. The SEC 30-Day Yield is a standardized measure of the current market yield on the Fund’s portfolio and is based on the maximum offer price per share. The Dividend Yield also differs from the SEC 30-Day Yield because the Fund may be paying out more or less than it is earning and it may not include the effect of amortization of bond premium.

5 The SEC 30-Day Yield on A Shares at NAV applies only to A Shares purchased at no-load pursuant to the Fund’s policy permitting waiver of the A Share load in certain specified circumstances.

Semiannual Report  _l  Page 9

Fund Spotlight as of 3/31/07 Nuveen High Yield Bond Fund

Industries1
Metals & Mining	11.9%
Media	11.5%
Chemicals	9.8%
Oil, Gas & Consumable Fuels	7.8%
Energy Equipment & Services	6.5%
Paper & Forest Products	4.2%
Automobiles	3.9%
Hotels, Restaurants & Leisure	3.2%
Commercial Services & Supplies	3.2%
Containers & Packaging	2.8%
Consumer Finance	2.5%
Multi-Utilities	2.3%
Pharmaceuticals	1.9%
Diversified Telecommunication Services	1.7%
Short-Term Investments	9.8%
Other	17.0%

1 As a percentage of total investments (excluding derivative transactions) as of March 31, 2007. Holdings are subject to change.

Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including front and back end sales charges (loads) or redemption fees, where applicable; and (2) ongoing costs, including management fees; distribution and service (12b-1) fees, where applicable; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example below is based on an investment of $1,000 invested at the beginning of the period and held for the period.

The information under “Actual Performance,” together with the amount you invested, allows you to estimate actual expenses incurred over the reporting period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.60) and multiply the result by the cost shown for your share class, in the row entitled “Expenses Incurred During Period” to estimate the expenses incurred on your account during this period.

The information under “Hypothetical Performance,” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expense you incurred for the period. You may use this information to compare the ongoing costs of investing in the Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as front and back end sales charges (loads) or redemption fees, where applicable. Therefore, the hypothetical information is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds or share classes. In addition, if these transactional costs were included, your costs would have been higher.

									Hypothetical Performance
	Actual Performance								(5% return before expenses)
	A Shares		B Shares		C Shares		R Shares		A Shares		B Shares		C Shares		R Shares
Beginning Account Value (10/01/06)	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00	$	1,000.00
Ending Account Value (3/31/07)	$	1,070.60	$	1,066.20	$	1,065.70	$	1,072.00	$	1,020.89	$	1,017.20	$	1,017.15	$	1,022.14
Expenses Incurred During Period	$	4.18	$	7.98	$	8.03	$	2.89	$	4.08	$	7.80	$	7.85	$	2.82

For each class of the Fund, expenses are equal to the Fund’s annualized expense ratio of .81%, 1.55%, 1.56% and .56% for Classes A, B, C and R, respectively, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Semiannual Report  _l  Page 10

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		CORPORATE BONDS – 52.0%
		Aerospace & Defense – 0.9%
$	100	Raytheon Company	6.750%	8/15/07	BBB+	$	100,437
		Automobiles – 0.9%
	100	DaimlerChrysler NA Holding Corporation	4.750%	1/15/08	Baa1		99,548
		Beverages – 0.9%
	100	Miller Brewing Company, 144A	4.250%	8/15/08	BBB+		98,514
		Capital Markets – 3.5%
	100	ABN AMRO Bank NV Chicago	7.125%	6/18/07	Aa2		100,350
	100	Credit Suisse First Boston	5.750%	4/15/07	AA–		100,007
	100	Goldman Sachs Group, Inc.	4.125%	1/15/08	AA–		99,181
	100	Lehamn Brothers Holdings Inc.	8.250%	6/15/07	A+		100,554
	400	Total Capital Markets					400,092
		Chemicals – 1.2%
	50	Equistar Chemicals LP	8.750%	2/15/09	BB–		52,375
	25	Lyondell Chemical Company	10.875%	5/01/09	B		25,250
	50	PolyOne Corporation	10.625%	5/15/10	B+		53,000
	125	Total Chemicals					130,625
		Commercial Banks – 2.7%
	100	JP Morgan Chase & Company	4.000%	2/01/08	Aa2		98,924
	100	US Bank National Association	6.300%	7/15/08	AA		101,465
	100	Wachovia Corporation	6.250%	8/04/08	A+		100,997
	300	Total Commercial Banks					301,386
		Commercial Services & Supplies – 0.5%
	60	Allied Waste North America	6.500%	11/15/10	BB		60,450
		Diversified Telecommunication Services – 2.6%
	100	CenturyTel Inc.	4.628%	5/15/07	BBB		99,910
	40	Citizens Communications Company	7.625%	8/15/08	BB+		41,400
	100	Sprint Capital Corporation, Unsecured Note	6.125%	11/15/08	BBB		101,310
	50	US West Communications Inc.	5.625%	11/15/08	BB+		50,250
	290	Total Diversified Telecommunication Services					292,870
		Electric Utilities – 7.4%
	100	Cinergy Corporation	6.530%	12/16/08	Baa2		101,894
	50	Commonwealth Edison Company, First Mortgage	3.700%	2/01/08	BBB		49,087
	100	Constellation Energy Group	6.350%	4/01/07	BBB+		100,000
	100	Florida Power Corporation	6.810%	7/01/07	A3		100,303
	100	Niagara Mohawk Power Corporation, Series 1998G	7.750%	10/01/08	A–		103,552
	100	Ohio Edison Company	4.000%	5/01/08	Baa2		98,683
	100	PPL Electric Utilities Corporation	5.875%	8/15/07	A–		100,157
	100	Public Service Electric & Gas Company, Series 2003C	4.000%	11/01/08	A–		98,289
	100	Puget Sound Energy Inc.	3.363%	6/01/08	BBB		97,738
	850	Total Electric Utilities					849,703

11

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		Energy Equipment & Services – 0.2%
$	25	Northwest Pipeline Corporation	6.625%	12/01/07	BB+	$	25,188
		Food Products – 2.6%
	100	Campbell Soup Company	5.875%	10/01/08	A		100,853
	100	Kellogg Company	2.875%	6/01/08	A3		97,228
	100	Kraft Foods Inc.	5.250%	6/01/07	A–		99,946
	300	Total Food Products					298,027
		Gas Utilities – 1.6%
	100	Noram Energy Corporation	6.500%	2/01/08	BBB		100,832
	30	SEMCO Energy	7.125%	5/15/08	Ba2		30,383
	50	Southern Natural Gas	6.125%	9/15/08	Baa3		50,759
	180	Total Gas Utilities					181,974
		Health Care Equipment & Supplies – 0.9%
	100	Baxter International Inc.	7.250%	2/15/08	A		101,639
		Health Care Providers & Services – 1.7%
	100	UnitedHealth Group Inc.	3.750%	2/10/09	A		97,457
	100	Wellpoint Inc.	3.750%	12/14/07	BBB+		98,901
	200	Total Health Care Providers & Services					196,358
		Hotels, Restaurants & Leisure – 1.4%
	50	Park Place Entertainment	8.875%	9/15/08	Ba1		52,250
	100	Tricon Global Restaurants Inc.	7.650%	5/15/08	BBB		102,411
	150	Total Hotels, Restaurants & Leisure					154,661
		Household Durables – 1.1%
	25	Beazer Homes USA, Inc.	8.625%	5/15/11	Ba1		24,563
	50	D.R. Horton, Inc.	7.500%	12/01/07	BBB–		50,641
	25	KB Home	9.500%	2/15/11	Ba2		25,656
	25	Toll Corporation	8.250%	2/01/11	BB+		25,625
	125	Total Household Durables					126,485
		Industrial Conglomerates – 0.9%
	100	Tyco International Group SA	6.125%	11/01/08	BBB+		101,384
		Insurance – 0.9%
	100	Prudential Financial Inc.	3.750%	5/01/08	A		98,488
		IT Services – 0.9%
	100	First Data Corporation	3.375%	8/01/08	A		97,483
		Machinery – 1.7%
	100	Caterpillar Financial Services Corporation, Series MTNF	3.800%	2/08/08	A		98,741
	100	John Deere Capital Corporation, Series 2005D	4.500%	8/25/08	A		99,053
	200	Total Machinery					197,794
		Media – 3.4%
	100	AOL Time Warner Inc.	6.150%	5/01/07	BBB+		100,028
	100	Comcast Cable Communications Inc.	8.375%	5/01/07	BBB+		100,228
	50	Echostar DBS Corporation	5.750%	10/01/08	BB–		50,188
	100	Gannett Company Inc.	5.500%	4/01/07	A–		100,000
	35	Sinclair Broadcasting Group	8.000%	3/15/12	B1		36,400
	385	Total Media					386,844

12

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)		Value
		Metals & Mining – 1.4%
$	50	IPSCO Inc., Senior Note	8.750%	6/01/13	BBB–		$	53,500
	100	Steel Dynamics, Inc.	9.500%	3/15/09	BB+			102,375
	150	Total Metals & Mining						155,875
		Multiline Retail – 0.9%
	100	Federated Department Stores, Inc.	6.625%	9/01/08	BBB			101,580
		Multi-Utilities – 2.6%
	100	Duke Energy Corporation	4.200%	10/01/08	A3			98,522
	100	MidAmerican Energy Holdings Company	3.500%	5/15/08	BBB+	��		98,155
	100	Sempra Energy	4.621%	5/17/07	BBB+			99,893
	300	Total Multi-Utilities						296,570
		Oil, Gas & Consumable Fuels – 1.8%
	50	Alpha Natural Resources, Inc.	10.000%	6/01/12	B–			54,000
	100	Kinder Morgan Energy Partners, L.P.	5.350%	8/15/07	Baa1			99,930
	50	Massey Energy Company, Global Notes	6.625%	11/15/10	B+			50,750
	200	Total Oil, Gas & Consumable Fuels						204,680
		Paper & Forest Products – 1.1%
	35	Tembec Industries, Inc.	7.750%	3/15/12	CCC–			21,438
	100	Weyerhaeuser Company	5.950%	11/01/08	BBB			100,912
	135	Total Paper & Forest Products						122,350
		Pharmaceuticals – 2.8%
	120	Biovail Corporation International	7.875%	4/01/10	BB–			122,363
	100	Bristol-Myers Squibb Company	4.000%	8/15/08	A+			98,511
	100	Wyeth	4.375%	3/01/08	A			99,078
	320	Total Pharmaceuticals						319,952
		Road & Rail – 2.2%
	100	CSX Corporation	7.450%	5/01/07	BBB			100,127
	50	Kansas City Southern Railway Company	9.500%	10/01/08	B–			52,625
	100	Union Pacific Corporation	6.625%	2/01/08	BBB			101,044
	250	Total Road & Rail						253,796
		Trading Companies & Distributors – 0.4%
	50	GATX Financial Corporation	5.125%	4/15/10	BBB+			49,827
		Wireless Telecommunication Services – 0.9%
	100	Airtouch Communications Inc.	6.650%	5/01/08	A–			101,426
$	5,895	Total Corporate Bonds (cost $5,917,271)						5,906,006

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 39.2%
		U.S. Treasury Bonds/Notes – 39.2%
$	700	United States of America Treasury Bonds/Notes	4.875%	1/31/09	AAA	$	703,063
	770	United States of America Treasury Bonds/Notes	4.250%	10/31/07	AAA		766,872
	1,200	United States of America Treasury Bonds/Notes	4.750%	11/15/08	AAA		1,200,938
	1,200	United States of America Treasury Bonds/Notes	3.500%	11/15/09	AAA		1,169,203
	250	United States of America Treasury Bonds/Notes	4.000%	3/15/10	AAA		246,416
	400	United States of America Treasury Bonds/Notes	0.000%	8/15/09	AAA		359,637
$	4,520	Total U.S. Government and Agency Obligations (cost $4,442,523)					4,446,129

13

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 5.6%
		Autos – Asset-Backed Securities – 0.4%
$	51	Daimler Chrysler Auto Trust, Class A3, Series 2005B	4.040%	9/08/09	AAA	$	50,572
		Home Equity – Asset-Backed Securities – 0.0%
	—*	Master CI-9 NIM Notes, Series 2005, 144A	4.940%	3/26/35	A+		285
		Residentials – Mortgage-Backed Securities – 5.2%
	600	Federal National Mortgage Association Pool (MDR) (TBA) (WI/DD)	5.500%	TBA	AAA		593,625
$	651	Total Asset-Backed and Mortgage-Backed Securities (cost $646,635)					644,482
Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		SOVEREIGN DEBT – 3.8%
		Turkey – 3.8%
$	200	Republic of Turkey, Government Bond	14.000%	1/19/11	Ba3	$	131,820
	400	Republic of Turkey, Government Bond	10.000%	2/15/12	BB		296,631
	600	Total Turkey					428,451
$	600	Total Sovereign Debt (cost $412,426)					428,451
Principal Amount (000)		Description	Weighted Average Coupon	Maturity (2)	Ratings (1)	Value
		VARIABLE RATE SENIOR LOAN INTERESTS – 2.2% (3)
		Metals & Mining – 2.2%
$	250	Freeport-McMoRan Copper & Gold Inc., Bridge Loan, (WI/DD)	TBD	TBD	B1	$	250,000
$	250	Total Variable Rate Senior Loan Interests (cost $250,000)					250,000
Principal Amount (000)		Description	Coupon	Maturity		Value
		SHORT-TERM INVESTMENTS – 9.8%
$	1,107	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/07, repurchase price $1,107,948, collateralized by $1,160,000 U.S. Treasury Bills, 0.000%, due 9/27/07, value $1,132,160	4.900%	4/02/07		$	1,107,496
		Total Short-Term Investments (cost $1,107,496)					1,107,496
		Total Investments (cost $12,776,351) – 112.6%					12,782,564
Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		ASSET-BACKED AND MORTGAGE-BACKED SECURITIES SOLD SHORT- (5.2)%
$	(600)	Federal National Mortgage Association Pool (TBA)	5.000%	TBA	AAA	$	(591,937)
		Total Asset-Backed and Mortgage-Backed Securities Sold Short (cost $593,086)					(591,937)
		Other Assets Less Liabilities – (7.4)%					(838,551)
		Net Assets – 100%				$	11,352,076

14

Forward Foreign Currency Exchange Contracts outstanding at March 31, 2007:

Currency Contracts to Deliver	Amount (Local Currency)	In Exchange For Currency	Amount (Local Currency)	Settlement Date	Unrealized Appreciation (Depreciation) (U.S. Dollars)
Canadian Dollar	125,000	U.S. Dollar	106,434	4/10/07	$	(1,870	)
Czech Koruna	2,500,000	U.S. Dollar	117,719	4/12/07		(1,641	)
Euro	6,500	Iceland Krona	591,825	6/22/07		109
Euro	38,500	Iceland Krona	3,505,618	6/22/07		646
Euro	45,000	Iceland Krona	4,070,250	6/22/07		350
Hungarian Forint	22,000,000	U.S. Dollar	113,198	5/08/07		(5,066	)
Japanese Yen	141,480,000	U.S. Dollar	1,214,525	6/25/07		530
Mexican Peso	1,210,000	U.S. Dollar	108,051	4/19/07		(1,465	)
New Turkish Lira	184,000	U.S. Dollar	126,635	4/30/07		(4,112	)
New Turkish Lira	179,450	U.S. Dollar	124,086	5/14/07		(2,744	)
New Turkish Lira	225,000	U.S. Dollar	153,207	6/01/07		(4,737	)
New Zealand Dollar	152,000	U.S. Dollar	104,274	4/05/07		(4,271	)
New Zealand Dollar	260,000	U.S. Dollar	181,171	5/15/07		(3,986	)
Norwegian Krone	747,955	U.S. Dollar	118,000	4/10/07		(5,089	)
Norwegian Krone	686,950	U.S. Dollar	112,390	5/08/07		(751	)
Pound Sterling	61,000	U.S. Dollar	119,444	4/10/07		(592	)
Pound Sterling	61,000	U.S. Dollar	119,602	4/10/07		(434	)
Singapore Dollar	160,000	U.S. Dollar	104,541	4/30/07		(1,117	)
South African Rand	785,000	U.S. Dollar	108,067	4/25/07		144
Swedish Krona	772,372	U.S. Dollar	110,000	5/08/07		(845	)
Swedish Krona	800,000	U.S. Dollar	114,062	6/14/07		(978	)
Swiss Franc	147,000	U.S. Dollar	119,431	4/10/07		(1,646	)
Swiss Franc	147,000	U.S. Dollar	120,924	6/14/07		(822	)
U.S. Dollar	106,851	New Zealand Dollar	152,000	4/05/07		1,693
U.S. Dollar	107,374	Canadian Dollar	125,000	4/10/07		931
U.S. Dollar	118,000	Norwegian Krone	734,798	4/10/07		2,924
U.S. Dollar	119,979	Pound Sterling	61,000	4/10/07		57
U.S. Dollar	119,994	Pound Sterling	61,000	4/10/07		42
U.S. Dollar	121,028	Swiss Franc	147,000	4/10/07		49
U.S. Dollar	117,041	Czech Koruna	2,500,000	4/12/07		2,319
U.S. Dollar	110,189	Mexican Peso	1,210,000	4/19/07		(673	)
U.S. Dollar	109,213	South African Rand	785,000	4/25/07		(1,289	)
U.S. Dollar	59,922	Hungarian Forint	11,056,200	4/26/07		(437	)
U.S. Dollar	128,501	New Turkish Lira	184,000	4/30/07		2,246
U.S. Dollar	105,263	Singapore Dollar	160,000	4/30/07		395
U.S. Dollar	111,669	Hungarian Forint	22,000,000	5/08/07		6,593
U.S. Dollar	110,000	Norwegian Krone	686,950	5/08/07		3,141
U.S. Dollar	111,189	Swedish Krona	772,372	5/08/07		(344	)
U.S. Dollar	118,621	Brazilian Real	250,800	5/14/07		2,398
U.S. Dollar	177,892	New Zealand Dollar	260,000	5/15/07		7,264
U.S. Dollar	59,687	Hungarian Forint	11,340,000	6/14/07		1,115
U.S. Dollar	59,412	South African Rand	440,520	6/14/07		820
U.S. Dollar	60,478	South African Rand	440,520	6/14/07		(246	)
U.S. Dollar	1,091,685	Japanese Yen	127,380,000	6/25/07		1,322
U.S. Dollar	59,497	Colombian Peso	130,000,000	6/27/07		(770	)
U.S. Dollar	119,452	Mexican Peso	1,320,000	6/27/07		(429	)
U.S. Dollar	59,051	Indian Rupee	2,600,000	6/28/07		26
					$	(11,240	)

Interest Rate Swaps outstanding at March 31, 2007:

Counterparty	Notional Amount		Fund Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate (Annualized)		Fixed Rate Payment Frequency	Termination Date	Unrealized Appreciation (Depreciation) (U.S. Dollars)
Bank of America (4)	465,000,000	HUF	Receive	6-Month BUBOR	7.300	%	Annually	10/02/08	$	—
Citigroup Inc. (4)	15,000,000	NOK	Pay	6-Month NIBOR	5.460		Annually	2/09/09		1,119
JPMorgan	750,000	MXN	Pay	28-Day MXN TIIE	10.370		28-Day	5/13/10		4,761
JPMorgan (4)	18,500,000	ZAR	Pay	3-Month JIBA	9.050		Quarterly	9/29/08		—
Merrill Lynch	400,000	BRL	Receive	1-Day BZDIORA	11.690		Annually	1/02/09		(186	)
Merrill Lynch	1,000,000	BRL	Pay	1-Day BZDIORA	11.690		Annually	1/02/17		(199	)
Morgan Stanley	400,000	BRL	Receive	1-Day BZDIORA	11.790		Annually	1/02/09		202
Morgan Stanley	1,000,000	BRL	Pay	1-Day BZDIORA	11.850		Annually	1/03/17		1,800
									$	7,497

15

Portfolio of Investments (Unaudited)

Nuveen Short Duration Bond Fund (continued)

March 31, 2007

Credit Default Swap outstanding at March 31, 2007:

Counterparty	Referenced Entity	Buy/Sell Protection	Notional Amount		Fixed Rate		Termination Date	Unrealized Appreciation (Depreciation) (U.S. Dollars)
Morgan Stanley	Louisiana-Pacific Corporation	Buy	$	330,000	1.350	%	12/20/11	$	(3,403	)

Futures Contracts outstanding at March 31, 2007:

Type	Contract Position	Number of Contracts	Contract Expiration	Value at March 31, 2007 (U.S. Dollars)	Unrealized Appreciation (Depreciation (U.S. Dollars)
U.S. 2-Year Treasury Note	Long	11	6/07	2,253,797	$	4,951
U.S. 5-Year Treasury Note	Long	5	6/07	528,984		219
					$	5,170

(1) Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below BBB by Standard & Poor’s Group or Baa by Moody’s Investor Service, Inc. are considered to be below investment grade.

(2) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.

(3) Senior Loans in which the Fund invests generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.

Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.

(4) Forward swap contract with an effective date as show in the following table. Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract.

Counterparty	Notional Amount		Effective Date
Bank of America	465,000,000	HUF	10/02/07
Citigroup Inc.	15,000,000	NOK	2/07/08
JPMorgan	18,500,000	ZAR	9/28/07

144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.

TBA To be announced. Maturity date not known prior to the settlement of the transaction.

TBD Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

WI/DD Purchased on a when-issued or delayed delivery basis.

BRL Brazilian Real

HUF Hungarian Forint

MXN Mexican Peso

NOK Norwegian Krone

ZAR South African Rand

BUBOR Budapest Inter-Bank Offered Rate

BZDIORA Brazil Inter-Bank Deposit Rate Over

JIBA South Africa Johannesburg Inter-Bank Agreed Rate

NIBOR Norway Inter-Bank Offered Rate

TIIE Mexican Peso Inter-Bank Equilibrium Interest Rate

* Principal Amount rounds to less than $1,000.

See accompanying notes to financial statements.

16

Portfolio of Investments (Unaudited)

Nuveen Core Bond Fund

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		CORPORATE BONDS – 28.4%
		Aerospace & Defense – 0.2%
$	12	Boeing Capital Corporation	5.800%	1/15/13	A+	$	12,403
	4	Honeywell International Inc.	7.500%	3/01/10	A		4,267
	8	United Technologies Corporation	7.500%	9/15/29	A		9,643
	24	Total Aerospace & Defense					26,313
		Beverages – 0.1%
	7	Anheuser-Busch Companies, Inc.	5.050%	10/15/16	A		6,796
	7	Coca-Cola Enterprises Inc.	6.750%	9/15/28	A		7,669
	14	Total Beverages					14,465
		Building Products – 0.0%
	4	Masco Corporation	5.875%	7/15/12	BBB+		4,057
		Capital Markets – 0.2%
	14	Mellon Funding Corporation	3.250%	4/01/09	A+		13,498
	1	Merril Lynch & Company	3.700%	4/21/08	AA–		984
	10	Morgan Stanley Dean Witter & Company	8.000%	6/15/10	Aa3		10,896
	25	Total Capital Markets					25,378
		Chemicals – 2.3%
	6	Dow Chemical Company	7.375%	11/01/29	A–		6,697
	12	E.I. Du Pont de Nemours and Company	6.875%	10/15/09	A		12,544
	30	Equistar Chemicals LP	8.750%	2/15/09	BB–		31,425
	25	Lyondell Chemical Company	10.875%	5/01/09	B		25,250
	100	MacDermid Inc.	9.125%	7/15/11	Ba2		104,813
	30	MacDermid, Inc., (WI/DD, settling 4/12/07)	9.500%	4/15/17	CCC+		30,900
	2	Praxair, Inc.	6.375%	4/01/12	A		2,108
	50	Rockwood Specialties Group Inc.	10.625%	5/15/11	B–		53,000
	255	Total Chemicals					266,737
		Commercial Banks – 1.0%
	3	Bank of America Corporation	5.375%	6/15/14	Aa1		3,005
	3	Bank One NA Illinois	3.700%	1/15/08	Aaa		2,967
	6	Charter One Bank FSB	6.375%	5/15/12	Aa3		6,378
	22	Fleet National Bank	5.750%	1/15/09	Aa1		22,238
	2	HSBC Bank USA	3.875%	9/15/09	AA		1,942
	4	Key Bank NA	7.000%	2/01/11	A2		4,258
	25	National City Bank	6.200%	12/15/11	A1		26,051
	3	National Westminster Bank PLC	7.375%	10/01/09	Aa2		3,151
	16	Nationsbank Corporation	7.800%	9/15/16	Aa2		18,680
	3	PNC Funding Corporation	7.500%	11/01/09	A2		3,176
	6	SunTrust Banks Inc.	6.375%	4/01/11	Aa3		6,268
	9	US Bank NA Minnesota	6.375%	8/01/11	AA		9,433
	14	Wachovia Corporation	5.250%	8/01/14	A+		13,858
	7	Wells Fargo & Company	5.375%	2/07/35	AA+		6,607
	123	Total Commercial Banks					128,012

17

Portfolio of Investments (Unaudited)

Nuveen Core Bond Fund (continued)

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		Commercial Services & Supplies – 1.0%
$	30	Ahern Rentals Inc.	9.250%	8/15/13	B	$	31,463
	50	Browning Ferris Industries	9.250%	5/01/21	BB		54,500
	30	Rental Service Corporation, 144A	9.500%	12/01/14	B–		32,100
	4	Waste Management, Inc.	7.750%	5/15/32	BBB		4,645
	114	Total Commercial Services & Supplies					122,708
		Communications Equipment – 0.1%
	5	Cisco Systems, Inc.	5.500%	2/22/16	A+		5,043
	1	Motorola, Inc.	7.625%	11/15/10	A–		1,074
	3	Motorola, Inc.	7.500%	5/15/25	A–		3,301
	9	Total Communications Equipment					9,418
		Consumer Finance – 0.3%
	3	Household Finance Corporation	7.000%	5/15/12	AA–		3,223
	19	MBNA Corporation	6.125%	3/01/13	Aa1		19,813
	12	SLM Corporation	5.375%	1/15/13	A		12,084
	34	Total Consumer Finance					35,120
		Containers & Packaging – 0.6%
	50	Caraustar Industries	7.375%	6/01/09	B+		49,000
	30	Owens-Brockway Glass Container Inc.	8.875%	2/15/09	Ba2		30,750
	80	Total Containers & Packaging					79,750
		Distributors – 0.2%
	30	Ryerson Tull Inc.	8.250%	12/15/11	B–		30,450
		Diversified Financial Services – 1.9%
	33	Associates Corporation of North America	6.250%	11/01/08	Aa1		33,574
	13	CIT Group Inc.	5.500%	11/30/07	A		13,010
	17	Citigroup Inc.	3.625%	2/09/09	Aa1		16,598
	5	Citigroup Inc.	6.000%	10/31/33	Aa2		4,990
	4	Citigroup Inc.	5.850%	12/11/34	Aa1		3,986
	57	General Electric Capital Corporation	8.125%	5/15/12	AAA		64,554
	41	Household Financial Corporation	8.000%	7/15/10	AA–		44,475
	28	JPMorgan Chase & Co.	3.500%	3/15/09	Aa2		27,156
	18	Sanwa Finance Aruba AEC	8.350%	7/15/09	A2		19,207
	216	Total Diversified Financial Services					227,550
		Diversified Telecommunication Services – 1.4%
	21	BellSouth Corporation	6.550%	6/15/34	A		21,660
	6	British Telecommunications PLC	8.625%	12/15/30	BBB+		8,262
	12	Deutsche Telekom International Finance BV	8.000%	6/15/10	A–		13,017
	4	Deutsche Telekom International Finance BV	8.250%	6/15/30	A–		4,969
	10	Embarq Corporation	7.995%	6/01/36	BBB–		10,356
	18	France Telecom	7.750%	3/01/11	A–		19,627
	25	GTE Corporation	7.510%	4/01/09	A		26,068
	14	Sprint Capital Corporation	8.375%	3/15/12	BBB		15,636
	40	Sprint Capital Corporation	6.900%	5/01/19	BBB		41,508

18

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		Diversified Telecommunication Services (continued)
$	4	Sprint Capital Corporation	8.750%	3/15/32	BBB	$	4,731
	10	Verizon New York Inc., Series B	7.375%	4/01/32	A		10,604
	164	Total Diversified Telecommunication Services					176,438
		Electric Utilities – 0.7%
	14	Duke Capital LLC	5.668%	8/15/14	Baa1		13,874
	5	FirstEnergy Corporation	7.375%	11/15/31	BBB–		5,698
	12	National Rural Utilities Cooperative Finance Corporation	3.875%	2/15/08	A+		11,863
	8	National Rural Utilities Cooperative Finance Corporation	5.750%	8/28/09	A		8,138
	11	Pacific Gas and Electric Company	6.050%	3/01/34	Baa1		11,063
	10	Progress Energy, Inc.	7.000%	10/30/31	BBB		11,102
	5	PSE&G Power LLC	8.625%	4/15/31	Baa1		6,366
	11	Reliant Energy, Centerpoint Energy Inc.	7.750%	2/15/11	BBB		11,904
	9	Virginia Electric and Power Company	4.750%	3/01/13	Baa1		8,731
	85	Total Electric Utilities					88,739
		Electrical Equipment – 0.2%
	30	General Cable Corporation, 144A	7.125%	4/01/17	B+		30,338
		Electronic Equipment & Instruments – 0.5%
	61	Arrow Electronics, Inc.	6.875%	6/01/18	BBB–		63,898
		Energy Equipment & Services – 1.3%
	50	Allis Chalmers Energy Inc., 144A	8.500%	3/01/17	B		49,500
	25	Calfrac Holdings LP, 144A	7.750%	2/15/15	B1		24,375
	75	Hanover Equipment Trust, Senior Secured Note, Series 2003	8.500%	9/01/08	Ba3		75,750
	10	Northwest Pipeline Corporation	6.625%	12/01/07	BB+		10,075
	160	Total Energy Equipment & Services					159,700
		Food & Staples Retailing – 0.2%
	2	Kroger Co.	7.500%	4/01/31	Baa2		2,186
	19	Meyer Fred Inc., Kroger Inc.	7.450%	3/01/08	Baa2		19,366
	21	Total Food & Staples Retailing					21,552
		Food Products – 0.3%
	3	Archer-Daniels-Midland Company	7.000%	2/01/31	A		3,392
	2	Kellogg Company	7.450%	4/01/31	A3		2,353
	11	Kraft Foods Inc.	6.250%	6/01/12	A–		11,443
	16	Nabisco Inc.	7.550%	6/15/15	A		18,021
	3	Unilever Capital Corporation	5.900%	11/15/32	A+		2,924
	35	Total Food Products					38,133
		Gas Utilities – 0.0%
	2	Consolidated Natural Gas Company	5.000%	12/01/14	Baa1		1,937
		Health Care Equipment & Supplies – 0.4%
	50	Invacare Corporation, 144A	9.750%	2/15/15	B2		50,500
		Health Care Providers & Services – 0.9%
	40	Amerisource Bergen Corporation	5.875%	9/15/15	BBB–		39,949
	18	Medco Health Solutions, Inc.	7.250%	8/15/13	BBB		19,492

19

Portfolio of Investments (Unaudited)

Nuveen Core Bond Fund (continued)

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		Health Care Providers & Services (continued)
$	50	UnitedHealth Group Incorporated	5.375%	3/15/16	A	$	49,718
	108	Total Health Care Providers & Services					109,159
		Hotels, Restaurants & Leisure – 0.4%
	20	MGM Grand Inc.	6.000%	10/01/09	BB		20,125
	30	Mohegan Tribal Gaming Authority	8.000%	4/01/12	Ba2		31,275
	50	Total Hotels, Restaurants & Leisure					51,400
		Household Durables – 0.7%
	25	Beazer Homes USA, Inc.	8.625%	5/15/11	Ba1		24,563
	25	KB Home	9.500%	2/15/11	Ba2		25,656
	12	Pulte Homes, Inc.	4.875%	7/15/09	BBB		11,831
	25	Toll Corporation	8.250%	2/01/11	BB+		25,625
	87	Total Household Durables					87,675
		Household Products – 0.2%
	2	Kimberly-Clark Corporation	5.000%	8/15/13	AA–		1,981
	20	Procter and Gamble Company	4.850%	12/15/15	AA–		19,456
	22	Total Household Products					21,437
		Industrial Conglomerates – 0.2%
	7	General Electric Company	5.000%	2/01/13	AAA		6,956
	20	Raychem Corporation, Tyco International Limited	7.200%	10/15/08	BBB+		20,533
	27	Total Industrial Conglomerates					27,489
		IT Services – 0.4%
	50	Unisys Corporation	7.875%	4/01/08	B+		50,500
		Life Sciences Tools & Services – 0.2%
	25	Fisher Scientific International	6.125%	7/01/15	BBB		25,093
		Machinery – 0.2%
	5	Caterpillar Inc.	7.300%	5/01/31	A		5,868
	15	Deere & Company	6.950%	4/25/14	A		16,461
	20	Total Machinery					22,329
		Media – 1.9%
	18	Cox Communications, Inc.	7.750%	11/01/10	BBB–		19,469
	30	Dex Media East LLC	9.875%	11/15/09	B1		31,425
	28	Gray Television Inc., Term Loan	9.250%	12/15/11	B1		29,365
	13	Insight Midwest L.P	9.750%	10/01/09	B		13,244
	30	Primedia Inc., Senior Notes	8.875%	5/15/11	B		30,975
	35	Sinclair Broadcasting Group	8.000%	3/15/12	B1		36,400
	22	TCI Communications, Inc.	8.750%	8/01/15	BBB+		26,024
	11	Time Warner Inc.	9.125%	1/15/13	BBB+		12,906
	14	Time Warner Inc.	9.150%	2/01/23	BBB+		17,477
	18	Viacom Inc., Senior Notes	7.700%	7/30/10	BBB		19,377
	2	Walt Disney Company	7.000%	3/01/32	A–		2,301
	221	Total Media					238,963

20

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		Metals & Mining – 3.4%
$	8	Alcan Inc.	7.250%	3/15/31	BBB+	$	8,938
	25	California Steel Industries Inc.	6.125%	3/15/14	BB–		23,875
	30	Claymont Steel Inc., 144A	8.875%	2/15/15	B3		30,000
	30	Freeport McMoran Copper & Gold, Inc.	8.375%	4/01/17	Ba3		32,513
	30	IPSCO Inc., Senior Note	8.750%	6/01/13	BBB–		32,100
	30	Metals USA Holdings Corporation, Floating Rate Note, 144A (PIK)	11.350%	1/15/12	CCC+		29,550
	30	Russel Metals Inc.	6.375%	3/01/14	BB		28,875
	100	Steel Dynamics, Inc., 144A (WI/DD, settling 4/03/07)	6.750%	4/01/15	Ba2		100,625
	100	Steel Dynamics, Inc.	9.500%	3/15/09	BB+		102,375
	383	Total Metals & Mining					388,851
		Multiline Retail – 0.6%
	4	Federated Department Stores, Inc.	6.625%	4/01/11	BBB		4,175
	8	Federated Department Stores, Inc.	6.900%	4/01/29	BBB		8,104
	30	J.C. Penney Corporation Inc.	7.125%	11/15/23	BBB–		32,965
	13	Target Corporation	7.500%	8/15/10	A+		13,980
	17	Wal-Mart Stores, Inc.	6.875%	8/10/09	AA		17,705
	2	Wal-Mart Stores, Inc.	7.550%	2/15/30	AA		2,415
	74	Total Multiline Retail					79,344
		Oil, Gas & Consumable Fuels – 2.0%
	10	Amerada Hess Corporation	7.125%	3/15/33	BBB–		10,851
	5	Burlington Resources Finance Company	7.200%	8/15/31	A2		5,809
	25	Chesapeake Energy Corporation	6.250%	1/15/18	BB		24,813
	10	Devon Energy Corporation	7.950%	4/15/32	BBB		12,028
	10	Duke Energy Field Services Corporation	7.875%	8/16/10	BBB		10,811
	21	Enterprise Products Operating L.P.	4.625%	10/15/09	BBB–		20,738
	3	Halliburton Company	5.500%	10/15/10	BBB+		3,035
	10	Kinder Morgan Energy Partners, L.P.	7.300%	8/15/33	Baa1		10,835
	10	Occidental Petroleum Corporation	6.750%	1/15/12	A–		10,729
	30	OPTI Canada Inc.	8.250%	12/15/14	BB		31,350
	10	PC Financial Partnership	5.000%	11/15/14	BBB		9,651
	11	Phillips Petroleum Company	8.750%	5/25/10	A1		12,218
	50	Premcor Refining Group Inc.	7.500%	6/15/15	BBB		51,671
	10	Tosco Corporation	8.125%	2/15/30	A1		12,720
	10	Valero Energy Corporation	7.500%	4/15/32	BBB		11,398
	10	XTO Energy, Inc.	6.250%	4/15/13	BBB		10,407
	235	Total Oil, Gas & Consumable Fuels					249,064
		Paper & Forest Products – 1.2%
	50	Buckeye Technologies Inc.	8.000%	10/15/10	B		50,000
	30	Mercer International Inc.	9.250%	2/15/13	B		30,225
	30	Pope & Talbot Inc.	8.375%	6/01/13	CCC		24,750
	35	Tembec Industries, Inc.	7.750%	3/15/12	CCC–		21,438
	8	Westvaco Corporation	8.200%	1/15/30	BBB		8,827
	17	Weyerhaeuser Company	5.950%	11/01/08	BBB		17,155
	170	Total Paper & Forest Products					152,395

21

Portfolio of Investments (Unaudited)

Nuveen Core Bond Fund (continued)

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		Pharmaceuticals – 1.2%
$	120	Biovail Corporation International	7.875%	4/01/10	BB–	$	122,363
	3	Schering-Plough Corporation	6.750%	12/01/33	A–		3,342
	20	Wyeth	5.500%	3/15/13	A		20,196
	143	Total Pharmaceuticals					145,901
		Real Estate Investment Trust – 0.2%
	19	Simon Property Group, L.P.	6.375%	11/15/07	A–		19,107
		Real Estate Management & Development – 0.1%
	12	ERP Operating LP	6.625%	3/15/12	A–		12,785
		Road & Rail – 0.7%
	18	Burlington Northern Santa Fe Corporation	6.750%	7/15/11	Baa1		18,975
	13	Canadian National Railway Company	6.250%	8/01/34	A–		13,458
	30	Kansas City Southern Railway Company	12.500%	6/15/12	B–		32,310
	17	Norfolk Southern Corporation	7.700%	5/15/17	BBB+		18,980
	78	Total Road & Rail					83,723
		Software – 0.1%
	14	Computer Associates International, Inc.	4.750%	12/01/09	Ba1		13,820
		Specialty Retail – 0.0%
	1	Home Depot, Inc.	3.750%	9/15/09	Aa3		970
	1	Lowes Companies, Inc.	6.500%	3/15/29	A+		1,052
	2	Total Specialty Retail					2,022
		Tobacco – 0.0%
	2	Philip Morris Companies, Inc.	7.750%	1/15/27	Baa1		2,397
		Trading Companies & Distributors – 0.3%
	30	Ashtead Capital Inc., 144A	9.000%	8/15/16	B		32,100
		Wireless Telecommunication Services – 0.6%
	8	American Cellular Corporation Escrow Corporation	10.000%	8/01/11	B3		8,510
	22	AT&T/Cingular Wireless Services	8.125%	5/01/12	A		24,791
	25	Rogers Wireless Communications Inc.	6.375%	3/01/14	Baa3		25,750
	10	Telefonica Europe BV	7.750%	9/15/10	BBB+		10,784
	4	Vodafone Group PLC	7.875%	2/15/30	A–		4,631
	69	Total Wireless Telecommunication Services					74,466
$	3,377	Total Corporate Bonds (cost $3,526,255)					3,491,213
Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 13.9%
		U.S. Treasury Bonds/Notes – 13.9%
$	200	United States of America Treasury Bonds/Notes	4.500%	2/15/36	AAA	$	188,625
	400	United States of America Treasury Bonds/Notes	3.375%	2/15/08	AAA		394,797
	175	United States of America Treasury Bonds/Notes	4.875%	2/15/12	AAA		177,782
	385	United States of America Treasury Bonds/Notes	4.875%	8/15/16	AAA		391,226
	360	United States of America Treasury Bonds/Notes	0.000%	2/15/15	AAA		250,341
	50	United States of America Treasury Bonds/Notes	0.000%	5/15/17	AAA		30,939

22

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		U.S. Treasury Bonds/Notes (continued)
$	650	United States of America Treasury Bonds/Notes	0.000%	2/15/25	AAA	$	267,071
	25	United States of America Treasury Bonds/Notes	0.000%	2/15/37	AAA		6,090
$	2,245	Total U.S. Government and Agency Obligations (cost $1,702,895)					1,706,871
Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		ASSET-BACKED AND MORTGAGE-BACKED SECURITIES – 53.5%
		Autos – Asset-Backed Securities – 0.4%
$	51	Daimler Chrysler Auto Trust, Class A3, Series 2005B	4.040%	9/08/09	AAA	$	50,572
		Cards – Asset-Backed Securities – 2.1%
	100	Bank One Issuance Trust 03-A3 A3	5.430%	12/15/10	AAA		100,196
	160	Chase Issuance Trust 05-A3 A	5.340%	10/17/11	AAA		160,215
	260	Total Cards					260,411
		Home Equity – Asset-Backed Securities – 0.0%
	—*	Master CI-9 NIM Notes, Series 2005, 144A	4.940%	3/26/35	A+		285
		Residentials – Mortgage-Backed Securities – 51.0%
	147	Federal Home Loan Mortgage Corporation Pool 1B3220 (WI/DD)	5.965%	1/01/37	AAA		149,070
	379	Federal Home Loan Mortgage Corporation Pool 847681	6.263%	12/01/36	AAA		384,288
	63	Federal National Mortgage Association Pool 255814	5.500%	8/01/35	AAA		62,120
	802	Federal National Mortgage Association Pool 735060	6.000%	11/01/34	AAA		810,127
	385	Federal National Mortgage Association Pool 735606	4.443%	5/01/35	AAA		378,289
	394	Federal National Mortgage Association Pool 824163	5.500%	4/01/35	AAA		390,785
	394	Federal National Mortgage Association Pool 905597	6.098%	12/01/36	AAA		399,724
	600	Federal National Mortgage Association Pool (MDR) (TBA) (WI/DD)	5.500%	TBA	AAA		593,625
	1,013	Federal National Mortgage Association Pool (MDR) (TBA) (WI/DD)	6.000%	TBA	AAA		1,020,598
	1,100	Federal National Mortgage Association Pool (MDR) (TBA) (WI/DD)	5.500%	TBA	AAA		1,088,657
	1,020	Federal National Mortgage Association Pool (MDR) (TBA) (WI/DD)	5.000%	TBA	AAA		985,575
	6,297	Total Residentials					6,262,858
$	6,608	Total Asset-Backed and Mortgage-Backed Securities (cost $6,593,932)					6,574,126
Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		CAPITAL PREFERRED SECURITIES – 0.1%
		Capital Markets – 0.1%
$	8	First Union Institutional Capital Securities I	8.040%	12/01/26	A1	$	8,329
$	8	Total Capital Preferred Securities (cost $8,651)					8,329
Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		SOVEREIGN DEBT – 5.1%
		Colombia – 0.1%
$	10	Republic of Colombia	8.250%	12/22/14	BB+	$	11,405
		Hungary – 0.5%
	60	Republic of Hungary	4.750%	2/03/15	A2		58,165

23

Portfolio of Investments (Unaudited)

Nuveen Core Bond Fund (continued)

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		Mexico – 0.6%
$	65	United Mexican States	6.625%	3/03/15	Baa1	$	70,361
		Poland – 0.5%
	60	Republic of Poland	5.000%	10/19/15	A2		59,430
		Turkey – 3.4%
	200	Republic of Turkey, Government Bond	14.000%	1/19/11	Ba3		131,825
	400	Republic of Turkey, Government Bond	10.000%	2/15/12	BB		296,630
	600	Total Turkey					428,455
$	795	Total Sovereign Debt (cost $609,050)					627,816
Principal Amount (000)		Description	Weighted Average Coupon	Maturity (2)	Ratings (1)	Value
		VARIABLE RATE SENIOR LOAN INTERESTS – 4.1% (3)
		Metals & Mining – 2.0%
$	250	Freeport-McMoRan Copper & Gold Inc., Bridge Loan, (WI/DD)	TBD	TBD	B1	$	250,000
		Oil, Gas & Consumable Fuels – 2.1%
	250	SandRidge Energy	8.620%	3/07/15	B		254,375
$	500	Total Variable Rate Senior Loan Interests (cost $500,000)					504,375
Principal Amount (000)		Description	Coupon	Maturity		Value
		SHORT-TERM INVESTMENTS – 27.4%
$	3,372	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/07, repurchase price $3,373,839, collateralized by $3,525,000 U.S. Treasury Bill, 0.000%, due 9/27/07, value $3,440,400	4.900%	4/02/07		$	3,372,462
		Total Short-Term Investments (cost $3,372,462)					3,372,462
		Total Investments (cost $16,313,245) – 132.5%					16,285,192
Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		ASSET-BACKED AND MORTGAGE-BACKED SECURITIES SOLD SHORT – (4.8)%
$	(600)	Federal National Mortgage Association Pool 918497 (MDR) (TBA)	5.000%	TBA	AAA	$	(591,937)
		Total Asset-Backed and Mortgage-Backed Securities Sold Short (cost $593,086)					(591,937)
		Other Assets Less Liabilities – (27.7)%					(3,403,698)
		Net Assets – 100%				$	12,289,557

24

Forward Foreign Currency Exchange Contracts outstanding at March 31, 2007:

Currency Contracts to Deliver	Amount (Local Currency)	In Exchange For Currency	Amount (Local Currency)	Settlement Date	Unrealized Appreciation (Depreciation) (U.S. Dollars)
Canadian Dollar	125,000	U.S. Dollar	106,434	4/10/07	$	(1,870	)
Czech Koruna	2,500,000	U.S. Dollar	117,719	4/12/07		(1,641	)
Euro	6,500	Iceland Krona	591,825	6/22/07		109
Euro	38,500	Iceland Krona	3,505,618	6/22/07		646
Euro	45,000	Iceland Krona	4,070,250	6/22/07		350
Hungarian Forint	22,000,000	U.S. Dollar	113,198	5/08/07		(5,066	)
Japanese Yen	141,480,000	U.S. Dollar	1,214,525	6/25/07		530
Mexican Peso	1,205,000	U.S. Dollar	107,605	4/19/07		(1,459	)
New Turkish Lira	184,000	U.S. Dollar	126,635	4/30/07		(4,112	)
New Turkish Lira	179,450	U.S. Dollar	124,086	5/14/07		(2,744	)
New Turkish Lira	225,000	U.S. Dollar	153,207	6/01/07		(4,737	)
New Zealand Dollar	152,000	U.S. Dollar	104,274	4/05/07		(4,271	)
New Zealand Dollar	260,000	U.S. Dollar	181,171	5/15/07		(3,986	)
Norwegian Krone	747,955	U.S. Dollar	118,000	4/10/07		(5,089	)
Norwegian Krone	686,950	U.S. Dollar	112,390	5/08/07		(751	)
Pound Sterling	61,000	U.S. Dollar	119,444	4/10/07		(592	)
Pound Sterling	61,000	U.S. Dollar	119,602	4/10/07		(434	)
Singapore Dollar	160,000	U.S. Dollar	104,541	4/30/07		(1,117	)
South African Rand	785,000	U.S. Dollar	108,067	4/25/07		144
Swedish Krona	772,372	U.S. Dollar	110,000	5/08/07		(845	)
Swedish Krona	800,000	U.S. Dollar	114,062	6/14/07		(978	)
Swiss Franc	147,000	U.S. Dollar	119,431	4/10/07		(1,646	)
Swiss Franc	147,000	U.S. Dollar	120,924	6/14/07		(822	)
U.S. Dollar	106,851	New Zealand Dollar	152,000	4/05/07		1,693
U.S. Dollar	107,374	Canadian Dollar	125,000	4/10/07		931
U.S. Dollar	118,000	Norwegian Krone	734,798	4/10/07		2,924
U.S. Dollar	119,979	Pound Sterling	61,000	4/10/07		57
U.S. Dollar	119,994	Pound Sterling	61,000	4/10/07		42
U.S. Dollar	121,028	Swiss Franc	147,000	4/10/07		49
U.S. Dollar	117,041	Czech Koruna	2,500,000	4/12/07		2,319
U.S. Dollar	109,734	Mexican Peso	1,205,000	4/19/07		(670	)
U.S. Dollar	109,213	South African Rand	785,000	4/25/07		(1,289	)
U.S. Dollar	59,922	Hungarian Forint	11,056,200	4/26/07		(437	)
U.S. Dollar	128,501	New Turkish Lira	184,000	4/30/07		2,246
U.S. Dollar	105,263	Singapore Dollar	160,000	4/30/07		395
U.S. Dollar	111,669	Hungarian Forint	22,000,000	5/08/07		6,593
U.S. Dollar	110,000	Norwegian Krone	686,950	5/08/07		3,141
U.S. Dollar	111,189	Swedish Krona	772,372	5/08/07		(344	)
U.S. Dollar	118,621	Brazilian Real	250,800	5/14/07		2,398
U.S. Dollar	177,892	New Zealand Dollar	260,000	5/15/07		7,264
U.S. Dollar	59,687	Hungarian Forint	11,340,000	6/14/07		1,115
U.S. Dollar	59,412	South African Rand	440,520	6/14/07		820
U.S. Dollar	60,478	South African Rand	440,520	6/14/07		(246	)
U.S. Dollar	1,091,685	Japanese Yen	127,380,000	6/25/07		1,322
U.S. Dollar	59,497	Colombian Peso	130,000,000	6/27/07		(770	)
U.S. Dollar	119,452	Mexican Peso	1,320,000	6/27/07		(429	)
U.S. Dollar	59,051	Indian Rupee	2,600,000	6/28/07		26
					$	(11,231	)

Interest Rate Swaps outstanding at March 31, 2007:

Counterparty	Notional Amount		Fund Pay/Receive Floating Rate	Floating Rate Index	Fixed Rate (Annualized)		Fixed Rate Payment Frequency	Termination Date	Unrealized Appreciation (Depreciation) (U.S. Dollars)
Bank of America (4)	465,000,000	HUF	Receive	6-Month BUBOR	7.300	%	Annually	10/02/08	$	—
Citigroup Inc. (4)	15,000,000	NOK	Pay	6-Month NIBOR	5.460		Annually	2/09/09		1,119
JPMorgan	750,000	MXN	Pay	28-Day MXN TIIE	10.370		28-Day	5/13/10		5,138
JPMorgan (4)	18,500,000	ZAR	Pay	3-Month JIBA	9.050		Quarterly	9/29/08		—
Merrill Lynch	400,000	BRL	Receive	1-Day BZDIORA	11.690		Annually	1/02/09		(186	)
Merrill Lynch	1,000,000	BRL	Pay	1-Day BZDIORA	11.690		Annually	1/02/17		(199	)
Morgan Stanley	400,000	BRL	Receive	1-Day BZDIORA	11.790		Annually	1/02/09		202
Morgan Stanley	1,000,000	BRL	Pay	1-Day BZDIORA	11.850		Annually	1/03/17		1,800
									$	7,874

25

Portfolio of Investments (Unaudited)

Nuveen Core Bond Fund (continued)

March 31, 2007

Credit Default Swap outstanding at March 31, 2007:

Counterparty	Referenced Entity	Buy/Sell Protection	Notional Amount		Fixed Rate		Termination Date	Unrealized Appreciation (Depreciation) (U.S. Dollars)
Morgan Stanley	Louisiana-Pacific Corporation	Buy	$	330,000	1.350	%	12/20/11	$	(3,403	)

Futures Contracts outstanding at March 31, 2007:

Type	Contract Position	Number of Contracts		Contract Expiration	Value at March 31, 2007 (U.S. Dollars)		Unrealized Appreciation (Depreciation (U.S. Dollars)
U.S. 5-Year Treasury Note	Long	25		6/07	2,644,922		$	5,784
U.S. 10-Year Treasury Note	Short	(5	)	6/07	(540,625	)		1,618
							$	7,402

(1) Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below BBB by Standard & Poor’s Group or Baa by Moody’s Investor Service, Inc. are considered to be below investment grade.

(2) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.

(3) Senior Loans in which the Fund invests generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.

Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.

(4) Forward Swap Contract with an effective date as show in the following table. Effective date represents the date on which both the Fund and counterparty commence interest payment accruals on each forward swap contract.

Counterparty	Notional Amount		Effective Date
Bank of America	465,000,000	HUF	10/02/07
Citigroup Inc.	15,000,000	NOK	2/07/08
JPMorgan	18,500,000	ZAR	9/28/07

144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.

MDR Denotes investment is subject to dollar roll transactions and deemed purchased on a when-issued basis.

TBA To be announced. Maturity date not known prior to the settlement of the transaction.

TBD Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

PIK In lieu of cash payment, interest accrued on “Payment in Kind” investment increases principal outstanding.

WI/DD Purchased on a when-issued or delayed delivery basis.

BRL Brazilian Real

HUF Hungarian Forint

MXN Mexican Peso

NOK Norwegian Krone

ZAR South African Rand

BUBOR Budapest Inter-Bank Offered Rate

BZDIORA Brazil Inter-Bank Deposit Rate Over

JIBA South Africa Johannesburg Inter-Bank Agreed Rate

NIBOR Norway Inter-Bank Offered Rate

TIIE Mexican Peso Inter-Bank Equilibrium Interest Rate

* Principal Amount rounds to less than $1,000.

See accompanying notes to financial statements.

26

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		CORPORATE BONDS – 89.6%
		Aerospace & Defense – 1.0%
$	125	Bombardier Inc., Series 144A	6.750%	5/01/12	BB	$	125,000
	91	DI Finance/DynCorp International, Series B	9.500%	2/15/13	B		97,370
	216	Total Aerospace & Defense					222,370
		Automobiles – 4.1%
	400	Ford Motor Credit Company	4.950%	1/15/08	B1		395,285
	120	Ford Motor Credit Company	9.875%	8/10/11	B1		127,192
	165	Ford Motor Credit Company	7.000%	10/01/13	B1		153,576
	250	Ford Motor Credit Company	8.000%	12/15/16	B1		240,957
	935	Total Automobiles					917,010
		Capital Markets – 0.7%
	150	Yankee Acquistion Corporation	8.500%	2/15/15	B3		152,625
		Chemicals – 10.4%
	100	Equistar Chemicals LP/Equistar Funding Corporation	10.625%	5/01/11	BB–		106,000
	420	Equistar Chemicals LP	8.750%	2/15/09	BB–		439,950
	100	Lyondell Chemical Company	10.875%	5/01/09	B		101,000
	200	Lyondell Petro-Chemical Company, Corporate Bonds	11.125%	7/15/12	BB		215,000
	470	MacDermid Inc.	9.125%	7/15/11	Ba2		492,621
	220	MacDermid, Inc., (WI/DD, settling 4/12/07)	9.500%	4/15/17	CCC+		226,600
	100	Methanex Corporation	8.750%	8/15/12	BBB–		111,500
	200	NOVA Chemicals Corporation	8.502%	11/15/13	Ba3		200,000
	45	PolyOne Corporation	10.625%	5/15/10	B+		47,700
	350	Rockwood Specialties Group Inc.	10.625%	5/15/11	B–		371,000
	2,205	Total Chemicals					2,311,371
		Commercial Services & Supplies – 3.4%
	100	Ahern Rentals Inc.	9.250%	8/15/13	B		104,875
	400	Browning Ferris Industries	9.250%	5/01/21	BB		436,000
	70	Quebecor World Capital Corporation, 144A	8.750%	3/15/16	B+		71,225
	130	Rental Service Corporation, 144A	9.500%	12/01/14	B–		139,100
	700	Total Commercial Services & Supplies					751,200
		Construction Materials – 0.1%
	40	Texas Industries Inc.	7.250%	7/15/13	BB–		41,400
		Consumer Finance – 2.6%
	85	Ford Motor Credit Company	5.625%	10/01/08	B1		83,322
	500	GMAC LLC	6.125%	1/22/08	BB+		499,499
	585	Total Consumer Finance					582,821
		Containers & Packaging – 2.9%
	200	Caraustar Industries	7.375%	6/01/09	B+		196,000
	441	Owens-Brockway Glass Container Inc.	8.875%	2/15/09	Ba2		452,025
	641	Total Containers & Packaging					648,025
		Distributors – 0.7%
	155	Ryerson Tull Inc.	8.250%	12/15/11	B–		157,325

27

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		Diversified Consumer Services – 1.6%
$	100	Carriage Services Inc.	7.875%	1/15/15	B1	$	103,250
	250	Hawker Beechcraft Acquistion Company, 144A	9.750%	4/01/17	B–		261,875
	350	Total Diversified Consumer Services					365,125
		Diversified Financial Services – 0.5%
	100	Yankee Acquistion Corporation	9.750%	2/15/17	CCC+		101,750
		Diversified Telecommunication Services – 1.8%
	50	Cincinnati Bell Inc.	8.375%	1/15/14	B2		51,375
	100	Citizens Communications Company	9.000%	8/15/31	BB+		110,000
	40	Hughes Network Systems LLC, 144A	9.500%	4/15/14	B1		42,300
	100	Intelsat Limited	5.250%	11/01/08	B		98,875
	85	Level 3 Communications, 144A	9.250%	11/01/14	B3		87,763
	375	Total Diversified Telecommunication Services					390,313
		Electrical Equipment – 1.2%
	220	General Cable Corporation, 144A	7.125%	4/01/17	B+		222,475
	35	UCAR Finance Inc.	10.250%	2/15/12	B2		36,925
	255	Total Electrical Equipment					259,400
		Energy Equipment & Services – 6.9%
	450	Allis Chalmers Energy Inc., 144A	8.500%	3/01/17	B		445,500
	225	Calfrac Holdings LP, 144A	7.750%	2/15/15	B1		219,375
	200	Complete Production Services Inc., 144A	8.000%	12/15/16	B		206,000
	200	Geokinetics Inc., 144A	11.855%	12/15/12	B3		207,000
	250	Hanover Equipment Trust, Senior Secured Note, Series 2003	8.500%	9/01/08	Ba3		252,500
	100	Seitel Acquisition Corporation	9.750%	2/15/14	B–		101,750
	90	Targa Resources Inc., Series 144A	8.500%	11/01/13	B–		92,250
	1,515	Total Energy Equipment & Services					1,524,375
		Food & Staples Retailing – 1.5%
	50	Duane Reade Inc, Floating Rate Note, 4.500% plus three-month LIBOR	9.850%	12/15/10	B3		51,313
	300	Duane Reade Inc.	9.750%	8/01/11	Caa3		290,250
	350	Total Food & Staples Retailing					341,563
		Food Products – 0.5%
	100	Pinnacle Foods Holding Corporation	8.250%	12/01/13	CCC		109,255
		Health Care Equipment & Supplies – 0.9%
	200	Invacare Corporation, 144A	9.750%	2/15/15	B2		202,000
		Hotels, Restaurants & Leisure – 3.4%
	125	MGM Grand Inc.	6.000%	10/01/09	BB		125,781
	100	MGM Mirage Inc.	6.625%	7/15/15	BB		96,500
	270	Mohegan Tribal Gaming Authority	8.000%	4/01/12	Ba2		281,475
	250	Wheeling Island Gaming Inc.	10.125%	12/15/09	B		255,000
	745	Total Hotels, Restaurants & Leisure					758,756
		Household Durables – 1.6%
	140	Beazer Homes USA, Inc.	8.625%	5/15/11	Ba1		137,550
	50	KB Home	9.500%	2/15/11	Ba2		51,313
	100	Technical Olympic USA Inc.	7.500%	1/15/15	CCC+		71,250
	90	Toll Corporation	8.250%	2/01/11	BB+		92,250
	380	Total Household Durables					352,363

28

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		Indpendent Power Producers & Energy Traders – 0.4%
$	85	NRG Energy Inc.	7.375%	2/01/16	B1	$	87,550
		Industrial Conglomerates – 0.2%
	50	Covalence Specialty Materials Corporation, 144A	10.250%	3/01/16	B3		50,250
		IT Services – 0.9%
	200	Unisys Corporation	7.875%	4/01/08	B+		202,000
		Machinery – 1.2%
	150	Case New Holland Inc., Series WI	9.250%	8/01/11	BB		158,250
	100	Columbus McKinnon Corporation	8.875%	11/01/13	B2		106,500
	250	Total Machinery					264,750
		Media – 12.2%
	100	CMP Susquehanna Corporation, 144A	9.875%	5/15/14	B3		103,000
	326	Dex Media East LLC	9.875%	11/15/09	B1		341,485
	90	Dex Media Inc.	9.000%	11/15/13	B		84,263
	100	Gray Television Inc., Term Loan	9.250%	12/15/11	B1		104,875
	62	Insight Midwest L.P	9.750%	10/01/09	B		63,163
	250	Mediacom LLC	9.500%	1/15/13	B		258,438
	50	Paxson Communications Corporation, Floating Rate Note, 144A	11.600%	1/15/13	Caa2		52,375
	300	Primedia Inc., Floating Rate Note, 144A	10.725%	5/15/10	B		312,000
	220	Primedia Inc., Senior Notes	8.875%	5/15/11	B		227,150
	200	R. H. Donnelley Finance Corp 1	10.875%	12/15/12	B		217,000
	200	Radio One, Inc.	8.875%	7/01/11	B1		207,250
	300	Readers Digest Association, 144A	9.000%	2/15/17	CCC+		290,250
	430	Sinclair Broadcasting Group	8.000%	3/15/12	B1		447,200
	2,628	Total Media					2,708,449
		Metals & Mining – 10.4%
	220	Claymont Steel Inc., 144A	8.875%	2/15/15	B3		220,000
	220	Freeport McMoran Copper & Gold, Inc.	8.375%	4/01/17	Ba3		238,425
	420	IPSCO Inc., Senior Note	8.750%	6/01/13	BBB–		449,400
	140	Metals USA Holdings Corporation, Floating Rate Note, 144A (PIK)	11.350%	1/15/12	CCC+		137,900
	100	Nalco Finance Holdings Inc.	9.000%	2/01/14	B–		88,500
	250	PNA Intermediate Holding Corporation	12.360%	2/15/13	B–		257,500
	100	Russel Metals Inc.	6.375%	3/01/14	BB		96,250
	400	Steel Dynamics, Inc., 144A (WI/DD, settling 4/30/07)	6.750%	4/01/15	Ba2		402,500
	400	Steel Dynamics, Inc.	9.500%	3/15/09	BB+		409,500
	2,250	Total Metals & Mining					2,299,975
		Multi-Utilities – 2.4%
	250	Aquila, Inc.	11.875%	7/01/12	B		326,875
	200	Bon-Ton Department Stores Inc.	10.250%	3/15/14	B–		215,750
	450	Total Multi-Utilities					542,625
		Oil, Gas & Consumable Fuels – 4.9%
	150	Alpha Natural Resources, Inc.	10.000%	6/01/12	B–		162,000
	100	Chesapeake Energy Corporation	6.250%	1/15/18	BB		99,250
	75	Compton Petroleum Finance Corporation	7.625%	12/01/13	B		73,688
	240	Markwest Energy Partners LP, Series B	8.500%	7/15/16	B		251,400

29

Portfolio of Investments (Unaudited)

Nuveen High Yield Bond Fund (continued)

March 31, 2007

Principal Amount (000)		Description	Coupon	Maturity	Ratings (1)	Value
		Oil, Gas & Consumable Fuels (continued)
$	150	Massey Energy Company, Global Notes	6.625%	11/15/10	B+	$	152,250
	220	OPTI Canada Inc.	8.250%	12/15/14	BB		229,900
	110	Sabine Pass LNG LP., 144A	7.500%	11/30/16	BB		111,100
	1,045	Total Oil, Gas & Consumable Fuels					1,079,588
		Paper & Forest Products – 4.4%
	250	Buckeye Technologies Inc.	8.000%	10/15/10	B		250,000
	220	Mercer International Inc.	9.250%	2/15/13	B		221,650
	200	Millar Western Forest Products Ltd	7.750%	11/15/13	B2		183,000
	130	Pope & Talbot Inc.	8.375%	6/01/13	CCC		107,250
	180	Tembec Industries, Inc.	7.750%	3/15/12	CCC–		110,250
	100	Verso Paper Holdings LLC., 144A	9.125%	8/01/14	B		104,500
	1,080	Total Paper & Forest Products					976,650
		Pharmaceuticals – 2.0%
	435	Biovail Corporation International	7.875%	4/01/10	BB–		443,565
		Road & Rail – 1.3%
	270	Kansas City Southern Railway Company	12.500%	6/15/12	B–		290,790
		Specialty Retail – 0.9%
	200	Brookstone Company Inc.	12.000%	10/15/12	B		209,000
		Textiles, Apparel & Luxury Goods – 1.4%
	250	HanesBrands Inc., Loan	8.735%	12/15/14	B2		255,938
	50	Levi Strauss & Company	12.250%	12/15/12	B		55,125
	300	Total Textiles, Apparel & Luxury Goods					311,063
		Trading Companies & Distributors – 1.0%
	100	Ashtead Capital Inc., 144A	9.000%	8/15/16	B		107,000
	100	H&E Equipment Limited, 144A	8.375%	7/15/16	B+		106,750
	200	Total Trading Companies & Distributors					213,750
		Wireless Telecommunication Services – 0.2%
	41	American Cellular Corporation Escrow Corporation	10.000%	8/01/11	B3		43,611
$	19,481	Total Corporate Bonds (cost $19,771,806)					19,912,663
Principal Amount (000)		Description	Weighted Average Coupon	Maturity (2)	Ratings (1)	Value
		VARIABLE RATE SENIOR LOAN INTERESTS – 5.7% (3)
		Metals & Mining – 2.3%
$	500	Freeport-McMoRan Copper & Gold Inc., Bridge Loan, (WI/DD)	TBD	TBD	B1	$	500,000
		Oil, Gas & Consumable Fuels – 3.4%
	750	SandRidge Energy	8.620%	3/07/15	B		763,125
$	1,250	Total Variable Rate Senior Loan Interests (cost $1,250,000)					1,263,125
Principal Amount (000)		Description	Coupon	Maturity		Value
		SHORT-TERM INVESTMENTS – 10.4%
$	2,310	Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/07, repurchase price $2,310,821, collateralized by $2,415,000 U.S. Treasury Bill, 0.000%, due 9/27/07, value $2,357,040	4.900%	4/02/07		$	2,309,878
		Total Short-Term Investments (cost $2,309,878)					2,309,878
		Total Investments (cost $23,331,684) – 105.7%					23,485,666
		Other Assets Less Liabilities – (5.7)%					(1,264,420)
		Net Assets – 100%				$	22,221,246

30

Credit Default Swap outstanding at March 31, 2007:

Counterparty	Referenced Entity	Buy/Sell Protection	Notional Amount		Fixed Rate		Termination Date	Unrealized Appreciation (Depreciation) (U.S. Dollars)
Morgan Stanley	Louisiana-Pacific Corporation	Buy	$	340,000	1.350	%	12/20/11	$	(3,506	)

Total Return Swap outstanding at March 31, 2007:

Counterparty	Receive Total Return	Pay	Expiration Date	Notional Amount		Unrealized Appreciation (Depreciation)
Bear Stearns International, Ltd.	Lehman Brothers U.S. High Yield Index	1-month USD-LIBOR less 35 basis points	12/01/07	$	5,000,000	$	14,600

(1) Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below BBB by Standard & Poor’s Group or Baa by Moody’s Investor Service, Inc. are considered to be below investment grade.

(2) Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.

(3) Senior Loans in which the Fund invests generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.

Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.

144A Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.

TBD Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

PIK In lieu of cash payment, interest accrued on “Payment in Kind” investment increases principal outstanding.

WI/DD Purchased on a when-issued or delayed delivery basis.

USD-LIBOR United States Dollar—London Inter-Bank Offered Rate

See accompanying notes to financial statements.

31

Statement of Assets and Liabilities (Unaudited)

March 31, 2007

	Short Duration			Core			High Yield
Assets
Investments, at value (cost $11,668,855, $12,940,783 and $21,021,806, respectively)	$	11,675,068		$	12,912,730		$	21,175,788
Short-term investments (at cost, which approximates value)		1,107,496			3,372,462			2,309,878
Cash		4,000			4,001			8,001
Deposits with brokers for open futures contracts (cost $24,332, $37,184 and $39,183, respectively)		22,658			36,076			39,183
Unrealized appreciation on forward foreign currency exchange contracts		35,114			35,114			—
Unrealized appreciation on interest rate swaps		7,882			8,259			—
Receivables:
Reimbursement from Adviser		3,838			26,476			26,225
Interest		158,136			86,525			402,152
Investments sold		594,419			733,929			—
Shares sold		—			14,911			179,976
Other assets		110			8,220			111
Total assets		13,608,721			17,238,703			24,141,314
Liabilities
Securities sold short, at value (proceeds $593,086, $593,086 and $0, respectively)		591,937			591,937			—
Cash overdraft denominated in foreign currencies (cost $1,237, $1,237 and $0, respectively)		1,233			1,233			—
Unrealized depreciation on forward foreign currency exchange contracts		46,354			46,345			—
Unrealized depreciation on interest rate swaps		385			385			—
Unrealized depreciation on credit default swap		3,403			3,403			3,506
Unrealized depreciation on total return swap		—			—			14,600
Payables:
Investments purchased		1,556,861			4,239,814			1,759,041
Variation margin on futures contracts		806			747			—
Accrued expenses:
12b-1 distribution and service fees		1,214			1,175			6,484
Other		10,796			14,152			10,295
Dividends payable		43,656			49,955			126,142
Total liabilities		2,256,645			4,949,146			1,920,068
Net assets	$	11,352,076		$	12,289,557		$	22,221,246
Class A Shares
Net assets	$	230,897		$	1,556,094		$	5,254,138
Shares outstanding		11,970			80,281			262,708
Net asset value per share	$	19.29		$	19.38		$	20.00
Offering price per share (net asset value per share plus maximum sales charge of 2.00%, 3.75% and 4.75%, respectively, of offering price)	$	19.68		$	20.14		$	21.00
Class B Shares
Net assets		N/A		$	126,341		$	1,420,505
Shares outstanding		N/A			6,505			71,087
Net asset value and offering price per share		N/A		$	19.42		$	19.98
Class C Shares
Net assets	$	1,487,617		$	911,517		$	5,287,073
Shares outstanding		77,065			46,990			264,849
Net asset value and offering price per share	$	19.30		$	19.40		$	19.96
Class R Shares
Net assets	$	9,633,562		$	9,695,605		$	10,259,530
Shares outstanding		500,277			500,589			513,563
Net asset value and offering price per share	$	19.26		$	19.37		$	19.98
Net Assets Consist of:
Capital paid-in	$	11,714,243		$	12,591,800		$	22,053,300
Undistributed (Over-distribution of) net investment income		(50,824	)		(38,823	)		87,306
Accumulated net realized gain (loss) from investments and derivative transactions		(315,059	)		(236,054	)		(55,236	)
Net unrealized appreciation (depreciation) of investments and derivative transactions		3,716			(27,366	)		135,876
Net assets	$	11,352,076		$	12,289,557		$	22,221,246

N/A – Short Duration is not authorized to issue Class B shares.

See accompanying notes to financial statements.

32

Statement of Operations (Unaudited)

Six Months Ended March 31, 2007

	Short Duration			Core			High Yield
Investment Income	$	273,954		$	310,642		$	658,781
Expenses
Management fees		21,100			27,864			46,510
12b-1 service fees – Class A		362			1,425			3,260
12b-1 distribution and service fees – Class B		N/A			366			3,801
12b-1 refund – Class B		—			(98	)		—
12b-1 distribution and service fees – Class C		5,525			3,265			12,982
Shareholders’ servicing agent fees and expenses		257			865			7,074
Custodian’s fees and expenses		14,967			24,048			12,622
Trustees’ fees and expenses		216			248			253
Professional fees		20,356			20,358			20,359
Shareholders’ reports – printing and mailing expenses		1,415			9,801			14,450
Federal and state registration fees		5,277			6,918			7,320
Other expenses		5,092			11,394			5,796
Total expenses before custodian fee credit and expense reimbursement		74,567			106,454			134,427
Custodian fee credit		(3,488	)		(839	)		(1,978	)
Expense reimbursement		(47,579	)		(73,633	)		(67,874	)
Net expenses		23,500			31,982			64,575
Net investment income		250,454			278,660			594,206
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments		3,028			54,926			115,921
Futures		(12,191	)		1,960			13,360
Forwards		(20	)		(16	)		—
Swaps		4,550			3,751			175,608
Foreign currencies		19,436			19,435			—
Change in net unrealized appreciation (depreciation) of:
Investments		26,943			(5,270	)		189,946
Futures		1,436			(763	)		2,403
Forwards		(8,868	)		(8,859	)		—
Swaps		(617	)		(240	)		(46,764	)
Foreign currencies		(2,030	)		(1,450	)		—
Net realized and unrealized gain (loss)		31,667			63,474			450,474
Net increase (decrease) in net assets from operations	$	282,121		$	342,134		$	1,044,680

N/A – Short Duration is not authorized to issue Class B Shares.

See accompanying notes to financial statements.

33

Statement of Changes in Net Assets (Unaudited)

	Short Duration						Core						High Yield
	Six Months Ended 3/31/07			Year Ended 9/30/06			Six Months Ended 3/31/07			Year Ended 9/30/06			Six Months Ended 3/31/07			Year Ended 9/30/06
Operations
Net investment income	$	250,454		$	392,589		$	278,660		$	437,044		$	594,206		$	696,575
Net realized gain (loss) from:
Investments		3,028			(94,024	)		54,926			(181,374	)		115,921			(238,364	)
Futures		(12,191	)		(23,133	)		1,960			(21,391	)		13,360			(14,060	)
Forwards		(20	)		(18,180	)		(16	)		(20,247	)		—			—
Swaps		4,550			24,401			3,751			24,401			175,608			82,955
Foreign currencies		19,436			4,558			19,435			6,614			—			—
Change in net unrealized appreciation (depreciation) of:
Investments		26,943			40,963			(5,270	)		38,015			189,946			199,170
Futures		1,436			10,180			(763	)		13,438			2,403			7,480
Forwards		(8,868	)		(3,384	)		(8,859	)		(3,384	)		—			—
Swaps		(617	)		8,332			(240	)		8,332			(46,764	)		51,164
Foreign currencies		(2,030	)		360			(1,450	)		394			—			—
Net increase (decrease) in net assets from operations		282,121			342,662			342,134			301,842			1,044,680			784,920
Distributions to Shareholders
From undistributed net investment income:
Class A		(6,849	)		(1,766	)		(28,785	)		(4,658	)		(90,556	)		(4,135	)
Class B		N/A			N/A			(1,493	)		(409	)		(23,986	)		(2,215	)
Class C		(21,053	)		(4,925	)		(13,639	)		(422	)		(80,087	)		(5,859	)
Class R		(230,125	)		(563,918	)		(243,879	)		(515,563	)		(376,117	)		(778,572	)
Decrease in net assets from distributions to shareholders		(258,027	)		(570,609	)		(287,796	)		(521,052	)		(570,746	)		(790,781	)
Fund Share Transactions
Proceeds from sale of shares		1,739,760			1,494,615			2,126,743			1,579,633			11,794,239			1,383,527
Proceeds from shares issued to shareholders due to reinvestment of distributions		4,595			1,521			12,842			—			45,318			1,856
		1,744,355			1,496,136			2,139,585			1,579,633			11,839,557			1,385,383
Cost of shares redeemed		(1,524,711	)		—			(1,126,044	)		(70	)		(1,117,134	)		(54,179	)
Net increase (decrease) in net assets from Fund share transactions		219,644			1,496,136			1,013,541			1,579,563			10,722,423			1,331,204
Net increase (decrease) in net assets		243,738			1,268,189			1,067,879			1,360,353			11,196,357			1,325,343
Net assets at the beginning of period		11,108,338			9,840,149			11,221,678			9,861,325			11,024,889			9,699,546
Net assets at the end of period	$	11,352,076		$	11,108,338		$	12,289,557		$	11,221,678		$	22,221,246		$	11,024,889
Undistributed (Over-distribution of) net investment income at the end of period	$	(50,824	)	$	(43,251	)	$	(38,823	)	$	(29,687	)	$	87,306		$	63,846

N/A – Short Duration is not authorized to issue Class B Shares.

See accompanying notes to financial statements.

34

Notes to Financial Statements (Unaudited)

1. General Information and Significant Accounting Policies

The Nuveen Investment Trust III (the “Trust”) is an open-end management investment company registered under the Investment Company Act of 1940, as amended. The Trust comprises the Nuveen Short Duration Bond Fund (“Short Duration”), Nuveen Core Bond Fund (“Core”) and Nuveen High Yield Bond Fund (“High Yield”) (collectively, the “Funds”). The Trust was organized as a Massachusetts business trust in 1998.

Short Duration ordinarily invests at least 80% of its assets in income producing short-term securities with the objective of providing high current income consistent with minimal fluctuations of principal.

Core ordinarily invests at least 80% of its assets in fixed income securities with the objective of providing total return.

High Yield ordinarily invests at least 80% of its assets in domestic and foreign corporate high yield debt securities, including zero coupon, payment in-kind and convertible bonds with the objective of maximizing total return.

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States.

Investment Valuation

The prices of bonds and other securities in the Funds’ investment portfolios are generally provided by one or more independent pricing services approved by the Funds’ Board of Trustees. The pricing services typically value exchange-listed securities at the last sales price on that day; and value senior loans, bonds and other securities traded in the over-the-counter market at the mean of the bid and asked prices when current quotations are readily available. Futures contracts are valued using the closing settlement price or, in the absence of such a price, at the mean of the bid and asked prices. Prices of interest rate swaps are provided by and independent pricing service approved by each Fund’s Board of Trustees. Credit default swaps are valued using a market quote provided by a major broker/dealer in such investments. Total return swaps are valued by comparing the return of the underlying index at the valuation date with the value at the original effective date of the contract. The pricing services or, in the absence of a pricing service for a particular investment, the Board of Trustees of the Funds, or its designee, may establish fair market value using a wide variety of market data including yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant by the pricing service or the Board of Trustees’ designee. Short-term investments are valued at amortized cost, which approximates market value.

Investment Transactions

Investment transactions are recorded on a trade date basis. Trade date for senior loans purchased in the “primary market” is considered the date on which the loan allocations are determined. Trade date for senior loans purchased in the “secondary market” is the date on which the transaction is entered into. Realized gains and losses from investment 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 March 31, 2007, Short Duration, Core and High Yield had outstanding when-issued/delayed delivery purchase commitments of $846,715, $4,238,848 and $1,120,000, respectively.

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.

Federal Income Taxes

Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all 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.

Dividends and Distributions to Shareholders

Distributions to shareholders 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 accounting principles generally accepted in the United States.

Dividends from net investment income are declared monthly. Net realized capital gains from investment transactions, if any, are declared and distributed to shareholders not less frequently than annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.

Flexible Sales Charge Program

Each Fund offers Class A, C and R Shares. Core and High Yield also offer Class B Shares. Class A Shares are generally sold with an up-front sales charge and incur a .25% annual 12b-1 service fee. Class A Share purchases of $1 million or more are sold at net asset value without an up-front sales charge but may be subject to a contingent deferred sales charge (“CDSC”) if redeemed within 18 months of purchase. Class B Shares are sold without an up-front sales charge but incur a .75% annual 12b-1 distribution fee and a

35

Notes to Financial Statements (Unaudited)(continued)

.25% annual 12b-1 service fee. An investor purchasing Class B Shares agrees to pay a CDSC of up to 5% depending upon the length of time the shares are held by the investor (CDSC is reduced to 0% at the end of six years). Class B Shares convert to Class A Shares eight years after purchase. Class C Shares are sold without an up-front sales charge but incur a .75% annual 12b-1 distribution fee and a .25% annual 12b-1 service fee. An investor purchasing Class C Shares agrees to pay a CDSC of 1% if Class C Shares are redeemed within one year of purchase. Class R Shares are not subject to any sales charge or 12b-1 distribution or service fees. Class R Shares are available only under limited circumstances.

Expense Allocation

Expenses of the Funds that are not directly attributable to a specific class of shares are prorated among the classes based on the relative net assets of each class. Expenses directly attributable to a class of shares, which presently only include 12b-1 distribution and service fees, are recorded to the specific class.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Funds’ policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

Futures Contracts

The Funds are 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 the value of the contract when originally entered into. Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities. Additionally, the Statement of Assets and Liabilities reflects a receivable and/or payable for the variation margin as of March 31, 2007.

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.

Swaps Contracts

The Funds are authorized to enter into swap contracts consistent with their investment objectives and policies to obtain a desired return at a lower cost than if the Funds had invested directly in the asset that yielded the desired return. In connection with these contracts, securities in the Funds’ portfolios may be identified as collateral in accordance with the terms of the respective swap contract.

Interest rate swap contracts involve the exchange by a Fund with another party of their respective commitments to pay or receive interest, e.g., an exchange of floating rate payments for fixed rate payments with respect to a specified notional amount of principal.

Total return swap contracts involve commitments to pay interest in exchange for a market-linked return, both based on specified notional amounts. To the extent the total return of the security or index underlying the transaction exceeds or falls short of offsetting the interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty.

Credit default swap contracts involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default by a third party. The Funds may enter into a credit default contract to seek to maintain a total return on a particular investment or portion of its portfolio, or to take an active long or short position with respect to the likelihood of a particular issuer’s default. As a purchaser of a credit default swap contract, the Fund pays a periodic interest fee on the notional amount to the counterparty. This interest fee is accrued daily as a component of unrealized appreciation or depreciation and is recorded as a realized loss upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund is obligated to deliver that security, or an equivalent amount of cash, to the counterparty in exchange for receipt of the notional amount from the counterparty. The difference between the value of the security delivered and the notional amount received is recorded as a realized gain. As a seller of a credit default contract, the Fund generally receives a periodic interest fee on the notional amount from the counterparty. This interest fee is accrued daily as a component of unrealized appreciation or depreciation and is recorded as a realized gain upon payment. Upon occurrence of a specific credit event with respect to the underlying referenced debt obligation, the Fund receives that security, or an equivalent amount of cash, from the counterparty in exchange for payment of the notional amount to the counterparty. The difference between the value of the security received and the notional amount paid is recorded as a realized loss.

Swap contracts are valued daily. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. Income received or paid by the Fund on a swap contract is reported as a realized gain or loss on the Statement of Operations. Additionally, realized gains or losses are recorded upon the termination of a swap contract and are

36

equal to the difference between the Fund’s basis in the swap and the proceeds from (or cost of) the closing transaction. Notional principal amounts are used to express the extent of involvement in these transactions, reducing the amounts potentially subject to counterparty credit risk are generally much smaller, except with respect to credit default swaps.

Entering into these contracts involves, to varying degrees, elements of credit, market and documentation risk in excess of the amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these contracts, that there may be unfavorable changes in interest rates, and default by the counterparty on its obligation to perform or disagree as to the meaning of the contractual terms in the contracts. If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the contracts related to the transaction. There is no assurance that the swap contract counterparties will be able to meet their obligations pursuant to the swap contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in, or prevented from, obtaining payments owed to it pursuant to the swap contracts. The creditworthiness of the swap contract counterparties is closely monitored in order to minimize this risk.

Dollar Rolls

The Funds are authorized to enter into “dollar rolls” in which a Fund purchases or sells mortgage-backed securities for delivery in the future and simultaneously contracts to sell or repurchase substantially similar (same type, coupon, and maturity) securities on a different specified future date. Dollar rolls are identified as MDRs in the Portfolio of Investments for each of the applicable Funds. During the roll period, the Fund foregoes principal and interest paid on the mortgage-backed securities. The Fund is compensated by fee income or the difference between the current sales price and the lower forward price for the future purchase. Such compensation is amortized over the life of the dollar rolls and included in Investment Income on the Statement of Operations. Dollar rolls are valued daily.

Short Sales

The Funds are authorized to make short sales of debt securities. To secure its obligation to deliver securities sold short, the Funds have instructed the custodian to segregate assets in an equivalent amount of the securities sold short. The Funds are obligated to pay to the parties to which the securities were sold short, interest earned on the debt securities and records such amounts as an expense in the Statement of Operations. Short sales are valued daily and the corresponding unrealized gains or losses are included in “Change in net unrealized appreciation (depreciation) of investments.” High Yield did not engage in selling securities short during the six months ended March 31, 2007.

Foreign Currency Transactions

The Funds are authorized to engage in foreign currency exchange transactions. Each Fund may engage in foreign currency forward, options and futures contracts. To the extent that a Fund invests in contracts that are denominated in a currency other than U.S. dollars, the Fund will be subject to currency risk, which is the risk that an increase in the U.S. dollar relative to the foreign currency will reduce returns or portfolio value. Generally, when the U.S. dollar rises in value against a foreign currency, the Fund’s investments denominated in that currency will lose value because its currency is worth fewer U.S. dollars; the opposite effect occurs if the U.S. dollar falls in relative value. Investments and other assets and liabilities denominated in foreign currencies are converted into U.S. dollars on a spot (i.e. cash) basis at the spot rate prevailing in the foreign currency exchange market at the time of valuation. Purchases and sales of investments and dividend income denominated in foreign currencies are translated into U.S. dollars on the respective dates of such transactions.

The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at 4:00 p.m. Eastern time. Investments and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of the transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received.

Forward Foreign Currency Exchange Contracts

Generally, each Fund may enter into forward foreign currency exchange contracts only under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency to “lock in” the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the Adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar or against another foreign currency. Forward foreign currency contracts are valued daily at the forward rate. The change in market value is recorded as an unrealized gain or loss by a Fund. When the contract is closed or offset with the same counterparty, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset.

Forward foreign currency contracts will generally not be entered into for terms greater than three months. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Fund’s investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of

37

Notes to Financial Statements (Unaudited)(continued)

the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of Assets and Liabilities. In addition, the Funds could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. High Yield did not enter into forward foreign currency exchange contracts during the six months ended March 31, 2007.

Custodian Fee Credit

Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments.

Indemnifications

Under the Trust’s organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust enters into contracts that provide general indemnifications to other parties. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States 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 from operations during the reporting period. Actual results may differ from those estimates.

2. Fund Shares

Transactions in Fund shares were as follows:

	Short Duration
	Six Months Ended 3/31/07					Year Ended 9/30/06
	Shares		Amount			Shares	Amount
Shares sold:
Class A	63,512		$	1,218,775		22,711	$	435,417
Class C	26,460			510,986		55,201		1,059,198
Class R	519			9,999		—		—
Shares issued to shareholders due to reinvestment of distributions:
Class A	81			1,571		—		—
Class C	148			2,863		79		1,521
Class R	8			161		—		—
	90,728			1,744,355		77,991		1,496,136
Shares redeemed:
Class A	(74,459	)		(1,429,711	)	—		—
Class C	(4,948	)		(95,000	)	—		—
Class R	—			—		—		—
	(79,407	)		(1,524,711	)	—		—
Net increase (decrease)	11,321		$	219,644		77,991	$	1,496,136

38

	Core
	Six Months Ended 3/31/07					Year Ended 9/30/06
	Shares		Amount			Shares		Amount
Shares sold:
Class A	67,622		$	1,306,061		66,361		$	1,269,561
Class B	7,223			140,127		2,503			47,876
Class C	34,134			662,150		13,648			262,196
Class R	952			18,405		—			—
Shares issued to shareholders due to reinvestment of distributions:
Class A	398			7,705		—			—
Class B	13			251		—			—
Class C	240			4,652		—			—
Class R	12			234		—			—
	110,594			2,139,585		82,512			1,579,633
Shares redeemed:
Class A	(54,225	)		(1,039,051	)	—			—
Class B	(3,359	)		(64,692	)	—			—
Class C	(1,153	)		(22,301	)	(4	)		(70	)
Class R	—			—		—			—
	(58,737	)		(1,126,044	)	(4	)		(70	)
Net increase (decrease)	51,857		$	1,013,541		82,508		$	1,579,563
	High Yield
	Six Months Ended 3/31/07					Year Ended 9/30/06
	Shares		Amount			Shares		Amount
Shares sold:
Class A	266,809		$	5,274,788		25,282		$	484,937
Class B	68,624			1,355,638		11,021			210,180
Class C	248,016			4,903,892		34,882			664,410
Class R	13,124			259,921		1,257			24,000
Shares issued to shareholders due to reinvestment of distributions:
Class A	1,202			23,912		8			159
Class B	339			6,700		54			1,032
Class C	677			13,406		35			665
Class R	66			1,300		—			—
	598,857			11,839,557		72,539			1,385,383
Shares redeemed:
Class A	(27,904	)		(552,187	)	(2,814	)		(54,179	)
Class B	(9,076	)		(178,865	)	—			—
Class C	(18,886	)		(375,909	)	—			—
Class R	(509	)		(10,173	)	—			—
	(56,375	)		(1,117,134	)	(2,814	)		(54,179	)
Net increase (decrease)	542,482		$	10,722,423		69,725		$	1,331,204

3. Investment Transactions

Purchases and sales (including maturities and transactions in securities sold short, but excluding derivative and dollar roll transactions and short-term investments) for the six months ended March 31, 2007, were as follows:

	Short Duration	Core	High Yield
Purchases:
Investment securities	4,004,396	15,418,000	22,946,669
U.S. Government and agency obligations	6,457,142	4,986,033	778,795
Sales and maturities:
Investment securities	3,974,714	13,036,309	11,418,221
U.S. Government and agency obligations	6,240,638	6,614,601	1,079,406

39

Notes to Financial Statements (Unaudited)(continued)

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 amortization of premium and timing differences in recognizing certain gains and losses on investment transactions. 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 March 31, 2007, the cost of investments (excluding proceeds received on securities sold short) was as follows:

	Short Duration		Core		High Yield
Cost of investments	$	12,858,663	$	16,372,637	$	23,379,597

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding securities sold short) at March 31, 2007, were as follows:

	Short Duration			Core			High Yield
Gross unrealized:
Appreciation	$	24,054		$	56,920		$	260,752
Depreciation		(100,153	)		(144,365	)		(154,683	)
Net unrealized appreciation (depreciation) of investments	$	(76,099	)	$	(87,445	)	$	106,069

The tax components of undistributed net ordinary income and net long-term capital gains at September 30, 2006, the Funds’ last tax year end, were as follows:

	Short Duration		Core		High Yield
Undistributed net ordinary income*	$	60,164	$	53,378	$	206,345
Undistributed net long-term capital gains		—		—		—

* Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

The tax character of distributions paid during the Funds’ last tax year ended September 30, 2006, was designated for purposes of the dividends paid deduction as follows:

	Short Duration		Core		High Yield
Distributions from net ordinary income*	$	563,271	$	516,548	$	787,009
Distributions from net long-term capital gains		—		—		—

* Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.

At September 30, 2006, the Funds’ last tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire in the year 2014 as follows:

Short Duration		Core		High Yield
$	194,406	$	121,502	$	64,821

The Funds elected to defer net realized losses from investments incurred from November 1, 2005 through September 30, 2006 (“post-October losses”) in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the current tax year:

Short Duration		Core		High Yield
$	132,690	$	170,253	$	297,704

40

5. Management Fee 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 Nuveen Asset Management (the “Adviser”), a wholly owned subsidiary of Nuveen Investments, Inc. (“Nuveen”), 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.

For the period December 20, 2004 (commencement of operations) through April 30, 2006 the annual fund-level fee, payable monthly, for each Fund was based upon the average daily net assets of each Fund as follows:

Average Daily Net Assets	Short Duration Fund-Level Fee Rate		Core Fund-Level Fee Rate		High Yield Fund-Level Fee Rate
For the first $125 million	.3500	%	.4500	%	.5500	%
For the next $125 million	.3375		.4375		.5375
For the next $250 million	.3250		.4250		.5250
For the next $500 million	.3125		.4125		.5125
For the next $1 billion	.3000		.4000		.5000
For net assets over $2 billion	.2750		.3750		.4750

Effective May 1, 2006, the annual fund-level fee, payable monthly, for each Fund is based upon the average daily net assets of each Fund as follows:

Average Daily Net Assets	Short Duration Fund-Level Fee Rate		Core Fund-Level Fee Rate		High Yield Fund-Level Fee Rate
For the first $125 million	.2000	%	.3000	%	.4000	%
For the next $125 million	.1875		.2875		.3875
For the next $250 million	.1750		.2750		.3750
For the next $500 million	.1625		.2625		.3625
For the next $1 billion	.1500		.2500		.3500
For net assets over $2 billion	.1250		.2250		.3250

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 March 31, 2007, the complex-level fee rate was .1834%.

Complex-Level Assets(1)	Complex-Level Fee Rate
For the first $55 billion	.2000	%
For the next $1 billion	.1800
For the next $1 billion	.1600
For the next $3 billion	.1425
For the next $3 billion	.1325
For the next $3 billion	.1250
For the next $5 billion	.1200
For the next $5 billion	.1175
For the next $15 billion	.1150
For Managed Assets over $91 billion(2)	.1400

(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.

(2) With respect to the complex-wide Managed Assets over $91 billion, the fee rate or rates that will apply to such assets will be determined at a later date. In the unlikely event that complex-wide Managed Assets reach $91 billion prior to a determination of the complex-level fee rate or rates to be applied to Managed Assets in excess of $91 billion, the complex-level fee rate for such complex-wide Managed Assets shall be .1400% until such time as a different rate or rates is determined.

The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Trust pays no compensation directly to those of its Trustees who are affiliated with the Adviser or to its Officers, all of whom receive remuneration for their services to the Trust from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised Funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised Funds.

41

Notes to Financial Statements (Unaudited)(continued)

Prior to May 1, 2006, the Adviser agreed to waive part of its management fees or reimburse certain expenses of each Fund through July 31, 2006, in order to limit total operating expenses (excluding 12b-1 distribution and service fees and extraordinary expenses) from exceeding .65%, .75% and .90% of the average daily net assets of Short Duration, Core and High Yield, respectively. Effective May 1, 2006, the Adviser agreed to reimburse all expenses other than management fees, 12b-1 distribution and service fees, interest expenses and extraordinary expenses for the Funds through January 31, 2008. The Adviser may also voluntarily reimburse additional expenses from time to time. Voluntary reimbursements may be terminated at any time at the Adviser’s discretion.

During the six months ended March 31, 2007, Nuveen Investments, LLC (the “Distributor”), a wholly owned subsidiary of Nuveen, collected sales charges on purchases of Class A Shares, the majority of which were paid out as concessions to authorized dealers as follows:

	Short Duration	Core	High Yield
Sales charges collected	$76,881	$2,456	$74,326
Paid to authorized dealers	69,224	2,158	66,991

The Distributor also received 12b-1 service fees on Class A Shares, substantially all of which were paid to compensate authorized dealers for providing services to shareholders relating to their investments.

During the six months ended March 31, 2007, the Distributor compensated authorized dealers directly with commission advances at the time of purchase as follows:

	Short Duration		Core		High Yield
Commission advances	$	—	$	4,347	$	78,805

To compensate for commissions advanced to authorized dealers, all 12b-1 service fees collected on Class B Shares during the first year following a purchase, all 12b-1 distribution fees collected on Class B Shares, and all 12b-1 service and distribution fees collected on Class C Shares during the first year following a purchase are retained by the Distributor. During the six months ended March 31, 2007, the Distributor retained such 12b-1 fees as follows:

	Short Duration		Core		High Yield
12b-1 fees retained	$	5,226	$	1,989	$	6,648

The remaining 12b-1 fees charged to the Funds were paid to compensate authorized dealers for providing services to shareholders relating to their investments.

The Distributor also collected and retained CDSC on share redemptions during the six months ended March 31, 2007, as follows:

	Short Duration		Core		High Yield
CDSC retained	$	2,500	$	—	$	860

At March 31, 2007, Nuveen owned 499,500 shares of Class R of Short Duration, Core and High Yield. At March 31, 2007, the Adviser owned 125, 125 and 250 shares of Short Duration Class A, C and R, respectively, and 125 shares of each of Core’s and High Yield’s Class A, B, C and R.

6. New Accounting Pronouncements

Financial Accounting Standards Board Interpretation No. 48

On July 13, 2006, the Financial Accounting Standards Board (FASB) released 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 evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006, and is to be applied to all open tax years as of the effective date. Recent SEC guidance allows funds to delay implementing FIN 48 into NAV calculations until the fund’s last NAV calculations in the first required financial statement reporting period. As a result, the Funds must begin to incorporate FIN 48 into their NAV calculations by September 28, 2007. At this time, management is continue to evaluate the implications of FIN 48 and does not expect the adoption of FIN 48 will have a significant impact on the net assets or results of operations of the Funds.

42

Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157

In September 2006, the Financial Accounting Standards Board (FASB) issued Statement of Financial Accounting Standards (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 March 31, 2007, the Funds do 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.

7. Subsequent Events

Distributions to Shareholders

The Funds declared dividend distributions from their net investment income which were paid on May 1, 2007, to shareholders of record on April 9, 2007, as follows:

	Short Duration		Core		High Yield
Dividend per share:
Class A	$	.0730	$	.0775	$	.1200
Class B		N/A		.0655		.1075
Class C		.0610		.0655		.1075
Class R		.0770		.0815		.1240

N/A – Short Duration is not authorized to issue Class B shares.

43

Financial Highlights (Unaudited)

Class (Commencement Date)
			Investment Operations								Less Distributions												Ratios/Supplemental Data
SHORT DURATION																									Ratios to Average Net Assets Before Credit/ Reimbursement				Ratios to Average Net Assets After Reimbursement(c)				Ratios to Average Net Assets After Credit/ Reimbursement(d)
Year Ended September 30,	Beginning Net Asset Value		Net Invest- ment Income(a)		Net Realized/ Unrealized Gain (Loss)			Total			Net Invest- ment Income			Capital Gains		Total			Ending Net Asset Value		Total Return(b)		Ending Net Assets (000)		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Portfolio Turnover Rate
Class A (12/04)
2007(f)	$	19.24	$	.43	$	.06		$	.49		$	(.44	)	$	—	$	(.44	)	$	19.29	2.55	%	$	231	1.45	%*	3.49	%*	.62	%*	4.32	%*	.56	%*	4.38	%*	92	%
2006		19.69		.77		(.14	)		.63			(1.08	)		—		(1.08	)		19.24	3.29			439	3.41		1.25		.64		4.02		.61		4.05		234
2005(e)		20.00		.43		(.53	)		(.10	)		(.21	)		—		(.21	)		19.69	.66			2	1.52	*	2.15	*	.91	*	2.75	*	.89	*	2.77	*	140
Class C (12/04)
2007(f)		19.26		.35		.05			.40			(.36	)		—		(.36	)		19.30	2.11			1,488	2.25	*	2.71	*	1.38	*	3.58	*	1.32	*	3.65	*	92
2006		19.69		.63		(.14	)		.49			(.92	)		—		(.92	)		19.26	2.54			1,067	3.52		1.09		1.36		3.25		1.33		3.28		234
2005(e)		20.00		.31		(.48	)		(.17	)		(.14	)		—		(.14	)		19.69	.09			2	2.27	*	1.40	*	1.66	*	2.00	*	1.64	*	2.02	*	140
Class R (12/04)
2007(f)		19.21		.45		.06			.51			(.46	)		—		(.46	)		19.26	2.68			9,634	1.25	*	3.74	*	.38	*	4.61	*	.32	*	4.67	*	92
2006		19.68		.77		(.11	)		.66			(1.13	)		—		(1.13	)		19.21	3.46			9,602	1.44		3.07		.53		3.97		.51		4.00		234
2005(e)		20.00		.47		(.56	)		(.09	)		(.23	)		—		(.23	)		19.68	.79			9,835	1.27	*	2.40	*	.66	*	3.00	*	.64	*	3.02	*	140

* Annualized.

(a) Per share Net Investment Income is calculated using the average daily shares method.

(b) Total returns are calculated on net asset value without any sales charge and are not annualized.

(c) After expense reimbursement from the Adviser.

(d) After custodian fee credit and expense reimbursement.

(e) For the period December 20, 2004 (commencement of operations) through September 30, 2005.

(f) For the six months ended March 31, 2007.

See accompanying notes to financial statements.

44

Class (Commencement Date)
			Investment Operations								Less Distributions												Ratios/Supplemental Data
CORE																									Ratios to Average Net Assets Before Credit/ Reimbursement				Ratios to Average Net Assets After Reimbursement(c)				Ratios to Average Net Assets After Credit/ Reimbursement(d)
Year Ended September 30,	Beginning Net Asset Value		Net Invest- ment Income(a)		Net Realized/ Unrealized Gain (Loss)			Total			Net Invest- ment Income			Capital Gains		Total			Ending Net Asset Value		Total Return(b)		Ending Net Assets (000)		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Portfolio Turnover Rate(e)
Class A (12/04)
2007(g)	$	19.29	$	.46	$	.09		$	.55		$	(.46	)	$	—	$	(.46	)	$	19.38	2.89	%	$	1,556	2.11	%*	3.33	%*	.73	%*	4.70	%*	.72	%*	4.72	%*	169	%
2006		19.73		.88		(.34	)		.54			(.98	)		—		(.98	)	$	19.29	2.86			1,282	4.46		.90		.75		4.62		.71		4.66		241
2005(f)		20.00		.54		(.55	)		(.01	)		(.26	)		—		(.26	)		19.73	1.37			2	1.76	*	2.69	*	1.02	*	3.43	*	1.00	*	3.46	*	155
Class B (12/04)
2007(g)		19.30		.40		.11			.51			(.39	)		—		(.39	)		19.42	2.67			126	2.64	*	2.71	*	1.22	*	4.14	*	1.20	*	4.15	*	169
2006		19.73		.74		(.35	)		.39			(.82	)		—		(.82	)		19.30	2.06			51	3.54		1.68		1.38		3.84		1.34		3.88		241
2005(f)		20.00		.42		(.49	)		(.07	)		(.20	)		—		(.20	)		19.73	.81			2	2.51	*	1.94	*	1.77	*	2.69	*	1.75	*	2.71	*	155
Class C (12/04)
2007(g)		19.29		.38		.12			.50			(.39	)		—		(.39	)		19.40	2.62			912	2.88	*	2.50	*	1.48	*	3.90	*	1.47	*	3.92	*	169
2006		19.73		.73		(.35	)		.38			(.82	)		—		(.82	)		19.29	2.01			266	3.65		1.69		1.44		3.90		1.39		3.94		241
2005(f)		20.00		.42		(.49	)		(.07	)		(.20	)		—		(.20	)		19.73	.81			2	2.51	*	1.94	*	1.77	*	2.69	*	1.75	*	2.71	*	155
Class R (12/04)
2007(g)		19.26		.47		.13			.60			(.49	)		—		(.49	)		19.37	3.13			9,696	1.74	*	3.65	*	.48	*	4.91	*	.47	*	4.93	*	169
2006		19.72		.86		(.29	)		.57			(1.03	)		—		(1.03	)		19.26	3.03			9,623	1.84		3.24		.63		4.44		.59		4.48		241
2005(f)		20.00		.58		(.58	)		(.00	)		(.28	)		—		(.28	)		19.72	1.51			9,854	1.51	*	2.94	*	.77	*	3.68	*	.75	*	3.71	*	155

* Annualized.

(a) Per share Net Investment Income is calculated using the average daily shares method.

(b) Total returns are calculated on net asset value without any sales charge and are not annualized.

(c) After expense reimbursement from the Adviser.

(d) After custodian fee credit and expense reimbursement.

(e) Excluding Dollar Roll transactions.

(f) For the period December 20, 2004 (commencement of operations) through September 30, 2005.

(g) For the six months ended March 31, 2007.

See accompanying notes to financial statements.

45

Financial Highlights (Unaudited) (continued)

Class (Commencement Date)
			Investment Operations								Less Distributions												Ratios/Supplemental Data
HIGH YIELD																									Ratios to Average Net Assets Before Credit/ Reimbursement				Ratios to Average Net Assets After Reimbursement(c)				Ratios to Average Net Assets After Credit/ Reimbursement(d)
Year Ended September 30,	Beginning Net Asset Value		Net Invest- ment Income(a)		Net Realized/ Unrealized Gain (Loss)			Total			Net Invest- ment Income			Capital Gains		Total			Ending Net Asset Value		Total Return(b)		Ending Net Assets (000)		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Expenses		Net Invest- ment Income		Portfolio Turnover Rate
Class A (12/04)
2007(f)	$	19.37	$	.75	$	.60		$	1.35		$	(.72	)	$	—	$	(.72	)	$	20.00	7.06	%	$	5,254	1.83	%*	6.58	%*	.83	%*	7.58	%*	.81	%*	7.60	%*	88	%
2006		19.39		1.33		.16			1.49			(1.51	)		—		(1.51	)		19.37	8.01			438	1.94		5.87		.85		6.96		.78		7.03		115
2005(e)		20.00		.86		(1.04	)		(.18	)		(.43	)		—		(.43	)		19.39	1.56			2	1.68	*	5.10	*	1.17	*	5.61	*	1.14	*	5.63	*	69
Class B (12/04)
2007(f)		19.36		.67		.60			1.27			(.65	)		—		(.65	)		19.98	6.62			1,421	2.50	*	5.83	*	1.57	*	6.76	*	1.55	*	6.79	*	88
2006		19.39		1.13		.19			1.32			(1.35	)		—		(1.35	)		19.36	7.07			217	2.69		4.86		1.57		5.97		1.51		6.04		115
2005(e)		20.00		.75		(.99	)		(.24	)		(.37	)		—		(.37	)		19.39	.99			2	2.43	*	4.35	*	1.92	*	4.86	*	1.89	*	4.88	*	69
Class C (12/04)
2007(f)		19.35		.68		.58			1.26			(.65	)		—		(.65	)		19.96	6.57			5,287	2.57	*	5.86	*	1.58	*	6.85	*	1.56	*	6.87	*	88
2006		19.39		1.13		.18			1.31			(1.35	)		—		(1.35	)		19.35	7.01			678	2.69		4.89		1.59		5.99		1.52		6.05		115
2005(e)		20.00		.75		(.99	)		(.24	)		(.37	)		—		(.37	)		19.39	.99			2	2.43	*	4.35	*	1.92	*	4.86	*	1.89	*	4.88	*	69
Class R (12/04)
2007(f)		19.35		.75		.62			1.37			(.74	)		—		(.74	)		19.98	7.20			10,260	1.36	*	6.83	*	.58	*	7.61	*	.56	*	7.63	*	88
2006		19.40		1.37		.14			1.51			(1.56	)		—		(1.56	)		19.35	8.14			9,692	1.44		6.39		.76		7.06		.70		7.13		115
2005(e)		20.00		.90		(1.05	)		(.15	)		(.45	)		—		(.45	)		19.40	1.79			9,692	1.43	*	5.35	*	.92	*	5.85	*	.89	*	5.88	*	69

* Annualized.

(a) Per share Net Investment Income is calculated using the average daily shares method.

(b) Total returns are calculated on net asset value without any sales charge and are not annualized.

(c) After expense reimbursement from the Adviser.

(d) After custodian fee credit and expense reimbursement.

(e) For the period December 20, 2004 (commencement of operations) through September 30, 2005.

(f) For the six months ended March 31, 2007.

See accompanying notes to financial statements.

46

Notes

47

Notes

48

Fund Information

Fund Manager Nuveen Asset Management 333 West Wacker Drive Chicago, IL 60606 Legal Counsel Chapman and Cutler LLP Chicago, IL   Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Chicago, IL   Custodian State Street Bank & Trust Company Boston, MA Transfer Agent and Shareholder Services Boston Financial Data Services, Inc.   Nuveen Investor Services P.O. Box 8530 Boston, MA 02266-8530 (800) 257-8787

Glossary of Terms Used in this Report

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 offer price and reinvested dividends and capital gains distributions, if any) over the time period being considered.

Average Market Capitalization: The market capitalization of a company is equal to the number of the company’s common shares outstanding multiplied by the current price of the company’s stock. The average market capitalization of a mutual fund’s portfolio gives a measure of the size of the companies in which the fund invests.

Net Asset Value (NAV): A Fund’s NAV is the dollar value of one share in the fund. It is calculated by subtracting the liabilities of 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.

NASD Regulation, Inc. provides a Public Disclosure Program which supplies certain information regarding the disciplinary history of NASD members and their associated persons in response to either telephone inquiries at (800) 289-9999 or written inquiries at www.nasdr.com. NASD Regulation, Inc. also provides an investor brochure that includes information describing the Public Disclosure Program.

49

Learn more

about Nuveen Funds at

www.nuveen.com/mf

Nuveen Investments:

SERVING Investors

For GENERATIONS

Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions. Over this time, 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 can be integral parts of 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 approximately $166 billion in assets, as of March 31, 2007, 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: NWQ, specializing in value-style equities; Nuveen, managing fixed-income investments; Santa Barbara, committed to growth equities; Tradewinds NWQ, specializing in global value equities; Rittenhouse, focused on “blue-chip” growth equities; and Symphony, with expertise in alternative investments as well as equity and income portfolios.

Find out how we can help you reach your financial goals.

To learn more about the products and services Nuveen Investments offers and for a prospectus, where applicable, talk to your financial advisor, or call us at (800) 257-8787. Please read the information carefully before you invest.

• Share prices

• Fund details

• Daily financial news

• Investor education

MSA-INV3-0307D

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 registrant.

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 registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable to this registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable to this registrant.

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: 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 to this registrant.

(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 registration specifically incorporates it by reference. 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 Investment Trust III

By	(Signature and Title)*	/s/ Kevin J. McCarthy
		Kevin J. McCarthy Vice President and Secretary

Date June 8, 2007

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 June 8, 2007

By	(Signature and Title)*	/s/ Stephen D. Foy
		Stephen D. Foy Vice President and Controller (principal financial officer)

Date June 8, 2007

* Print the name and title of each signing officer under his or her signature.