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: June 30, 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.
SEMIANNUAL REPORT JUNE 30, 2006
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
NUVEEN EQUITY
PREMIUM AND GROWTH
FUND
JPG
ATTRACTIVE MONTHLY
DISTRIBUTIONS AND
A MEASURE OF DOWNSIDE
PROTECTION FROM AN
INTEGRATED INDEX OPTION
AND EQUITY STRATEGY
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<Table>
WWW.INVESTORDELIVERY.COM OR WWW.NUVEEN.COM/ACCOUNTACCESS
if you get your Nuveen Fund if you get your Nuveen Fund
dividends and statements from dividends and statements directly
your financial advisor or from Nuveen.
brokerage account.
(Be sure to have the address
sheet that accompanied this
report handy. You'll need it to
complete the enrollment process.)
</Table>
NUVEEN LOGO
(TIMOTHY SCHWERTFEGER PHOTO)
Timothy R. Schwertfeger
Chairman of the Board
CHAIRMAN'S
LETTER TO SHAREHOLDERS
Dear Shareholder:
I am very pleased to report that over the six-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.
"IN ADDITION TO PROVIDING REGULAR MONTHLY INCOME, AN INVESTMENT LIKE YOUR FUND
MAY HELP YOU ACHIEVE AND BENEFIT FROM GREATER PORTFOLIO DIVERSIFICATION."
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 SCHWERTFEGER SIG)
Timothy R. Schwertfeger
Chairman of the Board
August 11, 2006
Nuveen Investments Exchange-Traded Closed-End Funds
(JPZ, JSN, JLA, JPG)
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 six months
ended June 30, 2006.
WHAT IS YOUR OVERALL MANAGEMENT STRATEGY FOR THE SIX MONTHS ENDED JUNE 30, 2006?
The core investment strategy employed in each of the closed-end funds consists
of an investment in a broadly diversified portfolio of equity securities that
seeks to substantially track the price movement of a stock market index or a
custom blend of stock market indices. The purpose of the equity portfolio is to
support the index option strategy.
For JPZ, the equity portfolio seeks to track the price movements of the S&P 500
index. Over the course of the first half of 2006, the Fund actively sold listed
S&P 500 index call options. These call options generated a meaningful amount of
regular cash flow, which serves to both reduce the risk of owning the stock
portfolio and also to generate much of the return of the combined strategy. The
third component of the strategy is the purchase of listed S&P 500 index put
options to help protect the value of the stock portfolio in the event of a
severe and unexpected pullback in the market.
For JSN, the equity portfolio is invested to replicate the price performance of
a custom benchmark consisting of 75% S&P 500 index and 25% NASDAQ-100 index. JSN
employs an option strategy similar to JPZ with roughly 75% of the call and put
options being S&P 500 index options and the remaining 25% being NASDAQ-100 index
options.
For JLA, the overall equity and option strategy is similar to JSN. The
differentiating feature of JLA is its underlying equity portfolio, which tracks
a custom benchmark of 50% S&P 500 and 50% NASDAQ-100, with a matching option
portfolio of S&P 500 and NASDAQ-100 index options.
JPG, the newest of the four closed-end funds, employs a strategy that seeks to
track the price movement of the S&P 500 index. The unique feature of JPG is
found in the option strategy. Call options are sold and put options are
purchased to cover roughly 80% of the value of the portfolio. No options are
written or purchased for the remaining
4
20% of the value of the portfolio, affording the investor a measure of exposure
to the broad equity market.
HOW DID THE FUNDS PERFORM OVER THIS SIX-MONTH PERIOD?
The performance of JPZ, JSN, JLA and JPG, as well as the performance of
comparative indexes or benchmarks, is shown in the nearby chart:
TOTAL RETURN ON NET ASSET VALUE
For the six-month period ended June 30, 2006
<Table>
- ----------------------------------------------------------------------------------------------------
JPZ 3.94%
S&P 500 2.70%
- ----------------------------------------------------------------------------------------------------
JSN 2.28%
Comparative benchmark(1) 0.99%
- ----------------------------------------------------------------------------------------------------
JLA 1.85%
Comparative benchmark(2) -.70%
- ----------------------------------------------------------------------------------------------------
JPG 4.06%
S&P 500 2.70%
- ----------------------------------------------------------------------------------------------------
</Table>
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.
We are pleased with the performance of the Funds during the six-month period.
The JPZ NAV return of 3.94% bested the return of the S&P 500 Index by 1.24%.
Similarly, JPG, the Fund which is designed to track the S&P 500, posted an NAV
return of 4.06%. The two Funds with a NASDAQ-100 component, JSN and JLA, both
posted returns that exceeded their blended stock benchmarks.
We believe that it is important to remember that these Funds use an index option
strategy in conjunction with their portfolios of common stocks. As a result,
their returns should not be expected to track closely to the returns of the
indexes used to produce the comparative benchmarks shown in this report. We
provided these benchmarks solely to offer some context to assist shareholders in
evaluating the performance of their Funds.
- --------------------------------------------------------------------------------
1 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 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, tele-communications, retail/wholesale trade
and biotechnology.
2 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 NASDAQ-100 Index.
- --------------------------------------------------------------------------------
Domestic Equity Markets over the course of the year have struggled to find
direction. During the first quarter, the broad equity markets posted solid
performance against a backdrop of continued strong consumer spending and solid
corporate profits, with the S&P 500 up 4.21% and the more tech-heavy NASDAQ-100
Index up 3.68%. The rally
5
continued in April, but in May, stock markets across the world sold off in
response to fears of both a global slowdown and rising inflation. Volatility, a
key factor in the Funds' option cash flow strategy, headed in the opposite
direction, climbing to its highest levels in four years. At the end of the
six-month period the S&P 500 ended up 2.70%.
The volatility in the market, particularly when markets struggled in May and
June, proved to be a benefit to the Funds. Volatility is a key component in the
pricing of cash flow that the Funds can earn through their call writing
activity. When volatility is higher, cash flow from the sale of call options
rises, which gives the Funds the potential to earn greater returns from the
hedging activity as well as to support the dividend distribution. This higher
cash flow also provides the potential of cushioning the overall portfolio from
losses when the stock portfolio is under pressure.
Going forward, each of the closed-end funds will strive to achieve their
respective investment objectives by maintaining a diversified core portfolio of
stocks and generating a reliable stream of cash flow from their option activity.
6
DISTRIBUTION AND SHARE PRICE
INFORMATION
Each Fund has a managed distribution policy designed to provide relatively
stable monthly cash flow to investors. JPZ, JSN, JLA and JPG each paid steady
monthly distributions over the course of the period.
Under this managed distribution 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 NAVs as shown in the accompanying table:
<Table>
<Caption>
6/30/06 AVERAGE PERIOD
DISCOUNT/PREMIUM DISCOUNT/PREMIUM
- -------------------------------------------------------------------------------
JPZ -5.72% -2.90%
- -------------------------------------------------------------------------------
JSN -1.10% -1.38%
- -------------------------------------------------------------------------------
JLA -0.77% -1.59%
- -------------------------------------------------------------------------------
JPG -7.74% -8.00%
- -------------------------------------------------------------------------------
</Table>
We are providing shareholders with an estimate of the source of each Fund's
monthly distribution as of June 30, 2006. These estimates may, and likely will,
vary over time based on the investment activities of each Fund and changes in
the value of portfolio investments. The final determination of the source and
tax characteristics of all distributions will be made after December 31, 2006
and reported to you on Form 1099-DIV early in 2007. More details about each
Fund's distributions are available monthly on www.nuveen.com/cef.
7
JPZ, JSN, JLA, and JPG estimate that 24%, 17%, 10%, and 28% of their monthly
distribution will be comprised of net investment income, respectively. The
remaining portion of each Fund's monthly distribution is estimated to come from
each Fund's index option strategy, which for tax purposes, may be treated as a
combination of long-term and short-term capital gains, and/or a return of
capital. The tax character of each Fund's index option strategy is largely
determined by movements in the underlying equity portfolios. Under the Internal
Revenue Code, gains and losses on open option positions are deemed realized on
December 31st of each year. In estimating the year-end tax characteristics of
these Fund's distributions, it was assumed that the current unrealized gain/loss
on open option positions were deemed realized. Based on this assumption, the
remaining portion of the monthly distribution for all four Funds would currently
be considered a return of capital.
The foregoing presents information about the expected tax characteristics of the
Funds' distributions, to conform to a federal securities law requirement that
any fund paying distributions from any sources other than net income disclose to
shareholders the distribution portions attributable to such other sources. The
Funds provide this type of information on a tax basis, instead of on a generally
accepted accounting principles (GAAP) basis, because experience has shown that
Fund shareholders are most concerned about the tax character of their
distributions (and might well be confused by information about distribution
characteristics that differed from the tax-based characteristics), and because
the Funds also believe that the distributions' tax characteristics fairly
represent the economic basis of each Fund's distributions and returns. The
breakdown of distribution characteristics according to GAAP likely would differ
from the expected tax characteristics shown above.
8
Nuveen Equity Premium Income Fund
JPZ
PERFORMANCE
OVERVIEW As of June 30, 2006
<Table>
PORTFOLIO ALLOCATION
(as a % of total investments)
- --------------------------------------------------------------------------------------
Common Stocks 94.3%
- --------------------------------------------------------------------------------------
Put Options 0.2%
- --------------------------------------------------------------------------------------
Short-Term Investments 5.5%
- --------------------------------------------------------------------------------------
</Table>
Bar Chart:
2005-2006 MONTHLY DISTRIBUTIONS PER SHARE
<Table>
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
Apr 0.1420
May 0.1420
Jun 0.1420
</Table>
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
<Table>
7/01/05 20.25
20.49
20.61
20.59
20.44
20.65
20.55
20.40
20.38
20.50
20.50
20.21
20.04
19.88
20.15
19.81
19.46
19.26
19.29
18.90
18.47
18.50
17.76
17.46
17.01
16.94
17.38
18.05
18.10
18.10
18.30
18.20
18.30
18.24
18.48
18.94
18.61
18.29
18.39
18.58
18.63
18.06
17.66
17.72
18.10
17.65
17.40
17.44
17.83
17.50
17.23
17.14
6/30/06 17.30
</Table>
FUND SNAPSHOT
<Table>
- ----------------------------------------------------------------------
Share Price $17.30
- ----------------------------------------------------------------------
Net Asset Value $18.35
- ----------------------------------------------------------------------
Premium/(Discount) to NAV -5.72%
- ----------------------------------------------------------------------
Current Distribution Rate(1) 9.85%
- ----------------------------------------------------------------------
Net Assets ($000) $703,386
- ----------------------------------------------------------------------
</Table>
AVERAGE ANNUAL TOTAL RETURN
(Inception 10/26/04)
<Table>
<Caption>
- -------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
- -------------------------------------------------------------------------------------
6-Month (Cumulative) 4.32% 3.94%
- -------------------------------------------------------------------------------------
1-Year -6.28% 6.01%
- -------------------------------------------------------------------------------------
Since
Inception -0.06% 6.32%
- -------------------------------------------------------------------------------------
</Table>
INDUSTRIES
(as a % of total investments)
<Table>
- -------------------------------------------------------------------
Pharmaceuticals 8.4%
- -------------------------------------------------------------------
Commercial Banks 7.3%
- -------------------------------------------------------------------
Oil, Gas & Consumable Fuels 6.8%
- -------------------------------------------------------------------
Diversified Financial Services 6.0%
- -------------------------------------------------------------------
Industrial Conglomerates 4.6%
- -------------------------------------------------------------------
Insurance 3.3%
- -------------------------------------------------------------------
Diversified Telecommunication Services 3.2%
- -------------------------------------------------------------------
Semiconductors & Equipment 2.9%
- -------------------------------------------------------------------
Specialty Retail 2.9%
- -------------------------------------------------------------------
Tobacco 2.8%
- -------------------------------------------------------------------
Software 2.5%
- -------------------------------------------------------------------
Aerospace & Defense 2.4%
- -------------------------------------------------------------------
Computers & Peripherals 2.4%
- -------------------------------------------------------------------
Household Products 2.3%
- -------------------------------------------------------------------
Communications Equipment 2.3%
- -------------------------------------------------------------------
Energy Equipment & Services 2.3%
- -------------------------------------------------------------------
Real Estate 2.2%
- -------------------------------------------------------------------
Internet Software & Services 2.1%
- -------------------------------------------------------------------
Commercial Services & Supplies 2.1%
- -------------------------------------------------------------------
Chemicals 2.0%
- -------------------------------------------------------------------
Health Care Providers & Services 1.8%
- -------------------------------------------------------------------
Machinery 1.7%
- -------------------------------------------------------------------
Gas Utilities 1.7%
- -------------------------------------------------------------------
Put Options 0.2%
- -------------------------------------------------------------------
Short-Term Investments 5.5%
- -------------------------------------------------------------------
Other 18.3%
- -------------------------------------------------------------------
</Table>
1 Current Distribution Rate 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.
9
Nuveen Equity Premium Opportunity Fund
JSN
PERFORMANCE
OVERVIEW As of June 30, 2006
<Table>
PORTFOLIO ALLOCATION
(as a % of total investments)
- --------------------------------------------------------------------------------------
Common Stocks 94.9%
- --------------------------------------------------------------------------------------
Put Options 0.2%
- --------------------------------------------------------------------------------------
Short-Term Investments 4.9%
- --------------------------------------------------------------------------------------
</Table>
Bar Chart:
2005-2006 MONTHLY DISTRIBUTIONS PER SHARE
<Table>
Jul 0.148
Aug 0.148
Sep 0.148
Oct 0.148
Nov 0.148
Dec 0.148
Jan 0.148
Feb 0.148
Mar 0.148
Apr 0.148
May 0.148
Jun 0.148
</Table>
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
<Table>
7/01/05 19.74
19.93
19.97
19.97
19.95
19.99
19.98
19.75
19.80
19.92
19.94
19.86
19.53
19.46
19.79
19.50
19.19
19.11
19.44
19.16
18.83
18.31
18.20
17.67
17.36
16.99
17.39
18.12
18.19
18.04
18.19
18.54
18.57
18.40
18.54
18.89
18.84
18.58
18.92
18.90
18.90
18.57
18.25
18.32
18.48
17.96
17.79
17.86
18.34
18.25
18.00
17.89
6/30/06 18.00
</Table>
FUND SNAPSHOT
<Table>
- ------------------------------------------------------------------------
Share Price $18.00
- ------------------------------------------------------------------------
Net Asset Value $18.20
- ------------------------------------------------------------------------
Premium/(Discount) to NAV -1.10%
- ------------------------------------------------------------------------
Current Distribution Rate(1) 9.87%
- ------------------------------------------------------------------------
Net Assets ($000) $1,195,442
- ------------------------------------------------------------------------
</Table>
AVERAGE ANNUAL TOTAL RETURN
(Inception 1/26/05)
<Table>
<Caption>
- -------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
- -------------------------------------------------------------------------------------
6-Month (Cumulative) 8.59% 2.28%
- -------------------------------------------------------------------------------------
1-Year 0.40% 5.83%
- -------------------------------------------------------------------------------------
Since Inception 1.53% 5.58%
- -------------------------------------------------------------------------------------
</Table>
INDUSTRIES
(as a % of total investments)
<Table>
- -------------------------------------------------------------------
Pharmaceuticals 6.6%
- -------------------------------------------------------------------
Software 6.0%
- -------------------------------------------------------------------
Semiconductors & Equipment 5.3%
- -------------------------------------------------------------------
Commercial Banks 5.2%
- -------------------------------------------------------------------
Diversified Financial Services 4.9%
- -------------------------------------------------------------------
Communications Equipment 4.9%
- -------------------------------------------------------------------
Oil, Gas & Consumable Fuels 4.9%
- -------------------------------------------------------------------
Computers & Peripherals 3.7%
- -------------------------------------------------------------------
Industrial Conglomerates 3.6%
- -------------------------------------------------------------------
Diversified Telecommunication Services 3.3%
- -------------------------------------------------------------------
Internet Software & Services 2.6%
- -------------------------------------------------------------------
Biotechnology 2.5%
- -------------------------------------------------------------------
Specialty Retail 2.5%
- -------------------------------------------------------------------
Insurance 2.3%
- -------------------------------------------------------------------
Aerospace & Defense 2.3%
- -------------------------------------------------------------------
Media 2.1%
- -------------------------------------------------------------------
Commercial Services & Supplies 2.1%
- -------------------------------------------------------------------
Energy Equipment & Services 2.0%
- -------------------------------------------------------------------
Tobacco 2.0%
- -------------------------------------------------------------------
Capital Markets 1.8%
- -------------------------------------------------------------------
Real Estate 1.8%
- -------------------------------------------------------------------
Health Care Providers & Services 1.7%
- -------------------------------------------------------------------
Chemicals 1.6%
- -------------------------------------------------------------------
Machinery 1.6%
- -------------------------------------------------------------------
Put Options 0.2%
- -------------------------------------------------------------------
Short-Term Investments 4.9%
- -------------------------------------------------------------------
Other 17.6%
- -------------------------------------------------------------------
</Table>
1 Current Distribution Rate 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.
10
Nuveen Equity Premium Advantage Fund
JLA
PERFORMANCE
OVERVIEW As of June 30, 2006
<Table>
PORTFOLIO ALLOCATION
(as a % of total investments)
- --------------------------------------------------------------------------------------
Common Stocks 94.5%
- --------------------------------------------------------------------------------------
Put Options 0.2%
- --------------------------------------------------------------------------------------
Short-Term Investments 5.3%
- --------------------------------------------------------------------------------------
</Table>
Bar Chart:
2005-2006 MONTHLY DISTRIBUTIONS PER SHARE
<Table>
Jul 0.151
Aug 0.151
Sep 0.151
Oct 0.151
Nov 0.151
Dec 0.151
Jan 0.151
Feb 0.151
Mar 0.151
Apr 0.151
May 0.151
Jun 0.151
</Table>
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
<Table>
7/01/05 19.75
20.00
20.00
19.99
20.07
20.09
20.00
20.07
20.04
20.18
20.34
20.10
19.91
19.76
19.87
19.92
19.35
19.43
19.39
19.18
18.99
18.52
18.82
18.42
17.58
17.45
17.56
18.37
18.45
18.45
18.37
18.81
18.90
18.63
18.64
19.00
18.92
18.78
18.62
18.95
19.06
18.88
18.35
18.47
18.75
17.87
17.97
18.44
18.47
18.26
17.88
18.13
6/30/06 18.15
</Table>
FUND SNAPSHOT
<Table>
- ----------------------------------------------------------------------
Share Price $18.15
- ----------------------------------------------------------------------
Net Asset Value $18.29
- ----------------------------------------------------------------------
Premium/(Discount) to NAV -0.77%
- ----------------------------------------------------------------------
Current Distribution Rate(1) 9.98%
- ----------------------------------------------------------------------
Net Assets ($000) $468,719
- ----------------------------------------------------------------------
</Table>
AVERAGE ANNUAL TOTAL RETURN
(Inception 5/25/05)
<Table>
<Caption>
- -------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
- -------------------------------------------------------------------------------------
6-Month (Cumulative) 8.49% 1.85%
- -------------------------------------------------------------------------------------
1-Year 1.34% 5.28%
- -------------------------------------------------------------------------------------
Since Inception -0.03% 4.83%
- -------------------------------------------------------------------------------------
</Table>
INDUSTRIES
(as a % of total investments)
<Table>
- -------------------------------------------------------------------
Software 8.7%
- -------------------------------------------------------------------
Communications Equipment 6.9%
- -------------------------------------------------------------------
Semiconductors & Equipment 6.3%
- -------------------------------------------------------------------
Pharmaceuticals 5.4%
- -------------------------------------------------------------------
Computers & Peripherals 5.2%
- -------------------------------------------------------------------
Internet Software & Services 4.7%
- -------------------------------------------------------------------
Biotechnology 4.4%
- -------------------------------------------------------------------
Commercial Banks 3.6%
- -------------------------------------------------------------------
Oil, Gas & Consumable Fuels 3.6%
- -------------------------------------------------------------------
Media 3.4%
- -------------------------------------------------------------------
Diversified Financial Services 2.8%
- -------------------------------------------------------------------
Commercial Services & Supplies 2.8%
- -------------------------------------------------------------------
Hotels, Restaurants & Leisure 2.4%
- -------------------------------------------------------------------
Industrial Conglomerates 2.3%
- -------------------------------------------------------------------
Diversified Telecommunication Services 2.1%
- -------------------------------------------------------------------
Specialty Retail 2.0%
- -------------------------------------------------------------------
Insurance 1.8%
- -------------------------------------------------------------------
Energy Equipment & Services 1.6%
- -------------------------------------------------------------------
Capital Markets 1.5%
- -------------------------------------------------------------------
Machinery 1.5%
- -------------------------------------------------------------------
Multiline Retail 1.4%
- -------------------------------------------------------------------
Aerospace & Defense 1.2%
- -------------------------------------------------------------------
Electrical Equipment 1.2%
- -------------------------------------------------------------------
Put Options 0.2%
- -------------------------------------------------------------------
Short-Term Investments 5.3%
- -------------------------------------------------------------------
Other 17.7%
- -------------------------------------------------------------------
</Table>
1 Current Distribution Rate 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.
11
Nuveen Equity Premium and Growth Fund
JPG
PERFORMANCE
OVERVIEW As of June 30, 2006
<Table>
PORTFOLIO ALLOCATION
(as a % of total investments)
- --------------------------------------------------------------------------------------
Common Stocks 95.0%
- --------------------------------------------------------------------------------------
Put Options 0.1%
- --------------------------------------------------------------------------------------
Short-Term Investments 4.9%
- --------------------------------------------------------------------------------------
</Table>
Bar Chart:
2006 MONTHLY DISTRIBUTIONS PER SHARE
<Table>
Jan 0.135
Feb 0.135
Mar 0.135
Apr 0.135
May 0.135
Jun 0.135
</Table>
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
<Table>
11/22/05 20.00
20.00
20.00
20.00
20.00
17.45
17.25
17.74
17.70
17.40
17.71
17.80
17.63
17.89
17.91
17.95
17.99
17.92
17.93
18.12
18.14
17.81
17.63
17.55
17.86
17.33
17.06
17.24
17.78
17.66
17.40
17.16
6/30/06 17.53
</Table>
FUND SNAPSHOT
<Table>
- ----------------------------------------------------------------------
Share Price $17.53
- ----------------------------------------------------------------------
Net Asset Value $19.00
- ----------------------------------------------------------------------
Premium/(Discount) to NAV -7.74%
- ----------------------------------------------------------------------
Current Distribution Rate(1) 9.24%
- ----------------------------------------------------------------------
Net Assets ($000) $313,559
- ----------------------------------------------------------------------
</Table>
CUMULATIVE TOTAL RETURN
(Inception 11/22/05)
<Table>
<Caption>
- -------------------------------------------------------------------------------------
ON SHARE PRICE ON NAV
- -------------------------------------------------------------------------------------
6-Month (Cumulative) 6.34% 4.06%
- -------------------------------------------------------------------------------------
Since Inception -8.28% 3.73%
- -------------------------------------------------------------------------------------
</Table>
INDUSTRIES
(as a % of total investments)
<Table>
- -------------------------------------------------------------------
Commercial Banks 9.4%
- -------------------------------------------------------------------
Pharmaceuticals 8.8%
- -------------------------------------------------------------------
Oil, Gas & Consumable Fuels 7.7%
- -------------------------------------------------------------------
Industrial Conglomerates 4.9%
- -------------------------------------------------------------------
Diversified Financial Services 4.7%
- -------------------------------------------------------------------
Diversified Telecommunication Services 4.5%
- -------------------------------------------------------------------
Insurance 3.6%
- -------------------------------------------------------------------
Real Estate 3.4%
- -------------------------------------------------------------------
Semiconductors & Equipment 2.7%
- -------------------------------------------------------------------
Software 2.7%
- -------------------------------------------------------------------
Specialty Retail 2.3%
- -------------------------------------------------------------------
Gas Utilities 2.3%
- -------------------------------------------------------------------
Tobacco 2.3%
- -------------------------------------------------------------------
Computers & Peripherals 2.2%
- -------------------------------------------------------------------
Communications Equipment 2.1%
- -------------------------------------------------------------------
Household Products 1.9%
- -------------------------------------------------------------------
Energy Equipment & Services 1.9%
- -------------------------------------------------------------------
Internet Software & Services 1.8%
- -------------------------------------------------------------------
Capital Markets 1.8%
- -------------------------------------------------------------------
Chemicals 1.8%
- -------------------------------------------------------------------
Metals & Mining 1.7%
- -------------------------------------------------------------------
Aerospace & Defense 1.5%
- -------------------------------------------------------------------
Put Options 0.1%
- -------------------------------------------------------------------
Short-Term Investments 4.9%
- -------------------------------------------------------------------
Other 19.0%
- -------------------------------------------------------------------
</Table>
1 Current Distribution Rate 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.
12
Shareholder
MEETING REPORT
The shareholder meeting was held in the offices of Nuveen Investments on March
29, 2006.
<Table>
<Caption>
JPZ JSN JLA
- --------------------------------------------------------------------------------------------------------------------------------
APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS:
Common Shares Common Shares Common Shares
- --------------------------------------------------------------------------------------------------------------------------------
Robert P. Bremner
For 18,898,037 32,215,032 12,616,703
Withhold 434,975 823,384 308,850
- --------------------------------------------------------------------------------------------------------------------------------
Total 19,333,012 33,038,416 12,925,553
- --------------------------------------------------------------------------------------------------------------------------------
Lawrence H. Brown
For 18,892,445 32,204,350 12,608,055
Withhold 440,567 834,066 317,498
- --------------------------------------------------------------------------------------------------------------------------------
Total 19,333,012 33,038,416 12,925,553
- --------------------------------------------------------------------------------------------------------------------------------
Jack B. Evans
For 18,901,587 32,216,160 12,623,207
Withhold 431,425 822,256 302,346
- --------------------------------------------------------------------------------------------------------------------------------
Total 19,333,012 33,038,416 12,925,553
- --------------------------------------------------------------------------------------------------------------------------------
William C. Hunter
For 18,908,356 32,220,220 12,621,890
Withhold 424,656 818,196 303,663
- --------------------------------------------------------------------------------------------------------------------------------
Total 19,333,012 33,038,416 12,925,553
- --------------------------------------------------------------------------------------------------------------------------------
David J. Kundert
For 18,904,269 32,232,175 12,627,500
Withhold 428,743 806,241 298,053
- --------------------------------------------------------------------------------------------------------------------------------
Total 19,333,012 33,038,416 12,925,553
- --------------------------------------------------------------------------------------------------------------------------------
William J. Schneider
For 18,907,166 32,226,545 12,616,306
Withhold 425,846 811,871 309,247
- --------------------------------------------------------------------------------------------------------------------------------
Total 19,333,012 33,038,416 12,925,553
- --------------------------------------------------------------------------------------------------------------------------------
Timothy R. Schwertfeger
For 18,899,796 32,225,738 12,621,279
Withhold 433,216 812,678 304,274
- --------------------------------------------------------------------------------------------------------------------------------
Total 19,333,012 33,038,416 12,925,553
- --------------------------------------------------------------------------------------------------------------------------------
Judith M. Stockdale
For 18,904,376 32,223,032 12,628,182
Withhold 428,636 815,384 297,371
- --------------------------------------------------------------------------------------------------------------------------------
Total 19,333,012 33,038,416 12,925,553
- --------------------------------------------------------------------------------------------------------------------------------
Eugene S. Sunshine
For 18,891,154 32,161,408 12,625,047
Withhold 441,858 877,008 300,506
- --------------------------------------------------------------------------------------------------------------------------------
Total 19,333,012 33,038,416 12,925,553
- --------------------------------------------------------------------------------------------------------------------------------
APPROVAL OF THE NEW SUB-ADVISORY AGREEMENT BETWEEN NUVEEN ASSET
MANAGEMENT AND GATEWAY INVESTMENT ADVISERS, L.P.
For 13,302,795 22,580,873 8,734,212
Against 373,539 649,385 282,626
Abstain 401,972 725,074 291,110
Broker Non-Votes 5,254,706 9,083,084 3,617,605
- --------------------------------------------------------------------------------------------------------------------------------
Total 19,333,012 33,038,416 12,925,553
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
13
Nuveen Equity Premium Income Fund (JPZ)
Portfolio of
INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 95.1%
AEROSPACE & DEFENSE - 2.4%
71,400 Boeing Company $ 5,848,374
100,000 Honeywell International Inc. 4,030,000
32,000 Raytheon Company 1,426,240
89,400 United Technologies Corporation 5,669,748
- ---------------------------------------------------------------------------------------------------------------------------
Total Aerospace & Defense 16,974,362
--------------------------------------------------------------------------------------------------------------
AIR FREIGHT & LOGISTICS - 0.7%
61,400 United Parcel Service, Inc., Class B 5,055,062
- ---------------------------------------------------------------------------------------------------------------------------
AIRLINES - 0.2%
22,200 AMR Corporation, (1) 564,324
14,800 Continental Airlines, Inc., (1) 441,040
28,000 Southwest Airlines Co. 458,360
1,000 US Airways Group Inc., (1) 50,540
- ---------------------------------------------------------------------------------------------------------------------------
Total Airlines 1,514,264
--------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 0.1%
32,000 American Axle and Manufacturing Holdings Inc. 547,520
- ---------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES - 0.7%
392,200 Ford Motor Company 2,717,946
55,700 General Motors Corporation 1,659,303
4,000 Harley-Davidson Inc. 219,560
- ---------------------------------------------------------------------------------------------------------------------------
Total Automobiles 4,596,809
--------------------------------------------------------------------------------------------------------------
BEVERAGES - 1.0%
106,600 Coca-Cola Company 4,585,932
40,500 PepsiCo, Inc. 2,431,620
- ---------------------------------------------------------------------------------------------------------------------------
Total Beverages 7,017,552
--------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY - 0.2%
23,500 Amgen Inc., (1) 1,532,905
2,500 Genentech, Inc., (1) 204,500
- ---------------------------------------------------------------------------------------------------------------------------
Total Biotechnology 1,737,405
--------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.5%
39,400 Charles Schwab Corporation 629,612
19,900 Goldman Sachs Group, Inc. 2,993,557
10,200 Jefferies Group, Inc. 302,226
20,300 Legg Mason, Inc. 2,020,256
26,500 Merrill Lynch & Co., Inc. 1,843,340
21,000 Morgan Stanley 1,327,410
59,100 Waddell & Reed Financial, Inc., Class A 1,215,096
- ---------------------------------------------------------------------------------------------------------------------------
Total Capital Markets 10,331,497
--------------------------------------------------------------------------------------------------------------
CHEMICALS - 2.0%
25,300 Dow Chemical Company 987,459
160,100 E.I. Du Pont de Nemours and Company 6,660,160
40,400 Eastman Chemical Company 2,181,600
47,800 Lubrizol Corporation 1,904,830
36,100 Lyondell Chemical Company 818,026
72,200 RPM International, Inc. 1,299,600
-- Tronox Incorporated, Class B 1
- ---------------------------------------------------------------------------------------------------------------------------
Total Chemicals 13,851,676
--------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS - 7.4%
3,500 Australia and New Zealand Banking Group Limited, 347,305
Sponsored ADR
413,181 Bank of America Corporation 19,874,006
</Table>
14
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS (continued)
18,000 Comerica Incorporated $ 935,820
3,000 Federated Investors Inc. 94,500
46,900 HSBC Holdings PLC, Sponsored ADR 4,143,615
145,300 Lloyds TSB Group PLC, Sponsored ADR 5,734,991
7,600 National Australia Bank Limited, Sponsored ADR 990,280
175,300 U.S. Bancorp 5,413,264
106,300 Wachovia Corporation 5,748,704
34,100 Washington Mutual, Inc. 1,554,278
100,900 Wells Fargo & Company 6,768,372
1,900 Westpac Banking Corporation, ADR 164,065
- ---------------------------------------------------------------------------------------------------------------------------
Total Commercial Banks 51,769,200
--------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 2.1%
74,500 Automatic Data Processing, Inc. 3,378,575
3,800 Avery Dennison Corporation 220,628
4,000 Career Education Corporation, (1) 119,560
2,000 CheckFree Corp., (1) 99,120
165,100 Deluxe Corporation 2,885,948
3,900 Fair Isaac Corporation 141,609
1,600 ITT Educational Services, Inc., (1) 105,296
3,000 Manpower Inc. 193,800
35,000 Paychex, Inc. 1,364,300
23,000 Pitney Bowes Inc. 949,900
5,800 Priceline.com Incorporated, (1) 173,188
8,500 R.R. Donnelley & Sons Company 271,575
182,800 ServiceMaster Company 1,888,324
27,700 Standard Register Company 328,245
78,600 Synagro Technologies, Inc. 308,898
72,000 Waste Management, Inc. 2,583,360
- ---------------------------------------------------------------------------------------------------------------------------
Total Commercial Services & Supplies 15,012,326
--------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 2.3%
16,300 ADTRAN, Inc. 365,609
30,600 Avaya Inc., (1) 349,452
61,800 Ciena Corporation, (1) 297,258
279,500 Cisco Systems, Inc., (1) 5,458,635
78,200 Corning Incorporated, (1) 1,891,658
108,200 JDS Uniphase Corporation, (1) 273,746
149,100 Motorola, Inc. 3,004,365
118,300 QUALCOMM Inc. 4,740,281
- ---------------------------------------------------------------------------------------------------------------------------
Total Communications Equipment 16,381,004
--------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS - 2.4%
50,000 Apple Computer, Inc., (1) 2,856,000
24,300 EMC Corporation, (1) 266,571
129,100 Hewlett-Packard Company 4,089,888
118,100 International Business Machines Corporation (IBM) 9,072,442
9,200 McAfee Inc., (1) 223,284
7,000 SanDisk Corporation, (1) 356,860
23,000 Sun Microsystems Inc., (1) 95,450
- ---------------------------------------------------------------------------------------------------------------------------
Total Computers & Peripherals 16,960,495
--------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 0.1%
12,000 American Express Company 638,640
- ---------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 0.8%
9,900 Chesapeake Corporation 162,459
35,000 Longview Fibre Company 668,150
65,300 Packaging Corp. of America 1,437,906
106,700 Sonoco Products Company 3,377,055
- ---------------------------------------------------------------------------------------------------------------------------
Total Containers & Packaging 5,645,570
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 6.0%
16,900 A. G. Edwards, Inc. 934,908
8,700 Chicago Merchantile Exchange 4,273,005
458,000 Citigroup Inc. 22,093,920
20,700 Freddie Mac 1,180,107
24,300 Gladstone Capital Corporation 519,777
</Table>
15
Nuveen Equity Premium Income Fund (JPZ) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES (continued)
314,050 JPMorgan Chase & Co. $ 13,190,100
2,500 Moody's Corporation 136,150
- ---------------------------------------------------------------------------------------------------------------------------
Total Diversified Financial Services 42,327,967
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 3.3%
359,379 AT&T Inc. 10,023,080
183,600 BellSouth Corporation 6,646,320
220,900 Citizens Communications Company 2,882,745
104,987 Sprint Nextel Corporation 2,098,690
39,500 Verizon Communications Inc. 1,322,855
- ---------------------------------------------------------------------------------------------------------------------------
Total Diversified Telecommunication Services 22,973,690
--------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 1.5%
27,000 Ameren Corporation 1,363,500
33,900 Consolidated Edison, Inc. 1,506,516
21,900 DPL Inc. 586,920
38,300 Great Plains Energy Incorporated 1,067,038
60,600 OGE Energy Corp. 2,122,818
80,800 Pepco Holdings, Inc. 1,905,264
33,400 Progress Energy, Inc. 1,431,858
27,000 Southern Company 865,350
- ---------------------------------------------------------------------------------------------------------------------------
Total Electric Utilities 10,849,264
--------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.1%
61,200 Emerson Electric Co. 5,129,172
27,400 Hubbell Incorporated, Class B 1,305,610
13,800 Rockwell Automation, Inc. 993,738
- ---------------------------------------------------------------------------------------------------------------------------
Total Electrical Equipment 7,428,520
--------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.1%
5,700 Parker Hannifin Corporation 442,320
- ---------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 2.3%
21,300 Diamond Offshore Drilling, Inc. 1,787,709
29,900 ENSCO International Incorporated 1,375,998
55,800 Halliburton Company 4,140,918
2,000 National-Oilwell Varco Inc., (1) 126,640
11,600 Patterson-UTI Energy, Inc. 328,396
79,200 Schlumberger Limited 5,156,712
17,600 Smith International, Inc. 782,672
46,500 Tidewater Inc. 2,287,800
3,000 Transocean Inc., (1) 240,960
- ---------------------------------------------------------------------------------------------------------------------------
Total Energy Equipment & Services 16,227,805
--------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 0.9%
4,800 Longs Drug Stores Corporation 218,976
18,236 SUPERVALU Inc. 559,857
62,300 Wal-Mart Stores, Inc. 3,000,991
34,400 Whole Foods Market, Inc. 2,223,616
- ---------------------------------------------------------------------------------------------------------------------------
Total Food & Staples Retailing 6,003,440
--------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.6%
33,000 H.J. Heinz Company 1,360,260
166,400 Sara Lee Corporation 2,665,728
- ---------------------------------------------------------------------------------------------------------------------------
Total Food Products 4,025,988
--------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 1.7%
28,200 AGL Resources Inc. 1,074,984
64,000 Atmos Energy Corporation 1,786,240
18,200 KeySpan Corporation 735,280
81,800 Nicor Inc. 3,394,700
137,700 Peoples Energy Corporation 4,944,807
- ---------------------------------------------------------------------------------------------------------------------------
Total Gas Utilities 11,936,011
--------------------------------------------------------------------------------------------------------------
</Table>
16
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.4%
35,700 Baxter International Inc. $ 1,312,332
29,206 Boston Scientific Corporation, (1) 491,829
28,900 Medtronic, Inc. 1,355,988
- ---------------------------------------------------------------------------------------------------------------------------
Total Health Care Equipment & Supplies 3,160,149
--------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 1.8%
18,000 Aetna Inc. 718,740
21,800 Caremark Rx, Inc. 1,087,166
15,450 Coventry Health Care, Inc., (1) 848,823
33,900 HCA, Inc. 1,462,785
7,000 Humana Inc., (1) 375,900
15,200 Manor Care, Inc. 713,184
6,700 Mentor Corporation 291,450
2,100 Omnicare, Inc. 99,582
92,170 UnitedHealth Group Incorporated 4,127,373
7,900 Universal Health Services, Inc., Class B 397,054
36,800 Wellpoint Inc., (1) 2,677,936
- ---------------------------------------------------------------------------------------------------------------------------
Total Health Care Providers & Services 12,799,993
--------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 0.9%
17,000 Carnival Corporation 709,580
23,300 GTECH Holdings Corporation 810,374
8,200 Harrah's Entertainment, Inc. 583,676
28,800 International Game Technology 1,092,672
86,900 McDonald's Corporation 2,919,840
6,000 Starwood Hotels & Resorts Worldwide, Inc. 362,040
- ---------------------------------------------------------------------------------------------------------------------------
Total Hotels, Restaurants & Leisure 6,478,182
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 1.4%
3,400 Black & Decker Corporation 287,164
12,000 Furniture Brands International, Inc. 250,080
107,400 Newell Rubbermaid Inc. 2,774,142
12,400 Snap-on Incorporated 501,208
25,600 Stanley Works 1,208,832
106,700 Tupperware Corporation 2,100,923
29,936 Whirlpool Corporation 2,474,210
- ---------------------------------------------------------------------------------------------------------------------------
Total Household Durables 9,596,559
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 2.4%
53,200 Colgate-Palmolive Company 3,186,680
22,000 Kimberly-Clark Corporation 1,357,400
216,287 Procter & Gamble Company 12,025,557
- ---------------------------------------------------------------------------------------------------------------------------
Total Household Products 16,569,637
--------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES - 4.6%
64,800 3M Company 5,233,896
2,000 American Standard Companies Inc. 86,540
754,300 General Electric Company 24,861,728
52,800 Genuine Parts Company 2,199,648
7,400 Tomkins PLC, Sponsored ADR 159,470
- ---------------------------------------------------------------------------------------------------------------------------
Total Industrial Conglomerates 32,541,282
--------------------------------------------------------------------------------------------------------------
INSURANCE - 3.4%
36,800 Allstate Corporation 2,014,064
117,300 American International Group, Inc. 6,926,565
2,400 Arthur J. Gallagher & Co. 60,816
2,500 Converium Holding AG, ADR 13,775
35,200 Fidelity National Financial, Inc. 1,371,040
12,500 Hartford Financial Services Group, Inc. 1,057,500
80,445 Lincoln National Corporation 4,540,322
72,500 Marsh & McLennan Companies, Inc. 1,949,525
19,200 Mercury General Corporation 1,082,304
46,000 St. Paul Travelers Companies, Inc. 2,050,680
57,800 Unitrin, Inc. 2,519,502
- ---------------------------------------------------------------------------------------------------------------------------
Total Insurance 23,586,093
--------------------------------------------------------------------------------------------------------------
</Table>
17
Nuveen Equity Premium Income Fund (JPZ) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL - 0.1%
17,100 Amazon.com, Inc., (1) $ 661,428
9,437 IAC/InterActiveCorp., (1) 249,986
- ---------------------------------------------------------------------------------------------------------------------------
Total Internet & Catalog Retail 911,414
--------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES - 2.1%
82,000 eBay Inc., (1) 2,401,780
8,200 F5 Networks, Inc., (1) 438,536
15,400 Google Inc., Class A, (1) 6,457,682
9,000 Openwave Systems Inc., (1) 103,860
195,000 United Online, Inc. 2,340,000
101,700 Yahoo! Inc., (1) 3,356,100
- ---------------------------------------------------------------------------------------------------------------------------
Total Internet Software & Services 15,097,958
--------------------------------------------------------------------------------------------------------------
IT SERVICES - 0.1%
2,050 FactSet Research Systems Inc. 96,965
8,900 WebEx Communications, Inc., (1) 316,306
- ---------------------------------------------------------------------------------------------------------------------------
Total IT Services 413,271
--------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 0.0%
7,000 Polaris Industries Inc. 303,100
- ---------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.7%
75,600 Caterpillar Inc. 5,630,688
1,000 Cummins Inc. 122,250
18,000 Deere & Company 1,502,820
13,600 Graco Inc. 625,328
11,800 Ingersoll-Rand Company - Class A 504,804
2,000 Joy Global Inc. 104,180
59,400 SPX Corporation 3,323,430
12,000 Timken Company 402,120
- ---------------------------------------------------------------------------------------------------------------------------
Total Machinery 12,215,620
--------------------------------------------------------------------------------------------------------------
MEDIA - 1.5%
67,800 Clear Channel Communications, Inc. 2,098,410
15,000 Dow Jones & Company, Inc. 525,150
1,000 Monster Worldwide Inc., (1) 42,660
13,000 Omnicom Group Inc. 1,158,170
183,600 Regal Entertainment Group, Class A 3,730,752
115,100 Sirius Satellite Radio Inc., (1) 546,725
5,600 ValueClick, Inc., (1) 85,960
48,000 Walt Disney Company 1,440,000
126,600 Westwood One, Inc. 949,500
17,000 XM Satellite Radio Holdings Inc., Class A, (1) 249,050
- ---------------------------------------------------------------------------------------------------------------------------
Total Media 10,826,377
--------------------------------------------------------------------------------------------------------------
METALS & MINING - 1.1%
16,400 Alcoa Inc. 530,704
28,800 CONSOL Energy Inc. 1,345,536
54,000 Nucor Corporation 2,929,500
2,600 Phelps Dodge Corporation 213,616
31,700 Southern Copper Corporation 2,825,421
- ---------------------------------------------------------------------------------------------------------------------------
Total Metals & Mining 7,844,777
--------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 0.9%
13,000 Family Dollar Stores 317,590
38,002 Federated Department Stores, Inc. 1,390,873
55,400 Nordstrom, Inc. 2,022,100
7,900 Sears Holding Corporation, (1) 1,223,236
26,000 Target Corporation 1,270,620
- ---------------------------------------------------------------------------------------------------------------------------
Total Multiline Retail 6,224,419
--------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 1.4%
125,900 Duke Energy Corporation 3,697,683
28,500 National Fuel Gas Company 1,001,490
49,100 ONEOK, Inc. 1,671,364
32,100 Public Service Enterprise Group Incorporated 2,122,452
</Table>
18
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES (continued)
59,100 United Utilities PLC, Sponsored ADR $ 1,401,261
10,300 Vectren Corporation 280,675
- ---------------------------------------------------------------------------------------------------------------------------
Total Multi-Utilities 10,174,925
--------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 6.9%
167,900 Chevron Corporation 10,419,874
58,749 ConocoPhillips 3,849,822
432,200 ExxonMobil Corporation 26,515,470
78,000 Kerr-McGee Corporation 5,409,300
5,000 Kinder Morgan Inc. 499,450
25,600 Valero Energy Corporation 1,702,912
6,000 Williams Companies Inc. 140,160
- ---------------------------------------------------------------------------------------------------------------------------
Total Oil, Gas & Consumable Fuels 48,536,988
--------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.2%
20,000 Weyerhaeuser Company 1,245,000
- ---------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 8.4%
112,700 Abbott Laboratories 4,914,847
350,400 Bristol-Myers Squibb Company 9,061,344
83,800 Eli Lilly and Company 4,631,626
36,200 GlaxoSmithKline PLC, ADR 2,019,960
207,300 Johnson & Johnson 12,421,416
249,900 Merck & Co. Inc. 9,103,857
583,200 Pfizer Inc. 13,687,704
22,700 Schering-Plough Corporation 431,981
67,600 Wyeth 3,002,116
- ---------------------------------------------------------------------------------------------------------------------------
Total Pharmaceuticals 59,274,851
--------------------------------------------------------------------------------------------------------------
REAL ESTATE - 2.2%
9,500 American Financial Realty Trust 91,960
57,700 American Home Mortgage Investment Corp. 2,126,822
154,100 Crescent Real Estate Equities Company 2,860,096
19,900 Equity Office Properties Trust 726,549
39,900 First Industrial Realty Trust, Inc. 1,513,806
19,800 Health Care REIT, Inc. 692,010
58,500 Healthcare Realty Trust, Inc. 1,863,225
117,900 HRPT Properties Trust 1,362,924
22,000 Lexington Corporate Properties Trust 475,200
3,500 Liberty Property Trust 154,700
42,500 Nationwide Health Properties, Inc. 956,675
29,800 New Century Financial Corporation 1,363,350
9,800 Newcastle Investment Corporation 248,136
11,700 Reckson Associates Realty Corporation 484,146
27,000 Senior Housing Properties Trust 483,570
- ---------------------------------------------------------------------------------------------------------------------------
Total Real Estate 15,403,169
--------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 0.3%
17,000 Burlington Northern Santa Fe Corporation 1,347,250
14,000 Norfolk Southern Corporation 745,080
- ---------------------------------------------------------------------------------------------------------------------------
Total Road & Rail 2,092,330
--------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 3.0%
28,500 Advanced Micro Devices, Inc., (1) 695,970
62,000 Analog Devices, Inc. 1,992,680
97,200 Applied Materials, Inc. 1,582,416
45,300 Broadcom Corporation, Class A, (1) 1,361,265
466,700 Intel Corporation 8,843,965
9,700 Intersil Holding Corporation, Class A 225,525
6,600 Lam Research Corporation, (1) 307,692
4,800 Linear Technology Corporation 160,752
34,300 Microchip Technology Incorporated 1,150,765
24,800 National Semiconductor Corporation 591,480
19,800 NVIDIA Corporation, (1) 421,542
4,100 Omnivision Technologies, Inc., (1) 86,592
</Table>
19
Nuveen Equity Premium Income Fund (JPZ) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT (continued)
100 Silicon Laboratories Inc., (1) $ 3,515
115,500 Texas Instruments Incorporated 3,498,495
- ---------------------------------------------------------------------------------------------------------------------------
Total Semiconductors & Equipment 20,922,654
--------------------------------------------------------------------------------------------------------------
SOFTWARE - 2.5%
42,852 Adobe Systems Incorporated, (1) 1,300,987
5,000 Akamai Technologies, Inc., (1) 180,950
11,400 Autodesk, Inc., (1) 392,844
34,800 BEA Systems, Inc., (1) 455,532
10,000 Citrix Systems, (1) 401,400
18,500 Cognizant Technology Solutions Corporation, Class 1,246,345
A, (1)
419,600 Microsoft Corporation 9,776,680
251,177 Oracle Corporation, (1) 3,639,569
6,100 Red Hat, Inc., (1) 142,740
10,300 Salesforce.com, Inc., (1) 274,598
- ---------------------------------------------------------------------------------------------------------------------------
Total Software 17,811,645
--------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 2.9%
33,100 Abercrombie & Fitch Co., Class A 1,834,733
31,800 American Eagle Outfitters, Inc. 1,082,472
53,700 Best Buy Co., Inc. 2,944,908
39,600 Chico's FAS, Inc., (1) 1,068,408
10,600 Christopher & Banks Corporation 307,400
44,800 Claire's Stores, Inc. 1,142,848
14,500 Foot Locker, Inc. 355,105
153,000 Home Depot, Inc. 5,475,870
68,800 Limited Brands, Inc. 1,760,592
25,800 Lowe's Companies, Inc. 1,565,286
20,200 Michaels Stores, Inc. 833,048
99,000 Pier 1 Imports, Inc. 691,020
500 Sherwin-Williams Company 23,740
5,000 Tiffany & Co 165,100
19,700 TJX Companies, Inc. 450,342
51,000 Tuesday Morning Corporation 670,650
- ---------------------------------------------------------------------------------------------------------------------------
Total Specialty Retail 20,371,522
--------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.3%
36,000 VF Corporation 2,445,120
- ---------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE - 0.2%
2,000 Capitol Federal Financial 68,580
10,500 Countrywide Financial Corporation 399,840
57,600 New York Community Bancorp, Inc. 950,976
- ---------------------------------------------------------------------------------------------------------------------------
Total Thrifts & Mortgage Finance 1,419,396
--------------------------------------------------------------------------------------------------------------
TOBACCO - 2.8%
219,700 Altria Group, Inc. 16,132,572
19,000 Loews Corp - Carolina Group 976,030
16,100 Reynolds American Inc. 1,856,330
4,300 UST Inc. 194,317
32,785 Vector Group Ltd. 532,756
- ---------------------------------------------------------------------------------------------------------------------------
Total Tobacco 19,692,005
--------------------------------------------------------------------------------------------------------------
TRANSPORTATION INFRASTRUCTURE - 0.1%
24,100 Stolt-Nielsen S.A., Sponsored ADR 567,555
- ---------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.1%
40,000 Vodafone Group PLC 852,000
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $600,269,040) 669,626,378
--------------------------------------------------------------------------------------------------------------
</Table>
20
<Table>
<Caption>
NOTIONAL EXPIRATION STRIKE
CONTRACTS TYPE AMOUNT (2) DATE PRICE VALUE
- ----------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS - 0.2%
807 S&P 500 Index $92,805,000 7/22/06 $1150 $ 44,385
767 S&P 500 Index 90,122,500 7/22/06 1175 72,865
1,397 S&P 500 Index 167,640,000 7/22/06 1200 237,490
630 S&P 500 Index 77,175,000 7/22/06 1225 207,900
802 S&P 500 Index 92,230,000 8/19/06 1150 204,510
807 S&P 500 Index 94,822,500 8/19/06 1175 314,730
- ----------------------------------------------------------------------------------------------------------------------------
5,210 TOTAL PUT OPTIONS (COST $3,062,925) 614,795,000 1,081,880
- ----------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT
(000) DESCRIPTION COUPON MATURITY VALUE
- ----------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 5.6%
$ 39,068 Repurchase Agreement with State Street Bank, dated 4.130% 7/03/06 $ 39,068,227
6/30/06, repurchase price $39,081,673,
collateralized by $42,305,000 U.S. Treasury
Notes, 4.250%, due 11/15/14, value $39,852,621
- ----------
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $39,068,227) 39,068,227
---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST $642,400,192) - 100.9% 709,776,485
---------------------------------------------------------------------------------------------------------------
NOTIONAL EXPIRATION STRIKE
CONTRACTS TYPE AMOUNT (2) DATE PRICE VALUE
- ----------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS - (1.4)% (3)
(648) S&P 500 Index $(81,000,000) 7/22/06 $1250 $ (1,927,800)
(1,323) S&P 500 Index (168,682,500) 7/22/06 1275 (1,680,210)
(604) S&P 500 Index (78,520,000) 7/22/06 1300 (179,992)
(604) S&P 500 Index (75,500,000) 8/19/06 1250 (2,400,900)
(674) S&P 500 Index (85,935,000) 8/19/06 1275 (1,546,830)
(692) S&P 500 Index (89,960,000) 8/19/06 1300 (733,520)
(665) S&P 500 Index (86,450,000) 9/16/06 1300 (1,210,300)
- ----------------------------------------------------------------------------------------------------------------------------
(5,210) TOTAL CALL OPTIONS (PREMIUMS RECEIVED $11,898,588) (666,047,500) (9,679,552)
- ----------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS LESS LIABILITIES - 0.5% 3,289,496
---------------------------------------------------------------------------------------------------------------
NET ASSETS - 100% $ 703,386,429
---------------------------------------------------------------------------------------------------------------
</Table>
<Table>
(1) Non-income producing.
(2) For disclosure purposes, Notional Amount is calculated by multiplying the number of
Contracts by Strike Price by 100.
(3) The Fund may designate up to 100% of its Common Stock investments to cover outstanding
Call Options.
ADR American Depositary Receipt.
</Table>
See accompanying notes to financial statements.
21
Nuveen Equity Premium Opportunity Fund (JSN)
Portfolio of
INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 95.8%
AEROSPACE & DEFENSE - 2.3%
26,400 Aviall Inc., (1) $ 1,254,528
88,200 Boeing Company 7,224,462
133,500 Honeywell International Inc. 5,380,050
26,000 Lockheed Martin Corporation 1,865,240
41,700 Northrop Grumman Corporation 2,671,302
46,000 Raytheon Company 2,050,220
107,600 United Technologies Corporation 6,823,992
- ---------------------------------------------------------------------------------------------------------------------------
Total Aerospace & Defense 27,269,794
--------------------------------------------------------------------------------------------------------------
AIR FREIGHT & LOGISTICS - 0.7%
98,500 United Parcel Service, Inc., Class B 8,109,505
- ---------------------------------------------------------------------------------------------------------------------------
AIRLINES - 0.2%
93,200 AMR Corporation, (1) 2,369,144
- ---------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 0.1%
31,200 Lear Corporation 692,952
- ---------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES - 0.6%
302,500 Ford Motor Company 2,096,325
103,800 General Motors Corporation 3,092,202
34,500 Harley-Davidson Inc. 1,893,705
- ---------------------------------------------------------------------------------------------------------------------------
Total Automobiles 7,082,232
--------------------------------------------------------------------------------------------------------------
BEVERAGES - 1.0%
171,450 Coca-Cola Company 7,375,779
83,200 PepsiCo, Inc. 4,995,328
- ---------------------------------------------------------------------------------------------------------------------------
Total Beverages 12,371,107
--------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY - 2.6%
166,650 Amgen Inc., (1) 10,870,580
121,150 Biogen Idec Inc., (1) 5,612,880
53,400 Genentech, Inc., (1) 4,368,120
46,900 Genzyme Corporation, (1) 2,863,245
92,100 Gilead Sciences, Inc., (1) 5,448,636
23,750 Sepracor Inc., (1) 1,357,075
- ---------------------------------------------------------------------------------------------------------------------------
Total Biotechnology 30,520,536
--------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.9%
34,400 American Capital Strategies Limited 1,151,712
156,050 Charles Schwab Corporation 2,493,679
26,800 Goldman Sachs Group, Inc. 4,031,524
33,700 Legg Mason, Inc. 3,353,824
132,250 Morgan Stanley 8,359,523
136,400 Waddell & Reed Financial, Inc., Class A 2,804,384
- ---------------------------------------------------------------------------------------------------------------------------
Total Capital Markets 22,194,646
--------------------------------------------------------------------------------------------------------------
CHEMICALS - 1.7%
920 Arkema, (1) 35,891
112,500 Dow Chemical Company 4,390,875
137,700 E.I. Du Pont de Nemours and Company 5,728,320
46,050 Eastman Chemical Company 2,486,700
72,000 Lubrizol Corporation 2,869,200
26,400 Lyondell Chemical Company 598,224
23,600 NL Industries Inc. 253,700
</Table>
22
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
CHEMICALS (continued)
37,650 Olin Corporation $ 675,065
152,650 RPM International, Inc. 2,747,700
- ---------------------------------------------------------------------------------------------------------------------------
Total Chemicals 19,785,675
--------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS - 5.2%
14,500 Allied Capital Corporation 417,165
485,129 Bank of America Corporation 23,334,750
116,800 Commerce Bancorp, Inc. 4,166,256
30,000 F.N.B. Corporation PA 473,100
45,100 HSBC Holdings PLC, Sponsored ADR 3,984,585
121,500 Lloyds TSB Group PLC, Sponsored ADR 4,795,605
64,900 North Fork Bancorporation Inc. 1,958,033
283,700 U.S. Bancorp 8,760,656
135,250 Wachovia Corporation 7,314,320
108,950 Wells Fargo & Company 7,308,366
- ---------------------------------------------------------------------------------------------------------------------------
Total Commercial Banks 62,512,836
--------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 2.1%
95,800 Automatic Data Processing, Inc. 4,344,530
18,900 CheckFree Corp., (1) 936,684
28,100 Corporate Executive Board Company 2,815,620
46,400 Fair Isaac Corporation 1,684,784
17,300 Getty Images Inc., (1) 1,098,723
23,800 ITT Educational Services, Inc., (1) 1,566,278
57,150 Manpower Inc. 3,691,890
49,100 R.R. Donnelley & Sons Company 1,568,745
267,200 ServiceMaster Company 2,760,176
96,200 Sirva Inc., (1) 622,414
57,400 Synagro Technologies, Inc. 225,582
95,550 Waste Management, Inc. 3,428,334
- ---------------------------------------------------------------------------------------------------------------------------
Total Commercial Services & Supplies 24,743,760
--------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 4.9%
68,500 ADTRAN, Inc. 1,536,455
72,000 Avanex Corporation, (1) 126,720
919,400 Cisco Systems, Inc., (1) 17,955,882
184,500 Corning Incorporated, (1) 4,463,055
99,800 Finisar Corporation, (1) 326,346
57,000 Harris Corporation 2,366,070
150,000 JDS Uniphase Corporation, (1) 379,500
73,000 Juniper Networks Inc., (1) 1,167,270
243,800 Motorola, Inc. 4,912,570
569,150 QUALCOMM Inc. 22,805,841
44,900 Research In Motion Limited, (1) 3,132,673
- ---------------------------------------------------------------------------------------------------------------------------
Total Communications Equipment 59,172,382
--------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS - 3.7%
331,300 Apple Computer, Inc., (1) 18,923,856
81,600 Dell Inc., (1) 1,991,856
191,800 EMC Corporation, (1) 2,104,046
317,700 Hewlett-Packard Company 10,064,736
100,600 International Business Machines Corporation (IBM) 7,728,092
56,750 McAfee Inc., (1) 1,377,323
23,000 Network Appliance Inc., (1) 811,900
23,100 SanDisk Corporation, (1) 1,177,638
- ---------------------------------------------------------------------------------------------------------------------------
Total Computers & Peripherals 44,179,447
--------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 0.2%
31,000 American Express Company 1,649,820
- ---------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 0.7%
206,200 Packaging Corp. of America 4,540,524
127,450 Sonoco Products Company 4,033,793
- ---------------------------------------------------------------------------------------------------------------------------
Total Containers & Packaging 8,574,317
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED CONSUMER SERVICES - 0.2%
76,300 Alderwoods Group Inc., (1) 1,484,798
- ---------------------------------------------------------------------------------------------------------------------------
</Table>
23
Nuveen Equity Premium Opportunity Fund (JSN) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 5.0%
56,200 A. G. Edwards, Inc. $ 3,108,984
11,900 Chicago Merchantile Exchange 5,844,685
549,300 Citigroup Inc. 26,498,229
71,300 Eaton Vance Corporation 1,779,648
126,150 ING Groep N.V., Sponsored ADR 4,960,218
408,650 JPMorgan Chase & Co. 17,163,300
- ---------------------------------------------------------------------------------------------------------------------------
Total Diversified Financial Services 59,355,064
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 3.3%
439,300 AT&T Inc. 12,252,077
245,900 BellSouth Corporation 8,901,580
28,200 Broadwing Communications Inc., (1) 291,870
262,750 Citizens Communications Company 3,428,888
9,935 Embarq Corporation, (1) 407,236
198,706 Sprint Nextel Corporation 3,972,133
302,400 Verizon Communications Inc. 10,127,376
- ---------------------------------------------------------------------------------------------------------------------------
Total Diversified Telecommunication Services 39,381,160
--------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 1.1%
38,400 Ameren Corporation 1,939,200
98,700 Duquesne Light Holdings Inc. 1,622,628
129,350 Great Plains Energy Incorporated 3,603,691
92,500 OGE Energy Corp. 3,240,275
118,050 Pepco Holdings, Inc. 2,783,619
- ---------------------------------------------------------------------------------------------------------------------------
Total Electric Utilities 13,189,413
--------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.2%
124,000 Capstone Turbine Corporation, (1) 282,720
26,000 Cooper Industries, Ltd., Class A 2,415,920
80,400 Emerson Electric Co. 6,738,324
47,150 Hubbell Incorporated, Class B 2,246,698
39,000 Rockwell Automation, Inc. 2,808,390
- ---------------------------------------------------------------------------------------------------------------------------
Total Electrical Equipment 14,492,052
--------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.3%
123,100 Gentex Corporation 1,723,400
52,500 Roper Industries Inc. 2,454,375
- ---------------------------------------------------------------------------------------------------------------------------
Total Electronic Equipment & Instruments 4,177,775
--------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 2.0%
45,800 Diamond Offshore Drilling, Inc. 3,843,994
51,150 ENSCO International Incorporated 2,353,923
97,250 Halliburton Company 7,216,922
76,950 Patterson-UTI Energy, Inc. 2,178,455
75,000 Schlumberger Limited 4,883,250
77,800 Tidewater Inc. 3,827,760
- ---------------------------------------------------------------------------------------------------------------------------
Total Energy Equipment & Services 24,304,304
--------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 0.9%
32,614 SUPERVALU Inc. 1,001,250
61,400 Walgreen Co. 2,753,176
142,100 Wal-Mart Stores, Inc. 6,844,957
- ---------------------------------------------------------------------------------------------------------------------------
Total Food & Staples Retailing 10,599,383
--------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.4%
30,500 Monsanto Company 2,567,795
109,500 Sara Lee Corporation 1,754,190
- ---------------------------------------------------------------------------------------------------------------------------
Total Food Products 4,321,985
--------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 1.2%
63,900 AGL Resources Inc. 2,435,868
179,450 Atmos Energy Corporation 5,008,450
122,400 Nicor Inc. 5,079,600
84,600 Piedmont Natural Gas Company 2,055,780
- ---------------------------------------------------------------------------------------------------------------------------
Total Gas Utilities 14,579,698
--------------------------------------------------------------------------------------------------------------
</Table>
24
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.5%
80,600 Baxter International Inc. $ 2,962,856
60,980 Boston Scientific Corporation, (1) 1,026,903
35,400 Hillenbrand Industries 1,716,900
16,500 Lincare Holdings, (1) 624,360
- ---------------------------------------------------------------------------------------------------------------------------
Total Health Care Equipment & Supplies 6,331,019
--------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 1.7%
49,000 Aetna Inc. 1,956,570
46,800 American Retirement Corporation, (1) 1,533,636
8,400 AmericGroup Corporation, (1) 260,736
51,800 Caremark Rx, Inc. 2,583,266
39,000 Coventry Health Care, Inc., (1) 2,142,660
43,000 Mentor Corporation 1,870,500
113,600 UnitedHealth Group Incorporated 5,087,008
66,800 Wellpoint Inc., (1) 4,861,036
- ---------------------------------------------------------------------------------------------------------------------------
Total Health Care Providers & Services 20,295,412
--------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 1.5%
32,000 Aztar Corporation, (1) 1,662,720
84,350 GTECH Holdings Corporation 2,933,693
68,500 International Game Technology 2,598,890
215,800 McDonald's Corporation 7,250,880
31,000 Starwood Hotels & Resorts Worldwide, Inc. 1,870,540
14,900 Wynn Resorts Ltd, (1) 1,092,170
- ---------------------------------------------------------------------------------------------------------------------------
Total Hotels, Restaurants & Leisure 17,408,893
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 0.9%
184,850 Newell Rubbermaid Inc. 4,774,676
44,700 Stanley Works 2,110,734
52,780 Whirlpool Corporation 4,362,267
- ---------------------------------------------------------------------------------------------------------------------------
Total Household Durables 11,247,677
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.4%
59,100 Colgate-Palmolive Company 3,540,090
229,375 Procter & Gamble Company 12,753,250
- ---------------------------------------------------------------------------------------------------------------------------
Total Household Products 16,293,340
--------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES - 3.7%
83,000 3M Company 6,703,910
958,350 General Electric Company 31,587,213
57,500 Genuine Parts Company 2,395,450
115,050 Tyco International Ltd. 3,163,875
- ---------------------------------------------------------------------------------------------------------------------------
Total Industrial Conglomerates 43,850,448
--------------------------------------------------------------------------------------------------------------
INSURANCE - 2.3%
41,400 Allstate Corporation 2,265,822
202,500 American International Group, Inc. 11,957,625
118,050 Arthur J. Gallagher & Co. 2,991,387
51,050 Fidelity National Financial, Inc. 1,988,398
105,900 Marsh & McLennan Companies, Inc. 2,847,651
35,150 Mercury General Corporation 1,981,406
81,750 Unitrin, Inc. 3,563,483
- ---------------------------------------------------------------------------------------------------------------------------
Total Insurance 27,595,772
--------------------------------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL - 0.3%
72,750 Amazon.com, Inc., (1) 2,813,970
43,650 IAC/InterActiveCorp., (1) 1,156,289
- ---------------------------------------------------------------------------------------------------------------------------
Total Internet & Catalog Retail 3,970,259
--------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES - 2.6%
341,600 eBay Inc., (1) 10,005,464
27,200 Google Inc., Class A, (1) 11,405,776
112,200 United Online, Inc. 1,346,400
267,900 Yahoo! Inc., (1) 8,840,700
- ---------------------------------------------------------------------------------------------------------------------------
Total Internet Software & Services 31,598,340
--------------------------------------------------------------------------------------------------------------
</Table>
25
Nuveen Equity Premium Opportunity Fund (JSN) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
IT SERVICES - 0.4%
86,700 Electronic Data Systems Corporation $ 2,086,002
52,800 First Data Corporation 2,378,112
52,600 Sify Limited, (1) 524,948
- ---------------------------------------------------------------------------------------------------------------------------
Total IT Services 4,989,062
--------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 0.2%
85,100 Mattel, Inc. 1,405,001
34,500 Polaris Industries Inc. 1,493,850
- ---------------------------------------------------------------------------------------------------------------------------
Total Leisure Equipment & Products 2,898,851
--------------------------------------------------------------------------------------------------------------
LIFE SCIENCES TOOLS & SERVICES - 0.1%
23,400 Serologicals Corporation, (1) 735,696
- ---------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.6%
49,050 Briggs & Stratton Corporation 1,525,946
112,400 Caterpillar Inc. 8,371,552
52,750 Graco Inc. 2,425,445
24,400 Pentair, Inc. 834,236
76,400 SPX Corporation 4,274,580
67,000 Timken Company 2,245,170
- ---------------------------------------------------------------------------------------------------------------------------
Total Machinery 19,676,929
--------------------------------------------------------------------------------------------------------------
MEDIA - 2.1%
20,550 Catalina Marketing Corporation 584,853
69,500 Clear Channel Communications, Inc. 2,151,025
8,687 Live Nation Inc., (1) 176,867
125,000 Napster Inc., (1) 385,000
144,450 News Corporation, Class A 2,770,551
28,100 Omnicom Group Inc. 2,503,429
234,500 Regal Entertainment Group, Class A 4,765,040
495,250 Sirius Satellite Radio Inc., (1) 2,352,438
161,900 Time Warner Inc. 2,800,870
46,400 Viamcom Inc., Class B, (1) 1,662,976
129,700 Walt Disney Company 3,891,000
108,400 XM Satellite Radio Holdings Inc., Class A, (1) 1,588,060
- ---------------------------------------------------------------------------------------------------------------------------
Total Media 25,632,109
--------------------------------------------------------------------------------------------------------------
METALS & MINING - 0.9%
121,500 Alcoa Inc. 3,931,740
140,000 Companhia Siderurgica Nacional S.A., Sponsored ADR 4,508,000
25,000 Southern Copper Corporation 2,228,250
- ---------------------------------------------------------------------------------------------------------------------------
Total Metals & Mining 10,667,990
--------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 0.9%
66,192 Federated Department Stores, Inc. 2,422,627
93,000 Nordstrom, Inc. 3,394,500
20,877 Sears Holding Corporation, (1) 3,232,595
41,500 Target Corporation 2,028,105
- ---------------------------------------------------------------------------------------------------------------------------
Total Multiline Retail 11,077,827
--------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 1.2%
181,250 Duke Energy Corporation 5,323,313
88,300 National Fuel Gas Company 3,102,862
6,600 National Grid PLC, Sponsored ADR 356,796
95,800 ONEOK, Inc. 3,261,032
42,100 Public Service Enterprise Group Incorporated 2,783,652
- ---------------------------------------------------------------------------------------------------------------------------
Total Multi-Utilities 14,827,655
--------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 4.9%
12,800 BP Prudhoe Bay Royalty Trust 1,022,720
183,650 Chevron Corporation 11,397,319
74,000 ConocoPhillips 4,849,220
545,550 ExxonMobil Corporation 33,469,490
87,200 Royal Dutch Shell PLC, Class A, ADR 5,840,656
36,800 Total SA, Sponsored ADR 2,411,136
- ---------------------------------------------------------------------------------------------------------------------------
Total Oil, Gas & Consumable Fuels 58,990,541
--------------------------------------------------------------------------------------------------------------
</Table>
26
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.1%
37,000 Bowater Incorporated $ 841,750
- ---------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 6.7%
152,900 Abbott Laboratories 6,667,969
16,000 Amylin Pharmaceuticals Inc., (1) 789,920
406,450 Bristol-Myers Squibb Company 10,510,797
113,000 Celgene Corporation, (1) 5,359,590
116,450 Eli Lilly and Company 6,436,192
49,700 GlaxoSmithKline PLC, ADR 2,773,260
95,750 Johnson & Johnson 5,737,340
381,350 Merck & Co. Inc. 13,892,581
698,250 Pfizer Inc. 16,387,928
124,050 Schering-Plough Corporation 2,360,672
96,400 Teva Pharmaceutical Industries Limited 3,045,276
139,850 Wyeth 6,210,738
- ---------------------------------------------------------------------------------------------------------------------------
Total Pharmaceuticals 80,172,263
--------------------------------------------------------------------------------------------------------------
REAL ESTATE - 1.8%
125,350 American Financial Realty Trust 1,213,388
22,000 American Home Mortgage Investment Corp. 810,920
277,600 Crescent Real Estate Equities Company 5,152,256
56,800 First Industrial Realty Trust, Inc. 2,154,992
64,300 Friedman, Billings, Ramsey Group, Inc., Class A 705,371
59,500 Health Care REIT, Inc. 2,079,525
86,200 Hospitality Properties Trust 3,785,904
18,978 Host Marriott Corporation 415,049
246,550 HRPT Properties Trust 2,850,118
112,500 Nationwide Health Properties, Inc. 2,532,375
- ---------------------------------------------------------------------------------------------------------------------------
Total Real Estate 21,699,898
--------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 5.3%
84,500 Advanced Micro Devices, Inc., (1) 2,063,490
81,900 Altera Corporation, (1) 1,437,345
30,000 Amkor Technology Inc., (1) 283,800
109,800 Analog Devices, Inc. 3,528,972
292,300 Applied Materials, Inc. 4,758,644
129,900 Broadcom Corporation, Class A, (1) 3,903,495
130,000 Conexant Systems Inc., (1) 325,000
42,400 Cree, Inc., (1) 1,007,424
60,200 Freescale Semiconductor, Inc., (1) 1,745,800
1,023,350 Intel Corporation 19,392,483
14,200 International Rectifier Corporation, (1) 554,936
51,550 KLA-Tencor Corporation 2,142,934
72,550 Linear Technology Corporation 2,429,700
82,550 Marvell Technology Group Ltd., (1) 3,659,442
123,350 Maxim Integrated Products, Inc. 3,960,769
123,350 National Semiconductor Corporation 2,941,898
213,250 Texas Instruments Incorporated 6,459,343
129,000 Vitesse Semiconductor Corporation, (1) 185,760
130,650 Xilinx, Inc. 2,959,223
- ---------------------------------------------------------------------------------------------------------------------------
Total Semiconductors & Equipment 63,740,458
--------------------------------------------------------------------------------------------------------------
SOFTWARE - 6.0%
76,353 Activision Inc., (1) 868,908
190,764 Adobe Systems Incorporated, (1) 5,791,595
53,200 Akamai Technologies, Inc., (1) 1,925,308
71,500 Autodesk, Inc., (1) 2,463,890
102,500 CA Inc. 2,106,375
1,666,550 Microsoft Corporation 38,830,611
746,691 Oracle Corporation, (1) 10,819,567
24,100 Red Hat, Inc., (1) 563,940
52,500 SAP AG, Sponsored ADR 2,757,300
303,021 Symantec Corporation, (1) 4,708,946
58,650 VeriSign, Inc., (1) 1,358,921
- ---------------------------------------------------------------------------------------------------------------------------
Total Software 72,195,361
--------------------------------------------------------------------------------------------------------------
</Table>
27
Nuveen Equity Premium Opportunity Fund (JSN) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 2.5%
20,300 Abercrombie & Fitch Co., Class A $ 1,125,229
37,400 American Eagle Outfitters, Inc. 1,273,096
88,950 Best Buy Co., Inc. 4,878,018
13,700 Cabela's Incorporated, (1) 263,862
34,100 CarMax, Inc., (1) 1,209,186
56,400 Chico's FAS, Inc., (1) 1,521,672
81,900 Claire's Stores, Inc. 2,089,269
64,150 Gap, Inc. 1,116,210
210,000 Home Depot, Inc. 7,515,900
126,450 Limited Brands, Inc. 3,235,856
53,150 Lowe's Companies, Inc. 3,224,611
66,200 Michaels Stores, Inc. 2,730,088
24,000 Pier 1 Imports, Inc. 167,520
- ---------------------------------------------------------------------------------------------------------------------------
Total Specialty Retail 30,350,517
--------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE - 0.4%
261,200 New York Community Bancorp, Inc. 4,312,412
- ---------------------------------------------------------------------------------------------------------------------------
TOBACCO - 2.0%
249,400 Altria Group, Inc. 18,313,442
56,950 Loews Corp - Carolina Group 2,925,522
22,700 Reynolds American Inc. 2,617,310
- ---------------------------------------------------------------------------------------------------------------------------
Total Tobacco 23,856,274
--------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.3%
84,500 China Mobile Limited, Sponsored ADR 2,417,545
61,200 UbiquiTel Inc., (1) 632,808
- ---------------------------------------------------------------------------------------------------------------------------
Total Wireless Telecommunication Services 3,050,353
--------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $1,066,994,344) 1,145,420,891
--------------------------------------------------------------------------------------------------------------
<Caption>
NOTIONAL EXPIRATION STRIKE
CONTRACTS TYPE AMOUNT (2) DATE PRICE VALUE
- ----------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS - 0.2%
439 Nasdaq 100 Index $61,460,000 7/22/06 $1400 $ 44,778
430 Nasdaq 100 Index 62,350,000 7/22/06 1450 79,550
439 Nasdaq 100 Index 63,655,000 8/19/06 1450 324,860
490 Nasdaq 100 Index 72,275,000 8/19/06 1475 490,000
1,000 S&P 500 Index 115,000,000 7/22/06 1150 55,000
995 S&P 500 Index 116,912,500 7/22/06 1175 94,525
1,773 S&P 500 Index 212,760,000 7/22/06 1200 301,410
833 S&P 500 Index 102,042,500 7/22/06 1225 274,890
1,056 S&P 500 Index 121,440,000 8/19/06 1150 269,280
997 S&P 500 Index 117,147,500 8/19/06 1175 388,830
- ----------------------------------------------------------------------------------------------------------------------------
8,452 TOTAL PUT OPTIONS (COST $7,303,648) 1,045,042,500 2,323,123
- ----------------------------------------------------------------------------------------------------------------------------
</Table>
28
<Table>
<Caption>
PRINCIPAL
AMOUNT (000) DESCRIPTION COUPON MATURITY VALUE
- ------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 5.0%
$ 59,184 Repurchase Agreement with State Street Bank, dated 4.130% 7/03/06 $ 59,184,335
6/30/06, repurchase price $59,204,704,
collateralized by $46,870,000 U.S. Treasury
Bonds, 8.125%, due 5/15/21, value $60,374,419
- -----------
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $59,184,335) 59,184,335
---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST $1,133,482,327) - 101.0% 1,206,928,349
---------------------------------------------------------------------------------------------------------------
<Caption>
NOTIONAL EXPIRATION STRIKE
CONTRACTS TYPE AMOUNT (2) DATE PRICE VALUE
- ------------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS - (1.3)% (3)
(435) Mini-NDX 100 Index $(7,177,500) 7/22/06 $165.0 $ (9,570)
(1,410) Mini-NDX 100 Index (23,970,000) 7/22/06 170.0 (7,050)
(1,920) Mini-NDX 100 Index (30,720,000) 8/19/06 160.0 (595,200)
(2,393) Mini-NDX 100 Index (38,886,250) 8/19/06 162.5 (471,421)
(1,820) Mini-NDX 100 Index (29,120,000) 9/16/06 160.0 (800,800)
(183) Nasdaq 100 Index (29,737,500) 7/22/06 1625 (124,440)
(335) Nasdaq 100 Index (55,275,000) 7/22/06 1650 (84,420)
(34) Nasdaq 100 Index (5,780,000) 7/22/06 1700 (1,428)
(82) Nasdaq 100 Index (13,120,000) 8/19/06 1600 (252,560)
(173) Nasdaq 100 Index (28,112,500) 8/19/06 1625 (345,135)
(193) Nasdaq 100 Index (31,845,000) 8/19/06 1650 (223,880)
(826) S&P 500 Index (103,250,000) 7/22/06 1250 (2,457,350)
(1,680) S&P 500 Index (214,200,000) 7/22/06 1275 (2,133,600)
(748) S&P 500 Index (97,240,000) 7/22/06 1300 (222,904)
(794) S&P 500 Index (99,250,000) 8/19/06 1250 (3,156,150)
(878) S&P 500 Index (111,945,000) 8/19/06 1275 (2,015,010)
(873) S&P 500 Index (113,490,000) 8/19/06 1300 (925,380)
(855) S&P 500 Index (111,150,000) 9/16/06 1300 (1,556,100)
- ------------------------------------------------------------------------------------------------------------------------------
(15,632) TOTAL CALL OPTIONS (PREMIUMS RECEIVED $22,760,724) (1,144,268,750) (15,382,398)
- ------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS LESS LIABILITIES - 0.3% 3,896,474
---------------------------------------------------------------------------------------------------------------
NET ASSETS - 100% $1,195,442,425
---------------------------------------------------------------------------------------------------------------
</Table>
<Table>
(1) Non-income producing.
(2) For disclosure purposes, Notional Amount is calculated by multiplying the number of
Contracts by Strike Price by 100.
(3) The Fund may designate up to 100% of its Common Stock investments to cover outstanding
Call Options.
ADR American Depositary Receipt.
</Table>
See accompanying notes to financial statements.
29
Nuveen Equity Premium Advantage Fund (JLA)
Portfolio of
INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 95.4%
AEROSPACE & DEFENSE - 1.2%
26,200 Boeing Company $ 2,146,042
41,300 Honeywell International Inc. 1,664,390
29,900 United Technologies Corporation 1,896,258
- ---------------------------------------------------------------------------------------------------------------------------
Total Aerospace & Defense 5,706,690
--------------------------------------------------------------------------------------------------------------
AIR FREIGHT & LOGISTICS - 0.6%
33,700 United Parcel Service, Inc., Class B 2,774,521
- ---------------------------------------------------------------------------------------------------------------------------
AIRLINES - 0.2%
60,900 Southwest Airlines Co. 996,933
- ---------------------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 0.1%
22,700 Lear Corporation 504,167
- ---------------------------------------------------------------------------------------------------------------------------
AUTOMOBILES - 0.4%
89,000 Ford Motor Company 616,770
13,500 General Motors Corporation 402,165
14,900 Harley-Davidson Inc. 817,861
- ---------------------------------------------------------------------------------------------------------------------------
Total Automobiles 1,836,796
--------------------------------------------------------------------------------------------------------------
BEVERAGES - 0.6%
32,700 Coca-Cola Company 1,406,754
23,200 PepsiCo, Inc. 1,392,928
- ---------------------------------------------------------------------------------------------------------------------------
Total Beverages 2,799,682
--------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY - 4.5%
99,900 Amgen Inc., (1) 6,516,477
73,600 Biogen Idec Inc., (1) 3,409,888
12,500 Cephalon, Inc., (1) 751,250
11,700 Genentech, Inc., (1) 957,060
56,100 Genzyme Corporation, (1) 3,424,905
80,200 Gilead Sciences, Inc., (1) 4,744,632
19,500 Sepracor Inc., (1) 1,114,230
- ---------------------------------------------------------------------------------------------------------------------------
Total Biotechnology 20,918,442
--------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.5%
74,000 Charles Schwab Corporation 1,182,520
9,100 Goldman Sachs Group, Inc. 1,368,913
13,200 Legg Mason, Inc. 1,313,664
35,700 Morgan Stanley 2,256,597
51,000 Waddell & Reed Financial, Inc., Class A 1,048,560
- ---------------------------------------------------------------------------------------------------------------------------
Total Capital Markets 7,170,254
--------------------------------------------------------------------------------------------------------------
CHEMICALS - 0.5%
23,800 Dow Chemical Company 928,914
26,100 Lyondell Chemical Company 591,426
22,000 Olin Corporation 394,460
34,800 RPM International, Inc. 626,400
- ---------------------------------------------------------------------------------------------------------------------------
Total Chemicals 2,541,200
--------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS - 3.7%
118,691 Bank of America Corporation 5,709,085
23,800 Bank of New York Company, Inc. 766,360
33,600 Commerce Bancorp, Inc. 1,198,512
82,400 Lloyds TSB Group PLC, Sponsored ADR 3,252,328
63,800 U.S. Bancorp 1,970,144
</Table>
30
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS (continued)
38,800 Wachovia Corporation $ 2,098,304
32,600 Wells Fargo & Company 2,186,808
- ---------------------------------------------------------------------------------------------------------------------------
Total Commercial Banks 17,181,541
--------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 2.8%
38,800 Automatic Data Processing, Inc. 1,759,580
28,200 CheckFree Corp., (1) 1,397,592
13,800 Corporate Executive Board Company 1,382,760
36,000 Deluxe Corporation 629,280
23,400 Global Payments Inc. 1,136,070
15,900 ITT Educational Services, Inc., (1) 1,046,379
20,400 Manpower Inc. 1,317,840
65,500 Paychex, Inc. 2,553,190
26,600 Pitney Bowes Inc. 1,098,580
88,800 ServiceMaster Company 917,304
- ---------------------------------------------------------------------------------------------------------------------------
Total Commercial Services & Supplies 13,238,575
--------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 7.0%
101,000 Ciena Corporation, (1) 485,810
467,900 Cisco Systems, Inc., (1) 9,138,087
14,000 Comverse Technology, Inc., (1) 276,780
68,300 Corning Incorporated, (1) 1,652,177
29,400 Harris Corporation 1,220,394
339,500 JDS Uniphase Corporation, (1) 858,935
63,600 Juniper Networks Inc., (1) 1,016,964
150,600 Lucent Technologies Inc., (1) 364,452
72,900 Motorola, Inc. 1,468,935
374,500 QUALCOMM Inc. 15,006,215
19,100 Research In Motion Limited, (1) 1,332,607
- ---------------------------------------------------------------------------------------------------------------------------
Total Communications Equipment 32,821,356
--------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS - 5.3%
226,500 Apple Computer, Inc., (1) 12,937,680
21,500 ATI Technologies Inc., (1) 313,900
66,500 EMC Corporation, (1) 729,505
100,200 Hewlett-Packard Company 3,174,336
36,800 International Business Machines Corporation (IBM) 2,826,976
59,000 Network Appliance Inc., (1) 2,082,700
31,500 SanDisk Corporation, (1) 1,605,870
242,000 Sun Microsystems Inc., (1) 1,004,300
- ---------------------------------------------------------------------------------------------------------------------------
Total Computers & Peripherals 24,675,267
--------------------------------------------------------------------------------------------------------------
CONSUMER FINANCE - 0.2%
18,700 American Express Company 995,214
- ---------------------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 0.5%
74,200 Packaging Corp. of America 1,633,884
24,900 Sonoco Products Company 788,085
- ---------------------------------------------------------------------------------------------------------------------------
Total Containers & Packaging 2,421,969
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 2.9%
4,400 Chicago Merchantile Exchange 2,161,060
115,400 Citigroup Inc. 5,566,896
36,000 Eaton Vance Corporation 898,560
89,700 JPMorgan Chase & Co. 3,767,400
20,000 Moody's Corporation 1,089,200
- ---------------------------------------------------------------------------------------------------------------------------
Total Diversified Financial Services 13,483,116
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 2.1%
149,013 AT&T Inc. 4,155,973
54,100 BellSouth Corporation 1,958,420
70,914 Sprint Nextel Corporation 1,417,571
75,700 Verizon Communications Inc. 2,535,193
- ---------------------------------------------------------------------------------------------------------------------------
Total Diversified Telecommunication Services 10,067,157
--------------------------------------------------------------------------------------------------------------
</Table>
31
Nuveen Equity Premium Advantage Fund (JLA) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 0.6%
21,600 Exelon Corporation $ 1,227,528
30,400 OGE Energy Corp. 1,064,912
42,000 TECO Energy, Inc. 627,480
- ---------------------------------------------------------------------------------------------------------------------------
Total Electric Utilities 2,919,920
--------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.2%
13,000 Cooper Industries, Ltd., Class A 1,207,960
29,900 Emerson Electric Co. 2,505,919
13,500 Hubbell Incorporated, Class B 643,275
15,500 Rockwell Automation, Inc. 1,116,155
- ---------------------------------------------------------------------------------------------------------------------------
Total Electrical Equipment 5,473,309
--------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.6%
16,300 Amphenol Corporation, Class A 912,148
20,300 Arrow Electronics, Inc., (1) 653,660
23,200 Roper Industries Inc. 1,084,600
- ---------------------------------------------------------------------------------------------------------------------------
Total Electronic Equipment & Instruments 2,650,408
--------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 1.6%
15,000 Cooper Cameron Corporation, (1) 716,550
21,300 Diamond Offshore Drilling, Inc. 1,787,709
9,000 ENSCO International Incorporated 414,180
26,400 Halliburton Company 1,959,144
14,600 Schlumberger Limited 950,606
35,000 Smith International, Inc. 1,556,450
- ---------------------------------------------------------------------------------------------------------------------------
Total Energy Equipment & Services 7,384,639
--------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 1.0%
33,900 CVS Corporation 1,040,730
10,956 SUPERVALU Inc. 336,361
25,700 Walgreen Co. 1,152,388
46,000 Wal-Mart Stores, Inc. 2,215,820
- ---------------------------------------------------------------------------------------------------------------------------
Total Food & Staples Retailing 4,745,299
--------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.4%
22,800 ConAgra Foods, Inc. 504,108
13,900 Monsanto Company 1,170,241
- ---------------------------------------------------------------------------------------------------------------------------
Total Food Products 1,674,349
--------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 0.9%
36,400 Atmos Energy Corporation 1,015,924
50,200 Nicor Inc. 2,083,300
18,000 Peoples Energy Corporation 646,380
26,700 Piedmont Natural Gas Company 648,810
- ---------------------------------------------------------------------------------------------------------------------------
Total Gas Utilities 4,394,414
--------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 1.1%
33,800 Applera Corporation-Applied Biosystems Group 1,093,430
34,400 Baxter International Inc. 1,264,544
17,638 Boston Scientific Corporation, (1) 297,024
4,600 Intuitive Surgical, Inc., (1) 542,662
34,300 Medtronic, Inc. 1,609,356
10,000 Stryker Corporation 421,100
- ---------------------------------------------------------------------------------------------------------------------------
Total Health Care Equipment & Supplies 5,228,116
--------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 1.0%
19,800 Caremark Rx, Inc. 987,426
8,900 HealthExtras, Inc., (1) 268,958
9,100 Humana Inc., (1) 488,670
15,100 Medco Health Solutions, Inc., (1) 864,928
8,200 UnitedHealth Group Incorporated 367,196
11,200 Universal Health Services, Inc., Class B 562,912
16,600 Wellpoint Inc., (1) 1,207,982
- ---------------------------------------------------------------------------------------------------------------------------
Total Health Care Providers & Services 4,748,072
--------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 2.5%
27,600 International Game Technology 1,047,144
45,500 McDonald's Corporation 1,528,800
</Table>
32
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE (continued)
182,400 Starbucks Corporation, (1) $ 6,887,424
15,700 Starwood Hotels & Resorts Worldwide, Inc. 947,338
20,300 Wendy's International, Inc. 1,183,287
- ---------------------------------------------------------------------------------------------------------------------------
Total Hotels, Restaurants & Leisure 11,593,993
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 0.8%
5,000 Black & Decker Corporation 422,300
37,300 Furniture Brands International, Inc. 777,332
38,500 Newell Rubbermaid Inc. 994,455
24,600 Tupperware Corporation 484,374
12,700 Whirlpool Corporation 1,049,655
- ---------------------------------------------------------------------------------------------------------------------------
Total Household Durables 3,728,116
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 0.9%
76,565 Procter & Gamble Company 4,257,014
- ---------------------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES - 2.3%
24,900 3M Company 2,011,173
233,000 General Electric Company 7,679,680
42,100 Tyco International Ltd. 1,157,750
- ---------------------------------------------------------------------------------------------------------------------------
Total Industrial Conglomerates 10,848,603
--------------------------------------------------------------------------------------------------------------
INSURANCE - 1.8%
24,500 AFLAC Incorporated 1,135,575
63,400 American International Group, Inc. 3,743,770
29,600 Arthur J. Gallagher & Co. 750,064
32,700 Fidelity National Financial, Inc. 1,273,665
13,600 Prudential Financial, Inc. 1,056,720
14,400 Unitrin, Inc. 627,696
- ---------------------------------------------------------------------------------------------------------------------------
Total Insurance 8,587,490
--------------------------------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL - 0.7%
39,200 Amazon.com, Inc., (1) 1,516,256
45,750 IAC/InterActiveCorp., (1) 1,211,918
15,900 Stamps.com Inc., (1) 442,338
- ---------------------------------------------------------------------------------------------------------------------------
Total Internet & Catalog Retail 3,170,512
--------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES - 4.7%
207,600 eBay Inc., (1) 6,080,604
21,500 Google Inc., Class A, (1) 9,015,595
37,800 j2 Global Communications, Inc., (1) 1,180,116
19,300 Sohu.com Inc., (1) 497,747
77,200 United Online, Inc. 926,400
134,400 Yahoo! Inc., (1) 4,435,200
- ---------------------------------------------------------------------------------------------------------------------------
Total Internet Software & Services 22,135,662
--------------------------------------------------------------------------------------------------------------
IT SERVICES - 0.7%
11,800 Digital River, Inc., (1) 476,602
41,600 Electronic Data Systems Corporation 1,000,896
29,700 First Data Corporation 1,337,688
7,300 Infosys Technologies Limited, Sponsored ADR 557,793
- ---------------------------------------------------------------------------------------------------------------------------
Total IT Services 3,372,979
--------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 0.1%
11,000 Polaris Industries Inc. 476,300
- ---------------------------------------------------------------------------------------------------------------------------
MACHINERY - 1.5%
23,900 Briggs & Stratton Corporation 743,529
29,600 Caterpillar Inc. 2,204,608
11,100 Danaher Corporation 713,952
15,700 Eaton Corporation 1,183,780
18,700 Graco Inc. 859,826
23,300 SPX Corporation 1,303,635
- ---------------------------------------------------------------------------------------------------------------------------
Total Machinery 7,009,330
--------------------------------------------------------------------------------------------------------------
MEDIA - 3.4%
32,300 Clear Channel Communications, Inc. 999,685
149,100 Comcast Corporation, Special Class A, (1) 4,887,498
</Table>
33
Nuveen Equity Premium Advantage Fund (JLA) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
MEDIA (continued)
22,900 Dow Jones & Company, Inc. $ 801,729
62,500 News Corporation, Class A 1,198,750
12,800 Omnicom Group Inc. 1,140,352
76,300 Regal Entertainment Group, Class A 1,550,416
304,900 Sirius Satellite Radio Inc., (1) 1,448,275
121,600 Time Warner Inc. 2,103,680
24,500 ValueClick, Inc., (1) 376,075
34,600 Walt Disney Company 1,038,000
73,100 Westwood One, Inc. 548,250
- ---------------------------------------------------------------------------------------------------------------------------
Total Media 16,092,710
--------------------------------------------------------------------------------------------------------------
METALS & MINING - 1.0%
29,600 Alcoa Inc. 957,856
56,000 Companhia Siderurgica Nacional S.A., Sponsored ADR 1,803,200
18,000 Phelps Dodge Corporation 1,478,880
6,500 Southern Copper Corporation 579,345
- ---------------------------------------------------------------------------------------------------------------------------
Total Metals & Mining 4,819,281
--------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 1.5%
22,662 Federated Department Stores, Inc. 829,429
16,800 J.C. Penney Company, Inc. 1,134,168
19,500 Nordstrom, Inc. 711,750
19,400 Sears Holding Corporation, (1) 3,003,896
23,300 Target Corporation 1,138,671
- ---------------------------------------------------------------------------------------------------------------------------
Total Multiline Retail 6,817,914
--------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 0.7%
61,600 Duke Energy Corporation 1,809,192
12,700 National Grid PLC, Sponsored ADR 686,562
30,500 Vectren Corporation 831,125
- ---------------------------------------------------------------------------------------------------------------------------
Total Multi-Utilities 3,326,879
--------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 3.6%
71,100 Chevron Corporation 4,412,466
35,300 ConocoPhillips 2,313,209
151,700 ExxonMobil Corporation 9,306,795
12,500 Valero Energy Corporation 831,500
- ---------------------------------------------------------------------------------------------------------------------------
Total Oil, Gas & Consumable Fuels 16,863,970
--------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.6%
18,000 International Paper Company 581,400
31,500 Potlatch Corporation 1,189,125
20,300 Weyerhaeuser Company 1,263,675
- ---------------------------------------------------------------------------------------------------------------------------
Total Paper & Forest Products 3,034,200
--------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 5.5%
34,800 Abbott Laboratories 1,517,628
90,700 Bristol-Myers Squibb Company 2,345,502
58,000 Celgene Corporation, (1) 2,750,940
48,800 Eli Lilly and Company 2,697,176
20,700 GlaxoSmithKline PLC, ADR 1,155,060
53,500 Johnson & Johnson 3,205,720
110,300 Merck & Co. Inc. 4,018,229
174,300 Pfizer Inc. 4,090,821
55,400 Schering-Plough Corporation 1,054,262
42,900 Telik, Inc., (1) 707,850
46,200 Wyeth 2,051,742
- ---------------------------------------------------------------------------------------------------------------------------
Total Pharmaceuticals 25,594,930
--------------------------------------------------------------------------------------------------------------
REAL ESTATE - 1.2%
65,000 American Financial Realty Trust 629,200
67,400 Health Care REIT, Inc. 2,355,630
9,611 Host Marriott Corporation 210,193
66,600 Nationwide Health Properties, Inc. 1,499,166
49,550 Trustreet Properties, Inc. 653,565
- ---------------------------------------------------------------------------------------------------------------------------
Total Real Estate 5,347,754
--------------------------------------------------------------------------------------------------------------
</Table>
34
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 0.4%
17,500 Burlington Northern Santa Fe Corporation $ 1,386,875
17,500 Laidlaw International Inc. 441,000
- ---------------------------------------------------------------------------------------------------------------------------
Total Road & Rail 1,827,875
--------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 6.4%
46,200 Advanced Micro Devices, Inc., (1) 1,128,204
57,000 Altera Corporation, (1) 1,000,350
50,600 Analog Devices, Inc. 1,626,284
124,800 Applied Materials, Inc. 2,031,744
74,400 Broadcom Corporation, Class A, (1) 2,235,720
18,900 Cymer, Inc., (1) 878,094
55,600 Fairchild Semiconductor International Inc., Class 1,010,252
A, (1)
46,600 Freescale Semiconductor, Inc., (1) 1,351,400
60,580 Integrated Device Technology, Inc., (1) 859,024
24,700 KLA-Tencor Corporation 1,026,779
55,500 Linear Technology Corporation 1,858,695
35,300 Marvell Technology Group Ltd., (1) 1,564,849
81,900 Maxim Integrated Products, Inc. 2,629,809
30,100 Micrel, Incorporated, (1) 301,301
73,000 Micron Technology, Inc., (1) 1,099,380
53,400 National Semiconductor Corporation 1,273,590
41,000 NVIDIA Corporation, (1) 872,890
102,000 Sigmatel Incorporated, (1) 419,220
116,202 Taiwan Semiconductor Manufacturing Company Ltd., 1,066,738
Sponsored ADR
85,100 Texas Instruments Incorporated 2,577,679
30,150 Varian Semiconductor Equipment Associate, (1) 983,192
92,500 Xilinx, Inc. 2,095,125
- ---------------------------------------------------------------------------------------------------------------------------
Total Semiconductors & Equipment 29,890,319
--------------------------------------------------------------------------------------------------------------
SOFTWARE - 8.8%
92,500 Adobe Systems Incorporated, (1) 2,808,300
22,100 Akamai Technologies, Inc., (1) 799,799
39,700 Autodesk, Inc., (1) 1,368,062
23,500 CA Inc. 482,925
73,400 Cadence Design Systems, Inc., (1) 1,258,810
28,850 Hyperion Solutions Corporation, (1) 796,260
18,600 Internet Security Systems, Inc., (1) 350,610
834,600 Microsoft Corporation 19,446,180
506,650 Oracle Corporation, (1) 7,341,373
17,600 Red Hat, Inc., (1) 411,840
18,900 Reynolds and Reynolds Company 579,663
16,800 SAP AG, Sponsored ADR 882,336
32,000 Satyam Computer Services Limited, ADR 1,060,480
25,400 Sybase, Inc., (1) 492,760
157,610 Symantec Corporation, (1) 2,449,259
33,900 VeriSign, Inc., (1) 785,463
- ---------------------------------------------------------------------------------------------------------------------------
Total Software 41,314,120
--------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 2.0%
6,500 Abercrombie & Fitch Co., Class A 360,295
28,650 Best Buy Co., Inc. 1,571,166
32,600 Claire's Stores, Inc. 831,626
25,700 Gap, Inc. 447,180
60,100 Home Depot, Inc. 2,150,979
40,900 Limited Brands, Inc. 1,046,631
24,500 Lowe's Companies, Inc. 1,486,415
14,100 Office Depot, Inc., (1) 535,800
46,200 Pier 1 Imports, Inc. 322,476
22,800 TJX Companies, Inc. 521,208
- ---------------------------------------------------------------------------------------------------------------------------
Total Specialty Retail 9,273,776
--------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.1%
15,000 Coach, Inc., (1) 448,500
- ---------------------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE - 0.3%
13,800 Fannie Mae 663,780
53,100 New York Community Bancorp, Inc. 876,681
- ---------------------------------------------------------------------------------------------------------------------------
Total Thrifts & Mortgage Finance 1,540,461
--------------------------------------------------------------------------------------------------------------
</Table>
35
Nuveen Equity Premium Advantage Fund (JLA) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
TOBACCO - 1.1%
69,700 Altria Group, Inc. $ 5,118,071
- ---------------------------------------------------------------------------------------------------------------------------
WIRELESS TELECOMMUNICATION SERVICES - 0.3%
46,400 China Mobile Limited, Sponsored ADR 1,327,504
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $413,530,959) 447,169,669
--------------------------------------------------------------------------------------------------------------
<Caption>
NOTIONAL EXPIRATION STRIKE
CONTRACTS TYPE AMOUNT (2) DATE PRICE VALUE
- ----------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS - 0.2%
335 Nasdaq 100 Index $46,900,000 7/22/06 $1400 $ 34,170
339 Nasdaq 100 Index 49,155,000 7/22/06 1450 62,715
336 Nasdaq 100 Index 48,720,000 8/19/06 1450 248,640
389 Nasdaq 100 Index 57,377,500 8/19/06 1475 389,000
261 S&P 500 Index 30,015,000 7/22/06 1150 14,355
273 S&P 500 Index 32,077,500 7/22/06 1175 25,935
453 S&P 500 Index 54,360,000 7/22/06 1200 77,010
207 S&P 500 Index 25,357,500 7/22/06 1225 68,310
289 S&P 500 Index 33,235,000 8/19/06 1150 73,695
261 S&P 500 Index 30,667,500 8/19/06 1175 101,790
- ----------------------------------------------------------------------------------------------------------------------------
3,143 TOTAL PUT OPTIONS (COST $3,668,818) 407,865,000 1,095,620
- ----------------------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT
(000) DESCRIPTION COUPON MATURITY VALUE
- ----------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 5.4%
$ 25,088 Repurchase Agreement with State Street Bank, dated 4.130% 7/03/06 $ 25,088,171
6/30/06, repurchase price $25,096,806,
collateralized by $19,870,000 U.S. Treasury
Bonds, 8.125%, due 5/15/21, value $25,595,044
- ----------
- ----------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $25,088,171) 25,088,171
---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST $442,287,948) - 101.0% 473,353,460
---------------------------------------------------------------------------------------------------------------
NOTIONAL EXPIRATION STRIKE
CONTRACTS TYPE AMOUNT (2) DATE PRICE VALUE
- ----------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS - (1.2)% (3)
(200) Mini-NDX 100 Index $(3,250,000) 7/22/06 $162.5 $ (13,400)
(1,430) Mini-NDX 100 Index (23,595,000) 7/22/06 165.0 (31,460)
(120) Mini-NDX 100 Index (2,040,000) 7/22/06 170.0 (600)
(1,540) Mini-NDX 100 Index (24,640,000) 8/19/06 160.0 (477,400)
(1,420) Mini-NDX 100 Index (23,075,000) 8/19/06 162.5 (279,740)
(1,750) Mini-NDX 100 Index (28,000,000) 9/16/06 160.0 (770,000)
(138) Nasdaq 100 Index (22,425,000) 7/22/06 1625 (93,840)
(147) Nasdaq 100 Index (24,255,000) 7/22/06 1650 (37,044)
(128) Nasdaq 100 Index (21,760,000) 7/22/06 1700 (5,376)
(190) Nasdaq 100 Index (30,875,000) 8/19/06 1625 (379,050)
(154) Nasdaq 100 Index (25,410,000) 8/19/06 1650 (178,640)
(212) S&P 500 Index (26,500,000) 7/22/06 1250 (630,700)
(442) S&P 500 Index (56,355,000) 7/22/06 1275 (561,340)
(210) S&P 500 Index (27,300,000) 7/22/06 1300 (62,580)
(197) S&P 500 Index (24,625,000) 8/19/06 1250 (783,075)
(227) S&P 500 Index (28,942,500) 8/19/06 1275 (520,965)
(226) S&P 500 Index (29,380,000) 8/19/06 1300 (239,560)
(230) S&P 500 Index (29,900,000) 9/16/06 1300 (418,600)
- ----------------------------------------------------------------------------------------------------------------------------
(8,961) TOTAL CALL OPTIONS (PREMIUMS RECEIVED $10,358,095) (452,327,500) (5,483,370)
- ----------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS LESS LIABILITIES - 0.2% 848,722
---------------------------------------------------------------------------------------------------------------
NET ASSETS - 100% $ 468,718,812
---------------------------------------------------------------------------------------------------------------
</Table>
<Table>
(1) Non-income producing.
(2) For disclosure purposes, Notional Amount is calculated by multiplying the number of
Contracts by Strike Price by 100.
(3) The Fund may designate up to 100% of its Common Stock investments to cover outstanding
Call Options.
ADR American Depositary Receipt.
</Table>
See accompanying notes to financial statements.
36
Nuveen Equity Premium and Growth Fund (JPG)
Portfolio of
INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
COMMON STOCKS - 95.7%
AEROSPACE & DEFENSE - 1.6%
20,500 Boeing Company $ 1,679,155
4,500 Goodrich Corporation 181,305
28,500 Honeywell International Inc. 1,148,550
29,400 United Technologies Corporation 1,864,548
- ---------------------------------------------------------------------------------------------------------------------------
Total Aerospace & Defense 4,873,558
--------------------------------------------------------------------------------------------------------------
AIR FREIGHT & LOGISTICS - 0.7%
25,200 United Parcel Service, Inc., Class B 2,074,716
- ---------------------------------------------------------------------------------------------------------------------------
AIRLINES - 0.4%
14,900 AMR Corporation, (1) 378,758
9,600 Continental Airlines, Inc., (1) 286,080
20,000 Southwest Airlines Co. 327,400
3,800 US Airways Group Inc., (1) 192,052
- ---------------------------------------------------------------------------------------------------------------------------
Total Airlines 1,184,290
--------------------------------------------------------------------------------------------------------------
AUTO COMPONENTS - 0.3%
24,800 American Axle and Manufacturing Holdings Inc. 424,328
18,500 Cooper Tire & Rubber 206,090
14,000 Lear Corporation 310,940
- ---------------------------------------------------------------------------------------------------------------------------
Total Auto Components 941,358
--------------------------------------------------------------------------------------------------------------
AUTOMOBILES - 0.6%
82,400 Ford Motor Company 571,032
35,600 General Motors Corporation 1,060,524
2,500 Harley-Davidson Inc. 137,225
- ---------------------------------------------------------------------------------------------------------------------------
Total Automobiles 1,768,781
--------------------------------------------------------------------------------------------------------------
BEVERAGES - 0.6%
35,000 Coca-Cola Company 1,505,700
7,500 PepsiCo, Inc. 450,300
- ---------------------------------------------------------------------------------------------------------------------------
Total Beverages 1,956,000
--------------------------------------------------------------------------------------------------------------
BIOTECHNOLOGY - 0.1%
4,100 Amgen Inc., (1) 267,443
- ---------------------------------------------------------------------------------------------------------------------------
BUILDING PRODUCTS - 0.0%
4,000 Masco Corporation 118,560
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL MARKETS - 1.8%
9,700 Administradora de Fondos de Pensiones Provida SA 234,255
16,000 American Capital Strategies Limited 535,680
35,000 Charles Schwab Corporation 559,300
8,500 Goldman Sachs Group, Inc. 1,278,655
6,500 Jefferies Group, Inc. 192,595
3,500 Legg Mason, Inc. 348,320
4,200 Merrill Lynch & Co., Inc. 292,152
31,000 Morgan Stanley 1,959,510
18,800 Waddell & Reed Financial, Inc., Class A 386,528
- ---------------------------------------------------------------------------------------------------------------------------
Total Capital Markets 5,786,995
--------------------------------------------------------------------------------------------------------------
CHEMICALS - 1.8%
25,000 Dow Chemical Company 975,750
74,200 E.I. Du Pont de Nemours and Company 3,086,720
2,700 Eastman Chemical Company 145,800
5,300 Lyondell Chemical Company 120,098
15,200 NL Industries Inc. 163,400
5,900 Olin Corporation 105,787
</Table>
37
Nuveen Equity Premium and Growth Fund (JPG) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
CHEMICALS (continued)
13,000 PPG Industries, Inc. $ 858,000
9,600 RPM International, Inc. 172,800
- ---------------------------------------------------------------------------------------------------------------------------
Total Chemicals 5,628,355
--------------------------------------------------------------------------------------------------------------
COMMERCIAL BANKS - 9.4%
167,514 Bank of America Corporation 8,057,472
15,500 Comerica Incorporated 805,845
27,000 F.N.B. Corporation PA 425,790
9,000 Federated Investors Inc. 283,500
12,900 Fifth Third Bancorp 476,655
53,500 First Horizon National Corporation 2,150,700
30,000 HSBC Holdings PLC, Sponsored ADR 2,650,500
48,400 Lloyds TSB Group PLC, Sponsored ADR 1,910,348
4,500 National Australia Bank Limited, Sponsored ADR 586,350
28,500 National City Corporation 1,031,415
20,000 North Fork Bancorporation Inc. 603,400
28,200 Regions Financial Corporation 933,984
93,000 U.S. Bancorp 2,871,840
51,300 Wachovia Corporation 2,774,304
28,800 Washington Mutual, Inc. 1,312,704
40,800 Wells Fargo & Company 2,736,864
- ---------------------------------------------------------------------------------------------------------------------------
Total Commercial Banks 29,611,671
--------------------------------------------------------------------------------------------------------------
COMMERCIAL SERVICES & SUPPLIES - 1.2%
22,000 Automatic Data Processing, Inc. 997,700
2,000 Avery Dennison Corporation 116,120
67,100 Deluxe Corporation 1,172,908
13,000 Paychex, Inc. 506,740
56,500 ServiceMaster Company 583,645
118,800 Synagro Technologies, Inc. 466,884
- ---------------------------------------------------------------------------------------------------------------------------
Total Commercial Services & Supplies 3,843,997
--------------------------------------------------------------------------------------------------------------
COMMUNICATIONS EQUIPMENT - 2.1%
29,800 Ciena Corporation, (1) 143,338
125,800 Cisco Systems, Inc., (1) 2,456,874
41,900 Corning Incorporated, (1) 1,013,561
50,000 JDS Uniphase Corporation, (1) 126,500
59,700 Motorola, Inc. 1,202,955
42,400 QUALCOMM Inc. 1,698,968
- ---------------------------------------------------------------------------------------------------------------------------
Total Communications Equipment 6,642,196
--------------------------------------------------------------------------------------------------------------
COMPUTERS & PERIPHERALS - 2.3%
18,000 Apple Computer, Inc., (1) 1,028,160
32,000 Dell Inc., (1) 781,120
65,500 Hewlett-Packard Company 2,075,040
39,700 International Business Machines Corporation (IBM) 3,049,754
3,400 SanDisk Corporation, (1) 173,332
- ---------------------------------------------------------------------------------------------------------------------------
Total Computers & Peripherals 7,107,406
--------------------------------------------------------------------------------------------------------------
CONTAINERS & PACKAGING - 0.3%
22,600 Chesapeake Corporation 370,866
32,000 Packaging Corp. of America 704,640
- ---------------------------------------------------------------------------------------------------------------------------
Total Containers & Packaging 1,075,506
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED FINANCIAL SERVICES - 4.7%
2,000 Chicago Merchantile Exchange 982,300
177,500 Citigroup Inc. 8,562,600
4,000 Freddie Mac 228,040
27,800 Gladstone Capital Corporation 594,642
104,500 JPMorgan Chase & Co. 4,389,000
- ---------------------------------------------------------------------------------------------------------------------------
Total Diversified Financial Services 14,756,582
--------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 4.5%
23,500 Alaska Communications Systems Group Inc. 297,275
118,000 AT&T Inc. 3,291,020
16,000 BellSouth Corporation 579,200
97,700 Chunghwa Telecom Co., Ltd., Sponsored ADR 1,804,519
</Table>
38
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED TELECOMMUNICATION SERVICES (continued)
104,800 Citizens Communications Company $ 1,367,640
7,200 Compania Anonima Nacional Telefonos de Venezuela 141,480
78,200 Compania de Telecomunicaciones de Chile S.A., 534,888
Sponsored ADR
15,600 FairPoint Communications Inc. 224,640
7,000 Magyar Telekom Telecommunications, (1) 132,580
21,000 Portugal Telecom SA 253,050
9,600 PT Telekomunikasi Indonesia 308,160
8,500 Sprint Nextel Corporation 169,915
35,600 Telstra Corporation Limited, ADR 487,720
25,100 Valor Communications Group Inc. 287,395
129,500 Verizon Communications Inc. 4,336,955
- ---------------------------------------------------------------------------------------------------------------------------
Total Diversified Telecommunication Services 14,216,437
--------------------------------------------------------------------------------------------------------------
ELECTRIC UTILITIES - 1.3%
5,400 Ameren Corporation 272,700
26,500 Centerpoint Energy Inc. 331,250
17,000 Consolidated Edison, Inc. 755,480
12,000 Duquesne Light Holdings Inc. 197,280
6,000 Enel SpA, Sponsored ADR 258,120
14,700 Great Plains Energy Incorporated 409,542
21,000 Progress Energy, Inc. 900,270
15,200 TXU Corporation 908,808
- ---------------------------------------------------------------------------------------------------------------------------
Total Electric Utilities 4,033,450
--------------------------------------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 1.1%
2,500 Cooper Industries, Ltd., Class A 232,300
30,000 Emerson Electric Co. 2,514,300
5,000 Hubbell Incorporated, Class B 238,250
6,000 Rockwell Automation, Inc. 432,060
- ---------------------------------------------------------------------------------------------------------------------------
Total Electrical Equipment 3,416,910
--------------------------------------------------------------------------------------------------------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.1%
3,800 MEMC Electronic Materials, (1) 142,500
- ---------------------------------------------------------------------------------------------------------------------------
ENERGY EQUIPMENT & SERVICES - 1.9%
10,700 Baker Hughes Incorporated 875,795
9,000 BJ Services Company 335,340
2,500 Diamond Offshore Drilling, Inc. 209,825
19,200 Halliburton Company 1,424,832
2,500 National-Oilwell Varco Inc., (1) 158,300
32,200 Schlumberger Limited 2,096,542
7,000 Transocean Inc., (1) 562,240
3,800 Weatherford International Ltd, (1) 188,556
- ---------------------------------------------------------------------------------------------------------------------------
Total Energy Equipment & Services 5,851,430
--------------------------------------------------------------------------------------------------------------
FOOD & STAPLES RETAILING - 1.1%
14,000 CVS Corporation 429,800
11,375 SUPERVALU Inc. 349,213
49,400 Wal-Mart Stores, Inc. 2,379,598
4,500 Whole Foods Market, Inc. 290,880
- ---------------------------------------------------------------------------------------------------------------------------
Total Food & Staples Retailing 3,449,491
--------------------------------------------------------------------------------------------------------------
FOOD PRODUCTS - 0.7%
41,300 ConAgra Foods, Inc. 913,143
80,000 Sara Lee Corporation 1,281,600
- ---------------------------------------------------------------------------------------------------------------------------
Total Food Products 2,194,743
--------------------------------------------------------------------------------------------------------------
GAS UTILITIES - 2.3%
77,000 KeySpan Corporation 3,110,800
41,000 Nicor Inc. 1,701,500
71,000 Peoples Energy Corporation 2,549,610
- ---------------------------------------------------------------------------------------------------------------------------
Total Gas Utilities 7,361,910
--------------------------------------------------------------------------------------------------------------
</Table>
39
Nuveen Equity Premium and Growth Fund (JPG) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
HEALTH CARE EQUIPMENT & SUPPLIES - 0.4%
5,200 Baxter International Inc. $ 191,152
17,079 Boston Scientific Corporation, (1) 287,610
19,000 Medtronic, Inc. 891,480
- ---------------------------------------------------------------------------------------------------------------------------
Total Health Care Equipment & Supplies 1,370,242
--------------------------------------------------------------------------------------------------------------
HEALTH CARE PROVIDERS & SERVICES - 0.8%
16,000 Aetna Inc. 638,880
13,500 HCA, Inc. 582,525
4,500 Humana Inc., (1) 241,650
3,000 LCA-Vision Inc. 158,730
3,600 UnitedHealth Group Incorporated 161,208
10,100 Wellpoint Inc., (1) 734,977
- ---------------------------------------------------------------------------------------------------------------------------
Total Health Care Providers & Services 2,517,970
--------------------------------------------------------------------------------------------------------------
HOTELS, RESTAURANTS & LEISURE - 0.8%
9,600 Harrah's Entertainment, Inc. 683,328
5,500 International Game Technology 208,670
31,900 McDonald's Corporation 1,071,840
10,200 Wendy's International, Inc. 594,558
- ---------------------------------------------------------------------------------------------------------------------------
Total Hotels, Restaurants & Leisure 2,558,396
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 1.3%
11,600 Furniture Brands International, Inc. 241,744
13,500 Kimball International Inc., Class B 266,085
5,000 Leggett and Platt Inc. 124,900
55,500 Newell Rubbermaid Inc. 1,433,565
12,000 Snap-on Incorporated 485,040
13,500 Stanley Works 637,470
8,998 Whirlpool Corporation 743,685
- ---------------------------------------------------------------------------------------------------------------------------
Total Household Durables 3,932,489
--------------------------------------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 1.9%
20,000 Kimberly-Clark Corporation 1,234,000
85,500 Procter & Gamble Company 4,753,800
- ---------------------------------------------------------------------------------------------------------------------------
Total Household Products 5,987,800
--------------------------------------------------------------------------------------------------------------
INDUSTRIAL CONGLOMERATES - 4.9%
32,000 3M Company 2,584,640
6,700 American Standard Companies Inc. 289,909
325,900 General Electric Company 10,741,664
15,200 Genuine Parts Company 633,232
39,500 Tyco International Ltd. 1,086,250
- ---------------------------------------------------------------------------------------------------------------------------
Total Industrial Conglomerates 15,335,695
--------------------------------------------------------------------------------------------------------------
INSURANCE - 3.7%
20,000 Allstate Corporation 1,094,600
33,500 American International Group, Inc. 1,978,175
21,000 Arthur J. Gallagher & Co. 532,140
29,000 AXA, Sponsored ADR 950,620
12,000 Fidelity National Financial, Inc. 467,400
7,000 Hartford Financial Services Group, Inc. 592,200
74,333 Lincoln National Corporation 4,195,405
8,000 Marsh & McLennan Companies, Inc. 215,120
16,400 St. Paul Travelers Companies, Inc. 731,112
9,900 Unitrin, Inc. 431,541
5,100 XL Capital Ltd, Class A 312,630
- ---------------------------------------------------------------------------------------------------------------------------
Total Insurance 11,500,943
--------------------------------------------------------------------------------------------------------------
INTERNET & CATALOG RETAIL - 0.1%
8,500 Amazon.com, Inc., (1) 328,780
- ---------------------------------------------------------------------------------------------------------------------------
INTERNET SOFTWARE & SERVICES - 1.9%
20,000 eBay Inc., (1) 585,800
7,100 Google Inc., Class A, (1) 2,977,243
103,600 United Online, Inc. 1,243,200
30,700 Yahoo! Inc., (1) 1,013,100
- ---------------------------------------------------------------------------------------------------------------------------
Total Internet Software & Services 5,819,343
--------------------------------------------------------------------------------------------------------------
</Table>
40
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
LEISURE EQUIPMENT & PRODUCTS - 0.3%
11,500 Eastman Kodak Company $ 273,470
39,200 Mattel, Inc. 647,192
- ---------------------------------------------------------------------------------------------------------------------------
Total Leisure Equipment & Products 920,662
--------------------------------------------------------------------------------------------------------------
MACHINERY - 1.3%
35,000 Barnes Group Inc. 698,250
30,000 Caterpillar Inc. 2,234,400
9,600 Deere & Company 801,504
2,300 Joy Global Inc. 119,807
2,100 Volvo AB, Sponsored ADR 102,921
- ---------------------------------------------------------------------------------------------------------------------------
Total Machinery 3,956,882
--------------------------------------------------------------------------------------------------------------
MEDIA - 0.9%
4,500 Clear Channel Communications, Inc. 139,275
15,600 Dow Jones & Company, Inc. 546,156
25 Live Nation Inc., (1) 509
88,300 Regal Entertainment Group, Class A 1,794,256
37,000 Sirius Satellite Radio Inc., (1) 175,750
18,500 World Wrestling Entertainment Inc. 312,465
- ---------------------------------------------------------------------------------------------------------------------------
Total Media 2,968,411
--------------------------------------------------------------------------------------------------------------
METALS & MINING - 1.7%
9,200 Alcoa Inc. 297,712
7,000 Aluminum Corporation of China Limited 522,900
47,500 Companhia Siderurgica Nacional S.A., Sponsored ADR 1,529,500
8,550 Gerdau SA 127,481
2,600 Phelps Dodge Corporation 213,616
30,900 Southern Copper Corporation 2,754,117
- ---------------------------------------------------------------------------------------------------------------------------
Total Metals & Mining 5,445,326
--------------------------------------------------------------------------------------------------------------
MULTILINE RETAIL - 0.5%
19,200 Federated Department Stores, Inc. 702,720
5,500 J.C. Penney Company, Inc. 371,305
12,800 Nordstrom, Inc. 467,200
- ---------------------------------------------------------------------------------------------------------------------------
Total Multiline Retail 1,541,225
--------------------------------------------------------------------------------------------------------------
MULTI-UTILITIES - 1.2%
4,800 Dominion Resources, Inc. 358,992
76,000 Duke Energy Corporation 2,232,120
10,500 National Grid PLC, Sponsored ADR 567,630
10,500 ONEOK, Inc. 357,420
13,200 United Utilities PLC, Sponsored ADR 312,972
- ---------------------------------------------------------------------------------------------------------------------------
Total Multi-Utilities 3,829,134
--------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 7.8%
68,900 Chevron Corporation 4,275,934
41,828 ConocoPhillips 2,740,989
185,000 ExxonMobil Corporation 11,349,750
3,600 Frontline Limited 136,260
4,800 General Maritime Corporation 177,408
7,800 Marathon Oil Corporation 649,740
103,000 Norsk Hydro ASA 2,751,130
13,000 Occidental Petroleum Corporation 1,333,150
3,500 Sinopec Shanghai Petrochemical Company, Limited 172,725
12,000 Valero Energy Corporation 798,240
2,000 YPF Sociedad Anonima 81,660
- ---------------------------------------------------------------------------------------------------------------------------
Total Oil, Gas & Consumable Fuels 24,466,986
--------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 0.9%
5,000 Bowater Incorporated 113,750
11,500 International Paper Company 371,450
6,300 MeadWestvaco Corporation 175,959
42,000 Potlatch Corporation 1,585,500
8,400 Weyerhaeuser Company 522,900
- ---------------------------------------------------------------------------------------------------------------------------
Total Paper & Forest Products 2,769,559
--------------------------------------------------------------------------------------------------------------
</Table>
41
Nuveen Equity Premium and Growth Fund (JPG) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
PERSONAL PRODUCTS - 0.2%
23,000 Avon Products, Inc. $ 713,000
- ---------------------------------------------------------------------------------------------------------------------------
PHARMACEUTICALS - 8.9%
65,000 Abbott Laboratories 2,834,650
169,000 Bristol-Myers Squibb Company 4,370,340
35,300 Eli Lilly and Company 1,951,031
89,900 Johnson & Johnson 5,386,808
140,500 Merck & Co. Inc. 5,118,415
277,500 Pfizer Inc. 6,512,925
36,000 Wyeth 1,598,760
- ---------------------------------------------------------------------------------------------------------------------------
Total Pharmaceuticals 27,772,929
--------------------------------------------------------------------------------------------------------------
REAL ESTATE - 3.4%
18,200 American Home Mortgage Investment Corp. 670,852
68,000 Apartment Investment & Management Company, Class A 2,954,600
3,500 Colonial Properties Trust 172,900
10,000 Glimcher Realty Trust 248,100
57,500 Healthcare Realty Trust, Inc. 1,831,375
47,000 Hospitality Properties Trust 2,064,240
30,500 Lexington Corporate Properties Trust 658,800
53,300 Nationwide Health Properties, Inc. 1,199,783
10,000 New Century Financial Corporation 457,500
10,500 Omega Healthcare Investors Inc. 138,810
20,000 Senior Housing Properties Trust 358,200
- ---------------------------------------------------------------------------------------------------------------------------
Total Real Estate 10,755,160
--------------------------------------------------------------------------------------------------------------
ROAD & RAIL - 0.3%
4,500 Burlington Northern Santa Fe Corporation 356,625
18,500 Laidlaw International Inc. 466,200
2,000 Norfolk Southern Corporation 106,440
- ---------------------------------------------------------------------------------------------------------------------------
Total Road & Rail 929,265
--------------------------------------------------------------------------------------------------------------
SEMICONDUCTORS & EQUIPMENT - 2.8%
16,000 Advanced Micro Devices, Inc., (1) 390,720
16,000 Analog Devices, Inc. 514,240
36,200 Applied Materials, Inc. 589,336
16,800 Broadcom Corporation, Class A, (1) 504,840
184,500 Intel Corporation 3,496,275
4,800 Linear Technology Corporation 160,752
27,000 Microchip Technology Incorporated 905,850
15,900 National Semiconductor Corporation 379,215
13,400 NVIDIA Corporation, (1) 285,286
34,200 Texas Instruments Incorporated 1,035,918
17,800 Xilinx, Inc. 403,170
- ---------------------------------------------------------------------------------------------------------------------------
Total Semiconductors & Equipment 8,665,602
--------------------------------------------------------------------------------------------------------------
SOFTWARE - 2.7%
12,400 Adobe Systems Incorporated, (1) 376,464
6,000 Akamai Technologies, Inc., (1) 217,140
3,000 Citrix Systems, (1) 120,420
232,500 Microsoft Corporation 5,417,250
99,975 Oracle Corporation, (1) 1,448,652
5,500 Red Hat, Inc., (1) 128,700
7,500 Salesforce.com, Inc., (1) 199,950
20,200 Symantec Corporation, (1) 313,908
6,500 VeriSign, Inc., (1) 150,605
- ---------------------------------------------------------------------------------------------------------------------------
Total Software 8,373,089
--------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 2.3%
6,450 Abercrombie & Fitch Co., Class A 357,524
17,000 American Eagle Outfitters, Inc. 578,680
17,000 Best Buy Co., Inc. 932,280
4,000 Circuit City Stores, Inc. 108,880
39,500 Gap, Inc. 687,300
59,000 Home Depot, Inc. 2,111,610
30,700 Limited Brands, Inc. 785,613
7,000 Office Depot, Inc., (1) 266,000
88,600 Pier 1 Imports, Inc. 618,428
</Table>
42
<Table>
<Caption>
SHARES DESCRIPTION VALUE
- ---------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL (continued)
7,300 Sherwin-Williams Company $ 346,604
12,000 TJX Companies, Inc. 274,320
22,900 Tuesday Morning Corporation 301,135
- ---------------------------------------------------------------------------------------------------------------------------
Total Specialty Retail 7,368,374
--------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 0.5%
7,500 Cherokee Inc. 310,200
20,000 VF Corporation 1,358,400
- ---------------------------------------------------------------------------------------------------------------------------
Total Textiles, Apparel & Luxury Goods 1,668,600
--------------------------------------------------------------------------------------------------------------
THRIFTS & MORTGAGE FINANCE - 0.9%
18,900 Fannie Mae 909,090
5,100 Great Lakes Bancorp Inc., (1) 89,148
113,200 New York Community Bancorp, Inc. 1,868,932
- ---------------------------------------------------------------------------------------------------------------------------
Total Thrifts & Mortgage Finance 2,867,170
--------------------------------------------------------------------------------------------------------------
TOBACCO - 2.3%
72,700 Altria Group, Inc. 5,338,361
1,500 Reynolds American Inc. 172,950
30,000 UST Inc. 1,355,700
16,900 Vector Group Ltd. 274,625
- ---------------------------------------------------------------------------------------------------------------------------
Total Tobacco 7,141,636
--------------------------------------------------------------------------------------------------------------
TRANSPORTATION INFRASTRUCTURE - 0.1%
2,800 Grupo Aeroportuario del Sureste SA de CV 94,050
2,700 Stolt-Nielsen S.A., Sponsored ADR 63,585
- ---------------------------------------------------------------------------------------------------------------------------
Total Transportation Infrastructure 157,635
--------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $291,387,226) 299,966,588
--------------------------------------------------------------------------------------------------------------
<Caption>
NOTIONAL EXPIRATION STRIKE
CONTRACTS TYPE AMOUNT (2) DATE PRICE VALUE
- ----------------------------------------------------------------------------------------------------------------------------
PUT OPTIONS - 0.1%
285 S&P 500 Index $32,775,000 7/22/06 $1150 $ 15,675
285 S&P 500 Index 33,487,500 7/22/06 1175 27,075
512 S&P 500 Index 61,440,000 7/22/06 1200 87,040
222 S&P 500 Index 27,195,000 7/22/06 1225 73,260
299 S&P 500 Index 34,385,000 8/19/06 1150 76,245
282 S&P 500 Index 33,135,000 8/19/06 1175 109,980
- ----------------------------------------------------------------------------------------------------------------------------
1,885 TOTAL PUT OPTIONS (COST $1,107,343) 222,417,500 389,275
- ----------------------------------------------------------------------------------------------------------------------------
<Caption>
PRINCIPAL
AMOUNT (000) DESCRIPTION COUPON MATURITY VALUE
- ------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 5.0%
$ 15,593 Repurchase Agreement with State Street Bank, dated 4.130% 7/03/06 $ 15,592,876
6/30/06, repurchase price $15,598,243,
collateralized by:
$11,710,000 U.S. Treasury Bonds, 9.875%, due
11/15/15, value $15,846,921
$5,000 U.S. Treasury Bonds, 7.500%, due
11/15/16, value $5,935
$20,000 U.S. Treasury Bonds, 8.500%, due
2/15/20, value $26,637
$20,000 U.S. Treasury Bonds, 7.875%, due
2/15/21, value $25,525
- -----------
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS (COST $15,592,876) 15,592,876
---------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST $308,087,445) - 100.8% 315,948,739
---------------------------------------------------------------------------------------------------------------
</Table>
43
Nuveen Equity Premium and Growth Fund (JPG) (continued)
Portfolio of INVESTMENTS June 30, 2006 (Unaudited)
<Table>
<Caption>
NOTIONAL EXPIRATION STRIKE
CONTRACTS TYPE AMOUNT (2) DATE PRICE VALUE
- ------------------------------------------------------------------------------------------------------------------------------
CALL OPTIONS - (1.1)% (3)
(235) S&P 500 Index $(29,375,000) 7/22/06 $1250 $ (699,125)
(470) S&P 500 Index (59,925,000) 7/22/06 1275 (596,900)
(218) S&P 500 Index (28,340,000) 7/22/06 1300 (64,964)
(218) S&P 500 Index (27,250,000) 8/19/06 1250 (866,550)
(248) S&P 500 Index (31,620,000) 8/19/06 1275 (569,160)
(252) S&P 500 Index (32,760,000) 8/19/06 1300 (267,120)
(244) S&P 500 Index (31,720,000) 9/16/06 1300 (444,080)
- ------------------------------------------------------------------------------------------------------------------------------
(1,885) TOTAL CALL OPTIONS (PREMIUMS RECEIVED $4,489,242) (240,990,000) (3,507,899)
- ------------------------------------------------------------------------------------------------------------------------------
OTHER ASSETS LESS LIABILITIES - 0.3% 1,117,745
---------------------------------------------------------------------------------------------------------------
NET ASSETS - 100% $ 313,558,585
---------------------------------------------------------------------------------------------------------------
</Table>
<Table>
(1) Non-income producing.
(2) For disclosure purposes, Notional Amount is calculated by multiplying the number of
Contracts by Strike Price by 100.
(3) The Fund may designate up to 100% of its Common Stock investments to cover outstanding
Call Options.
ADR American Depositary Receipt.
</Table>
See accompanying notes to financial statements.
44
Statement of
ASSETS AND LIABILITIES June 30, 2006 (Unaudited)
<Table>
<Caption>
EQUITY EQUITY EQUITY EQUITY
PREMIUM PREMIUM PREMIUM PREMIUM
INCOME OPPORTUNITY ADVANTAGE AND GROWTH
(JPZ) (JSN) (JLA) (JPG)
- --------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $642,400,192, $1,133,482,327,
$442,287,948 and $308,087,445, respectively) $709,776,485 $1,206,928,349 $473,353,460 $315,948,739
Receivables:
Dividends 1,549,070 1,607,816 476,297 621,359
Interest 4,482 6,790 2,878 1,789
Options sold 2,198,495 2,993,465 711,268 779,056
Reclaims 296 27,472 472 1,989
Other assets 18,840 34,606 9,010 5,992
- --------------------------------------------------------------------------------------------------------------------------------
Total assets 713,547,668 1,211,598,498 474,553,385 317,358,924
- --------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Call options written, at value (premiums received
$11,898,588, $22,760,724,
$10,358,095 and $4,489,242, respectively) 9,679,552 15,382,398 5,483,370 3,507,899
Accrued expenses:
Management fees 334,292 557,692 259,969 222,321
Offering costs -- -- -- 6,000
Other 147,395 215,983 91,234 64,119
- --------------------------------------------------------------------------------------------------------------------------------
Total liabilities 10,161,239 16,156,073 5,834,573 3,800,339
- --------------------------------------------------------------------------------------------------------------------------------
Net assets $703,386,429 $1,195,442,425 $468,718,812 $313,558,585
- --------------------------------------------------------------------------------------------------------------------------------
Shares outstanding 38,321,275 65,679,911 25,632,480 16,505,240
- --------------------------------------------------------------------------------------------------------------------------------
Net asset value per share outstanding $ 18.35 $ 18.20 $ 18.29 $ 19.00
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
- --------------------------------------------------------------------------------------------------------------------------------
Shares, $.01 par value per share $ 383,213 $ 656,799 $ 256,325 $ 165,052
Paid-in surplus 681,151,850 1,184,766,102 471,064,113 314,425,031
Undistributed (Over-distribution of) net investment income (24,392,703) (47,892,846) (20,698,138) (8,924,811)
Accumulated net realized gain (loss) from investments and
derivative transactions (23,351,260) (22,911,978) (17,843,725) (949,324)
Net unrealized appreciation (depreciation) of investments
and derivative transactions 69,595,329 80,824,348 35,940,237 8,842,637
- --------------------------------------------------------------------------------------------------------------------------------
Net assets $703,386,429 $1,195,442,425 $468,718,812 $313,558,585
- --------------------------------------------------------------------------------------------------------------------------------
Authorized shares Unlimited Unlimited Unlimited Unlimited
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements.
45
Statement of
OPERATIONS Six Months Ended June 30, 2006 (Unaudited)
<Table>
<Caption>
EQUITY EQUITY EQUITY EQUITY
PREMIUM PREMIUM PREMIUM PREMIUM
INCOME OPPORTUNITY ADVANTAGE AND GROWTH
(JPZ) (JSN) (JLA) (JPG)
- -----------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends (net of foreign taxes withheld of $3,880, $41,219,
$14,177 and $13,376, respectively) $ 9,720,350 $12,930,273 $ 3,792,783 $ 4,921,464
Interest 847,300 1,420,817 581,260 359,533
- -----------------------------------------------------------------------------------------------------------------------------
Total investment income 10,567,650 14,351,090 4,374,043 5,280,997
- -----------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 3,102,755 5,263,917 2,123,270 1,365,228
Shareholders' servicing agent fees and expenses 1,368 1,665 421 427
Custodian's fees and expenses 81,265 148,249 66,700 68,125
Trustees' fees and expenses 7,916 14,835 5,198 7,970
Professional fees 37,797 28,600 11,984 14,616
Shareholders' reports - printing and mailing expenses 67,594 141,004 42,333 738
Stock exchange listing fees 8,552 24,355 4,871 4,871
Investor relations expense 22,175 43,838 26,766 18,620
Organization expenses -- -- 4,500 --
Other expenses 47,865 102,593 69,756 32,951
- -----------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense
reimbursement 3,377,287 5,769,056 2,355,799 1,513,546
Custodian fee credit (10,623) (32,788) (24,376) (67,173)
Expense reimbursement (1,056,036) (1,816,094) (482,269) --
- -----------------------------------------------------------------------------------------------------------------------------
Net expenses 2,310,628 3,920,174 1,849,154 1,446,373
- -----------------------------------------------------------------------------------------------------------------------------
Net investment income 8,257,022 10,430,916 2,524,889 3,834,624
- -----------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments (13,353,054) (17,217,422) (11,673,280) (6,998,864)
Option contracts written 17,019,337 36,208,823 17,158,279 6,354,270
Change in net unrealized appreciation (depreciation) of:
Investments 20,988,445 6,560,051 3,560,074 11,110,733
Option contracts written (4,920,111) (8,006,894) (2,649,988) (1,574,650)
- -----------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 19,734,617 17,544,558 6,395,085 8,891,489
- -----------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 27,991,639 $27,975,474 $ 8,919,974 $12,726,113
- -----------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements.
46
Statement of
CHANGES IN NET ASSETS (Unaudited)
<Table>
<Caption>
EQUITY PREMIUM
OPPORTUNITY (JSN)
EQUITY PREMIUM ----------------------------------
INCOME (JPZ) FOR THE PERIOD
------------------------------- 1/26/05
(COMMENCEMENT
SIX MONTHS YEAR SIX MONTHS OF OPERATIONS)
ENDED ENDED ENDED THROUGH
6/30/06 12/31/05 6/30/06 12/31/05
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 8,257,022 $ 16,060,048 $ 10,430,916 $ 19,262,032
Net realized gain (loss) from:
Investments (13,353,054) (18,142,299) (17,217,422) (36,918,822)
Option contracts written 17,019,337 16,747,831 36,208,823 4,493,069
Change in net unrealized appreciation (depreciation) of:
Investments 20,988,445 9,016,071 6,560,051 66,885,971
Option contracts written (4,920,111) 10,174,269 (8,006,894) 15,385,220
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 27,991,639 33,855,920 27,975,474 69,107,470
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From and in excess of net investment income (32,649,725) -- (58,323,762) --
From net investment income -- (15,325,480) -- (19,262,032)
From accumulated net realized gains -- -- -- (9,477,626)
Tax return of capital -- (49,390,391) -- (67,663,695)
- ---------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (32,649,725) (64,715,871) (58,323,762) (96,403,353)
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from sale of shares and offering costs
adjustments (4,982) 67,480 256,067 1,228,579,554
Net proceeds from shares issued to shareholders due to
reinvestment of distributions -- 14,947,821 -- 24,150,891
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from capital share
transactions (4,982) 15,015,301 256,067 1,252,730,445
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (4,663,068) (15,844,650) (30,092,221) 1,225,434,562
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets at the beginning of period 708,049,497 723,894,147 1,225,534,646 100,084
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets at the end of period $703,386,429 $708,049,497 $1,195,442,425 $1,225,534,646
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of) net investment
income at the end of period $(24,392,703) $ -- $ (47,892,846) $ --
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements.
47
Statement of
CHANGES IN NET ASSETS (Unaudited) (continued)
<Table>
<Caption>
EQUITY PREMIUM EQUITY PREMIUM
ADVANTAGE (JLA) AND GROWTH (JPG)
------------------------------- --------------------------------
FOR THE PERIOD FOR THE PERIOD
5/25/05 11/22/05
(COMMENCEMENT (COMMENCEMENT
SIX MONTHS OF OPERATIONS) SIX MONTHS OF OPERATIONS)
ENDED THROUGH ENDED THROUGH
6/30/06 12/31/05 6/30/06 12/31/05
- ---------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 2,524,889 $ 2,638,831 $ 3,834,624 $ 609,808
Net realized gain (loss) from:
Investments (11,673,280) (11,273,386) (6,998,864) (48,900)
Option contracts written 17,158,279 (8,846,038) 6,354,270 (255,830)
Change in net unrealized appreciation (depreciation) of:
Investments 3,560,074 27,505,438 11,110,733 (3,249,440)
Option contracts written (2,649,988) 7,524,713 (1,574,650) 2,555,993
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 8,919,974 17,549,558 12,726,113 (388,369)
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From and in excess of net investment income (23,223,027) -- (13,369,243) --
From net investment income -- (2,638,831) -- --
From accumulated net realized gains -- (3,209,300) -- --
Tax return of capital -- (17,292,115) -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (23,223,027) (23,140,246) (13,369,243) --
- ---------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from sale of shares and offering costs
adjustments 42,694 484,128,408 -- 314,490,000
Net proceeds from shares issued to shareholders due to
reinvestment of distributions -- 4,341,367 -- --
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from capital share
transactions 42,694 488,469,775 -- 314,490,000
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (14,260,359) 482,879,087 (643,130) 314,101,631
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets at the beginning of period 482,979,171 100,084 314,201,715 100,084
- ---------------------------------------------------------------------------------------------------------------------------------
Net assets at the end of period $468,718,812 $ 482,979,171 $313,558,585 $ 314,201,715
- ---------------------------------------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of) net investment income
at the end of period $(20,698,138) $ -- $ (8,924,811) $ 609,808
- ---------------------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements.
48
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), Nuveen Equity Premium
Advantage Fund (JLA) and Nuveen Equity Premium and Growth Fund (JPG). 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), Equity Premium Advantage (JLA) and Equity
Premium and Growth (JPG)) 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 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 investment 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.
49
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.
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 per share. Subject to approval and oversight by the Funds' Board of
Trustees, each Fund seeks to maintain a stable distribution level designed to
deliver the long-term return potential of each Fund's investment strategy
through regular monthly distributions (a "Managed Distribution Policy"). Total
distributions during a calendar year generally will be made from each Fund's net
investment income, net realized capital gains and net unrealized capital gains
in the Fund's portfolio, if any. The portion of distributions paid from net
unrealized gains, if any, would be distributed from the Fund's assets and would
be treated by shareholders as a non-taxable distribution for tax purposes. If a
Fund's total return on net asset value exceeds total distributions during a
calendar year, the excess will be reflected as an increase in net asset value
per share. In the event that total distributions during a calendar year exceed a
Fund's total return on net asset value, the difference will be treated as a
return of capital for tax purposes and will reduce net asset value per share.
The final determination of the source and character of all distributions for the
fiscal year are made after the end of the fiscal year and reflected in the
financial statements contained in the annual report as of December 31 each 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:
<Table>
<Caption>
EQUITY EQUITY EQUITY EQUITY
PREMIUM PREMIUM PREMIUM PREMIUM
INCOME OPPORTUNITY ADVANTAGE AND GROWTH
(JPZ) (JSN) (JLA) (JPG)
- -----------------------------------------------------------------------------------------------------------------------
Ordinary income 60.14% 46.28% 49.62% 46.66%
Long-term and short-term capital
gains 21.75 20.99 1.75 17.49
Return of REIT capital 18.11 32.73 48.63 35.85
- -----------------------------------------------------------------------------------------------------------------------
</Table>
50
For the fiscal year ended December 31, 2005, the Funds applied the actual
character of distributions reported by the REITs in which the Funds invest to
their 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.
For the six months ended June 30, 2006, the Funds applied the actual
distribution characteristic 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 Funds adjust that estimated breakdown of income type (and consequently their
net investment income) as necessary early in the following calendar year when
the REITs inform their shareholders of the actual breakdown of income type.
The actual character of distributions made by the Funds during the fiscal year
ended December 31, 2005, are reflected in the accompanying financial statements.
The distributions made by the Funds during the six months ended June 30, 2006,
are provisionally classified as being "From and in excess of net investment
income", and those distributions will be classified as being from net investment
income, net realized capital gains and/or a return of capital for tax purposes
after the fiscal year end. For purposes of calculating "Undistributed (Over-
distribution of) net investment income as of June 30, 2006, the distribution
amounts provisionally classified as "From and in excess of net investment
income" were treated as being entirely from net investment income. Consequently,
the financial statements at June 30, 2006, reflect an over-distribution of net
investment income.
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), Equity Premium Advantage (JLA) and Equity
Premium and Growth (JPG)) 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), Equity Premium Advantage's (JLA) and Equity
Premium and Growth's (JPG) share of offering costs ($1,033,270, $1,095,509,
$968,898 and $660,000, respectively) were recorded as reductions of the proceeds
from the sale of shares.
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.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on each Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Indemnifications
Under the 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:
<Table>
<Caption>
EQUITY PREMIUM
OPPORTUNITY (JSN)
EQUITY PREMIUM ------------------------------------
INCOME (JPZ) FOR THE PERIOD
---------------------------------- 1/26/05
YEAR (COMMENCEMENT
SIX MONTHS ENDED SIX MONTHS OF OPERATIONS)
ENDED 6/30/06 12/31/05 ENDED 6/30/06 THROUGH 12/31/05
- ----------------------------------------------------------------------------------------------------------------------
Shares sold -- -- -- 64,394,300
Shares issued to shareholders due
to reinvestment of
distributions -- 778,657 -- 1,280,371
- ----------------------------------------------------------------------------------------------------------------------
-- 778,657 -- 65,674,671
- ----------------------------------------------------------------------------------------------------------------------
</Table>
51
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
<Table>
<Caption>
EQUITY PREMIUM EQUITY PREMIUM
ADVANTAGE (JLA) AND GROWTH (JPG)
------------------------------------ ------------------------------------
FOR THE PERIOD FOR THE PERIOD
5/25/05 11/22/05
(COMMENCEMENT (COMMENCEMENT
SIX MONTHS OF OPERATIONS) SIX MONTHS OF OPERATIONS)
ENDED 6/30/06 THROUGH 12/31/05 ENDED 6/30/06 THROUGH 12/31/05
- ------------------------------------------------------------------------------------------------------------------------
Shares sold -- 25,400,000 -- 16,500,000
Shares issued to shareholders due
to reinvestment of
distributions -- 227,240 -- --
- ------------------------------------------------------------------------------------------------------------------------
-- 25,627,240 -- 16,500,000
- ------------------------------------------------------------------------------------------------------------------------
</Table>
3. INVESTMENT TRANSACTIONS
Purchases and sales (excluding put and call options and short-term investments)
during the six months ended June 30, 2006, were as follows:
<Table>
<Caption>
EQUITY EQUITY EQUITY EQUITY
PREMIUM PREMIUM PREMIUM PREMIUM
INCOME OPPORTUNITY ADVANTAGE AND GROWTH
(JPZ) (JSN) (JLA) (JPG)
- -----------------------------------------------------------------------------------------------------------------------
Purchases $ 86,123,573 $43,860,007 $51,336,990 $56,767,400
Sales 103,813,952 68,484,618 68,948,335 61,350,767
- -----------------------------------------------------------------------------------------------------------------------
</Table>
Transactions in index option contracts written during the six months ended June
30, 2006, were as follows:
<Table>
<Caption>
EQUITY PREMIUM EQUITY PREMIUM
INCOME (JPZ) OPPORTUNITY (JSN)
---------------------------------- ----------------------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS RECEIVED CONTRACTS RECEIVED
- -----------------------------------------------------------------------------------------------------------------------
Outstanding, beginning of period 5,370 $ 17,469,697 14,758 $ 32,582,025
Options written 19,818 59,807,016 53,188 105,708,446
Options terminated in closing
purchase transactions (18,215) (61,433,097) (46,403) (108,961,382)
Options expired (1,763) (3,945,028) (5,911) (6,568,365)
- -----------------------------------------------------------------------------------------------------------------------
Outstanding, end of period 5,210 $ 11,898,588 15,632 $ 22,760,724
- -----------------------------------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
EQUITY PREMIUM EQUITY PREMIUM
ADVANTAGE (JLA) AND GROWTH (JPG)
---------------------------------- ----------------------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS RECEIVED CONTRACTS RECEIVED
- -----------------------------------------------------------------------------------------------------------------------
Outstanding, beginning of period 7,512 $ 13,854,368 1,931 $ 6,274,596
Options written 27,286 42,354,858 7,159 21,761,756
Options terminated in closing
purchase transactions (21,091) (42,366,135) (6,713) (22,509,041)
Options expired (4,746) (3,484,996) (492) (1,038,069)
- -----------------------------------------------------------------------------------------------------------------------
Outstanding, end of period 8,961 $10,358,095 1,885 $4,489,242
- -----------------------------------------------------------------------------------------------------------------------
</Table>
52
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 June 30, 2006, the cost of investments (excluding call options written) was
as follows:
<Table>
<Caption>
EQUITY EQUITY EQUITY EQUITY
PREMIUM PREMIUM PREMIUM PREMIUM
INCOME OPPORTUNITY ADVANTAGE AND GROWTH
(JPZ) (JSN) (JLA) (JPG)
- -----------------------------------------------------------------------------------------------------------------------
Cost of investments $642,400,298 $1,133,482,327 $442,287,948 $308,087,445
- -----------------------------------------------------------------------------------------------------------------------
</Table>
Gross unrealized appreciation and gross unrealized depreciation of investments
(excluding call options written) at June 30, 2006, were as follows:
<Table>
<Caption>
EQUITY EQUITY EQUITY EQUITY
PREMIUM PREMIUM PREMIUM PREMIUM
INCOME OPPORTUNITY ADVANTAGE AND GROWTH
(JPZ) (JSN) (JLA) (JPG)
- -----------------------------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $ 86,791,209 $124,833,722 $ 48,389,911 $16,854,743
Depreciation (19,415,022) (51,387,700) (17,324,399) (8,993,449)
- -----------------------------------------------------------------------------------------------------------------------
Net unrealized appreciation
(depreciation) of investments $67,376,187 $ 73,446,022 $ 31,065,512 $ 7,861,294
- -----------------------------------------------------------------------------------------------------------------------
</Table>
The tax components of undistributed net ordinary income and net long-term
capital gains at December 31, 2005, the Fund's last tax year end, were as
follows:
<Table>
<Caption>
EQUITY EQUITY EQUITY EQUITY
PREMIUM PREMIUM PREMIUM PREMIUM
INCOME OPPORTUNITY ADVANTAGE AND GROWTH
(JPZ) (JSN) (JLA) (JPG)
- -----------------------------------------------------------------------------------------------------------------------
Undistributed net ordinary income * $ -- $ -- $ -- $1,496,076
Undistributed net long-term capital
gains -- -- -- 1,343,890
- -----------------------------------------------------------------------------------------------------------------------
</Table>
* 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:
<Table>
<Caption>
EQUITY
EQUITY EQUITY EQUITY PREMIUM
PREMIUM PREMIUM PREMIUM AND
INCOME OPPORTUNITY** ADVANTAGE*** GROWTH****
(JPZ) (JSN) (JLA) (JPG)
- -----------------------------------------------------------------------------------------------------------------------
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 --
- -----------------------------------------------------------------------------------------------------------------------
</Table>
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any.
** 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.
**** For the period November 22, 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.
53
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
The following 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 post-October losses were
treated as having arisen on the first day of the current tax year:
<Table>
<Caption>
EQUITY EQUITY EQUITY
PREMIUM PREMIUM PREMIUM
INCOME OPPORTUNITY ADVANTAGE
(JPZ) (JSN) (JLA)
- --------------------------------------------------------------------------------------------------------------------
$12,706,689 $27,335,047 $16,291,808
- --------------------------------------------------------------------------------------------------------------------
</Table>
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:
<Table>
<Caption>
EQUITY PREMIUM INCOME (JPZ)
EQUITY PREMIUM OPPORTUNITY (JSN)
EQUITY PREMIUM ADVANTAGE (JLA)
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
- ----------------------------------------------------------------------------------------------
</Table>
<Table>
<Caption>
EQUITY PREMIUM AND GROWTH (JPG)
AVERAGE DAILY MANAGED ASSETS FUND-LEVEL FEE RATE
- ---------------------------------------------------------------------------------------------
For the first $500 million .6800%
For the next $500 million .6550
For the next $500 million .6300
For the next $500 million .6050
For Managed Assets over $2 billion .5800
- ---------------------------------------------------------------------------------------------
</Table>
54
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 June 30, 2006, the complex-level fee rate was .1887%.
<Table>
<Caption>
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
- ---------------------------------------------------------------------------------------------
</Table>
(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 their 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 percent-age of average daily
Managed Assets, for fees and expenses in the amounts and for the time periods
set forth below:
<Table>
<Caption>
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
- -----------------------------------------------------------------------------------
</Table>
* 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.
For the first eight years of Equity Premium Opportunity's (JSN) operations, the
Adviser has agreed to reimburse the Fund, as a per-centage of average daily
Managed Assets, for fees and expenses in the amounts and for the time periods
set forth below:
<Table>
<Caption>
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
- -----------------------------------------------------------------------------------
</Table>
* 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.
55
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
For the first six years of Equity Premium Advantage's (JLA) operations, the
Adviser has agreed to reimburse the Fund, as a percent-age of average daily
Managed Assets, for fees and expenses in the amounts and for the time periods
set forth below:
<Table>
<Caption>
YEAR ENDING YEAR ENDING
MAY 31, MAY 31,
- -----------------------------------------------------------------------------------
2005 * .20% 2009 .20%
2006 .20 2010 .20
2007 .20 2011 .10
2008 .20
- -----------------------------------------------------------------------------------
</Table>
* 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. NEW ACCOUNTING PRONOUNCEMENT
Financial Accounting Standards Board Interpretation No. 48
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48 Accounting for Uncertainty in Income Taxes (FIN 48). FIN
48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Fund's tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006 and is to be applied
to all open tax years as of the effective date. At this time, management is
evaluating the implications of FIN 48 and its impact in the financial statements
has not yet been determined with finality, but management is not presently aware
of any specific matters that will need to be addressed differently as a result
of FIN 48. At this time, management is evaluating the implications of FIN 48 and
does not expect the adoption of FIN 48 will have a significant impact on the net
assets or results of operations of the Funds.
7. SUBSEQUENT EVENTS
Distributions to Shareholders
The Funds declared distributions were paid on August 1, 2006, to shareholders of
record on July 15, 2006, as follows:
<Table>
<Caption>
EQUITY EQUITY EQUITY EQUITY
PREMIUM PREMIUM PREMIUM PREMIUM
INCOME OPPORTUNITY ADVANTAGE AND
(JPZ) (JSN) (JLA) GROWTH (JPG)
- -----------------------------------------------------------------------------------------------------------------------
Distributions per share $.1420 $.1480 $.1510 $.1350
- -----------------------------------------------------------------------------------------------------------------------
</Table>
56
Financial
HIGHLIGHTS (unaudited)
57
Financial
HIGHLIGHTS (Unaudited)
Selected data for a share outstanding throughout each period:
<Table>
<Caption>
Investment Operations Less Distributions
------------------------------------- -----------------------------------------------
Net
Beginning Net Realized/ Net Tax
Net Asset Investment Unrealized Investment Capital Return of
Value Income(a) Gain (Loss) Total Income Gains Capital Total
- ---------------------------------------------------------------------------------------------------------------------------------
EQUITY PREMIUM INCOME
(JPZ)
- ---------------------------------------------------------------------------------------------------------------------------------
Year Ended 12/31:
2006(f) $ 18.48 $ .22 $ .50 $ .72 $ (.85)* $ -- $ -- $ (.85)
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(f) 18.66 .16 .27 .43 (.89)* -- -- (.89)
2005(c) 19.10 .30 .78 1.08 (.30) (.15) (1.05) (1.50)
EQUITY PREMIUM
ADVANTAGE (JLA)
- ---------------------------------------------------------------------------------------------------------------------------------
2006(f) 18.84 .10 .26 .36 (.91)* -- -- (.91)
2005(d) 19.10 .10 .60 .70 (.10) (.13) (.69) (.92)
EQUITY PREMIUM AND
GROWTH (JPG)
- ---------------------------------------------------------------------------------------------------------------------------------
2006(f) 19.04 .23 .54 .77 (.81)* -- -- (.81)
2005(e) 19.10 .04 (.06) (.02) -- -- -- --
- ---------------------------------------------------------------------------------------------------------------------------------
<Caption>
Ending Ending
Offering Net Asset Market
Costs Value Value
- --------------------- ----------------------------------
EQUITY PREMIUM INCOME
(JPZ)
- ---------------------------------------------------------
Year Ended 12/31:
2006(f) $ -- $ 18.35 $ 17.30
2005 -- 18.48 17.38
2004(b) (.03) 19.28 20.25
EQUITY PREMIUM
OPPORTUNITY (JSN)
- ---------------------------------------------------------
2006(f) -- 18.20 $ 18.00
2005(c) (.02) 18.66 17.39
EQUITY PREMIUM
ADVANTAGE (JLA)
- ---------------------------------------------------------
2006(f) -- 18.29 $ 18.15
2005(d) (.04) 18.84 17.56
EQUITY PREMIUM AND
GROWTH (JPG)
- ---------------------------------------------------------
2006(f) -- 19.00 $ 17.53
2005(e) (.04) 19.04 17.25
- ---------------------------------------------------------
</Table>
* Represents distributions paid "From and in excess of net investment income"
for the six months ended June 30, 2006.
** 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, where applicable.
(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 period November 22, 2005 (commencement of operations) through
December 31, 2005.
(f) For the six months ended June 30, 2006.
58
<Table>
<Caption>
Ratios/Supplemental Data
----------------------------------------------------------------------------------------
Total Returns Before Credit/Reimbursement After Credit/Reimbursement*****
--------------------- ---------------------------- --------------------------------
Based Ratio of Net Ratio of Net
on Ratio of Investment Ratio of Investment
Based on Net Ending Expenses to Income to Expenses to Income to Portfolio
Market Asset Net Assets Average Average Average Average Turnover
Value**** Value**** (000) Net Assets Net Assets Net Assets Net Assets Rate
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
4.32% 3.94% $ 703,386 .96%*** 2.04%*** .66%*** 2.35%*** 13%
(6.12) 4.88 708,049 .96 1.93 .65 2.25 29
1.96 1.68 723,894 1.07*** 3.49*** .73*** 3.82*** 1
- ---------------------------------------------------------------------------------------------------------------------
8.59 2.28 1,195,442 .95*** 1.42*** .65*** 1.72*** 4
(5.90) 5.65 1,225,535 .95*** 1.40*** .63*** 1.72*** 16
- ---------------------------------------------------------------------------------------------------------------------
8.49 1.85% 468,719 .99*** .84*** .77*** 1.06*** 11
(7.87) 3.43 482,979 1.01*** .71*** .78*** .93*** 9
- ---------------------------------------------------------------------------------------------------------------------
6.34 4.06% 313,559 .96*** 2.40*** .92*** 2.44*** 19
(13.75) (.31) 314,202 1.11*** 2.08*** 1.11*** 2.08*** --
- ---------------------------------------------------------------------------------------------------------------------
</Table>
See accompanying notes to financial statements.
59
ANNUAL INVESTMENT
MANAGEMENT AGREEMENT
APPROVAL PROCESS
The Board of Trustees is responsible for overseeing the performance of the
investment adviser to the Funds and determining whether to continue the advisory
arrangements. At a meeting held on May 23-25, 2006 (the "May Meeting"), the
Board of Trustees of the Funds, including the independent Trustees, unanimously
approved the continuance of the Investment Management Agreement between the
Nuveen Equity Premium Income Fund, Nuveen Equity Premium Opportunity Fund, and
Nuveen Equity Premium Advantage Fund (collectively, the "Reviewed Funds") and
NAM, and the Sub-Advisory Agreements between NAM and Gateway (the "Sub-Adviser")
with respect to the Reviewed Funds. The Investment Management Agreement and
Sub-Advisory Agreement with respect to the Nuveen Equity Premium and Growth Fund
were not up for renewal, and therefore the Board did not review such agreements
at the May Meeting on behalf of such Fund. NAM and the Sub-Adviser are each a
"Fund Adviser."
THE APPROVAL PROCESS
During the course of the year, the Board received a wide variety of materials
relating to the services provided by the Fund Advisers and the performance of
the Reviewed Funds. To assist the Board in its evaluation of the advisory
contract with a Fund Adviser at the May Meeting, the independent Trustees
received extensive materials in advance of their meeting which outlined, among
other things:
- the nature, extent and quality of services provided by the Fund Adviser;
- the organization and business operations of the Fund Adviser, including
the responsibilities of various departments and key personnel;
- the Reviewed Fund's past performance, the Reviewed Fund's performance
compared to funds of similar investment objectives compiled by an
independent third party and with recognized and/or customized benchmarks
(as appropriate);
- the profitability of the Fund Adviser and certain industry profitability
analyses for unaffiliated advisers;
- the expenses of the Fund Adviser in providing the various services;
- the advisory fees (gross and net management fees) and total expense ratios
of the Reviewed Fund, including comparisons of such fees and expenses with
those of comparable, unaffiliated funds based on information and data
provided by Lipper (the "Peer Universe") as well as compared to a subset
of funds within the Peer Universe (the "Peer Group") to the respective
Reviewed Fund (as applicable);
- the advisory fees the Fund Adviser assesses to other types of investment
products or clients;
- the soft dollar practices of the Fund Adviser, if any; and
- from independent legal counsel, a legal memorandum describing, among other
things, the duties of the Trustees under the Investment Company Act of
1940 (the "1940 Act") as well as the general principles of relevant state
law in reviewing and approving advisory contracts; the requirements of the
1940 Act in such matters; an adviser's fiduciary duty with respect to
advisory agreements and compensation; the standards used by courts in
determining whether investment company boards of directors have fulfilled
their duties and factors to be considered by the board in voting on
advisory agreements.
At the May Meeting, NAM made a presentation to and responded to questions from
the Board. After the presentations and after reviewing the written materials,
the independent Trustees met privately with their legal counsel to review the
Board's duties in reviewing advisory contracts and consider the renewal of the
advisory contracts. It is with this background that the Trustees considered each
advisory contract (which includes the Sub-Advisory Agreements) with the
respective Fund Adviser. The independent Trustees, in consultation with
independent counsel, reviewed the factors set out in judicial decisions and SEC
directives relating to the renewal of advisory contracts. As outlined in more
detail below, the Trustees considered all factors they believed relevant with
respect to each Reviewed Fund, including the following: (a) the nature, extent
and quality of the services to be provided by the Fund Adviser; (b) the
investment performance of the Reviewed Fund and the Fund Adviser; (c) the costs
of the services to be provided and profitability of the Fund Adviser and its
affiliates; (d) the extent to which economies of scale would be realized as the
Reviewed Fund grows; and (e) whether fee levels reflect these economies of scale
for the benefit of Reviewed Fund investors.
A. NATURE, EXTENT AND QUALITY OF SERVICES
In reviewing the Fund Advisers, the Trustees considered the nature, extent and
quality of the respective Fund Adviser's services. The Trustees reviewed
materials outlining, among other things, the Fund Adviser's organization and
business; the types of services that the Fund Adviser or its affiliates provide
and are expected to provide to the Reviewed Funds; the performance record of the
applicable Reviewed Fund (as described in further detail below); and any
initiatives Nuveen has taken for its fund product line. In connection with their
continued service as Trustees, the Trustees also have a good understanding of
each Fund Adviser's organization, operations and
60
personnel. In this regard, the Trustees are familiar with and have evaluated the
professional experience, qualifications and credentials of the Fund Adviser's
personnel. With respect to the Sub-Adviser, the Trustees also received and
reviewed an evaluation of the Sub-Adviser from NAM. Such evaluation outlined,
among other things, the Sub-Adviser's organizational history, client base,
product mix, investment team and any changes thereto, investment process and any
changes to its investment strategy, the Reviewed Fund's investment objectives
and performance (as applicable). The Trustees noted that NAM recommended the
renewal of the Sub-Advisory Agreements and considered the basis for such
recommendation and any qualifications in connection therewith. Given the
Trustees' experience with the Reviewed Funds (including any other Nuveen funds
advised by a Fund Adviser) and each Fund Adviser, the Trustees recognized and
considered the quality of their investment processes in making portfolio
management decisions as well as any refinements or improvements thereto. In this
regard, the Trustees considered the continued quality of the Fund Adviser's
investment process in making portfolio management decisions as well as any
additional refinements and improvements adopted to the portfolio management
processes.
In addition to advisory services, the independent Trustees considered the
quality of any administrative or non-advisory services provided. With respect to
the Sub-Adviser, the independent Trustees noted that the Sub-Advisory Agreements
were essentially agreements for portfolio management services only and the
Sub-Adviser was not expected to supply other significant administrative services
to the Reviewed Funds.
With respect to NAM, NAM provides the Reviewed Funds with such administrative
and other services (exclusive of, and in addition to, any such services provided
by others for the Reviewed Funds) and officers and other personnel as are
necessary for the operations of the respective Reviewed Fund. In connection with
the review of the Investment Management Agreement, the Trustees considered the
extent and quality of these other services which include, among other things,
providing: product management (e.g., product positioning, performance
benchmarking, risk management); fund administration (e.g., daily net asset value
pricing and reconciliation, tax reporting, fulfilling regulatory filing
requirements); oversight of third party service providers; administration of
board relations (e.g., organizing board meetings and preparing related
materials); compliance (e.g., monitoring compliance with investment policies and
guidelines and regulatory requirements); and legal support (e.g., helping
prepare and file registration statements, amendments thereto, proxy statements
and responding to regulatory requests and/or inquiries). As the Reviewed Funds
operate in a highly regulated industry and given the importance of compliance,
the Trustees considered, in particular, the additions of experienced personnel
to the compliance teams and the enhancements to technology and related systems
to support the compliance activities for the Reviewed Funds (including a new
reporting system for quarterly portfolio holdings). In addition to the above,
because the Reviewed Funds utilize a Sub-Adviser, the Trustees also considered
NAM's ability and procedures to monitor the Sub-Adviser's performance, business
practices and compliance policies and procedures. In this regard, the Trustees
noted the enhancements in the investment oversight process, including increased
site visits and departments participating in investment oversight.
In addition to the foregoing, the Trustees also noted the additional services
that the Fund Adviser or its affiliates provide to closed-end funds, including,
in particular, secondary market support activities. The Trustees recognized
Nuveen's continued commitment to supporting the secondary market for the common
shares of its closed-end funds through a variety of initiatives designed to
raise investor and analyst awareness and understanding of closed-end funds.
These efforts include providing advertising and other media relations programs,
continued contact with analysts, maintaining and enhancing its website for
closed-end funds, and targeted advisor communication programs. With respect to
Nuveen closed-end funds that utilize leverage through the issuance of preferred
shares, the Trustees noted Nuveen's continued support for the preferred shares
by maintaining, among other things, an in-house preferred trading desk;
designating a product manager whose responsibilities include creating and
disseminating product information and managing relations in connection with the
preferred share auction; and maintaining systems necessary to test compliance
with rating agency requirements.
Based on their review, the Trustees found that, overall, the nature, extent and
quality of services provided (and expected to be provided) to the respective
Reviewed Fund under the Investment Management Agreement or Sub-Advisory
Agreement, as applicable, were of a high level and were satisfactory.
B. THE INVESTMENT PERFORMANCE OF THE REVIEWED FUNDS AND THE FUND ADVISERS
The Board considered the investment performance for each Reviewed Fund,
including the Reviewed Fund's historic performance as well as its performance
compared to funds with similar investment objectives identified by an
independent third party (the "Performance Peer Group") and recognized and/or
customized benchmarks (as applicable). In evaluating the performance
information, in certain instances, the Trustees noted that the closest
Performance Peer Group for a fund still may not adequately reflect such fund's
investment objectives, strategies and portfolio duration, thereby limiting the
usefulness of the comparisons of such fund's performance with that of the
Performance Peer Group (such as, the Nuveen Diversified Dividend and Income
Fund, Nuveen Preferred and Convertible Income Fund, Nuveen Preferred and
Convertible Income Fund 2, Nuveen Tax-Advantaged Floating Rate Fund, and the
Nuveen Real Estate Income Fund).
In reviewing performance, the Trustees reviewed performance information
including, among other things, total return information compared with the
Reviewed Fund's Performance Peer Group as well as recognized and/or customized
benchmarks (as appropriate) for the one-, three- and five-year periods (as
applicable) ending December 31, 2005. This information supplements the fund
performance information provided to the Board at each of their quarterly
meetings. Based on their review, the Trustees determined that the respective
Reviewed Fund's absolute and relative investment performance over time had been
satisfactory.
61
ANNUAL INVESTMENT
MANAGEMENT AGREEMENT APPROVAL PROCESS (continued)
C. FEES, EXPENSES AND PROFITABILITY
1. FEES AND EXPENSES
In evaluating the management fees and expenses of a Reviewed Fund, the Board
reviewed, among other things, the Reviewed Fund's advisory fees (net and
gross management fees) and total expense ratios (before and after expense
reimbursements and/or waivers) in absolute terms as well as comparisons to
the gross management fees (before waivers), net management fees (after
waivers) and total expense ratios (before and after waivers) of comparable
funds in the Peer Universe and the Peer Group. The Trustees reviewed data
regarding the construction of Peer Groups as well as the methods of
measurement for the fee and expense analysis and the performance analysis. In
certain cases, due to the small number of peers in the Peer Universe, the
Peer Universe and the Peer Group may be the same. Further, the Trustees
recognized that in certain cases the closest Peer Universe and/or Peer Group
may not adequately reflect a fund's investment objectives and strategies
limiting the usefulness of comparisons. In reviewing comparisons, the
Trustees also considered the size of the Peer Universe and/or Peer Group, the
composition of the Peer Group (including differences in the use of leverage)
as well as differing levels of fee waivers and/or expense reimbursements. In
this regard, the Trustees considered the fund-level and complex-wide
breakpoint schedules (described in further detail below) and any fee waivers
and reimbursements provided by Nuveen (applicable, in particular, for certain
funds launched since 1999). Based on their review of the fee and expense
information provided, the Trustees determined that each Reviewed Fund's net
total expense ratio was within an acceptable range compared to peers.
2. COMPARISONS WITH THE FEES OF OTHER CLIENTS
The Trustees further reviewed data comparing the advisory fees of NAM with
fees NAM charges to other clients (such as separate managed accounts and
funds that are not offered by Nuveen Investments but are sub-advised by one
of Nuveen's investment management teams). In general, the advisory fees
charged for separate accounts are somewhat lower than the advisory fees
assessed to the Reviewed Funds. The Trustees recognized that the differences
in fees are attributable to a variety of factors, including the differences
in services provided, product distribution, portfolio investment policies,
investor profiles, account sizes and regulatory requirements. The Trustees
noted, in particular, that the range of services provided to the Reviewed
Funds is more extensive than that provided to managed separate accounts. As
described in further detail above, such additional services include, but are
not limited to, providing: product management, fund administration, oversight
of third party service providers, administration of board relations, and
legal support. Funds further operate in a highly regulated industry requiring
extensive compliance functions compared to the other investment products. In
addition to the costs of the additional services, administrative costs may
also be greater for funds as the average account size for separate accounts
is notably larger than the retail accounts of funds. Given the differences in
the product structures, particularly the extensive services provided to
closed-end funds, the Trustees believe such facts justify the different
levels of fees.
In considering the advisory fees of the Sub-Adviser, the Trustees also
considered the pricing schedule that the Sub-Adviser charges for similar
investment management services for other sponsors or clients.
3. PROFITABILITY OF FUND ADVISERS
In conjunction with its review of fees, the Trustees also considered the
profitability of Nuveen Investments for advisory activities (which
incorporated Nuveen's wholly-owned affiliated sub-advisers). The Trustees
reviewed data comparing Nuveen's profitability with other fund sponsors
prepared by three independent third party service providers as well as
comparisons of the revenues, expenses and profits margins of various
unaffiliated management firms with similar amounts of assets under management
prepared by Nuveen. The Trustees further reviewed the 2005 Annual Report for
Nuveen Investments. In considering profitability, the Trustees recognized the
inherent limitations in determining profitability as well as the difficulties
in comparing the profitability of other unaffiliated advisers. Profitability
may be affected by numerous factors, including the methodology for allocating
expenses, the adviser's business mix, the types of funds managed, the
adviser's capital structure and cost of capital. Further, individual fund or
product line profitability of other sponsors is generally not publicly
available. Accordingly, the profitability information that is publicly
available from various investment advisory or management firms may not be
representative of the industry.
Notwithstanding the foregoing, in reviewing profitability, the Trustees reviewed
Nuveen's methodology and assumptions for allocating expenses across product
lines to determine profitability. In this regard, the methods of allocation used
appeared reasonable. The Trustees also, to the extent available, compared
Nuveen's profitability margins (including pre- and post-marketing profit
margins) with the profitability of various unaffiliated management firms. The
Trustees noted that Nuveen's profitability is enhanced due to its efficient
internal business model. The Trustees also recognized that while a number of
factors affect profitability, Nuveen's profitability may change as fee waivers
and/or expense reimbursement commitments of Nuveen to various funds in the
Nuveen complex expire. To keep apprised of profitability and developments that
may affect profitability, the Trustees have requested profitability analysis be
provided periodically during the year. The Trustees also considered the
Sub-Adviser's revenues from serving as a Sub-Adviser to the Reviewed Funds,
expenses (including the basis for allocating expenses) and profitability margins
(pre- and post-tax). Based on their review, the Trustees were satisfied that the
respective Fund Adviser's level of profitability was reasonable in light of the
services provided.
62
In evaluating the reasonableness of the compensation, the Trustees also
considered any other revenues paid to a Fund Adviser as well as any indirect
benefits (such as soft dollar arrangements, if any) the Fund Adviser and its
affiliates are expected to receive that are directly attributable to their
management of the Reviewed Funds, if any. See Section E below for additional
information. Based on their review of the overall fee arrangements of the
applicable Reviewed Fund, the Trustees determined that the advisory fees and
expenses of the respective Reviewed Fund were reasonable.
D. ECONOMIES OF SCALE AND WHETHER FEE LEVELS REFLECT THESE ECONOMIES OF SCALE
With respect to economies of scale, the Trustees recognized the potential
benefits resulting from the costs of a fund being spread over a larger asset
base as a fund grows. To help ensure the shareholders share in these benefits,
the Trustees have reviewed and considered the breakpoints in the advisory fee
schedules that reduce advisory fees as the applicable Reviewed Fund's assets
grow. In addition to advisory fee breakpoints as assets in a respective Reviewed
Fund rise, after lengthy discussions with management, the Board also approved a
complex-wide fee arrangement that was introduced on August 1, 2004. Pursuant to
the complex-wide fee arrangement, the fees of the funds in the Nuveen complex,
including the Reviewed Funds, are reduced as the assets in the fund complex
reach certain levels. In evaluating the complex-wide fee arrangement, the
Trustees considered, among other things, the historic and expected fee savings
to shareholders as assets grow, the amount of fee reductions at various asset
levels, and that the arrangement would extend to all funds in the Nuveen
complex. The Trustees noted that 2005 was the first full year to reflect the fee
reductions from the complex wide fee arrangement. The Trustees also considered
the impact, if any, the complex-wide fee arrangement may have on the level of
services provided. Based on their review, the Trustees concluded that the
breakpoint schedule and complex-wide fee arrangement currently was acceptable
and desirable in providing benefits from economies of scale to shareholders.
E. INDIRECT BENEFITS
In evaluating fees, the Trustees also considered any indirect benefits or
profits the Fund Adviser or its affiliates may receive as a result of its
relationship with the Reviewed Funds. In this regard, the Trustees considered
revenues received by affiliates of the Fund Adviser for serving as agent at
Nuveen's preferred trading desk and for serving as a co-manager in the initial
public offering of new closed-end exchange traded funds.
In addition to the above, the Trustees considered whether the Fund Adviser
received any benefits from soft dollar arrangements. With respect to NAM, the
Trustees noted that NAM does not currently have any soft dollar arrangements and
does not pay excess brokerage commissions (or spreads on principal transactions)
in order to receive research services; however, NAM may from time to time
receive and have access to research generally provided to institutional clients.
The Trustees also considered the soft dollar arrangements, if any, of the
Sub-Adviser. With respect to Gateway, while Gateway may select brokers that
provide it with research services, it is Gateway's practice not to receive soft
dollar credits in connection with trades executed for the Reviewed Funds.
The Trustees did not identify any single factor discussed previously as
all-important or controlling. The Trustees, including a majority of independent
Trustees, concluded that the terms of the Investment Management Agreement and
Sub-Advisory Agreements were fair and reasonable, that the respective Fund
Adviser's fees are reasonable in light of the services provided to each Reviewed
Fund, and that the renewal of the respective Investment Management Agreement and
Sub-Advisory Agreement should be approved.
63
Reinvest Automatically
EASILY AND CONVENIENTLY
NUVEEN EXCHANGE-TRADED CLOSED-END FUNDS
DIVIDEND REINVESTMENT PLAN
Your Nuveen Exchange-Traded Closed-End Fund allows you to conveniently reinvest
dividends and/or capital gains distributions in additional fund shares
By choosing to reinvest, you'll be able to invest money regularly and
automatically, and watch your investment grow through the power of compounding.
It is important to note that an automatic reinvestment plan does not ensure a
profit, nor does it protect you against loss in a declining market.
EASY AND CONVENIENT
To make recordkeeping easy and convenient, each month you'll receive a statement
showing your total dividends and distributions, the date of investment, the
shares acquired and the price per share, and the total number of shares you own.
HOW SHARES ARE PURCHASED
NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO
SET UP YOUR REINVESTMENT ACCOUNT.
The shares you acquire by reinvesting will either be purchased on the open
market or newly issued by the Fund. If the shares are trading at or above net
asset value at the time of valuation, the Fund will issue new shares at the
greater of the net asset value or 95% of the then-current market price. If the
shares are trading at less than net asset value, shares for your account will be
purchased on the open market. Dividends and distributions received to purchase
shares in the open market will normally be invested shortly after the dividend
payment date. No interest will be paid on dividends and distributions awaiting
reinvestment. Because the market price of the shares may increase before
purchases are completed, the average purchase price per share may exceed the
market price at the time of valuation, resulting in the acquisition of fewer
shares than if the dividend or distribution had been paid in shares issued by
the Fund. A pro rata portion of any applicable brokerage commissions on open
market purchases will be paid by Plan participants. These commissions usually
will be lower than those charged on individual transactions.
FLEXIBLE
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
You can reinvest whether your shares are registered in your name, or in the name
of a brokerage firm, bank, or other nominee. Ask your investment advisor if his
or her firm will participate on your behalf. Participants whose shares are
registered in the name of one firm may not be able to transfer the shares to
another firm and continue to participate in the Plan.
The Fund reserves the right to amend or terminate the Plan at any time. Although
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants, there is no direct service charge to participants
in the Plan at this time.
CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in
or withdraw from the Plan, speak with your financial advisor or call us at (800)
257-8787.
64
AUTOMATIC DIVIDEND
REINVESTMENT PLAN
NOTICE OF AMENDMENT TO THE TERMS AND CONDITIONS
The Fund is amending the terms and conditions of its Automatic Dividend
Reinvestment Plan (the "Plan") as further described below effective with the
close of business on December 1, 2006. THESE CHANGES ARE INTENDED TO ENABLE PLAN
PARTICIPANTS UNDER CERTAIN CIRCUMSTANCES TO REINVEST FUND DISTRIBUTIONS AT A
LOWER AGGREGATE COST THAN IS POSSIBLE UNDER THE EXISTING PLAN. Shareholders who
do not wish to continue as participants under the amended Plan may withdraw from
the Plan by notifying the Plan Agent prior to the effective date of the
amendments. Participants should refer to their Plan document for notification
instructions, or may simply call Nuveen at (800) 257-8787.
Fund shareholders who elect to participate in the Plan are able to have Fund
distributions consisting of income dividends, realized capital gains and returns
of capital automatically reinvested in additional Fund shares. Under the Plan's
existing terms, the Plan Agent purchases Fund shares in the open market if the
Fund's shares are trading at a discount to their net asset value on the payable
date for the distribution. If the Fund's shares are trading at or above their
net asset value on the payable date for the distribution, the Plan Agent
purchases newly-issued Fund shares directly from the Fund at a price equal to
the greater of the shares' net asset value or 95% of the shares' market value.
Under the Plan's amended terms, if the Plan Agent begins purchasing Fund shares
on the open market while shares are trading below net asset value, but the
Fund's shares subsequently trade at or above their net asset value before the
Plan Agent is able to complete its purchases, the Plan Agent may cease
open-market purchases and may invest the uninvested portion of the distribution
in newly-issued Fund shares at a price equal to the greater of the shares' net
asset value or 95% of the shares' market value. This change will permit Plan
participants under these circumstances to reinvest Fund distributions at a lower
aggregate cost than is possible under the existing Plan.
65
Notes
66
OTHER USEFUL
INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
The Fund's (i) quarterly portfolio of investments, (ii) information regarding
how the Funds voted proxies relating to portfolio securities held during the
most recent 12-month period ended June 30, 2006, and (iii) a description of the
policies and procedures that the Fund used to determine how to vote proxies
relating to portfolio securities are available without charge, upon request, by
calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at
www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities
and Exchange Commission ("SEC"). The SEC may charge a copying fee for this
information. Visit the SEC on-line at http://www.sec.gov or in person at the
SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090
for room hours and operation. You may also request Fund information by sending
an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public
Reference Section at 450 Fifth Street NW, Washington, D.C. 20549.
GLOSSARY OF TERMS USED IN THIS REPORT
MARKET YIELD (ALSO KNOWN AS DISTRIBUTION YIELD OR CURRENT YIELD): Market yield
is based on the Fund's current annualized monthly distribution divided by the
Fund's current market price. REIT distributions received by the Fund are
generally comprised of investment income, long-term and short-term capital gains
and a REIT return of capital. 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 tax return of capital.
NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by
subtracting the liabilities of the Fund (including any MuniPreferred shares
issued in order to leverage the Fund) from its total assets and then dividing
the remainder by the number of shares outstanding. Fund NAVs are calculated at
the end of each business day.
BOARD OF TRUSTEES
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Eugene S. Sunshine
FUND MANAGER
Nuveen Asset Management
333 West Wacker Drive
Chicago, IL 60606
CUSTODIAN
State Street Bank & Trust Company
Boston, MA
TRANSFER AGENT AND
SHAREHOLDER SERVICES
State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
LEGAL COUNSEL
Chapman and Cutler LLP
Chicago, IL
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
Chicago, IL
The Fund intends to repurchase shares of its own common or preferred stock in
the future at such times and in such amounts as is deemed advisable. No shares
were repurchased during the period covered by this report. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
67
(back cover photo)
NUVEEN INVESTMENTS:
SERVING INVESTORS
FOR GENERATIONS
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. For the past
century, Nuveen Investments has adhered to the belief that the best
approach to investing is to apply conservative risk-management principles
to help minimize volatility.
Building on this tradition, we today offer a range of high quality equity
and fixed-income solutions that are integral to a well-diversified core
portfolio. Our clients have come to appreciate this diversity, as well as
our continued adherence to proven, long-term investing principles.
WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT
NEEDS.
Managing more than $149 billion in assets, Nuveen Investments offers
access to a number of different asset classes and investing solutions
through a variety of products. Nuveen Investments markets its
capabilities under six distinct brands: Nuveen, a leader in fixed-income
investments; NWQ, a leader in value-style equities; Rittenhouse, a leader
in growth-style equities; Symphony, a leading institutional manager of
market-neutral alternative investment portfolios; Santa Barbara, a leader
in growth equities; and Tradewinds NWQ, a leader in global equities.
FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS.
To learn more about the products and services Nuveen Investments offers,
talk to your financial advisor, or call us at (800) 257-8787. Please read
the information provided carefully before you invest.
Be sure to obtain a prospectus, where applicable. Investors should
consider the investment objective and policies, risk considerations,
charges and expenses of the Fund carefully before investing. The
prospectus contains this and other information relevant to an investment
in the Fund. For a prospectus, please contact your securities
representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL
60606. Please read the prospectus carefully before you invest or send
money.
- Share prices
- Fund details
- Daily financial news
- Investor education
- Interactive planning tools
LEARN MORE
ABOUT NUVEEN FUNDS AT
WWW.NUVEEN.COM/CEF
ESA-D-0606D
NUVEEN LOGO
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: September 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: September 8, 2006
By (Signature and Title)* /s/ Stephen D. Foy
---------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: September 8, 2006
* Print the name and title of each signing officer under his or her signature.