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 811-21731 ----------------------- Nuveen Equity Premium Advantage Fund - -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) Nuveen Investments 333 West Wacker Drive Chicago, IL 60606 - -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Jessica R. Droeger 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: December 31 ------------------- Date of reporting period: March 31, 2006 --------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. SS. 3507. ITEM 1. REPORTS TO STOCKHOLDERS. QUARTERLY REPORT March 31, 2006 (Unaudited) Nuveen Investments Exchange-Traded Closed-End Funds NUVEEN EQUITY PREMIUM INCOME FUND (JPZ) NUVEEN EQUITY PREMIUM OPPORTUNITY FUND (JSN) NUVEEN EQUITY PREMIUM ADVANTAGE FUND (JLA) ATTRACTIVE MONTHLY DISTRIBUTIONS AND A MEASURE OF DOWNSIDE PROTECTION FROM AN INTEGRATED INDEX OPTION AND EQUITY STRATEGY Chairman's Letter For period ended March 31, 2006 Dear Shareholder: I am very pleased to report that over the 3-month period covered by this report, your Fund continued to provide you with attractive monthly income from a portfolio well positioned to play an important role in a well-balanced portfolio. For more information on your Fund's performance, please read the Portfolio Managers' Comments, the Distribution and Share Price Information, and the Performance Overview sections of this report. Portfolio diversification is a recognized way to try 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. In addition to providing regular monthly income, an investment like your Fund may help you achieve and benefit from greater portfolio diversification. 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. 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 3, 2006 Callout: "In addition to providing regular monthly income, an investment like your Fund may help you achieve and benefit from greater portfolio diversification." Portfolio Managers' Comments These Funds feature portfolio management by Gateway Investment Advisers, L.P. (Gateway). J. Patrick Rogers and Kenneth H. Toft are the portfolio managers at Gateway responsible for investing the Funds' assets. Patrick joined Gateway in 1989. He has been President and a Director of Gateway since 1995 and is the firm's Chief Executive Officer. Ken joined Gateway in 1992 and has been Vice President and Portfolio Manager since 1997. Here Patrick and Ken talk about their management strategy and the performance of the Funds for the periods ended March 31, 2006. WHAT WAS YOUR OVERALL MANAGEMENT STRATEGY FOR THE THREE-MONTH PERIOD ENDED MARCH 31, 2006? During the first quarter of 2006, the Funds followed their stated strategy of selling market index calls to produce cash inflow to the portfolio. The cash flow from options, in combination with the dividend yield in the underlying stocks, has several uses: o To support the Funds' dividend distributions. o To cover the cost of downside protection against a significant market decline over a short period of time (market index put options). o To lower the overall volatility of the stock portfolio versus a long-only equity fund. To achieve this, the Funds generally sell call options at a level near the current level of the broad market (at-the-money calls) and purchase puts below the level of the market. The intended net effect is to provide short-term cash inflow with a long-term hedge against a declining market. Net cash flows in excess of the targeted distribution, if any, accrue to the NAV of a Fund. In a flat or rising market, the excess would increase the NAV of a Fund. In a falling market, any excess would help to buffer the decrease in NAV caused by falling stock values. During the first quarter of 2006, all of these objectives were met. The total return exceeded the targeted distribution and since the market increased during the period, the NAV of JPZ, JSN and JLA also increased. HOW DID THE FUNDS PERFORM? The performance of JPZ, JSN and JLA, as well as the performance of comparative indexes or benchmarks, is shown in the nearby chart: Cumulative Total Return on Net Asset Value For the 3-month period ending March 31, 2006 JPZ 3.36% Comparative Index(1) 4.15% JSN (inception 1/26/05) 2.99% Comparative benchmark(2) 4.38% JLA (inception 5/25/05) 3.21% Comparative benchmark(3) 4.59% Past performance does not guarantee future results. Current performance may be higher or lower than the data shown. Returns do not reflect the deduction of taxes that a shareholder may have to pay on Fund distributions or upon the sale of Fund shares. For more information, please see the individual Performance Overview pages in this report. (1) JPZ comparative benchmark performance is a blended return consisting of the CBOE Buy-Write Index (BXM) along with 3 month duration 7.5% out of the money put options. (2) JSN comparative benchmark performance is a blended return consisting of: 1) 75% of the return of the S&P 500 Index, and 2) 25% of the return of the NASDAQ-100 Index, which includes 100 of the largest domestic and international non-financial companies listed on The NASDAQ Stock Market based on market capitalization. The NASDAQ-100 Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology. (3) JLA comparative benchmark performance is a blended return consisting of: 1) 50% of the return of the S&P 500 Index, and 2) 50% of the return of the NASDAQ-100 Index. Equity market investors had a surfeit of good news to digest and act upon in the first quarter. Retail sales responded vigorously in January to pent-up demand after a lackluster fourth quarter of 2005. The warmest January on record in many parts of the country spurred the housing markets, consumer spending and consumer confidence. Importantly, the price of natural gas, the primary fuel for heating homes in the United States, fell by 40%. While the strong economy may have signaled future advances in inflation, the Federal Reserve Board under Chairman Bernanke moved aggressively to staunch such fears. The discount rate was increased twice by 0.25% each time (January 31 and March 28) leaving it at 4.75% at quarter-end. These favorable factors were more than sufficient to offset investors' fears, particularly with respect to the deteriorating situation in the Middle East, in effect, generating fears of a disruption of production from a major oil-producing region. Stocks, as represented by the S&P 500 Index, delivered a total return of 4.21% during the period. This reflects a general enthusiasm for stocks that prevailed throughout the quarter. The NASDAQ 100 advanced by 3.68%, slightly less than the S&P 500 Index. The S&P 500 Index advanced all three months of the quarter, while the NASDAQ 100 increased in January and March but fell in February. Bond investors suffered the direct effects of the two 0.25% interest rate increases as well as the indirect effects of Chairman Bernanke's comments that the current increases may not be sufficient to quell inflation. Fears of further increases in short-term interest rates, rising energy prices and China's potential unwillingness to finance our federal budget deficit caused bondholders to sell. The Lehman Brothers U.S. Intermediate Government/Credit Bond Index decreased by 0.39% during the period. During the quarter, the good news on the economy and corporate profits was nearly balanced by the bad news emanating from Iraq, Iran, Nigeria and Afghanistan. As a consequence, volatility (the daily change in stock prices) was very subdued. While both volatility and interest rates affect option prices, volatility is by far the dominant variable. Low volatility kept index option prices near the lower end of their historic range. For the quarter, volatility in the S&P 500 Index options market, as measured by the CBOE VIX Index, ranged between 10.74 and 14.56, a narrower range with a lower average (12.04) than the levels prevailing in 2005. Cash flows generated for JPZ, and for the most part JSN and JLA, are favorably impacted by high volatility in the SPX options market. During the quarter, the Funds were able to take advantage of the upper end of a muted volatility range to produce cash flows greater than the amount suggested by the average volatility during the quarter, as well as that achieved during recent prior quarters. Against the backdrop of a generally upward-trending stock market during the quarter, all three funds were able to post solid NAV returns on the strength of earned option premiums and common stock dividends. Both JSN and JLA include an allocation of 25% and 50%, respectively, to the NASDAQ 100 (NDX). During the quarter, the volatility measure for the NASDAQ 100, the CBOE VXN Index, increased from 14.69 to 16.31. The high for the quarter was 19.45. As with the SPX options, the higher levels provided an opportunity to exact higher cash flow levels versus recent quarters, so that both JSN and JLA met their distribution targets and added to their NAV as well. The movement in the underlying index was not as consistent as the S&P 500 Index, so some of the cash flow went to smooth the price movements in the underlying stocks. JSN and JLA had slightly smaller NAV appreciation at 0.59% and 0.80% respectively, than JPZ, whose NAV rose 1.03% as of March 31, 2006. During this period no major factors or events constrained the Fund's performance, across all three funds our strategy performed well. Distribution and Share Price Information Each Fund has a managed distribution policy designed to provide relatively stable monthly cash flow to investors. JPZ, JSN and JLA each paid steady monthly distributions over the course of the period. Under this policy, each Fund seeks to provide a relatively stable monthly distribution paid in part out of the Fund's net investment income (primarily generated by dividends on the stocks in the Fund's portfolio), with the remainder being paid out of a combination of net realized capital gains on the Fund's portfolio investments plus the cash flows generated by each Fund's index option strategy. This portion of the distributions will consist of either net realized capital gains (a combination of long-term and short-term), a return of capital (representing in most cases, to at least a large extent, net unrealized gains), or some combination of the two. The final composition of the characteristics of the distributions cannot be determined with certainty until after the end of the Fund's fiscal year. That final composition will depend on several factors, most importantly the amount of realized gains and losses on the Fund's portfolio securities, and the amount of gains and losses realized in connection with the call options sold by the Fund and the put options purchased by the Fund. At the end of the reporting period, the Funds' share prices were trading relative to their NAV's as shown in the accompanying chart: 3/31/06 Discount/Premium Average Period Discount/Premium JPZ -0.48% -1.33% JSN +0.69% -1.32% JLA -0.21% -1.78% Nuveen Equity Premium Income Fund JPZ Performance OVERVIEW As of March 31, 2006 Pie Chart: PORTFOLIO ALLOCATION (as a % of total investments) - ------------------------------------- Common Stocks 93.7% - ------------------------------------- Put Options 0.1% - ------------------------------------- Short-Term Investments 6.2% - ------------------------------------- Bar Chart: 2005-2006 MONTHLY DISTRIBUTIONS PER SHARE Apr 0.1420 May 0.1420 Jun 0.1420 Jul 0.1420 Aug 0.1420 Sep 0.1420 Oct 0.1420 Nov 0.1420 Dec 0.1420 Jan 0.1420 Feb 0.1420 Mar 0.1420 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 4/1/2005 19.87 4/8/2005 20.12 4/15/2005 19.94 4/22/2005 19.85 4/29/2005 19.98 5/6/2005 20.15 5/13/2005 20.15 5/20/2005 20.08 5/27/2005 20.05 6/3/2005 20.14 6/10/2005 20.41 6/17/2005 20.24 6/24/2005 20.09 7/1/2005 20.25 7/8/2005 20.49 7/15/2005 20.61 7/22/2005 20.59 7/29/2005 20.44 8/5/2005 20.65 8/12/2005 20.55 8/19/2005 20.40 8/26/2005 20.38 9/2/2005 20.50 9/9/2005 20.50 9/16/2005 20.21 9/23/2005 20.04 9/30/2005 19.88 10/7/2005 20.15 10/14/2005 19.81 10/21/2005 19.46 10/28/2005 19.26 11/4/2005 19.29 11/11/2005 18.90 11/18/2005 18.47 11/25/2005 18.50 12/2/2005 17.76 12/9/2005 17.46 12/16/2005 17.01 12/23/2005 16.94 12/30/2005 17.38 1/6/2006 18.05 1/13/2006 18.10 1/20/2006 18.10 1/27/2006 18.30 2/3/2006 18.20 2/10/2006 18.30 2/17/2006 18.24 2/24/2006 18.48 3/3/2006 18.94 3/10/2006 18.61 3/17/2006 18.29 3/24/2006 18.39 3/31/2006 18.58 FUND SNAPSHOT - ------------------------------------ Share Price $18.58 - ------------------------------------ Net Asset Value $18.67 - ------------------------------------ Premium/(Discount) to NAV -0.48% - ------------------------------------ Market Yield(1) 9.17% - ------------------------------------ Net Assets ($000) $715,278 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 10/26/04) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 3-Month (Cumulative) 9.37% 3.36% - ------------------------------------ 1 Year 2.08% 7.42% - ------------------------------------ Since Inception 3.29% 7.05% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Pharmaceuticals 7.9% - ------------------------------------ Commercial Banks 6.8% - ------------------------------------ Oil, Gas & Consumable Fuels 6.3% - ------------------------------------ Diversified Financial Services 5.8% - ------------------------------------ Industrial Conglomerates 4.8% - ------------------------------------ Diversified Telecommunication Services 3.9% - ------------------------------------ Software 3.6% - ------------------------------------ Insurance 3.4% - ------------------------------------ Semiconductors & Equipment 3.1% - ------------------------------------ Specialty Retail 3.1% - ------------------------------------ Chemicals 2.8% - ------------------------------------ Tobacco 2.7% - ------------------------------------ Communications Equipment 2.5% - ------------------------------------ Real Estate 2.3% - ------------------------------------ Aerospace & Defense 2.3% - ------------------------------------ Energy Equipment & Services 2.3% - ------------------------------------ Capital Markets 2.2% - ------------------------------------ Computers & Peripherals 2.2% - ------------------------------------ Household Products 2.1% - ------------------------------------ Health Care Providers & Services 1.7% - ------------------------------------ Machinery 1.7% - ------------------------------------ Commercial Services & Supplies 1.6% - ------------------------------------ Electric Utilities 1.6% - ------------------------------------ Gas Utilities 1.5% - ------------------------------------ Household Durables 1.5% - ------------------------------------ Put Options 0.1% - ------------------------------------ Short-Term Investments 6.2% - ------------------------------------ Other 14.0% - ------------------------------------ (1) Market yield is based on the Fund's current annualized monthly distribution divided by the Fund's current market price. The Fund's monthly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the calendar year the Fund's cumulative net ordinary income and net realized gains are less than the amount of the Fund's distributions, a return of capital for tax purposes. Nuveen Equity Premium Opportunity Fund JSN Performance OVERVIEW As of March 31, 2006 Pie Chart: PORTFOLIO ALLOCATION (as a % of total investments) - ------------------------------------- Common Stocks 94.6% - ------------------------------------- Put Options 0.2% - ------------------------------------- Short-Term Investments 5.2% - ------------------------------------- Bar Chart: 2005-2006 MONTHLY DISTRIBUTIONS PER SHARE Apr 0.1480 May 0.1480 Jun 0.1480 Jul 0.1480 Aug 0.1480 Sep 0.1480 Oct 0.1480 Nov 0.1480 Dec 0.1480 Jan 0.1480 Feb 0.1480 Mar 0.1480 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 4/1/2005 19.35 4/8/2005 19.73 4/15/2005 19.29 4/22/2005 19.45 4/29/2005 19.40 5/6/2005 19.65 5/13/2005 19.42 5/20/2005 19.55 5/27/2005 19.60 6/3/2005 19.74 6/10/2005 19.86 6/17/2005 19.83 6/24/2005 19.60 7/1/2005 19.74 7/8/2005 19.93 7/15/2005 19.97 7/22/2005 19.97 7/29/2005 19.95 8/5/2005 19.99 8/12/2005 19.98 8/19/2005 19.75 8/26/2005 19.80 9/2/2005 19.92 9/9/2005 19.94 9/16/2005 19.86 9/23/2005 19.53 9/30/2005 19.46 10/7/2005 19.79 10/14/2005 19.50 10/21/2005 19.19 10/28/2005 19.11 11/4/2005 19.44 11/11/2005 19.16 11/18/2005 18.83 11/25/2005 18.31 12/2/2005 18.20 12/9/2005 17.67 12/16/2005 17.36 12/23/2005 16.99 12/30/2005 17.39 1/6/2006 18.12 1/13/2006 18.19 1/20/2006 18.04 1/27/2006 18.19 2/3/2006 18.54 2/10/2006 18.57 2/17/2006 18.40 2/24/2006 18.54 3/3/2006 18.89 3/10/2006 18.84 3/17/2006 18.58 3/24/2006 18.92 3/31/2006 18.90 FUND SNAPSHOT - ------------------------------------ Share Price $18.90 - ------------------------------------ Net Asset Value $18.77 - ------------------------------------ Premium/(Discount) to NAV 0.69% - ------------------------------------ Market Yield(1) 9.40% - ------------------------------------ Net Assets ($000) $1,232,652 - ------------------------------------ AVERAGE ANNUAL TOTAL RETURN (Inception 1/26/05) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 3-Month (Cumulative) 11.28% 2.99% - ------------------------------------ 1-Year 6.63% 8.76% - ------------------------------------ Since Inception 4.00% 7.43% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Pharmaceuticals 6.8% - ------------------------------------ Software 6.5% - ------------------------------------ Semiconductors & Equipment 5.5% - ------------------------------------ Communications Equipment 5.4% - ------------------------------------ Commercial Banks 4.8% - ------------------------------------ Diversified Financial Services 4.7% - ------------------------------------ Oil, Gas & Consumable Fuels 4.7% - ------------------------------------ Computers & Peripherals 4.2% - ------------------------------------ Industrial Conglomerates 3.6% - ------------------------------------ Diversified Telecommunication Services 3.1% - ------------------------------------ Biotechnology 2.7% - ------------------------------------ Specialty Retail 2.5% - ------------------------------------ Internet Software & Services 2.5% - ------------------------------------ Insurance 2.3% - ------------------------------------ Aerospace & Defense 2.0% - ------------------------------------ Energy Equipment & Services 2.0% - ------------------------------------ Media 1.9% - ------------------------------------ Capital Markets 1.9% - ------------------------------------ Commercial Services & Supplies 1.9% - ------------------------------------ Tobacco 1.8% - ------------------------------------ Real Estate 1.8% - ------------------------------------ Health Care Providers & Services 1.7% - ------------------------------------ Chemicals 1.6% - ------------------------------------ Machinery 1.5% - ------------------------------------ Household Products 1.3% - ------------------------------------ Food & Staples Retailing 1.3% - ------------------------------------ Put Options 0.2% - ------------------------------------ Short-Term Investments 5.2% - ------------------------------------ Other 14.6% - ------------------------------------ (1) Market yield is based on the Fund's current annualized monthly distribution divided by the Fund's current market price. The Fund's monthly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the calendar year the Fund's cumulative net ordinary income and net realized gains are less than the amount of the Fund's distributions, a return of capital for tax purposes. Nuveen Equity Premium Advantage Fund JLA Performance OVERVIEW As of March 31, 2006 Pie Chart: PORTFOLIO ALLOCATION (as a % of total investments) - ------------------------------------- Common Stocks 94.5% - ------------------------------------- Put Options 0.2% - ------------------------------------- Short-Term Investments 5.3% - ------------------------------------- Bar Chart: 2005-2006 MONTHLY DISTRIBUTIONS PER SHARE Jul 0.1510 Aug 0.1510 Sep 0.1510 Oct 0.1510 Nov 0.1510 Dec 0.1510 Jan 0.1510 Feb 0.1510 Mar 0.1510 Line Chart: SHARE PRICE PERFORMANCE Weekly Closing Price Past performance is not predictive of future results. 5/25/2005 20.00 5/27/2005 20.02 6/3/2005 20.01 6/10/2005 20.00 6/17/2005 20.01 6/24/2005 20.00 7/1/2005 19.75 7/8/2005 20.00 7/15/2005 20.00 7/22/2005 19.99 7/29/2005 20.07 8/5/2005 20.09 8/12/2005 20.00 8/19/2005 20.07 8/26/2005 20.04 9/2/2005 20.18 9/9/2005 20.34 9/16/2005 20.10 9/23/2005 19.91 9/30/2005 19.76 10/7/2005 19.87 10/14/2005 19.92 10/21/2005 19.35 10/28/2005 19.43 11/4/2005 19.39 11/11/2005 19.18 11/18/2005 18.99 11/25/2005 18.52 12/2/2005 18.82 12/9/2005 18.42 12/16/2005 17.58 12/23/2005 17.45 12/30/2005 17.56 1/6/2006 18.37 1/13/2006 18.45 1/20/2006 18.45 1/27/2006 18.37 2/3/2006 18.81 2/10/2006 18.90 2/17/2006 18.63 2/24/2006 18.64 3/3/2006 19.00 3/10/2006 18.92 3/17/2006 18.78 3/24/2006 18.62 3/31/2006 18.95 FUND SNAPSHOT - ------------------------------------ Share Price $18.95 - ------------------------------------ Net Asset Value $18.99 - ------------------------------------ Premium/(Discount) to NAV -0.21% - ------------------------------------ Market Yield(1) 9.56% - ------------------------------------ Net Assets ($000) $486,692 - ------------------------------------ CUMULATIVE TOTAL RETURN (Inception 5/25/05) - ------------------------------------ ON SHARE PRICE ON NAV - ------------------------------------ 3-Month 10.53% 3.21% - ------------------------------------ Since Inception 1.85% 6.75% - ------------------------------------ INDUSTRIES (as a % of total investments) - ------------------------------------ Software 10.1% - ------------------------------------ Communications Equipment 7.7% - ------------------------------------ Semiconductors & Equipment 6.9% - ------------------------------------ Computers & Peripherals 5.8% - ------------------------------------ Pharmaceuticals 5.1% - ------------------------------------ Biotechnology 4.7% - ------------------------------------ Commercial Banks 3.4% - ------------------------------------ Oil, Gas & Consumable Fuels 3.3% - ------------------------------------ Internet Software & Services 3.0% - ------------------------------------ Media 3.0% - ------------------------------------ Diversified Financial Services 2.9% - ------------------------------------ Commercial Services & Supplies 2.7% - ------------------------------------ Hotels, Restaurants & Leisure 2.3% - ------------------------------------ Industrial Conglomerates 2.2% - ------------------------------------ Specialty Retail 2.1% - ------------------------------------ Diversified Telecommunication Services 2.1% - ------------------------------------ Insurance 1.8% - ------------------------------------ Capital Markets 1.6% - ------------------------------------ Energy Equipment & Services 1.4% - ------------------------------------ Machinery 1.4% - ------------------------------------ Health Care Providers & Services 1.3% - ------------------------------------ Multiline Retail 1.3% - ------------------------------------ Food & Staples Retailing 1.2% - ------------------------------------ Health Care Equipment & Supplies 1.2% - ------------------------------------ Real Estate 1.1% - ------------------------------------ Put Options 0.2% - ------------------------------------ Short-Term Investments 5.3% - ------------------------------------ Other 14.9% - ------------------------------------ (1) Market yield is based on the Fund's current annualized monthly distribution divided by the Fund's current market price. The Fund's monthly distributions to its shareholders may be comprised of ordinary income, net realized capital gains and, if at the end of the calendar year the Fund's cumulative net ordinary income and net realized gains are less than the amount of the Fund's distributions, a return of capital for tax purposes. <Table> Nuveen Equity Premium Income Fund (JPZ) PORTFOLIO OF INVESTMENTS March 31, 2006 (Unaudited) <Caption> SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS - 95.7% AEROSPACE & DEFENSE - 2.3% 71,400 Boeing Company $ 5,564,202 100,000 Honeywell International Inc. 4,277,000 2,600 Northrop Grumman Corporation 177,554 32,000 Raytheon Company 1,466,880 89,400 United Technologies Corporation 5,182,518 - ------------------------------------------------------------------------------------------------------------------------------------ Total Aerospace & Defense 16,668,154 --------------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS - 0.3% 29,400 United Parcel Service, Inc., Class B 2,333,772 - ------------------------------------------------------------------------------------------------------------------------------------ AIRLINES - 0.1% 2,500 AirTrans Holdings, Inc., (1) 45,275 22,200 AMR Corporation-DEL, (1) 600,510 14,800 Continental Airlines, Inc., (1) 398,120 50,400 Northwest Airlines Corporation, (1) 22,680 - ------------------------------------------------------------------------------------------------------------------------------------ Total Airlines 1,066,585 --------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS - 0.1% 11,000 American Axle & Manufacturing Holdings, Inc. 188,430 27,900 Lear Corporation 494,667 - ------------------------------------------------------------------------------------------------------------------------------------ Total Auto Components 683,097 --------------------------------------------------------------------------------------------------------------- AUTOMOBILES - 0.3% 188,200 Ford Motor Company 1,498,072 35,700 General Motors Corporation 759,339 - ------------------------------------------------------------------------------------------------------------------------------------ Total Automobiles 2,257,411 --------------------------------------------------------------------------------------------------------------- BEVERAGES - 0.9% 91,100 Coca-Cola Company 3,814,357 40,500 PepsiCo, Inc. 2,340,495 - ------------------------------------------------------------------------------------------------------------------------------------ Total Beverages 6,154,852 --------------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY - 0.6% 50,500 Amgen Inc., (1) 3,673,875 2,500 Genentech, Inc., (1) 211,275 4,600 Gilead Sciences, Inc., (1) 286,212 - ------------------------------------------------------------------------------------------------------------------------------------ Total Biotechnology 4,171,362 --------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS - 2.3% 39,400 Charles Schwab Corporation 678,074 19,900 Goldman Sachs Group, Inc. 3,123,504 5,100 Jefferies Group, Inc. 298,350 20,300 Legg Mason, Inc. 2,544,199 26,500 Merrill Lynch & Co., Inc. 2,087,140 96,100 Morgan Stanley 6,037,002 59,100 Waddell & Reed Financial, Inc., Class A 1,365,210 - ------------------------------------------------------------------------------------------------------------------------------------ Total Capital Markets 16,133,479 --------------------------------------------------------------------------------------------------------------- CHEMICALS - 2.8% 116,400 Dow Chemical Company 4,725,840 160,500 E.I. Du Pont de Nemours and Company 6,774,705 40,400 Eastman Chemical Company 2,067,672 47,800 Lubrizol Corporation 2,048,230 42,800 Lyondell Chemical Company 851,720 22,100 NL Industries, Inc. 234,923 86,400 Olin Corporation 1,855,008 91,100 RPM International, Inc. 1,634,334 7,863 Tronox Incorporated, Class B 133,592 - ------------------------------------------------------------------------------------------------------------------------------------ Total Chemicals 20,326,024 --------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS - 7.0% 3,500 Australia and New Zealand Banking Group Limited, Sponsored ADR 332,220 429,381 Bank of America Corporation 19,554,011 46,900 HSBC Holdings PLC, Sponsored ADR 3,929,282 145,300 Lloyds TSB Group PLC, Sponsored ADR 5,592,597 7,600 National Australia Bank Limited, Sponsored ADR 1,022,580 </Table> <Table> 175,300 U.S. Bancorp. $ 5,346,650 106,300 Wachovia Corporation 5,958,115 34,100 Washington Mutual, Inc. 1,453,342 100,900 Wells Fargo & Company 6,444,483 1,900 Westpac Banking Corporation 161,443 - ------------------------------------------------------------------------------------------------------------------------------------ Total Commercial Banks 49,794,723 --------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES - 1.7% 2,600 Administaff, Inc. 141,336 56,300 Automatic Data Processing, Inc. 2,571,784 3,800 Avery Dennison Corporation 222,224 4,000 Career Education Corporation, (1) 150,920 7,100 Cendant Corporation 123,185 2,000 CheckFree Corp., (1) 101,000 55,100 Deluxe Corporation 1,441,967 4,200 Fair Isaac Corporation 166,404 1,600 ITT Educational Services, Inc., (1) 102,480 3,000 Manpower Inc. 171,540 31,000 Paychex, Inc. 1,291,460 5,800 Priceline.com Incorporated, (1) 144,072 8,500 R.R. Donnelley & Sons Company 278,120 117,800 ServiceMaster Company 1,545,536 37,900 Standard Register Company 587,450 78,600 Synagro Technologies, Inc. 393,000 72,000 Waste Management, Inc. 2,541,600 - ------------------------------------------------------------------------------------------------------------------------------------ Total Commercial Services & Supplies 11,974,078 --------------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT - 2.6% 16,300 ADTRAN, Inc. 426,734 30,600 Avaya Inc., (1) 345,780 61,800 Ciena Corporation, (1) 321,978 263,500 Cisco Systems, Inc., (1) 5,710,045 68,200 Corning Incorporated, (1) 1,835,262 95,000 JDS Uniphase Corporation, (1) 396,150 149,100 Motorola, Inc. 3,415,881 118,300 QUALCOMM Inc. 5,987,163 - ------------------------------------------------------------------------------------------------------------------------------------ Total Communications Equipment 18,438,993 --------------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS - 2.2% 38,000 Apple Computer, Inc., (1) 2,383,360 61,900 Dell Inc., (1) 1,842,144 129,100 Hewlett-Packard Company 4,247,390 87,100 International Business Machines Corporation (IBM) 7,183,137 13,700 McAfee Inc., (1) 333,321 - ------------------------------------------------------------------------------------------------------------------------------------ Total Computers & Peripherals 15,989,352 --------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING - 0.7% 9,900 Chesapeake Corporation 137,412 49,300 Packaging Corp of America 1,106,292 106,700 Sonoco Products Company 3,613,929 - ------------------------------------------------------------------------------------------------------------------------------------ Total Containers & Packaging 4,857,633 --------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES - 5.9% 16,900 A. G. Edwards, Inc. 842,634 32,300 AllianceBernstein Holding Limited Partnership 2,139,875 12,000 American Express Company 630,600 8,700 Chicago Merchantile Exchange 3,893,250 458,000 Citigroup Inc. 21,631,340 11,400 Gladstone Capital Corporation 245,670 314,050 JPMorgan Chase & Co. 13,077,042 - ------------------------------------------------------------------------------------------------------------------------------------ Total Diversified Financial Services 42,460,411 --------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 4.0% 359,379 AT&T Inc. 9,717,608 183,600 BellSouth Corporation 6,361,740 220,900 Citizens Communications Company 2,931,343 104,987 Sprint Nextel Corporation 2,712,864 11,600 Telstra Corporation Limited, ADR 155,556 </Table> <Table> 192,900 Verizon Communications Inc. $ 6,570,174 - ------------------------------------------------------------------------------------------------------------------------------------ Total Diversified Telecommunication Services 28,449,285 --------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES - 1.6% 27,000 Ameren Corporation 1,345,140 20,900 Consolidated Edison, Inc. 909,150 21,900 DPL Inc. 591,300 72,700 Duquesne Light Holdings Inc. 1,199,550 93,800 Great Plains Energy Incorporated 2,640,470 60,600 OGE Energy Corp. 1,757,400 80,800 Pepco Holdings, Inc. 1,841,432 32,400 Progress Energy, Inc. 1,424,952 - ------------------------------------------------------------------------------------------------------------------------------------ Total Electric Utilities 11,709,394 --------------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT - 1.1% 10,800 American Power Conversion Corporation 249,588 61,200 Emerson Electric Co. 5,118,156 30,600 Hubbell Incorporated, Class B 1,568,556 13,800 Rockwell Automation, Inc. 992,358 - ------------------------------------------------------------------------------------------------------------------------------------ Total Electrical Equipment 7,928,658 --------------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.1% 33,800 Gentex Corporation 590,148 5,700 Parker Hannifin Corporation 459,477 - ------------------------------------------------------------------------------------------------------------------------------------ Total Electronic Equipment & Instruments 1,049,625 --------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES - 2.3% 21,300 Diamond Offshore Drilling, Inc. 1,906,350 29,900 ENSCO International Incorporated 1,538,355 55,800 Halliburton Company 4,074,516 2,000 National-Oilwell Varco Inc., (1) 128,240 11,600 Patterson-UTI Energy, Inc. 370,736 39,600 Schlumberger Limited 5,012,172 17,600 Smith International, Inc. 685,696 46,500 Tidewater Inc. 2,568,195 3,000 Transocean Inc., (1) 240,900 - ------------------------------------------------------------------------------------------------------------------------------------ Total Energy Equipment & Services 16,525,160 --------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING - 1.5% 100,200 Albertson's, Inc. 2,572,134 4,800 Longs Drug Stores Corporation 222,144 10,000 Walgreen Co. 431,300 133,600 Wal-Mart Stores, Inc. 6,311,264 13,400 Whole Foods Market, Inc. 890,296 - ------------------------------------------------------------------------------------------------------------------------------------ Total Food & Staples Retailing 10,427,138 --------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS - 0.5% 72,500 ConAgra Foods, Inc. 1,555,850 109,400 Sara Lee Corporation 1,956,072 - ------------------------------------------------------------------------------------------------------------------------------------ Total Food Products 3,511,922 --------------------------------------------------------------------------------------------------------------- GAS UTILITIES - 1.5% 28,200 AGL Resources Inc. 1,016,610 141,200 Atmos Energy Corporation 3,717,796 18,200 KeySpan Corporation 743,834 81,800 Nicor Inc. 3,236,008 65,700 Peoples Energy Corporation 2,341,548 - ------------------------------------------------------------------------------------------------------------------------------------ Total Gas Utilities 11,055,796 --------------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES - 0.6% 35,700 Baxter International Inc. 1,385,517 1,300 Cardinal Health, Inc. 96,876 15,600 Guidant Corporation 1,217,736 28,900 Medtronic, Inc. 1,466,675 - ------------------------------------------------------------------------------------------------------------------------------------ Total Health Care Equipment & Supplies 4,166,804 --------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES - 1.7% 18,000 Aetna Inc. 884,520 21,800 Caremark Rx, Inc., (1) 1,072,124 15,450 Coventry Health Care, Inc., (1) 833,991 8,900 HCA, Inc. 407,531 </Table> <Table> 7,000 Humana Inc., (1) $ 368,550 6,700 Mentor Corporation 303,577 2,100 Omnicare, Inc. 115,479 92,170 UnitedHealth Group Incorporated 5,148,616 7,900 Universal Health Services, Inc., Class B 401,241 36,800 Wellpoint Inc., (1) 2,849,424 - ------------------------------------------------------------------------------------------------------------------------------------ Total Health Care Providers & Services 12,385,053 --------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE - 0.7% 23,300 GTECH Holdings Corporation 793,365 28,800 International Game Technology 1,014,336 86,900 McDonald's Corporation 2,985,884 - ------------------------------------------------------------------------------------------------------------------------------------ Total Hotels, Restaurants & Leisure 4,793,585 --------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES - 1.5% 3,400 Black & Decker Corporation 295,426 10,100 Lennar Corporation, Class A 609,838 27,900 Maytag Corporation 595,107 107,400 Newell Rubbermaid Inc. 2,705,406 12,400 Snap-on Incorporated 472,688 25,600 Stanley Works 1,296,896 106,700 Tupperware Corporation 2,196,953 26,600 Whirlpool Corporation 2,433,102 - ------------------------------------------------------------------------------------------------------------------------------------ Total Household Durables 10,605,416 --------------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS - 2.2% 53,200 Colgate-Palmolive Company 3,037,720 216,287 Procter & Gamble Company 12,462,457 - ------------------------------------------------------------------------------------------------------------------------------------ Total Household Products 15,500,177 --------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES - 4.9% 64,800 3M Co. 4,904,712 754,300 General Electric Company 26,234,554 27,800 Genuine Parts Company 1,218,474 7,400 Tomkins PLC, Sponsored ADR 174,418 95,500 Tyco International Ltd. 2,567,040 - ------------------------------------------------------------------------------------------------------------------------------------ Total Industrial Conglomerates 35,099,198 --------------------------------------------------------------------------------------------------------------- INSURANCE - 3.4% 36,800 Allstate Corporation 1,917,648 144,400 American International Group, Inc. 9,543,396 64,300 Arthur J. Gallagher & Co. 1,788,183 30,700 Converium Holding AG, ADR, (1) 190,954 35,200 Fidelity National Financial, Inc. 1,250,656 12,500 Hartford Financial Services Group, Inc. 1,006,875 1,500 Jefferson-Pilot Corporation 83,910 42,100 Lincoln National Corporation 2,298,239 76,500 Marsh & McLennan Companies, Inc. 2,246,040 19,200 Mercury General Corporation 1,054,080 57,800 Unitrin, Inc. 2,688,278 8,300 XL Capital Ltd, Class A 532,113 - ------------------------------------------------------------------------------------------------------------------------------------ Total Insurance 24,600,372 --------------------------------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL - 0.2% 23,200 Amazon.com, Inc., (1) 847,032 9,437 Expedia, Inc., (1) 191,288 9,437 IAC/InterActiveCorp., (1) 278,108 - ------------------------------------------------------------------------------------------------------------------------------------ Total Internet & Catalog Retail 1,316,428 --------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES - 1.3% 56,000 eBay Inc., (1) 2,187,360 8,200 F5 Networks, Inc., (1) 594,418 5,900 Google Inc., Class A, (1) 2,301,000 110,000 United Online, Inc. 1,414,600 93,700 Yahoo! Inc., (1) 3,022,762 - ------------------------------------------------------------------------------------------------------------------------------------ Total Internet Software & Services 9,520,140 --------------------------------------------------------------------------------------------------------------- IT SERVICES - 0.1% 2,050 FactSet Research Systems Inc. 90,918 </Table> <Table> 8,900 WebEx Communications, Inc., (1) $ 299,663 - ------------------------------------------------------------------------------------------------------------------------------------ Total IT Services 390,581 --------------------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS - 0.2% 20,400 Eastman Kodak Company 580,176 58,700 Mattel, Inc. 1,064,231 - ------------------------------------------------------------------------------------------------------------------------------------ Total Leisure Equipment & Products 1,644,407 --------------------------------------------------------------------------------------------------------------- MACHINERY - 1.7% 24,100 Briggs & Stratton Corporation 852,417 75,600 Caterpillar Inc. 5,428,836 1,000 Cummins Inc. 105,100 5,000 Deere & Company 395,250 1,000 Eaton Corporation 72,970 13,600 Graco Inc. 617,848 1,600 Illinois Tool Works Inc. 154,096 11,800 Ingersoll-Rand Company - Class A 493,122 17,100 Pentair, Inc. 696,825 59,400 SPX Corporation 3,173,148 12,000 Timken Company 387,240 - ------------------------------------------------------------------------------------------------------------------------------------ Total Machinery 12,376,852 --------------------------------------------------------------------------------------------------------------- MEDIA - 1.1% 2,800 Clear Channel Communications, Inc. 81,228 13,000 Omnicom Group Inc. 1,082,250 232,700 Regal Entertainment Group, Class A 4,377,087 2,700 Reuters Group PLC, Sponsored ADR 111,132 78,100 Sirius Satellite Radio Inc., (1) 396,748 5,600 ValueClick, Inc., (1) 94,752 6,350 Viacom Inc., Class B, (1) 246,380 48,000 Walt Disney Company 1,338,720 4,700 Westwood One, Inc. 51,888 - ------------------------------------------------------------------------------------------------------------------------------------ Total Media 7,780,185 --------------------------------------------------------------------------------------------------------------- METALS & MINING - 1.0% 40,200 Alcoa Inc. 1,228,512 14,400 CONSOL Energy Inc. 1,067,904 1,300 Freeport-McMoRan Copper & Gold, Inc. 77,701 16,000 Nucor Corporation 1,676,640 2,600 Phelps Dodge Corporation 209,378 25,200 Southern Copper Corporation 2,128,896 6,900 USEC Inc. 83,145 50,800 Worthington Industries, Inc. 1,019,048 - ------------------------------------------------------------------------------------------------------------------------------------ Total Metals & Mining 7,491,224 --------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL - 0.7% 19,001 Federated Department Stores, Inc. 1,387,073 1,700 J.C. Penney Company, Inc. 102,697 55,400 Nordstrom, Inc. 2,170,572 7,900 Sears Holding Corporation, (1) 1,044,696 - ------------------------------------------------------------------------------------------------------------------------------------ Total Multiline Retail 4,705,038 --------------------------------------------------------------------------------------------------------------- MULTI-UTILITIES - 1.5% 125,900 Duke Energy Corporation 3,669,985 28,500 National Fuel Gas Company 932,520 10,400 National Grid PLC, Sponsored ADR 516,152 49,100 ONEOK, Inc. 1,583,475 32,100 Public Service Enterprise Group Incorporated 2,055,684 59,600 United Utilities PLC, Sponsored ADR 1,445,300 10,700 Vectren Corporation 282,266 - ------------------------------------------------------------------------------------------------------------------------------------ Total Multi-Utilities 10,485,382 --------------------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS - 6.5% 7,000 Burlington Resources Inc. 643,370 6,700 Chesapeake Energy Corporation 210,447 151,900 ChevronTexaco Corporation 8,805,643 59,700 ConocoPhillips 3,770,055 8,000 EOG Resources, Inc. 576,000 437,600 Exxon Mobil Corporation 26,632,336 </Table> <Table> 39,000 Kerr-McGee Corporation $ 3,723,720 700 Occidental Petroleum Corporation 64,855 4,700 Royal Dutch Shell PLC, Class A, ADR 292,622 25,600 Valero Energy Corporation 1,530,368 - ------------------------------------------------------------------------------------------------------------------------------------ Total Oil, Gas & Consumable Fuels 46,249,416 --------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS - 0.0% 2,900 Potlatch Corporation 124,236 - ------------------------------------------------------------------------------------------------------------------------------------ PHARMACEUTICALS - 8.1% 111,700 Abbott Laboratories 4,743,899 350,400 Bristol-Myers Squibb Company 8,623,344 78,800 Eli Lilly and Company 4,357,640 36,200 GlaxoSmithKline PLC, ADR 1,893,622 207,300 Johnson & Johnson 12,276,306 254,400 Merck & Co. Inc. 8,962,512 531,200 Pfizer Inc. 13,237,504 36,000 Schering-Plough Corporation 683,640 67,600 Wyeth 3,279,952 - ------------------------------------------------------------------------------------------------------------------------------------ Total Pharmaceuticals 58,058,419 --------------------------------------------------------------------------------------------------------------- REAL ESTATE - 2.4% 71,800 American Financial Realty Trust 836,470 57,700 American Home Mortgage Investment Corp. 1,800,817 24,700 Brandywine Realty Trust 784,472 154,100 Crescent Real Estate Equities Company 3,246,887 19,900 Equity Office Properties Trust 668,242 45,300 First Industrial Realty Trust, Inc. 1,933,857 19,800 Health Care REIT, Inc. 754,380 117,900 HRPT Properties Trust 1,384,146 3,500 Liberty Property Trust 165,060 5,100 Mills Corp. 142,800 42,500 Nationwide Health Properties, Inc. 913,750 29,800 New Century Financial Corporation 1,371,396 55,300 Newcastle Investment Corporation 1,322,776 11,700 Reckson Associates Realty Corporation 536,094 27,000 Senior Housing Properties Trust 488,700 55,400 Trustreet Properties, Inc. 841,526 - ------------------------------------------------------------------------------------------------------------------------------------ Total Real Estate 17,191,373 --------------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & EQUIPMENT - 3.2% 28,500 Advanced Micro Devices, Inc., (1) 945,060 35,500 Analog Devices, Inc. 1,359,295 97,200 Applied Materials, Inc. 1,701,972 45,300 Broadcom Corporation, Class A, (1) 1,955,148 419,700 Intel Corporation 8,121,195 9,700 Intersil Holding Corporation, Class A 280,524 8,000 KLA-Tencor Corporation 386,880 6,600 Lam Research Corporation, (1) 283,800 13,300 Linear Technology Corporation 466,564 17,400 Maxim Integrated Products, Inc. 646,410 34,300 Microchip Technology Incorporated 1,245,090 24,800 National Semiconductor Corporation 690,432 9,900 NVIDIA Corporation, (1) 566,874 4,100 Omnivision Technologies, Inc., (1) 123,820 100 Silicon Laboratories Inc., (1) 5,495 115,500 Texas Instruments Incorporated 3,750,285 13,200 Xilinx, Inc. 336,072 - ------------------------------------------------------------------------------------------------------------------------------------ Total Semiconductors & Equipment 22,864,916 --------------------------------------------------------------------------------------------------------------- SOFTWARE - 3.7% 38,852 Adobe Systems Incorporated 1,356,712 11,400 Autodesk, Inc. 439,128 34,800 BEA Systems, Inc., (1) 456,924 18,500 Cognizant Technology Solutions Corporation, Class A, (1) 1,100,565 6,600 Electronic Arts Inc. (EA), (1) 361,152 9,800 Internet Security Systems, Inc., (1) 235,004 640,200 Microsoft Corporation 17,419,842 </Table> <Table> 251,177 Oracle Corporation, (1) $ 3,438,627 6,100 Red Hat, Inc., (1) 170,678 300 Salesforce.com, Inc. (1) 10,899 36,424 Symantec Corporation, (1) 613,016 21,500 VeriSign, Inc., (1) 515,785 - ------------------------------------------------------------------------------------------------------------------------------------ Total Software 26,118,332 --------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL - 3.2% 33,100 Abercrombie & Fitch Co., Class A 1,929,730 31,800 American Eagle Outfitters, Inc. 949,548 53,700 Best Buy Co., Inc. 3,003,441 39,600 Chico's FAS, Inc., (1) 1,609,344 10,600 Christopher & Banks Corporation 246,026 44,800 Claire's Stores, Inc. 1,626,688 16,000 Foot Locker, Inc. 382,080 39,400 Gap, Inc. 735,992 146,000 Home Depot, Inc. 6,175,800 68,800 Limited Brands, Inc. 1,682,848 19,800 Lowe's Companies, Inc. 1,275,912 20,200 Michaels Stores, Inc. 759,116 4,300 Pep Boys - Manny, Moe & Jack 64,973 39,000 Pier 1 Imports, Inc. 452,790 1,900 Ross Stores, Inc. 55,461 500 Sherwin-Williams Company 24,720 20,300 Talbots, Inc. 545,461 19,700 TJX Companies, Inc. 488,954 6,000 Tuesday Morning Corporation 138,540 17,600 Urban Outfitters, Inc., (1) 431,904 - ------------------------------------------------------------------------------------------------------------------------------------ Total Specialty Retail 22,579,328 --------------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS - 0.0% 2,600 Coach, Inc., (1) 89,908 - ------------------------------------------------------------------------------------------------------------------------------------ THRIFTS & MORTGAGE FINANCE - 0.7% 9,700 Capitol Federal Financial 313,310 10,600 Countrywide Financial Corporation 389,020 22,900 Fannie Mae 1,177,060 166,000 New York Community Bancorp, Inc. 2,908,320 - ------------------------------------------------------------------------------------------------------------------------------------ Total Thrifts & Mortgage Finance 4,787,710 --------------------------------------------------------------------------------------------------------------- TOBACCO - 2.7% 219,700 Altria Group, Inc. 15,567,942 19,000 Loews Corp - Carolina Group 898,130 16,100 Reynolds American Inc. 1,698,550 4,300 UST Inc. 178,880 64,785 Vector Group Ltd. 1,234,802 - ------------------------------------------------------------------------------------------------------------------------------------ Total Tobacco 19,578,304 --------------------------------------------------------------------------------------------------------------- TRANSPORTATION INFRASTRUCTURE - 0.0% 7,100 Stolt-Nielsen S.A., Sponsored ADR 217,970 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL COMMON STOCKS (COST $610,413,356) 684,687,658 =============================================================================================================== </Table> <Table> <Caption> NOTIONAL EXPIRATION STRIKE CONTRACTS TYPE AMOUNT (3) DATE PRICE VALUE - ------------------------------------------------------------------------------------------------------------------------------------ PUT OPTIONS - 0.1% 1,042 S&P 500 Index $ 122,435,000 4/22/06 $1175 $ 41,680 809 S&P 500 Index 93,035,000 5/20/06 1150 88,990 768 S&P 500 Index 90,240,000 5/20/06 1175 122,880 1,259 S&P 500 Index 151,080,000 5/20/06 1200 302,160 802 S&P 500 Index 94,235,000 6/17/06 1175 248,620 530 S&P 500 Index 63,600,000 6/17/06 1200 243,800 - ------------------------------------------------------------------------------------------------------------------------------------ 5,210 TOTAL PUT OPTIONS (COST $2,123,985) 614,625,000 1,048,130 ==================================================================================================================================== </Table> <Table> <Caption> PRINCIPAL AMOUNT (000) DESCRIPTION COUPON MATURITY VALUE - ----------------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS - 6.4% Repurchase Agreement with State Street Bank, dated 3/31/06, repurchase price $45,543,062, collateralized by $37,240,000 U.S. Treasury Notes, 6.500%, $ 45,527 due 2/15/10 value $39,707,150 4.250% 4/03/06 $ 45,526,938 ==============---------------------------------------------------------------------------------------------------------------------- TOTAL SHORT-TERM INVESTMENTS (COST $45,526,938) 45,526,938 =============================================================================================================== TOTAL INVESTMENTS (COST $658,064,279) - 102.2% 731,262,726 =============================================================================================================== </Table> <Table> NOTIONAL EXPIRATION STRIKE CONTRACTS TYPE AMOUNT (3) DATE PRICE VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CALL OPTIONS - (2.4)% (2) (679) S&P 500 Index $ (84,875,000) 4/22/06 $1250 $ (3,371,235) (1,401) S&P 500 Index (178,627,500) 4/22/06 1275 (3,915,795) (662) S&P 500 Index (86,060,000) 4/22/06 1300 (761,300) (560) S&P 500 Index (70,000,000) 5/20/06 1250 (3,144,400) (1,239) S&P 500 Index (157,972,500) 5/20/06 1275 (4,491,375) (669) S&P 500 Index (86,970,000) 5/20/06 1300 (1,338,000) - ------------------------------------------------------------------------------------------------------------------------------------ (5,210) TOTAL CALL OPTIONS (PREMIUMS RECEIVED $19,211,381) (664,505,000) (17,022,105) ==================================================================================================================================== OTHER ASSETS LESS LIABILITIES - 0.2% 1,037,034 =============================================================================================================== NET ASSETS - 100% $ 715,277,655 =============================================================================================================== (1) Non-income producing. (2) The Fund may designate up to 100% of its Common Stock investments to cover outstanding Call Options. (3) For disclosure purposes, Notional Amount is calculated by multiplying the number of Contracts by the Strike Price multiplied by 100. ADR American Depositary Receipt. See accompanying notes to financial statements. </Table> <Table> Nuveen Equity Premium Opportunity Fund (JSN) PORTFOLIO OF INVESTMENTS March 31, 2006 (Unaudited) <Caption> SHARES DESCRIPTION VALUE - ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS - 97.0% AEROSPACE & DEFENSE - 2.1% 88,200 Boeing Company $ 6,873,426 133,500 Honeywell International Inc. 5,709,795 26,000 Lockheed Martin Corporation 1,953,380 41,700 Northrop Grumman Corporation 2,847,693 46,000 Raytheon Company 2,108,640 107,600 United Technologies Corporation 6,237,572 - ------------------------------------------------------------------------------------------------------------------------------------ Total Aerospace & Defense 25,730,506 --------------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS - 0.6% 98,500 United Parcel Service, Inc., Class B 7,818,930 - ------------------------------------------------------------------------------------------------------------------------------------ AIRLINES - 0.2% 93,200 AMR Corporation-DEL, (1) 2,521,060 - ------------------------------------------------------------------------------------------------------------------------------------ AUTO COMPONENTS - 0.0% 26,700 Lear Corporation 473,391 - ------------------------------------------------------------------------------------------------------------------------------------ AUTOMOBILES - 0.5% 302,500 Ford Motor Company 2,407,900 109,300 General Motors Corporation 2,324,811 34,500 Harley-Davidson Inc. 1,789,860 - ------------------------------------------------------------------------------------------------------------------------------------ Total Automobiles 6,522,571 --------------------------------------------------------------------------------------------------------------- BEVERAGES - 1.0% 171,450 Coca-Cola Company 7,178,612 83,200 PepsiCo, Inc. 4,808,128 - ------------------------------------------------------------------------------------------------------------------------------------ Total Beverages 11,986,740 --------------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY - 2.8% 201,150 Amgen Inc., (1) 14,633,663 121,150 Biogen Idec Inc., (1) 5,706,165 44,700 Genentech, Inc., (1) 3,777,597 46,900 Genzyme Corporation, (1) 3,152,618 92,100 Gilead Sciences, Inc., (1) 5,730,462 152,400 Memory Pharmaceuticals Corporation, (1) 421,767 20,150 Sepracor Inc., (1) 983,522 - ------------------------------------------------------------------------------------------------------------------------------------ Total Biotechnology 34,405,794 --------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS - 1.9% 34,400 American Capital Strategies Limited 1,209,504 156,050 Charles Schwab Corporation 2,685,621 26,800 Goldman Sachs Group, Inc. 4,206,528 33,700 Legg Mason, Inc. 4,223,621 132,250 Morgan Stanley 8,307,945 136,400 Waddell & Reed Financial, Inc., Class A 3,150,840 - ------------------------------------------------------------------------------------------------------------------------------------ Total Capital Markets 23,784,059 --------------------------------------------------------------------------------------------------------------- CHEMICALS - 1.6% 113,700 Dow Chemical Company 4,616,220 137,700 E.I. Du Pont de Nemours and Company 5,812,317 46,050 Eastman Chemical Company 2,356,839 72,000 Lubrizol Corporation 3,085,200 26,400 Lyondell Chemical Company 525,360 23,600 NL Industries Inc. 250,868 37,650 Olin Corporation 808,346 152,650 RPM International, Inc. 2,738,541 - ------------------------------------------------------------------------------------------------------------------------------------ Total Chemicals 20,193,691 --------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS - 4.9% 14,500 Allied Capital Corporation 443,700 485,129 Bank of America Corporation 22,092,820 116,800 Commerce Bancorp, Inc. 4,280,720 30,000 FNB Corporation PA 513,000 45,100 HSBC Holdings PLC, Sponsored ADR 3,778,478 121,500 Lloyds TSB Group PLC, Sponsored ADR 4,676,535 64,900 North Fork Bancorporation Inc. 1,871,067 </Table> <Table> 2,200 R&G Financial Corporation, Class B $ 27,852 283,700 U.S. Bancorp. 8,652,850 135,250 Wachovia Corporation 7,580,763 108,950 Wells Fargo & Company 6,958,637 - ------------------------------------------------------------------------------------------------------------------------------------ Total Commercial Banks 60,876,422 --------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES - 1.9% 95,800 Automatic Data Processing, Inc. 4,376,144 27,500 Corporate Executive Board Company 2,774,750 68,150 Deluxe Corporation 1,783,486 45,000 Fair Isaac Corporation 1,782,900 57,150 Manpower Inc. 3,267,837 49,100 R.R. Donnelley & Sons Company 1,606,552 267,200 ServiceMaster Company 3,505,664 96,200 Sirva Inc., (1) 820,586 57,400 Synagro Technologies, Inc. 287,000 95,550 Waste Management, Inc. 3,372,915 - ------------------------------------------------------------------------------------------------------------------------------------ Total Commercial Services & Supplies 23,577,834 --------------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT - 5.6% 68,500 ADTRAN, Inc. 1,793,330 919,400 Cisco Systems, Inc., (1) 19,923,398 184,500 Corning Incorporated, (1) 4,964,895 55,800 Harris Corporation 2,638,782 73,000 Juniper Networks Inc., (1) 1,395,760 243,800 Motorola, Inc. 5,585,458 569,150 QUALCOMM Inc. 28,804,679 41,200 Research In Motion Limited, (1) 3,497,056 - ------------------------------------------------------------------------------------------------------------------------------------ Total Communications Equipment 68,603,358 --------------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS - 4.3% 331,300 Apple Computer, Inc., (1) 20,779,136 285,400 Dell Inc., (1) 8,493,504 191,800 EMC Corporation, (1) 2,614,234 29,300 Gateway Inc., (1) 64,167 317,700 Hewlett-Packard Company 10,452,330 100,600 International Business Machines Corporation (IBM) 8,296,482 43,250 McAfee Inc., (1) 1,052,273 23,000 Network Appliance Inc., (1) 828,690 15,600 SanDisk Corporation, (1) 897,312 - ------------------------------------------------------------------------------------------------------------------------------------ Total Computers & Peripherals 53,478,128 --------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING - 0.7% 206,200 Packaging Corp of America 4,627,128 127,450 Sonoco Products Company 4,316,732 - ------------------------------------------------------------------------------------------------------------------------------------ Total Containers & Packaging 8,943,860 --------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES - 4.8% 56,200 A. G. Edwards, Inc. 2,802,132 31,000 American Express Company 1,629,050 11,000 Chicago Merchantile Exchange 4,922,500 549,300 Citigroup Inc. 25,943,436 71,300 Eaton Vance Corporation 1,952,194 126,150 ING Groep N.V., Sponsored ADR 4,970,310 408,650 JPMorgan Chase & Co. 17,016,186 - ------------------------------------------------------------------------------------------------------------------------------------ Total Diversified Financial Services 59,235,808 --------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES - 3.2% 439,300 AT&T Inc. 11,878,672 245,900 BellSouth Corporation 8,520,435 262,750 Citizens Communications Company 3,486,693 198,706 Sprint Nextel Corporation 5,134,563 302,400 Verizon Communications Inc. 10,299,744 - ------------------------------------------------------------------------------------------------------------------------------------ Total Diversified Telecommunication Services 39,320,107 --------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES - 1.0% 38,400 Ameren Corporation 1,913,088 98,700 Duquesne Light Holdings Inc. 1,628,550 129,350 Great Plains Energy Incorporated 3,641,203 </Table> <Table> 92,500 OGE Energy Corp. $ 2,682,500 118,050 Pepco Holdings, Inc. 2,690,360 - ------------------------------------------------------------------------------------------------------------------------------------ Total Electric Utilities 12,555,701 --------------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT - 1.2% 26,000 Cooper Industries, Ltd., Class A 2,259,400 80,400 Emerson Electric Co. 6,723,852 47,150 Hubbell Incorporated, Class B 2,416,909 39,000 Rockwell Automation, Inc. 2,804,490 - ------------------------------------------------------------------------------------------------------------------------------------ Total Electrical Equipment 14,204,651 --------------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.4% 123,100 Gentex Corporation 2,149,326 51,200 Roper Industries Inc. 2,489,856 - ------------------------------------------------------------------------------------------------------------------------------------ Total Electronic Equipment & Instruments 4,639,182 --------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES - 2.1% 45,800 Diamond Offshore Drilling, Inc. 4,099,100 51,150 ENSCO International Incorporated 2,631,668 97,250 Halliburton Company 7,101,195 76,950 Patterson-UTI Energy, Inc. 2,459,322 37,500 Schlumberger Limited 4,746,375 77,800 Tidewater Inc. 4,296,894 - ------------------------------------------------------------------------------------------------------------------------------------ Total Energy Equipment & Services 25,334,554 --------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING - 1.3% 179,200 Albertson's, Inc. 4,600,064 71,500 Walgreen Co. 3,083,795 175,200 Wal-Mart Stores, Inc. 8,276,448 - ------------------------------------------------------------------------------------------------------------------------------------ Total Food & Staples Retailing 15,960,307 --------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS - 0.6% 71,700 ConAgra Foods, Inc. 1,538,682 30,500 Monsanto Company 2,584,875 211,100 Sara Lee Corporation 3,774,468 - ------------------------------------------------------------------------------------------------------------------------------------ Total Food Products 7,898,025 --------------------------------------------------------------------------------------------------------------- GAS UTILITIES - 1.1% 63,900 AGL Resources Inc. 2,303,595 179,450 Atmos Energy Corporation 4,724,919 122,400 Nicor Inc. 4,842,144 84,600 Piedmont Natural Gas Company 2,029,554 - ------------------------------------------------------------------------------------------------------------------------------------ Total Gas Utilities 13,900,212 --------------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES - 1.0% 80,600 Baxter International Inc. 3,128,086 36,300 Guidant Corporation 2,833,578 35,400 Hillenbrand Industries 1,946,646 77,300 Medtronic, Inc. 3,922,975 - ------------------------------------------------------------------------------------------------------------------------------------ Total Health Care Equipment & Supplies 11,831,285 --------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES - 1.7% 49,000 Aetna Inc. 2,407,860 7,100 AmericGroup Corporation, (1) 149,384 51,800 Caremark Rx, Inc., (1) 2,547,524 39,000 Coventry Health Care, Inc., (1) 2,105,220 43,000 Mentor Corporation 1,948,330 121,700 UnitedHealth Group Incorporated 6,798,162 66,800 Wellpoint Inc., (1) 5,172,324 - ------------------------------------------------------------------------------------------------------------------------------------ Total Health Care Providers & Services 21,128,804 --------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE - 1.2% 71,750 GTECH Holdings Corporation 2,443,087 68,500 International Game Technology 2,412,570 215,800 McDonald's Corporation 7,414,888 31,000 Starwood Hotels & Resorts Worldwide, Inc. 2,099,630 - ------------------------------------------------------------------------------------------------------------------------------------ Total Hotels, Restaurants & Leisure 14,370,175 --------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES - 1.1% 119,400 Maytag Corporation 2,546,802 184,850 Newell Rubbermaid Inc. 4,656,372 44,700 Stanley Works 2,264,502 38,500 Whirlpool Corporation $ 3,521,595 - ------------------------------------------------------------------------------------------------------------------------------------ Total Household Durables 12,989,271 --------------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS - 1.3% 59,100 Colgate-Palmolive Company 3,374,610 229,375 Procter & Gamble Company 13,216,587 - ------------------------------------------------------------------------------------------------------------------------------------ Total Household Products 16,591,197 --------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES - 3.7% 83,000 3M Co. 6,282,270 958,350 General Electric Company 33,331,410 57,500 Genuine Parts Company 2,520,225 146,050 Tyco International Ltd. 3,925,824 - ------------------------------------------------------------------------------------------------------------------------------------ Total Industrial Conglomerates 46,059,729 --------------------------------------------------------------------------------------------------------------- INSURANCE - 2.4% 41,400 Allstate Corporation 2,157,354 202,500 American International Group, Inc. 13,383,225 118,050 Arthur J. Gallagher & Co. 3,282,971 51,050 Fidelity National Financial, Inc. 1,813,807 105,900 Marsh & McLennan Companies, Inc. 3,109,224 35,150 Mercury General Corporation 1,929,735 81,750 Unitrin, Inc. 3,802,193 - ------------------------------------------------------------------------------------------------------------------------------------ Total Insurance 29,478,509 --------------------------------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL - 0.3% 72,750 Amazon.com, Inc., (1) 2,656,103 18,150 IAC/InterActiveCorp., (1) 534,881 - ------------------------------------------------------------------------------------------------------------------------------------ Total Internet & Catalog Retail 3,190,984 --------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES - 2.5% 341,600 eBay Inc., (1) 13,342,896 20,400 Google Inc., Class A, (1) 7,956,000 111,600 United Online, Inc. 1,435,176 267,900 Yahoo! Inc., (1) 8,642,454 - ------------------------------------------------------------------------------------------------------------------------------------ Total Internet Software & Services 31,376,526 --------------------------------------------------------------------------------------------------------------- IT SERVICES - 0.4% 86,700 Electronic Data Systems Corporation 2,326,161 52,800 First Data Corporation 2,472,096 - ------------------------------------------------------------------------------------------------------------------------------------ Total IT Services 4,798,257 --------------------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS - 0.3% 93,100 Mattel, Inc. 1,687,903 34,500 Polaris Industries Inc. 1,882,320 - ------------------------------------------------------------------------------------------------------------------------------------ Total Leisure Equipment & Products 3,570,223 --------------------------------------------------------------------------------------------------------------- MACHINERY - 1.6% 49,050 Briggs & Stratton Corporation 1,734,899 112,400 Caterpillar Inc. 8,071,444 52,750 Graco Inc. 2,396,433 24,400 Pentair, Inc. 994,300 76,400 SPX Corporation 4,081,288 67,000 Timken Company 2,162,090 - ------------------------------------------------------------------------------------------------------------------------------------ Total Machinery 19,440,454 --------------------------------------------------------------------------------------------------------------- MEDIA - 1.9% 19,550 Catalina Marketing Corporation 451,605 69,500 Clear Channel Communications, Inc. 2,016,195 8,687 Live Nation Inc., (1) 172,350 144,450 News Corporation, Class A 2,399,315 28,100 Omnicom Group Inc. 2,339,325 234,500 Regal Entertainment Group, Class A 4,410,945 469,850 Sirius Satellite Radio Inc., (1) 2,386,838 161,900 Time Warner Inc. 2,718,301 46,400 Viacom Inc., Class B, (1) 1,800,320 129,700 Walt Disney Company 3,617,333 66,850 XM Satellite Radio Holdings Inc., Class A, (1) 1,488,750 - ------------------------------------------------------------------------------------------------------------------------------------ Total Media 23,801,277 --------------------------------------------------------------------------------------------------------------- METALS & MINING - 0.8% </Table> <Table> 121,500 Alcoa Inc. $ 3,713,040 140,000 Companhia Siderurgica Nacional S.A., Sponsored ADR 4,398,800 17,500 Southern Copper Corporation 1,478,400 - ------------------------------------------------------------------------------------------------------------------------------------ Total Metals & Mining 9,590,240 --------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL - 0.9% 33,096 Federated Department Stores, Inc. 2,416,008 93,000 Nordstrom, Inc. 3,643,740 20,877 Sears Holding Corporation, (1) 2,760,774 41,500 Target Corporation 2,158,415 - ------------------------------------------------------------------------------------------------------------------------------------ Total Multiline Retail 10,978,937 --------------------------------------------------------------------------------------------------------------- MULTI-UTILITIES - 1.2% 181,250 Duke Energy Corporation 5,283,438 88,300 National Fuel Gas Company 2,889,176 6,600 National Grid PLC 327,558 95,800 ONEOK, Inc. 3,089,550 42,100 Public Service Enterprise Group Incorporated 2,696,084 - ------------------------------------------------------------------------------------------------------------------------------------ Total Multi-Utilities 14,285,806 --------------------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS - 4.8% 12,800 BP Prudhoe Bay Royalty Trust 904,832 183,650 ChevronTexaco Corporation 10,646,191 74,000 ConocoPhillips 4,673,100 545,550 Exxon Mobil Corporation 33,202,170 87,200 Royal Dutch Shell PLC, Class A, ADR 5,429,072 46,000 San Juan Basin Royalty Trust 1,883,700 18,400 Total SA, Sponsored ADR 2,423,832 - ------------------------------------------------------------------------------------------------------------------------------------ Total Oil, Gas & Consumable Fuels 59,162,897 --------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS - 0.2% 37,000 Bowater Incorporated 1,094,460 - ------------------------------------------------------------------------------------------------------------------------------------ PHARMACEUTICALS - 6.9% 152,900 Abbott Laboratories 6,493,663 406,450 Bristol-Myers Squibb Company 10,002,735 108,800 Celgene Corporation, (1) 4,811,136 134,950 Eli Lilly and Company 7,462,735 49,700 GlaxoSmithKline PLC, ADR 2,599,807 241,250 Johnson & Johnson 14,286,825 381,350 Merck & Co. Inc. 13,434,960 698,250 Pfizer Inc. 17,400,390 124,050 Schering-Plough Corporation 2,355,709 139,850 Wyeth 6,785,522 - ------------------------------------------------------------------------------------------------------------------------------------ Total Pharmaceuticals 85,633,482 --------------------------------------------------------------------------------------------------------------- REAL ESTATE - 1.8% 125,350 American Financial Realty Trust 1,460,328 22,000 American Home Mortgage Investment Corp. 686,620 277,600 Crescent Real Estate Equities Company 5,849,032 56,800 First Industrial Realty Trust, Inc. 2,424,792 64,300 Friedman, Billings, Ramsey Group, Inc., Class A 603,134 59,500 Health Care REIT, Inc. 2,266,950 86,200 Hospitality Properties Trust 3,764,354 246,550 HRPT Properties Trust 2,894,497 112,500 Nationwide Health Properties, Inc. 2,418,750 - ------------------------------------------------------------------------------------------------------------------------------------ Total Real Estate 22,368,457 --------------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & EQUIPMENT - 5.6% 84,500 Advanced Micro Devices, Inc., (1) 2,802,020 81,900 Altera Corporation, (1) 1,690,416 109,800 Analog Devices, Inc. 4,204,242 292,300 Applied Materials, Inc. 5,118,173 129,900 Broadcom Corporation, Class A, (1) 5,606,484 41,500 Cree, Inc., (1) 1,361,615 58,000 Freescale Semiconductor, Inc., (1) 1,612,980 1,021,350 Intel Corporation 19,763,123 12,700 International Rectifier Corporation, (1) 526,161 51,550 KLA-Tencor Corporation 2,492,958 72,550 Linear Technology Corporation 2,545,054 </Table> <Table> 59,150 Marvell Technology Group Ltd., (1) $ 3,200,015 123,350 Maxim Integrated Products, Inc. 4,582,453 123,350 National Semiconductor Corporation 3,434,064 213,250 Texas Instruments Incorporated 6,924,228 130,650 Xilinx, Inc. 3,326,349 - ------------------------------------------------------------------------------------------------------------------------------------ Total Semiconductors & Equipment 69,190,335 --------------------------------------------------------------------------------------------------------------- SOFTWARE - 6.6% 49,753 Activision Inc., (1) 686,108 190,764 Adobe Systems Incorporated 6,661,479 71,500 Autodesk, Inc. 2,754,180 102,500 Computer Associates International, Inc. 2,789,025 77,600 Electronic Arts Inc. (EA), (1) 4,246,272 1,663,550 Microsoft Corporation 45,265,193 746,691 Oracle Corporation, (1) 10,222,213 41,500 SAP AG, Sponsored ADR 2,254,280 326,621 Symantec Corporation, (1) 5,497,031 58,650 Verisign, Inc., (1) 1,407,014 - ------------------------------------------------------------------------------------------------------------------------------------ Total Software 81,782,795 --------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL - 2.6% 18,900 Abercrombie & Fitch Co., Class A 1,101,870 33,400 American Eagle Outfitters, Inc. 997,324 88,950 Best Buy Co., Inc. 4,974,974 13,700 Cabela's Incorporated, (1) 281,124 48,900 Chico's FAS, Inc., (1) 1,987,296 81,900 Claire's Stores, Inc. 2,973,789 64,150 Gap, Inc. 1,198,322 210,000 Home Depot, Inc. 8,883,000 126,450 Limited Brands, Inc. 3,092,967 53,150 Lowe's Companies, Inc. 3,424,986 62,100 Michaels Stores, Inc. 2,333,718 24,000 Pier 1 Imports, Inc. 278,640 - ------------------------------------------------------------------------------------------------------------------------------------ Total Specialty Retail 31,528,010 --------------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE - 0.4% 261,200 New York Community Bancorp, Inc. 4,576,224 - ------------------------------------------------------------------------------------------------------------------------------------ TOBACCO - 1.8% 249,400 Altria Group, Inc. 17,672,484 56,950 Loews Corp - Carolina Group 2,692,027 22,700 Reynolds American Inc. 2,394,850 - ------------------------------------------------------------------------------------------------------------------------------------ Total Tobacco 22,759,361 --------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES - 0.2% 84,500 China Mobile Hong Kong Limited, Sponsored ADR 2,242,630 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL COMMON STOCKS (COST $1,082,739,292) 1,195,785,216 =============================================================================================================== </Table> <Table> <Caption> NOTIONAL EXPIRATION STRIKE CONTRACTS TYPE AMOUNT (3) DATE PRICE VALUE - ------------------------------------------------------------------------------------------------------------------------------------ PUT OPTIONS - 0.2% 490 Nasdaq 100 Index $ 73,500,000 5/20/06 $1500 $ 110,250 908 Nasdaq 100 Index 136,200,000 6/17/06 1500 426,760 348 Nasdaq 100 Index 53,070,000 6/17/06 1525 210,540 1,637 S&P 500 Index 192,347,500 4/22/06 1175 65,480 1,025 S&P 500 Index 117,875,000 5/20/06 1150 112,750 1,026 S&P 500 Index 120,555,000 5/20/06 1175 164,160 1,665 S&P 500 Index 199,800,000 5/20/06 1200 399,600 1,076 S&P 500 Index 126,430,000 6/17/06 1175 333,560 430 S&P 500 Index 51,600,000 6/17/06 1200 197,800 - ------------------------------------------------------------------------------------------------------------------------------------ 8,605 TOTAL PUT OPTIONS (COST $4,174,241) 1,071,377,500 2,020,900 ==================================================================================================================================== PRINCIPAL AMOUNT (000) DESCRIPTION COUPON MATURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 5.3% Repurchase Agreement with State Street Bank, dated 3/31/06, repurchase price $65,770,875, collateralized by $70,875,000 U.S. Treasury Bonds, 4.500%, $ 65,748 due 2/15/36, value $67,065,469 4.250% 4/03/06 $ 65,747,589 ===============--------------------------------------------------------------------------------------------------------------------- TOTAL SHORT-TERM INVESTMENTS (COST $65,747,589) 65,747,589 =============================================================================================================== TOTAL INVESTMENTS (COST $1,152,661,122) - 102.5% 1,263,553,705 =============================================================================================================== </Table> <Table> <Caption> NOTIONAL EXPIRATION STRIKE CONTRACTS TYPE AMOUNT (3) DATE PRICE VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CALL OPTIONS - (2.6)% (2) (300) Mini-Nasdaq 100 Index $ (5,100,000) 5/20/06 $ 170.0 $ (147,000) (360) Mini-NDX 100 Index (5,940,000) 4/22/06 165.0 (246,600) (495) Mini-NDX 100 Index (8,291,250) 4/22/06 167.5 (240,075) (2,543) Mini-NDX 100 Index (43,231,000) 4/22/06 170.0 (801,045) (1,410) Mini-NDX 100 Index (23,265,000) 5/20/06 165.0 (1,170,300) (1,490) Mini-NDX 100 Index (24,957,500) 5/20/06 167.5 (968,500) (188) Nasdaq 100 Index (31,020,000) 4/22/06 1650 (1,292,500) (303) Nasdaq 100 Index (50,752,500) 4/22/06 1675 (1,487,730) (173) Nasdaq 100 Index (29,410,000) 4/22/06 1700 (548,410) (34) Nasdaq 100 Index (5,610,000) 5/20/06 1650 (283,390) (216) Nasdaq 100 Index (36,180,000) 5/20/06 1675 (1,406,160) (172) Nasdaq 100 Index (29,240,000) 5/20/06 1700 (833,340) (891) S&P 500 Index (111,375,000) 4/22/06 1250 (4,423,815) (1,850) S&P 500 Index (235,875,000) 4/22/06 1275 (5,170,750) (885) S&P 500 Index (115,050,000) 4/22/06 1300 (1,017,750) (736) S&P 500 Index (92,000,000) 5/20/06 1250 (4,132,640) (1,621) S&P 500 Index (206,677,500) 5/20/06 1275 (5,876,125) (876) S&P 500 Index (113,880,000) 5/20/06 1300 (1,752,000) - ------------------------------------------------------------------------------------------------------------------------------------ (14,543) TOTAL CALL OPTIONS (PREMIUMS RECEIVED $33,350,427) (1,167,854,750) (31,798,130) ==================================================================================================================================== OTHER ASSETS LESS LIABILITIES - 0.1% 896,050 =================================================================================================================== NET ASSETS - 100% $1,232,651,625 =================================================================================================================== (1) Non-income producing. (2) The Fund may designate up to 100% of its Common Stock investments to cover outstanding Call Options. (3) For disclosure purposes, Notional Amount is calculated by multiplying the number of Contracts by the Strike Price multiplied by 100. ADR American Depositary Receipt. See accompanying notes to financial statements. </Table> <Table> Nuveen Equity Premium Advantage Fund (JLA) PORTFOLIO OF INVESTMENTS March 31, 2006 (Unaudited) <Caption> SHARES DESCRIPTION VALUE - --------------------------------------------------------------------------------------------------------------------------- COMMON STOCKS - 97.0% AEROSPACE & DEFENSE - 1.1% 26,200 Boeing Company $ 2,041,766 41,300 Honeywell International Inc. 1,766,401 29,900 United Technologies Corporation 1,733,303 - --------------------------------------------------------------------------------------------------------------------------- Total Aerospace & Defense 5,541,470 ------------------------------------------------------------------------------------------------------ AIR FREIGHT & LOGISTICS - 0.5% 33,700 United Parcel Service, Inc., Class B 2,675,106 - --------------------------------------------------------------------------------------------------------------------------- AIRLINES - 0.2% 60,900 Southwest Airlines Co. 1,095,591 - --------------------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS - 0.1% 22,700 Lear Corporation 402,471 - --------------------------------------------------------------------------------------------------------------------------- AUTOMOBILES - 0.2% 14,900 Harley-Davidson Inc. 773,012 - --------------------------------------------------------------------------------------------------------------------------- BEVERAGES - 0.6% 32,700 Coca-Cola Company 1,369,149 23,200 PepsiCo, Inc. 1,340,728 - --------------------------------------------------------------------------------------------------------------------------- Total Beverages 2,709,877 ------------------------------------------------------------------------------------------------------ BIOTECHNOLOGY - 4.8% 112,400 Amgen Inc., (1) 8,177,100 73,600 Biogen Idec Inc., (1) 3,466,560 12,500 Cephalon, Inc., (1) 753,125 11,700 Genentech, Inc., (1) 988,767 61,300 Genzyme Corporation, (1) 4,120,586 80,200 Gilead Sciences, Inc., (1) 4,990,044 19,500 Sepracor Inc., (1) 951,795 - --------------------------------------------------------------------------------------------------------------------------- Total Biotechnology 23,447,977 ------------------------------------------------------------------------------------------------------ CAPITAL MARKETS - 1.6% 74,000 Charles Schwab Corporation 1,273,540 9,100 Goldman Sachs Group, Inc. 1,428,336 13,200 Legg Mason, Inc. 1,654,356 35,700 Morgan Stanley 2,242,674 51,000 Waddell & Reed Financial, Inc., Class A 1,178,100 - --------------------------------------------------------------------------------------------------------------------------- Total Capital Markets 7,777,006 ------------------------------------------------------------------------------------------------------ CHEMICALS - 0.5% 23,800 Dow Chemical Company 966,280 26,100 Lyondell Chemical Company 519,390 22,000 Olin Corporation 472,340 34,800 RPM International, Inc. 624,312 - --------------------------------------------------------------------------------------------------------------------------- Total Chemicals 2,582,322 ------------------------------------------------------------------------------------------------------ COMMERCIAL BANKS - 3.5% 118,691 Bank of America Corporation 5,405,234 23,800 Bank of New York Company, Inc. 857,752 33,600 Commerce Bancorp, Inc. 1,231,440 82,400 Lloyds TSB Group PLC, Sponsored ADR 3,171,576 63,800 U.S. Bancorp. 1,945,900 38,800 Wachovia Corporation 2,174,740 32,600 Wells Fargo & Company 2,082,162 - --------------------------------------------------------------------------------------------------------------------------- Total Commercial Banks 16,868,804 ------------------------------------------------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES - 2.8% 38,800 Automatic Data Processing, Inc. 1,772,384 28,200 CheckFree Corp., (1) 1,424,100 13,800 Corporate Executive Board Company 1,392,420 18,500 Deluxe Corporation 484,145 23,400 Global Payments Inc. 1,240,434 15,900 ITT Educational Services, Inc., (1) 1,018,395 20,400 Manpower Inc. 1,166,472 65,500 Paychex, Inc. 2,728,730 26,600 Pitney Bowes Inc. 1,141,938 </Table> <Table> 88,800 ServiceMaster Company $ 1,165,056 - --------------------------------------------------------------------------------------------------------------------------- Total Commercial Services & Supplies 13,534,074 ------------------------------------------------------------------------------------------------------ COMMUNICATIONS EQUIPMENT - 7.9% 101,000 Ciena Corporation, (1) 526,210 467,900 Cisco Systems, Inc., (1) 10,139,393 68,300 Corning Incorporated, (1) 1,837,953 29,400 Harris Corporation 1,390,326 263,500 JDS Uniphase Corporation, (1) 1,098,795 44,100 Juniper Networks Inc., (1) 843,192 150,600 Lucent Technologies Inc. (1) 459,330 72,900 Motorola, Inc. 1,670,139 374,500 QUALCOMM Inc. 18,953,445 17,100 Research In Motion Limited, (1) 1,451,448 - --------------------------------------------------------------------------------------------------------------------------- Total Communications Equipment 38,370,231 ------------------------------------------------------------------------------------------------------ COMPUTERS & PERIPHERALS - 5.9% 226,500 Apple Computer, Inc., (1) 14,206,080 118,300 Dell Inc., (1) 3,520,608 66,500 EMC Corporation, (1) 906,395 100,200 Hewlett-Packard Company 3,296,580 36,800 International Business Machines Corporation (IBM) 3,034,896 59,000 Network Appliance Inc., (1) 2,125,770 31,500 SanDisk Corporation, (1) 1,811,880 - --------------------------------------------------------------------------------------------------------------------------- Total Computers & Peripherals 28,902,209 ------------------------------------------------------------------------------------------------------ CONTAINERS & PACKAGING - 0.5% 74,200 Packaging Corp of America 1,665,048 24,900 Sonoco Products Company 843,363 - --------------------------------------------------------------------------------------------------------------------------- Total Containers & Packaging 2,508,411 ------------------------------------------------------------------------------------------------------ DIVERSIFIED FINANCIAL SERVICES - 3.0% 18,700 American Express Company 982,685 4,400 Chicago Merchantile Exchange 1,969,000 115,400 Citigroup Inc. 5,450,342 36,000 Eaton Vance Corporation 985,680 89,700 JPMorgan Chase & Co. 3,735,108 20,000 Moody's Corporation 1,429,200 - --------------------------------------------------------------------------------------------------------------------------- Total Diversified Financial Services 14,552,015 ------------------------------------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES - 2.1% 149,013 AT&T Inc. 4,029,312 54,100 BellSouth Corporation 1,874,565 70,914 Sprint Nextel Corporation 1,832,418 75,700 Verizon Communications Inc. 2,578,342 - --------------------------------------------------------------------------------------------------------------------------- Total Diversified Telecommunication Services 10,314,637 ------------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES - 0.6% 21,600 Exelon Corporation 1,142,640 30,400 OGE Energy Corp. 881,600 42,000 TECO Energy, Inc. 677,040 - --------------------------------------------------------------------------------------------------------------------------- Total Electric Utilities 2,701,280 ------------------------------------------------------------------------------------------------------ ELECTRICAL EQUIPMENT - 1.1% 13,000 Cooper Industries, Ltd., Class A 1,129,700 29,900 Emerson Electric Co. 2,500,537 13,500 Hubbell Incorporated, Class B 692,010 15,500 Rockwell Automation, Inc. 1,114,605 - --------------------------------------------------------------------------------------------------------------------------- Total Electrical Equipment 5,436,852 ------------------------------------------------------------------------------------------------------ ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.5% 16,300 Amphenol Corporation, Class A 850,534 20,300 Arrow Electronics, Inc., (1) 655,081 23,200 Roper Industries Inc. 1,128,216 - --------------------------------------------------------------------------------------------------------------------------- Total Electronic Equipment & Instruments 2,633,831 ------------------------------------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES - 1.5% 15,000 Cooper Cameron Corporation, (1) 661,200 21,300 Diamond Offshore Drilling, Inc. 1,906,350 9,000 ENSCO International Incorporated 463,050 26,400 Halliburton Company 1,927,728 </Table> <Table> 7,300 Schlumberger Limited $ 923,961 35,000 Smith International, Inc. 1,363,600 - --------------------------------------------------------------------------------------------------------------------------- Total Energy Equipment & Services 7,245,889 ------------------------------------------------------------------------------------------------------ FOOD & STAPLES RETAILING - 1.3% 60,200 Albertson's, Inc. 1,545,334 33,900 CVS Corporation 1,012,593 32,500 Walgreen Co. 1,401,725 46,000 Wal-Mart Stores, Inc. 2,173,040 - --------------------------------------------------------------------------------------------------------------------------- Total Food & Staples Retailing 6,132,692 ------------------------------------------------------------------------------------------------------ FOOD PRODUCTS - 0.3% 22,800 ConAgra Foods, Inc. 489,288 13,900 Monsanto Company 1,178,025 - --------------------------------------------------------------------------------------------------------------------------- Total Food Products 1,667,313 ------------------------------------------------------------------------------------------------------ GAS UTILITIES - 0.9% 36,400 Atmos Energy Corporation 958,412 50,200 Nicor Inc. 1,985,912 18,000 Peoples Energy Corporation 641,520 26,700 Piedmont Natural Gas Company 640,533 - --------------------------------------------------------------------------------------------------------------------------- Total Gas Utilities 4,226,377 ------------------------------------------------------------------------------------------------------ HEALTH CARE EQUIPMENT & SUPPLIES - 1.2% 33,800 Applera Corporation-Applied Biosystems Group 917,332 34,400 Baxter International Inc. 1,335,064 10,500 Guidant Corporation 819,630 4,600 Intuitive Surgical, Inc. (1) 542,800 34,300 Medtronic, Inc. 1,740,725 10,000 Stryker Corporation 443,400 - --------------------------------------------------------------------------------------------------------------------------- Total Health Care Equipment & Supplies 5,798,951 ------------------------------------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES - 1.4% 19,800 Caremark Rx, Inc., (1) 973,764 18,400 HealthExtras, Inc. (1) 649,520 9,100 Humana Inc., (1) 479,115 15,100 Medco Health Solutions, Inc., (1) 864,022 33,700 UnitedHealth Group Incorporated 1,882,482 11,200 Universal Health Services, Inc., Class B 568,848 16,600 Wellpoint Inc., (1) 1,285,338 - --------------------------------------------------------------------------------------------------------------------------- Total Health Care Providers & Services 6,703,089 ------------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE - 2.4% 27,600 International Game Technology 972,072 45,500 McDonald's Corporation 1,563,380 182,400 Starbucks Corporation, (1) 6,865,536 15,700 Starwood Hotels & Resorts Worldwide, Inc. 1,063,361 20,300 Wendy's International, Inc. 1,259,818 - --------------------------------------------------------------------------------------------------------------------------- Total Hotels, Restaurants & Leisure 11,724,167 ------------------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES - 0.8% 5,000 Black & Decker Corporation 434,450 37,300 Furniture Brands International, Inc. 914,223 38,500 Newell Rubbermaid Inc. 969,815 24,600 Tupperware Corporation 506,514 12,700 Whirlpool Corporation 1,161,669 - --------------------------------------------------------------------------------------------------------------------------- Total Household Durables 3,986,671 ------------------------------------------------------------------------------------------------------ HOUSEHOLD PRODUCTS - 0.9% 76,565 Procter & Gamble Company 4,411,675 - --------------------------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES - 2.3% 24,900 3M Co. 1,884,681 233,000 General Electric Company 8,103,740 42,100 Tyco International Ltd. 1,131,648 - --------------------------------------------------------------------------------------------------------------------------- Total Industrial Conglomerates 11,120,069 ------------------------------------------------------------------------------------------------------ INSURANCE - 1.8% 24,500 AFLAC Incorporated 1,105,685 63,400 American International Group, Inc. 4,190,106 29,600 Arthur J. Gallagher & Co. 823,176 </Table> <Table> 32,700 Fidelity National Financial, Inc. $ 1,161,831 13,600 Prudential Financial, Inc. 1,031,016 14,400 Unitrin, Inc. 669,744 - --------------------------------------------------------------------------------------------------------------------------- Total Insurance 8,981,558 ------------------------------------------------------------------------------------------------------ INTERNET & CATALOG RETAIL - 0.9% 39,200 Amazon.com, Inc., (1) 1,431,192 57,750 Expedia, Inc., (1) 1,170,593 45,750 IAC/InterActiveCorp., (1) 1,348,253 15,900 Stamps.com Inc. (1) 560,634 - --------------------------------------------------------------------------------------------------------------------------- Total Internet & Catalog Retail 4,510,672 ------------------------------------------------------------------------------------------------------ INTERNET SOFTWARE & SERVICES - 3.1% 41,600 Earthlink, Inc. (1) 397,280 207,600 eBay Inc., (1) 8,108,856 18,900 j2 Global Communications, Inc. (1) 888,300 19,300 Sohu.com Inc. (1) 515,117 77,200 United Online, Inc. 992,792 134,400 Yahoo! Inc., (1) 4,335,744 - --------------------------------------------------------------------------------------------------------------------------- Total Internet Software & Services 15,238,089 ------------------------------------------------------------------------------------------------------ IT SERVICES - 0.9% 26,100 aQuantive, Inc. (1) 614,394 11,800 Digital River, Inc. (1) 514,598 41,600 Electronic Data Systems Corporation 1,116,128 29,700 First Data Corporation 1,390,554 7,300 Infosys Technologies Limited, Sponsored ADR 568,378 - --------------------------------------------------------------------------------------------------------------------------- Total IT Services 4,204,052 ------------------------------------------------------------------------------------------------------ LEISURE EQUIPMENT & PRODUCTS - 0.1% 12,100 Polaris Industries Inc. 660,176 - --------------------------------------------------------------------------------------------------------------------------- MACHINERY - 1.4% 23,900 Briggs & Stratton Corporation 845,343 29,600 Caterpillar Inc. 2,125,576 11,100 Danaher Corporation 705,405 15,700 Eaton Corporation 1,145,629 18,700 Graco Inc. 849,541 23,300 SPX Corporation 1,244,686 - --------------------------------------------------------------------------------------------------------------------------- Total Machinery 6,916,180 ------------------------------------------------------------------------------------------------------ MEDIA - 3.0% 32,300 Clear Channel Communications, Inc. 937,023 149,100 Comcast Corporation, Special Class A, (1) 3,894,492 22,900 Dow Jones & Company, Inc. 899,970 62,500 News Corporation, Class A 1,038,125 12,800 Omnicom Group Inc. 1,065,600 76,300 Regal Entertainment Group, Class A 1,435,203 259,400 Sirius Satellite Radio Inc., (1) 1,317,752 121,600 Time Warner Inc. 2,041,664 33,200 ValueClick, Inc., (1) 561,744 34,600 Walt Disney Company 964,994 28,600 XM Satellite Radio Holdings Inc., Class A, (1) 636,922 - --------------------------------------------------------------------------------------------------------------------------- Total Media 14,793,489 ------------------------------------------------------------------------------------------------------ METALS & MINING - 1.0% 29,600 Alcoa Inc. 904,576 56,000 Companhia Siderurgica Nacional S.A., Sponsored ADR 1,759,520 20,000 Phelps Dodge Corporation 1,610,600 6,500 Southern Copper Corporation 549,120 - --------------------------------------------------------------------------------------------------------------------------- Total Metals & Mining 4,823,816 ------------------------------------------------------------------------------------------------------ MULTILINE RETAIL - 1.3% 11,331 Federated Department Stores, Inc. 827,163 16,800 J.C. Penney Company, Inc. 1,014,888 19,500 Nordstrom, Inc. 764,010 19,400 Sears Holding Corporation, (1) 2,565,456 23,300 Target Corporation 1,211,833 - --------------------------------------------------------------------------------------------------------------------------- Total Multiline Retail 6,383,350 ------------------------------------------------------------------------------------------------------ MULTI-UTILITIES - 0.7% </Table> <Table> 61,600 Duke Energy Corporation $ 1,795,640 12,700 National Grid PLC, Sponsored ADR 630,301 30,500 Vectren Corporation 804,590 - --------------------------------------------------------------------------------------------------------------------------- Total Multi-Utilities 3,230,531 ------------------------------------------------------------------------------------------------------ OIL, GAS & CONSUMABLE FUELS - 3.4% 71,100 ChevronTexaco Corporation 4,121,667 35,300 ConocoPhillips 2,229,195 151,700 Exxon Mobil Corporation 9,232,462 12,500 Valero Energy Corporation 747,250 - --------------------------------------------------------------------------------------------------------------------------- Total Oil, Gas & Consumable Fuels 16,330,574 ------------------------------------------------------------------------------------------------------ PAPER & FOREST PRODUCTS - 0.7% 18,000 International Paper Company 622,260 31,500 Potlatch Corporation 1,349,460 20,300 Weyerhaeuser Company 1,470,329 - --------------------------------------------------------------------------------------------------------------------------- Total Paper & Forest Products 3,442,049 ------------------------------------------------------------------------------------------------------ PHARMACEUTICALS - 5.3% 34,800 Abbott Laboratories 1,477,956 90,700 Bristol-Myers Squibb Company 2,232,127 58,000 Celgene Corporation, (1) 2,564,760 48,800 Eli Lilly and Company 2,698,640 20,700 GlaxoSmithKline PLC, ADR 1,082,817 53,500 Johnson & Johnson 3,168,270 110,300 Merck & Co. Inc. 3,885,869 174,300 Pfizer Inc. 4,343,556 55,400 Schering-Plough Corporation 1,052,046 42,900 Telik, Inc., (1) 830,544 46,200 Wyeth 2,241,624 - --------------------------------------------------------------------------------------------------------------------------- Total Pharmaceuticals 25,578,209 ------------------------------------------------------------------------------------------------------ REAL ESTATE - 1.2% 68,000 American Financial Realty Trust 792,200 67,400 Health Care REIT, Inc. 2,567,940 66,600 Nationwide Health Properties, Inc. 1,431,900 49,550 Trustreet Properties, Inc. 752,665 - --------------------------------------------------------------------------------------------------------------------------- Total Real Estate 5,544,705 ------------------------------------------------------------------------------------------------------ ROAD & RAIL - 0.4% 17,500 Burlington Northern Santa Fe Corporation 1,458,275 17,500 Laidlaw International Inc. 476,000 - --------------------------------------------------------------------------------------------------------------------------- Total Road & Rail 1,934,275 ------------------------------------------------------------------------------------------------------ SEMICONDUCTORS & EQUIPMENT - 7.1% 46,200 Advanced Micro Devices, Inc., (1) 1,531,992 50,600 Analog Devices, Inc. 1,937,474 106,300 Applied Materials, Inc. 1,861,313 66,600 Broadcom Corporation, Class A, (1) 2,874,456 18,900 Cymer, Inc., (1) 858,816 55,600 Fairchild Semiconductor International Inc., Class A, (1) 1,060,292 46,600 Freescale Semiconductor, Inc., (1) 1,295,946 60,580 Integrated Device Technology, Inc., (1) 900,219 441,500 Intel Corporation 8,543,025 24,700 KLA-Tencor Corporation 1,194,492 35,300 Marvell Technology Group Ltd., (1) 1,909,730 74,400 Maxim Integrated Products, Inc. 2,763,960 30,100 Micrel, Incorporated, (1) 446,082 73,000 Micron Technology, Inc., (1) 1,074,560 53,400 National Semiconductor Corporation 1,486,656 112,818 Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR 1,134,959 85,100 Texas Instruments Incorporated 2,763,197 30,150 Varian Semiconductor Equipment Associate, (1) 846,612 - --------------------------------------------------------------------------------------------------------------------------- Total Semiconductors & Equipment 34,483,781 ------------------------------------------------------------------------------------------------------ SOFTWARE - 10.3% 92,500 Adobe Systems Incorporated 3,230,100 22,100 Akamai Technologies, Inc. (1) 726,869 39,700 Autodesk, Inc. 1,529,244 47,500 Computer Associates International, Inc. 1,292,475 </Table> <Table> 73,400 Cadence Design Systems, Inc., (1) $ 1,357,166 50,300 CNET Networks, Inc. (1) 714,763 58,600 Electronic Arts Inc. (EA), (1) 3,206,592 28,850 Hyperion Solutions Corporation, (1) 940,510 18,600 Internet Security Systems, Inc., (1) 446,028 834,600 Microsoft Corporation 22,709,466 506,651 Oracle Corporation, (1) 6,936,052 17,600 Red Hat, Inc., (1) 492,448 18,900 Reynolds and Reynolds Company 536,760 16,800 SAP AG, Sponsored ADR 912,576 32,000 Satyam Computer Services Limited, ADR 1,400,320 25,400 Sybase, Inc., (1) 536,448 182,610 Symantec Corporation, (1) 3,073,326 21,400 VeriSign, Inc., (1) 513,386 - ------------------------------------------------------------------------------------------------------------------------------------ Total Software 50,554,529 --------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL - 2.1% 6,500 Abercrombie & Fitch Co., Class A 378,950 28,650 Best Buy Co., Inc. 1,602,395 11,300 Chico's FAS, Inc., (1) 459,232 32,600 Claire's Stores, Inc. 1,183,706 25,700 Gap, Inc. 480,076 60,100 Home Depot, Inc. 2,542,230 40,900 Limited Brands, Inc. 1,000,414 24,500 Lowe's Companies, Inc. 1,578,780 14,100 Office Depot, Inc. (1) 525,084 22,800 TJX Companies, Inc. 565,896 - ------------------------------------------------------------------------------------------------------------------------------------ Total Specialty Retail 10,316,763 --------------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS - 0.2% 24,400 Coach, Inc., (1) 843,752 - ------------------------------------------------------------------------------------------------------------------------------------ THRIFTS & MORTGAGE FINANCE - 0.3% 13,800 Fannie Mae 709,320 53,100 New York Community Bancorp, Inc. 930,312 - ------------------------------------------------------------------------------------------------------------------------------------ Total Thrifts & Mortgage Finance 1,639,632 --------------------------------------------------------------------------------------------------------------- TOBACCO - 1.0% 69,700 Altria Group, Inc. 4,938,940 - ------------------------------------------------------------------------------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES - 0.3% 46,400 China Mobile Hong Kong Limited, Sponsored ADR 1,231,456 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL COMMON STOCKS (COST $423,602,722) 472,424,647 =============================================================================================================== </Table> <Table> <Caption> NOTIONAL EXPIRATION STRIKE CONTRACTS TYPE AMOUNT (3) DATE PRICE VALUE - ------------------------------------------------------------------------------------------------------------------------------------ PUT OPTIONS - 0.2% 374 Nasdaq 100 Index $ 56,100,000 5/20/06 $1500 $ 84,150 671 Nasdaq 100 Index 100,650,000 6/17/06 1500 315,370 311 Nasdaq 100 Index 47,427,500 6/17/06 1525 188,155 468 S&P 500 Index 54,990,000 4/22/06 1175 18,720 285 S&P 500 Index 32,775,000 5/20/06 1150 31,350 271 S&P 500 Index 31,842,500 5/20/06 1175 43,360 413 S&P 500 Index 49,560,000 5/20/06 1200 99,120 289 S&P 500 Index 33,957,500 6/17/06 1175 89,590 78 S&P 500 Index 9,360,000 6/17/06 1200 35,880 - ------------------------------------------------------------------------------------------------------------------------------------ 3,160 TOTAL PUT OPTIONS (COST $1,775,475) 416,662,500 905,695 ==================================================================================================================================== </Table> <Table> <Caption> PRINCIPAL AMOUNT (000) DESCRIPTION COUPON MATURITY VALUE - ------------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS - 5.5% Repurchase Agreement with State Street Bank, dated 3/31/06, repurchase price $26,609,311, collateralized by $27,235,000 U.S. Treasury Notes, 4.625%, $ 26,600 due 3/31/08, value $27,132,869 4.250% 4/03/06 $ 26,599,890 ==============---------------------------------------------------------------------------------------------------------------------- TOTAL SHORT-TERM INVESTMENTS (COST $26,599,890) 26,599,890 =============================================================================================================== TOTAL INVESTMENTS (COST $451,978,087) - 102.7% 499,930,232 =============================================================================================================== </Table> <Table> <Caption> NOTIONAL EXPIRATION STRIKE CONTRACTS TYPE AMOUNT (3) DATE PRICE VALUE - ------------------------------------------------------------------------------------------------------------------------------------ CALL OPTIONS - (2.7)% (2) (1,430) Mini-Nasdaq 100 Index $ (24,310,000) 5/20/06 $ 170.0 $ (700,700) (300) Mini-NDX 100 Index (4,950,000) 4/22/06 165.0 (205,500) (1,140) Mini-NDX 100 Index (19,380,000) 4/22/06 170.0 (359,100) (120) Mini-NDX 100 Index (1,980,000) 5/20/06 165.0 (99,600) (1,250) Mini-NDX 100 Index (20,937,500) 5/20/06 167.5 (812,500) (131) Nasdaq 100 Index (21,615,000) 4/22/06 1650 (900,625) (294) Nasdaq 100 Index (49,245,000) 4/22/06 1675 (1,443,540) (190) Nasdaq 100 Index (32,300,000) 4/22/06 1700 (602,300) (128) Nasdaq 100 Index (21,120,000) 5/20/06 1650 (1,066,880) (190) Nasdaq 100 Index (31,825,000) 5/20/06 1675 (1,236,900) (237) S&P 500 Index (29,625,000) 4/22/06 1250 (1,176,705) (484) S&P 500 Index (61,710,000) 4/22/06 1275 (1,352,780) (230) S&P 500 Index (29,900,000) 4/22/06 1300 (264,500) (194) S&P 500 Index (24,250,000) 5/20/06 1250 (1,089,310) (425) S&P 500 Index (54,187,500) 5/20/06 1275 (1,540,625) (234) S&P 500 Index (30,420,000) 5/20/06 1300 (468,000) - ------------------------------------------------------------------------------------------------------------------------------------ (6,977) TOTAL CALL OPTIONS (PREMIUMS RECEIVED $12,803,402) (457,755,000) (13,319,565) ==================================================================================================================================== OTHER ASSETS LESS LIABILITIES - 0.0% 81,411 =============================================================================================================== NET ASSETS - 100% $486,692,078 =============================================================================================================== (1) Non-income producing. (2) The Fund may designate up to 100% of its Common Stock investments to cover outstanding Call Options. (3) For disclosure purposes, Notional Amount is calculated by multiplying the number of Contracts by the Strike Price multiplied by 100. ADR American Depositary Receipt. See accompanying notes to financial statements. </Table> Statement of ASSETS AND LIABILITIES March 31, 2006 (Unaudited) EQUITY EQUITY EQUITY PREMIUM PREMIUM PREMIUM INCOME OPPORTUNITY ADVANTAGE (JPZ) (JSN) (JLA) - ------------------------------------------------------------------------------------------------------------------------------------ ASSETS Investments, at value (cost $658,064,279, $1,152,661,122 and $451,978,087, respectively) $731,262,726 $1,263,553,705 $499,930,232 Receivables: Dividends 1,487,640 1,779,581 512,802 Interest 5,375 7,762 3,140 Investments sold 83,890 7,344 -- Reclaims -- 6,677 -- Other assets 20,231 55,648 14,735 - ------------------------------------------------------------------------------------------------------------------------------- Total assets 732,859,862 1,265,410,717 500,460,909 - ------------------------------------------------------------------------------------------------------------------------------- LIABILITIES Call options written, at value (premiums received $19,211,381, $33,350,427 and $12,803,402, respectively) 17,022,105 31,798,130 13,319,565 Payable for investments purchased -- 62,910 -- Accrued expenses: Management fees 351,634 594,457 284,365 Other 208,468 303,595 164,901 - ------------------------------------------------------------------------------------------------------------------------------- Total liabilities 17,582,207 32,759,092 13,768,831 - ------------------------------------------------------------------------------------------------------------------------------- Net assets $715,277,655 $1,232,651,625 $486,692,078 =============================================================================================================================== Shares outstanding 38,321,275 65,679,911 25,632,480 =============================================================================================================================== Net asset value per share outstanding $ 18.67 $ 18.77 $ 18.99 =============================================================================================================================== NET ASSETS CONSIST OF: - ------------------------------------------------------------------------------------------------------------------------------- Shares, $.01 par value per share $ 383,213 $ 656,799 $ 256,325 Paid-in surplus 681,151,850 1,184,766,102 471,064,113 Undistributed (Over-distribution of) net investment income 235,648 235,227 (25,818) Accumulated net realized gain (loss) from investments and derivative transactions (41,880,779) (65,451,383) (32,038,524) Net unrealized appreciation (depreciation) of investments and derivative transactions 75,387,723 112,444,880 47,435,982 - ------------------------------------------------------------------------------------------------------------------------------- Net assets $715,277,655 $1,232,651,625 $486,692,078 =============================================================================================================================== Authorized shares Unlimited Unlimited Unlimited =============================================================================================================================== See accompanying notes to financial statements. Statement of OPERATIONS Three Months Ended March 31, 2006 (Unaudited) EQUITY EQUITY EQUITY PREMIUM PREMIUM PREMIUM INCOME OPPORTUNITY ADVANTAGE (JPZ) (JSN) (JLA) - -------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME Dividends (net of foreign taxes withheld of $3,690, $8,211 and $0, respectively) $ 4,779,114 $ 6,530,043 $ 1,887,493 Interest 371,714 617,997 295,206 - -------------------------------------------------------------------------------------------------------------------------------- Total investment income 5,150,828 7,148,040 2,182,699 - -------------------------------------------------------------------------------------------------------------------------------- EXPENSES Management fees 1,545,951 2,635,272 1,065,418 Shareholders' servicing agent fees and expenses 267 223 201 Custodian's fees and expenses 45,044 80,114 41,851 Trustees' fees and expenses 3,091 6,959 2,466 Professional fees 8,330 9,995 8,451 Shareholders' reports - printing and mailing expenses 32,909 43,309 19,008 Stock exchange listing fees 6,658 1,137 2,422 Investor relations expense 29,136 45,475 18,664 Other expenses 20,742 66,861 32,278 - -------------------------------------------------------------------------------------------------------------------------------- Total expenses before custodian fee credit and expense reimbursement 1,692,128 2,889,345 1,190,759 Custodian fee credit (5,522) (24,722) (19,793) Expense reimbursement (526,144) (909,330) (239,715) - -------------------------------------------------------------------------------------------------------------------------------- Net expenses 1,160,462 1,955,293 931,251 - -------------------------------------------------------------------------------------------------------------------------------- Net investment income 3,990,366 5,192,747 1,251,448 - -------------------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) Net realized gain (loss) from: Investments (3,547,369) (7,437,869) (3,734,834) Option contracts written 1,254,278 8,094,226 5,359,281 Change in net unrealized appreciation (depreciation) of: Investments 26,810,599 44,006,612 20,446,707 Option contracts written (4,949,871) (13,832,923) (8,040,876) - -------------------------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) 19,567,637 30,830,046 14,030,278 - -------------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $23,558,003 $36,022,793 $15,281,726 ================================================================================================================================ See accompanying notes to financial statements. Statement of CHANGES IN NET ASSETS (Unaudited) EQUITY PREMIUM EQUITY PREMIUM OPPORTUNITY (JSN) ADVANTAGE (JLA) ----------------------------- --------------------------- EQUITY PREMIUM FOR THE PERIOD FOR THE PERIOD INCOME (JPZ) 1/26/05 5/25/05 --------------------------- (COMMENCEMENT (COMMENCEMENT THREE MONTHS YEAR THREE MONTHS OF OPERATIONS) THREE MONTHS OF OPERATIONS) ENDED ENDED ENDED THROUGH ENDED THROUGH 3/31/06 12/31/05 3/31/06 12/31/05 3/31/06 12/31/05 - ------------------------------------------------------------------------------------------------------------------------------------ OPERATIONS Net investment income $ 3,990,366 $ 16,060,048 $ 5,192,747 $ 19,262,032 $ 1,251,448 $ 2,638,831 Net realized gain (loss) from: Investments (3,547,369) (18,142,299) (7,437,869) (36,918,822) (3,734,834) (11,273,386) Option contracts written 1,254,278 16,747,831 8,094,226 4,493,069 5,359,281 (8,846,038) Change in net unrealized appreciation (depreciation) of: Investments 26,810,599 9,016,071 44,006,612 66,885,971 20,446,707 27,505,438 Option contracts written (4,949,871) 10,174,269 (13,832,923) 15,385,220 (8,040,876) 7,524,713 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets from operations 23,558,003 33,855,920 36,022,793 69,107,470 15,281,726 17,549,558 - ------------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS From net investment income (3,754,718) (15,325,480) (4,957,520) (19,262,032) (1,277,266) (2,638,831) In excess of net investment income (12,570,145) -- (24,204,361) (9,477,626) (10,334,247) (3,209,300) Tax return of capital -- (49,390,391) -- (67,663,695) -- (17,292,115) - ------------------------------------------------------------------------------------------------------------------------------------ Decrease in net assets from distributions to shareholders (16,324,863) (64,715,871) (29,161,881) (96,403,353) (11,611,513) (23,140,246) - ------------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Net proceeds from sale of shares and offering cost adjustments (4,982) 67,480 256,067 1,228,579,554 42,694 484,128,408 Net proceeds from shares issued to shareholders due to reinvestment of distributions -- 14,947,821 -- 24,150,891 -- 4,341,367 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets from capital share transactions (4,982) 15,015,301 256,067 1,252,730,445 42,694 488,469,775 - ------------------------------------------------------------------------------------------------------------------------------------ Net increase (decrease) in net assets 7,228,158 (15,844,650) 7,116,979 1,225,434,562 3,712,907 482,879,087 Net assets at the beginning of period 708,049,497 723,894,147 1,225,534,646 100,084 482,979,171 100,084 - ------------------------------------------------------------------------------------------------------------------------------------ Net assets at the end of period $715,277,655 $ 708,049,497 $1,232,651,625 $1,225,534,646 $486,692,078 $482,979,171 ==================================================================================================================================== Undistributed (Over-distribution of) net investment income at the end of period $ 235,648 $ -- $ 235,227 $ -- $ (25,818) $ -- ==================================================================================================================================== See accompanying notes to financial statements. Notes to FINANCIAL STATEMENTS (Unaudited) 1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES The funds (the "Funds") covered in this report and their corresponding Common share New York Stock Exchange symbols are Nuveen Equity Premium Income Fund (JPZ), Nuveen Equity Premium Opportunity Fund (JSN) and Nuveen Equity Premium Advantage Fund (JLA). The Funds are registered under the Investment Company Act of 1940, as amended, as diversified, closed-end management investment companies. Prior to the commencement of operations, each Fund had no operations other than those related to organizational matters, the initial capital contribution of $100,084 by Nuveen Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen Investments, Inc. ("Nuveen"), the recording of the organization expenses ($11,500 for Equity Premium Income (JPZ) and $13,500 per Fund for Equity Premium Opportunity (JSN) and Equity Premium Advantage (JLA)) and their reimbursement by Nuveen Investments, LLC, also a wholly owned subsidiary of Nuveen. Each Fund seeks to provide a high level of current income and gains by investing primarily in a diversified equity portfolio that seeks to substantially replicate price movements of either the Standard & Poor's 500 Stock Index or a weighted average of the Standard & Poor's 500 Stock Index and the NASDAQ-100 Index and is designed to support the Funds' index option strategies. 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 Exchange-listed equity securities are generally valued at the last sales price on the securities exchange on which such securities are primarily traded. Equity securities traded on a securities exchange for which there are no transactions on a given day or securities not listed on a securities exchange are valued at the mean of the closing bid and asked prices. Securities traded on Nasdaq are valued at the Nasdaq Official Closing Price. Prices of index options are provided through an independent pricing service approved by the Funds' Board of Trustees. If the pricing service is unable to supply a price for a derivative investment the Funds may use a market quote provided by a major broker/dealer in such investments. If it is determined that market prices for an investment are unavailable or inappropriate, the Board of Trustees of the Funds, or its designee, may establish fair value in accordance with procedures established in good faith by the Board of Trustees. In establishing a fair value, the Board of Trustees, or its designee, will use a wide variety of market data including prices of comparable securities, indications of value from security dealers, general market conditions and other information and analysis. Short-term investments are valued at amortized cost, which approximates market value. Index options are generally valued at the average of the closing bid and asked quotations. The close of trading of index options traded on the Chicago Board Options Exchange normally occurs at 4:15 ET, which is different from the normal 4:00 ET close of the NYSE (the time of day as of which each Fund's NAV is calculated). Under normal market circumstances, closing index option quotations are considered to reflect the index option contract values as of the close of the NYSE and will be used to value the option contracts. However, a significant change in the S&P 500 or NASDAQ-100 futures contracts between the NYSE close and the options market close will be considered as an indication that closing market quotations for index options do not reflect the value of the contracts as of the stock market close. In the event of such a significant change, the Board of Trustees, or its designee, will determine a fair value for the options. Any such fair valuation will likely take into account any information that may be available about the actual trading price of the affected option as of 4:00 ET, and if no such information is reliably available, the fair valuation of the option may take into account various option pricing methodologies, as determined to be appropriate under the circumstances. Investment Transactions Investment transactions are recorded on a trade date basis. Realized gains and losses from transactions are determined on the specific identification method. Option Transactions Each Fund purchases index put options and writes (sells) index call options. The purchase of put options involves the risk of loss of all or part of the cash paid for the options. Put options purchased are accounted for in the same manner as portfolio securities. Notes to FINANCIAL STATEMENTS (Unaudited) (continued) When the Funds write an index call option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value of the written option until the option expires or the Funds enter into a closing purchase transaction. When an index call option expires or the Funds enter into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on effecting a closing purchase transaction, including commission, is treated as a net realized gain on option contracts written or, if the net premium received is less than the amount paid, as a net realized loss on option contracts written. The Funds, as writers of an index call option, bear the risk of an unfavorable change in the market value of the index underlying the written option. 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. Investment Income Dividend income is recorded on the ex-dividend date or, for foreign securities, when information is available. Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. 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. The Funds make monthly cash distributions to shareholders of a stated dollar amount based on each Fund's net investment income, net realized capital gains, and/or net unrealized capital gains in the Fund's portfolio, if any, and cash flows generated by each Fund's index option strategy. Each Fund seeks to maintain a stable distribution level, subject to approval and oversight by the Funds' Board of Trustees. If, for any monthly distribution, net investment income and net realized capital gain were less than the amount of the distribution, the difference would be distributed from Fund assets and would be treated by shareholders as a non-taxable distribution (sometimes referred to as a return of capital) for tax purposes. For example, the Funds may distribute income early in the fiscal year that would initially be characterized as being taxable as short-term capital gains, but it could incur net short-term capital losses later in the fiscal year, thereby offsetting the income otherwise taxable as short-term capital gains for which distributions have already been made by the Funds. Moreover, in a rising equity market in which both the Funds' portfolios of stocks and the market index on which the Funds write and buy options rise in value, the Funds may realize capital losses in connection with their written index call options, while the largely reciprocal increases in the value of the Fund's portfolio of stocks will be treated as unrealized capital gains in this circumstance. A Fund's net cash flows and/or total returns on net asset value may equal or exceed the amount of distributions paid, while the combination of its net income and net realized capital gains may be less than the amount of the distributions made, in which case the difference will be treated as a non-taxable distribution for tax purposes. The final determination of the source and character of all distributions for the year are made after the end of the year. Real Estate Investment Trust ("REIT") distributions received by the Funds are generally comprised of ordinary income, long-term and short-term capital gains, and a return of REIT capital. The actual character of amounts received during the period are not known until after the fiscal year-end. For the fiscal year ended December 31, 2005, the character of distributions to the Funds from the REITs was as follows: EQUITY EQUITY EQUITY PREMIUM PREMIUM PREMIUM INCOME OPPORTUNITY ADVANTAGE (JPZ) (JSN) (JLA) - ------------------------------------------------------------------------------- Ordinary income of the Funds 60.14% 46.28% 49.62% Long-term and short-term capital gains 21.75 20.99 1.75 Return of REIT capital 18.11 32.73 48.63 =============================================================================== For the three months ended March 31, 2006, the Funds applied the actual percentages for the twelve months ended December 31, 2005, described above, to its receipts from the REITs and treated as income in the Statement of Operations only the amount of ordinary income so calculated. The Fund adjusts that estimated breakdown of income type (and consequently its net investment income) as necessary early in the following calendar year when the REITs inform their shareholders of the actual breakdown of income type. For the fiscal year ended December 31, 2005, the Fund applied the actual character of distributions reported by the REITs in which the Funds invest to its receipts from the REITs. If a REIT held in the portfolio of investments did not report the actual character of its distributions during the period, the Funds treated the distributions as ordinary income. The actual character of distributions made by the Funds during the fiscal year ended December 31, 2005, are reflected in the accompanying financial statements. A portion of the distributions made by the Funds during the three months ended March 31, 2006, are provisionally classified as being "From Net Investment Income", portions of which may be reclassified after the fiscal year end. The remainder, designated as being "In Excess of Net Investment Income", can not be accurately classified, as described above, until after the end of the fiscal year. However, it is likely that a portion of the amounts reported as "In Excess of Net Investment Income" will result in a non-taxable distribution to shareholders. 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. Organization and Offering Costs Nuveen Investments, LLC has agreed to reimburse all organization expenses (approximately $11,500 for Equity Premium Income (JPZ) and $13,500 per Fund for Equity Premium Opportunity (JSN) and Equity Premium Advantage (JLA)) and pay all offering costs (other than the sales load) that exceed $.04 per share for each of the Funds. Equity Premium Income's (JPZ), Equity Premium Opportunity's (JSN) and Equity Premium Advantage's (JLA) share of offering costs ($1,033,270, $1,095,509 and $968,898, respectively) were recorded as reductions of the proceeds from the sale of shares. Indemnifications Under the Funds' organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. 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 shares were as follows: EQUITY PREMIUM EQUITY PREMIUM OPPORTUNITY (JSN) ADVANTAGE (JLA) EQUITY PREMIUM ------------------------------ ------------------------------ INCOME (JPZ) FOR THE PERIOD FOR THE PERIOD ----------------------------- 1/26/05 5/25/05 THREE MONTHS YEAR THREE MONTHS (COMMENCEMENT OF THREE MONTHS (COMMENCEMENT OF ENDED ENDED ENDED OPERATIONS) ENDED OPERATIONS) 3/31/06 12/31/05 3/31/06 THROUGH 12/31/05 3/31/06 THROUGH 12/31/05 - ----------------------------------------------------------------------------------------------------------------------------------- Shares sold -- -- -- 64,394,300 -- 25,400,000 Shares issued to shareholders due to reinvestment of distributions -- 778,657 -- 1,280,371 -- 227,240 - ----------------------------------------------------------------------------------------------------------------------------------- -- 778,657 -- 65,674,671 -- 25,627,240 =================================================================================================================================== 3. INVESTMENT TRANSACTIONS Purchases and sales (excluding put and call options and short-term investments) during the three months ended March 31, 2006, were as follows: EQUITY EQUITY EQUITY PREMIUM PREMIUM PREMIUM INCOME OPPORTUNITY ADVANTAGE (JPZ) (JSN) (JLA) - -------------------------------------------------------------------------------------------------------------------- Purchases $ 16,495,886 $ 5,981,986 $ 30,076,980 Sales 35,761,260 30,628,022 47,981,904 ==================================================================================================================== Transactions in index option contracts written during the three months ended March 31, 2006 were as follows: EQUITY PREMIUM EQUITY PREMIUM EQUITY PREMIUM INCOME (JPZ) OPPORTUNITY (JSN) ADVANTAGE (JLA) --------------------------- -------------------------- -------------------------- NUMBER OF PREMIUMS NUMBER OF PREMIUMS NUMBER OF PREMIUMS CONTRACTS RECEIVED CONTRACTS RECEIVED CONTRACTS RECEIVED - ------------------------------------------------------------------------------------------------------------------------------ Outstanding, beginning of period 5,370 $ 17,469,697 14,758 $ 32,582,025 7,512 $ 13,854,368 Options written 9,979 35,833,065 25,617 61,308,642 12,216 23,405,085 Options terminated in closing purchase transactions (10,139) (34,091,381) (25,832) (60,540,240) (12,751) (24,456,051) Options expired -- -- -- -- -- -- - ------------------------------------------------------------------------------------------------------------------------------ Outstanding, end of period 5,210 $ 19,211,381 14,543 $ 33,350,427 6,977 $ 12,803,402 ============================================================================================================================== 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 recognition of income on REIT investments and timing differences in recognizing certain gains and losses on investment transactions. At March 31, 2006, the cost of investments (excluding call options written) was as follows: EQUITY EQUITY EQUITY PREMIUM PREMIUM PREMIUM INCOME OPPORTUNITY ADVANTAGE (JPZ) (JSN) (JLA) - ------------------------------------------------------------------------------------------------------------------- Cost of investments $ 658,064,385 $ 1,152,661,122 $ 451,978,087 =================================================================================================================== Gross unrealized appreciation and gross unrealized depreciation of investments (excluding call options written) at March 31, 2006, were as follows: EQUITY EQUITY EQUITY PREMIUM PREMIUM PREMIUM INCOME OPPORTUNITY ADVANTAGE (JPZ) (JSN) (JLA) - ------------------------------------------------------------------------------------------------------------------- Gross unrealized: Appreciation $ 88,917,956 $145,726,318 $ 60,620,980 Depreciation (15,719,615) (34,833,735) (12,668,835) - ------------------------------------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) of investments $ 73,198,341 $110,892,583 $ 47,952,145 =================================================================================================================== The tax components of undistributed net ordinary income and net realized gains at December 31, 2005, the Funds' last tax year end, were as follows: EQUITY EQUITY EQUITY PREMIUM PREMIUM PREMIUM INCOME OPPORTUNITY ADVANTAGE (JPZ) (JSN) (JLA) - ------------------------------------------------------------------------------------------------------------------- Undistributed net ordinary income * $ -- $ -- $ -- 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 December 31, 2005, was designated for purposes of the dividends paid deduction as follows: EQUITY EQUITY EQUITY PREMIUM PREMIUM PREMIUM INCOME OPPORTUNITY*** ADVANTAGE**** (JPZ) (JSN) (JLA) - -------------------------------------------------------------------------------------------------------------- Distributions from net ordinary income * $ 15,325,480 $ 19,262,032 $ 2,638,831 Distributions from net long-term capital gains** -- 9,477,626 3,209,300 Tax return of capital 49,390,391 67,663,695 17,292,115 ============================================================================================================== * Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any. ** The Fund designated as a long-term capital gain dividend, pursuant to Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the earnings and profits of the Fund related to net capital gain to zero for the tax period ended December 31, 2005. *** For the period January 26, 2005 (commencement of operations) through December 31, 2005. **** For the period May 25, 2005 (commencement of operations) through December 31, 2005. At December 31, 2005, the Funds' last tax year end, Equity Premium Income (JPZ) had an unused capital loss carryforward of $7,414,945 available for federal income tax purposes to be applied against future capital gains, if any. If not applied the carryforward will expire in 2013. The Funds elected to defer net realized losses from investments incurred from November 1, 2005 though December 31, 2005 ("post-October losses") in accordance with Federal income tax regulations. The following post-October losses were treated as having arisen on the first day of the current fiscal year: EQUITY EQUITY EQUITY PREMIUM PREMIUM PREMIUM INCOME OPPORTUNITY ADVANTAGE (JPZ) (JSN) (JLA) - ----------------------------------------------------------------------------------------------------------- $ 12,706,689 $ 27,335,047 $ 16,291,808 =========================================================================================================== 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 the Adviser, and a specific fund-level component, based only on the amount of assets within each individual fund. This pricing structure enables Nuveen fund shareholders to benefit from growth in the assets within each individual fund as well as from growth in the amount of complex-wide assets managed by the Adviser. The annual fund-level fee, payable monthly, for each Fund is based upon the average daily Managed Assets of each Fund as follows: AVERAGE DAILY MANAGED ASSETS FUND-LEVEL FEE RATE - -------------------------------------------------------------------------------- For the first $500 million .7000% For the next $500 million .6750 For the next $500 million .6500 For the next $500 million .6250 For Managed Assets over $2 billion .6000 ================================================================================ 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, 2006, the complex-level fee rate was .1887%. 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 all types of leverage used 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 Adviser has entered into Sub-Advisory Agreements with Gateway Investment Advisers, L.P. ("Gateway") under which Gateway manages the investment portfolios of the Funds. Gateway is compensated for its services to the Funds from the management fees paid to the Adviser. The Funds pay no compensation directly to those of its Trustees who are affiliated with the Adviser or to officers, all of whom receive remuneration for their services to the Funds 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. For the first eight years of Equity Premium Income's (JPZ) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily Managed Assets, for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING OCTOBER 31, OCTOBER 31, - -------------------------------------------------------------------------------- 2004* .30% 2009 .30% 2005 .30 2010 .22 2006 .30 2011 .14 2007 .30 2012 .07 2008 .30 ================================================================================ *From the commencement of operations. The Adviser has not agreed to reimburse Equity Premium Income (JPZ) for any portion of its fees and expenses beyond October 31, 2012. Notes to FINANCIAL STATEMENTS (Unaudited) (continued) For the first eight years of Equity Premium Opportunity's (JSN) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily Managed Assets, for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING JANUARY 31, JANUARY 31, - -------------------------------------------------------------------------------- 2005* .30% 2010 .30% 2006 .30 2011 .22 2007 .30 2012 .14 2008 .30 2013 .07 2009 .30 ================================================================================ *From the commencement of operations. The Adviser has not agreed to reimburse Equity Premium Opportunity (JSN) for any portion of its fees and expenses beyond January 31, 2013. For the first six years of Equity Premium Advantage's (JLA) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily Managed Assets, for fees and expenses in the amounts and for the time periods set forth below: YEAR ENDING YEAR ENDING MAY 31, MAY 31, - -------------------------------------------------------------------------------- 2005* .20% 2009 .20% 2006 .20 2010 .20 2007 .20 2011 .10 2008 .20 ================================================================================ *From the commencement of operations. The Adviser has not agreed to reimburse Equity Premium Advantage (JLA) for any portion of its fees and expenses beyond May 31, 2011. 6. SUBSEQUENT EVENT - DISTRIBUTIONS TO SHAREHOLDERS The Funds declared distributions which were paid on May 1, 2006, to shareholders of record on April 15, 2006, as follows: EQUITY EQUITY EQUITY PREMIUM PREMIUM PREMIUM INCOME OPPORTUNITY ADVANTAGE (JPZ) (JSN) (JLA) - ------------------------------------------------------------------------------------------------------------------ Distributions per share $.1420 $.1480 $.1510 ================================================================================================================== Financial HIGHLIGHTS (Unaudited) Selected data for a share outstanding throughout each period: Investment Operations Less Distributions --------------------------------- -------------------------------------------------------- Net In Excess Beginning Net Realized/ Net of Net Tax Net Asset Investment Unrealized Investment Investment Capital Return of Value Income(a) Gain (Loss) Total Income Income Gains Capital Total ================================================================================================================================== EQUITY PREMIUM INCOME (JPZ) - ---------------------------------------------------------------------------------------------------------------------------------- Year Ended 12/31: 2006(e) $ 18.48 $ .10 $ .52 $ .62 $ (.10) $(.33) $ -- $ -- $ (.43) 2005 19.28 .42 .48 .90 (.40) -- -- (1.30) (1.70) 2004(b) 19.10 .12 .24 .36 (.15) -- -- --* (.15) EQUITY PREMIUM OPPORTUNITY (JSN) - ---------------------------------------------------------------------------------------------------------------------------------- 2006(e) 18.66 .08 .48 .56 (.08) (.37) -- -- (.45) 2005(c) 19.10 .30 .78 1.08 (.30) -- (.15) (1.05) (1.50) EQUITY PREMIUM ADVANTAGE (JLA) - ---------------------------------------------------------------------------------------------------------------------------------- 2006(e) 18.84 .05 .55 .60 (.05) (.40) -- -- (.45) 2005(d) 19.10 .10 .60 .70 (.10) -- (.13) (.69) (.92) ================================================================================================================================== Total Returns -------------------- Based Based on Ending Ending on Net Offering Net Asset Market Market Asset Costs Value Value Value*** Value*** ======================================================================================= EQUITY PREMIUM INCOME (JPZ) - --------------------------------------------------------------------------------------- Year Ended 12/31: 2006(e) $ -- $ 18.67 $18.58 9.37% 3.36% 2005 -- 18.48 17.38 (6.12) 4.88 2004(b) (.03) 19.28 20.25 1.96 1.68 EQUITY PREMIUM OPPORTUNITY (JSN) - --------------------------------------------------------------------------------------- 2006(e) -- 18.77 18.90 11.28 2.99 2005(c) (.02) 18.66 17.39 (5.90) 5.65 EQUITY PREMIUM ADVANTAGE (JLA) - --------------------------------------------------------------------------------------- 2006(e) -- 18.99 18.95 10.53 3.21 2005(d) (.04) 18.84 17.56 (7.87) 3.43 ======================================================================================= Ratios/Supplemental Data ----------------------------------------------------------------------------------------------- Before Credit/Reimbursement After Credit/Reimbursement**** --------------------------- ------------------------------- Ratio of Net Ratio of Net Ratio of Investment Ratio of Investment Ending Expenses to Income to Expenses to Income to Portfolio Net Assets Average Average Average Average Turnover (000) Net Assets Net Assets Net Assets Net Assets Rate ======================================================================================================================== EQUITY PREMIUM INCOME (JPZ) - ------------------------------------------------------------------------------------------------------------------------ Year Ended 12/31: 2006(e) $715,278 .96%** 1.97%** .66%** 2.27%** 2% 2005 708,049 .96 1.93 .65 2.25 29 2004(b) 723,894 1.07** 3.49** .73** 3.82** 1 EQUITY PREMIUM OPPORTUNITY (JSN) - ------------------------------------------------------------------------------------------------------------------------ 2006(e) 1,232,652 .95** 1.40** .64** 1.71** 1 2005(c) 1,225,535 .95** 1.40** .63** 1.72** 16 EQUITY PREMIUM ADVANTAGE (JLA) - ------------------------------------------------------------------------------------------------------------------------ 2006(e) 486,692 .99** .83** .78** 1.04** 6 2005(d) 482,979 1.01** .71** .78** .93** 9 ======================================================================================================================== * Per share Tax Return of Capital rounds to less than $.01 per share. ** Annualized. *** Total Return on Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. Total Return on Net Asset Value is the combination of changes in net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. Total returns are not annualized. **** After custodian fee credit and expense reimbursement. (a) Per Share Net Investment Income is calculated using the average daily shares method. (b) For the period October 26, 2004 (commencement of operations) through December 31, 2004. (c) For the period January 26, 2005 (commencement of operations) through December 31, 2005. (d) For the period May 25, 2005 (commencement of operations) through December 31, 2005. (e) For the three months ended March 31, 2006. See accompanying notes to financial statements. ITEM 2. CODE OF ETHICS. Not applicable to this filing. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable to this filing. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable to this filing. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable to this filing. ITEM 6. SCHEDULE OF INVESTMENTS. See Portfolio of Investments in Item 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable to this filing. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. During this reporting period, the registrant's Board of Trustees implemented a change to the procedures by which shareholders may recommend nominees to the registrant's board of trustees by amending the registrant's by-laws to include a provision specifying the date by which shareholder nominations for election as trustee at a subsequent meeting must be submitted to the registrant. Shareholders must deliver or mail notice to the registrant not less than forty-five days nor more than sixty days prior to the first anniversary date of the date on which the registrant first mailed its proxy materials for the prior year's annual meeting; provided, however, if and only if the annual meeting is not scheduled to be held within a period that commences thirty days before the first anniversary date of the annual meeting for the preceding year and ends thirty days after such anniversary date (an annual meeting date outside such period being referred to as an "Other Annual Meeting Date" hereafter), the shareholder notice must be given no later than the close of business on the date forty-five days prior to such Other Annual Meeting Date or the tenth business day following the date such Other Annual Meeting Date is first publicly announced or disclosed. The shareholder's notice must be in writing and set forth the name, age, date of birth, business address, residence address and nationality of the person(s) being nominated and the class or series, number of all shares of the registrant owned of record or beneficially be each such person(s), any other information regarding such person required by Item 401 of Regulation S-K or Item 22 of Rule 14a-101 (Schedule 14A) under the Securities Exchange Act of 1934, as amended, any other information regarding the person(s) to be nominated that would be required to be disclosed in a proxy statement or other filings required to be made in connection with solicitation of proxies for election of trustees, and whether such shareholder believes any nominee is or will be an "interested person" (as that term is defined in the Investment Company Act of 1940, as amended) of the registrant or sufficient information to enable the registrant to make that determination and the written and signed consent of the person(s) to be nominated. 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. (b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed "filed" for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. 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 Equity Premium Advantage Fund By (Signature and Title)* /s/ Jessica R. Droeger --------------------------------------- Jessica R. Droeger Vice President and Secretary Date: June 8, 2006 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, 2006 By (Signature and Title)* /s/ Stephen D. Foy --------------------------------------- Stephen D. Foy Vice President and Controller (principal financial officer) Date: June 8, 2006 * Print the name and title of each signing officer under his or her signature.