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 811-07755
Nuveen Multistate Trust II
- --------------------------------------------------------------------------------
(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
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(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
--------------
Date of fiscal year end: February 28
------------
Date of reporting period: August 31, 2006
------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure
review, inspection, and policy making roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss.3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
NUVEEN INVESTMENTS MUTUAL FUNDS
Semiannual Report Dependable, tax-free income
dated August 31, 2006 because it's not what you earn, it's what you keep.(R)
[GRAPHIC]
Nuveen Investments
Municipal Bond Funds
Nuveen Connecticut Municipal Bond Fund
Nuveen New Jersey Municipal Bond Fund
Nuveen New York Municipal Bond Fund
Nuveen New York Insured Municipal Bond Fund
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[GRAPHIC]
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Nuveen Investments.
[LOGO] NUVEEN
Investments
------------------------------
Must be preceded by or accompanied by a prospectus.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
[PHOTO]
Timothy R. Schwertfeger
Dear Shareholder,
Once again, I am pleased to report that during the period covered by this
report your Fund provided tax-free income and solid performance from a
carefully selected portfolio of municipal bonds. Detailed information on your
Fund's performance can be found in the Portfolio Manager's Comments and Fund
Spotlight sections of this report.
In past letters, I've spoken about market volatility and the benefits of
maintaining a balanced portfolio. These thoughts remain just as valid in
today's environment as they've been in the past. Some may wonder if this is a
good time to own a municipal bond fund. Others may be thinking about adjusting
their current portfolios. We believe these are decisions you should make with
the help of a trusted financial advisor.
With the help of your advisor, you may be able to structure a well-balanced
portfolio that can become an important component in achieving your long-term
financial goals. In fact, a well-diversified portfolio may actually help to
reduce your overall investment risk. Your advisor can help you understand how a
municipal bond investment like your Nuveen Fund can be an important building
block in a portfolio crafted to perform well through a variety of market
conditions.
Since 1898, Nuveen Investments has offered financial products and solutions
that incorporate careful research, diversification, and the application of
conservative risk-management principles. We are grateful that you have chosen
us as a partner as you pursue your financial goals. We look forward to
continuing to earn your trust in the months and years ahead.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
October 16, 2006
"In fact, a well-diversified portfolio may actually help to
reduce your overall investment risk."
Semiannual Report Page 1
Portfolio Manager's Comments
Portfolio manager Cathryn Steeves examines key investment strategies and the
performance of the Nuveen Connecticut, New Jersey, New York, and New York
Insured Municipal Bond Funds. Cathryn, who has 9 years of investment
experience, has managed the Funds since July 2006.
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How did the Funds perform during the six-months ended August 31, 2006?
The nearby chart provides total return information for the four Funds for the
six-month, one-year, five-year, and ten-year periods ended August 31, 2006.
Each Fund's total return is compared with the Fund's corresponding Lipper peer
fund category average, as well as with the national Lehman Brothers Municipal
Bond Index. Although we believe that comparing the performance of a state Fund
with that of a national municipal index may offer some insights into how the
Fund performed relative to the general municipal market, we also think that
closely comparing the results of state Funds with a national average is
imperfect since most of the national index's results come from out-of-state
bonds.
For the six-month reporting period, the total return of the Nuveen Connecticut,
New York and New York Insured Municipal Bond Funds' Class A shares at net asset
value outperformed their respective Lipper peer group averages, while the
Nuveen New Jersey Municipal Bond Fund lagged. All four Funds trailed the Lehman
Brothers index for the six-months.
In the Connecticut and New Jersey Funds, our duration positioning contributed
favorably to performance to varying degrees. (Duration is a measure of a bond's
susceptibility to price changes as interest rates fluctuate.) Specifically, the
Funds benefited from their relative underweightings in shorter-duration bonds,
which were poor performers in a climate of rising short-term interest rates,
and from their relative overweightings in the stronger-performing intermediate
portion of the yield curve. Similarly, allocations to the intermediate segment
of the yield curve helped both New York Funds, although that positive impact
was counterbalanced by the relative underweighting of these Funds in
longer-maturity bonds.
Security selection in both the Connecticut and New Jersey Funds generally added
to returns over the period. In Connecticut, we benefited from our exposure to
general obligation debt and to our multifamily bond holdings, as well as from a
position in Puerto Rico bonds issued for American Airlines, whose price
improved along with the business environment for airline companies. (Bonds
issued by U.S. territories generally are fully tax-exempt in all 50 states.) By
contrast, some of the Connecticut Fund's insured and single-family housing
bonds did not perform as well as we would have liked, as both categories tended
to underperform the overall market during the past six months. In New Jersey,
some of the Fund's health care and tobacco-backed bonds were solid performers,
although here, too, certain insured bonds did not do as well as we would have
liked.
Security selection in the New York uninsured Fund was a modest negative,
characterized by slight underperformance from a handful of our tax- and
appropriation-backed bonds.
- --------------------------------------------------------------------------------
The views expressed reflect those of the portfolio manager and are subject to
change at any time, based on market and other conditions.
Semiannual Report Page 2
Class A Shares--
Average Annual Total Returns as of 8/31/06
- --------------------------------------------------------------------------------
6-Month 1-Year 5-Year 10-Year
-----------------------------
Nuveen Connecticut Municipal
Bond Fund
A Shares at NAV 1.82% 2.60% 4.69% 5.45%
A Shares at Offer -2.48% -1.75% 3.80% 5.00%
Lipper Connecticut Municipal
Debt Funds Category
Average/1/ 1.58% 2.11% 3.99% 5.05%
Lehman Brothers Municipal
Bond Index/2/ 2.02% 3.03% 4.95% 5.98%
-----------------------------------------------------------
Nuveen New Jersey
Municipal Bond Fund
A Shares at NAV 1.68% 2.43% 4.53% 5.38%
A Shares at Offer -2.57% -1.87% 3.63% 4.93%
Lipper New Jersey Municipal
Debt Funds Category
Average/1/ 1.90% 2.76% 4.14% 5.02%
Lehman Brothers Municipal
Bond Index/2/ 2.02% 3.03% 4.95% 5.98%
-----------------------------------------------------------
Nuveen New York Municipal
Bond Fund
A Shares at NAV 1.88% 2.56% 4.85% 5.72%
A Shares at Offer -2.44% -1.71% 3.94% 5.27%
Lipper New York Municipal
Debt Funds Category
Average/1/ 1.78% 2.65% 4.15% 5.19%
Lehman Brothers Municipal
Bond Index/2/ 2.02% 3.03% 4.95% 5.98%
-----------------------------------------------------------
Nuveen New York Insured
Municipal Bond Fund
A Shares at NAV 1.59% 1.91% 4.72% 5.27%
A Shares at Offer -2.71% -2.34% 3.82% 4.82%
Lipper Insured Municipal Debt
Funds Category Average/1/ 1.50% 2.14% 4.04% 4.99%
Lehman Brothers Insured
Municipal Bond Index/3/ 2.02% 3.15% 5.18% 6.19%
-----------------------------------------------------------
Returns quoted represent past performance, which is no guarantee of future
results. Returns at NAV would be lower if the sales charge were included.
Returns less than one year are cumulative. Current performance may be higher or
lower than the performance shown. Investment returns and principal value will
fluctuate so that when shares are redeemed, they may be worth more or less than
their original cost. Class A shares have a 4.2% maximum sales charge. Returns
do not reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption of shares. For the most recent month-end
performance, visit www.nuveen.com or call (800) 257-8787.
What strategies were used to manage the Funds, and how did these strategies
influence performance?
Careful duration management remained a significant theme in all four Funds. To
keep the portfolios' interest-rate sensitivity in line with target levels, we
took advantage of suitable opportunities to sell some of our holdings in
shorter-duration bonds and reinvest the proceeds in longer-dated securities. A
particular focus was on intermediate bonds with maturities between 2016 and
2026 which broadly represented the part of the municipal yield curve that we
believed offered particular value for shareholders. In the New Jersey and both
New York Funds, we found additional value in securities with maturities of as
long as 30 years, which, besides performing well during the period as prices on
longer bonds rallied, helped us keep our durations relatively steady as other
holdings matured or were called from the portfolios. In both New York Funds,
two notable recent additions of longer-dated debt were baseball-related--we
purchased bonds issued to fund new stadiums for both the New York Yankees and
New York Mets.
As an additional part of our duration-management efforts, we also invested a
small portion of the Connecticut Fund in U.S. Treasury bond futures, and a
small portion of the uninsured New York Fund in interest rate swaps. In both
cases, we used these derivative instruments to reduce the interest rate risk of
the Funds and not to speculate on market movement. These derivative positions
enabled us to reduce portfolio volatility and manage duration without having to
sell positions in the portfolios that we found attractive.
Another goal for the uninsured Funds was to add attractive, lower-rated bond
positions to the
- --------------------------------------------------------------------------------
1For each Fund, the Lipper category average shown represents the average
annualized total return for all reporting funds for the periods ended August
31, 2006. The Lipper categories contained 23, 22, 21 and 15 funds in the
Lipper Connecticut Municipal Debt Funds Category, 53, 52, 49 and 42 funds in
the Lipper New Jersey Municipal Debt Funds Category, 104, 104, 90 and 66 funds
in the Lipper New York Municipal Debt Funds Category and 63, 63, 59 and 48
funds in the Lipper Insured Municipal Debt Funds Category for the respective
six-month and one-, five- and ten-year periods ended August 31, 2006. The
returns account for the effects of management fees and assume reinvestment of
dividends, but do not reflect any applicable sales charges. You cannot invest
directly in a Lipper Category.
2The Lehman Brothers Municipal Bond Index is an unmanaged index composed of a
broad range of investment-grade municipal bonds and does not reflect any
initial or ongoing expenses. You cannot invest directly in an index.
3The Lehman Brothers Insured Municipal Bond Index is an unmanaged index
composed of all the insured bonds in the Lehman Brothers Municipal Bond Index
with a maturity of at least one year and ratings of Aaa/AAA.
Semiannual Report Page 3
portfolios. This was not always easy to accomplish during the period because of
a combination of reduced supply of municipal bond issuance generally, and
relatively unattractive levels of income offered by lower-rated and non-rated
bonds in an environment of generally falling yields. Nevertheless, we were
successful in adding some new lower-rated bonds to each of the three uninsured
portfolios.
Dividend Information
In May, the dividend for the Connecticut Fund's B shares was increased by
$0.0005. There were no other dividend changes to any of the four Funds during
this reporting period. Each Fund seeks to pay dividends at a rate that reflects
the past and projected performance of the Fund. To permit a Fund to maintain a
more stable monthly dividend, the Fund may pay dividends at a rate that may be
more or less than the amount of net investment income actually earned by the
Fund during the period. If the Fund has cumulatively earned more than it has
paid in dividends, it will hold the excess in reserve as undistributed net
investment income (UNII) as part of the Fund's net asset value. Conversely, if
the Fund has cumulatively paid in dividends more than it has earned, the excess
will constitute a negative UNII that will likewise be reflected in the Fund's
net asset value. Each Fund will, over time, pay all its net investment income
as dividends to shareholders. As of August 31, 2006, the uninsured New York
Fund had a positive UNII balance for financial statement purposes and a
positive UNII balance, based upon our best estimate, for tax purposes. The
Connecticut, New Jersey and insured New York Funds had negative UNII balances
for financial statement purposes and positive UNII balances, based upon our
best estimate, for tax purposes.
Semiannual Report Page 4
Fund Spotlight as of 8/31/06 Nuveen Connecticut Municipal Bond Fund
================================================================================
Quick Facts
A Shares B Shares C Shares R Shares
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NAV $10.63 $10.62 $10.62 $10.67
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Latest Monthly Dividend/1/ $0.0350 $0.0285 $0.0300 $0.0370
--------------------------------------------------------------------
Latest Capital Gain and Ordinary
Income Distribution/2/ $0.0465 $0.0465 $0.0465 $0.0465
--------------------------------------------------------------------
Inception Date 7/13/87 2/11/97 10/04/93 2/25/97
--------------------------------------------------------------------
Returns quoted represent past performance which is no guarantee of future
results. Returns without sales charges would be lower if the sales charge were
included. Current performance may be higher or lower than the performance
shown. Investment returns and principal value will fluctuate so that when
shares are redeemed, they may be worth more or less than their original cost.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Income is generally exempt from
regular federal income taxes. Some income may be subject to state and local
taxes and to the federal alternative minimum tax. Capital gains, if any, are
subject to tax. For the most recent month-end performance visit www.nuveen.com
or call (800) 257-8787.
Class A and C share returns are actual. Class B and R share returns are actual
for the period since class inception; returns prior to class inception are
Class A share returns adjusted for differences in sales charges and (in the
case of Class B) expenses, which are primarily differences in distribution and
service fees. Class A shares have a 4.2% maximum sales charge. Class B shares
have a contingent deferred sales charge (CDSC), also known as a back-end sales
charge, that for redemptions begins at 5% and declines periodically until after
6 years when the charge becomes 0%. Class B shares automatically convert to
Class A shares eight years after purchase. Class C shares have a 1% CDSC for
redemptions within less than one year, which is not reflected in the one-year
total return. Class R shares have no sales charge and may be purchased under
limited circumstances or by specified classes of investors.
Average Annual Total Returns as of 8/31/06
A Shares NAV Offer
---------------------------------------------
1-Year 2.60% -1.75%
---------------------------------------------
5-Year 4.69% 3.80%
---------------------------------------------
10-Year 5.45% 5.00%
---------------------------------------------
B Shares w/o CDSC w/CDSC
---------------------------------------------
1-Year 1.72% -2.20%
---------------------------------------------
5-Year 3.91% 3.74%
---------------------------------------------
10-Year 4.81% 4.81%
---------------------------------------------
C Shares NAV
---------------------------------------------
1-Year 2.03%
---------------------------------------------
5-Year 4.13%
---------------------------------------------
10-Year 4.87%
---------------------------------------------
R Shares NAV
---------------------------------------------
1-Year 2.73%
---------------------------------------------
5-Year 4.89%
---------------------------------------------
10-Year 5.67%
---------------------------------------------
Tax-Free Yields
A Shares NAV Offer
---------------------------------------------
Dividend Yield/3/ 3.95% 3.78%
---------------------------------------------
SEC 30-Day Yield/4/ 3.28% 3.14%
---------------------------------------------
Taxable-Equivalent Yield/4,5/ 4.79% 4.58%
---------------------------------------------
B Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.22%
---------------------------------------------
SEC 30-Day Yield 2.53%
---------------------------------------------
Taxable-Equivalent Yield/5/ 3.69%
---------------------------------------------
C Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.39%
---------------------------------------------
SEC 30-Day Yield 2.73%
---------------------------------------------
Taxable-Equivalent Yield/5/ 3.99%
---------------------------------------------
R Shares NAV
---------------------------------------------
Dividend Yield/3/ 4.16%
---------------------------------------------
SEC 30-Day Yield 3.47%
---------------------------------------------
Taxable-Equivalent Yield/5/ 5.07%
---------------------------------------------
Average Annual Total Returns as of 9/30/06
A Shares NAV Offer
------------------------------------------
1-Year 4.02% -0.34%
------------------------------------------
5-Year 4.89% 3.99%
------------------------------------------
10-Year 5.36% 4.91%
------------------------------------------
B Shares w/o CDSC w/CDSC
------------------------------------------
1-Year 3.23% -0.75%
------------------------------------------
5-Year 4.11% 3.94%
------------------------------------------
10-Year 4.73% 4.73%
------------------------------------------
C Shares NAV
------------------------------------------
1-Year 3.44%
------------------------------------------
5-Year 4.33%
------------------------------------------
10-Year 4.79%
------------------------------------------
R Shares NAV
------------------------------------------
1-Year 4.24%
------------------------------------------
5-Year 5.09%
------------------------------------------
10-Year 5.58%
------------------------------------------
Portfolio Statistics
Net Assets ($000) $287,458
---------------------------------------------------------
Average Effective Maturity on Securities (Years) 15.66
---------------------------------------------------------
Average Duration 5.53
---------------------------------------------------------
- --------------------------------------------------------------------------------
1Paid September 1, 2006. This is the latest monthly tax-exempt dividend
declared during the period ended August 31, 2006.
2Paid December 1, 2005. Capital gains and/or ordinary income are subject to
federal taxation.
3Dividend Yield is the most recent dividend per share (annualized) divided by
the appropriate price per share. The SEC 30-Day Yield is a standardized
measure of the current market yield on the Fund's portfolio and is based on
the maximum offer price per share. The Dividend Yield also differs from the
SEC 30-Day Yield because the Fund may be paying out more or less than it is
earning and it may not include the effect of amortization of bond premium.
4The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies
only to A Shares purchased at no-load pursuant to the Fund's policy permitting
waiver of the A Share load in certain specified circumstances.
5The Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis at a specified tax rate. With respect to investments that
generate qualified dividend income that is taxable at a maximum rate of 15%,
the Taxable-Equivalent Yield is lower. The Taxable-Equivalent Yield is based
on the Fund's SEC 30-Day Yield on the indicated date and a combined federal
and state income tax rate of 31.5%.
Semiannual Report Page 5
Fund Spotlight as of 8/31/06 Nuveen Connecticut Municipal Bond Fund
================================================================================
Bond Credit Quality/1/
[CHART]
AAA/U.S. Guaranteed 64.3%
AA 20.5%
A 2.9%
BBB 7.6%
BB or Lower 3.6%
NR 1.1%
Industries/1/
Education and Civic Organizations 20.2%
---------------------------------------
Tax Obligation/General 19.4%
---------------------------------------
U.S. Guaranteed 14.0%
---------------------------------------
Tax Obligation/Limited 8.8%
---------------------------------------
Water and Sewer 7.0%
---------------------------------------
Utilities 6.6%
---------------------------------------
Health Care 6.2%
---------------------------------------
Long-Term Care 6.0%
---------------------------------------
Other 11.8%
---------------------------------------
1As a percentage of total holdings as of August 31, 2006. Holdings are subject
to change.
- --------------------------------------------------------------------------------
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including front and back end sales charges (loads) or redemption fees,
where applicable; and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees, where applicable; and other Fund
expenses. This Example is intended to help you understand your ongoing costs
(in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The Example below is based on an investment of $1,000 invested at the beginning
of the period and held for the period.
The information under "Actual Performance," together with the amount you
invested, allows you to estimate actual expenses incurred over the reporting
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.60) and multiply the result by the cost
shown for your share class, in the row entitled "Expenses Incurred During
Period" to estimate the expenses incurred on your account during this period.
The information under "Hypothetical Performance," provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expense you incurred for the period. You may use this information to
compare the ongoing costs of investing in the Fund and other Funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front
and back end sales charges (loads) or redemption fees, where applicable.
Therefore, the hypothetical information is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning
different funds or share classes. In addition, if these transactional costs
were included, your costs would have been higher.
Hypothetical Performance
Actual Performance (5% annualized return before expenses)
--------------------------------------- ---------------------------------------
A Shares B Shares C Shares R Shares A Shares B Shares C Shares R Shares
- -----------------------------------------------------------------------------------------------------------------
Beginning Account Value (3/01/06) $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
- -----------------------------------------------------------------------------------------------------------------
Ending Account Value (8/31/06) $1,018.20 $1,013.40 $1,015.40 $1,018.40 $1,021.07 $1,017.29 $1,018.30 $1,022.08
- -----------------------------------------------------------------------------------------------------------------
Expenses Incurred During Period $ 4.17 $ 7.97 $ 6.96 $ 3.15 $ 4.18 $ 7.98 $ 6.97 $ 3.16
- -----------------------------------------------------------------------------------------------------------------
For each class of the Fund, expenses are equal to the Fund's annualized net
expense ratio of .82%, 1.57%, 1.37% and .62% for Classes A, B, C and R,
respectively, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report Page 6
Fund Spotlight as of 8/31/06 Nuveen New Jersey Municipal Bond Fund
================================================================================
Quick Facts
A Shares B Shares C Shares R Shares
-----------------------------------------------------------------------
NAV $10.75 $10.76 $10.72 $10.78
-----------------------------------------------------------------------
Latest Monthly Dividend/1/ $0.0345 $0.0275 $0.0295 $0.0360
-----------------------------------------------------------------------
Latest Capital Gain Distribution/2/ $0.0428 $0.0428 $0.0428 $0.0428
-----------------------------------------------------------------------
Inception Date 9/06/94 2/03/97 9/21/94 2/28/92
-----------------------------------------------------------------------
Returns quoted represent past performance which is no guarantee of future
results. Returns without sales charges would be lower if the sales charge were
included. Current performance may be higher or lower than the performance
shown. Investment returns and principal value will fluctuate so that when
shares are redeemed, they may be worth more or less than their original cost.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Income is generally exempt from
regular federal income taxes. Some income may be subject to state and local
taxes and to the federal alternative minimum tax. Capital gains, if any, are
subject to tax. For the most recent month-end performance visit www.nuveen.com
or call (800) 257-8787.
Class A, C and R share returns are actual. Class B share returns are actual for
the period since class inception; returns prior to class inception are Class R
share returns adjusted for differences in sales charges and expenses, which are
primarily differences in distribution and service fees. Class A shares have a
4.2% maximum sales charge. Class B shares have a contingent deferred sales
charge (CDSC), also known as a back-end sales charge, that for redemptions
begins at 5% and declines periodically until after 6 years when the charge
becomes 0%. Class B shares automatically convert to Class A shares eight years
after purchase. Class C shares have a 1% CDSC for redemptions within less than
one year, which is not reflected in the one-year total return. Class R shares
have no sales charge and may be purchased under limited circumstances or by
specified classes of investors.
Average Annual Total Returns as of 8/31/06
A Shares NAV Offer
---------------------------------------------
1-Year 2.43% -1.87%
---------------------------------------------
5-Year 4.53% 3.63%
---------------------------------------------
10-Year 5.38% 4.93%
---------------------------------------------
B Shares w/o CDSC w/CDSC
---------------------------------------------
1-Year 1.73% -2.20%
---------------------------------------------
5-Year 3.75% 3.58%
---------------------------------------------
10-Year 4.75% 4.75%
---------------------------------------------
C Shares NAV
---------------------------------------------
1-Year 1.87%
---------------------------------------------
5-Year 3.96%
---------------------------------------------
10-Year 4.80%
---------------------------------------------
R Shares NAV
---------------------------------------------
1-Year 2.69%
---------------------------------------------
5-Year 4.74%
---------------------------------------------
10-Year 5.60%
---------------------------------------------
Tax-Free Yields
A Shares NAV Offer
---------------------------------------------
Dividend Yield/3/ 3.85% 3.69%
---------------------------------------------
SEC 30-Day Yield/4/ 3.53% 3.38%
---------------------------------------------
Taxable-Equivalent Yield/4,5/ 5.23% 5.01%
---------------------------------------------
B Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.07%
---------------------------------------------
SEC 30-Day Yield 2.78%
---------------------------------------------
Taxable-Equivalent Yield/5/ 4.12%
---------------------------------------------
C Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.30%
---------------------------------------------
SEC 30-Day Yield 2.98%
---------------------------------------------
Taxable-Equivalent Yield/5/ 4.41%
---------------------------------------------
R Shares NAV
---------------------------------------------
Dividend Yield/3/ 4.01%
---------------------------------------------
SEC 30-Day Yield 3.72%
---------------------------------------------
Taxable-Equivalent Yield/5/ 5.51%
---------------------------------------------
Average Annual Total Returns as of 9/30/06
A Shares NAV Offer
------------------------------------------
1-Year 4.03% -0.29%
------------------------------------------
5-Year 4.79% 3.91%
------------------------------------------
10-Year 5.32% 4.86%
------------------------------------------
B Shares w/o CDSC w/CDSC
------------------------------------------
1-Year 3.22% -0.77%
------------------------------------------
5-Year 4.02% 3.84%
------------------------------------------
10-Year 4.69% 4.69%
------------------------------------------
C Shares NAV
------------------------------------------
1-Year 3.46%
------------------------------------------
5-Year 4.24%
------------------------------------------
10-Year 4.73%
------------------------------------------
R Shares NAV
------------------------------------------
1-Year 4.20%
------------------------------------------
5-Year 5.00%
------------------------------------------
10-Year 5.52%
------------------------------------------
Portfolio Statistics
Net Assets ($000) $185,738
---------------------------------------------------------
Average Effective Maturity on Securities (Years) 16.08
---------------------------------------------------------
Average Duration 5.24
---------------------------------------------------------
- --------------------------------------------------------------------------------
1Paid September 1, 2006. This is the latest monthly tax-exempt dividend
declared during the period ended August 31, 2006.
2Paid December 1, 2005. Capital gains are subject to federal taxation.
3Dividend Yield is the most recent dividend per share (annualized) divided by
the appropriate price per share. The SEC 30-Day Yield is a standardized
measure of the current market yield on the Fund's portfolio and is based on
the maximum offer price per share. The Dividend Yield also differs from the
SEC 30-Day Yield because the Fund may be paying out more or less than it is
earning and it may not include the effect of amortization of bond premium.
4The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies
only to A Shares purchased at no-load pursuant to the Fund's policy permitting
waiver of the A Share load in certain specified circumstances.
5The Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis at a specified tax rate. With respect to investments that
generate qualified dividend income that is taxable at a maximum rate of 15%,
the Taxable-Equivalent Yield is lower. The Taxable-Equivalent Yield is based
on the Fund's SEC 30-Day Yield on the indicated date and a combined federal
and state income tax rate of 32.5%.
Semiannual Report Page 7
Fund Spotlight as of 8/31/06 Nuveen New Jersey Municipal Bond Fund
================================================================================
Bond Credit Quality/1/
[CHART]
AAA/U.S. Guaranteed 69.0%
AA 11.5%
A 4.7%
BBB 11.5%
BB or Lower 0.8%
NR 2.5%
Industries/1/
Tax Obligation/Limited 23.4%
---------------------------------------
Transportation 13.2%
---------------------------------------
Health Care 12.4%
---------------------------------------
Education and Civic Organizations 12.3%
---------------------------------------
Tax Obligation/General 12.2%
---------------------------------------
U.S. Guaranteed 7.9%
---------------------------------------
Long-Term Care 6.5%
---------------------------------------
Other 12.1%
---------------------------------------
1As a percentage of total holdings as of August 31, 2006. Holdings are subject
to change.
- --------------------------------------------------------------------------------
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including front and back end sales charges (loads) or redemption fees,
where applicable; and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees, where applicable; and other Fund
expenses. This Example is intended to help you understand your ongoing costs
(in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The Example below is based on an investment of $1,000 invested at the beginning
of the period and held for the period.
The information under "Actual Performance," together with the amount you
invested, allows you to estimate actual expenses incurred over the reporting
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.60) and multiply the result by the cost
shown for your share class, in the row entitled "Expenses Incurred During
Period" to estimate the expenses incurred on your account during this period.
The information under "Hypothetical Performance," provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expense you incurred for the period. You may use this information to
compare the ongoing costs of investing in the Fund and other Funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front
and back end sales charges (loads) or redemption fees, where applicable.
Therefore, the hypothetical information is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning
different funds or share classes. In addition, if these transactional costs
were included, your costs would have been higher.
Hypothetical Performance
Actual Performance (5% annualized return before expenses)
--------------------------------------- ---------------------------------------
A Shares B Shares C Shares R Shares A Shares B Shares C Shares R Shares
- -----------------------------------------------------------------------------------------------------------------
Beginning Account Value (3/01/06) $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
- -----------------------------------------------------------------------------------------------------------------
Ending Account Value (8/31/06) $1,016.80 $1,013.70 $1,014.00 $1,018.60 $1,020.92 $1,017.14 $1,018.15 $1,021.93
- -----------------------------------------------------------------------------------------------------------------
Expenses Incurred During Period $ 4.32 $ 8.12 $ 7.11 $ 3.31 $ 4.33 $ 8.13 $ 7.12 $ 3.31
- -----------------------------------------------------------------------------------------------------------------
For each class of the Fund, expenses are equal to the Fund's annualized net
expense ratio of .85%, 1.60%, 1.40% and .65% for Classes A, B, C and R,
respectively, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report Page 8
Fund Spotlight as of 8/31/06 Nuveen New York Municipal Bond Fund
================================================================================
Quick Facts
A Shares B Shares C Shares R Shares
--------------------------------------------------------------------
NAV $10.82 $10.82 $10.83 $10.84
--------------------------------------------------------------------
Latest Monthly Dividend/1/ $0.0365 $0.0300 $0.0320 $0.0385
--------------------------------------------------------------------
Latest Capital Gain and Ordinary
Income Distribution/2/ $0.0476 $0.0476 $0.0476 $0.0476
--------------------------------------------------------------------
Inception Date 9/07/94 2/03/97 9/14/94 12/22/86
--------------------------------------------------------------------
Returns quoted represent past performance which is no guarantee of future
results. Returns without sales charges would be lower if the sales charge were
included. Current performance may be higher or lower than the performance
shown. Investment returns and principal value will fluctuate so that when
shares are redeemed, they may be worth more or less than their original cost.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Income is generally exempt from
regular federal income taxes. Some income may be subject to state and local
taxes and to the federal alternative minimum tax. Capital gains, if any, are
subject to tax. For the most recent month-end performance visit www.nuveen.com
or call (800) 257-8787.
Class A, C and R share returns are actual. Class B share returns are actual for
the period since class inception; returns prior to class inception are Class R
share returns adjusted for differences in sales charges and expenses, which are
primarily differences in distribution and service fees. Class A shares have a
4.2% maximum sales charge. Class B shares have a contingent deferred sales
charge (CDSC), also known as a back-end sales charge, that for redemptions
begins at 5% and declines periodically until after 6 years when the charge
becomes 0%. Class B shares automatically convert to Class A shares eight years
after purchase. Class C shares have a 1% CDSC for redemptions within less than
one year, which is not reflected in the one-year total return. Class R shares
have no sales charge and may be purchased under limited circumstances or by
specified classes of investors.
Average Annual Total Returns as of 8/31/06
A Shares NAV Offer
---------------------------------------------
1-Year 2.56% -1.71%
---------------------------------------------
5-Year 4.85% 3.94%
---------------------------------------------
10-Year 5.72% 5.27%
---------------------------------------------
B Shares w/o CDSC w/CDSC
---------------------------------------------
1-Year 1.82% -2.10%
---------------------------------------------
5-Year 4.05% 3.88%
---------------------------------------------
10-Year 5.09% 5.09%
---------------------------------------------
C Shares NAV
---------------------------------------------
1-Year 2.05%
---------------------------------------------
5-Year 4.28%
---------------------------------------------
10-Year 5.13%
---------------------------------------------
R Shares NAV
---------------------------------------------
1-Year 2.69%
---------------------------------------------
5-Year 5.05%
---------------------------------------------
10-Year 5.93%
---------------------------------------------
Tax-Free Yields
A Shares NAV Offer
---------------------------------------------
Dividend Yield/3/ 4.05% 3.88%
---------------------------------------------
SEC 30-Day Yield/4/ 3.38% 3.24%
---------------------------------------------
Taxable-Equivalent Yield/4,5/ 5.04% 4.84%
---------------------------------------------
B Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.33%
---------------------------------------------
SEC 30-Day Yield 2.64%
---------------------------------------------
Taxable-Equivalent Yield/5/ 3.94%
---------------------------------------------
C Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.55%
---------------------------------------------
SEC 30-Day Yield 2.84%
---------------------------------------------
Taxable-Equivalent Yield/5/ 4.24%
---------------------------------------------
R Shares NAV
---------------------------------------------
Dividend Yield/3/ 4.26%
---------------------------------------------
SEC 30-Day Yield 3.58%
---------------------------------------------
Taxable-Equivalent Yield/5/ 5.34%
---------------------------------------------
Average Annual Total Returns as of 9/30/06
A Shares NAV Offer
------------------------------------------
1-Year 4.06% -0.33%
------------------------------------------
5-Year 5.14% 4.24%
------------------------------------------
10-Year 5.64% 5.18%
------------------------------------------
B Shares w/o CDSC w/CDSC
------------------------------------------
1-Year 3.21% -0.76%
------------------------------------------
5-Year 4.36% 4.19%
------------------------------------------
10-Year 5.01% 5.01%
------------------------------------------
C Shares NAV
------------------------------------------
1-Year 3.44%
------------------------------------------
5-Year 4.57%
------------------------------------------
10-Year 5.05%
------------------------------------------
R Shares NAV
------------------------------------------
1-Year 4.18%
------------------------------------------
5-Year 5.34%
------------------------------------------
10-Year 5.84%
------------------------------------------
Portfolio Statistics
Net Assets ($000) $378,400
---------------------------------------------------------
Average Effective Maturity on Securities (Years) 15.38
---------------------------------------------------------
Average Duration 5.51
---------------------------------------------------------
- --------------------------------------------------------------------------------
1Paid September 1, 2006. This is the latest monthly tax-exempt dividend
declared during the period ended August 31, 2006.
2Paid December 1, 2005. Capital gains and/or ordinary income are subject to
federal taxation.
3Dividend Yield is the most recent dividend per share (annualized) divided by
the appropriate price per share. The SEC 30-Day Yield is a standardized
measure of the current market yield on the Fund's portfolio and is based on
the maximum offer price per share. The Dividend Yield also differs from the
SEC 30-Day Yield because the Fund may be paying out more or less than it is
earning and it may not include the effect of amortization of bond premium.
4The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies
only to A Shares purchased at no-load pursuant to the Fund's policy permitting
waiver of the A Share load in certain specified circumstances.
5The Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis at a specified tax rate. With respect to investments that
generate qualified dividend income that is taxable at a maximum rate of 15%,
the Taxable-Equivalent Yield is lower. The Taxable-Equivalent Yield is based
on the Fund's SEC 30-Day Yield on the indicated date and a combined federal
and state income tax rate of 33.0%.
Semiannual Report Page 9
Fund Spotlight as of 8/31/06 Nuveen New York Municipal Bond Fund
================================================================================
Bond Credit Quality/1/
[CHART]
AAA/U.S. Guaranteed 58.1%
AA 22.5%
A 5.8%
BBB 8.4%
BB or Lower 2.2%
NR 3.0%
%
Industries/1/
Tax Obligation/Limited 19.4%
---------------------------------------
U.S. Guaranteed 16.5%
---------------------------------------
Health Care 11.5%
---------------------------------------
Education and Civic Organizations 9.6%
---------------------------------------
Transportation 9.6%
---------------------------------------
Utilities 9.4%
---------------------------------------
Tax Obligation/General 6.5%
---------------------------------------
Housing/Multifamily 5.3%
---------------------------------------
Other 12.2%
---------------------------------------
1As a percentage of total holdings as of August 31, 2006. Holdings are subject
to change.
- --------------------------------------------------------------------------------
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including front and back end sales charges (loads) or redemption fees,
where applicable; and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees, where applicable; and other Fund
expenses. This Example is intended to help you understand your ongoing costs
(in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The Example below is based on an investment of $1,000 invested at the beginning
of the period and held for the period.
The information under "Actual Performance," together with the amount you
invested, allows you to estimate actual expenses incurred over the reporting
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.60) and multiply the result by the cost
shown for your share class, in the row entitled "Expenses Incurred During
Period" to estimate the expenses incurred on your account during this period.
The information under "Hypothetical Performance," provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expense you incurred for the period. You may use this information to
compare the ongoing costs of investing in the Fund and other Funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front
and back end sales charges (loads) or redemption fees, where applicable.
Therefore, the hypothetical information is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning
different funds or share classes. In addition, if these transactional costs
were included, your costs would have been higher.
Hypothetical Performance
Actual Performance (5% annualized return before expenses)
--------------------------------------- ---------------------------------------
A Shares B Shares C Shares R Shares A Shares B Shares C Shares R Shares
- -----------------------------------------------------------------------------------------------------------------
Beginning Account Value (3/01/06) $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
- -----------------------------------------------------------------------------------------------------------------
Ending Account Value (8/31/06) $1,018.80 $1,015.10 $1,016.20 $1,019.90 $1,021.07 $1,017.29 $1,018.30 $1,022.08
- -----------------------------------------------------------------------------------------------------------------
Expenses Incurred During Period $ 4.17 $ 7.97 $ 6.96 $ 3.16 $ 4.18 $ 7.98 $ 6.97 $ 3.16
- -----------------------------------------------------------------------------------------------------------------
For each class of the Fund, expenses are equal to the Fund's annualized net
expense ratio of .82%, 1.57%, 1.37% and .62% for Classes A, B, C and R,
respectively, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report Page 10
Fund Spotlight as of 8/31/06 Nuveen New York Insured Municipal Bond Fund
================================================================================
Quick Facts
A Shares B Shares C Shares R Shares
--------------------------------------------------------------------
NAV $10.37 $10.39 $10.37 $10.40
--------------------------------------------------------------------
Latest Monthly Dividend/1/ $0.0335 $0.0270 $0.0285 $0.0350
--------------------------------------------------------------------
Latest Capital Gain and Ordinary
Income Distribution/2/ $0.2130 $0.2130 $0.2130 $0.2130
--------------------------------------------------------------------
Inception Date 9/07/94 2/11/97 9/14/94 12/22/86
--------------------------------------------------------------------
Returns quoted represent past performance which is no guarantee of future
results. Returns without sales charges would be lower if the sales charge were
included. Current performance may be higher or lower than the performance
shown. Investment returns and principal value will fluctuate so that when
shares are redeemed, they may be worth more or less than their original cost.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Income is generally exempt from
regular federal income taxes. Some income may be subject to state and local
taxes and to the federal alternative minimum tax. Capital gains, if any, are
subject to tax. For the most recent month-end performance visit www.nuveen.com
or call (800) 257-8787.
Class A, C and R share returns are actual. Class B share returns are actual for
the period since class inception; returns prior to class inception are Class R
share returns adjusted for differences in sales charges and expenses, which are
primarily differences in distribution and service fees. Class A shares have a
4.2% maximum sales charge. Class B shares have a contingent deferred sales
charge (CDSC), also known as a back-end sales charge, that for redemptions
begins at 5% and declines periodically until after 6 years when the charge
becomes 0%. Class B shares automatically convert to Class A shares eight years
after purchase. Class C shares have a 1% CDSC for redemptions within less than
one year, which is not reflected in the one-year total return. Class R shares
have no sales charge and may be purchased under limited circumstances or by
specified classes of investors.
Average Annual Total Returns as of 8/31/06
A Shares NAV Offer
------------------------------------------
1-Year 1.91% -2.34%
------------------------------------------
5-Year 4.72% 3.82%
------------------------------------------
10-Year 5.27% 4.82%
------------------------------------------
B Shares NAV Offer
------------------------------------------
1-Year 1.12% -2.72%
------------------------------------------
5-Year 3.93% 3.76%
------------------------------------------
10-Year 4.64% 4.64%
------------------------------------------
C Shares NAV
------------------------------------------
1-Year 1.32%
------------------------------------------
5-Year 4.13%
------------------------------------------
10-Year 4.67%
------------------------------------------
R Shares NAV
------------------------------------------
1-Year 2.08%
------------------------------------------
5-Year 4.92%
------------------------------------------
10-Year 5.48%
------------------------------------------
Tax-Free Yields
A Shares NAV Offer
------------------------------------------
Dividend Yield/3/ 3.88% 3.72%
------------------------------------------
SEC 30-Day Yield/4/ 3.27% 3.14%
------------------------------------------
Taxable-Equivalent Yield/4,5/ 4.88% 4.69%
------------------------------------------
B Shares NAV
------------------------------------------
Dividend Yield/3/ 3.12%
------------------------------------------
SEC 30-Day Yield 2.53%
------------------------------------------
Taxable-Equivalent Yield/5/ 3.78%
------------------------------------------
C Shares NAV
------------------------------------------
Dividend Yield/3/ 3.30%
------------------------------------------
SEC 30-Day Yield 2.73%
------------------------------------------
Taxable-Equivalent Yield/5/ 4.07%
------------------------------------------
R Shares NAV
------------------------------------------
Dividend Yield/3/ 4.04%
------------------------------------------
SEC 30-Day Yield 3.47%
------------------------------------------
Taxable-Equivalent Yield/5/ 5.18%
------------------------------------------
Average Annual Total Returns as of 9/30/06
A Shares NAV Offer
------------------------------------------
1-Year 3.55% -0.84%
------------------------------------------
5-Year 4.96% 4.07%
------------------------------------------
10-Year 5.20% 4.75%
------------------------------------------
B Shares w/o CDSC w/CDSC
------------------------------------------
1-Year 2.83% -1.08%
------------------------------------------
5-Year 4.19% 4.02%
------------------------------------------
10-Year 4.57% 4.57%
------------------------------------------
C Shares NAV
------------------------------------------
1-Year 3.03%
------------------------------------------
5-Year 4.41%
------------------------------------------
10-Year 4.61%
------------------------------------------
R Shares NAV
------------------------------------------
1-Year 3.80%
------------------------------------------
5-Year 5.18%
------------------------------------------
10-Year 5.42%
------------------------------------------
Portfolio Statistics
Net Assets ($000) $332,001
---------------------------------------------------------
Average Effective Maturity on Securities (Years) 16.28
---------------------------------------------------------
Average Duration 5.37
---------------------------------------------------------
- --------------------------------------------------------------------------------
1Paid September 1, 2006. This is the latest monthly tax-exempt dividend
declared during the period ended August 31, 2006.
2Paid December 1, 2005. Capital gains and/or ordinary income are subject to
federal taxation.
3Dividend Yield is the most recent dividend per share (annualized) divided by
the appropriate price per share. The SEC 30-Day Yield is a standardized
measure of the current market yield on the Fund's portfolio and is based on
the maximum offer price per share. The Dividend Yield also differs from the
SEC 30-Day Yield because the Fund may be paying out more or less than it is
earning and it may not include the effect of amortization of bond premium.
4The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies
only to A Shares purchased at no-load pursuant to the Fund's policy permitting
waiver of the A Share load in certain specified circumstances.
5The Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis at a specified tax rate. With respect to investments that
generate qualified dividend income that is taxable at a maximum rate of 15%,
the Taxable-Equivalent Yield is lower. The Taxable-Equivalent Yield is based
on the Fund's SEC 30-Day Yield on the indicated date and a combined federal
and state income tax rate of 33.0%.
Semiannual Report Page 11
Fund Spotlight as of 8/31/06 Nuveen New York Insured Municipal Bond Fund
================================================================================
Bond Credit Quality/1/
[CHART]
Insured 91.6%
U.S.Guaranteed 8.4%
The Fund features a portfolio of primarily investment-grade, long-term
municipal securities. These securities are covered by insurance, guaranteeing
the timely payment of principal and interest, or by an escrow or trust account
containing enough U.S. government or U.S. government agency securities to
ensure timely payment of principal and interest.
Industries/1/
Tax Obligation/Limited 24.9%
---------------------------------------
Health Care 14.7%
---------------------------------------
Transportation 14.1%
---------------------------------------
Tax Obligation/General 12.8%
---------------------------------------
U.S. Guaranteed 8.4%
---------------------------------------
Education and Civic Organizations 7.5%
---------------------------------------
Utilities 5.6%
---------------------------------------
Other 12.0%
---------------------------------------
1As a percentage of total holdings as of August 31, 2006. Holdings are subject
to change.
- --------------------------------------------------------------------------------
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including front and back end sales charges (loads) or redemption fees,
where applicable; and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees, where applicable; and other Fund
expenses. This Example is intended to help you understand your ongoing costs
(in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The Example below is based on an investment of $1,000 invested at the beginning
of the period and held for the period.
The information under "Actual Performance," together with the amount you
invested, allows you to estimate actual expenses incurred over the reporting
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.60) and multiply the result by the cost
shown for your share class, in the row entitled "Expenses Incurred During
Period" to estimate the expenses incurred on your account during this period.
The information under "Hypothetical Performance," provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expense you incurred for the period. You may use this information to
compare the ongoing costs of investing in the Fund and other Funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front
and back end sales charges (loads) or redemption fees, where applicable.
Therefore, the hypothetical information is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning
different funds or share classes. In addition, if these transactional costs
were included, your costs would have been higher.
Hypothetical Performance
Actual Performance (5% annualized return before expenses)
--------------------------------------- ---------------------------------------
A Shares B Shares C Shares R Shares A Shares B Shares C Shares R Shares
- -----------------------------------------------------------------------------------------------------------------
Beginning Account Value (3/01/06) $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
- -----------------------------------------------------------------------------------------------------------------
Ending Account Value (8/31/06) $1,015.90 $1,011.00 $1,011.90 $1,015.70 $1,020.92 $1,017.19 $1,018.20 $1,021.93
- -----------------------------------------------------------------------------------------------------------------
Expenses Incurred During Period $ 4.32 $ 8.06 $ 7.05 $ 3.30 $ 4.33 $ 8.08 $ 7.07 $ 3.31
- -----------------------------------------------------------------------------------------------------------------
For each class of the Fund, expenses are equal to the Fund's annualized net
expense ratio of .85%, 1.59%, 1.39% and .65% for Classes A, B, C and R,
respectively, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report Page 12
Portfolio of Investments (Unaudited)
NUVEEN CONNECTICUT MUNICIPAL BOND FUND
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Consumer Staples - 1.7%
$ 4,635 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB $ 4,759,311
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
- ---------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations - 19.7%
2,250 Connecticut Health and Education Facilities Authority, 7/16 at 100.00 AA 2,398,410
University of Hartford Revenue Bonds, Series 2006G,
5.250%, 7/01/36 - RAAI Insured
1,540 Connecticut Health and Educational Facilities Authority, 7/13 at 100.00 AAA 1,607,329
Revenue Bonds, Brunswick School, Series 2003B, 5.000%,
7/01/33 - MBIA Insured
1,490 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AA 1,525,611
Revenue Bonds, Canterbury School, Series 1998A, 5.000%,
7/01/18 - RAAI Insured
450 Connecticut Health and Educational Facilities Authority, 7/16 at 100.00 AA 464,980
Revenue Bonds, Canterbury School, Series 2006B, 5.000%,
7/01/36 - RAAI Insured
750 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 AAA 807,608
Revenue Bonds, Connecticut College, Series 2000D, 5.750%,
7/01/30 - MBIA Insured
1,000 Connecticut Health and Educational Facilities Authority, No Opt. Call AAA 1,085,200
Revenue Bonds, Connecticut State University System, Series
2003F, 5.000%, 11/01/13 - FSA Insured
Connecticut Health and Educational Facilities Authority,
Revenue Bonds, Connecticut State University System, Series
2005H:
1,100 5.000%, 11/01/17 - FSA Insured 11/15 at 100.00 AAA 1,194,919
4,700 5.000%, 11/01/18 - FSA Insured 11/15 at 100.00 AAA 5,090,100
925 Connecticut Health and Educational Facilities Authority, 3/11 at 101.00 AAA 958,938
Revenue Bonds, Greenwich Academy, Series 2001B, 5.000%,
3/01/32 - FSA Insured
2,000 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 2,114,480
Revenue Bonds, Horace Bushnell Memorial Hall, Series
1999A, 5.625%, 7/01/29 - MBIA Insured
650 Connecticut Health and Educational Facilities Authority, 1/15 at 100.00 Aaa 701,864
Revenue Bonds, Kent School, Series 2004D, 5.000%, 7/01/16
- MBIA Insured
900 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 953,325
Revenue Bonds, Loomis Chaffee School, Series 2001E,
5.250%, 7/01/21
1,000 Connecticut Health and Educational Facilities Authority, No Opt. Call Aaa 1,117,370
Revenue Bonds, Loomis Chaffee School, Series 2005F,
5.250%, 7/01/18 - AMBAC Insured
1,125 Connecticut Health and Educational Facilities Authority, 7/08 at 101.00 AA 1,146,589
Revenue Bonds, Sacred Heart University, Series 1998E,
5.000%, 7/01/28 - RAAI Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/07 at 102.00 AAA 1,032,630
Revenue Bonds, Suffield Academy, Series 1997A, 5.400%,
7/01/27 - MBIA Insured
2,250 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 AAA 2,343,780
Revenue Bonds, Trinity College, Series 2001G, 5.000%,
7/01/31 - AMBAC Insured
650 Connecticut Health and Educational Facilities Authority, 4/14 at 100.00 AAA 699,419
Revenue Bonds, Trinity College, Series 2004H, 5.000%,
7/01/17 - MBIA Insured
Connecticut Health and Educational Facilities Authority,
Revenue Bonds, University of Hartford, Series 2002E:
1,000 5.500%, 7/01/22 - RAAI Insured 7/12 at 101.00 AA 1,084,960
6,000 5.250%, 7/01/32 - RAAI Insured 7/12 at 101.00 AA 6,317,160
4,500 Connecticut Health and Educational Facilities Authority, 7/09 at 100.00 AAA 4,642,605
Revenue Bonds, Yale University, Series 2002W, 5.125%,
7/01/27
790 Connecticut Higher Education Supplemental Loan Authority, 11/11 at 100.00 Aaa 825,929
Revenue Bonds, Family Education Loan Program, Series
2001A, 5.250%, 11/15/18 - MBIA Insured (Alternative
Minimum Tax)
1,435 University of Connecticut, General Obligation Bonds, Series 1/14 at 100.00 AAA 1,546,098
2004A, 5.000%, 1/15/16 - MBIA Insured
2,670 University of Connecticut, General Obligation Bonds, Series 2/15 at 100.00 AAA 2,888,379
2005A, 5.000%, 2/15/17 - FSA Insured
University of Connecticut, General Obligation Bonds, Series
2006A:
6,200 5.000%, 2/15/19 - FGIC Insured 2/16 at 100.00 AAA 6,706,354
1,605 5.000%, 2/15/23 - FGIC Insured 2/16 at 100.00 AAA 1,719,196
- ----
13
Portfolio of Investments (Unaudited)
NUVEEN CONNECTICUT MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations (continued)
$ 2,160 University of Connecticut, Student Fee Revenue Bonds, 5/12 at 100.00 AA- $ 2,316,319
Series 2002A, 5.250%, 5/15/18
3,120 University of Connecticut, Student Fee Revenue Refunding 11/12 at 101.00 AAA 3,386,760
Bonds, Series 2002A, 5.250%, 11/15/20 - FGIC Insured
- ---------------------------------------------------------------------------------------------------------------------
53,260 Total Education and Civic Organizations 56,676,312
- ---------------------------------------------------------------------------------------------------------------------
Health Care - 6.0%
2,000 Connecticut Health and Educational Facilities Authority, 1/07 at 100.00 AAA 2,005,180
Revenue Bonds, Bridgeport Hospital Issue, Series 1992A,
6.625%, 7/01/18 - MBIA Insured
2,000 Connecticut Health and Educational Facilities Authority, 7/12 at 101.00 AA 2,139,200
Revenue Bonds, Bristol Hospital, Series 2002B, 5.500%,
7/01/32 - RAAI Insured
1,500 Connecticut Health and Educational Facilities Authority, 11/09 at 101.00 AAA 1,600,230
Revenue Bonds, Catholic Health East, Series 1999F, 5.750%,
11/15/29 - MBIA Insured
Connecticut Health and Educational Facilities Authority,
Revenue Bonds, Danbury Hospital, Series 1999G:
500 5.700%, 7/01/22 - AMBAC Insured 7/09 at 101.00 AAA 529,895
1,000 5.625%, 7/01/25 - AMBAC Insured 7/09 at 101.00 AAA 1,057,240
695 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 AA 751,545
Revenue Bonds, Eastern Connecticut Health Network, Series
2000A, 6.000%, 7/01/25 - RAAI Insured
Connecticut Health and Educational Facilities Authority,
Revenue Bonds, Hospital for Special Care, Series 1997B:
1,000 5.375%, 7/01/17 7/07 at 102.00 BB+ 1,014,200
3,500 5.500%, 7/01/27 7/07 at 102.00 BB+ 3,523,870
800 Connecticut Health and Educational Facilities Authority, 1/07 at 100.00 AAA 815,440
Revenue Bonds, New Britain General Hospital Issue, Series
1994B, 6.000%, 7/01/24 - AMBAC Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 Aaa 1,038,150
Revenue Bonds, Stamford Hospital, Series 1999G, 5.000%,
7/01/18 - MBIA Insured
2,725 Connecticut Health and Educational Facilities Authority, 7/09 at 101.00 AA 2,876,483
Revenue Bonds, Waterbury Hospital, Series 1999C, 5.750%,
7/01/20 - RAAI Insured
- ---------------------------------------------------------------------------------------------------------------------
16,720 Total Health Care 17,351,433
- ---------------------------------------------------------------------------------------------------------------------
Housing/Multifamily - 3.0%
1,890 Bridgeport Housing Authority, Connecticut, Multifamily 12/09 at 102.00 N/R 2,021,298
Housing Revenue Bonds, Stratfield Apartments, Series 1999,
7.250%, 12/01/24 (Alternative Minimum Tax)
2,000 Connecticut Housing Finance Authority, Housing Mortgage 12/09 at 100.00 AAA 2,070,100
Finance Program Bonds, Series 1999D-2, 6.200%, 11/15/41
(Alternative Minimum Tax)
3,000 Connecticut Housing Finance Authority, Multifamily Housing 11/15 at 100.00 AAA 3,021,780
Mortgage Finance Program Bonds, Series 2006G-2, 4.800%,
11/15/27 (WI/DD, Settling 10/04/06) (Alternative Minimum
Tax)
1,390 New Britain Senior Citizens Housing Development 1/07 at 100.00 AAA 1,426,293
Corporation, Connecticut, FHA-Insured Section 8 Assisted
Mortgage Revenue Refunding Bonds, Nathan Hale Apartments,
Series 1992A, 6.875%, 7/01/24
65 Stamford Housing Authority, Connecticut, Multifamily No Opt. Call A- 65,725
Housing Revenue Bonds, Fairfield Apartments, Series 1998,
4.750%, 12/01/28 (Mandatory put 12/01/08) (Alternative
Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
8,345 Total Housing/Multifamily 8,605,196
- ---------------------------------------------------------------------------------------------------------------------
Housing/Single Family - 3.0%
1,595 Connecticut Housing Finance Authority, Housing Mortgage 11/10 at 100.00 AAA 1,631,318
Finance Program Bonds, Series 2001C, 5.300%, 11/15/33
(Alternative Minimum Tax)
Connecticut Housing Finance Authority, Housing Mortgage
Finance Program Bonds, Series 2006-A1:
1,610 4.700%, 11/15/26 (Alternative Minimum Tax) 11/15 at 100.00 AAA 1,616,714
1,735 4.800%, 11/15/31 (Alternative Minimum Tax) 11/15 at 100.00 AAA 1,743,987
3,500 Connecticut Housing Finance Authority, Housing Mortgage 5/16 at 100.00 AAA 3,569,685
Finance Program Bonds, Series 2006D, 4.650%, 11/15/27
- ---------------------------------------------------------------------------------------------------------------------
8,440 Total Housing/Single Family 8,561,704
- ---------------------------------------------------------------------------------------------------------------------
- ----
14
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Industrials - 2.2%
$ 5,250 Connecticut Resource Recovery Authority, Revenue Bonds, 11/06 at 100.00 BB+ $ 5,367,600
American Ref-Fuel Company of Southeastern Connecticut LP,
Series 1992A, 6.450%, 11/15/22 (Alternative Minimum Tax)
1,000 Connecticut Resource Recovery Authority, Revenue Bonds, 12/11 at 102.00 Baa2 1,029,090
American Ref-Fuel Company of Southeastern Connecticut LP,
Series 1998A-II, 5.500%, 11/15/15 (Alternative Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
6,250 Total Industrials 6,396,690
- ---------------------------------------------------------------------------------------------------------------------
Long-Term Care - 5.9%
Connecticut Development Authority, First Mortgage Gross
Revenue Refunding Healthcare Bonds, Church Homes Inc. -
Congregational Avery Heights, Series 1997:
1,700 5.700%, 4/01/12 4/07 at 102.00 BBB- 1,741,650
2,560 5.800%, 4/01/21 4/07 at 102.00 BBB- 2,609,997
Connecticut Development Authority, First Mortgage Gross
Revenue Refunding Healthcare Bonds, Connecticut Baptist
Homes Inc., Series 1999:
1,000 5.500%, 9/01/15 - RAAI Insured 9/09 at 102.00 AA 1,062,050
500 5.625%, 9/01/22 - RAAI Insured 9/09 at 102.00 AA 531,755
1,875 Connecticut Development Authority, First Mortgage Gross 12/06 at 103.00 BBB+ 1,920,244
Revenue Refunding Healthcare Bonds, Elim Park Baptist Home
Inc., Series 1998A, 5.375%, 12/01/18
1,000 Connecticut Development Authority, First Mortgage Gross 12/09 at 102.00 N/R 1,088,100
Revenue Refunding Healthcare Bonds, Mary Wade Home Inc.,
Series 1999A, 6.375%, 12/01/18
Connecticut Development Authority, Revenue Refunding Bonds,
Duncaster Inc., Series 1999A:
2,200 5.250%, 8/01/19 - RAAI Insured 2/10 at 102.00 AA 2,304,456
3,910 5.375%, 8/01/24 - RAAI Insured 2/10 at 102.00 AA 4,109,371
1,000 Connecticut Health and Educational Facilities Authority, 8/08 at 102.00 AAA 1,030,960
FHA-Insured Mortgage Revenue Bonds, Hebrew Home and
Hospital, Series 1999B, 5.200%, 8/01/38
500 Connecticut Housing Finance Authority, Group Home Mortgage 6/10 at 102.00 AAA 529,185
Finance Program Special Obligation Bonds, Series 2000GH-5,
5.850%, 6/15/30 - AMBAC Insured
- ---------------------------------------------------------------------------------------------------------------------
16,245 Total Long-Term Care 16,927,768
- ---------------------------------------------------------------------------------------------------------------------
Materials - 0.3%
1,000 Sprague, Connecticut, Environmental Improvement Revenue 10/07 at 102.00 BBB 1,031,080
Bonds, International Paper Company, Series 1997A, 5.700%,
10/01/21 (Alternative Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/General - 18.9%
2,800 Bridgeport, Connecticut, General Obligation Bonds, Series 3/07 at 101.00 AAA 2,848,300
1997A, 5.250%, 3/01/17 - AMBAC Insured
1,500 Bridgeport, Connecticut, General Obligation Refunding 8/12 at 100.00 Aaa 1,622,760
Bonds, Series 2002A, 5.375%, 8/15/19 - FGIC Insured
325 Canterbury, Connecticut, General Obligation Bonds, Series No Opt. Call A3 353,782
1989, 7.200%, 5/01/09
395 Colchester, Connecticut, General Obligation Bonds, Series 6/11 at 102.00 Aaa 432,288
2001, 5.500%, 6/15/14 - FGIC Insured
1,000 Connecticut, General Obligation Bonds, Series 2001D, 11/11 at 100.00 AA 1,049,780
5.000%, 11/15/20
1,000 Connecticut, General Obligation Bonds, Series 2002D, 11/12 at 100.00 AA 1,084,840
5.375%, 11/15/21
3,330 Connecticut, General Obligation Bonds, Series 2004C, 4/14 at 100.00 AAA 3,526,870
5.000%, 4/01/23 - FGIC Insured
5,500 Connecticut, General Obligation Bonds, Series 2006A, 12/16 at 100.00 AA 5,757,290
4.750%, 12/15/24
2,200 Connecticut, General Obligation Bonds, Series 2006C, 6/16 at 100.00 AAA 2,360,424
5.000%, 6/01/23 - FSA Insured
5,000 Connecticut, General Obligation Residual Certificates, No Opt. Call Aa2 6,795,499
Series 514, 8.851%, 12/15/13 (IF)
545 East Lyme, Connecticut, General Obligation Bonds, Series 7/11 at 102.00 Aaa 584,883
2001, 5.000%, 7/15/16 - FGIC Insured
Hartford, Connecticut, General Obligation Bonds, Series
2005A:
1,195 5.000%, 8/01/20 - FSA Insured 8/15 at 100.00 AAA 1,280,598
595 5.000%, 8/01/21 - FSA Insured 8/15 at 100.00 AAA 635,781
1,210 4.375%, 8/01/24 - FSA Insured 8/15 at 100.00 AAA 1,215,288
1,265 New Haven, Connecticut, General Obligation Bonds, Series 11/10 at 101.00 AAA 1,329,692
2001A, 5.000%, 11/01/20 - FGIC Insured
100 New London, Connecticut, General Obligation Bonds, Series No Opt. Call A+ 104,387
1988, 7.300%, 12/01/07
- ----
15
Portfolio of Investments (Unaudited)
NUVEEN CONNECTICUT MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/General (continued)
North Haven, Connecticut, General Obligation Bonds, Series
2006:
$ 1,200 5.000%, 7/15/20 No Opt. Call Aa2 $ 1,330,140
1,455 5.000%, 7/15/21 No Opt. Call Aa2 1,614,250
485 5.000%, 7/15/24 No Opt. Call Aa2 540,222
975 Northern Mariana Islands, General Obligation Bonds, Series 6/10 at 100.00 A 1,027,796
2000A, 6.000%, 6/01/20 - ACA Insured
Old Saybrook, Connecticut, General Obligation Bonds, Series
1989:
160 7.400%, 5/01/08 No Opt. Call Aa3 169,523
160 7.400%, 5/01/09 No Opt. Call Aa3 175,309
Old Saybrook, Connecticut, General Obligation Bonds, Series
1991:
275 6.500%, 2/15/10 - AMBAC Insured No Opt. Call AAA 300,644
270 6.500%, 2/15/11 - AMBAC Insured No Opt. Call AAA 301,525
3,700 Puerto Rico, Public Improvement Bonds, TICS/TOCS, Series No Opt. Call AAA 5,119,764
2001, 8.428%, 7/01/19 - FSA Insured (IF)
420 Regional School District 15, Connecticut, General 8/10 at 101.00 Aaa 439,438
Obligation Bonds, Series 2002, 5.000%, 8/15/22 - FSA
Insured
Regional School District 16, Beacon Falls and Prospect,
Connecticut, General Obligation Bonds, Series 2000:
650 5.500%, 3/15/18 - FSA Insured 3/10 at 101.00 Aaa 693,751
650 5.625%, 3/15/19 - FSA Insured 3/10 at 101.00 Aaa 696,423
650 5.700%, 3/15/20 - FSA Insured 3/10 at 101.00 Aaa 698,022
1,460 Regional School District 8, Andover, Hebron and 5/11 at 101.00 Aaa 1,539,395
Marlborough, Connecticut, General Obligation Bonds, Series
2002, 5.000%, 5/01/21 - FSA Insured
2,050 Stratford, Connecticut, General Obligation Bonds, Series 2/12 at 100.00 AAA 2,074,129
2002, 4.000%, 2/15/16 - FSA Insured
Suffield, Connecticut, General Obligation Bonds, Series
2005:
600 5.000%, 6/15/17 No Opt. Call AA 660,192
600 5.000%, 6/15/19 No Opt. Call AA 663,696
Watertown, Connecticut, General Obligation Bonds, Series
2005:
1,055 5.000%, 8/01/14 - MBIA Insured No Opt. Call Aaa 1,143,979
1,060 5.000%, 8/01/15 - MBIA Insured No Opt. Call Aaa 1,155,580
2,170 West Hartford, Connecticut, General Obligation Bonds, 10/15 at 100.00 AAA 2,371,875
Series 2005B, 5.000%, 10/01/17
Winchester, Connecticut, General Obligation Bonds, Series
1990:
140 6.750%, 4/15/07 No Opt. Call A2 142,643
140 6.750%, 4/15/08 No Opt. Call A2 146,756
140 6.750%, 4/15/09 No Opt. Call A2 150,697
140 6.750%, 4/15/10 No Opt. Call A2 154,518
- ---------------------------------------------------------------------------------------------------------------------
48,565 Total Tax Obligation/General 54,292,729
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited - 8.6%
825 Connecticut Health and Educational Facilities Authority, 7/08 at 102.00 AAA 845,897
Revenue Bonds, Child Care Facilities Program, Series
1998A, 5.000%, 7/01/28 - AMBAC Insured
2,895 Connecticut Health and Educational Facilities Authority, 7/08 at 105.00 A 3,138,064
Revenue Bonds, New Opportunities for Waterbury Inc.,
Series 1998A, 6.750%, 7/01/28
4,365 Connecticut Health and Educational Facilities Authority, 11/06 at 102.00 AA 4,466,574
Revenue Bonds, Nursing Home Program - 3030 Park Fairfield
Health Center, Series 1996, 6.250%, 11/01/21
Connecticut, Certificates of Participation, Juvenile
Training School, Series 2001:
1,275 5.000%, 12/15/20 12/11 at 101.00 AA- 1,337,603
1,000 5.000%, 12/15/30 12/11 at 101.00 AA- 1,036,200
1,150 Connecticut, Special Tax Obligation Transportation No Opt. Call AA- 1,267,553
Infrastructure Purpose Bonds, Series 1992B, 6.125%, 9/01/12
4,000 Connecticut, Special Tax Obligation Transportation 12/12 at 100.00 AAA 4,240,600
Infrastructure Purpose Bonds, Series 2002B,
5.000%, 12/01/20 - AMBAC Insured
1,000 Connecticut, Special Tax Obligation Transportation 1/14 at 100.00 AAA 1,056,130
Infrastructure Purpose Bonds, Series 2003B,
5.000%, 1/01/23 - FGIC Insured
- ----
16
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -------------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited (continued)
$ 4,650 Puerto Rico Municipal Finance Agency, Series 2005C, 5.000%, 8/15 at 100.00 AAA $ 5,056,457
8/01/16 - FSA Insured
2,000 Virgin Islands Public Finance Authority, Gross Receipts 10/10 at 101.00 BBB 2,189,320
Taxes Loan Note, Series 1999A, 6.500%, 10/01/24
- -------------------------------------------------------------------------------------------------------------------------
23,160 Total Tax Obligation/Limited 24,634,398
- -------------------------------------------------------------------------------------------------------------------------
Transportation - 1.4%
2,100 Connecticut, General Airport Revenue Bonds, Bradley 4/11 at 101.00 AAA 2,168,691
International Airport, Series 2001A, 5.125%, 10/01/26 -
FGIC Insured (Alternative Minimum Tax)
1,360 New Haven, Connecticut, Revenue Refunding Bonds, Air Rights No Opt. Call AAA 1,512,225
Parking Facility, Series 2002, 5.375%, 12/01/14 - AMBAC
Insured
250 Puerto Rico Ports Authority, Special Facilities Revenue 12/06 at 102.00 CCC+ 250,072
Bonds, American Airlines Inc., Series 1996A, 6.250%,
6/01/26 (Alternative Minimum Tax)
- -------------------------------------------------------------------------------------------------------------------------
3,710 Total Transportation 3,930,988
- -------------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed - 13.6% (3)
1,000 Bridgeport, Connecticut, General Obligation Bonds, Series 7/10 at 101.00 AAA 1,096,020
2000A, 6.000%, 7/15/19 (Pre-refunded 7/15/10) - FGIC
Insured
1,440 Bridgeport, Connecticut, General Obligation Bonds, Series 9/13 at 100.00 AAA 1,577,837
2003A, 5.250%, 9/15/22 (Pre-refunded 9/15/13) - FSA Insured
Cheshire, Connecticut, General Obligation Bonds, Series
1999:
660 5.625%, 10/15/18 (Pre-refunded 10/15/09) 10/09 at 101.00 Aa3 (3) 706,121
660 5.625%, 10/15/19 (Pre-refunded 10/15/09) 10/09 at 101.00 Aa3 (3) 706,121
1,305 Connecticut Health and Educational Facilities Authority, 7/10 at 101.00 AA (3) 1,428,257
Revenue Bonds, Eastern Connecticut Health Network, Series
2000A, 6.000%, 7/01/25 (Pre-refunded 7/01/10) - RAAI
Insured
1,000 Connecticut Health and Educational Facilities Authority, 7/11 at 101.00 A2 (3) 1,093,130
Revenue Bonds, Loomis Chaffee School, Series 2001D,
5.500%, 7/01/23 (Pre-refunded 7/01/11)
1,195 Connecticut Health and Educational Facilities Authority, 10/06 at 100.00 AAA 1,456,227
Revenue Bonds, Lutheran General Healthcare System -
Parkside Lodges Projects, Series 1989, 7.375%, 7/01/19
(ETM)
2,500 Connecticut, General Obligation Bonds, Series 2002A, 4/12 at 100.00 AA (3) 2,721,950
5.375%, 4/15/19 (Pre-refunded 4/15/12)
2,000 Connecticut, General Obligation Bonds, Series 2002B, 6/12 at 100.00 AA (3) 2,195,220
5.500%, 6/15/21 (Pre-refunded 6/15/12)
1,500 Connecticut, Special Tax Obligation Transportation 7/12 at 100.00 AAA 1,637,655
Infrastructure Purpose Bonds, Series 2002A,
5.375%, 7/01/18 (Pre-refunded 7/01/12) - FSA Insured
470 East Lyme, Connecticut, General Obligation Bonds, Series 7/11 at 102.00 Aaa 507,595
2001, 5.000%, 7/15/16 (Pre-refunded 7/15/11) - FGIC Insured
1,000 Hartford, Connecticut, Parking System Revenue Bonds, Series 7/10 at 100.00 Baa2 (3) 1,099,710
2000A, 6.500%, 7/01/25 (Pre-refunded 7/01/10)
365 New Haven, Connecticut, General Obligation Bonds, Series 11/11 at 100.00 AAA 387,473
2001A, 5.000%, 11/01/20 (Pre-refunded 11/01/11) - FGIC
Insured
1,000 Puerto Rico Highway and Transportation Authority, Highway 7/10 at 101.00 AAA 1,085,570
Revenue Bonds, Series 2000B, 5.750%, 7/01/19 (Pre-refunded
7/01/10) - MBIA Insured
Puerto Rico Infrastructure Financing Authority, Special
Obligation Bonds, Series 2000A:
2,540 5.500%, 10/01/32 10/10 at 101.00 AAA 2,725,191
4,500 5.500%, 10/01/40 10/10 at 101.00 AAA 4,820,850
1,595 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 7/10 at 100.00 AAA 1,670,204
Asset-Backed Bonds, Series 2000, 5.750%, 7/01/20
(Pre-refunded 7/01/10)
2,105 Stamford, Connecticut, General Obligation Bonds, Series 8/12 at 100.00 AAA 2,261,675
2002, 5.000%, 8/15/15 (Pre-refunded 8/15/12)
135 University of Connecticut, General Obligation Bonds, Series 3/10 at 101.00 AAA 144,983
2000A, 5.550%, 3/01/18 (Pre-refunded 3/01/10) - FGIC
Insured
University of Connecticut, General Obligation Bonds, Series
2002A:
3,065 5.375%, 4/01/17 (Pre-refunded 4/01/12) 4/12 at 100.00 AA (3) 3,335,425
1,000 5.375%, 4/01/18 (Pre-refunded 4/01/12) 4/12 at 100.00 AA (3) 1,088,230
1,000 5.375%, 4/01/19 (Pre-refunded 4/01/12) 4/12 at 100.00 AA (3) 1,088,230
- ----
17
Portfolio of Investments (Unaudited)
NUVEEN CONNECTICUT MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -------------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed (3) (continued)
$ 500 University of Connecticut, Special Obligation Student Fee 11/10 at 101.00 AAA $ 546,495
Revenue Bonds, Series 2000A, 5.750%, 11/15/29
(Pre-refunded 11/15/10) - FGIC Insured
Waterbury, Connecticut, General Obligation Bonds, Series
2002A:
1,500 5.375%, 4/01/16 (Pre-refunded 4/01/12) - FSA Insured 4/12 at 100.00 AAA 1,632,345
1,090 5.375%, 4/01/17 (Pre-refunded 4/01/12) - FSA Insured 4/12 at 100.00 AAA 1,186,171
910 Waterbury, Connecticut, General Obligation Tax Revenue 2/09 at 101.00 AA (3) 969,851
Intercept Bonds, Series 2000, 6.000%, 2/01/18
(Pre-refunded 2/01/09) - RAAI Insured
- -------------------------------------------------------------------------------------------------------------------------
36,035 Total U.S. Guaranteed 39,168,536
- -------------------------------------------------------------------------------------------------------------------------
Utilities - 6.4%
3,800 Bristol Resource Recovery Facility Operating Committee, No Opt. Call AAA 4,062,010
Connecticut, Solid Waste Revenue Bonds, Covanta Bristol
Inc., Series 2005, 5.000%, 7/01/12 - AMBAC Insured
2,025 Connecticut Development Authority, Pollution Control 10/08 at 102.00 Baa1 2,120,863
Revenue Refunding Bonds, Connecticut Light and Power
Company, Series 1993A, 5.850%, 9/01/28
Eastern Connecticut Resource Recovery Authority, Solid
Waste Revenue Bonds, Wheelabrator Lisbon Project, Series
1993A:
1,370 5.500%, 1/01/14 (Alternative Minimum Tax) 1/07 at 100.00 BBB 1,376,165
2,415 5.500%, 1/01/20 (Alternative Minimum Tax) 1/07 at 100.00 BBB 2,416,280
Guam Power Authority, Revenue Bonds, Series 1999A:
1,000 5.125%, 10/01/29 - AMBAC Insured 10/09 at 101.00 AAA 1,042,570
2,280 5.125%, 10/01/29 - MBIA Insured 10/09 at 101.00 AAA 2,377,060
4,000 Puerto Rico Electric Power Authority, Power Revenue Bonds, No Opt. Call AAA 5,002,040
TICS, Series 2002-1, 6.752%, 7/01/20 - MBIA Insured (IF)
- -------------------------------------------------------------------------------------------------------------------------
16,890 Total Utilities 18,396,988
- -------------------------------------------------------------------------------------------------------------------------
Water and Sewer - 6.8%
1,750 Connecticut Development Authority, Water Facilities Revenue 4/07 at 102.00 A 1,802,833
Bonds, Bridgeport Hydraulic Company, Series 1995, 6.150%,
4/01/35 (Alternative Minimum Tax)
1,550 Connecticut, State Revolving Fund General Revenue Bonds, 10/13 at 100.00 AAA 1,664,313
Series 2003A, 5.000%, 10/01/16
Greater New Haven Water Pollution Control Authority,
Connecticut, Regional Wastewater System Revenue Bonds,
Series 2005A:
1,685 5.000%, 11/15/17 - MBIA Insured 11/15 at 100.00 AAA 1,826,843
1,440 5.000%, 11/15/30 - MBIA Insured 11/15 at 100.00 AAA 1,525,421
4,670 5.000%, 8/15/35 - MBIA Insured 11/15 at 100.00 AAA 4,928,765
South Central Connecticut Regional Water Authority, Water
System Revenue Bonds, Eighteenth Series 2003A:
3,000 5.000%, 8/01/20 - MBIA Insured 8/13 at 100.00 AAA 3,183,900
3,955 5.000%, 8/01/33 - MBIA Insured 8/13 at 100.00 AAA 4,129,811
550 Stamford, Connecticut, Water Pollution Control System and 11/13 at 100.00 AA+ 574,469
Facility Revenue Bonds, Series 2003A, 5.000%, 11/15/32
- -------------------------------------------------------------------------------------------------------------------------
18,600 Total Water and Sewer 19,636,355
- -------------------------------------------------------------------------------------------------------------------------
$ 261,855 Total Investments (cost $268,558,820) - 97.5% 280,369,488
- -------------------------------------------------------------------------------------------------------------------------
- ------------
Other Assets Less Liabilities - 2.5% 7,088,325
-----------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 287,457,813
-----------------------------------------------------------------------------------------------------------
- ----
18
Futures Contracts Outstanding at August 31, 2006:
Unrealized
Contract Number of Contract Original Value at Appreciation
Type Position Contracts Expiration Value August 31, 2006 (Depreciation)
- --------------------------------------------------------------------------------------------------
U.S. 30-Year Treasury Bond Long 32 12/06 $3,532,346 $3,554,000 $21,654
- --------------------------------------------------------------------------------------------------
(1) Optional Call Provisions: Dates (month and year) and prices of
the earliest optional call or redemption. There may be other
call provisions at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic principal
paydowns.
(2) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below BBB by Standard & Poor's Group or Baa by
Moody's Investor Service, Inc. are considered to be below
investment grade. The ratings shown for inverse floating rate
investments represent those of the underlying bonds and not the
inverse floating rate investments themselves. Inverse floating
rate investments likely present greater credit risk to the
holders of such investments than to those holders of the
underlying bonds.
(3) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which ensure
the timely payment of principal and interest. Such investments
are normally considered to be equivalent to AAA rated
securities.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
(ETM) Escrowed to maturity.
(IF) Inverse floating rate investment.
See accompanying notes to financial statements.
- ----
19
Portfolio of Investments (Unaudited)
NUVEEN NEW JERSEY MUNICIPAL BOND FUND
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- --------------------------------------------------------------------------------------------------------------------
Consumer Discretionary - 0.2%
Middlesex County Improvement Authority, New Jersey, Senior
Revenue Bonds, Heldrich Center Hotel/Conference Center
Project, Series 2005A:
$ 280 5.000%, 1/01/32 1/15 at 100.00 Baa3 $ 278,586
240 5.125%, 1/01/37 1/15 at 100.00 Baa3 241,195
- --------------------------------------------------------------------------------------------------------------------
520 Total Consumer Discretionary 519,781
- --------------------------------------------------------------------------------------------------------------------
Consumer Staples - 4.0%
Tobacco Settlement Financing Corporation, New Jersey,
Tobacco Settlement Asset-Backed Bonds, Series 2002:
4,490 5.750%, 6/01/32 6/12 at 100.00 BBB 4,717,868
1,000 6.000%, 6/01/37 6/12 at 100.00 BBB 1,062,940
Tobacco Settlement Financing Corporation, New Jersey,
Tobacco Settlement Asset-Backed Bonds, Series 2003:
710 6.125%, 6/01/24 6/13 at 100.00 BBB 760,041
750 6.375%, 6/01/32 6/13 at 100.00 BBB 818,258
- --------------------------------------------------------------------------------------------------------------------
6,950 Total Consumer Staples 7,359,107
- --------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations - 12.0%
2,500 Bergen County Improvement Authority, New Jersey, Revenue 9/12 at 101.00 N/R 2,650,800
Bonds, Yeshiva Ktana of Passaic Project, Series 2002,
6.000%, 9/15/27
1,000 New Brunswick Housing Authority, New Jersey, Lease Revenue 1/09 at 101.00 AAA 1,025,180
Refunding Bonds, Rutgers University, Series 1998, 4.750%,
7/01/18 - FGIC Insured
375 New Jersey Economic Development Authority, Revenue Bonds, 6/15 at 100.00 AAA 397,178
The Seeing Eye Inc., Series 2005, 5.000%, 12/01/24 - AMBAC
Insured
755 New Jersey Economic Development Authority, Revenue Bonds, No Opt. Call N/R 896,019
Yeshiva Ktana of Passaic, Series 1993, 8.000%, 9/15/18
2,500 New Jersey Educational Facilities Authority, Revenue Bonds, 7/13 at 100.00 A 2,569,850
Fairleigh Dickinson University, Series 2002D, 5.250%,
7/01/32 - ACA Insured
420 New Jersey Educational Facilities Authority, Revenue Bonds, 7/16 at 100.00 AAA 443,176
Kean University, Series 2005B, 5.000%, 7/01/30 - MBIA
Insured
560 New Jersey Educational Facilities Authority, Revenue Bonds, 7/14 at 100.00 AAA 603,540
Montclair State University, Series 2004L, 5.125%, 7/01/21
- MBIA Insured
New Jersey Educational Facilities Authority, Revenue Bonds,
Montclair State University, Series 2005F:
1,400 5.000%, 7/01/16 - FGIC Insured 7/15 at 100.00 AAA 1,519,518
1,825 5.000%, 7/01/24 - FGIC Insured 7/15 at 100.00 AAA 1,937,949
625 5.000%, 7/01/32 - FGIC Insured 7/15 at 100.00 AAA 658,013
1,035 New Jersey Educational Facilities Authority, Revenue Bonds, 7/16 at 100.00 Aaa 1,092,960
Montclair State University, Series 2006, 5.000%, 7/01/36 -
AMBAC Insured
New Jersey Educational Facilities Authority, Revenue Bonds,
New Jersey Institute of Technology, Series 2004B:
930 5.000%, 7/01/18 - AMBAC Insured 1/14 at 100.00 AAA 992,208
425 5.000%, 7/01/19 - AMBAC Insured 1/14 at 100.00 AAA 453,148
1,030 4.750%, 7/01/20 - AMBAC Insured 1/14 at 100.00 AAA 1,073,641
815 4.250%, 7/01/24 - AMBAC Insured 1/14 at 100.00 AAA 807,412
1,025 New Jersey Educational Facilities Authority, Revenue Bonds, 7/11 at 100.00 AAA 1,071,883
Ramapo College, Series 2001D, 5.000%, 7/01/25 - AMBAC
Insured
290 New Jersey Educational Facilities Authority, Revenue Bonds, 7/14 at 100.00 AA 314,827
Rider University, Series 2004A, 5.500%, 7/01/23 - RAAI
Insured
500 New Jersey Educational Facilities Authority, Revenue Bonds, 7/13 at 100.00 AAA 536,560
Rowan University, Series 2003I, 5.125%, 7/01/21 - FGIC
Insured
230 New Jersey Educational Facilities Authority, Revenue Bonds, 1/07 at 100.00 A- 230,476
Trenton State College Issue, Series 1976D, 6.750%, 7/01/08
1,000 New Jersey Educational Facilities Authority, Revenue Bonds, 7/14 at 100.00 AAA 1,077,750
William Paterson University, Series 2004A, 5.125%, 7/01/21
- FGIC Insured
- ----
20
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations (continued)
$ 410 New Jersey Educational Facilities Authority, Revenue 1/07 at 100.00 Baa1 $ 410,439
Refunding Bonds, Monmouth College, Series 1993A, 5.625%,
7/01/13
1,500 Puerto Rico Industrial, Tourist, Educational, Medical and 12/12 at 101.00 BBB- 1,567,740
Environmental Control Facilities Financing Authority,
Higher Education Revenue Refunding Bonds, Ana G. Mendez
University System, Series 2002, 5.500%, 12/01/31
- ---------------------------------------------------------------------------------------------------------------------
21,150 Total Education and Civic Organizations 22,330,267
- ---------------------------------------------------------------------------------------------------------------------
Financials - 0.5%
1,000 New Jersey Economic Development Authority, Revenue No Opt. Call Baa3 1,097,140
Refunding Bonds, Kapkowski Road Landfill Project, Series
2002, 5.750%, 10/01/21
- ---------------------------------------------------------------------------------------------------------------------
Health Care - 12.1%
350 Camden County Improvement Authority, New Jersey, Revenue 8/14 at 100.00 BBB 374,724
Bonds, Cooper Health System, Series 2004A, 5.750%, 2/15/34
4,375 New Jersey Health Care Facilities Financing Authority, 8/11 at 100.00 AAA 4,538,888
FHA-Insured Mortgage Revenue Bonds, Jersey City Medical
Center, Series 2001, 5.000%, 8/01/31 - AMBAC Insured
140 New Jersey Health Care Facilities Financing Authority, 7/15 at 100.00 Baa3 147,029
Revenue Bonds, Children's Specialized Hospital, Series
2005A, 5.500%, 7/01/36
210 New Jersey Health Care Facilities Financing Authority, 7/16 at 100.00 A- 215,783
Revenue Bonds, Hunterdon Medical Center, Series 2006,
5.125%, 7/01/35
New Jersey Health Care Facilities Financing Authority,
Revenue Bonds, Kennedy Health System Obligated Group,
Series 2001:
600 5.500%, 7/01/21 7/11 at 100.00 A2 634,434
265 5.625%, 7/01/31 7/11 at 100.00 A2 280,455
305 New Jersey Health Care Facilities Financing Authority, 7/12 at 101.00 BBB- 337,611
Revenue Bonds, Palisades Medical Center of New York
Presbyterian Healthcare System, Series 2002, 6.625%,
7/01/31
2,000 New Jersey Health Care Facilities Financing Authority, 7/10 at 100.00 A2 2,123,480
Revenue Bonds, Robert Wood Johnson University Hospital,
Series 2000, 5.750%, 7/01/31
900 New Jersey Health Care Facilities Financing Authority, 7/15 at 100.00 AA 930,789
Revenue Bonds, RWJ Health Care Corporation, Series 2005B,
5.000%, 7/01/35 - RAAI Insured
New Jersey Health Care Facilities Financing Authority,
Revenue Bonds, Somerset Medical Center, Series 2003:
125 5.500%, 7/01/23 7/13 at 100.00 Baa3 130,075
1,125 5.500%, 7/01/33 7/13 at 100.00 Baa3 1,162,721
1,250 New Jersey Health Care Facilities Financing Authority, 7/12 at 100.00 Baa1 1,342,538
Revenue Bonds, South Jersey Hospital System, Series 2002,
5.875%, 7/01/21
845 New Jersey Health Care Facilities Financing Authority, 7/14 at 100.00 AA 902,198
Revenue Bonds, St. Clare's Hospital, Series 2004A, 5.250%,
7/01/20 - RAAI Insured
1,500 New Jersey Health Care Facilities Financing Authority, 7/10 at 100.00 BBB+ 1,654,275
Revenue Bonds, St. Peter's University Hospital, Series
2000A, 6.875%, 7/01/30
510 New Jersey Health Care Facilities Financing Authority, 7/10 at 101.00 BBB- 564,631
Revenue Bonds, Trinitas Hospital Obligated Group, Series
2000, 7.500%, 7/01/30
1,500 New Jersey Health Care Facilities Financing Authority, 1/09 at 101.00 AAA 1,568,130
Revenue Bonds, Virtua Health System, Series 1998, 5.250%,
7/01/10 - FSA Insured
1,000 New Jersey Health Care Facilities Financing Authority, 7/07 at 102.00 AAA 1,025,670
Revenue Refunding Bonds, AHS Hospital Corporation, Series
1997A, 5.000%, 7/01/27 - AMBAC Insured
1,710 New Jersey Health Care Facilities Financing Authority, 1/12 at 100.00 AA 1,761,881
Revenue Refunding Bonds, Bayshore Community Hospital,
Series 2002, 5.000%, 7/01/22 - RAAI Insured
1,200 New Jersey Health Care Facilities Financing Authority, 7/07 at 102.00 AAA 1,238,292
Revenue Refunding Bonds, Holy Name Hospital, Series 1997,
5.250%, 7/01/20 - AMBAC Insured
500 New Jersey Health Care Facilities Financing Authority, 7/07 at 102.00 BBB- 516,065
Revenue Refunding Bonds, St. Elizabeth Hospital Obligated
Group, Series 1997, 6.000%, 7/01/27
- ----
21
Portfolio of Investments (Unaudited)
NUVEEN NEW JERSEY MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Health Care (continued)
$ 1,000 Puerto Rico Industrial, Tourist, Educational, Medical and 1/07 at 100.00 AAA $ 1,008,840
Environmental Control Facilities Financing Authority,
Hospital Revenue Bonds, Auxilio Mutuo Hospital, Series
1995A, 6.250%, 7/01/16 - MBIA Insured
- ---------------------------------------------------------------------------------------------------------------------
21,410 Total Health Care 22,458,509
- ---------------------------------------------------------------------------------------------------------------------
Housing/Multifamily - 2.3%
1,000 Essex County Improvement Authority, New Jersey, FNMA 11/12 at 100.00 Aaa 1,007,650
Enhanced Multifamily Housing Revenue Bonds, Ballantyne
House Project, Series 2002, 4.750%, 11/01/22 (Alternative
Minimum Tax)
1,500 New Jersey Housing and Mortgage Finance Agency, Multifamily 3/10 at 100.00 AAA 1,564,440
Housing Revenue Bonds, Series 2000A-1, 6.350%, 11/01/31 -
FSA Insured (Alternative Minimum Tax)
630 New Jersey Housing and Mortgage Finance Agency, Multifamily 8/10 at 100.00 AAA 657,619
Housing Revenue Bonds, Series 2000E-1, 5.750%, 5/01/25 -
FSA Insured
970 Newark Housing Authority, New Jersey, GNMA Collateralized 10/09 at 102.00 Aaa 1,026,182
Housing Revenue Bonds, Fairview Apartments Project, Series
2000A, 6.300%, 10/20/19 (Alternative Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
4,100 Total Housing/Multifamily 4,255,891
- ---------------------------------------------------------------------------------------------------------------------
Housing/Single Family - 2.7%
4,000 New Jersey Housing and Mortgage Finance Agency, Home Buyer 10/07 at 101.50 AAA 4,102,800
Program Revenue Bonds, Series 1997U, 5.700%, 10/01/14 -
MBIA Insured (Alternative Minimum Tax)
670 New Jersey Housing and Mortgage Finance Agency, Home Buyer 10/10 at 100.00 AAA 671,548
Program Revenue Bonds, Series 2000CC, 5.875%, 10/01/31 -
MBIA Insured (Alternative Minimum Tax)
205 Virgin Islands Housing Finance Corporation, GNMA 9/06 at 101.00 AAA 206,070
Mortgage-Backed Securities Program Single Family Mortgage
Revenue Refunding Bonds, Series 1995A, 6.450%, 3/01/16
(Alternative Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
4,875 Total Housing/Single Family 4,980,418
- ---------------------------------------------------------------------------------------------------------------------
Long-Term Care - 6.3%
1,300 New Jersey Economic Development Authority, First Mortgage 7/08 at 102.00 A 1,348,841
Fixed Rate Revenue Bonds, Cadbury Corporation, Series
1998A, 5.500%, 7/01/18 - ACA Insured
375 New Jersey Economic Development Authority, First Mortgage 11/14 at 100.00 N/R 404,190
Revenue Bonds, Winchester Gardens at Wards Homestead,
Series 2004A, 5.750%, 11/01/24
5,100 New Jersey Economic Development Authority, Revenue Bonds, 12/09 at 101.00 Aa3 5,420,837
Jewish Community Housing Corporation of Metropolitan New
Jersey, Series 1999, 5.900%, 12/01/31
600 New Jersey Economic Development Authority, Revenue Bonds, 6/11 at 102.00 A- 654,336
Masonic Charity Foundation of New Jersey, Series 2001,
5.875%, 6/01/18
1,500 New Jersey Economic Development Authority, Revenue Bonds, 1/08 at 102.00 BB+ 1,453,230
United Methodist Homes of New Jersey Obligated Group,
Series 1998, 5.125%, 7/01/25
New Jersey Health Care Facilities Financing Authority,
Revenue Bonds, House of the Good Shepherd Obligated Group,
Series 2001:
1,000 5.100%, 7/01/21 - RAAI Insured 7/11 at 100.00 AA 1,034,210
1,350 5.200%, 7/01/31 - RAAI Insured 7/11 at 100.00 AA 1,395,941
- ---------------------------------------------------------------------------------------------------------------------
11,225 Total Long-Term Care 11,711,585
- ---------------------------------------------------------------------------------------------------------------------
Materials - 0.1%
250 Union County Pollution Control Financing Authority, New No Opt. Call Baa1 259,915
Jersey, Revenue Refunding Bonds, American Cyanamid
Company, Series 1994, 5.800%, 9/01/09
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/General - 10.5%
1,445 Clifton, New Jersey, General Obligation Bonds, Series 2002, 1/11 at 100.00 AAA 1,509,678
5.000%, 1/15/19 - FGIC Insured
500 Hillsborough Township School District, Somerset County, New No Opt. Call AA 550,160
Jersey, General Obligation School Bonds, Series 1992,
5.875%, 8/01/11
1,500 Jersey City, New Jersey, General Obligation Bonds, Series 9/16 at 100.00 AAA 1,605,390
2006A, 5.000%, 9/01/22 - AMBAC Insured
3,500 Middletown Township Board of Education, Monmouth County, 8/10 at 100.00 AAA 3,633,070
New Jersey, Refunding School Bonds, Series 2001, 5.000%,
8/01/22 - FSA Insured
480 New Jersey, General Obligation Bonds, Series 2005L, 5.250%, No Opt. Call AAA 534,696
7/15/16 - AMBAC Insured
- ----
22
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/General (continued)
$ 165 Parsippany-Troy Hills Township, New Jersey, General No Opt. Call AA $ 161,629
Obligation Bonds, Series 1992, 0.000%, 4/01/07
250 Union City, Hudson County, New Jersey, General Obligation No Opt. Call AAA 277,300
Bonds, Series 1992, 6.375%, 11/01/10 - FSA Insured
5,000 Union County Utilities Authority, New Jersey, Solid Waste 6/08 at 102.00 AA+ 5,095,450
System County Deficiency Revenue Bonds, Series 1998A,
5.000%, 6/15/28 (Alternative Minimum Tax)
1,000 Washington Township Board of Education, Gloucester County, 2/13 at 100.00 Aaa 1,068,610
New Jersey, General Obligation Bonds, Series 2004, 5.000%,
2/01/15 - MBIA Insured
Washington Township Board of Education, Mercer County, New
Jersey, General Obligation Bonds, Series 2005:
2,550 5.000%, 1/01/16 - FSA Insured No Opt. Call Aaa 2,781,107
2,110 5.000%, 1/01/21 - FSA Insured 1/16 at 100.00 Aaa 2,261,857
- ---------------------------------------------------------------------------------------------------------------------
18,500 Total Tax Obligation/General 19,478,947
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited - 22.9%
650 Bergen County Improvement Authority, New Jersey, Guaranteed No Opt. Call Aaa 725,511
Lease Revenue Bonds, County Administration Complex
Project, Series 2005, 5.000%, 11/15/26
1,005 Burlington County Bridge Commission, New Jersey, 8/13 at 100.00 AA 1,073,652
Governmental Leasing Program Revenue Bonds, County
Guaranteed, Series 2003, 5.000%, 8/15/15
Burlington County Bridge Commission, New Jersey, Guaranteed
Pooled Loan Bonds, Series 2003:
1,000 5.000%, 12/01/20 - MBIA Insured 12/13 at 100.00 AAA 1,065,640
695 5.000%, 12/01/21 - MBIA Insured 12/13 at 100.00 AAA 739,675
1,550 Essex County Improvement Authority, New Jersey, General 10/13 at 100.00 Aaa 1,618,959
Obligation Lease Revenue Bonds, Correctional Facilities
Project, Series 2003A, 5.000%, 10/01/28 - FGIC Insured
400 Essex County Improvement Authority, New Jersey, Guaranteed 12/06 at 100.00 A3 400,696
Pooled Revenue Bonds, Series 1992A, 6.500%, 12/01/12
3,000 Essex County Improvement Authority, New Jersey, Lease No Opt. Call Aaa 3,219,660
Revenue Bonds, Series 2003, 5.000%, 12/15/12 - FSA Insured
900 Garden State Preservation Trust, New Jersey, Open Space and No Opt. Call AAA 1,004,562
Farmland Preservation Bonds, Series 2005C, 5.125%,
11/01/18 - FSA Insured
1,000 Gloucester County Improvement Authority, New Jersey, Lease 9/15 at 100.00 AAA 1,060,600
Revenue Bonds, Series 2005A, 5.000%, 9/01/23 - MBIA Insured
Hudson County Improvement Authority, New Jersey, County
Secured Lease Revenue Bonds, County Services Building
Project, Series 2005:
395 5.000%, 4/01/25 - AMBAC Insured 4/15 at 100.00 AAA 416,832
920 5.000%, 4/01/35 - AMBAC Insured 4/15 at 100.00 AAA 962,752
405 Little Ferry Board of Education, Bergen County, New Jersey, No Opt. Call N/R 409,443
Certificates of Participation, Series 1994, 6.300%, 1/15/08
3,025 Middlesex County Improvement Authority, New Jersey, County 9/09 at 100.00 AAA 3,154,833
Guaranteed Open Space Trust Fund Revenue Bonds, Series
1999, 5.250%, 9/15/15
3,000 Middlesex County, New Jersey, Certificates of 8/11 at 100.00 AAA 3,131,250
Participation, Series 2001, 5.000%, 8/01/22 - MBIA Insured
1,560 New Jersey Economic Development Authority, Cigarette Tax 6/14 at 100.00 BBB 1,662,118
Revenue Bonds, Series 2004, 5.750%, 6/15/34
1,000 New Jersey Economic Development Authority, Lease Revenue 3/15 at 100.00 AAA 1,052,670
Bonds, Liberty State Park Project, Series 2005C, 5.000%,
3/01/27 - FSA Insured
2,600 New Jersey Economic Development Authority, Revenue Bonds, 7/14 at 100.00 AAA 2,846,766
Motor Vehicle Surcharge, Series 2004A, 5.250%, 7/01/15 -
MBIA Insured
1,000 New Jersey Educational Facilities Authority, Revenue Bonds, 9/12 at 100.00 AAA 1,075,760
Higher Education Capital Improvement Bonds, Fund Issue,
Series 2002A, 5.250%, 9/01/19 - AMBAC Insured
700 New Jersey Educational Facilities Authority, Revenue Bonds, No Opt. Call AAA 762,300
Higher Education Capital Improvement Fund, Series 2005A,
5.000%, 9/01/15 - FSA Insured
- ----
23
Portfolio of Investments (Unaudited)
NUVEEN NEW JERSEY MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited (continued)
New Jersey Health Care Facilities Financing Authority,
Lease Revenue Bonds, Department of Human Services -
Greystone Park Psychiatric Hospital, Series 2005:
$ 1,050 5.000%, 9/15/18 - AMBAC Insured 9/15 at 100.00 AAA $ 1,130,462
1,325 5.000%, 9/15/28 - AMBAC Insured 9/15 at 100.00 AAA 1,396,378
1,295 New Jersey Transit Corporation, Lease Appropriation Bonds, 9/15 at 100.00 AAA 1,386,103
Series 2005A, 5.000%, 9/15/18 - FGIC Insured
New Jersey Transportation Trust Fund Authority, Federal
Highway Aid Grant Anticipation Bonds, Series 2006:
560 5.000%, 6/15/17 - FGIC Insured 6/16 at 100.00 AAA 608,552
1,000 5.000%, 6/15/18 - FGIC Insured 6/16 at 100.00 AAA 1,082,810
1,500 New Jersey Transportation Trust Fund Authority, No Opt. Call AAA 1,702,530
Transportation System Bonds, Series 2004B,
5.500%, 12/15/16 - MBIA Insured
1,390 New Jersey Transportation Trust Fund Authority, 6/15 at 100.00 AAA 1,488,871
Transportation System Bonds, Series 2005D, 5.000%, 6/15/19
- FSA Insured
1,900 New Jersey Transportation Trust Fund Authority, No Opt. Call AA- 2,183,062
Transportation System Bonds, Series 2006A, 5.500%, 12/15/22
170 Puerto Rico Aqueduct and Sewerage Authority, Revenue 1/07 at 101.50 BBB 172,659
Refunding Bonds, Series 1995, 5.000%, 7/01/15
485 Puerto Rico Convention Center District Authority, Hotel 7/16 at 100.00 AAA 490,548
Occupancy Tax Revenue Bonds, Series 2006A, 4.500%, 7/01/36
- CIFG Insured
4,000 Puerto Rico Public Finance Corporation, Commonwealth No Opt. Call AAA 4,435,520
Appropriation Bonds, Series 1998A, 5.125%, 6/01/24 - AMBAC
Insured
- ---------------------------------------------------------------------------------------------------------------------
39,480 Total Tax Obligation/Limited 42,461,174
- ---------------------------------------------------------------------------------------------------------------------
Transportation - 12.9%
Delaware River and Bay Authority, Delaware and New Jersey,
Revenue Bonds, Series 2005:
1,335 5.000%, 1/01/26 - MBIA Insured 1/15 at 100.00 AAA 1,409,840
500 5.000%, 1/01/27 - MBIA Insured 1/15 at 100.00 AAA 526,955
500 5.000%, 1/01/28 - MBIA Insured 1/15 at 100.00 AAA 526,235
3,500 Delaware River Port Authority, New Jersey and Pennsylvania, 1/10 at 100.00 AAA 3,714,970
Revenue Bonds, Series 1999, 5.750%, 1/01/22 - FSA Insured
3,400 New Jersey Turnpike Authority, Revenue Bonds, Residual 7/13 at 100.00 Aaa 4,046,442
Interest, Series 835, Series 2003A, 7.282%, 1/01/19 - FGIC
Insured (IF)
New Jersey Turnpike Authority, Revenue Bonds, Series 1991C:
40 6.500%, 1/01/16 No Opt. Call A 46,410
485 6.500%, 1/01/16 - MBIA Insured No Opt. Call AAA 565,471
1,330 New Jersey Turnpike Authority, Revenue Bonds, Series 2005C, 1/15 at 100.00 AAA 1,395,024
5.000%, 1/01/35 - FSA Insured
375 Newark Housing Authority, New Jersey, Port Authority 1/14 at 100.00 AAA 402,915
Terminal Revenue Bonds, Series 2004, 5.250%, 1/01/21 -
MBIA Insured
2,500 Port Authority of New York and New Jersey, Consolidated 6/15 at 101.00 AAA 2,646,375
Revenue Bonds, One Hundred Fortieth Series 2005, 5.000%,
12/01/28 - XLCA Insured
Port Authority of New York and New Jersey, Special Project
Bonds, JFK International Air Terminal LLC, Sixth Series
1997:
2,125 6.250%, 12/01/08 - MBIA Insured (Alternative Minimum Tax) No Opt. Call AAA 2,237,285
1,000 7.000%, 12/01/12 - MBIA Insured (Alternative Minimum Tax) No Opt. Call AAA 1,164,850
2,000 5.750%, 12/01/22 - MBIA Insured (Alternative Minimum Tax) 12/07 at 102.00 AAA 2,086,580
3,125 5.750%, 12/01/25 - MBIA Insured (Alternative Minimum Tax) 12/07 at 100.00 AAA 3,200,625
- ---------------------------------------------------------------------------------------------------------------------
22,215 Total Transportation 23,969,977
- ---------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed - 7.7% (3)
Garden State Preservation Trust, New Jersey, Open Space and
Farmland Preservation Bonds, Series 2003A:
750 5.250%, 11/01/19 (Pre-refunded 11/01/13) - FSA Insured 11/13 at 100.00 AAA 822,157
1,225 5.000%, 11/01/20 (Pre-refunded 11/01/13) - FSA Insured 11/13 at 100.00 AAA 1,323,747
1,625 5.000%, 11/01/21 (Pre-refunded 11/01/13) - FSA Insured 11/13 at 100.00 AAA 1,755,991
- ----
24
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed (3) (continued)
$ 1,000 New Jersey Economic Development Authority, School 6/13 at 100.00 AAA $ 1,092,680
Facilities Construction Bonds, Series 2003F, 5.250%,
6/15/21 (Pre-refunded 6/15/13) - FGIC Insured
475 New Jersey Health Care Facilities Financing Authority, No Opt. Call Aaa 509,233
Revenue Bonds, Hackensack Hospital, Series 1979A, 8.750%,
7/01/09 (ETM)
New Jersey Transportation Trust Fund Authority,
Transportation System Bonds, Series 2003C:
1,000 5.500%, 6/15/17 (Pre-refunded 6/15/13) 6/13 at 100.00 AAA 1,107,570
1,000 5.500%, 6/15/18 (Pre-refunded 6/15/13) 6/13 at 100.00 AAA 1,107,570
1,110 New Jersey Transportation Trust Fund Authority, 6/15 at 100.00 Aaa 1,207,380
Transportation System Bonds, Series 2005D, 5.000%, 6/15/19
(Pre-refunded 6/15/15) - FSA Insured
New Jersey Turnpike Authority, Revenue Bonds, Series 1991C:
10 6.500%, 1/01/16 (ETM) No Opt. Call AAA 11,695
165 6.500%, 1/01/16 - MBIA Insured (ETM) No Opt. Call AAA 192,971
600 6.500%, 1/01/16 (ETM) No Opt. Call AAA 701,712
165 6.500%, 1/01/16 - AMBAC Insured (ETM) No Opt. Call AAA 192,971
115 6.500%, 1/01/16 - MBIA Insured (ETM) No Opt. Call AAA 134,495
10 6.500%, 1/01/16 - AMBAC/MBIA Insured (ETM) No Opt. Call AAA 11,695
3,900 Puerto Rico Infrastructure Financing Authority, Special 10/10 at 101.00 AAA 4,176,783
Obligation Bonds, Series 2000A, 5.375%, 10/01/24
- ---------------------------------------------------------------------------------------------------------------------
13,150 Total U.S. Guaranteed 14,348,650
- ---------------------------------------------------------------------------------------------------------------------
Utilities - 0.9%
220 Camden County Pollution Control Financing Authority, New 12/06 at 100.00 Baa3 223,102
Jersey, Solid Waste Disposal and Resource Recovery System
Revenue Bonds, Series 1991D, 7.250%, 12/01/10
1,250 New Jersey Economic Development Authority, Pollution No Opt. Call Baa1 1,287,213
Control Revenue Refunding Bonds, Public Service Electric
and Gas Company, Series 2001A, 5.000%, 3/01/12
100 Port Authority of New York and New Jersey, Special Project No Opt. Call N/R 101,552
Bonds, KIAC Partners, Fourth Series 1996, 7.000%, 10/01/07
(Alternative Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
1,570 Total Utilities 1,611,867
- ---------------------------------------------------------------------------------------------------------------------
Water and Sewer - 1.1%
1,380 Bayonne Municipal Utilities Authority, New Jersey, Water 4/13 at 100.00 Aaa 1,459,378
System Revenue Refunding Bonds, Series 2003A, 5.000%,
4/01/18 - XLCA Insured
500 North Hudson Sewerage Authority, New Jersey, Sewerage 8/12 at 100.00 Aaa 537,390
Revenue Refunding Bonds, Series 2002A, 5.250%, 8/01/19 -
FGIC Insured
- ---------------------------------------------------------------------------------------------------------------------
1,880 Total Water and Sewer 1,996,768
- ---------------------------------------------------------------------------------------------------------------------
$ 168,275 Total Long-Term Investments (cost $172,251,743) - 96.2% 178,839,996
- ---------------------------------------------------------------------------------------------------------------------
- ------------
Short-Term Investments - 1.5%
$ 2,700 Puerto Rico Government Development Bank, Adjustable A-1 2,700,000
Refunding Bonds, Variable Rate Demand Obligations, Series
1985, 3.290%, 12/01/15 - MBIA Insured (4)
- ---------------------------------------------------------------------------------------------------------------------
- ------------
Total Short-Term Investments (cost $2,700,000) 2,700,000
-------------------------------------------------------------------------------------------------------
Total Investments (cost $174,951,743) - 97.7% 181,539,996
-------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 2.3% 4,198,203
-------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 185,738,199
-------------------------------------------------------------------------------------------------------
(1) Optional Call Provisions: Dates (month and year) and prices of
the earliest optional call or redemption. There may be other
call provisions at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic principal
paydowns.
(2) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below BBB by Standard & Poor's Group or Baa by
Moody's Investor Service, Inc. are considered to be below
investment grade. The ratings shown for inverse floating rate
investments represent those of the underlying bonds and not the
inverse floating rate investments themselves. Inverse floating
rate investments likely present greater credit risk to the
holders of such investments than to those holders of the
underlying bonds.
(3) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which ensure the
timely payment of principal and interest.
(4) Investment has a maturity of more than one year, but has
variable rate and demand features which qualify it as a
short-term investment. The rate disclosed is that in effect at
the end of the reporting period. This rate changes periodically
based on market conditions or a specified market index.
N/R Not rated.
(ETM) Escrowed to maturity.
(IF) Inverse floating rate investment.
See accompanying notes to financial statements.
- ----
25
Portfolio of Investments (Unaudited)
NUVEEN NEW YORK MUNICIPAL BOND FUND
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -----------------------------------------------------------------------------------------------------------------------
Consumer Discretionary - 0.2%
$ 665 New York City Industrial Development Agency, New York, 9/15 at 100.00 BBB- $ 675,115
Liberty Revenue Bonds, IAC/InterActiveCorp, Series 2005,
5.000%, 9/01/35
- -----------------------------------------------------------------------------------------------------------------------
Consumer Staples - 1.9%
55 New York Counties Tobacco Trust I, Tobacco Settlement 6/10 at 101.00 BBB 56,335
Pass-Through Bonds, Series 2000B, 5.800%, 6/01/23
1,015 New York Counties Tobacco Trust II, Tobacco Settlement 6/11 at 101.00 BBB 1,034,062
Pass-Through Bonds, Series 2001, 5.250%, 6/01/25
1,345 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 1,381,073
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
565 Rensselaer Tobacco Asset Securitization Corporation, New 6/12 at 100.00 BBB 574,210
York, Tobacco Settlement Asset-Backed Bonds, Series 2001A,
5.200%, 6/01/25
TSASC Inc., New York, Tobacco Asset-Backed Bonds, Series
2006:
2,720 4.750%, 6/01/22 6/16 at 100.00 BBB 2,765,914
1,225 5.000%, 6/01/26 6/16 at 100.00 BBB 1,243,804
- -----------------------------------------------------------------------------------------------------------------------
6,925 Total Consumer Staples 7,055,398
- -----------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations - 9.5%
2,000 Albany Industrial Development Agency, New York, Revenue 10/10 at 100.00 AA 2,134,080
Bonds, Albany Law School, Series 2000A, 5.750%, 10/01/30 -
RAAI Insured
215 Cattaraugus County Industrial Development Agency, New York, 5/16 at 100.00 BBB- 218,365
Revenue Bonds, St. Bonaventure University, Series 2006,
5.000%, 5/01/23
685 Dormitory Authority of the State of New York, Insured 7/11 at 102.00 AA 729,039
Revenue Bonds, D'Youville College, Series 2001, 5.250%,
7/01/20 - RAAI Insured
1,850 Dormitory Authority of the State of New York, Insured 7/08 at 101.00 AAA 1,908,960
Revenue Bonds, New York Medical College, Series 1998,
5.000%, 7/01/21 - MBIA Insured
Dormitory Authority of the State of New York, Lease Revenue
Bonds, State University Dormitory Facilities, Series 2003B:
1,250 5.250%, 7/01/31 (Mandatory put 7/01/13) - FGIC Insured No Opt. Call AAA 1,354,588
2,000 5.250%, 7/01/32 (Mandatory put 7/01/13) - XLCA Insured No Opt. Call AAA 2,167,340
1,000 Dormitory Authority of the State of New York, Revenue No Opt. Call AAA 1,147,890
Bonds, City University of New York, Series 2005A, 5.500%,
7/01/18 - FGIC Insured
2,700 Dormitory Authority of the State of New York, Revenue 7/09 at 101.00 AA 2,887,407
Bonds, Marymount Manhattan College, Series 1999, 6.250%,
7/01/29 - RAAI Insured
1,250 Dormitory Authority of the State of New York, Revenue 7/09 at 102.00 AA 1,343,850
Bonds, Pratt Institute, Series 1999, 6.000%, 7/01/24 -
RAAI Insured
1,335 Dormitory Authority of the State of New York, Revenue 5/10 at 101.00 AAA 1,963,745
Bonds, State University Educational Facilities, 1999
Resolution, Series A-D, RITES, Series PA-781R, 9.574%,
5/15/16 - FSA Insured (IF)
1,000 Dormitory Authority of the State of New York, Revenue 5/14 at 100.00 AA- 1,089,930
Bonds, State University Educational Facilities, Series
1993B, 5.250%, 5/15/19
710 Dormitory Authority of the State of New York, Second No Opt. Call A1 767,609
General Resolution Consolidated Revenue Bonds, City
University System, Series 1990C, 7.500%, 7/01/10
1,500 Dormitory Authority of the State of New York, Second No Opt. Call AA- 1,525,470
General Resolution Consolidated Revenue Bonds, City
University System, Series 1993A, 5.750%, 7/01/07
2,470 Dutchess County Industrial Development Agency, New York, 11/06 at 100.00 A3 2,476,718
Civic Facility Revenue Bonds, Bard College, Series 1992,
7.000%, 11/01/17
615 Hempstead Town Industrial Development Agency, New York, 10/15 at 100.00 A- 636,537
Revenue Bonds, Adelphi University, Civic Facility Project,
Series 2005, 5.000%, 10/01/35
1,610 New York City Industrial Development Agency, New York, 7/12 at 100.00 A1 1,695,282
Civic Facility Revenue Bonds, American Council of Learned
Societies, Series 2002, 5.250%, 7/01/27
- ----
26
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- --------------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations (continued)
New York City Industrial Development Agency, New York,
Civic Facility Revenue Bonds, College of New Rochelle,
Series 1995:
$ 1,000 6.200%, 9/01/10 9/06 at 101.00 Baa2 $ 1,011,760
1,000 6.300%, 9/01/15 9/06 at 101.00 Baa2 1,011,610
500 New York City Industrial Development Agency, New York, 1/17 at 100.00 AAA 527,430
Revenue Bonds, Queens Baseball Stadium, Series 2006,
5.000%, 1/01/36 - AMBAC Insured
900 New York City Industrial Development Authority, New York, 9/16 at 100.00 AAA 948,150
Revenue Bonds, Yankee Stadium Project, Series 2006,
5.000%, 3/01/36 - FGIC Insured
700 New York City Trust for Cultural Resources, New York, 7/10 at 101.00 A 752,038
Revenue Bonds, Museum of American Folk Art, Series 2000,
6.000%, 7/01/22 - ACA Insured
1,000 New York City Trust for Cultural Resources, New York, 7/12 at 100.00 AAA 1,052,640
Revenue Bonds, Museum of Modern Art, Series 2001D, 5.125%,
7/01/31 - AMBAC Insured
Niagara County Industrial Development Agency, New York,
Civic Facility Revenue Bonds, Niagara University, Series
2001A:
3,000 5.500%, 11/01/16 - RAAI Insured 11/11 at 101.00 AA 3,240,180
1,000 5.350%, 11/01/23 - RAAI Insured 11/11 at 101.00 AA 1,075,010
1,000 Suffolk County Industrial Development Agency, New York, 12/06 at 102.00 BB+ 1,024,460
Revenue Bonds, Dowling College, Series 1996, 6.700%,
12/01/20
Utica Industrial Development Agency, New York, Revenue
Bonds, Utica College, Series 1998A:
135 5.300%, 8/01/08 No Opt. Call N/R 136,228
1,000 5.750%, 8/01/28 8/08 at 102.00 N/R 1,048,770
- --------------------------------------------------------------------------------------------------------------------------
33,425 Total Education and Civic Organizations 35,875,086
- --------------------------------------------------------------------------------------------------------------------------
Financials - 0.2%
500 Liberty Development Corporation, New York, Goldman Sachs No Opt. Call Aa3 565,850
Headquarter Revenue Bonds, Series 2005, 5.250%, 10/01/35
- --------------------------------------------------------------------------------------------------------------------------
Health Care - 11.4%
3,300 Dormitory Authority of the State of New York, FHA-Insured 2/07 at 102.00 AAA 3,396,987
Mortgage Nursing Home Revenue Bonds, Menorah Campus Inc.,
Series 1997, 5.950%, 2/01/17
2,250 Dormitory Authority of the State of New York, FHA-Insured 2/07 at 102.00 AAA 2,313,675
Mortgage Nursing Home Revenue Bonds, Rosalind and Joseph
Gurwin Jewish Geriatric Center of Long Island, Series
1997, 5.700%, 2/01/37 - AMBAC Insured
3,000 Dormitory Authority of the State of New York, FHA-Insured 2/15 at 100.00 AAA 3,171,840
Revenue Bonds, Montefiore Medical Center, Series 2005,
5.000%, 2/01/22 - FGIC Insured
4,400 Dormitory Authority of the State of New York, FHA-Insured 8/15 at 100.00 AA 4,522,232
Revenue Bonds, St. Lukes Roosevelt Hospital, Series 2005,
4.900%, 8/15/31
3,000 Dormitory Authority of the State of New York, Revenue 7/10 at 101.00 Baa1 3,264,540
Bonds, Catholic Health Services of Long Island Obligated
Group - St. Catherine of Siena Medical Center, Series
2000A, 6.500%, 7/01/20
2,400 Dormitory Authority of the State of New York, Revenue 7/11 at 101.00 Ba2 2,477,640
Bonds, Lenox Hill Hospital Obligated Group, Series 2001,
5.500%, 7/01/30
2,800 Dormitory Authority of the State of New York, Revenue 7/16 at 100.00 AA 2,931,628
Bonds, Memorial Sloan Kettering Cancer Center, Series
2006-1, 5.000%, 7/01/35
1,650 Dormitory Authority of the State of New York, Revenue 7/10 at 101.00 Baa2 1,780,911
Bonds, Mount Sinai NYU Health Obligated Group, Series
2000A, 6.500%, 7/01/25
3,250 Dormitory Authority of the State of New York, Revenue 8/14 at 100.00 AAA 3,542,923
Bonds, New York and Presbyterian Hospital, Series 2004A,
5.250%, 8/15/15 - FSA Insured
1,250 Dormitory Authority of the State of New York, Revenue 5/13 at 100.00 A3 1,326,725
Bonds, North Shore Long Island Jewish Group, Series 2003,
5.375%, 5/01/23
1,500 Dormitory Authority of the State of New York, Revenue 7/13 at 100.00 Baa1 1,586,850
Bonds, South Nassau Communities Hospital, Series 2003B,
5.500%, 7/01/23
- ----
27
Portfolio of Investments (Unaudited)
NUVEEN NEW YORK MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Health Care (continued)
$ 1,000 Dormitory Authority of the State of New York, Revenue 7/13 at 100.00 Baa1 $ 1,047,710
Bonds, Winthrop-South Nassau University Hospital
Association, Series 2003A, 5.500%, 7/01/32
2,550 New York City Health and Hospitals Corporation, New York, 2/13 at 100.00 AAA 2,726,741
Health System Revenue Bonds, Series 2003A, 5.250%, 2/15/22
- AMBAC Insured
740 New York City Industrial Development Agency, New York, 7/12 at 100.00 B2 754,326
Civic Facility Revenue Bonds, Staten Island University
Hospital, Series 2001B, 6.375%, 7/01/31
2,170 New York City Industrial Development Agency, New York, 7/12 at 101.00 B2 2,228,460
Civic Facility Revenue Bonds, Staten Island University
Hospital, Series 2002C, 6.450%, 7/01/32
255 New York State Medical Care Facilities Finance Agency, 2/07 at 100.00 AAA 257,015
FHA-Insured Mortgage Revenue Bonds, Hospital and Nursing
Home Projects, Series 1992B, 6.200%, 8/15/22
725 New York State Medical Care Facilities Finance Agency, 2/07 at 100.00 AA 732,562
FHA-Insured Mortgage Revenue Bonds, Kenmore Mercy
Hospital, Series 1995B, 6.100%, 2/15/15
1,620 Newark-Wayne Community Hospital, New York, Hospital Revenue 9/06 at 100.00 N/R 1,621,798
Refunding and Improvement Bonds, Series 1993A, 7.600%,
9/01/15
Suffolk County Industrial Development Agency, New York,
Revenue Bonds, Huntington Hospital, Series 2002C:
850 6.000%, 11/01/22 11/12 at 100.00 Baa1 914,855
1,220 5.875%, 11/01/32 11/12 at 100.00 Baa1 1,292,871
1,000 Yonkers Industrial Development Agency, New York, Revenue 7/11 at 101.00 B+ 1,075,920
Bonds, St. John's Riverside Hospital, Series 2001A,
7.125%, 7/01/31
- ---------------------------------------------------------------------------------------------------------------------
40,930 Total Health Care 42,968,209
- ---------------------------------------------------------------------------------------------------------------------
Housing/Multifamily - 5.2%
335 East Syracuse Housing Authority, New York, FHA-Insured 4/10 at 102.00 AAA 361,120
Section 8 Assisted Revenue Refunding Bonds, Bennet
Project, Series 2001A, 6.700%, 4/01/21
1,000 Madison County Industrial Development Agency, New York, 6/15 at 101.00 AAA 1,046,040
Civic Facility Revenue Bonds, Morrisville State College
Foundation, Series 2005A, 5.000%, 6/01/37 - CIFG Insured
New York City Housing Development Corporation, New York,
Multifamily Housing Revenue Bonds, Series 2001A:
2,000 5.500%, 11/01/31 5/11 at 101.00 AA 2,078,140
2,000 5.600%, 11/01/42 5/11 at 101.00 AA 2,075,500
2,000 New York City Housing Development Corporation, New York, 11/11 at 100.00 AA 2,055,580
Multifamily Housing Revenue Bonds, Series 2001C-2, 5.400%,
11/01/33 (Alternative Minimum Tax)
New York City Housing Development Corporation, New York,
Multifamily Housing Revenue Bonds, Series 2002A:
910 5.375%, 11/01/23 (Alternative Minimum Tax) 5/12 at 100.00 AA 941,786
450 5.500%, 11/01/34 (Alternative Minimum Tax) 5/12 at 100.00 AA 465,323
2,000 New York City Housing Development Corporation, New York, 5/14 at 100.00 AA 2,099,540
Multifamily Housing Revenue Bonds, Series 2004A, 5.250%,
11/01/30
1,080 New York City Housing Development Corporation, New York, 11/15 at 100.00 AA 1,091,534
Multifamily Housing Revenue Bonds, Series 2005F-1, 4.750%,
11/01/35
New York State Housing Finance Agency, FHA-Insured
Multifamily Housing Mortgage Revenue Bonds, Series 1992A:
100 6.950%, 8/15/12 2/07 at 100.00 AA 101,546
45 7.000%, 8/15/22 2/07 at 100.00 AA 45,566
1,990 New York State Housing Finance Agency, Mortgage Revenue 11/06 at 102.00 AAA 2,033,780
Refunding Bonds, Housing Project, Series 1996A, 6.125%,
11/01/20 - FSA Insured
1,000 New York State Housing Finance Agency, Secured Mortgage 8/11 at 100.00 Aa1 1,029,040
Program Multifamily Housing Revenue Bonds, Series 2001G,
5.400%, 8/15/33 (Alternative Minimum Tax)
1,235 Tonawanda Housing Authority, New York, Housing Revenue 9/09 at 103.00 N/R 1,164,494
Bonds, Kibler Senior Housing LP, Series 1999A, 7.750%,
9/01/31
- ----
28
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Housing/Multifamily (continued)
$ 3,030 Westchester County Industrial Development Agency, New York, 8/11 at 102.00 Aaa $ 3,227,980
GNMA Collateralized Mortgage Loan Revenue Bonds, Living
Independently for the Elderly Inc., Series 2001A, 5.400%,
8/20/32
- ---------------------------------------------------------------------------------------------------------------------
19,175 Total Housing/Multifamily 19,816,969
- ---------------------------------------------------------------------------------------------------------------------
Housing/Single Family - 1.7%
2,375 New York State Mortgage Agency, Homeowner Mortgage Revenue 4/15 at 100.00 Aa1 2,376,401
Bonds, Series 130, 4.650%, 4/01/27 (Alternative Minimum
Tax)
690 New York State Mortgage Agency, Homeowner Mortgage Revenue 10/09 at 100.00 Aa1 691,297
Bonds, Series 82, 5.650%, 4/01/30 (Alternative Minimum Tax)
1,470 New York State Mortgage Agency, Homeowner Mortgage Revenue 4/10 at 100.00 Aa1 1,531,505
Bonds, Series 95, 5.625%, 4/01/22
1,660 New York State Mortgage Agency, Mortgage Revenue Bonds, 4/13 at 101.00 Aaa 1,678,011
Thirty-Third Series A, 4.750%, 4/01/23 (Alternative
Minimum Tax)
280 New York State Mortgage Agency, Mortgage Revenue Bonds, 10/10 at 100.00 Aaa 287,529
Twenty-Ninth Series, 5.450%, 4/01/31 (Alternative Minimum
Tax)
- ---------------------------------------------------------------------------------------------------------------------
6,475 Total Housing/Single Family 6,564,743
- ---------------------------------------------------------------------------------------------------------------------
Long-Term Care - 3.9%
300 Dormitory Authority of the State of New York, FHA-Insured 2/12 at 101.00 AAA 318,390
Mortgage Revenue Bonds, Augustana Lutheran Home for the
Aged Inc., Series 2001, 5.400%, 2/01/31 - MBIA Insured
1,810 Dormitory Authority of the State of New York, FHA-Insured 2/07 at 102.00 AAA 1,818,109
Mortgage Revenue Bonds, W.K. Nursing Home Corporation,
Series 1996, 5.950%, 2/01/16
1,520 Dormitory Authority of the State of New York, FHA-Insured 2/13 at 102.00 AAA 1,612,279
Nursing Home Mortgage Revenue Bonds, Shorefront Jewish
Geriatric Center Inc., Series 2002, 5.200%, 2/01/32
1,500 Dormitory Authority of the State of New York, Revenue 7/10 at 101.00 Aa3 1,616,535
Bonds, Concord Nursing Home Inc., Series 2000, 6.500%,
7/01/29
1,000 Dormitory Authority of the State of New York, Revenue 7/10 at 102.00 A 1,086,190
Bonds, Miriam Osborn Memorial Home Association, Series
2000B, 6.375%, 7/01/29 - ACA Insured
Dormitory Authority of the State of New York, Revenue
Bonds, Providence Rest, Series 2005:
50 5.125%, 7/01/30 - ACA Insured 7/15 at 100.00 A 52,014
415 5.000%, 7/01/35 - ACA Insured 7/15 at 100.00 A 424,342
1,320 East Rochester Housing Authority, New York, GNMA Secured 12/11 at 101.00 Aaa 1,394,026
Revenue Refunding Bonds, Genesee Valley Presbyterian
Nursing Center, Series 2001, 5.200%, 12/20/24
965 Nassau County Industrial Development Agency, New York, 7/11 at 101.00 N/R 1,039,112
Revenue Bonds, Special Needs Facilities Pooled Program,
Series 2001B-1, 7.250%, 7/01/16
250 Suffolk County Industrial Development Agency, New York, 7/11 at 101.00 N/R 269,200
Revenue Bonds, Special Needs Facilities Pooled Program,
Series 2001C-1, 7.250%, 7/01/16
5,000 Syracuse Housing Authority, New York, FHA-Insured Mortgage 2/08 at 102.00 AAA 5,221,900
Revenue Bonds, Loretto Rest Residential Healthcare
Facility, Series 1997A, 5.800%, 8/01/37
- ---------------------------------------------------------------------------------------------------------------------
14,130 Total Long-Term Care 14,852,097
- ---------------------------------------------------------------------------------------------------------------------
Materials - 0.3%
700 Essex County Industrial Development Agency, New York, 11/09 at 101.00 BBB 741,069
Environmental Improvement Revenue Bonds, International
Paper Company, Series 1999A, 6.450%, 11/15/23 (Alternative
Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/General - 5.6%
1,000 Erie County, New York, General Obligation Bonds, Series 12/15 at 100.00 AAA 1,081,930
2005A, 5.000%, 12/01/18 - MBIA Insured
60 New York City, New York, General Obligation Bonds, Fiscal 2/08 at 100.00 AA- 61,002
Series 1996G, 5.750%, 2/01/17
855 New York City, New York, General Obligation Bonds, Fiscal 11/06 at 101.50 AA- 870,595
Series 1997D, 5.875%, 11/01/11
1,650 New York City, New York, General Obligation Bonds, Fiscal 8/14 at 100.00 AA- 1,785,234
Series 2004C, 5.250%, 8/15/16
3,000 New York City, New York, General Obligation Bonds, Fiscal 11/14 at 100.00 AAA 3,211,410
Series 2004E, 5.000%, 11/01/19 - FSA Insured
1,725 New York City, New York, General Obligation Bonds, Fiscal 8/15 at 100.00 AAA 1,868,313
Series 2006C, 5.000%, 8/01/16 - FSA Insured
- ----
29
Portfolio of Investments (Unaudited)
NUVEEN NEW YORK MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/General (continued)
$ 3,620 New York City, New York, General Obligation Bonds, Fiscal 9/15 at 100.00 AAA $ 3,876,658
Series 2006F-1, 5.000%, 9/01/19 - XLCA Insured
950 Northern Mariana Islands, General Obligation Bonds, Series 6/10 at 100.00 A 1,001,443
2000A, 6.000%, 6/01/20 - ACA Insured
South Orangetown Central School District, Rockland County,
New York, General Obligation Bonds, Series 1990:
390 6.875%, 10/01/08 No Opt. Call Aa3 415,038
390 6.875%, 10/01/09 No Opt. Call Aa3 426,290
United Nations Development Corporation, New York, Senior
Lien Revenue Bonds, Series 2004A:
880 5.250%, 7/01/23 1/08 at 100.00 A3 895,814
750 5.250%, 7/01/24 1/08 at 100.00 A3 763,478
2,150 West Islip Union Free School District, Suffolk County, New 10/15 at 100.00 Aaa 2,323,892
York, General Obligation Bonds, Series 2005, 5.000%,
10/01/18 - FSA Insured
505 White Plains, New York, General Obligation Bonds, Series 5/11 at 100.00 AA+ 528,861
2004A, 5.000%, 5/15/22
2,085 Yonkers, New York, General Obligation Bonds, Series 2005B, 8/15 at 100.00 AAA 2,251,216
5.000%, 8/01/18 - MBIA Insured
- ---------------------------------------------------------------------------------------------------------------------
20,010 Total Tax Obligation/General 21,361,174
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited - 19.1%
300 Albany Housing Authority, Albany, New York, Limited 10/06 at 101.00 A3 306,063
Obligation Bonds, Series 1995, 5.850%, 10/01/07
1,500 Albany Parking Authority, New York, Revenue Refunding No Opt. Call Baa1 851,910
Bonds, Series 1992A, 0.000%, 11/01/17
3,000 Battery Park City Authority, New York, Senior Revenue 11/13 at 100.00 AAA 3,243,150
Bonds, Series 2003A, 5.250%, 11/01/22
Canton Human Services Initiative Inc., New York, Facility
Revenue Bonds, Series 2001:
920 5.700%, 9/01/24 9/11 at 102.00 Baa2 981,833
1,155 5.750%, 9/01/32 9/11 at 102.00 Baa2 1,229,197
10 Dormitory Authority of the State of New York, Improvement 2/07 at 102.00 AAA 10,300
Revenue Bonds, Mental Health Services Facilities, Series
1997A, 5.750%, 8/15/22 - MBIA Insured
1,495 Dormitory Authority of the State of New York, Revenue 2/07 at 102.00 AA- 1,536,202
Bonds, Mental Health Services Facilities Improvements,
Series 1997B, 5.625%, 2/15/21
570 Dormitory Authority of the State of New York, Revenue 2/15 at 100.00 AAA 597,406
Bonds, Mental Health Services Facilities Improvements,
Series 2005B, 5.000%, 2/15/30 - AMBAC Insured
375 Dormitory Authority of the State of New York, State 3/15 at 100.00 AAA 399,240
Personal Income Tax Revenue Bonds, Series 2005F, 5.000%,
3/15/21 - FSA Insured
Metropolitan Transportation Authority, New York, Dedicated
Tax Fund Bonds, Series 2002A:
4,400 5.250%, 11/15/25 - FSA Insured 11/12 at 100.00 AAA 4,706,812
2,000 5.000%, 11/15/30 11/12 at 100.00 AA- 2,068,260
Metropolitan Transportation Authority, New York, State
Service Contract Refunding Bonds, Series 2002A:
1,825 5.750%, 7/01/18 No Opt. Call AA- 2,113,350
4,400 5.125%, 1/01/29 7/12 at 100.00 AA- 4,626,996
1,680 Monroe Newpower Corporation, New York, Power Facilities 1/13 at 102.00 BBB 1,759,279
Revenue Bonds, Series 2003, 5.500%, 1/01/34
New York City Sales Tax Asset Receivable Corporation, New
York, Dedicated Revenue Bonds, Local Government Assistance
Corporation, Series 2004A:
3,900 5.000%, 10/15/25 - MBIA Insured 10/14 at 100.00 AAA 4,136,067
1,930 5.000%, 10/15/26 - MBIA Insured 10/14 at 100.00 AAA 2,044,102
2,665 New York City Transitional Finance Authority, New York, 2/13 at 100.00 AAA 2,793,666
Future Tax Secured Bonds, Fiscal Series 2003E, 5.000%,
2/01/23
1,915 New York City Transitional Finance Authority, New York, 5/10 at 101.00 Aa3 2,424,792
Future Tax Secured Bonds, Residual Interest Certificates,
Series 319, 9.983%, 11/01/17 (IF)
2,000 New York City Transitional Finance Authority, New York, 2/13 at 100.00 AAA 2,107,500
Future Tax Secured Refunding Bonds, Fiscal Series 2003D,
5.000%, 2/01/22 - MBIA Insured
1,000 New York Convention Center Development Corporation, Hotel 11/15 at 100.00 AAA 1,041,260
Unit Fee Revenue Bonds, Series 2005, 5.000%, 11/15/44 -
AMBAC Insured
- ----
30
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited (continued)
$ 1,180 New York State Environmental Facilities Corporation, 3/14 at 100.00 AA- $ 1,243,944
Infrastructure Revenue Bonds, Series 2003A, 5.000%, 3/15/21
1,000 New York State Housing Finance Agency, Revenue Refunding 11/06 at 101.50 A+ 1,016,760
Bonds, New York City Health Facilities, Series 1996A,
6.000%, 11/01/08
10 New York State Housing Finance Agency, Service Contract 9/07 at 100.00 AA- 10,121
Obligation Revenue Bonds, Series 1995A, 6.375%, 9/15/15
2,100 New York State Housing Finance Agency, State Personal 9/15 at 100.00 AAA 2,200,275
Income Tax Revenue Bonds, Economic Development and
Housing, Series 2006A, 5.000%, 3/15/36
3,125 New York State Local Government Assistance Corporation, No Opt. Call AAA 3,474,063
Revenue Bonds, Series 1993E, 5.250%, 4/01/16 - FSA Insured
5,500 New York State Thruway Authority, Highway and Bridge Trust No Opt. Call AAA 6,367,349
Fund Bonds, Second Generation, Series 2005B, 5.500%,
4/01/20 - AMBAC Insured
New York State Tobacco Settlement Financing Corporation,
Tobacco Settlement Asset-Backed and State Contingency
Contract-Backed Bonds, Series 2003A-1:
1,300 5.250%, 6/01/20 - AMBAC Insured 6/13 at 100.00 AAA 1,398,800
2,755 5.250%, 6/01/21 - AMBAC Insured 6/13 at 100.00 AAA 2,957,630
4,945 5.250%, 6/01/22 - AMBAC Insured 6/13 at 100.00 AAA 5,299,606
3,000 New York State Tobacco Settlement Financing Corporation, 6/13 at 100.00 AA- 3,248,010
Tobacco Settlement Asset-Backed and State Contingency
Contract-Backed Bonds, Series 2003B-1C, 5.500%, 6/01/21
3,500 New York State Urban Development Corporation, Service 1/11 at 100.00 AA- 3,731,875
Contract Revenue Bonds, Correctional and Youth Facilities,
Series 2002A, 5.500%, 1/01/17 (Mandatory put 1/01/11)
1,085 Triborough Bridge and Tunnel Authority, New York, No Opt. Call AA- 1,151,988
Convention Center Bonds, Series 1990E, 7.250%, 1/01/10
1,250 Virgin Islands Public Finance Authority, Gross Receipts 10/10 at 101.00 BBB 1,368,325
Taxes Loan Note, Series 1999A, 6.500%, 10/01/24
- ---------------------------------------------------------------------------------------------------------------------
67,790 Total Tax Obligation/Limited 72,446,131
- ---------------------------------------------------------------------------------------------------------------------
Transportation - 9.4%
7,000 Metropolitan Transportation Authority New York, 11/16 at 100.00 A 7,333,059
Transportation Revenue Bonds, Series 2006, 5.000%, 11/15/31
1,500 Metropolitan Transportation Authority, New York, No Opt. Call AAA 1,639,860
Transportation Revenue Bonds, Series 2003A,
5.000%, 11/15/15 - FGIC Insured
Metropolitan Transportation Authority, New York,
Transportation Revenue Refunding Bonds, Series 2002A:
1,500 5.500%, 11/15/19 - AMBAC Insured 11/12 at 100.00 AAA 1,645,350
1,000 5.125%, 11/15/22 - FGIC Insured 11/12 at 100.00 AAA 1,069,730
500 New York City Industrial Development Agency, New York, 12/08 at 102.00 Ba2 472,300
Special Facilities Revenue Bonds, British Airways PLC,
Series 1998, 5.250%, 12/01/32 (Alternative Minimum Tax)
1,000 New York State Thruway Authority, General Revenue Bonds, 1/15 at 100.00 AAA 1,049,610
Series 2005F, 5.000%, 1/01/30 - AMBAC Insured
New York State Thruway Authority, General Revenue Bonds,
Series 2005G:
600 5.000%, 1/01/30 - FSA Insured 7/15 at 100.00 AAA 632,142
4,300 5.000%, 1/01/32 - FSA Insured 7/15 at 100.00 AAA 4,523,858
1,000 Niagara Frontier Airport Authority, New York, Airport 4/09 at 101.00 AAA 1,052,350
Revenue Bonds, Buffalo Niagara International Airport,
Series 1999A, 5.625%, 4/01/29 - MBIA Insured (Alternative
Minimum Tax)
Port Authority of New York and New Jersey, Consolidated
Revenue Bonds, One Hundred Fortieth Series 2005:
2,500 5.000%, 12/01/28 - XLCA Insured 6/15 at 101.00 AAA 2,646,375
625 5.000%, 12/01/31 - XLCA Insured 6/15 at 101.00 AAA 659,719
1,500 Port Authority of New York and New Jersey, Special Project 12/07 at 100.00 AAA 1,536,300
Bonds, JFK International Air Terminal LLC, Sixth Series
1997, 5.750%, 12/01/25 - MBIA Insured (Alternative Minimum
Tax)
250 Puerto Rico Ports Authority, Special Facilities Revenue 12/06 at 102.00 CCC+ 250,072
Bonds, American Airlines Inc., Series 1996A, 6.250%,
6/01/26 (Alternative Minimum Tax)
5,000 Triborough Bridge and Tunnel Authority, New York, General 11/12 at 100.00 AA- 6,221,599
Purpose Revenue Bonds, ROLS II-R, Series 194, 8.061%,
11/15/19 (IF)
- ----
31
Portfolio of Investments (Unaudited)
NUVEEN NEW YORK MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -------------------------------------------------------------------------------------------------------------------------
Transportation (continued)
$ 1,500 Triborough Bridge and Tunnel Authority, New York, General 1/12 at 100.00 Aa2 $ 1,570,215
Purpose Revenue Bonds, Series 2001A, 5.000%, 1/01/19
Triborough Bridge and Tunnel Authority, New York,
Subordinate Lien General Purpose Revenue Refunding Bonds,
Series 2002E:
780 5.500%, 11/15/20 - MBIA Insured No Opt. Call AAA 908,115
2,300 5.250%, 11/15/22 - MBIA Insured 11/12 at 100.00 AAA 2,477,422
- -------------------------------------------------------------------------------------------------------------------------
32,855 Total Transportation 35,688,076
- -------------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed - 16.2% (3)
1,000 Cattaraugus County Industrial Development Agency, New York, 7/10 at 102.00 Baa1 (3) 1,119,780
Revenue Bonds, Jamestown Community College, Series 2000A,
6.500%, 7/01/30 (Pre-refunded 7/01/10)
Dormitory Authority of the State of New York, Improvement
Revenue Bonds, Mental Health Services Facilities, Series
1997A:
25 5.750%, 8/15/22 (Pre-refunded 2/15/07) - MBIA Insured 2/07 at 102.00 AAA 25,750
965 5.750%, 8/15/22 (Pre-refunded 2/15/07) - MBIA Insured 2/07 at 102.00 AAA 993,940
1,005 Dormitory Authority of the State of New York, Revenue 2/07 at 102.00 AA- (3) 1,034,457
Bonds, Mental Health Services Facilities Improvements,
Series 1997B, 5.625%, 2/15/21 (Pre-refunded 2/15/07)
1,200 Dormitory Authority of the State of New York, Revenue 3/13 at 100.00 AAA 1,322,736
Bonds, State Personal Income Tax, Series 2003A, 5.375%,
3/15/22 (Pre-refunded 3/15/13)
Dormitory Authority of the State of New York, Revenue
Bonds, State University Educational Facilities, 1999
Resolution, Series A-D, RITES, Series PA-781R:
835 9.570%, 5/15/14 (Pre-refunded 5/15/10) - FSA Insured (IF) 5/10 at 101.00 AAA 1,048,443
500 9.581%, 5/15/16 (Pre-refunded 5/15/10) - FSA Insured (IF) 5/10 at 101.00 AAA 627,810
670 9.553%, 5/15/17 (Pre-refunded 5/15/10) - FSA Insured (IF) 5/10 at 101.00 AAA 841,265
1,750 Dormitory Authority of the State of New York, Revenue 7/09 at 101.00 A+ (3) 1,864,520
Bonds, University of Rochester, Series 1999B, 5.625%,
7/01/24 (Pre-refunded 7/01/09)
220 Dormitory Authority of the State of New York, Suffolk 10/06 at 109.40 Baa1 (3) 300,544
County, Lease Revenue Bonds, Judicial Facilities, Series
1991A, 9.500%, 4/15/14 (ETM)
1,015 Erie County Tobacco Asset Securitization Corporation, New 7/10 at 101.00 AAA 1,109,375
York, Senior Tobacco Settlement Asset-Backed Bonds, Series
2000, 6.000%, 7/15/20 (Pre-refunded 7/15/10)
955 Long Island Power Authority, New York, Electric System 6/08 at 101.00 AAA 990,134
General Revenue Bonds, Series 1998A, 5.125%, 12/01/22
(Pre-refunded 6/01/08) - FSA Insured
2,000 Long Island Power Authority, New York, Electric System 9/11 at 100.00 A- (3) 2,160,640
General Revenue Bonds, Series 2001A, 5.375%, 9/01/25
(Pre-refunded 9/01/11)
2,000 Metropolitan Transportation Authority, New York, Commuter 7/07 at 102.00 AAA 2,061,100
Facilities Revenue Bonds, Series 1997B, 5.000%, 7/01/20 -
AMBAC Insured (ETM)
Metropolitan Transportation Authority, New York, Dedicated
Tax Fund Bonds, Series 1999A:
1,000 5.250%, 4/01/23 (Pre-refunded 10/01/14) - FSA Insured 10/14 at 100.00 AAA 1,108,510
2,000 5.000%, 4/01/29 (Pre-refunded 10/01/14) - FSA Insured 10/14 at 100.00 AAA 2,182,360
Monroe Tobacco Asset Securitization Corporation, New York,
Tobacco Settlement Asset-Backed Bonds, Series 2000:
250 6.000%, 6/01/15 (Pre-refunded 6/01/10) 6/10 at 101.00 AAA 273,485
865 6.150%, 6/01/25 (Pre-refunded 6/01/10) 6/10 at 101.00 AAA 931,544
1,000 Nassau County Interim Finance Authority, New York, Sales 11/10 at 100.00 AAA 1,085,800
Tax Secured Revenue Bonds, Series 2000A, 5.750%, 11/15/16
(Pre-refunded 11/15/10) - MBIA Insured
1,500 Nassau County Tobacco Settlement Corporation, New York, 7/09 at 101.00 AAA 1,632,525
Tobacco Settlement Asset-Backed Bonds, Series 1999A,
6.500%, 7/15/27 (Pre-refunded 7/15/09)
930 New York City Industrial Development Agency, New York, 7/10 at 102.00 N/R (3) 1,044,185
Civic Facility Revenue Bonds, Special Needs Facilities
Pooled Program, Series 2000, 8.125%, 7/01/19 (Pre-refunded
7/01/10)
150 New York City, New York, General Obligation Bonds, Fiscal 10/06 at 101.50 AA- (3) 152,520
Series 1996G, 5.750%, 2/01/20 (Pre-refunded 10/01/06)
- ----
32
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -------------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed (3) (continued)
$ 40 New York City, New York, General Obligation Bonds, Fiscal 11/06 at 101.50 AA- (3) $ 40,753
Series 1997D, 5.875%, 11/01/11 (Pre-refunded 11/01/06)
225 New York Counties Tobacco Trust I, Tobacco Settlement 6/10 at 101.00 AAA 244,735
Pass-Through Bonds, Series 2000B, 5.800%, 6/01/23
(Pre-refunded 6/01/10)
200 New York State Housing Finance Agency, Construction Fund No Opt. Call AAA 222,806
Bonds, State University, Series 1986A, 8.000%, 5/01/11
(ETM)
1,785 New York State Housing Finance Agency, Service Contract 9/07 at 100.00 AAA 1,836,658
Obligation Revenue Bonds, Series 1995A, 6.375%, 9/15/15
(Pre-refunded 9/15/07)
3,335 New York State Thruway Authority, Highway and Bridge Trust 4/10 at 101.00 Aaa 4,165,815
Fund Bonds, Residual Interest Certificates, Series 368,
9.598%, 4/01/16 (Pre-refunded 4/01/10) - FGIC Insured (IF)
1,500 New York State Thruway Authority, Highway and Bridge Trust 4/13 at 100.00 AAA 1,643,415
Fund Bonds, Second Generation, Series 2003A, 5.250%,
4/01/23 (Pre-refunded 4/01/13) - MBIA Insured
2,170 New York State Thruway Authority, Highway and Bridge Trust 4/14 at 100.00 AAA 2,358,725
Fund Bonds, Second Generation, Series 2004, 5.000%,
4/01/20 (Pre-refunded 4/01/14) - MBIA Insured
1,535 New York State Thruway Authority, Highway and Bridge Trust 4/12 at 100.00 AAA 1,663,234
Fund Bonds, Series 2002A, 5.250%, 4/01/18 (Pre-refunded
4/01/12) - FSA Insured
5,745 New York State Thruway Authority, Local Highway and Bridge 4/10 at 103.00 AAA 7,176,768
Service Contract Bonds, DRIVERS, Series 145, 9.539%,
10/01/08 (Pre-refunded 4/01/10) - AMBAC Insured (IF)
New York State Urban Development Corporation, State
Personal Income Tax Revenue Bonds, State Facilities and
Equipment, Series 2002A:
1,500 5.375%, 3/15/18 (Pre-refunded 3/15/12) 3/12 at 100.00 AAA 1,633,785
3,500 5.125%, 3/15/27 (Pre-refunded 3/15/12) 3/12 at 100.00 AAA 3,768,555
2,000 New York State Urban Development Corporation, State 3/13 at 100.00 AAA 2,161,220
Personal Income Tax Revenue Bonds, State Facilities and
Equipment, Series 2002C-1, 5.000%, 3/15/33 (Pre-refunded
3/15/13)
1,420 Niagara Falls City School District, Niagara County, New 6/09 at 101.00 BBB- (3) 1,548,737
York, Certificates of Participation, High School Facility,
Series 2000, 6.625%, 6/15/28 (Pre-refunded 6/15/09)
1,000 Puerto Rico Highway and Transportation Authority, Highway 7/10 at 101.00 AAA 1,085,570
Revenue Bonds, Series 2000B, 5.750%, 7/01/19 (Pre-refunded
7/01/10) - MBIA Insured
2,750 TSASC Inc., New York, Tobacco Flexible Amortization Bonds, 7/09 at 101.00 AAA 2,974,373
Series 1999-1, 6.250%, 7/15/27 (Mandatory put 7/15/19)
(Pre-refunded 7/15/09)
2,500 Westchester Tobacco Asset Securitization Corporation, New 7/10 at 101.00 AAA 2,807,275
York, Tobacco Settlement Asset-Backed Bonds, Series 1999,
6.750%, 7/15/29 (Pre-refunded 7/15/10)
1,960 Yonkers Industrial Development Agency, New York, Revenue 2/11 at 100.00 BBB- (3) 2,204,118
Bonds, Community Development Properties - Yonkers Inc.
Project, Series 2001A, 6.625%, 2/01/26 (Pre-refunded
2/01/11)
- -------------------------------------------------------------------------------------------------------------------------
55,000 Total U.S. Guaranteed 61,447,965
- -------------------------------------------------------------------------------------------------------------------------
Utilities - 9.3%
2,045 Long Island Power Authority, New York, Electric System 6/08 at 101.00 AAA 2,109,479
General Revenue Bonds, Series 1998A, 5.125%, 12/01/22 -
FSA Insured
2,350 Long Island Power Authority, New York, Electric System No Opt. Call AAA 1,325,189
General Revenue Bonds, Series 2000A, 0.000%, 6/01/20 - FSA
Insured
1,000 Long Island Power Authority, New York, Electric System 5/11 at 100.00 A- 1,054,900
General Revenue Bonds, Series 2001L, 5.375%, 5/01/33
5,000 Long Island Power Authority, New York, Electric System 9/13 at 100.00 AAA 5,349,250
General Revenue Bonds, Series 2003C, 5.000%, 9/01/16 -
CIFG Insured
Long Island Power Authority, New York, Electric System
General Revenue Bonds, Series 2006A:
5,500 5.000%, 12/01/23 - FGIC Insured 6/16 at 100.00 AAA 5,864,594
1,200 5.000%, 12/01/24 - FGIC Insured 6/16 at 100.00 AAA 1,278,552
2,450 New York City Industrial Development Agency, New York, 10/08 at 102.00 BBB- 2,471,021
Revenue Bonds, Brooklyn Navy Yard Cogeneration Partners
LP, Series 1997, 5.750%, 10/01/36 (Alternative Minimum Tax)
- ----
33
Portfolio of Investments (Unaudited)
NUVEEN NEW YORK MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Utilities (continued)
$ 3,500 New York State Energy Research and Development Authority, 3/08 at 101.50 AAA $ 3,539,725
Pollution Control Revenue Bonds, New York State Electric
and Gas Corporation, Series 2005A, 4.100%, 3/15/15 - MBIA
Insured
3,000 New York State Power Authority, General Revenue Bonds, 11/10 at 100.00 Aa2 3,146,010
Series 2000A, 5.250%, 11/15/40
New York State Power Authority, General Revenue Bonds,
Series 2006A:
780 5.000%, 11/15/18 - FGIC Insured 11/15 at 100.00 AAA 843,648
520 5.000%, 11/15/19 - FGIC Insured 11/15 at 100.00 AAA 559,936
1,500 Niagara County Industrial Development Agency, New York, 11/11 at 101.00 Baa3 1,568,865
Solid Waste Disposal Facility Revenue Bonds, American
Ref-Fuel Company of Niagara LP, Series 2001A, 5.450%,
11/15/26 (Mandatory put 11/15/12) (Alternative Minimum Tax)
200 Niagara County Industrial Development Agency, New York, 11/11 at 101.00 Baa3 208,716
Solid Waste Disposal Facility Revenue Refunding Bonds,
American Ref-Fuel Company of Niagara LP, Series 2001D,
5.550%, 11/15/24 (Mandatory put 11/15/15)
Suffolk County Industrial Development Agency, New York,
Revenue Bonds, Nissequogue Cogeneration Partners Facility,
Series 1998:
1,800 5.300%, 1/01/13 (Alternative Minimum Tax) 1/09 at 101.00 N/R 1,777,050
4,000 5.500%, 1/01/23 (Alternative Minimum Tax) 1/09 at 101.00 N/R 3,961,440
100 Westchester County Industrial Development Agency, 7/07 at 101.00 BBB 101,956
Westchester County, New York, Resource Recovery Revenue
Bonds, RESCO Company, Series 1996, 5.500%, 7/01/09
(Alternative Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
34,945 Total Utilities 35,160,331
- ---------------------------------------------------------------------------------------------------------------------
Water and Sewer - 3.9%
Monroe County Water Authority, New York, Water System
Revenue Bonds, Series 2001:
850 5.150%, 8/01/22 8/11 at 101.00 AA 902,241
2,250 5.250%, 8/01/36 8/11 at 101.00 AA 2,387,880
2,225 New York City Municipal Water Finance Authority, New York, 6/12 at 100.00 AA+ 2,404,824
Water and Sewerage System Revenue Bonds, Fiscal Series
2003A, 5.375%, 6/15/19
4,000 New York State Environmental Facilities Corporation, State 11/12 at 100.00 AAA 4,334,960
Clean Water and Drinking Water Revolving Funds Revenue
Bonds, Pooled Loan Issue, Series 2002F, 5.250%, 11/15/18
2,950 Niagara Falls Public Water Authority, New York, Water and 7/15 at 100.00 AAA 3,093,075
Sewerage Revenue Bonds, Series 2005, 5.000%, 7/15/27 -
XLCA Insured
1,455 Western Nassau County Water Authority, New York, Water 5/15 at 100.00 Aaa 1,568,563
System Revenue Bonds, Series 2005, 5.000%, 5/01/18 - AMBAC
Insured
- ---------------------------------------------------------------------------------------------------------------------
13,730 Total Water and Sewer 14,691,543
- ---------------------------------------------------------------------------------------------------------------------
$ 347,255 Total Long-Term Investments (cost $353,240,110) - 97.8% 369,909,756
- ---------------------------------------------------------------------------------------------------------------------
- ------------
Short-Term Investments - 0.7%
300 New York City Municipal Water Finance Authority, New York, A-1+ 300,000
Water and Sewerage System Revenue Bonds, Variable Rate
Demand Obligations, Fiscal Series 1993C, 3.560%, 6/15/22 -
FGIC Insured (4)
1,000 New York City, New York, General Obligation Bonds, Fiscal A-1+ 1,000,000
Series 2006 H-2, Variable Rate Demand Obligations, 3.560%,
1/01/36 (4)
500 New York City, New York, General Obligation Bonds, Variable A-1+ 500,000
Rate Demand Obligations, Fiscal Series 1995B2-B10, 3.560%,
8/15/23 - MBIA Insured (4)
1,000 Puerto Rico Government Development Bank, Adjustable A-1 1,000,000
Refunding Bonds, Variable Rate Demand Obligations, Series
1985, 3.290%, 12/01/15 - MBIA Insured (4)
- ---------------------------------------------------------------------------------------------------------------------
$ 2,800 Total Short-Term Investments (cost $2,800,000) 2,800,000
- ---------------------------------------------------------------------------------------------------------------------
- ------------
Total Investments (cost $356,040,110) - 98.5% 372,709,756
--------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.5% 5,689,779
--------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 378,399,535
--------------------------------------------------------------------------------------------------------
- ----
34
Forward Swaps outstanding at August 31, 2006:
Fixed Rate Floating Rate
Notional Rate Paid Payment Rate Received Payment Effective Termination
Counterparty Amount by the Fund (5) Frequency by the Fund (5) Frequency Date (6) Date
- -------------------------------------------------------------------------------------------------------------------
JPMorgan $23,500,000 5.544% Semi-Annually 3 month USD-LIBOR Quarterly 7/20/07 7/20/10
JPMorgan 4,300,000 3 month USD-LIBOR Semi-Annually 5.768% Quarterly 7/20/07 7/20/29
Morgan Stanley 4,750,000 3 month USD-LIBOR Semi-Annually 5.771% Quarterly 7/20/07 7/20/34
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
Unrealized
Appreciation
Counterparty (Depreciation)
- ------------------------------
JPMorgan $(291,022)
JPMorgan 186,739
Morgan Stanley 227,663
- ------------------------------
$ 123,380
- ------------------------------
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rates)
(1) Optional Call Provisions: Dates (month and year) and prices of
the earliest optional call or redemption. There may be other
call provisions at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic principal
paydowns.
(2) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below BBB by Standard & Poor's Group or Baa by
Moody's Investor Service, Inc. are considered to be below
investment grade. The ratings shown for inverse floating rate
investments represent those of the underlying bonds and not the
inverse floating rate investments themselves. Inverse floating
rate investments likely present greater credit risk to the
holders of such investments than to those holders of the
underlying bonds.
(3) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which ensure the
timely payment of principal and interest. Such investments are
normally considered to be equivalent to AAA rated securities.
(4) Investment has a maturity of more than one year, but has
variable rate and demand features which qualify it as a
short-term investment. The rate disclosed is that in effect at
the end of the reporting period. This rate changes periodically
based on market conditions or a specified market index.
(5) Represents the annualized rate paid or received by the Fund.
(6) Effective date represents the date on which both the Fund and
counterparty commence interest payment accruals on each forward
swap contract.
N/R Not rated.
(ETM) Escrowed to maturity.
(IF) Inverse floating rate investment.
See accompanying notes to financial statements.
- ----
35
Portfolio of Investments (Unaudited)
NUVEEN NEW YORK INSURED MUNICIPAL BOND FUND
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ----------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations - 7.4%
$ 1,000 Allegany County Industrial Development Agency, New York, 8/08 at 102.00 Aaa $ 1,034,060
Revenue Bonds, Alfred University, Series 1998, 5.000%,
8/01/28 - MBIA Insured
1,110 Amherst Industrial Development Agency, New York, Revenue 8/12 at 101.00 AAA 1,171,305
Bonds, UBF Faculty/Student Housing Corporation, University
of Buffalo Creekside Project, Series 2002A, 5.000%,
8/01/22 - AMBAC Insured
3,095 Amherst Industrial Development Agency, New York, Revenue 8/10 at 102.00 AAA 3,369,557
Bonds, UBF Faculty/Student Housing Corporation, University
of Buffalo Project, Series 2000A, 5.750%, 8/01/30 - AMBAC
Insured
4,000 Dormitory Authority of the State of New York, Consolidated No Opt. Call AAA 4,370,920
Revenue Bonds, City University System, Series 1993A,
5.750%, 7/01/13 - MBIA Insured
1,000 Dormitory Authority of the State of New York, General No Opt. Call AAA 1,203,670
Revenue Bonds, New York University, Series 2001-1, 5.500%,
7/01/40 - AMBAC Insured
605 Dormitory Authority of the State of New York, Insured 7/12 at 100.00 AAA 641,173
Revenue Bonds, Fordham University, Series 2002, 5.000%,
7/01/21 - FGIC Insured
2,890 Dormitory Authority of the State of New York, Insured 7/08 at 101.00 Aaa 2,982,104
Revenue Bonds, Ithaca College, Series 1998, 5.000%,
7/01/21 - AMBAC Insured
1,000 Dormitory Authority of the State of New York, Insured 7/11 at 100.00 AAA 1,030,860
Revenue Bonds, Yeshiva University, Series 2001, 5.000%,
7/01/30 - AMBAC Insured
1,000 Dormitory Authority of the State of New York, Lease Revenue No Opt. Call AAA 1,083,670
Bonds, State University Dormitory Facilities, Series
2003B, 5.250%, 7/01/32 (Mandatory put 7/01/13) - XLCA
Insured
1,000 Dormitory Authority of the State of New York, Revenue 7/11 at 101.00 AAA 1,065,370
Bonds, Canisius College, Series 2000, 5.250%, 7/01/30 -
MBIA Insured
1,345 Dormitory Authority of the State of New York, Revenue No Opt. Call AAA 1,543,912
Bonds, City University of New York, Series 2005A, 5.500%,
7/01/18 - FGIC Insured
1,145 New York City Industrial Development Agency, New York, 6/07 at 102.00 Aaa 1,184,480
Civic Facility Revenue Bonds, Anti-Defamation League
Foundation, Series 1997A, 5.600%, 6/01/17 - MBIA Insured
250 New York City Industrial Development Agency, New York, 1/17 at 100.00 AAA 263,715
Revenue Bonds, Queens Baseball Stadium, Series 2006,
5.000%, 1/01/36 - AMBAC Insured
New York City Industrial Development Authority, New York,
Revenue Bonds, Yankee Stadium Project, Series 2006:
720 5.000%, 3/01/31 - FGIC Insured 9/16 at 100.00 AAA 759,722
450 5.000%, 3/01/36 - FGIC Insured 9/16 at 100.00 AAA 474,075
720 5.000%, 1/01/39 - AMBAC Insured 1/17 at 100.00 AAA 758,268
1,750 New York City Trust for Cultural Resources, New York, 4/07 at 101.00 AAA 1,786,575
Revenue Bonds, American Museum of Natural History, Series
1997A, 5.650%, 4/01/27 - MBIA Insured
- ----------------------------------------------------------------------------------------------------------------------
23,080 Total Education and Civic Organizations 24,723,436
- ----------------------------------------------------------------------------------------------------------------------
Health Care - 14.7%
400 Dormitory Authority of the State of New York, FHA-Insured 2/15 at 100.00 AAA 418,080
Mortgage Hospital Revenue Bonds, Hospital for Special
Surgery, Series 2005, 5.000%, 8/15/33 - MBIA Insured
3,305 Dormitory Authority of the State of New York, FHA-Insured 2/07 at 103.00 AAA 3,408,347
Mortgage Hospital Revenue Bonds, Millard Fillmore
Hospitals, Series 1997, 5.375%, 2/01/32 - AMBAC Insured
2,000 Dormitory Authority of the State of New York, FHA-Insured 8/09 at 101.00 AAA 2,106,920
Mortgage Hospital Revenue Bonds, Montefiore Medical
Center, Series 1999, 5.500%, 8/01/38 - AMBAC Insured
6,115 Dormitory Authority of the State of New York, FHA-Insured 2/08 at 101.00 AAA 6,184,894
Mortgage Hospital Revenue Bonds, New York and Presbyterian
Hospital, Series 1998, 4.750%, 8/01/27 - AMBAC Insured
1,910 Dormitory Authority of the State of New York, FHA-Insured 8/12 at 100.00 AAA 1,998,070
Mortgage Hospital Revenue Bonds, St. Barnabas Hospital,
Series 2002A, 5.125%, 2/01/22 - AMBAC Insured
1,910 Dormitory Authority of the State of New York, FHA-Insured 2/15 at 100.00 AAA 2,001,451
Mortgage Revenue Bonds, Montefiore Hospital, Series 2004,
5.000%, 8/01/29 - FGIC Insured
4,000 Dormitory Authority of the State of New York, FHA-Insured 2/08 at 102.00 AAA 4,166,880
Mortgage Revenue Refunding Bonds, United Health Services,
Series 1997, 5.375%, 8/01/27 - AMBAC Insured
- ----
36
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Health Care (continued)
$ 2,260 Dormitory Authority of the State of New York, Hospital 7/09 at 101.00 AAA $ 2,381,226
Revenue Bonds, Catholic Health Services of Long Island
Obligated Group - St. Francis Hospital, Series 1999A,
5.500%, 7/01/29 - MBIA Insured
3,125 Dormitory Authority of the State of New York, Revenue 7/09 at 101.00 AAA 3,307,313
Bonds, Catholic Health Services of Long Island Obligated
Group - St. Charles Hospital and Rehabilitation Center,
Series 1999A, 5.500%, 7/01/22 - MBIA Insured
2,000 Dormitory Authority of the State of New York, Revenue 7/13 at 100.00 AAA 2,130,500
Bonds, Memorial Sloan-Kettering Cancer Center, Series
2003-1, 5.000%, 7/01/21 - MBIA Insured
2,435 Dormitory Authority of the State of New York, Revenue 8/14 at 100.00 AAA 2,654,467
Bonds, New York and Presbyterian Hospital, Series 2004A,
5.250%, 8/15/15 - FSA Insured
3,000 Dormitory Authority of the State of New York, Revenue 11/08 at 101.00 AAA 3,095,370
Bonds, North Shore Health System Obligated Group, Series
1998, 5.000%, 11/01/23 - MBIA Insured
5,000 Dormitory Authority of the State of New York, Revenue 7/11 at 101.00 AAA 5,313,200
Bonds, Winthrop South Nassau University Health System
Obligated Group, Series 2001A, 5.250%, 7/01/31 - AMBAC
Insured
2,500 Dormitory Authority of the State of New York, Secured 2/08 at 101.50 AAA 2,573,950
Hospital Insured Revenue Bonds, Southside Hospital, Series
1998, 5.000%, 2/15/25 - MBIA Insured
New York City Health and Hospitals Corporation, New York,
Health System Revenue Bonds, Series 2003A:
2,000 5.250%, 2/15/21 - AMBAC Insured 2/13 at 100.00 AAA 2,138,620
1,750 5.250%, 2/15/22 - AMBAC Insured 2/13 at 100.00 AAA 1,871,293
2,890 New York State Medical Care Facilities Finance Agency, 2/07 at 100.00 AAA 2,909,970
FHA-Insured Mortgage Revenue Bonds, Montefiore Medical
Center, Series 1995A, 5.750%, 2/15/15 - AMBAC Insured
- ---------------------------------------------------------------------------------------------------------------------
46,600 Total Health Care 48,660,551
- ---------------------------------------------------------------------------------------------------------------------
Housing/Multifamily - 4.7%
New York City Housing Development Corporation, New York,
Capital Fund Program Revenue Bonds, Series 2005A:
400 5.000%, 7/01/14 - FGIC Insured No Opt. Call AAA 432,376
400 5.000%, 7/01/16 - FGIC Insured 7/15 at 100.00 AAA 432,592
4,030 5.000%, 7/01/25 - FGIC Insured 7/15 at 100.00 AAA 4,276,354
1,215 New York City Housing Development Corporation, New York, 9/06 at 105.00 AAA 1,278,545
Multifamily Housing Revenue Bonds, Pass-Through
Certificates, Series 1991C, 6.500%, 2/20/19 - AMBAC Insured
New York State Housing Finance Agency, Mortgage Revenue
Refunding Bonds, Housing Project, Series 1996A:
4,515 6.100%, 11/01/15 - FSA Insured 11/06 at 102.00 AAA 4,613,562
4,420 6.125%, 11/01/20 - FSA Insured 11/06 at 102.00 AAA 4,517,240
- ---------------------------------------------------------------------------------------------------------------------
14,980 Total Housing/Multifamily 15,550,669
- ---------------------------------------------------------------------------------------------------------------------
Long-Term Care - 3.8%
2,000 Dormitory Authority of the State of New York, FHA-Insured 8/10 at 101.00 AAA 2,127,060
Nursing Home Mortgage Revenue Bonds, Augustana Lutheran
Home for the Aged Inc., Series 2000A, 5.500%, 8/01/38 -
MBIA Insured
3,665 Dormitory Authority of the State of New York, FHA-Insured 8/11 at 101.00 AAA 3,874,931
Nursing Home Mortgage Revenue Bonds, Norwegian Christian
Home and Health Center, Series 2001, 5.200%, 8/01/36 -
MBIA Insured
2,000 Dormitory Authority of the State of New York, Insured 7/15 at 100.00 AAA 2,091,400
Revenue Bonds, NYSARC Inc., Series 2005A, 5.000%, 7/01/34
- FSA Insured
4,250 East Rochester Housing Authority, New York, FHA-Insured 8/07 at 102.00 AAA 4,409,120
Mortgage Revenue Bonds, St. John's Meadows Project, Series
1997A, 5.700%, 8/01/27 - MBIA Insured
- ---------------------------------------------------------------------------------------------------------------------
11,915 Total Long-Term Care 12,502,511
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/General - 12.7%
Erie County, New York, General Obligation Bonds, Series
2003A:
1,000 5.250%, 3/15/15 - FGIC Insured 3/13 at 100.00 Aaa 1,088,920
1,000 5.250%, 3/15/16 - FGIC Insured 3/13 at 100.00 Aaa 1,084,260
1,000 5.250%, 3/15/17 - FGIC Insured 3/13 at 100.00 Aaa 1,081,740
1,000 5.250%, 3/15/18 - FGIC Insured 3/13 at 100.00 Aaa 1,081,740
- ----
37
Portfolio of Investments (Unaudited)
NUVEEN NEW YORK INSURED MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/General (continued)
$ 2,000 Erie County, New York, General Obligation Bonds, Series 12/15 at 100.00 AAA $ 2,163,860
2005A, 5.000%, 12/01/18 - MBIA Insured
2,295 Harborsfield Central School District, Suffolk County, New 6/11 at 100.00 Aaa 2,417,301
York, General Obligation Bonds, Series 2001, 5.000%,
6/01/19 - FSA Insured
2,250 Monroe County, New York, General Obligation Public 3/12 at 100.00 AAA 2,395,282
Improvement Bonds, Series 2002, 5.000%, 3/01/16 - FGIC
Insured
2,000 Monroe-Woodbury Central School District, Orange County, New 5/14 at 100.00 AAA 2,016,260
York, General Obligation Bonds, Series 2004A, 4.250%,
5/15/22 - FGIC Insured
Mount Sinai Union Free School District, Suffolk County, New
York, General Obligation Refunding Bonds, Series 1992:
500 6.200%, 2/15/15 - AMBAC Insured No Opt. Call AAA 588,250
1,035 6.200%, 2/15/16 - AMBAC Insured No Opt. Call AAA 1,234,372
1,505 Nassau County, North Hempstead, New York, General No Opt. Call AAA 1,764,447
Obligation Refunding Bonds, Series 1992B, 6.400%, 4/01/14
- FGIC Insured
60 New York City, New York, General Obligation Bonds, Fiscal 2/07 at 100.00 AAA 60,126
Series 1992C, 6.250%, 8/01/10 - FSA Insured
New York City, New York, General Obligation Bonds, Fiscal
Series 2001D:
3,000 5.250%, 8/01/15 - MBIA Insured 8/10 at 101.00 AAA 3,184,290
2,000 5.000%, 8/01/16 - FGIC Insured 8/10 at 101.00 AAA 2,110,060
2,460 New York City, New York, General Obligation Bonds, Fiscal 11/11 at 101.00 AAA 2,643,983
Series 2002A, 5.250%, 11/01/15 - MBIA Insured
New York City, New York, General Obligation Bonds, Fiscal
Series 2004E:
2,500 5.000%, 11/01/19 - FSA Insured 11/14 at 100.00 AAA 2,676,175
1,050 5.000%, 11/01/20 - FSA Insured 11/14 at 100.00 AAA 1,123,091
600 New York City, New York, General Obligation Bonds, Fiscal 3/15 at 100.00 AAA 641,670
Series 2005J, 5.000%, 3/01/19 - FGIC Insured
3,000 New York City, New York, General Obligation Bonds, Fiscal 9/15 at 100.00 AAA 3,212,700
Series 2006F-1, 5.000%, 9/01/19 - XLCA Insured
Rensselaer County, New York, General Obligation Bonds,
Series 1991:
960 6.700%, 2/15/13 - AMBAC Insured No Opt. Call AAA 1,124,016
960 6.700%, 2/15/14 - AMBAC Insured No Opt. Call AAA 1,142,006
960 6.700%, 2/15/15 - AMBAC Insured No Opt. Call AAA 1,161,629
Rondout Valley Central School District, Ulster County, New
York, General Obligation Bonds, Series 1991:
550 6.850%, 6/15/09 - FGIC Insured No Opt. Call AAA 597,399
550 6.850%, 6/15/10 - FGIC Insured No Opt. Call AAA 612,783
Saratoga County, Half Moon, New York, Public Improvement
Bonds, Series 1991:
385 6.500%, 6/01/09 - AMBAC Insured No Opt. Call AAA 414,218
395 6.500%, 6/01/10 - AMBAC Insured No Opt. Call AAA 435,183
395 6.500%, 6/01/11 - AMBAC Insured No Opt. Call AAA 444,339
1,500 West Islip Union Free School District, Suffolk County, New 10/15 at 100.00 Aaa 1,630,515
York, General Obligation Bonds, Series 2005, 5.000%,
10/01/16 - FSA Insured
1,985 Yonkers, New York, General Obligation Bonds, Series 2005B, 8/15 at 100.00 AAA 2,150,390
5.000%, 8/01/17 - MBIA Insured
- ---------------------------------------------------------------------------------------------------------------------
38,895 Total Tax Obligation/General 42,281,005
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited - 24.8%
245 Dormitory Authority of the State of New York, Improvement 8/09 at 101.00 AAA 256,539
Revenue Bonds, Mental Health Services Facilities, Series
1999D, 5.250%, 2/15/29 - FSA Insured
220 Dormitory Authority of the State of New York, Improvement 8/10 at 100.00 AAA 230,457
Revenue Bonds, Mental Health Services Facilities, Series
2000D, 5.250%, 8/15/30 - FSA Insured
1,000 Dormitory Authority of the State of New York, Lease Revenue 8/14 at 100.00 AAA 1,050,500
Bonds, Wayne-Finger Lakes Board of Cooperative Education
Services, Series 2004, 5.000%, 8/15/23 - FSA Insured
2,410 Dormitory Authority of the State of New York, Revenue 7/14 at 100.00 AAA 2,573,904
Bonds, Department of Health, Series 2004-2, 5.000%,
7/01/20 - FGIC Insured
- ----
38
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited (continued)
$ 950 Dormitory Authority of the State of New York, Revenue 2/15 at 100.00 AAA $ 995,676
Bonds, Mental Health Services Facilities Improvements,
Series 2005B, 5.000%, 2/15/30 - AMBAC Insured
Dormitory Authority of the State of New York, Revenue
Bonds, Mental Health Services Facilities Improvements,
Series 2005D-1:
1,400 5.000%, 2/15/15 - FGIC Insured No Opt. Call AAA 1,518,916
1,000 5.000%, 8/15/23 - FGIC Insured 2/15 at 100.00 AAA 1,058,250
Dormitory Authority of the State of New York, Revenue
Bonds, School Districts Financing Program, Series 2002D:
6,275 5.250%, 10/01/23 - MBIA Insured 10/12 at 100.00 AAA 6,750,706
875 5.000%, 10/01/30 - MBIA Insured 10/12 at 100.00 AAA 908,163
310 Dormitory Authority of the State of New York, State 3/15 at 100.00 AAA 330,038
Personal Income Tax Revenue Bonds, Series 2005F, 5.000%,
3/15/21 - FSA Insured
1,000 Erie County Industrial Development Agency, New York, School 5/12 at 100.00 AAA 1,102,000
Facility Revenue Bonds, Buffalo City School District,
Series 2003, 5.750%, 5/01/19 - FSA Insured
1,100 Erie County Industrial Development Agency, New York, School 5/14 at 100.00 AAA 1,237,544
Facility Revenue Bonds, Buffalo City School District,
Series 2004, 5.750%, 5/01/26 - FSA Insured
5,000 Metropolitan Transportation Authority, New York, Dedicated 11/12 at 100.00 AAA 5,348,650
Tax Fund Bonds, Series 2002A, 5.250%, 11/15/25 - FSA
Insured
Metropolitan Transportation Authority, New York, State
Service Contract Refunding Bonds, Series 2002A:
2,000 5.500%, 1/01/20 - MBIA Insured 7/12 at 100.00 AAA 2,183,380
1,350 5.000%, 7/01/25 - FGIC Insured 7/12 at 100.00 AAA 1,418,904
New York City Sales Tax Asset Receivable Corporation, New
York, Dedicated Revenue Bonds, Local Government Assistance
Corporation, Series 2004A:
1,500 5.000%, 10/15/24 - MBIA Insured 10/14 at 100.00 AAA 1,592,925
1,670 5.000%, 10/15/25 - MBIA Insured 10/14 at 100.00 AAA 1,771,085
1,225 5.000%, 10/15/26 - MBIA Insured 10/14 at 100.00 AAA 1,297,422
4,020 5.000%, 10/15/29 - AMBAC Insured 10/14 at 100.00 AAA 4,232,135
500 5.000%, 10/15/32 - AMBAC Insured 10/14 at 100.00 AAA 524,630
1,700 New York City Transitional Finance Authority, New York, 11/11 at 101.00 AAA 1,765,161
Future Tax Secured Bonds, Fiscal Series 2002B, 5.000%,
5/01/30 - MBIA Insured
New York City Transitional Finance Authority, New York,
Future Tax Secured Bonds, Fiscal Series 2003C:
2,000 5.250%, 8/01/20 - AMBAC Insured 8/12 at 100.00 AAA 2,156,160
1,700 5.250%, 8/01/22 - AMBAC Insured 8/12 at 100.00 AAA 1,823,879
1,330 New York City Transitional Finance Authority, New York, 2/13 at 100.00 AAA 1,424,776
Future Tax Secured Bonds, Fiscal Series 2003E, 5.250%,
2/01/22 - MBIA Insured
3,000 New York City Transitional Finance Authority, New York, 2/13 at 100.00 AAA 3,161,250
Future Tax Secured Refunding Bonds, Fiscal Series 2003D,
5.000%, 2/01/22 - MBIA Insured
New York Convention Center Development Corporation, Hotel
Unit Fee Revenue Bonds, Series 2005:
1,330 5.000%, 11/15/30 - AMBAC Insured 11/15 at 100.00 AAA 1,398,522
3,170 5.000%, 11/15/44 - AMBAC Insured 11/15 at 100.00 AAA 3,300,794
2,000 New York State Local Government Assistance Corporation, No Opt. Call AAA 2,223,400
Revenue Bonds, Series 1993E, 5.250%, 4/01/16 - FSA Insured
New York State Municipal Bond Bank Agency, Buffalo, Special
Program Revenue Bonds, Series 2001A:
1,185 5.250%, 5/15/25 - AMBAC Insured 5/11 at 100.00 AAA 1,251,016
1,250 5.250%, 5/15/26 - AMBAC Insured 5/11 at 100.00 AAA 1,319,638
1,000 New York State Thruway Authority, Highway and Bridge Trust 4/14 at 100.00 AAA 1,055,780
Fund Bonds, Second Generation, Series 2004, 5.000%,
4/01/23 - MBIA Insured
5,385 New York State Thruway Authority, Highway and Bridge Trust No Opt. Call AAA 6,234,215
Fund Bonds, Second Generation, Series 2005B, 5.500%,
4/01/20 - AMBAC Insured
1,500 New York State Thruway Authority, State Personal Income Tax 9/14 at 100.00 AAA 1,586,895
Revenue Bonds, Series 2004A, 5.000%, 3/15/24 - AMBAC
Insured
- ----
39
Portfolio of Investments (Unaudited)
NUVEEN NEW YORK INSURED MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited (continued)
New York State Tobacco Settlement Financing Corporation,
Tobacco Settlement Asset-Backed and State Contingency
Contract-Backed Bonds, Series 2003A-1:
$ 3,900 5.250%, 6/01/20 - AMBAC Insured 6/13 at 100.00 AAA $ 4,196,400
250 5.250%, 6/01/21 - AMBAC Insured 6/13 at 100.00 AAA 268,388
5,400 5.250%, 6/01/22 - AMBAC Insured 6/13 at 100.00 AAA 5,787,234
675 Niagara Falls City School District, Niagara County, New 6/15 at 100.00 AAA 706,469
York, Certificates of Participation, High School Facility,
Series 2005, 5.000%, 6/15/28 - FSA Insured
Puerto Rico Highway and Transportation Authority, Highway
Revenue Refunding Bonds, Series 2002E:
1,525 5.500%, 7/01/14 - FSA Insured No Opt. Call AAA 1,708,458
4,000 5.500%, 7/01/18 - FSA Insured No Opt. Call AAA 4,575,240
- ---------------------------------------------------------------------------------------------------------------------
76,350 Total Tax Obligation/Limited 82,325,499
- ---------------------------------------------------------------------------------------------------------------------
Transportation - 14.0%
2,500 Albany County Airport Authority, New York, Airport Revenue 12/07 at 102.00 AAA 2,597,050
Bonds, Series 1997, 5.500%, 12/15/19 - FSA Insured
(Alternative Minimum Tax)
3,450 Metropolitan Transportation Authority, New York, 11/12 at 100.00 AAA 4,451,949
Transportation Revenue Bonds, DRIVERS Series 267, Series
2002E, 8.799%, 11/15/18 - MBIA Insured (IF)
1,500 Metropolitan Transportation Authority, New York, No Opt. Call AAA 1,639,860
Transportation Revenue Bonds, Series 2003A,
5.000%, 11/15/15 - FGIC Insured
4,250 Metropolitan Transportation Authority, New York, 11/12 at 100.00 AAA 4,661,825
Transportation Revenue Refunding Bonds, Series 2002A,
5.500%, 11/15/18 - AMBAC Insured
2,615 New York State Thruway Authority, General Revenue Bonds, 1/15 at 100.00 AAA 2,744,730
Series 2005F, 5.000%, 1/01/30 - AMBAC Insured
New York State Thruway Authority, General Revenue Bonds,
Series 2005G:
1,000 5.000%, 1/01/30 - FSA Insured 7/15 at 100.00 AAA 1,053,570
3,500 5.000%, 1/01/32 - FSA Insured 7/15 at 100.00 AAA 3,682,210
Niagara Frontier Airport Authority, New York, Airport
Revenue Bonds, Buffalo Niagara International Airport,
Series 1998:
1,000 5.000%, 4/01/18 - FGIC Insured (Alternative Minimum Tax) 4/08 at 101.00 AAA 1,021,230
1,500 5.000%, 4/01/28 - FGIC Insured (Alternative Minimum Tax) 4/08 at 101.00 AAA 1,523,265
3,000 Niagara Frontier Airport Authority, New York, Airport 4/09 at 101.00 AAA 3,157,050
Revenue Bonds, Buffalo Niagara International Airport,
Series 1999A, 5.625%, 4/01/29 - MBIA Insured (Alternative
Minimum Tax)
Port Authority of New York and New Jersey, Consolidated
Revenue Bonds, One Hundred Fortieth Series 2005:
1,000 5.000%, 12/01/19 - FSA Insured 6/15 at 101.00 AAA 1,079,920
2,000 5.000%, 12/01/28 - XLCA Insured 6/15 at 101.00 AAA 2,117,100
1,100 5.000%, 12/01/31 - XLCA Insured 6/15 at 101.00 AAA 1,161,105
2,000 Port Authority of New York and New Jersey, Consolidated 10/07 at 101.00 AAA 2,062,760
Revenue Bonds, One Hundred Twentieth Series 2000, 5.750%,
10/15/26 - MBIA Insured (Alternative Minimum Tax)
3,000 Port Authority of New York and New Jersey, Special Project 12/07 at 100.00 AAA 3,072,600
Bonds, JFK International Air Terminal LLC, Sixth Series
1997, 5.750%, 12/01/25 - MBIA Insured (Alternative Minimum
Tax)
3,535 Triborough Bridge and Tunnel Authority, New York, General 11/13 at 100.00 AAA 4,477,431
Purpose Revenue Bonds, DRIVERS, Series 342, 8.017%,
11/15/20 - AMBAC Insured (IF)
2,500 Triborough Bridge and Tunnel Authority, New York, General 1/12 at 100.00 AAA 2,672,750
Purpose Revenue Bonds, Series 2002A, 5.250%, 1/01/19 -
FGIC Insured
Triborough Bridge and Tunnel Authority, New York,
Subordinate Lien General Purpose Revenue Refunding Bonds,
Series 2002E:
780 5.500%, 11/15/20 - MBIA Insured No Opt. Call AAA 908,115
2,300 5.250%, 11/15/22 - MBIA Insured 11/12 at 100.00 AAA 2,477,422
- ---------------------------------------------------------------------------------------------------------------------
42,530 Total Transportation 46,561,942
- ---------------------------------------------------------------------------------------------------------------------
- ----
40
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- --------------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed - 8.4% (3)
Camden Central School District, Oneida County, New York,
General Obligation Bonds, Series 1991:
$ 600 7.100%, 6/15/09 - AMBAC Insured (ETM) No Opt. Call AAA $ 656,622
275 7.100%, 6/15/10 - AMBAC Insured (ETM) No Opt. Call AAA 309,169
1,000 Dormitory Authority of the State of New York, Insured 7/09 at 101.00 AAA 1,069,340
Revenue Bonds, New Island Hospital, Series 1999A, 5.750%,
7/01/19 (Pre-refunded 7/01/09) - AMBAC Insured
1,500 Dormitory Authority of the State of New York, Revenue 3/13 at 100.00 AAA 1,620,915
Bonds, State Personal Income Tax, Series 2003A, 5.000%,
3/15/32 (Pre-refunded 3/15/13) - FGIC Insured
1,000 Dormitory Authority of the State of New York, Revenue 5/12 at 101.00 AAA 1,080,540
Bonds, State University Educational Facilities, Series
2002A, 5.000%, 5/15/27 (Pre-refunded 5/15/12) - FGIC
Insured
5,280 Dormitory Authority of the State of New York, Revenue 7/10 at 101.00 AAA 4,636,526
Bonds, University of Rochester, Series 2000A, 0.000%,
7/01/25 (Pre-refunded 7/01/10) - MBIA Insured
1,000 Erie County Water Authority, New York, Water Revenue Bonds, No Opt. Call AAA 1,147,750
Series 1990B, 6.750%, 12/01/14 - AMBAC Insured (ETM)
500 Greece Central School District, Monroe County, New York, No Opt. Call AAA 532,975
General Obligation Bonds, School District Bonds, Series
1992, 6.000%, 6/15/09 - FGIC Insured (ETM)
3,040 Metropolitan Transportation Authority, New York, Commuter 7/07 at 102.00 AAA 3,134,301
Facilities Revenue Bonds, Series 1997B, 5.125%, 7/01/24 -
AMBAC Insured (ETM)
3,500 Metropolitan Transportation Authority, New York, Commuter 7/13 at 100.00 AAA 3,791,025
Facilities Revenue Bonds, Series 1997E, 5.000%, 7/01/21
(Pre-refunded 7/01/13) - AMBAC Insured
Metropolitan Transportation Authority, New York, Dedicated
Tax Fund Bonds, Series 1998A:
2,865 4.500%, 4/01/18 (Pre-refunded 10/01/15) - FGIC Insured 10/15 at 100.00 AAA 3,023,406
1,800 4.750%, 4/01/28 (Pre-refunded 10/01/15) - FGIC Insured 10/15 at 100.00 AAA 1,930,986
Metropolitan Transportation Authority, New York, Dedicated
Tax Fund Bonds, Series 1999A:
1,000 5.000%, 4/01/17 (Pre-refunded 10/01/14) - FSA Insured 10/14 at 100.00 AAA 1,091,180
500 5.000%, 4/01/29 (Pre-refunded 10/01/14) - FSA Insured 10/14 at 100.00 AAA 545,590
New York State Thruway Authority, Highway and Bridge Trust
Fund Bonds, Series 2002A:
1,000 5.250%, 4/01/18 (Pre-refunded 4/01/12) - FSA Insured 4/12 at 100.00 AAA 1,083,540
1,000 5.250%, 4/01/19 (Pre-refunded 4/01/12) - FSA Insured 4/12 at 100.00 AAA 1,083,540
1,000 New York State Urban Development Corporation, State 3/13 at 100.00 AAA 1,109,500
Personal Income Tax Revenue Bonds, State Facilities and
Equipment, Series 2002C-1, 5.500%, 3/15/20 (Pre-refunded
3/15/13) - FGIC Insured
- --------------------------------------------------------------------------------------------------------------------------
26,860 Total U.S. Guaranteed 27,846,905
- --------------------------------------------------------------------------------------------------------------------------
Utilities - 5.5%
Long Island Power Authority, New York, Electric System
General Revenue Bonds, Series 1998A:
6,000 0.000%, 12/01/19 - FSA Insured No Opt. Call AAA 3,472,620
2,170 5.125%, 12/01/22 - FSA Insured 6/08 at 101.00 AAA 2,238,420
Long Island Power Authority, New York, Electric System
General Revenue Bonds, Series 2000A:
2,000 0.000%, 6/01/24 - FSA Insured No Opt. Call AAA 941,500
2,000 0.000%, 6/01/25 - FSA Insured No Opt. Call AAA 899,080
Long Island Power Authority, New York, Electric System
General Revenue Bonds, Series 2001A:
1,500 5.000%, 9/01/27 - FSA Insured 9/11 at 100.00 AAA 1,563,225
1,500 5.250%, 9/01/28 - FSA Insured 9/11 at 100.00 AAA 1,588,395
Long Island Power Authority, New York, Electric System
General Revenue Bonds, Series 2006A:
3,300 5.000%, 12/01/23 - FGIC Insured 6/16 at 100.00 AAA 3,518,757
2,900 5.000%, 12/01/25 - FGIC Insured 6/16 at 100.00 AAA 3,085,049
1,000 New York State Energy Research and Development Authority, 3/09 at 102.00 AAA 1,047,730
Electric Facilities Revenue Bonds, Long Island Lighting
Company, Series 1995A, 5.300%, 8/01/25 - MBIA Insured
(Alternative Minimum Tax)
- --------------------------------------------------------------------------------------------------------------------------
22,370 Total Utilities 18,354,776
- --------------------------------------------------------------------------------------------------------------------------
- ----
41
Portfolio of Investments (Unaudited)
NUVEEN NEW YORK INSURED MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- --------------------------------------------------------------------------------------------------------------------
Water and Sewer - 3.5%
$ 405 New York City Municipal Water Finance Authority, New York, 6/10 at 101.00 AAA $ 440,774
Water and Sewerage System Revenue Bonds, Fiscal Series
2000B, 6.000%, 6/15/33 - MBIA Insured
3,000 New York City Municipal Water Finance Authority, New York, 6/11 at 100.00 AAA 3,165,780
Water and Sewerage System Revenue Bonds, Fiscal Series
2002A, 5.250%, 6/15/33 - FGIC Insured
3,340 New York City Municipal Water Finance Authority, New York, 6/15 at 100.00 AAA 3,528,176
Water and Sewerage System Revenue Bonds, Fiscal Series
2005C, 5.000%, 6/15/27 - MBIA Insured
40 New York State Environmental Facilities Corporation, State 9/06 at 100.00 AAA 40,116
Water Pollution Control Revolving Fund Pooled Revenue
Bonds, Series 1990C, 7.200%, 3/15/11 - MBIA Insured
4,000 Suffolk County Water Authority, New York, Waterworks 6/15 at 100.00 AAA 4,218,560
Revenue Bonds, Series 2005C, 5.000%, 6/01/28 - MBIA Insured
- --------------------------------------------------------------------------------------------------------------------
10,785 Total Water and Sewer 11,393,406
- --------------------------------------------------------------------------------------------------------------------
$ 314,365 Total Investments (cost $314,948,640) - 99.5% 330,200,700
- --------------------------------------------------------------------------------------------------------------------
- ------------
Other Assets Less Liabilities - 0.5% 1,800,315
-------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 332,001,015
-------------------------------------------------------------------------------------------------------
Primarily all of the bonds in the Portfolio of Investments are
either covered by Original Issue Insurance, Secondary Market
Insurance or Portfolio Insurance, or are backed by an escrow or
trust containing sufficient U.S. Government or U.S. Government
agency securities, any of which ensure the timely payment of
principal and interest.
(1) Optional Call Provisions: Dates (month and year) and prices of
the earliest optional call or redemption. There may be other
call provisions at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic principal
paydowns.
(2) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below BBB by Standard & Poor's Group or Baa by
Moody's Investor Service, Inc. are considered to be below
investment grade. The ratings shown for inverse floating rate
investments represent those of the underlying bonds and not the
inverse floating rate investments themselves. Inverse floating
rate investments likely present greater credit risk to the
holders of such investments than to those holders of the
underlying bonds.
(3) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which ensure the
timely payment of principal and interest.
(ETM) Escrowed to maturity.
(IF) Inverse floating rate investment.
See accompanying notes to financial statements.
- ----
42
Statement of Assets and Liabilities (Unaudited)
August 31, 2006
Connecticut New Jersey New York
- -------------------------------------------------------------------------------------------------------------------------------
Assets
Investments, at value (cost $268,558,820, $174,951,743, $356,040,110 and
$314,948,640, respectively) $280,369,488 $181,539,996 $372,709,756
Cash -- 2,719,068 1,826,934
Unrealized appreciation on forward swaps -- -- 227,663
Receivables:
Interest 3,329,813 2,214,597 5,081,229
Investments sold 10,468,372 35,000 15,000
Shares sold 257,882 19,595 541,243
Variation margin on futures contracts 11,000 -- --
Other assets 12,332 74 16,987
- -------------------------------------------------------------------------------------------------------------------------------
Total assets 294,448,887 186,528,330 380,418,812
- -------------------------------------------------------------------------------------------------------------------------------
Liabilities
Cash overdraft 2,464,752 -- --
Payables:
Investments purchased 3,000,000 -- --
Shares redeemed 325,755 39,994 329,943
Unrealized depreciation on forward swaps -- -- 104,283
Accrued expenses:
Management fees 128,595 82,557 166,977
12b-1 distribution and service fees 79,545 47,375 78,861
Other 72,068 49,002 78,977
Dividends payable 920,359 571,203 1,260,236
- -------------------------------------------------------------------------------------------------------------------------------
Total liabilities 6,991,074 790,131 2,019,277
- -------------------------------------------------------------------------------------------------------------------------------
Net assets $287,457,813 $185,738,199 $378,399,535
- -------------------------------------------------------------------------------------------------------------------------------
Class A Shares
Net assets $220,013,547 $ 82,630,925 $167,629,243
Shares outstanding 20,701,634 7,684,917 15,494,673
Net asset value per share $ 10.63 $ 10.75 $ 10.82
Offering price per share (net asset value per share plus
maximum sales charge of 4.20% of offering price) $ 11.10 $ 11.22 $ 11.29
- -------------------------------------------------------------------------------------------------------------------------------
Class B Shares
Net assets $ 22,296,480 $ 19,372,923 $ 28,918,234
Shares outstanding 2,099,058 1,801,254 2,672,810
Net asset value and offering price per share $ 10.62 $ 10.76 $ 10.82
- -------------------------------------------------------------------------------------------------------------------------------
Class C Shares
Net assets $ 38,043,412 $ 28,158,787 $ 43,758,918
Shares outstanding 3,582,743 2,627,245 4,041,098
Net asset value and offering price per share $ 10.62 $ 10.72 $ 10.83
- -------------------------------------------------------------------------------------------------------------------------------
Class R Shares
Net assets $ 7,104,374 $ 55,575,564 $138,093,140
Shares outstanding 665,578 5,157,618 12,736,113
Net asset value and offering price per share $ 10.67 $ 10.78 $ 10.84
- -------------------------------------------------------------------------------------------------------------------------------
Net Assets Consist of:
- -------------------------------------------------------------------------------------------------------------------------------
Capital paid-in $275,267,965 $179,119,811 $361,212,597
Undistributed (Over-distribution of) net investment income (127,074) (156,197) 53,925
Accumulated net realized gain (loss) from investments and derivative transactions 484,600 186,332 339,987
Net unrealized appreciation (depreciation) of investments and derivative transactions 11,832,322 6,588,253 16,793,026
- -------------------------------------------------------------------------------------------------------------------------------
Net assets $287,457,813 $185,738,199 $378,399,535
- -------------------------------------------------------------------------------------------------------------------------------
New York
Insured
- ---------------------------------------------------------------------------------------------------
Assets
Investments, at value (cost $268,558,820, $174,951,743, $356,040,110 and
$314,948,640, respectively) $330,200,700
Cash 1,081,369
Unrealized appreciation on forward swaps --
Receivables:
Interest 3,747,077
Investments sold 10,000
Shares sold 102,566
Variation margin on futures contracts --
Other assets 30,064
- ---------------------------------------------------------------------------------------------------
Total assets 335,171,776
- ---------------------------------------------------------------------------------------------------
Liabilities
Cash overdraft --
Payables:
Investments purchased 1,518,516
Shares redeemed 269,863
Unrealized depreciation on forward swaps --
Accrued expenses:
Management fees 147,746
12b-1 distribution and service fees 36,849
Other 109,018
Dividends payable 1,088,769
- ---------------------------------------------------------------------------------------------------
Total liabilities 3,170,761
- ---------------------------------------------------------------------------------------------------
Net assets $332,001,015
- ---------------------------------------------------------------------------------------------------
Class A Shares
Net assets $ 89,294,552
Shares outstanding 8,612,817
Net asset value per share $ 10.37
Offering price per share (net asset value per share plus
maximum sales charge of 4.20% of offering price) $ 10.82
- ---------------------------------------------------------------------------------------------------
Class B Shares
Net assets $ 15,284,944
Shares outstanding 1,470,447
Net asset value and offering price per share $ 10.39
- ---------------------------------------------------------------------------------------------------
Class C Shares
Net assets $ 14,892,202
Shares outstanding 1,435,841
Net asset value and offering price per share $ 10.37
- ---------------------------------------------------------------------------------------------------
Class R Shares
Net assets $212,529,317
Shares outstanding 20,434,188
Net asset value and offering price per share $ 10.40
- ---------------------------------------------------------------------------------------------------
Net Assets Consist of:
- ---------------------------------------------------------------------------------------------------
Capital paid-in $316,069,546
Undistributed (Over-distribution of) net investment income (420,182)
Accumulated net realized gain (loss) from investments and derivative transactions 1,099,591
Net unrealized appreciation (depreciation) of investments and derivative transactions 15,252,060
- ---------------------------------------------------------------------------------------------------
Net assets $332,001,015
- ---------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
- ----
43
Statement of Operations (Unaudited)
Six Months Ended August 31, 2006
New York
Connecticut New Jersey New York Insured
- -----------------------------------------------------------------------------------------------------------
Investment Income $ 7,048,896 $4,197,311 $ 9,345,288 $ 7,956,678
- -----------------------------------------------------------------------------------------------------------
Expenses
Management fees 767,350 471,851 976,916 887,363
12b-1 service fees - Class A 222,629 80,445 161,721 89,264
12b-1 distribution and service fees - Class B 110,695 97,227 143,279 76,584
12b-1 distribution and service fees - Class C 143,778 104,837 160,172 57,222
Shareholders' servicing agent fees and expenses 69,253 62,546 106,270 102,467
Custodian's fees and expenses 41,835 28,514 49,020 60,596
Trustees' fees and expenses 3,404 2,075 4,294 4,076
Professional fees 10,453 7,817 12,091 11,346
Shareholders' reports - printing and mailing expenses 15,574 14,176 26,081 25,347
Federal and state registration fees 2,178 1,568 2,226 1,915
Other expenses 4,876 2,938 5,956 5,824
- -----------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit 1,392,025 873,994 1,648,026 1,322,004
Custodian fee credit (20,624) (16,053) (26,370) (13,636)
- -----------------------------------------------------------------------------------------------------------
Net expenses 1,371,401 857,941 1,621,656 1,308,368
- -----------------------------------------------------------------------------------------------------------
Net investment income 5,677,495 3,339,370 7,723,632 6,648,310
- -----------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from:
Investments 159,983 55,458 451,247 856,755
Futures 114,546 -- -- --
Net change in unrealized appreciation (depreciation) of:
Investments (1,152,208) (459,073) (1,355,445) (2,542,629)
Futures 21,654 -- -- --
Forward swaps -- -- 123,380 --
- -----------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (856,025) (403,615) (780,818) (1,685,874)
- -----------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 4,821,470 $2,935,755 $ 6,942,814 $ 4,962,436
- -----------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
- ----
44
Statement of Changes in Net Assets (Unaudited)
Connecticut
------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
- ---------------------------------------------------------------------------------------------------
Operations
Net investment income $ 5,677,495 $ 11,575,660
Net realized gain (loss) from:
Investments 159,983 1,247,488
Futures 114,546 --
Net change in unrealized appreciation (depreciation) of:
Investments (1,152,208) (3,036,564)
Futures 21,654 --
Forward swaps -- --
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 4,821,470 9,786,584
- ---------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income:
Class A (4,422,677) (9,296,715)
Class B (374,939) (920,681)
Class C (653,357) (1,317,991)
Class R (112,499) (170,372)
From accumulated net realized gains:
Class A -- (952,239)
Class B -- (111,320)
Class C -- (159,382)
Class R -- (16,403)
- ---------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (5,563,472) (12,945,103)
- ---------------------------------------------------------------------------------------------------
Fund Share Transactions
Proceeds from sale of shares 17,399,283 39,096,312
Proceeds from shares issued to shareholders due
to reinvestment of distributions 2,596,997 6,192,479
- ---------------------------------------------------------------------------------------------------
19,996,280 45,288,791
Cost of shares redeemed (25,028,243) (39,380,724)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from Fund share transactions (5,031,963) 5,908,067
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (5,773,965) 2,749,548
Net assets at the beginning of period 293,231,778 290,482,230
- ---------------------------------------------------------------------------------------------------
Net assets at the end of period $287,457,813 $293,231,778
- ---------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of) net investment income
at the end of period $ (127,074) $ (241,097)
- ---------------------------------------------------------------------------------------------------
New Jersey
------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
- --------------------------------------------------------------------------------------------------
Operations
Net investment income $ 3,339,370 $ 6,580,926
Net realized gain (loss) from:
Investments 55,458 993,770
Futures -- --
Net change in unrealized appreciation (depreciation) of:
Investments (459,073) (1,257,781)
Futures -- --
Forward swaps -- --
- --------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 2,935,755 6,316,915
- --------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income:
Class A (1,551,604) (3,110,306)
Class B (316,409) (779,810)
Class C (463,813) (995,575)
Class R (956,808) (1,843,737)
From accumulated net realized gains:
Class A -- (304,927)
Class B -- (91,015)
Class C -- (112,120)
Class R -- (172,072)
- --------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (3,288,634) (7,409,562)
- --------------------------------------------------------------------------------------------------
Fund Share Transactions
Proceeds from sale of shares 23,784,774 20,901,410
Proceeds from shares issued to shareholders due
to reinvestment of distributions 2,161,848 4,942,099
- --------------------------------------------------------------------------------------------------
25,946,622 25,843,509
Cost of shares redeemed (13,295,526) (21,648,832)
- --------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from Fund share transactions 12,651,096 4,194,677
- --------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets 12,298,217 3,102,030
Net assets at the beginning of period 173,439,982 170,337,952
- --------------------------------------------------------------------------------------------------
Net assets at the end of period $185,738,199 $173,439,982
- --------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of) net investment income
at the end of period $ (156,197) $ (206,933)
- --------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
- ----
45
Statement of Changes in Net Assets (Unaudited) (continued)
New York
------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
- ---------------------------------------------------------------------------------------------------
Operations
Net investment income $ 7,723,632 $ 15,209,663
Net realized gain (loss) from:
Investments 451,247 1,089,825
Futures -- --
Net change in unrealized appreciation (depreciation) of:
Investments (1,355,445) (3,184,362)
Futures -- --
Forward swaps 123,380 --
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 6,942,814 13,115,126
- ---------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income:
Class A (3,279,202) (6,118,767)
Class B (504,319) (1,171,945)
Class C (759,614) (1,471,337)
Class R (2,923,990) (6,132,335)
From accumulated net realized gains:
Class A -- (682,503)
Class B -- (141,611)
Class C -- (182,111)
Class R -- (598,382)
- ---------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (7,467,125) (16,498,991)
- ---------------------------------------------------------------------------------------------------
Fund Share Transactions
Proceeds from sale of shares 33,959,616 75,327,447
Proceeds from shares issued to shareholders due
to reinvestment of distributions 4,633,762 10,204,134
- ---------------------------------------------------------------------------------------------------
38,593,378 85,531,581
Cost of shares redeemed (31,850,295) (50,779,649)
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from Fund share transactions 6,743,083 34,751,932
- ---------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets 6,218,772 31,368,067
Net assets at the beginning of period 372,180,763 340,812,696
- ---------------------------------------------------------------------------------------------------
Net assets at the end of period $378,399,535 $372,180,763
- ---------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of) net investment income
at the end of period $ 53,925 $ (202,582)
- ---------------------------------------------------------------------------------------------------
New York Insured
------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
- --------------------------------------------------------------------------------------------------
Operations
Net investment income $ 6,648,310 $ 14,242,478
Net realized gain (loss) from:
Investments 856,755 5,221,469
Futures -- --
Net change in unrealized appreciation (depreciation) of:
Investments (2,542,629) (8,016,282)
Futures -- --
Forward swaps -- --
- --------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 4,962,436 11,447,665
- --------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income:
Class A (1,740,186) (3,556,051)
Class B (252,371) (658,569)
Class C (252,852) (561,351)
Class R (4,380,388) (9,428,193)
From accumulated net realized gains:
Class A -- (1,839,205)
Class B -- (386,140)
Class C -- (338,544)
Class R -- (4,521,407)
- --------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (6,625,797) (21,289,460)
- --------------------------------------------------------------------------------------------------
Fund Share Transactions
Proceeds from sale of shares 7,445,645 20,956,907
Proceeds from shares issued to shareholders due
to reinvestment of distributions 4,751,563 15,722,214
- --------------------------------------------------------------------------------------------------
12,197,208 36,679,121
Cost of shares redeemed (23,776,097) (46,634,914)
- --------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from Fund share transactions (11,578,889) (9,955,793)
- --------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (13,242,250) (19,797,588)
Net assets at the beginning of period 345,243,265 365,040,853
- --------------------------------------------------------------------------------------------------
Net assets at the end of period $332,001,015 $345,243,265
- --------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of) net investment income
at the end of period $ (420,182) $ (442,695)
- --------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
- ----
46
Notes to Financial Statements (Unaudited)
1. General Information and Significant Accounting Policies
The Nuveen Multistate Trust II (the "Trust") is an open-end investment company
registered under the Investment Company Act of 1940, as amended. The Trust is
comprised of Nuveen Connecticut Municipal Bond Fund ("Connecticut"), Nuveen New
Jersey Municipal Bond Fund ("New Jersey"), Nuveen New York Municipal Bond Fund
("New York") and Nuveen New York Insured Municipal Bond Fund ("New York
Insured") (collectively, the "Funds"), among others. The Trust was organized as
a Massachusetts business trust on July 1, 1996. The Funds were each organized
as a series of predecessor trusts or corporations prior to that date.
The Funds seek to provide tax-free income and preservation of capital through
investments in diversified portfolios of municipal bonds.
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements in accordance with
accounting principles generally accepted in the United States.
Investment Valuation
The prices of municipal bonds in each Fund's investment portfolio are provided
by a pricing service approved by the Fund's Board of Trustees. When market
price quotes are not readily available (which is usually the case for municipal
securities), the pricing service establishes fair value based on yields or
prices of municipal bonds of comparable quality, type of issue, coupon,
maturity and rating, indications of value from securities dealers, evaluations
of anticipated cash flows or collateral and general market conditions. Prices
of forward swap contacts are also provided by an independent pricing service
approved by each Fund's Board of Trustees. Futures contracts are valued using
the closing settlement price, or, in the absence or such a price, at the mean
of the bid and asked prices. If the pricing service is unable to supply a price
for a municipal bond, futures contact or forward swap contact, each Fund may
use a market price or fair market value quote provided by a major broker/dealer
in such investments. If it is determined that the market price or fair market
value for an investment is unavailable or inappropriate, the Board of Trustees
of the Funds, or its designee, may establish a fair value for the investment.
Temporary investments in securities that have variable rate and demand features
qualifying them as short-term investments are valued at amortized cost, which
approximates market value.
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and
losses from transactions are determined on the specific identification method.
Investments purchased on a when-issued or delayed delivery basis may have
extended settlement periods. Any investments so purchased are subject to market
fluctuation during this period. The Funds have instructed the custodian to
segregate assets with a current value at least equal to the amount of the
when-issued/delayed delivery purchase commitments. At August 31, 2006,
Connecticut had outstanding when-issued/delayed delivery purchase commitments
of $3,000,000. There were no such outstanding purchase commitments in any of
the other Funds.
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
Investment income also includes paydown gains and losses, if any.
Dividends and Distributions to Shareholders
Tax-exempt net investment income is declared monthly as a dividend. Generally,
payment is made or reinvestment is credited to shareholder accounts on the
first business day after month-end. Net realized capital gains and/or market
discount from investment transactions, if any, are distributed to shareholders
not less frequently than annually. Furthermore, capital gains are distributed
only to the extent they exceed available capital loss carryforwards.
Distributions to shareholders of tax-exempt net investment income, net realized
capital gains and/or market discount, if any, are recorded on the ex-dividend
date. The amount and timing of distributions are determined in accordance with
federal income tax regulations, which may differ from accounting principles
generally accepted in the United States.
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. Furthermore,
each Fund intends to satisfy conditions which will enable interest from
municipal securities, which is exempt from regular federal and designated state
income taxes, to retain such tax-exempt status when distributed to shareholders
of the Funds. Net realized capital gains and ordinary income distributions paid
by the Funds are subject to federal taxation.
Insurance
New York Insured invests primarily in municipal securities which are either
covered by insurance or backed by an escrow or trust account containing
sufficient U.S. Government or U.S. Government agency securities, both of which
ensure the timely payment of principal and interest. Each insured municipal
security is covered by Original Issue Insurance, Secondary Market Insurance or
Portfolio Insurance. Such insurance does not guarantee the market value of the
municipal securities or the value of the Fund's shares. Original Issue
Insurance and Secondary Market Insurance remain in effect as long as the
municipal securities covered thereby remain outstanding and the insurer remains
in business, regardless of whether the Fund ultimately disposes of such
municipal securities. Consequently, the market value of the municipal
securities covered by Original Issue Insurance or Secondary
- ----
47
Notes to Financial Statements (Unaudited) (continued)
Market Insurance may reflect value attributable to the insurance. Portfolio
Insurance, in contrast, is effective only while the municipal securities are
held by the Fund. Accordingly, neither the prices used in determining the
market value of the underlying municipal securities nor the net asset value of
the Fund's shares include value, if any, attributable to the Portfolio
Insurance. Each policy of the Portfolio Insurance does, however, give the Fund
the right to obtain permanent insurance with respect to the municipal security
covered by the Portfolio Insurance policy at the time of its sale.
Flexible Sales Charge Program
Each Fund offers Class A, B, C and R Shares. Class A Shares are generally sold
with an up-front sales charge and incur a .20% annual 12b-1 service fee. Class
A Share purchases of $1 million or more are sold at net asset value without an
up-front sales charge but may be subject to a contingent deferred sales charge
("CDSC") if redeemed within 18 months of purchase. Class B Shares are sold
without an up-front sales charge but incur a .75% annual 12b-1 distribution fee
and a .20% annual 12b-1 service fee. An investor purchasing Class B Shares
agrees to pay a CDSC of up to 5% depending upon the length of time the shares
are held by the investor (CDSC is reduced to 0% at the end of six years). Class
B Shares convert to Class A Shares eight years after purchase. Class C Shares
are sold without an up-front sales charge but incur a .55% annual 12b-1
distribution fee and a .20% annual 12b-1 service fee. An investor purchasing
Class C Shares agrees to pay a CDSC of 1% if Class C Shares are redeemed within
one year of purchase. Class R Shares are not subject to any sales charge or
12b-1 distribution or service fees. Class R Shares are available only under
limited circumstances.
Inverse Floating Rate Securities
The Funds are authorized to invest in inverse floating rate securities. During
the six months ended August 31, 2006, each Fund invested in inverse floating
rate securities for the purpose of enhancing portfolio yield. Inverse floating
rate securities are identified in the Portfolio of Investments and are valued
daily. The interest rate of an inverse floating rate security has an inverse
relationship to the interest rate of a short-term floating rate security.
Consequently, as the interest rate of the floating rate security rises, the
interest rate on the inverse floating rate security declines. Conversely, as
the interest rate of the floating rate security declines, the interest rate on
the inverse floating rate security rises. The price of an inverse floating rate
security will be more volatile than that of an otherwise comparable fixed rate
security since the interest rate is dependent on an underlying fixed coupon
rate or the general level of long-term interest rates as well as the short-term
interest paid on the floating rate security, and because the inverse floating
rate security typically bears the risk of loss of a greater face value of an
underlying bond.
Forward Swap Transactions
The Funds are authorized to invest in forward swap transactions. The Funds' use
of forward interest rate swap transactions is intended to mitigate the negative
impact that an increase in long-term interest rates could have on Common share
net asset value. Forward interest rate swap transactions involve each Fund's
agreement with the counterparty to pay, in the future, a fixed rate payment in
exchange for the counterparty paying the Fund a variable rate payment, the
accruals for which would begin at a specified date in the future (the
"effective date"). The amount of the payment obligation is based on the
notional amount of the forward swap contract, and would increase or decrease in
value based primarily on the extent to which long-term interest rates for bonds
having a maturity of the swap's termination date were to increase or decrease.
The Funds may close out a contract prior to the effective date, at which point
a realized gain or loss would be recognized. When a forward swap is terminated,
it ordinarily does not involve the delivery of securities or other underlying
assets or principal, but rather is settled in cash on a net basis. Each Fund
intends, but is not obligated to, terminate its forward swaps before the
effective date. Accordingly, the risk of loss with respect to the swap
counterparty on such transactions is limited to the credit risk associated with
a counterparty failing to honor its commitment to pay any realized gain to the
Fund upon termination. To minimize such credit risk, all counterparties are
required to pledge collateral daily (based on the daily valuation of each swap)
on behalf of each Fund with a value approximately equal to the amount of any
unrealized gain above a pre-determined threshold. Reciprocally, when any of the
Funds have an unrealized loss on a swap contract, the Funds have instructed the
custodian to pledge assets of the Funds as collateral with a value
approximately equal to the amount of the unrealized loss above a pre-determined
threshold. Collateral pledges are monitored and subsequently adjusted if and
when the swap valuations fluctuate, either up or down, by at least the
pre-determined threshold amount.
Futures Contracts
The Funds are authorized to invest in futures contracts for the purposes of
hedging against changes in values of the Fund's securities or changes in the
prevailing levels of interest rates, as a substitute for a position in the
underlying asset, or to enhance the portfolio's return. Upon entering into a
futures contract, a Fund is required to deposit with the broker an amount of
cash or liquid securities equal to a specified percentage of the contract
amount. This is known as the "initial margin." Subsequent payments ("variation
margin") are made or received by a Fund each day, depending on the daily
fluctuation of the value of the contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as an unrealized gain or loss by "marking-to-market" on
a daily basis to reflect the changes in market value of the contract. When the
contract is closed, a Fund records realized gains or losses equal to the
difference between the value of the contract on the closing date and value of
the contract when originally entered into.
Risks of investments in futures contracts include the possible adverse movement
of the value of the securities or indices underlying the contracts, the
possibility that there may not be a liquid secondary market for the contracts
and/or that a change in the value of the contract may not correlate with a
change in the value of the underlying securities or indices.
- ----
48
Expense Allocation
Expenses of the Funds that are not directly attributable to a specific class of
shares are prorated among the classes based on the relative net assets of each
class. Expenses directly attributable to a class of shares, which presently
only include 12b-1 distribution and service fees, are recorded to the specific
class.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on each Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Indemnifications
Under the Trust's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, in the normal course of business, the Trust
enters into contracts that provide general indemnifications to other parties.
The Trust's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Trust that have not yet
occurred. However, the Trust has not had prior claims or losses pursuant to
these contracts and expects the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results may differ from those estimates.
2. Fund Shares
Transactions in Fund shares were as follows:
Connecticut
--------------------------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
------------------------ ------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------
Shares sold:
Class A 944,849 $ 9,923,120 2,549,248 $ 27,263,869
Class A - automatic conversion of Class B shares 49,359 518,663 134,925 1,439,889
Class B 15,313 160,985 86,755 928,843
Class C 349,833 3,673,326 808,108 8,644,116
Class R 296,387 3,123,189 76,701 819,595
Shares issued to shareholders due to reinvestment
of distributions:
Class A 200,632 2,107,668 452,262 4,837,542
Class B 14,866 156,185 44,892 479,856
Class C 26,029 273,222 69,026 737,570
Class R 5,678 59,922 12,796 137,511
- -------------------------------------------------------------------------------------------------------
1,902,946 19,996,280 4,234,713 45,288,791
- -------------------------------------------------------------------------------------------------------
Shares redeemed:
Class A (1,688,630) (17,729,724) (2,502,066) (26,770,201)
Class B (212,562) (2,232,680) (415,266) (4,457,237)
Class B - automatic conversion to Class A shares (49,363) (518,663) (135,027) (1,439,889)
Class C (385,101) (4,040,891) (609,173) (6,532,684)
Class R (48,004) (506,285) (16,799) (180,713)
- -------------------------------------------------------------------------------------------------------
(2,383,660) (25,028,243) (3,678,331) (39,380,724)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) (480,714) $ (5,031,963) 556,382 $ 5,908,067
- -------------------------------------------------------------------------------------------------------
- ----
49
Notes to Financial Statements (Unaudited) (continued)
New Jersey
--------------------------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
------------------------ ------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------
Shares sold:
Class A 527,715 $ 5,618,459 1,228,892 $ 13,284,672
Class A - automatic conversion of Class B shares 123,205 1,311,650 60,505 652,157
Class B 50,196 532,719 132,675 1,433,556
Class C 251,479 2,665,387 376,697 4,067,021
Class R 1,280,965 13,656,559 135,186 1,464,004
Shares issued to shareholders due to reinvestment
of distributions:
Class A 100,543 1,069,126 215,368 2,327,346
Class B 14,503 154,288 37,635 406,583
Class C 24,208 256,628 58,925 634,608
Class R 63,997 681,806 145,359 1,573,562
- -------------------------------------------------------------------------------------------------------
2,436,811 25,946,622 2,391,242 25,843,509
- -------------------------------------------------------------------------------------------------------
Shares redeemed:
Class A (486,507) (5,176,608) (874,893) (9,452,095)
Class B (171,725) (1,824,492) (407,491) (4,414,494)
Class B - automatic conversion to Class A shares (123,170) (1,311,650) (60,522) (652,157)
Class C (259,741) (2,753,768) (404,574) (4,346,270)
Class R (209,581) (2,229,008) (257,453) (2,783,816)
- -------------------------------------------------------------------------------------------------------
(1,250,724) (13,295,526) (2,004,933) (21,648,832)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) 1,186,087 $ 12,651,096 386,309 $ 4,194,677
- -------------------------------------------------------------------------------------------------------
New York
--------------------------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
------------------------ ------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------
Shares sold:
Class A 2,118,228 $ 22,633,306 5,163,385 $ 56,242,414
Class A - automatic conversion of Class B shares 44,642 477,239 130,933 1,426,562
Class B 49,971 535,887 181,158 1,976,125
Class C 508,649 5,450,750 1,117,431 12,189,236
Class R 454,763 4,862,434 321,412 3,493,110
Shares issued to shareholders due to reinvestment
of distributions:
Class A 174,783 1,869,262 333,178 3,624,052
Class B 23,539 251,812 59,679 649,497
Class C 33,346 357,093 71,575 779,324
Class R 201,052 2,155,595 472,207 5,151,261
- -------------------------------------------------------------------------------------------------------
3,608,973 38,593,378 7,850,958 85,531,581
- -------------------------------------------------------------------------------------------------------
Shares redeemed:
Class A (1,603,918) (17,135,845) (2,528,987) (27,413,343)
Class B (273,487) (2,924,024) (495,117) (5,379,765)
Class B - automatic conversion to Class A shares (44,642) (477,239) (130,881) (1,426,562)
Class C (458,515) (4,917,101) (630,446) (6,862,227)
Class R (596,503) (6,396,086) (888,519) (9,697,752)
- -------------------------------------------------------------------------------------------------------
(2,977,065) (31,850,295) (4,673,950) (50,779,649)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) 631,908 $ 6,743,083 3,177,008 $ 34,751,932
- -------------------------------------------------------------------------------------------------------
- ----
50
New York Insured
--------------------------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
------------------------ ------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------
Shares sold:
Class A 526,707 $ 5,393,822 1,487,684 $ 15,752,201
Class A - automatic conversion of Class B shares 92,587 949,451 79,821 845,238
Class B 30,733 315,960 53,220 568,329
Class C 24,132 247,803 195,865 2,079,438
Class R 52,242 538,609 162,226 1,711,701
Shares issued to shareholders due to reinvestment
of distributions:
Class A 116,348 1,193,323 360,235 3,779,085
Class B 13,899 142,934 57,619 606,171
Class C 11,893 122,029 38,885 407,945
Class R 320,152 3,293,277 1,037,844 10,929,013
- -------------------------------------------------------------------------------------------------------
1,188,693 12,197,208 3,473,399 36,679,121
- -------------------------------------------------------------------------------------------------------
Shares redeemed:
Class A (832,184) (8,523,781) (1,343,190) (14,168,603)
Class B (193,297) (1,995,835) (451,629) (4,758,492)
Class B - automatic conversion to Class A shares (92,391) (949,451) (79,631) (845,238)
Class C (115,275) (1,183,140) (350,635) (3,690,757)
Class R (1,083,239) (11,123,890) (2,185,326) (23,171,824)
- -------------------------------------------------------------------------------------------------------
(2,316,386) (23,776,097) (4,410,411) (46,634,914)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) (1,127,693) $(11,578,889) (937,012) $ (9,955,793)
- -------------------------------------------------------------------------------------------------------
3. Investment Transactions
Purchases and sales (including maturities but excluding short-term investments,
futures and forward transactions) during the six months ended August 31, 2006,
were as follows:
New York
Connecticut New Jersey New York Insured
--------------------------------------------------------------------
Purchases $23,216,263 $16,401,169 $25,782,298 $12,152,254
Sales and maturities 34,148,787 7,875,700 18,231,415 19,961,338
--------------------------------------------------------------------
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 the treatment of paydown gains and losses, timing differences
in recognizing taxable market discount and timing differences in recognizing
certain gains and losses on investment transactions. To the extent that
differences arise that are permanent in nature, such amounts are reclassified
within the capital accounts on the Statement of Assets and Liabilities, based
on their Federal tax basis treatment and have no impact on the net asset value
of the Funds. Temporary differences do not require reclassification.
At August 31, 2006, the cost of investments was as follows:
New York
Connecticut New Jersey New York Insured
-----------------------------------------------------------------------
Cost of investments $268,442,407 $174,909,199 $355,745,206 $314,887,095
-----------------------------------------------------------------------
Gross unrealized appreciation and gross unrealized depreciation of investments
at August 31, 2006, were as follows:
New York
Connecticut New Jersey New York Insured
- ------------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $12,087,330 $6,835,850 $17,265,604 $15,487,175
Depreciation (160,249) (205,053) (301,054) (173,570)
- ------------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of
investments $11,927,081 $6,630,797 $16,964,550 $15,313,605
- ------------------------------------------------------------------------------------------------
- ----
51
Notes to Financial Statements (Unaudited) (continued)
The tax components of undistributed net tax-exempt income, net ordinary income
and net long-term capital gains at February 28, 2006, the Funds' last tax year
end, were as follows:
New York
Connecticut New Jersey New York Insured
- ----------------------------------------------------------------------------------
Undistributed net tax-exempt income* $489,939 $287,331 $715,872 $597,699
Undistributed net ordinary income** 24,906 -- -- --
Undistributed net long-term capital gains 210,071 130,874 -- 242,836
- ----------------------------------------------------------------------------------
* Undistributed net tax-exempt income (on a tax basis) has not been reduced
for the dividend declared on February 9, 2006, paid on March 1, 2006.
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
The tax character of distributions paid during the Funds' last tax year ended
February 28, 2006, was designated for purposes of the dividends paid deduction
as follows:
New York
Connecticut New Jersey New York Insured
- ---------------------------------------------------------------------------------------------
Distributions from net tax-exempt income $11,733,636 $6,771,459 $14,912,226 $14,294,437
Distributions from net ordinary income** 23,781 -- 4,229 3,415
Distributions from net long-term capital gains 1,239,344 680,134 1,599,471 7,085,296
- ---------------------------------------------------------------------------------------------
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
New York elected to defer net realized losses from investments incurred from
November 1, 2005 through February 28, 2006 ("post-October losses") in
accordance with Federal income tax regulations. Post-October losses of $87,929
were treated as having arisen on the first day of the current fiscal year.
5. Management Fee and Other Transactions with Affiliates
Each Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by Nuveen
Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen
Investments, Inc. ("Nuveen"), and a specific fund-level component, based only
on the amount of assets within each individual fund. This pricing structure
enables Nuveen fund shareholders to benefit from growth in the assets within
each individual fund as well as from growth in the amount of complex-wide
assets managed by the Adviser.
The annual fund-level fee, payable monthly, for each Fund is based upon the
average daily net assets of each Fund as follows:
Average Daily Net Assets Fund-Level Fee Rate
---------------------------------------------------
For the first $125 million .3500%
For the next $125 million .3375
For the next $250 million .3250
For the next $500 million .3125
For the next $1 billion .3000
For the next $3 billion .2750
For net assets over $5 billion .2500
---------------------------------------------------
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 August 31, 2006, the complex-level fee rate was .1863%.
Complex-Level Assets/(1)/ Complex-Level Fee Rate
----------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion/(2)/ .1400
----------------------------------------------------------------
(1)The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds in
the U.S.
(2)With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level fee
rate for such complex-wide Managed Assets shall be .1400% until such time as
a different rate or rates is determined.
- ----
52
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Trust pays no
compensation directly to those of its Trustees who are affiliated with the
Adviser or to its Officers, all of whom receive remuneration for their services
to the Trust from the Adviser or its affiliates. The Board of Trustees has
adopted a deferred compensation plan for independent Trustees that enables
Trustees to elect to defer receipt of all or a portion of the annual
compensation they are entitled to receive from certain Nuveen advised Funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised Funds.
The Adviser has agreed to waive part of its management fees or reimburse
certain expenses of New York and New York Insured in order to limit total
expenses (excluding 12b-1 distribution and service fees and extraordinary
expenses) from exceeding .75% of the average daily net assets of New York and
..975% of the average daily net assets of New York Insured. The Adviser may also
voluntarily reimburse additional expenses from time to time in any of the
Funds. Voluntary reimbursements may be terminated at any time at the Adviser's
discretion.
During the six months ended August 31, 2006, Nuveen Investments, LLC (the
"Distributor"), a wholly owned subsidiary of Nuveen, collected sales charges on
purchases of Class A Shares, the majority of which were paid out as concessions
to authorized dealers as follows:
New York
Connecticut New Jersey New York Insured
- -------------------------------------------------------------------------------------------
Sales charges collected $145,772 $56,197 $132,669 $73,560
Paid to authorized dealers 124,229 47,928 119,099 64,296
- -------------------------------------------------------------------------------------------
The Distributor also received 12b-1 service fees on Class A Shares,
substantially all of which were paid to compensate authorized dealers for
providing services to shareholders relating to their investments.
During the six months ended August 31, 2006, the Distributor compensated
authorized dealers directly with commission advances at the time of purchase as
follows:
New York
Connecticut New Jersey New York Insured
- -------------------------------------------------------------------------------------------
Commission advances $42,935 $43,702 $110,490 $29,683
- -------------------------------------------------------------------------------------------
To compensate for commissions advanced to authorized dealers, all 12b-1 service
fees collected on Class B Shares during the first year following a purchase,
all 12b-1 distribution fees collected on Class B Shares, and all 12b-1 service
and distribution fees collected on Class C Shares during the first year
following a purchase are retained by the Distributor. During the six months
ended August 31, 2006, the Distributor retained such 12b-1 fees as follows:
New York
Connecticut New Jersey New York Insured
- -------------------------------------------------------------------------------------------
12b-1 fees retained $123,703 $98,391 $158,260 $67,858
- -------------------------------------------------------------------------------------------
The remaining 12b-1 fees charged to the Funds were paid to compensate
authorized dealers for providing services to shareholders relating to their
investments.
The Distributor also collected and retained CDSC on share redemptions during
the six months ended August 31, 2006, as follows:
New York
Connecticut New Jersey New York Insured
- -------------------------------------------------------------------------------------------
CDSC retained $36,269 $30,009 $44,418 $26,546
- -------------------------------------------------------------------------------------------
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 does not expect the
adoption of FIN 48 will have a significant impact on the net assets or results
of operations of the Funds.
- ----
53
Notes to Financial Statements (Unaudited) (continued)
7. Subsequent Event
Distributions to Shareholders
The Funds declared dividend distributions from their tax-exempt net investment
income which were paid on October 2, 2006, to shareholders of record on
September 8, 2006, as follows:
New York
Connecticut New Jersey New York Insured
------------------------------------------------------------
Dividend per share:
Class A $.0350 $.0345 $.0365 $.0335
Class B .0285 .0275 .0300 .0270
Class C .0300 .0295 .0320 .0285
Class R .0370 .0360 .0385 .0350
------------------------------------------------------------
- ----
54
Financial Highlights (Unaudited)
Selected data for a share outstanding throughout each period:
Class (Commencement Date)
Investment Operations Less Distributions
--------------------------- -----------------------
CONNECTICUT
Net
Beginning Net Realized/ Net Ending
Net Invest- Unrealized Invest- Net
Asset ment Gain ment Capital Asset Total
Year Ended February 28/29, Value Income(a) (Loss) Total Income Gains Total Value Return(b)
- ---------------------------------------------------------------------------------------------------------------------
Class A (7/87)
2007(e) $10.65 $.21 $(.02) $.19 $(.21) $ -- $(.21) $10.63 1.82%
2006 10.77 .44 (.06) .38 (.45) (.05) (.50) 10.65 3.55
2005 10.99 .48 (.18) .30 (.48) (.04) (.52) 10.77 2.89
2004 10.88 .50 .15 .65 (.50) (.04) (.54) 10.99 6.21
2003 10.67 .52 .26 .78 (.53) (.04) (.57) 10.88 7.51
2002 10.51 .53 .16 .69 (.53) -- (.53) 10.67 6.66
Class B (2/97)
2007(e) 10.65 .17 (.03) .14 (.17) -- (.17) 10.62 1.34
2006 10.76 .36 (.06) .30 (.36) (.05) (.41) 10.65 2.84
2005 10.98 .40 (.18) .22 (.40) (.04) (.44) 10.76 2.09
2004 10.87 .42 .15 .57 (.42) (.04) (.46) 10.98 5.40
2003 10.65 .43 .27 .70 (.44) (.04) (.48) 10.87 6.78
2002 10.49 .45 .15 .60 (.44) -- (.44) 10.65 5.84
Class C (10/93)
2007(e) 10.64 .19 (.03) .16 (.18) -- (.18) 10.62 1.54
2006 10.76 .38 (.06) .32 (.39) (.05) (.44) 10.64 2.98
2005 10.98 .42 (.18) .24 (.42) (.04) (.46) 10.76 2.32
2004 10.87 .44 .15 .59 (.44) (.04) (.48) 10.98 5.62
2003 10.66 .46 .26 .72 (.47) (.04) (.51) 10.87 6.92
2002 10.50 .47 .16 .63 (.47) -- (.47) 10.66 6.07
Class R (2/97)
2007(e) 10.70 .23 (.04) .19 (.22) -- (.22) 10.67 1.84
2006 10.82 .47 (.07) .40 (.47) (.05) (.52) 10.70 3.77
2005 11.03 .50 (.17) .33 (.50) (.04) (.54) 10.82 3.16
2004 10.92 .52 .15 .67 (.52) (.04) (.56) 11.03 6.36
2003 10.70 .54 .27 .81 (.55) (.04) (.59) 10.92 7.76
2002 10.54 .56 .14 .70 (.54) -- (.54) 10.70 6.82
- ---------------------------------------------------------------------------------------------------------------------
Class (Commencement Date)
Ratios/Supplemental Data
---------------------------------------------------------------------------------
Before Credit/ After After Credit/
Reimbursement Reimbursement(c) Reimbursement(d)
CONNECTICUT ------------------ ------------------ ------------------
Ratio Ratio Ratio
of Net of Net of Net
Invest- Invest- Invest-
Ratio of ment Ratio of ment Ratio of ment
Expenses Income Expenses Income Expenses Income
Ending to to to to to to
Net Average Average Average Average Average Average Portfolio
Assets Net Net Net Net Net Net Turnover
Year Ended February 28/29, (000) Assets Assets Assets Assets Assets Assets Rate
- ----------------------------------------------------------------------------------------------------------------------
Class A (7/87)
2007(e) $220,014 .83%* 4.03%* .83%* 4.03%* .82%* 4.05%* 8%
2006 225,785 .83 4.13 .83 4.13 .82 4.14 13
2005 221,463 .83 4.45 .83 4.45 .83 4.45 8
2004 227,787 .85 4.60 .85 4.60 .84 4.60 8
2003 234,133 .85 4.82 .85 4.82 .84 4.82 19
2002 217,024 .85 5.01 .85 5.01 .84 5.02 20
Class B (2/97)
2007(e) 22,296 1.58* 3.28* 1.58* 3.28* 1.57* 3.30* 8
2006 24,816 1.58 3.38 1.58 3.38 1.57 3.39 13
2005 29,587 1.58 3.70 1.58 3.70 1.58 3.70 8
2004 31,678 1.60 3.85 1.60 3.85 1.59 3.85 8
2003 31,987 1.60 4.06 1.60 4.06 1.59 4.07 19
2002 23,310 1.60 4.26 1.60 4.26 1.59 4.27 20
Class C (10/93)
2007(e) 38,043 1.38* 3.48* 1.38* 3.48* 1.37* 3.50* 8
2006 38,228 1.38 3.58 1.38 3.58 1.37 3.59 13
2005 35,767 1.38 3.90 1.38 3.90 1.38 3.90 8
2004 41,194 1.40 4.05 1.40 4.05 1.39 4.05 8
2003 38,312 1.40 4.26 1.40 4.26 1.39 4.27 19
2002 26,890 1.40 4.47 1.40 4.47 1.39 4.48 20
Class R (2/97)
2007(e) 7,104 .63* 4.25* .63* 4.25* .62* 4.26* 8
2006 4,403 .63 4.33 .63 4.33 .62 4.34 13
2005 3,666 .63 4.65 .63 4.65 .63 4.65 8
2004 4,005 .65 4.79 .65 4.79 .64 4.80 8
2003 3,878 .65 5.01 .65 5.01 .64 5.02 19
2002 3,568 .65 5.23 .65 5.23 .64 5.24 20
- ----------------------------------------------------------------------------------------------------------------------
* Annualized.
(a)Per share Net Investment Income is calculated using the average daily shares
method.
(b)Total returns are calculated on net asset value without any sales charge and
are not annualized.
(c)After expense reimbursement from the Adviser, where applicable.
(d)After custodian fee credit and expense reimbursement, where applicable.
(e)For the six months ended August 31, 2006.
See accompanying notes to financial statements.
- ----
55
Financial Highlights (Unaudited) (continued)
Selected data for a share outstanding throughout each period:
Class (Commencement Date)
Investment Operations Less Distributions
--------------------------- -----------------------
NEW JERSEY
Net
Beginning Net Realized/ Net Ending
Net Invest- Unrealized Invest- Net
Asset ment Gain ment Capital Asset Total
Year Ended February 28/29, Value Income(a) (Loss) Total Income Gains Total Value Return(b)
- ---------------------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) $10.78 $.21 $(.03) $.18 $(.21) $ -- $(.21) $10.75 1.68%
2006 10.85 .43 (.02) .41 (.44) (.04) (.48) 10.78 3.89
2005 10.97 .45 (.11) .34 (.46) -- (.46) 10.85 3.20
2004 10.79 .46 .18 .64 (.46) -- (.46) 10.97 6.07
2003 10.60 .46 .20 .66 (.47) -- (.47) 10.79 6.36
2002 10.45 .47 .15 .62 (.47) -- (.47) 10.60 6.04
Class B (2/97)
2007(e) 10.78 .17 (.02) .15 (.17) -- (.17) 10.76 1.37
2006 10.85 .35 (.02) .33 (.36) (.04) (.40) 10.78 3.09
2005 10.96 .37 (.11) .26 (.37) -- (.37) 10.85 2.49
2004 10.78 .38 .17 .55 (.37) -- (.37) 10.96 5.26
2003 10.59 .38 .20 .58 (.39) -- (.39) 10.78 5.58
2002 10.44 .39 .15 .54 (.39) -- (.39) 10.59 5.26
Class C (9/94)
2007(e) 10.75 .18 (.03) .15 (.18) -- (.18) 10.72 1.40
2006 10.82 .37 (.02) .35 (.38) (.04) (.42) 10.75 3.33
2005 10.94 .39 (.11) .28 (.40) -- (.40) 10.82 2.63
2004 10.76 .40 .18 .58 (.40) -- (.40) 10.94 5.50
2003 10.56 .40 .21 .61 (.41) -- (.41) 10.76 5.88
2002 10.41 .41 .15 .56 (.41) -- (.41) 10.56 5.46
Class R (2/92)
2007(e) 10.80 .22 (.02) .20 (.22) -- (.22) 10.78 1.86
2006 10.87 .45 (.02) .43 (.46) (.04) (.50) 10.80 4.06
2005 10.98 .48 (.12) .36 (.47) -- (.47) 10.87 3.46
2004 10.80 .48 .17 .65 (.47) -- (.47) 10.98 6.24
2003 10.60 .48 .21 .69 (.49) -- (.49) 10.80 6.63
2002 10.45 .49 .15 .64 (.49) -- (.49) 10.60 6.22
- ---------------------------------------------------------------------------------------------------------------------
Class (Commencement Date)
Ratios/Supplemental Data
--------------------------------------------------------------------------------
Before Credit/ After After Credit/
Reimbursement Reimbursement(c) Reimbursement(d)
NEW JERSEY ------------------ ------------------ ------------------
Ratio Ratio Ratio
of Net of Net of Net
Invest- Invest- Invest-
Ratio of ment Ratio of ment Ratio of ment
Expenses Income Expenses Income Expenses Income
Ending to to to to to to
Net Average Average Average Average Average Average Portfolio
Assets Net Net Net Net Net Net Turnover
Year Ended February 28/29, (000) Assets Assets Assets Assets Assets Assets Rate
- ---------------------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) $82,631 .87%* 3.89%* .87%* 3.89%* .85%* 3.91%* 5%
2006 80,009 .86 3.96 .86 3.96 .85 3.97 15
2005 73,687 .88 4.22 .88 4.22 .87 4.23 15
2004 77,021 .90 4.26 .90 4.26 .89 4.27 17
2003 74,067 .91 4.29 .91 4.29 .90 4.30 6
2002 60,835 .90 4.45 .90 4.45 .89 4.46 7
Class B (2/97)
2007(e) 19,373 1.62* 3.14* 1.62* 3.14* 1.60* 3.16* 5
2006 21,908 1.61 3.21 1.61 3.21 1.60 3.22 15
2005 25,273 1.63 3.47 1.63 3.47 1.62 3.48 15
2004 27,140 1.65 3.51 1.65 3.51 1.64 3.52 17
2003 26,926 1.66 3.54 1.66 3.54 1.65 3.55 6
2002 23,451 1.65 3.70 1.65 3.70 1.64 3.71 7
Class C (9/94)
2007(e) 28,159 1.42* 3.34* 1.42* 3.34* 1.40* 3.36* 5
2006 28,068 1.41 3.41 1.41 3.41 1.40 3.42 15
2005 27,914 1.43 3.67 1.43 3.67 1.42 3.68 15
2004 28,226 1.45 3.72 1.45 3.72 1.44 3.73 17
2003 21,192 1.46 3.74 1.46 3.74 1.45 3.75 6
2002 14,376 1.45 3.89 1.45 3.89 1.44 3.90 7
Class R (2/92)
2007(e) 55,576 .67* 4.08* .67* 4.08* .65* 4.10* 5
2006 43,455 .67 4.16 .67 4.16 .65 4.17 15
2005 43,464 .68 4.42 .68 4.42 .67 4.43 15
2004 45,807 .70 4.46 .70 4.46 .69 4.47 17
2003 45,043 .71 4.49 .71 4.49 .70 4.50 6
2002 43,465 .70 4.64 .70 4.64 .69 4.65 7
- ---------------------------------------------------------------------------------------------------------------------
* Annualized.
(a)Per share Net Investment Income is calculated using the average daily shares
method.
(b)Total returns are calculated on net asset value without any sales charge and
are not annualized.
(c)After expense reimbursement from the Adviser, where applicable.
(d)After custodian fee credit and expense reimbursement, where applicable.
(e)For the six months ended August 31, 2006.
See accompanying notes to financial statements.
- ----
56
Selected data for a share outstanding throughout each period:
Class (Commencement Date)
Investment Operations Less Distributions
--------------------------- -----------------------
NEW YORK
Net
Beginning Net Realized/ Net Ending
Net Invest- Unrealized Invest- Net
Asset ment Gain ment Capital Asset Total
Year Ended February 28/29, Value Income(a) (Loss) Total Income Gains Total Value Return(b)
- ---------------------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) $10.84 $.23 $(.03) $.20 $(.22) $ -- $(.22) $10.82 1.88%
2006 10.93 .47 (.05) .42 (.46) (.05) (.51) 10.84 3.88
2005 11.10 .50 (.17) .33 (.50) -- (.50) 10.93 3.12
2004 10.88 .52 .22 .74 (.52) -- (.52) 11.10 6.94
2003 10.72 .52 .22 .74 (.54) (.04) (.58) 10.88 7.11
2002 10.66 .58 .04 .62 (.56) -- (.56) 10.72 5.94
Class B (2/97)
2007(e) 10.84 .19 (.03) .16 (.18) -- (.18) 10.82 1.51
2006 10.94 .39 (.06) .33 (.38) (.05) (.43) 10.84 3.05
2005 11.11 .42 (.17) .25 (.42) -- (.42) 10.94 2.38
2004 10.90 .44 .21 .65 (.44) -- (.44) 11.11 6.07
2003 10.73 .44 .23 .67 (.46) (.04) (.50) 10.90 6.43
2002 10.68 .50 .03 .53 (.48) -- (.48) 10.73 5.07
Class C (9/94)
2007(e) 10.85 .20 (.03) .17 (.19) -- (.19) 10.83 1.62
2006 10.95 .41 (.06) .35 (.40) (.05) (.45) 10.85 3.27
2005 11.12 .44 (.16) .28 (.45) -- (.45) 10.95 2.60
2004 10.91 .46 .22 .68 (.47) -- (.47) 11.12 6.30
2003 10.75 .46 .23 .69 (.49) (.04) (.53) 10.91 6.56
2002 10.70 .52 .03 .55 (.50) -- (.50) 10.75 5.29
Class R (12/86)
2007(e) 10.86 .24 (.03) .21 (.23) -- (.23) 10.84 1.99
2006 10.96 .49 (.06) .43 (.48) (.05) (.53) 10.86 4.01
2005 11.13 .52 (.17) .35 (.52) -- (.52) 10.96 3.34
2004 10.91 .54 .23 .77 (.55) -- (.55) 11.13 7.06
2003 10.75 .55 .22 .77 (.57) (.04) (.61) 10.91 7.33
2002 10.69 .60 .04 .64 (.58) -- (.58) 10.75 6.16
- ---------------------------------------------------------------------------------------------------------------------
Class (Commencement Date)
Ratios/Supplemental Data
---------------------------------------------------------------------------------
Before Credit/ After After Credit/
Reimbursement Reimbursement(c) Reimbursement(d)
NEW YORK ------------------ ------------------ ------------------
Ratio Ratio Ratio
of Net of Net of Net
Invest- Invest- Invest-
Ratio of ment Ratio of ment Ratio of ment
Expenses Income Expenses Income Expenses Income
Ending to to to to to to
Net Average Average Average Average Average Average Portfolio
Assets Net Net Net Net Net Net Turnover
Year Ended February 28/29, (000) Assets Assets Assets Assets Assets Assets Rate
- ----------------------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) $167,629 .84%* 4.19%* .84%* 4.19%* .82%* 4.21%* 5%
2006 159,947 .84 4.29 .84 4.29 .82 4.31 13
2005 127,502 .86 4.59 .86 4.59 .85 4.60 8
2004 122,569 .88 4.76 .88 4.76 .88 4.76 12
2003 113,197 .88 4.87 .88 4.87 .87 4.87 23
2002 105,700 .89 5.16 .66 5.39 .65 5.39 11
Class B (2/97)
2007(e) 28,918 1.59* 3.45* 1.59* 3.45* 1.57* 3.46* 5
2006 31,620 1.59 3.54 1.59 3.54 1.57 3.56 13
2005 36,125 1.61 3.84 1.61 3.84 1.60 3.85 8
2004 41,579 1.63 4.01 1.63 4.01 1.63 4.01 12
2003 40,951 1.63 4.11 1.63 4.11 1.62 4.12 23
2002 34,262 1.64 4.41 1.41 4.64 1.41 4.65 11
Class C (9/94)
2007(e) 43,759 1.39* 3.65* 1.39* 3.65* 1.37* 3.66* 5
2006 42,934 1.39 3.74 1.39 3.74 1.37 3.76 13
2005 37,221 1.41 4.04 1.41 4.04 1.40 4.05 8
2004 35,832 1.43 4.21 1.43 4.21 1.43 4.21 12
2003 27,687 1.43 4.31 1.43 4.31 1.42 4.32 23
2002 24,505 1.44 4.61 1.21 4.84 1.21 4.85 11
Class R (12/86)
2007(e) 138,093 .64* 4.40* .64* 4.40* .62* 4.41* 5
2006 137,680 .64 4.49 .64 4.49 .62 4.51 13
2005 139,964 .66 4.79 .66 4.79 .65 4.80 8
2004 150,963 .68 4.96 .68 4.96 .68 4.96 12
2003 146,759 .68 5.07 .68 5.07 .67 5.07 23
2002 144,581 .69 5.36 .46 5.59 .46 5.59 11
- ----------------------------------------------------------------------------------------------------------------------
* Annualized.
(a)Per share Net Investment Income is calculated using the average daily shares
method.
(b)Total returns are calculated on net asset value without any sales charge and
are not annualized.
(c)After expense reimbursement from the Adviser, where applicable.
(d)After custodian fee credit and expense reimbursement, where applicable.
(e)For the six months ended August 31, 2006.
See accompanying notes to financial statements.
- ----
57
Financial Highlights (Unaudited) (continued)
Selected data for a share outstanding throughout each period:
Class (Commencement Date)
Investment Operations Less Distributions
--------------------------- -----------------------
NEW YORK INSURED
Net
Beginning Net Realized/ Net Ending
Net Invest- Unrealized Invest- Net
Asset ment Gain ment Capital Asset Total
Year Ended February 28/29, Value Income(a) (Loss) Total Income Gains Total Value Return(b)
- ---------------------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) $10.41 $.20 $(.04) $.16 $(.20) $ -- $(.20) $10.37 1.59%
2006 10.71 .42 (.09) .33 (.42) (.21) (.63) 10.41 3.19
2005 10.98 .45 (.18) .27 (.45) (.09) (.54) 10.71 2.59
2004 10.92 .46 .21 .67 (.47) (.14) (.61) 10.98 6.37
2003 10.59 .47 .40 .87 (.48) (.06) (.54) 10.92 8.46
2002 10.50 .49 .10 .59 (.50) -- (.50) 10.59 5.75
Class B (2/97)
2007(e) 10.44 .16 (.05) .11 (.16) -- (.16) 10.39 1.10
2006 10.73 .34 (.09) .25 (.33) (.21) (.54) 10.44 2.47
2005 11.00 .37 (.18) .19 (.37) (.09) (.46) 10.73 1.79
2004 10.93 .38 .22 .60 (.39) (.14) (.53) 11.00 5.64
2003 10.60 .39 .40 .79 (.40) (.06) (.46) 10.93 7.64
2002 10.51 .41 .10 .51 (.42) -- (.42) 10.60 4.97
Class C (9/94)
2007(e) 10.42 .17 (.05) .12 (.17) -- (.17) 10.37 1.19
2006 10.71 .36 (.08) .28 (.36) (.21) (.57) 10.42 2.70
2005 10.98 .39 (.18) .21 (.39) (.09) (.48) 10.71 2.02
2004 10.92 .40 .21 .61 (.41) (.14) (.55) 10.98 5.78
2003 10.59 .41 .40 .81 (.42) (.06) (.48) 10.92 7.85
2002 10.49 .43 .11 .54 (.44) -- (.44) 10.59 5.26
Class R (12/86)
2007(e) 10.45 .21 (.05) .16 (.21) -- (.21) 10.40 1.57
2006 10.74 .44 (.08) .36 (.44) (.21) (.65) 10.45 3.45
2005 11.00 .47 (.17) .30 (.47) (.09) (.56) 10.74 2.85
2004 10.94 .49 .20 .69 (.49) (.14) (.63) 11.00 6.53
2003 10.60 .49 .41 .90 (.50) (.06) (.56) 10.94 8.72
2002 10.50 .51 .11 .62 (.52) -- (.52) 10.60 6.03
- ---------------------------------------------------------------------------------------------------------------------
Class (Commencement Date)
Ratios/Supplemental Data
---------------------------------------------------------------------------------
Before Credit/ After After Credit/
Reimbursement Reimbursement(c) Reimbursement(d)
NEW YORK INSURED ------------------ ------------------ ------------------
Ratio Ratio Ratio
of Net of Net of Net
Invest- Invest- Invest-
Ratio of ment Ratio of ment Ratio of ment
Expenses Income Expenses Income Expenses Income
Ending to to to to to to
Net Average Average Average Average Average Average Portfolio
Assets Net Net Net Net Net Net Turnover
Year Ended February 28/29, (000) Assets Assets Assets Assets Assets Assets Rate
- ----------------------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) $ 89,295 .85%* 3.88%* .85%* 3.88%* .85%* 3.88%* 4%
2006 90,706 .84 3.93 .84 3.93 .83 3.94 22
2005 87,032 .85 4.17 .85 4.17 .85 4.18 12
2004 78,526 .86 4.28 .86 4.28 .86 4.28 10
2003 73,936 .88 4.40 .88 4.40 .87 4.40 21
2002 63,043 .89 4.67 .89 4.67 .88 4.68 17
Class B (2/97)
2007(e) 15,285 1.60* 3.13* 1.60* 3.13* 1.59* 3.13* 4
2006 17,871 1.59 3.17 1.59 3.17 1.58 3.18 22
2005 22,881 1.60 3.42 1.60 3.42 1.60 3.42 12
2004 27,104 1.61 3.53 1.61 3.53 1.61 3.53 10
2003 27,786 1.63 3.65 1.63 3.65 1.62 3.66 21
2002 23,418 1.64 3.92 1.64 3.92 1.63 3.93 17
Class C (9/94)
2007(e) 14,892 1.40* 3.33* 1.40* 3.33* 1.39* 3.33* 4
2006 15,783 1.39 3.37 1.39 3.37 1.38 3.38 22
2005 17,470 1.40 3.62 1.40 3.62 1.40 3.63 12
2004 21,246 1.42 3.73 1.42 3.73 1.41 3.73 10
2003 14,446 1.43 3.84 1.43 3.84 1.42 3.85 21
2002 9,926 1.44 4.12 1.44 4.12 1.43 4.13 17
Class R (12/86)
2007(e) 212,529 .65* 4.08* .65* 4.08* .65* 4.08* 4
2006 220,883 .64 4.13 .64 4.13 .63 4.13 22
2005 237,657 .65 4.37 .65 4.37 .65 4.37 12
2004 258,263 .66 4.48 .66 4.48 .66 4.48 10
2003 263,572 .68 4.60 .68 4.60 .67 4.61 21
2002 260,568 .69 4.87 .69 4.87 .68 4.88 17
- ----------------------------------------------------------------------------------------------------------------------
* Annualized.
(a)Per share Net Investment Income is calculated using the average daily shares
method.
(b)Total returns are calculated on net asset value without any sales charge and
are not annualized.
(c)After expense reimbursement from the Adviser, where applicable.
(d)After custodian fee credit and expense reimbursement, where applicable.
(e)For the six months ended August 31, 2006.
See accompanying notes to financial statements.
- ----
58
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 each Fund and NAM (the "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 Adviser and the performance of
each Fund. To assist the Board in its evaluation of the advisory contract with
the 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 Fund's past performance as well as the Fund's performance compared to
funds of similar investment objectives compiled by an independent third party
and to customized benchmarks;
.. 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 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 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, the Fund Adviser 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 the advisory contract with the 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 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 Fund and
the Fund Adviser; (c) the costs of the services to be provided and the
profitability of the Fund Adviser and its affiliates; (d) the extent to which
economies of scale would be realized as the Fund grows; and (e) whether fee
levels reflect these economies of scale for the benefit of Fund investors.
A. Nature, Extent and Quality of Services
In reviewing the Fund Adviser, the Trustees considered the nature, extent and
quality of the 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 Funds; the performance record of the applicable Fund
(as described in further detail below); and any initiatives and enhancements
Nuveen has taken for its municipal fund product line. In connection with their
continued service as Trustees, the Trustees also have a good understanding of
the Fund Adviser's organization, operations and personnel. In this regard, the
Trustees are familiar with and have evaluated the professional experience,
qualifications and credentials of the Fund Adviser's personnel. The Trustees
further reviewed materials describing, among other things, the teams and
personnel involved in the investment, research, risk-management and operational
processes involved in managing municipal funds and their respective functions.
Given the Trustees' experience with the Funds and Fund Adviser, the Trustees
recognized the demonstrated history of care and depth of experience of the
respective personnel in managing these Funds. In this regard, the Trustees
considered the continued quality of the Fund Adviser's investment process in
making portfolio management decisions as well as additional refinements and
improvements adopted to the portfolio management processes. With respect to the
services provided to municipal funds, including the Funds, the Trustees noted
that the Fund Adviser continues to make refinements to its portfolio management
process including, among other things, the increased use of derivatives to
enhance management of risk, additional analytical software for research staff
and improved municipal pricing processes.
In addition to advisory services, the independent Trustees considered the
quality of any administrative or non-advisory services provided. The Fund
Adviser provides the Funds with such administrative and other services
(exclusive of, and in addition to, any such services provided by others for the
Funds) and officers and other personnel as are necessary for the operations of
the respective
- ----
59
Annual Investment Management Agreement Approval Process (continued)
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 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
Funds (including a new reporting system for quarterly portfolio holdings).
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
Funds under the Investment Management Agreement were of a high level and were
satisfactory.
B. The Investment Performance of the Funds and Fund Adviser
The Board considered the investment performance for each Fund, including the
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 portfolio level performance against customized
benchmarks, as described below. 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 Performance Peer Group of the Nuveen Intermediate Duration
Municipal Bond Fund). With respect to state specific municipal funds, the
Trustees recognized that certain state municipal funds do not have a
corresponding state specific Performance Peer Group in which case their
performance is measured against a more general municipal category for various
states. The two open-end Nuveen state municipal funds that utilize the more
general category are the Nuveen New Mexico Municipal Bond Fund and the Nuveen
Wisconsin Municipal Bond Fund.
In reviewing performance, the Trustees reviewed performance information
including, among other things, total return information compared with the
Fund's Performance Peer Group for the one-, three- and five-year periods (as
applicable) ending December 31, 2005. The Trustees also reviewed each Fund's
portfolio level performance (which does not reflect fund level fees and
expenses) compared to customized portfolio-level benchmarks for the one- and
three-year periods ending December 31, 2005 (as applicable). This analysis is
designed to assess the efficacy of investment decisions against appropriate
measures of risk and total return, within specific market segments. 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 Fund's absolute and relative investment
performance over time had been satisfactory.
C. Fees, Expenses and Profitability
1. Fees and Expenses
In evaluating the management fees and expenses of a Fund, the Board reviewed,
among other things, the 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 Peer Group may be the same.
Further, the Trustees recognized that in certain cases the closest Peer
Universe and/or Peer Group did not adequately reflect the 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 and insurance) 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
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 the Fund
Adviser with fees the Fund Adviser charges to other clients, including
municipal managed accounts. In general, the fees charged for separate accounts
are somewhat lower than the fees assessed to the 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 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
- ----
60
differences in the product structures, particularly the extensive services
provided to the Funds, the Trustees believe such facts justify the different
levels of fees.
3. Profitability of Fund Adviser
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. Based on their
review, the Trustees were satisfied that the Fund Adviser's level of
profitability was reasonable in light of the services provided.
In evaluating the reasonableness of the compensation, the Trustees also
considered any other revenues paid to the 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 Funds, if any. See Section E below for additional
information. Based on their review of the overall fee arrangements of the
applicable Fund, the Trustees determined that the advisory fees and expenses of
the respective 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 Fund's assets grow. In
addition to advisory fee breakpoints as assets in a respective 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
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 each Fund, including any sales charges and distribution fees
received and retained by the Fund's principal underwriter, Nuveen Investments,
LLC, an affiliate of the Fund Adviser as well as any benefits derived from soft
dollar arrangements. The Trustees recognized that an affiliate of the Fund
Adviser provides distribution and shareholder services to the Funds and their
shareholders for which it may be compensated pursuant to a 12b-1 plan. The
Trustees therefore considered the 12b-1 fees retained by Nuveen during the last
calendar year.
In addition to the above, the Trustees considered whether the Fund Adviser
received any benefits from soft dollar arrangements. The Trustees noted that
the Fund Adviser 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, the Fund Adviser may from time to
time receive and have access to research generally provided to institutional
clients.
F. Approval
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 Agreements were
fair and reasonable, that the Fund Adviser's fees are reasonable in light of
the services provided to each Fund, and that the renewal of the Investment
Management Agreements should be approved.
- ----
61
Notes
- --------------------------------------------------------------------------------
62
Notes
- --------------------------------------------------------------------------------
63
Notes
- --------------------------------------------------------------------------------
64
Fund Information
================================================================================
Fund Manager Legal Counsel Transfer Agent and
Nuveen Asset Management Chapman and Cutler LLP Shareholder Services
333 West Wacker Drive Chicago, IL Boston Financial
Chicago, IL 60606 Data Services, Inc.
Independent Registered Nuveen Investor Services
Public Accounting Firm P.O. Box 8530
PricewaterhouseCoopers LLP Boston, MA 02266-8530
Chicago, IL (800) 257-8787
Custodian
State Street Bank & Trust Company
Boston, MA
================================================================================
Glossary of Terms Used in this Report
Average Annual Total Return: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period. It
expresses the return that would have been necessary each year to equal the
investment's actual cumulative performance (including change in NAV or offer
price and reinvested dividends and capital gains distributions, if any) over
the time period being considered.
Average Effective Maturity: The average of all the maturities of the bonds in a
Fund's portfolio, computed by weighting each maturity date (the date the
security comes due) by the market value of the security. This figure does not
account for the likelihood of prepayments or the exercise of call provisions.
Average Duration: Duration is a measure of the expected period over which a
bond's principal and interest will be paid, and consequently is a measure of
the sensitivity of a bond's (or bond fund's) value to changes when market
interest rates change. Generally, the longer a bond or Fund's duration, the
more the price of the bond or Fund will change as interest rates change.
Dividend Yield (also known as Market Yield or Current Yield): An investment's
current annualized dividend divided by its current offering price.
Net Asset Value (NAV): A Fund's NAV is the dollar value of one share in the
Fund. It is calculated by subtracting the liabilities of the Fund from its
total assets and then dividing the remainder by the number of shares
outstanding. Fund NAVs are calculated at the end of each business day.
SEC 30-Day Yield: A standardized measure of a Fund's yield that accounts for
the future amortization of premiums or discounts of bonds held in the fund's
portfolio.
Taxable-Equivalent Yield: The yield necessary from a fully taxable investment
to equal, on an after-tax basis at a specified assumed tax rate, the yield of a
municipal bond investment.
================================================================================
Quarterly Portfolio of Investments and Proxy Voting information: Each 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 Funds used to determine how to vote proxies
relating to portfolio securities are available without charge, upon request, by
calling Nuveen Investments 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.
================================================================================
NASD Regulation, Inc. provides a Public Disclosure Program which supplies
certain information regarding the disciplinary history of NASD members and
their associated persons in response to either telephone inquiries at (800)
289-9999 or written inquiries at www.nasdr.com. NASD Regulation, Inc. also
provides an investor brochure that includes information describing the Public
Disclosure Program.
- ----
65
Learn more
about Nuveen Funds at
www.nuveen.com/mf
Nuveen Investments:
SERVING Investors
For GENERATIONS
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. Over this time,
Nuveen Investments has adhered to the belief that the best approach to
investing is to apply conservative risk-management principles to help
minimize volatility.
Building on this tradition, we today offer a range of high quality equity
and fixed-income solutions that can be integral parts of a well-diversified
core portfolio. Our clients have come to appreciate this diversity, as well
as our continued adherence to proven, long-term investing principles.
We offer many different investing solutions for our clients' different
needs.
Managing approximately $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: NWQ, specializing in value-style equities;
Nuveen, managing fixed-income investments; Santa Barbara, committed to
growth equities; Tradewinds NWQ, specializing in global value equities;
Rittenhouse, focused on "blue-chip" growth equities; and Symphony, with
expertise in alternative investments as well as equity and income
portfolios.
Find out how we can help you reach your financial goals.
To learn more about the products and services Nuveen Investments offers and
for a prospectus, where applicable, talk to your financial advisor, or call
us at (800) 257-8787. Please read the information carefully before you
invest.
.. Share prices
.. Fund details
.. Daily financial news
.. Investor education
[LOGO] Nuveen Investments
MSA-MS3-0806D
NUVEEN INVESTMENTS MUTUAL FUNDS
Semiannual Report Dependable, tax-free income
dated August 31, 2006 because it's not what you earn, it's what you keep.(R)
[GRAPHIC]
Nuveen Investments
Municipal Bond Funds
Nuveen California High Yield Municipal Bond Fund
Nuveen California Municipal Bond Fund
Nuveen California Insured Municipal Bond Fund
[LOGO] Nuveen Investments
[GRAPHIC]
NOW YOU CAN RECEIVE YOUR
NUVEEN INVESTMENTS FUND REPORTS FASTER.
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an e-mail as soon as your Nuveen Investments Fund information is ready -- no
more waiting for delivery by regular mail. Just click on the link within the
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(Be sure to have the address sheet that accompanied this report handy. You'll
need it to complete the enrollment process.)
OR
www.nuveen.com/accountaccess
if you get your Nuveen Investments Fund dividends and statements directly from
Nuveen Investments.
[LOGO] NUVEEN
Investments
------------------------------
Must be preceded by or accompanied by a prospectus.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
[PHOTO]
Timothy R. Schwertfeger
Dear Shareholder,
Once again, I am pleased to report that during the period covered by this
report your Fund provided tax-free income and solid performance from a
carefully selected portfolio of California municipal bonds. Detailed
information on your Fund's performance can be found in the Portfolio Managers'
Comments and Fund Spotlight sections of this report.
I also would like to use this letter to welcome shareholders of the Nuveen
California High Yield Municipal Bond Fund to the growing family of those using
Nuveen Investments products and services to help secure their financial
futures. I look forward to reporting on the performance of your Fund in future
shareholder reports.
With the recent volatility in the market, some may wonder if this is a good
time to offer a new municipal bond fund. Others may be thinking about adjusting
their current portfolios. We believe that it's times like these that prove the
true value of a trusted financial advisor.
With the help of your advisor, you may be able to structure a well-balanced
portfolio that can become an important component in achieving your long-term
financial goals. In fact, a well-diversified portfolio may actually help to
reduce your overall investment risk. Your advisor can help you understand how a
municipal bond investment like your Nuveen Fund can be an important building
block in a portfolio crafted to perform well through a variety of market
conditions.
Since 1898, Nuveen Investments has offered financial products and solutions
that incorporate careful research, diversification, and the application of
conservative risk-management principles. We are grateful that you have chosen
us as a partner as you pursue your financial goals. We look forward to
continuing to earn your trust in the months and years ahead.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
October 16, 2006
"In fact, a well-diversified portfolio may actually help to
reduce your overall investment risk."
Semiannual Report Page 1
Portfolio Managers' Comments
Portfolio managers John Miller and Scott Romans examine key investment
strategies and the performance of the Nuveen California High Yield Municipal
Bond Fund, the Nuveen California Municipal Bond Fund and the Nuveen
California Insured Municipal Bond Fund. John, who has 12 years of investment
experience with Nuveen Investments, has managed the Nuveen California High
Yield Municipal Bond Fund since its inception in March 2006. Scott, who has 6
years of investment experience, has managed the Nuveen California Municipal
Bond Fund since 2003 and the Nuveen California Insured Municipal Bond Fund
since 2005.
- --------------------------------------------------------------------------------
How did the Funds perform during the six months ended August 31, 2006?
The nearby chart provides total return performance information for the three
Funds, as well as the total returns of their corresponding Lipper peer group
average and the appropriate national Lehman Brothers Index. Although we believe
that comparing the performance of a state Fund with that of a national
municipal index may offer some insights into how the Fund performed relative to
the general municipal market, we also think that closely comparing the results
of state Funds with a national index provides an incomplete picture since the
national index's results are largely determined by out-of-state bonds. In
addition, most out-of-state bonds do not offer investors the state tax
exemption afforded to California bonds for California taxpayers.
Since the Nuveen California High Yield Municipal Bond Fund's inception date of
March 28, 2006, the Fund's Class A shares at net asset value generated a total
return of 3.93%. In comparison, the national Lehman Brothers High Yield
Municipal Bond Index returned 4.78%, while the Fund's Lipper peer group average
returned 2.55% from March 31 through August 31. Although we know five months is
not enough time to draw meaningful conclusions about the Fund's performance,
several of our holdings did turn in particularly strong results over this
period. For instance, our position in Puerto Rico Ports Authority revenue bonds
for American Airlines did very well, benefiting from the airline's improved
profitability and the expectation that declining oil prices could help the
company's business even more. In addition, the Fund's allocation to Southern
California tobacco securitization bonds continued to do well during the period
as a Florida-based class action lawsuit, which had been weighing on the entire
tobacco industry, was dismissed.
The Nuveen California Municipal Bond Fund's Class A shares at net asset value
performed in line with the Fund's peer group average and modestly trailed the
national Lehman Brothers Municipal Bond Index during the six-month period. Most
of the Fund's best-performing securities continued to be lower- or non-rated
bonds, which benefited as the market continued to show its willingness to
accept additional investment risk in exchange for additional yield at a time
when yields generally were declining. One area of underperformance over the
period was the Fund's position in bonds that were pre-refunded to call dates of
2009 and 2010. Pre-refunded bonds are positioned to be retired by using the
proceeds of other, already-issued bonds and, therefore, are usually considered
to be of high credit quality. The high quality and relatively short remaining
lives of these pre-refunded bonds represented two segments of the market that
had relatively poor performance during this reporting period.
The Nuveen California Insured Municipal Bond Fund's Class A shares at net asset
value outperformed its Lipper peer group but trailed the national Lehman
Brothers index during the period. Our top-performing holdings during the period
tended to be securities in higher yielding sectors, as opposed to fixed-coupon
general obligation bonds. The insured Fund was 100 percent invested in bonds
rated AAA at the end of the period, which hurt the Fund's relative performance,
since lower-quality bonds generally outperformed higher-rated bonds over this
period. However, we did see favorable performance from our zero-coupon and AMT
(alternative minimum tax) bonds, both of which benefited from relatively strong
price performance. By contrast, the Fund's duration positioning proved to be a
negative. Duration is a measure of a bond's susceptibility to price changes as
interest rates fluctuate. In general, the portfolio did not hold many issues
that were positioned toward the long end of the yield curve, which tended to
perform relatively well in this reporting period.
- --------------------------------------------------------------------------------
The views expressed reflect those of the portfolio manager and are subject to
change at any time, based on market and other conditions.
Semiannual Report Page 2
Class A Shares--
Total Returns as of 8/31/06
- --------------------------------------------------------------------------------
Since
3/28/06
Inception
---------
Nuveen California High Yield Municipal Bond Fund
A Shares at NAV 3.93%
A Shares at Offer -0.45%
Lipper California Municipal Debt Funds Category
Average/1/ 2.55%
Lehman Brothers High-Yield Municipal Bond Index/2/ 4.78%
------------------------------------------------------------
Average Annual
-----------------------
6-month 1-Year 5-Year 10-Year
- -----------------------
Nuveen California Municipal
Bond Fund
A Shares at NAV 1.79% 2.92% 4.72% 5.21%
A Shares at Offer -2.51% -1.39% 3.83% 4.76%
Lipper California Municipal
Debt Funds Category
Average/1/ 1.83% 2.80% 4.28% 5.35%
Lehman Brothers Municipal
Bond Index/3/ 2.02% 3.03% 4.95% 5.98%
------------------------------------------------------------
Nuveen California Insured
Municipal Bond Fund
A Shares at NAV 1.50% 2.61% 4.26% 5.23%
A Shares at Offer -2.79% -1.68% 3.36% 4.78%
Lipper California Insured
Municipal Debt Funds
Category Average/1/ 1.39% 2.25% 3.97% 5.13%
Lehman Brothers Municipal
Bond Index/3/ 2.02% 3.03% 4.95% 5.98%
------------------------------------------------------------
Returns quoted represent past performance, which is no guarantee of future
results. Returns at NAV would be lower if the sales charge were included.
Returns less than one year are cumulative. Current performance may be higher or
lower than the performance shown. Investment returns and principal value will
fluctuate so that when shares are redeemed, they may be worth more or less than
their original cost. Class A shares have a 4.2% maximum sales charge. Returns
do not reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption of shares. For the most recent month-end
performance, visit www.nuveen.com or call (800) 257-8787.
- --------------------------------------------------------------------------------
1The Lipper category averages shown represent the average annualized total
return for all reporting funds in the respective categories. The Lipper
California Municipal Debt Funds Category contained 122, 121, 98 and 70 funds
for the six-month, one-year, five-year and ten-year periods ended August 31,
2006, and the Lipper California Insured Municipal Debt Funds Category had 19,
19, 19 and 17 funds, respectively. The returns account for the effects of
management fees and assume reinvestment of dividends, but do not reflect any
applicable sales charges. You cannot invest directly in a Lipper Category.
2The Lehman Brothers High-Yield Municipal Bond Index is an unleveraged,
unmanaged national index comprising municipal bonds rated below investment
grade (i.e., below Baa by Moody's Investors Service and below BBB by
Standard & Poor's or Fitch Ratings). Results for the Lehman indexes do not
reflect any expenses. An index is not available for direct investment.
3The Lehman Brothers Municipal Bond Index is an unmanaged index composed of a
broad range of investment-grade municipal bonds and does not reflect any
initial or ongoing expenses.
Instead, we were a bit overexposed to the relatively poorer-performing 2- to
4-year portion of the curve.
What strategies were used to manage the Funds?
For the Nuveen California High Yield Municipal Bond Fund, our main focus was to
get the portfolio fully invested following its March introduction, a goal we
accomplished during this reporting period. Although this is a new Fund, our
overall management approach is identical to the strategy we use in the
nationally-oriented Nuveen High Yield Municipal Bond Fund. As with that Fund,
we seek higher-yielding securities while attempting to manage risk through
broad diversification across individual bond issuers, geographic locations and
economic sectors. In selecting bonds for the portfolio, we particularly favor
those that support "essential services" projects that are vital to the
communities in which they are located. Because of their local importance, these
bonds tend to be relatively less sensitive to economic cycles than other
high-yield bonds. As some examples, at the end of the period the Fund held a
number of bonds that were land-secured or supported hospitals or schools.
In both the Nuveen California Municipal Bond Fund and the Nuveen California
Insured Municipal Bond Fund, careful duration management remained a significant
theme, as we sought to keep the interest-rate sensitivity of both Funds
positioned relatively close to our target levels. For both portfolios, we found
opportunities to sell some of our shorter-duration bonds and reallocate the
proceeds of those sales into longer bonds, especially those with 15- to 25-year
maturities. We were more active in employing this strategy in the insured Fund
because we believed the uninsured Fund was already well positioned from a
duration standpoint.
Semiannual Report Page 3
In the uninsured Fund, we identified several new, lower-rated investment
opportunities to add to the portfolio. However, as the period progressed,
attractive higher-yielding opportunities became increasingly hard to find as
the prices of these bonds performed well. Also, in our view, many of the bonds
that were available in the marketplace lacked the structural or yield
characteristics we sought for the portfolios.
Another important management theme in both Funds was to try to take advantage
of volatility in interest rates. During those times when interest rates were
relatively high-such as June and July-we sold some of our bonds with relatively
low embedded yields and replace them with securities offering similar risk
characteristics and higher embedded yields. This strategy has been one way we
have been able to minimize the impact of higher-coupon bonds maturing or being
called from the portfolio. We made use of this strategy in both the insured and
uninsured Funds, finding more opportunities to do so in the latter.
Dividend Information
During the reporting period, there were no dividend changes to any of the three
Funds. Each Fund seeks to pay dividends at a rate that reflects the past and
projected performance of the Fund. To permit a Fund to maintain a more stable
monthly dividend, the Fund may pay dividends at a rate that may be more or less
than the amount of net investment income actually earned by the Fund during the
period. If the Fund has cumulatively earned more than it has paid in dividends,
it will hold the excess in reserve as undistributed net investment income
(UNII) as part of the Fund's net asset value. Conversely, if the Fund has
cumulatively paid in dividends more than it has earned, the excess will
constitute a negative UNII that will likewise be reflected in the Fund's net
asset value. Each Fund will, over time, pay all its net investment income as
dividends to shareholders. As of August 31, 2006, all three Funds had negative
UNII balances for financial statement purposes and positive UNII balances,
based upon our best estimates, for tax purposes.
Semiannual Report Page 4
Fund Spotlight as of 8/31/06 Nuveen California High Yield Municipal Bond Fund
================================================================================
Quick Facts
A Shares B Shares C Shares R Shares
--------------------------------------------------------------
NAV $10.24 $10.23 $10.23 $10.24
--------------------------------------------------------------
Latest Monthly Dividend/1/ $0.0375 $0.0310 $0.0325 $0.0390
--------------------------------------------------------------
Inception Date 3/28/06 3/28/06 3/28/06 3/28/06
--------------------------------------------------------------
Returns quoted represent past performance which is no guarantee of future
results. Returns without sales charges would be lower if the sales charge were
included. Current performance may be higher or lower than the performance
shown. Investment returns and principal value will fluctuate so that when
shares are redeemed, they may be worth more or less than their original cost.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Income is generally exempt from
regular federal income taxes. Some income may be subject to state and local
taxes and to the federal alternative minimum tax. Capital gains, if any, are
subject to tax. For the most recent month-end performance visit www.nuveen.com
or call (800) 257-8787.
Fund returns assume reinvestment of dividends and capital gains. Class A shares
have a 4.2% maximum sales charge. Class B shares have a contingent deferred
sales charge (CDSC), also known as a back-end sales charge, that for
redemptions begins at 5% and declines periodically until after 6 years when the
charge becomes 0%. Class B shares automatically convert to Class A shares eight
years after purchase. Class C shares have a 1% CDSC for redemptions within less
than one year. Class R shares have no sales charge and may be purchased under
limited circumstances or by specified classes of investors.
Cumulative Total Returns as of 8/31/06
A Shares NAV Offer
---------------------------------------------
Since Inception 3.93% -0.45%
---------------------------------------------
B Shares w/o CDSC w/CDSC
---------------------------------------------
Since Inception 3.56% -1.44%
---------------------------------------------
C Shares NAV w/CDSC
---------------------------------------------
Since Inception 3.63% 2.63%
---------------------------------------------
R Shares NAV
---------------------------------------------
Since Inception 3.99%
---------------------------------------------
Tax-Free Yields
A Shares NAV Offer
---------------------------------------------
Dividend Yield/2/ 4.39% 4.21%
---------------------------------------------
SEC 30-Day Yield/3/ 4.94% 4.73%
---------------------------------------------
Taxable-Equivalent Yield/3,4/ 7.54% 7.22%
---------------------------------------------
B Shares NAV
---------------------------------------------
Dividend Yield/2/ 3.64%
---------------------------------------------
SEC 30-Day Yield 4.19%
---------------------------------------------
Taxable-Equivalent Yield/4/ 6.40%
---------------------------------------------
C Shares NAV
---------------------------------------------
Dividend Yield/2/ 3.81%
---------------------------------------------
SEC 30-Day Yield 4.29%
---------------------------------------------
Taxable-Equivalent Yield/4/ 6.55%
---------------------------------------------
R Shares NAV
---------------------------------------------
Dividend Yield/2/ 4.57%
---------------------------------------------
SEC 30-Day Yield 5.50%
---------------------------------------------
Taxable-Equivalent Yield/4/ 8.40%
---------------------------------------------
Cumulative Total Returns as of 9/30/06
A Shares NAV Offer
--------------------------------------
Since Inception 4.72% 0.30%
--------------------------------------
B Shares w/o CDSC w/CDSC
--------------------------------------
Since Inception 4.28% -0.72%
--------------------------------------
C Shares NAV w/CDSC
--------------------------------------
Since Inception 4.36% 3.36%
--------------------------------------
R Shares NAV
--------------------------------------
Since Inception 4.80%
--------------------------------------
Portfolio Statistics
Net Assets ($000) $5,383
-------------------------------------------------------
Average Effective Maturity on Securities (Years) 27.19
-------------------------------------------------------
Average Duration 6.93
-------------------------------------------------------
- --------------------------------------------------------------------------------
1Paid September 1, 2006. This is the latest monthly tax-exempt dividend
declared during the period ended August 31, 2006.
2Dividend Yield is the most recent dividend per share (annualized) divided by
the appropriate price per share. The SEC 30-Day Yield is a standardized
measure of the current market yield on the Fund's portfolio and is based on
the maximum offer price per share. The Dividend Yield also differs from the
SEC 30-Day Yield because the Fund may be paying out more or less than it is
earning and it may not include the effect of amortization of bond premium.
3The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies
only to A Shares purchased at no-load pursuant to the Fund's policy permitting
waiver of the A Share load in certain specified circumstances.
4The Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis at a specified tax rate. With respect to investments that
generate qualified dividend income that is taxable at a maximum rate of 15%,
the Taxable-Equivalent Yield is lower. The Taxable-Equivalent Yield is based
on the Fund's SEC 30-Day Yield on the indicated date and a combined federal
and state income tax rate of 34.5%.
Semiannual Report Page 5
Fund Spotlight as of 8/31/06 Nuveen California High Yield Municipal Bond Fund
================================================================================
Bond Credit Quality/1/
[CHART]
AAA/U.S. Guaranteed 0.00%
AA 0.00%
A 12.55%
BBB 16.17%
BB or Lower 10.33%
NR 60.95%
Industries/1/
Tax Obligation/Limited 50.6%
---------------------------------------
Education and Civic Organizations 16.6%
---------------------------------------
Health Care 9.2%
---------------------------------------
Transportation 6.6%
---------------------------------------
Industrials 5.6%
---------------------------------------
Other 11.4%
---------------------------------------
1As a percentage of total holdings as of August 31, 2006. Holdings are subject
to change.
- --------------------------------------------------------------------------------
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including front and back end sales charges (loads) or redemption fees,
where applicable; and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees, where applicable; and other Fund
expenses. This Example is intended to help you understand your ongoing costs
(in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds. Since the expense examples
below reflect only the first 156 days of the Fund's operations they may not
provide a meaningful understanding of the Fund's ongoing expenses.
The Example below is based on an investment of $1,000 invested at the beginning
of the period and held for the period.
The information under "Actual Performance," together with the amount you
invested, allows you to estimate actual expenses incurred over the reporting
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.60) and multiply the result by the cost
shown for your share class, in the row entitled "Expenses Incurred During
Period" to estimate the expenses incurred on your account during this period.
The information under "Hypothetical Performance," provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expense you incurred for the period. You may use this information to
compare the ongoing costs of investing in the Fund and other Funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front
and back end sales charges (loads) or redemption fees, where applicable.
Therefore, the hypothetical information is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning
different funds or share classes. In addition, if these transactional costs
were included, your costs would have been higher.
Hypothetical Performance
Actual Performance (5% annualized return before expenses)
--------------------------------------- ---------------------------------------
A Shares B Shares C Shares R Shares A Shares B Shares C Shares R Shares
- -----------------------------------------------------------------------------------------------------------------
Beginning Account Value (3/28/06) $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
- -----------------------------------------------------------------------------------------------------------------
Ending Account Value (8/31/06) $1,039.30 $1,035.60 $1,036.30 $1,039.90 $1,018.08 $1,014.83 $1,015.73 $1,018.93
- -----------------------------------------------------------------------------------------------------------------
Expenses Incurred During Period $ 3.36 $ 6.66 $ 5.74 $ 2.48 $ 3.32 $ 6.59 $ 5.69 $ 2.46
- -----------------------------------------------------------------------------------------------------------------
For each class of the Fund, expenses are equal to the Fund's annualized net
expense ratio of .77%, 1.53%, 1.32% and .57% for Classes A, B, C and R,
respectively, multiplied by the average account value over the period,
multiplied by 156/365 (to reflect the 156 days in the period since the Fund's
commencement of operations).
Semiannual Report Page 6
Fund Spotlight as of 8/31/06 Nuveen California Municipal Bond Fund
================================================================================
Quick Facts
A Shares B Shares C Shares R Shares
--------------------------------------------------------------
NAV $10.40 $10.39 $10.38 $10.39
--------------------------------------------------------------
Latest Monthly Dividend/1/ $0.0355 $0.0290 $0.0310 $0.0375
--------------------------------------------------------------
Inception Date 9/07/94 3/07/97 9/19/94 7/01/86
--------------------------------------------------------------
Returns quoted represent past performance which is no guarantee of future
results. Returns without sales charges would be lower if the sales charge were
included. Current performance may be higher or lower than the performance
shown. Investment returns and principal value will fluctuate so that when
shares are redeemed, they may be worth more or less than their original cost.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Income is generally exempt from
regular federal income taxes. Some income may be subject to state and local
taxes and to the federal alternative minimum tax. Capital gains, if any, are
subject to tax. For the most recent month-end performance visit www.nuveen.com
or call (800) 257-8787.
Class A, C and R share returns are actual. Class B share returns are actual for
the period since class inception; returns prior to class inception are Class R
share returns adjusted for differences in sales charges and expenses, which are
primarily differences in distribution and service fees. Class A shares have a
4.2% maximum sales charge. Class B shares have a contingent deferred sales
charge (CDSC), also known as a back-end sales charge, that for redemptions
begins at 5% and declines periodically until after 6 years when the charge
becomes 0%. Class B shares automatically convert to Class A shares eight years
after purchase. Class C shares have a 1% CDSC for redemptions within less than
one year, which is not reflected in the one-year total return. Class R shares
have no sales charge and may be purchased under limited circumstances or by
specified classes of investors.
Average Annual Total Returns as of 8/31/06
A Shares NAV Offer
---------------------------------------------
1-Year 2.92% -1.39%
---------------------------------------------
5-Year 4.72% 3.83%
---------------------------------------------
10-Year 5.21% 4.76%
---------------------------------------------
B Shares w/o CDSC w/CDSC
---------------------------------------------
1-Year 2.15% -1.80%
---------------------------------------------
5-Year 3.95% 3.78%
---------------------------------------------
10-Year 4.59% 4.59%
---------------------------------------------
C Shares NAV
---------------------------------------------
1-Year 2.39%
---------------------------------------------
5-Year 4.14%
---------------------------------------------
10-Year 4.63%
---------------------------------------------
R Shares NAV
---------------------------------------------
1-Year 3.06%
---------------------------------------------
5-Year 4.93%
---------------------------------------------
10-Year 5.41%
---------------------------------------------
Tax-Free Yields
A Shares NAV Offer
---------------------------------------------
Dividend Yield/2/ 4.10% 3.92%
---------------------------------------------
SEC 30-Day Yield/3/ 3.52% 3.37%
---------------------------------------------
Taxable-Equivalent Yield/3,4/ 5.37% 5.15%
---------------------------------------------
B Shares NAV
---------------------------------------------
Dividend Yield/2/ 3.35%
---------------------------------------------
SEC 30-Day Yield 2.78%
---------------------------------------------
Taxable-Equivalent Yield/4/ 4.24%
---------------------------------------------
C Shares NAV
---------------------------------------------
Dividend Yield/2/ 3.58%
---------------------------------------------
SEC 30-Day Yield 2.98%
---------------------------------------------
Taxable-Equivalent Yield/4/ 4.55%
---------------------------------------------
R Shares NAV
---------------------------------------------
Dividend Yield/2/ 4.33%
---------------------------------------------
SEC 30-Day Yield 3.72%
---------------------------------------------
Taxable-Equivalent Yield/4/ 5.68%
---------------------------------------------
Average Annual Total Returns as of 9/30/06
A Shares NAV Offer
------------------------------------------
1-Year 4.28% -0.12%
------------------------------------------
5-Year 4.89% 3.99%
------------------------------------------
10-Year 5.08% 4.63%
------------------------------------------
B Shares w/o CDSC w/CDSC
------------------------------------------
1-Year 3.50% -0.50%
------------------------------------------
5-Year 4.11% 3.94%
------------------------------------------
10-Year 4.46% 4.46%
------------------------------------------
C Shares NAV
------------------------------------------
1-Year 3.75%
------------------------------------------
5-Year 4.33%
------------------------------------------
10-Year 4.50%
------------------------------------------
R Shares NAV
------------------------------------------
1-Year 4.52%
------------------------------------------
5-Year 5.09%
------------------------------------------
10-Year 5.29%
------------------------------------------
Portfolio Statistics
Net Assets ($000) $285,252
---------------------------------------------------------
Average Effective Maturity on Securities (Years) 16.27
---------------------------------------------------------
Average Duration 5.23
---------------------------------------------------------
- --------------------------------------------------------------------------------
1Paid September 1, 2006. This is the latest monthly tax-exempt dividend
declared during the period ended August 31, 2006.
2Dividend Yield is the most recent dividend per share (annualized) divided by
the appropriate price per share. The SEC 30-Day Yield is a standardized
measure of the current market yield on the Fund's portfolio and is based on
the maximum offer price per share. The Dividend Yield also differs from the
SEC 30-Day Yield because the Fund may be paying out more or less than it is
earning and it may not include the effect of amortization of bond premium.
3The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies
only to A Shares purchased at no-load pursuant to the Fund's policy permitting
waiver of the A Share load in certain specified circumstances.
4The Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis at a specified tax rate. With respect to investments that
generate qualified dividend income that is taxable at a maximum rate of 15%,
the Taxable-Equivalent Yield is lower. The Taxable-Equivalent Yield is based
on the Fund's SEC 30-Day Yield on the indicated date and a combined federal
and state income tax rate of 34.5%.
Semiannual Report Page 7
Fund Spotlight as of 8/31/06 Nuveen California Municipal Bond Fund
================================================================================
Bond Credit Quality/1/
[CHART]
AAA/U.S. Guaranteed 55.8%
AA 6.7%
A 14.1%
BBB 10.2%
BB or Lower 2.6%
NR 10.6%
Industries/1/
Tax Obligation/Limited 21.1%
----------------------------
Tax Obligation/General 16.2%
----------------------------
Utilities 13.4%
----------------------------
U.S. Guaranteed 12.3%
----------------------------
Water and Sewer 8.9%
----------------------------
Transportation 8.2%
----------------------------
Health Care 5.1%
----------------------------
Other 14.8%
----------------------------
1As a percentage of total holdings as of August 31, 2006. Holdings are subject
to change.
- --------------------------------------------------------------------------------
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including front and back end sales charges (loads) or redemption fees,
where applicable; and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees, where applicable; and other Fund
expenses. This Example is intended to help you understand your ongoing costs
(in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The Example below is based on an investment of $1,000 invested at the beginning
of the period and held for the period.
The information under "Actual Performance," together with the amount you
invested, allows you to estimate actual expenses incurred over the reporting
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.60) and multiply the result by the cost
shown for your share class, in the row entitled "Expenses Incurred During
Period" to estimate the expenses incurred on your account during this period.
The information under "Hypothetical Performance," provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expense you incurred for the period. You may use this information to
compare the ongoing costs of investing in the Fund and other Funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front
and back end sales charges (loads) or redemption fees, where applicable.
Therefore, the hypothetical information is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning
different funds or share classes. In addition, if these transactional costs
were included, your costs would have been higher.
Hypothetical Performance
Actual Performance (5% annualized return before expenses)
--------------------------------------- ---------------------------------------
A Shares B Shares C Shares R Shares A Shares B Shares C Shares R Shares
- -----------------------------------------------------------------------------------------------------------------
Beginning Account Value (3/01/06) $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
- -----------------------------------------------------------------------------------------------------------------
Ending Account Value (8/31/06) $1,017.90 $1,014.10 $1,015.30 $1,018.20 $1,021.02 $1,017.24 $1,018.25 $1,022.03
- -----------------------------------------------------------------------------------------------------------------
Expenses Incurred During Period $ 4.22 $ 8.02 $ 7.01 $ 3.20 $ 4.23 $ 8.03 $ 7.02 $ 3.21
- -----------------------------------------------------------------------------------------------------------------
For each class of the Fund, expenses are equal to the Fund's annualized net
expense ratio of .83%, 1.58%, 1.38% and .63% for Classes A, B, C and R,
respectively, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report Page 8
Fund Spotlight as of 8/31/06 Nuveen California Insured Municipal Bond Fund
================================================================================
Quick Facts
A Shares B Shares C Shares R Shares
-----------------------------------------------------------------------
NAV $10.81 $10.83 $10.76 $10.82
-----------------------------------------------------------------------
Latest Monthly Dividend/1/ $0.0365 $0.0295 $0.0310 $0.0380
-----------------------------------------------------------------------
Latest Capital Gain Distribution/2/ $0.0366 $0.0366 $0.0366 $0.0366
-----------------------------------------------------------------------
Inception Date 9/07/94 3/07/97 9/13/94 7/01/86
-----------------------------------------------------------------------
Returns quoted represent past performance which is no guarantee of future
results. Returns without sales charges would be lower if the sales charge were
included. Current performance may be higher or lower than the performance
shown. Investment returns and principal value will fluctuate so that when
shares are redeemed, they may be worth more or less than their original cost.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Income is generally exempt from
regular federal income taxes. Some income may be subject to state and local
taxes and to the federal alternative minimum tax. Capital gains, if any, are
subject to tax. For the most recent month-end performance visit www.nuveen.com
or call (800) 257-8787.
Class A, C and R share returns are actual. Class B share returns are actual for
the period since class inception; returns prior to class inception are Class R
share returns adjusted for differences in sales charges and expenses, which are
primarily differences in distribution and service fees. Class A shares have a
4.2% maximum sales charge. Class B shares have a contingent deferred sales
charge (CDSC), also known as a back-end sales charge, that for redemptions
begins at 5% and declines periodically until after 6 years when the charge
becomes 0%. Class B shares automatically convert to Class A shares eight years
after purchase. Class C shares have a 1% CDSC for redemptions within less than
one year, which is not reflected in the one-year total return. Class R shares
have no sales charge and may be purchased under limited circumstances or by
specified classes of investors.
Average Annual Total Returns as of 8/31/06
A Shares NAV Offer
---------------------------------------------
1-Year 2.61% -1.68%
---------------------------------------------
5-Year 4.26% 3.36%
---------------------------------------------
10-Year 5.23% 4.78%
---------------------------------------------
B Shares w/o CDSC w/CDSC
---------------------------------------------
1-Year 1.81% -2.12%
---------------------------------------------
5-Year 3.48% 3.31%
---------------------------------------------
10-Year 4.60% 4.60%
---------------------------------------------
C Shares NAV
---------------------------------------------
1-Year 2.08%
---------------------------------------------
5-Year 3.70%
---------------------------------------------
10-Year 4.66%
---------------------------------------------
R Shares NAV
---------------------------------------------
1-Year 2.87%
---------------------------------------------
5-Year 4.47%
---------------------------------------------
10-Year 5.44%
---------------------------------------------
Tax-Free Yields
A Shares NAV Offer
---------------------------------------------
Dividend Yield/3/ 4.05% 3.88%
---------------------------------------------
SEC 30-Day Yield/4/ 3.38% 3.24%
---------------------------------------------
Taxable-Equivalent Yield/4,5/ 5.16% 4.95%
---------------------------------------------
B Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.27%
---------------------------------------------
SEC 30-Day Yield 2.64%
---------------------------------------------
Taxable-Equivalent Yield/5/ 4.03%
---------------------------------------------
C Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.46%
---------------------------------------------
SEC 30-Day Yield 2.83%
---------------------------------------------
Taxable-Equivalent Yield/5/ 4.32%
---------------------------------------------
R Shares NAV
---------------------------------------------
Dividend Yield/3/ 4.21%
---------------------------------------------
SEC 30-Day Yield 3.58%
---------------------------------------------
Taxable-Equivalent Yield/5/ 5.47%
---------------------------------------------
Average Annual Total Returns as of 9/30/06
A Shares NAV Offer
------------------------------------------
1-Year 4.12% -0.28%
------------------------------------------
5-Year 4.48% 3.59%
------------------------------------------
10-Year 5.14% 4.69%
------------------------------------------
B Shares w/o CDSC w/CDSC
------------------------------------------
1-Year 3.31% -0.68%
------------------------------------------
5-Year 3.69% 3.52%
------------------------------------------
10-Year 4.51% 4.51%
------------------------------------------
C Shares NAV
------------------------------------------
1-Year 3.60%
------------------------------------------
5-Year 3.91%
------------------------------------------
10-Year 4.57%
------------------------------------------
R Shares NAV
------------------------------------------
1-Year 4.29%
------------------------------------------
5-Year 4.69%
------------------------------------------
10-Year 5.35%
------------------------------------------
Portfolio Statistics
Net Assets ($000) $247,748
---------------------------------------------------------
Average Effective Maturity on Securities (Years) 17.49
---------------------------------------------------------
Average Duration 5.21
---------------------------------------------------------
- --------------------------------------------------------------------------------
1Paid September 1, 2006. This is the latest monthly tax-exempt dividend
declared during the period ended August 31, 2006.
2Paid December 1, 2005. Capital gains are subject to federal taxation.
3Dividend Yield is the most recent dividend per share (annualized) divided by
the appropriate price per share. The SEC 30-Day Yield is a standardized
measure of the current market yield on the Fund's portfolio and is based on
the maximum offer price per share. The Dividend Yield also differs from the
SEC 30-Day Yield because the Fund may be paying out more or less than it is
earning and it may not include the effect of amortization of bond premium.
4The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies
only to A Shares purchased at no-load pursuant to the Fund's policy permitting
waiver of the A Share load in certain specified circumstances.
5The Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis at a specified tax rate. With respect to investments that
generate qualified dividend income that is taxable at a maximum rate of 15%,
the Taxable-Equivalent Yield is lower. The Taxable-Equivalent Yield is based
on the Fund's SEC 30-Day Yield on the indicated date and a combined federal
and state income tax rate of 34.5%.
Semiannual Report Page 9
Fund Spotlight as of 8/31/06 Nuveen California Insured Municipal Bond Fund
================================================================================
Bond Credit Quality/1/
[CHART]
Insured 78.1%
U.S. Guaranteed 18.7%
GNMA/FNMA Guaranteed 3.2%
The Fund features a portfolio of primarily investment-grade, long-term
municipal investments. These investments are covered by insurance, guaranteeing
the timely payment of principal and interest, or by an escrow or trust account
containing enough U.S. government or U.S. government agency securities to
ensure timely payment of principal and interest.
Industries/1/
Tax Obligation/General 21.2%
---------------------------------------
Tax Obligation/Limited 19.7%
---------------------------------------
U.S. Guaranteed 18.7%
---------------------------------------
Transportation 9.9%
---------------------------------------
Water and Sewer 7.3%
---------------------------------------
Utilities 6.9%
---------------------------------------
Education and Civic Organizations 5.1%
---------------------------------------
Other 11.2%
---------------------------------------
1As a percentage of total holdings as of August 31, 2006. Holdings are subject
to change.
- --------------------------------------------------------------------------------
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including front and back end sales charges (loads) or redemption fees,
where applicable; and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees, where applicable; and other Fund
expenses. This Example is intended to help you understand your ongoing costs
(in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The Example below is based on an investment of $1,000 invested at the beginning
of the period and held for the period.
The information under "Actual Performance," together with the amount you
invested, allows you to estimate actual expenses incurred over the reporting
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.60) and multiply the result by the cost
shown for your share class, in the row entitled "Expenses Incurred During
Period" to estimate the expenses incurred on your account during this period.
The information under "Hypothetical Performance," provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expense you incurred for the period. You may use this information to
compare the ongoing costs of investing in the Fund and other Funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front
and back end sales charges (loads) or redemption fees, where applicable.
Therefore, the hypothetical information is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning
different funds or share classes. In addition, if these transactional costs
were included, your costs would have been higher.
Hypothetical Performance
Actual Performance (5% annualized return before expenses)
--------------------------------------- ---------------------------------------
A Shares B Shares C Shares R Shares A Shares B Shares C Shares R Shares
- -----------------------------------------------------------------------------------------------------------------
Beginning Account Value (3/01/06) $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
- -----------------------------------------------------------------------------------------------------------------
Ending Account Value (8/31/06) $1,015.00 $1,011.00 $1,012.90 $1,016.80 $1,021.02 $1,017.24 $1,018.25 $1,022.03
- -----------------------------------------------------------------------------------------------------------------
Expenses Incurred During Period $ 4.22 $ 8.01 $ 7.00 $ 3.20 $ 4.23 $ 8.03 $ 7.02 $ 3.21
- -----------------------------------------------------------------------------------------------------------------
For each class of the Fund, expenses are equal to the Fund's annualized net
expense ratio of .83%, 1.58%, 1.38% and .63% for Classes A, B, C and R,
respectively, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report Page 10
Portfolio of Investments (Unaudited)
NUVEEN CALIFORNIA HIGH YIELD MUNICIPAL BOND FUND
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -------------------------------------------------------------------------------------------------------------------
Consumer Discretionary - 0.9%
$ 50 California Pollution Control Financing Authority, Revenue 10/06 at 100.00 B- $ 49,747
Bonds, General Motors Corporation, Series 1984, 5.500%,
4/01/08
- -------------------------------------------------------------------------------------------------------------------
Consumer Staples - 4.8%
50 Golden State Tobacco Securitization Corporation, 6/13 at 100.00 BBB 56,451
California, Tobacco Settlement Asset-Backed Bonds, Series
2003A-1, 6.750%, 6/01/39
Tobacco Securitization Authority of Southern California,
Tobacco Settlement Asset-Backed Bonds, San Diego County
Tobacco Asset Securitization Corporation, Senior Series
2001A:
50 5.000%, 6/01/37 6/14 at 100.00 BBB 49,911
150 5.125%, 6/01/46 6/14 at 100.00 BBB 150,654
- -------------------------------------------------------------------------------------------------------------------
250 Total Consumer Staples 257,016
- -------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations - 17.0%
65 California Educational Facilities Authority, Revenue Bonds, 12/16 at 100.00 Baa3 65,384
Dominican University, Series 2006, 5.000%, 12/01/36
75 California Educational Facilities Authority, Revenue Bonds, 10/15 at 100.00 A3 77,008
University of Redlands, Series 2005A, 5.000%, 10/01/35
100 California Educational Facilities Authority, Revenue Bonds, 11/15 at 100.00 A2 102,996
University of the Pacific, Series 2006, 5.000%, 11/01/36
100 California Municipal Finance Authority, Education Revenue 6/16 at 100.00 BBB- 101,787
Bonds, American Heritage Education Foundation Project,
Series 2006A, 5.250%, 6/01/36
125 California Statewide Community Development Authority, 10/15 at 100.00 BBB- 126,321
Revenue Bonds, Thomas Jefferson School of Law, Series
2005A, 4.875%, 10/01/35
100 California Statewide Community Development Authority, 10/14 at 100.00 A 102,841
Revenue Bonds, Viewpoint School, Series 2004, 5.000%,
10/01/28 - ACA Insured
100 Pima County Industrial Development Authority, Arizona, 6/16 at 100.00 N/R 101,656
Choice Education and Development Charter School Revenue
Bonds, Series 2006, 6.375%, 6/01/36
65 Pima County Industrial Development Authority, Arizona, 6/16 at 100.00 BB+ 65,541
Educational Revenue Bonds, Paradise Education Center
Charter School, Series 2006, 6.000%, 6/01/36
110 Pima County Industrial Development Authority, Arizona, 7/16 at 100.00 N/R 110,524
Charter School Revenue Bonds, Franklin Phonetic Charter
School, Series 2006, 5.750%, 7/01/36
60 San Diego County, California, Certificates of 9/15 at 102.00 Baa3 61,274
Participation, Burnham Institute, Series 2006,
5.000%, 9/01/34
- -------------------------------------------------------------------------------------------------------------------
900 Total Education and Civic Organizations 915,332
- -------------------------------------------------------------------------------------------------------------------
Health Care - 9.4%
50 California Health Facilities Financing Authority, Health 3/13 at 100.00 A 50,986
Facility Revenue Bonds, Adventist Health System/ West,
Series 2003A, 5.000%, 3/01/33
75 California Health Facilities Financing Authority, Hospital 11/06 at 100.00 BB 75,017
Revenue Bonds, Downey Community Hospital, Series 1993,
5.750%, 5/15/15
California Statewide Community Development Authority,
Revenue Bonds, Daughters of Charity Health System, Series
2005A:
15 5.250%, 7/01/35 7/15 at 100.00 BBB+ 15,634
50 5.000%, 7/01/39 7/15 at 100.00 BBB+ 50,854
150 California Statewide Community Development Authority, 3/16 at 100.00 A+ 153,555
Revenue Bonds, Kaiser Permanante System, Series 2006,
5.000%, 3/01/41
100 Sierra Kings Health Care District, Fresno County, 12/16 at 100.00 N/R 100,644
California, Revenue Bonds, Series 2006A, 5.750%, 12/01/36
60 Weatherford Hospital Authority, Oklahoma, Sales Tax Revenue 5/16 at 103.00 N/R 60,845
Bonds, Series 2006, 6.000%, 5/01/31
- -------------------------------------------------------------------------------------------------------------------
500 Total Health Care 507,535
- -------------------------------------------------------------------------------------------------------------------
- ----
11
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -------------------------------------------------------------------------------------------------------------------
Housing/Multifamily - 4.2%
$ 100 Independent Cities Lease Finance Authority, California, 5/16 at 100.00 N/R $ 101,536
Mobile Home Park Revenue Bonds, San Juan Mobile Estates
Project, Series 2006A, 5.850%, 5/15/41
120 Multifamily Housing Revenue Bond Pass-Through Certificates, No Opt. Call N/R 125,083
Series 2001-17, Stanford Arms Seniors Apartments 01-P2,
5.750%, 11/01/34 (Mandatory put 11/01/16) (Alternative
Minimum Tax)
- -------------------------------------------------------------------------------------------------------------------
220 Total Housing/Multifamily 226,619
- -------------------------------------------------------------------------------------------------------------------
Industrials - 5.8%
20 California Pollution Control Financing Authority, Solid 9/06 at 100.50 BB- 20,100
Waste Disposal Revenue Bonds, Browning Ferris Industries
Inc., Series 1989, 6.750%, 9/01/19 (Alternative Minimum
Tax)
30 California Pollution Control Financing Authority, Solid 12/06 at 102.00 BB- 29,800
Waste Disposal Revenue Bonds, Browning Ferris Industries
Inc., Series 1996A, 5.800%, 12/01/16 (Alternative Minimum
Tax)
150 California Pollution Control Financing Authority, Solid No Opt. Call BBB+ 159,903
Waste Disposal Revenue Bonds, Republic Services Inc.,
Series 2002C, 5.250%, 6/01/23 (Mandatory put 12/01/17)
(Alternative Minimum Tax)
100 Louisiana Local Government Environmental Facilities and 9/16 at 100.00 N/R 100,373
Community Development Authority, Carter Plantation Hotel
Project Revenue Bonds, Series 2006A, 6.000%, 9/01/36
- -------------------------------------------------------------------------------------------------------------------
300 Total Industrials 310,176
- -------------------------------------------------------------------------------------------------------------------
Long-Term Care - 1.7%
40 ABAG Finance Authority for Non-Profit Corporations, 10/07 at 102.00 BB+ 40,910
California, Certificates of Participation Refunding,
American Baptist Homes of the West, Series 1998A, 6.200%,
10/01/27
50 Louisiana Local Government Environmental Facilities and 6/16 at 101.00 N/R 50,553
Community Development Authority, Revenue Bonds, CDF
Healthcare of Louisiana LLC, Series 2006A, 7.000%, 6/01/36
- -------------------------------------------------------------------------------------------------------------------
90 Total Long-Term Care 91,463
- -------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited - 51.8%
ABAG Finance Authority for Non-Profit Corporations,
California, Community Facilities District 2006-1 Rincon
Hills Special Tax Bonds, Series 2006A:
100 5.200%, 9/01/26 9/16 at 100.00 N/R 102,469
100 5.250%, 9/01/36 9/16 at 100.00 N/R 101,673
100 Beaumont Financing Authority, California, Local Agency 9/15 at 102.00 N/R 106,274
Revenue Bonds, Series 2005A, 5.600%, 9/01/25
150 Calaveras County Community Facilities District 2, 3/07 at 103.00 N/R 150,168
California, Special Tax Bonds, Saddle Creek, Series 2006,
5.000%, 9/01/26
125 Corona, California, Community Facilities District 2003-2, 9/06 at 103.00 N/R 127,101
Special Tax Bonds, Highlands Collection, Series 2006,
5.150%, 9/01/26
100 Eastern Municipal Water District, California, Community 3/07 at 102.00 N/R 100,311
Facilities District 2001-1 Improvement Area A, Special Tax
Bonds, Series 2006, 5.125%, 9/01/36 (WI/DD, Settling
9/07/06)
100 Eastern Municipal Water District, California, Community 3/07 at 102.00 N/R 101,737
Facility District No 2004-34, Faircrest, Special Tax
Bonds, Series 2006, 5.250%, 9/01/36
100 Eastern Municipal Water District, California, Community 9/06 at 102.00 N/R 101,284
Facility District No 2006-38 Improvement Area A, Special
Tax Bonds, Series 2006, 5.200%, 9/01/36
50 El Dorado County, California, Special Tax Bonds, Community 9/14 at 102.00 N/R 50,676
Facilities District 2005-2, Series 2006, 5.100%, 9/01/36
200 Golden State Tobacco Securitization Corporation, 6/15 at 100.00 A 204,464
California, Tobacco Settlement Asset-Backed Revenue Bonds,
Series 2005A, 5.000%, 6/01/45
125 Irvine, California, Community Facilities District 2005-2 9/06 at 103.00 N/R 128,079
Special Tax Bonds, Series 2006, 5.250%, 9/01/36
125 Irvine, California, Unified School District, Community 9/06 at 103.00 N/R 126,365
Facilities District Special Tax Bonds, Series 2006A,
5.125%, 9/01/36
50 Lake Elsinore, California, Community Facilities District 9/12 at 102.00 N/R 50,698
2005-6, Center Townhomes Special Tax Bonds, Series 2006,
5.350%, 9/01/36
100 Lammersville School District, San Joaquin County, 9/16 at 100.00 N/R 101,092
California, Community Facilities District 2002, Mountain
House Special Tax Bonds, Series 2006, 5.125%, 9/01/35
- ----
12
Portfolio of Investments (Unaudited)
NUVEEN CALIFORNIA HIGH YIELD MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited (continued)
$ 130 Merced, California, Community Facilities District 2005-1, 9/06 at 103.00 N/R $ 131,530
Special Tax Bonds, Bellevue Ranch West, Series 2006,
5.300%, 9/01/36
125 Moorpark, California, Special Tax Bonds, Community 9/06 at 103.00 N/R 127,972
Facilities District 2004-1, Moorpark Highlands Project,
Series 2006, 5.300%, 9/01/38
65 Moreno Valley Unified School District, Riverside County, 9/06 at 102.00 N/R 65,802
California, Special Tax Bonds, Community Facilities
District, Series 2006, 5.200%, 9/01/36
125 Murrieta Valley Unified School District, Riverside County, 3/07 at 102.00 N/R 127,624
California, Special Tax Bonds, Community Facilities
District 2002-4, Series 2006B, 5.450%, 9/01/38
65 Orange County, California, Newport Coast Phase IV 9/06 at 103.00 N/R 65,432
Assessment District 01-1 Limited Obligation Improvement
Bonds, Series 2006, 5.050%, 9/02/33
125 Poway Unified School District, San Diego County, 9/15 at 100.00 N/R 125,806
California, Special Tax Bonds, Community Facilities
District 6, Improvement Area B, Series 2005, 5.125%,
9/01/36
50 Puerto Rico Municipal Finance Agency, Series 2005A, 5.250%, 8/15 at 100.00 BBB 53,200
8/01/25
125 Riverside Unified School District, California, Community 9/06 at 103.00 N/R 125,633
Facilities District 24 Special Tax Bonds, Series 2006,
5.100%, 9/01/36
125 Roseville, California, Special Tax Bonds, Community 3/07 at 103.00 N/R 127,584
Facilities District 1 Westpark, Series 2006,
5.250%, 9/01/37
50 San Francisco Redevelopment Agency, California, Special Tax 8/15 at 100.00 N/R 50,407
Bonds, Community Facilities District 6, Mission Bay South,
Series 2005A, 5.150%, 8/01/35
100 San Jacinto, California, Community Facilities District 3/07 at 102.00 N/R 101,677
2006-1 Special Tax Bonds, Infrustructure Projects Series
2006, 5.200%, 9/01/36
135 Yuba County, California, Special Tax Bonds, Community 3/15 at 100.00 N/R 135,832
Facilities District 2004-1, Edgewater, Series 2005,
5.125%, 9/01/35
- -------------------------------------------------------------------------------------------------------------------
2,745 Total Tax Obligation/Limited 2,790,890
- -------------------------------------------------------------------------------------------------------------------
Transportation - 6.8%
150 New Jersey Economic Development Authority, Special 9/09 at 101.00 B 153,269
Facilities Revenue Bonds, Continental Airlines Inc.,
Series 1999, 6.250%, 9/15/29 (Alternative Minimum Tax)
Palm Springs Financing Authority, California, Palm Springs
International Airport Revenue Bonds, Series 2006:
25 5.450%, 7/01/20 (Alternative Minimum Tax) 7/14 at 102.00 N/R 25,600
50 5.550%, 7/01/28 (Alternative Minimum Tax) 7/14 at 102.00 N/R 50,833
20 Puerto Rico Industrial, Tourist, Educational, Medical and 6/10 at 100.00 CCC+ 20,033
Environmental Control Facilities Financing Authority,
Revenue Bonds, American Airlines Inc., Series 1985A,
6.450%, 12/01/25
15 Puerto Rico Ports Authority, Special Facilities Revenue 12/06 at 100.00 CCC+ 15,001
Bonds, American Airlines Inc., Series 1993A, 6.300%,
6/01/23 (Alternative Minimum Tax)
100 Puerto Rico Ports Authority, Special Facilities Revenue 12/06 at 102.00 CCC+ 100,029
Bonds, American Airlines Inc., Series 1996A, 6.250%,
6/01/26 (Alternative Minimum Tax)
- -------------------------------------------------------------------------------------------------------------------
360 Total Transportation 364,765
- -------------------------------------------------------------------------------------------------------------------
$ 5,415 Total Investments (cost $5,399,714) - 102.4% 5,513,543
- -------------------------------------------------------------------------------------------------------------------
- ------------
Other Assets Less Liabilities - (2.4)% (130,802)
-----------------------------------------------------------------------------------------------------
Net Assets - 100% $ 5,382,741
-----------------------------------------------------------------------------------------------------
(1) Optional Call Provisions: Dates (month and year) and prices of
the earliest optional call or redemption. There may be other
call provisions at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic principal
paydowns.
(2) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below BBB by Standard & Poor's Group or Baa by
Moody's Investor Service, Inc. are considered to be below
investment grade.
N/R Not rated.
WI/DD Purchased on a when-issued or delayed delivery basis.
See accompanying notes to financial statements.
- ----
13
Portfolio of Investments (Unaudited)
NUVEEN CALIFORNIA MUNICIPAL BOND FUND
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Consumer Staples - 3.4%
$ 3,500 California County Tobacco Securitization Agency, Tobacco 6/12 at 100.00 Baa3 $ 3,638,320
Settlement Asset-Backed Bonds, Alameda County Tobacco
Asset Securitization Corporation, Series 2002, 5.750%,
6/01/29
655 California County Tobacco Securitization Agency, Tobacco 6/15 at 100.00 BBB 636,896
Settlement Asset-Backed Bonds, Sonoma County Tobacco
Securitization Corporation, Series 2005, 4.250%, 6/01/21
5,000 Golden State Tobacco Securitization Corporation, 6/13 at 100.00 BBB 5,488,850
California, Tobacco Settlement Asset-Backed Bonds, Series
2003A-1, 6.250%, 6/01/33
- ---------------------------------------------------------------------------------------------------------------------
9,155 Total Consumer Staples 9,764,066
- ---------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations - 3.0%
150 California Educational Facilities Authority, Revenue Bonds, 10/15 at 100.00 A3 154,016
University of Redlands, Series 2005A, 5.000%, 10/01/35
California Educational Facilities Authority, Revenue Bonds,
University of the Pacific, Series 2006:
105 5.000%, 11/01/21 11/15 at 100.00 A2 111,208
135 5.000%, 11/01/25 11/15 at 100.00 A2 141,724
2,960 California Educational Facilities Authority, Revenue Bonds, 1/15 at 100.00 BBB- 2,974,830
Woodbury University, Series 2006, 5.000%, 1/01/36
2,500 California State Public Works Board, Lease Revenue Bonds, 4/15 at 100.00 AAA 2,625,325
University of California, Institute Projects, Series
2005C, 5.000%, 4/01/30 - AMBAC Insured
1,500 California Statewide Community Development Authority, 12/06 at 105.00 N/R 1,582,575
Certificates of Participation, San Diego Space and Science
Foundation, Series 1996, 7.500%, 12/01/26
1,000 University of California, Certificates of Participation, 1/10 at 101.00 Aa2 1,042,740
San Diego and Sacramento Campus Projects, Series 2002A,
5.250%, 1/01/22
- ---------------------------------------------------------------------------------------------------------------------
8,350 Total Education and Civic Organizations 8,632,418
- ---------------------------------------------------------------------------------------------------------------------
Health Care - 5.1%
3,080 California Health Facilities Financing Authority, Hospital 11/06 at 100.00 BB 3,080,678
Revenue Bonds, Downey Community Hospital, Series 1993,
5.750%, 5/15/15
960 California Health Facilities Financing Authority, Insured 10/06 at 101.00 A+ 972,298
Loan Program Small Facilities Revenue Bonds, Series 1994B,
7.500%, 4/01/22
980 California Health Facilities Financing Authority, Revenue 11/15 at 100.00 A3 1,005,088
Bonds, Cedars-Sinai Medical Center, Series 2005, 5.000%,
11/15/34
4,805 California Statewide Community Development Authority, 3/16 at 100.00 A+ 4,918,879
Revenue Bonds, Kaiser Permanante System, Series 2006,
5.000%, 3/01/41
1,615 California Statewide Community Development Authority, 8/16 at 100.00 A+ 1,707,669
Revenue Bonds, Kaiser Permanente System, Series 2001C,
5.250%, 8/01/31
1,695 Central California Joint Powers Health Finance Authority, 2/07 at 100.00 Baa2 1,695,220
Certificates of Participation, Community Hospitals of
Central California, Series 1993, 5.000%, 2/01/23
1,000 Central California Joint Powers Health Finance Authority, 2/11 at 101.00 Baa2 1,047,880
Certificates of Participation, Community Hospitals of
Central California, Series 2001, 5.625%, 2/01/21
- ---------------------------------------------------------------------------------------------------------------------
14,135 Total Health Care 14,427,712
- ---------------------------------------------------------------------------------------------------------------------
Housing/Multifamily - 3.9%
1,950 ABAG Finance Authority for Non-Profit Corporations, No Opt. Call BBB 2,023,437
California, Multifamily Housing Revenue Refunding Bonds,
United Dominion/2000 Post Apartments, Series 2000B,
6.250%, 8/15/30 (Mandatory put 8/15/08)
2,500 Daly City Housing Development Finance Agency, California, 12/13 at 102.00 A- 2,728,975
Mobile Home Park Revenue Bonds, Franciscan Mobile Home
Park Project, Series 2002A, 5.800%, 12/15/25
2,000 Riverside County, California, Mobile Home Park Revenue 3/09 at 102.00 N/R 2,074,480
Bonds, Bravo Mobile Home Park Project, Series 1999A,
5.900%, 3/20/29
2,080 Salinas, California, GNMA Collateralized Housing Facility 1/07 at 100.00 AAA 2,083,016
Revenue Refunding Bonds, Villa Serra Project, Series
1994A, 6.500%, 7/20/17
- ----
14
Portfolio of Investments (Unaudited)
NUVEEN CALIFORNIA MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -----------------------------------------------------------------------------------------------------------------------
Housing/Multifamily (continued)
$ 2,000 San Dimas Housing Authority, California, Mobile Home Park 7/08 at 102.00 N/R $ 2,081,720
Revenue Bonds, Charter Oak Mobile Home Estates Acquisition
Project, Series 1998A, 5.700%, 7/01/28
- -----------------------------------------------------------------------------------------------------------------------
10,530 Total Housing/Multifamily 10,991,628
- -----------------------------------------------------------------------------------------------------------------------
Housing/Single Family - 0.0%
90 California Rural Home Mortgage Finance Authority, No Opt. Call AAA 91,447
Mortgage-Backed Securities Program Single Family Mortgage
Revenue Bonds, Series 1997A, 7.000%, 9/01/29 (Alternative
Minimum Tax)
- -----------------------------------------------------------------------------------------------------------------------
Industrials - 1.0%
1,000 California Municipal Finance Authority, Solid Waste No Opt. Call BBB 995,070
Disposal Revenue Bonds, Waste Management Inc., Series
2004, 4.100%, 9/01/14 (Mandatory put 9/01/09) (Alternative
Minimum Tax)
750 California Pollution Control Financing Authority, Solid No Opt. Call BBB+ 799,515
Waste Disposal Revenue Bonds, Republic Services Inc.,
Series 2002C, 5.250%, 6/01/23 (Mandatory put 12/01/17)
(Alternative Minimum Tax)
1,000 California Pollution Control Financing Authority, Solid 1/16 at 102.00 BBB 1,030,500
Waste Disposal Revenue Bonds, Waste Management Inc.,
Series 2002A, 5.000%, 1/01/22 (Alternative Minimum Tax)
- -----------------------------------------------------------------------------------------------------------------------
2,750 Total Industrials 2,825,085
- -----------------------------------------------------------------------------------------------------------------------
Long-Term Care - 3.0%
ABAG Finance Authority for Non-Profit Corporations,
California, Cal-Mortgage Revenue Bonds, Elder Care Alliance
of Union City, Series 2004:
1,850 5.400%, 8/15/24 8/14 at 100.00 A 1,961,925
2,130 5.600%, 8/15/34 8/14 at 100.00 A 2,269,792
4,250 ABAG Finance Authority for Non-Profit Corporations, 10/07 at 102.00 BB+ 4,303,295
California, Certificates of Participation, American
Baptist Homes of the West, Series 1997A, 5.850%, 10/01/27
- -----------------------------------------------------------------------------------------------------------------------
8,230 Total Long-Term Care 8,535,012
- -----------------------------------------------------------------------------------------------------------------------
Tax Obligation/General - 16.0%
3,335 California, General Obligation Bonds, Derivative Tax Exempt No Opt. Call AAA 4,948,940
Receipts, Series 245, 10.321%, 2/01/15 (IF)
California, General Obligation Bonds, Series 2004:
2,500 5.000%, 2/01/20 2/14 at 100.00 A+ 2,636,825
1,000 5.000%, 4/01/21 4/14 at 100.00 A+ 1,053,120
6,000 5.125%, 4/01/23 4/14 at 100.00 A+ 6,399,180
Central Unified School District, Fresno County, California,
General Obligation Bonds, Series 2004A:
1,000 5.500%, 7/01/22 - FGIC Insured 7/14 at 100.00 AAA 1,102,440
1,500 5.500%, 7/01/24 - FGIC Insured 7/14 at 100.00 AAA 1,653,660
1,035 Escondido Union School District, San Diego County, 8/12 at 100.00 AAA 1,110,979
California, General Obligation Bonds, Series 2002A,
5.250%, 8/01/23 - FSA Insured
Glendora Unified School District, Los Angeles County,
California, General Obligation Bonds, Series 2006A:
1,475 5.250%, 8/01/22 - MBIA Insured 8/16 at 100.00 AAA 1,622,766
1,120 5.250%, 8/01/25 - MBIA Insured 8/16 at 100.00 AAA 1,224,518
Grossmont-Cuyamaca Community College District, California,
General Obligation Bonds, Series 2005B:
5,080 5.000%, 8/01/21 - FGIC Insured 8/15 at 100.00 AAA 5,439,969
2,350 5.000%, 8/01/26 - FGIC Insured 8/15 at 100.00 AAA 2,489,449
6,000 Los Angeles Unified School District, California, General 7/13 at 100.00 AAA 6,344,280
Obligation Bonds, Series 2003A, 5.000%, 7/01/22 - FSA
Insured
2,000 Murrieta Valley Unified School District, Riverside County, 9/13 at 100.00 AAA 2,096,780
California, General Obligation Bonds, Series 2003A,
5.000%, 9/01/26 - FGIC Insured
1,350 Riverside Community College District, California, General 8/15 at 100.00 AAA 1,445,661
Obligation Bonds, Series 2005, 5.000%, 8/01/21 - FSA
Insured
275 Roseville Joint Union High School District, Placer County, 8/15 at 100.00 AAA 291,107
California, General Obligation Bonds, Series 2006B,
5.000%, 8/01/27 - FGIC Insured
2,000 San Diego Unified School District, California, General 7/10 at 100.00 AAA 2,105,640
Obligation Bonds, Election of 1998, Series 2000B, 5.125%,
7/01/22 - MBIA Insured
- ----
15
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/General (continued)
$ 1,355 San Jose-Evergreen Community College District, Santa Clara 9/15 at 100.00 AAA $ 1,438,156
County, California, General Obligation Bonds, Series
2005A, 5.000%, 9/01/25 - MBIA Insured
2,000 West Contra Costa Unified School District, Contra Costa 8/11 at 101.00 AAA 2,123,540
County, California, General Obligation Bonds, Series
2003B, 5.000%, 8/01/20 - FSA Insured
- ---------------------------------------------------------------------------------------------------------------------
41,375 Total Tax Obligation/General 45,527,010
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited - 20.7%
3,000 Alameda County Redevelopment Agency, California, Eden Area 8/16 at 100.00 AAA 3,142,050
Redevelopment Project, Tax Allocation Bonds, Series 2006A,
5.000%, 8/01/36 - MBIA Insured
525 California, Economic Recovery Revenue Bonds, Series 2004A, 7/14 at 100.00 AA- 569,163
5.000%, 7/01/15
350 Capistrano Unified School District, Orange County, 9/15 at 100.00 AAA 370,941
California, Special Tax Bonds, Community Facilities
District, Series 2005, 5.000%, 9/01/24 - FGIC Insured
Hesperia Community Redevelopment Agency, California, Tax
Allocation Bonds, Series 2005A:
265 5.000%, 9/01/20 - XLCA Insured 9/15 at 100.00 AAA 282,082
2,075 5.000%, 9/01/35 - XLCA Insured 9/15 at 100.00 AAA 2,154,971
Irvine, California, Unified School District, Community
Facilities District Special Tax Bonds, Series 2006A:
180 5.000%, 9/01/26 9/06 at 103.00 N/R 181,622
420 5.125%, 9/01/36 9/06 at 103.00 N/R 424,586
2,000 La Mirada Redevelopment Agency, California, Special Tax 10/08 at 102.00 N/R 2,037,800
Refunding Bonds, Community Facilities District 89-1, Civic
Theatre Project, Series 1998, 5.700%, 10/01/20
2,500 Lancaster Redevelopment Agency, California, Subordinate 8/13 at 100.00 AAA 2,588,975
Lien Tax Allocation Bonds, Combined Redevelopment Project
Areas, Series 2003B, 5.000%, 8/01/34 - FGIC Insured
1,870 Lancaster Redevelopment Agency, California, Tax Allocation 12/14 at 100.00 AAA 1,967,277
Refunding Bonds, Combined Area Sheriff's Facilities
Projects, Series 2004, 5.000%, 12/01/23 - XLCA Insured
1,120 Lancaster Redevelopment Agency, California, Tax Allocation 12/14 at 100.00 AAA 1,178,262
Refunding Bonds, Combined Fire Protection Facilities
Project, Series 2004, 5.000%, 12/01/23 - XLCA Insured
630 Los Angeles Community Redevelopment Agency, California, 9/15 at 100.00 Aaa 654,898
Lease Revenue Bonds, Manchester Social Services Project,
Series 2005, 5.000%, 9/01/37 - AMBAC Insured
2,500 Los Angeles County Schools, California, Certificates of 9/13 at 100.00 AAA 2,627,175
Participation, Pooled Financing Program, Regionalized
Business Services Corporation, Series 2003A, 5.000%,
9/01/22 - FSA Insured
995 Milpitas, California, Local Improvement District 20 Limited 9/06 at 103.00 N/R 1,030,760
Obligation Bonds, Series 1998A, 5.700%, 9/02/18
Moreno Valley Unified School District, Riverside County,
California, Special Tax Bonds, Community Facilities
District, Series 2004:
805 5.550%, 9/01/29 9/14 at 100.00 N/R 823,306
1,250 5.650%, 9/01/34 9/14 at 100.00 N/R 1,283,975
1,040 Nevada County, California, Certificates of Participation 10/11 at 100.00 Aaa 1,117,782
Refunding, Series 2001, 5.250%, 10/01/13 - MBIA Insured
690 Ontario, California, Assessment District 100C Limited 9/06 at 103.00 N/R 721,816
Obligation Improvement Bonds, California Commerce Center
Phase III, Series 1991, 8.000%, 9/02/11
2,000 Poway, California, Community Facilities District 88-1, 8/08 at 102.00 N/R 2,132,980
Special Tax Refunding Bonds, Parkway Business Centre,
Series 1998, 6.750%, 8/15/15
1,645 Rancho Cucamonga, California, Limited Obligation 9/06 at 101.00 N/R 1,662,470
Improvement Bonds, Masi Plaza Assessment District 93-1,
Series 1997, 6.250%, 9/02/22
305 Rialto Redevelopment Agency, California, Tax Allocation 9/15 at 100.00 AAA 317,215
Bonds, Merged Project Area, Series 2005A, 5.000%, 9/01/35
- XLCA Insured
380 Roseville, California, Certificates of Participation, 8/13 at 100.00 AAA 396,564
Public Facilities, Series 2003A, 5.000%, 8/01/25 - AMBAC
Insured
1,000 Sacramento City Financing Authority, California, Lease No Opt. Call AAA 1,132,590
Revenue Refunding Bonds, Series 1993A, 5.400%, 11/01/20 -
AMBAC Insured
- ----
16
Portfolio of Investments (Unaudited)
NUVEEN CALIFORNIA MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ----------------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited (continued)
$ 500 Sacramento City Financing Authority, California, Lease No Opt. Call AA- $ 549,930
Revenue Refunding Bonds, Series 1993B, 5.400%, 11/01/20
995 Sacramento County, Laguna, California, Special Tax 12/07 at 102.00 N/R 1,010,233
Refunding Bonds, Community Facilities District 1 - Laguna
Creek Ranch, Series 1997, 5.700%, 12/01/20
2,880 San Francisco Redevelopment Agency, California, Lease 7/11 at 102.00 AAA 3,097,670
Revenue Bonds, Moscone Convention Center, Series 2004,
5.250%, 7/01/24 - AMBAC Insured
7,090 San Marcos Redevelopment Agency, California, Tax Allocation 10/07 at 102.00 A 7,367,148
Bonds, Affordable Housing Project, Series 1997A, 6.000%,
10/01/27 (Alternative Minimum Tax)
2,805 San Mateo County Transit District, California, Sales Tax 6/15 at 100.00 AAA 3,000,593
Revenue Bonds, Series 2005A, 5.000%, 6/01/21 - MBIA Insured
4,000 Shafter Joint Powers Financing Authority, California, Lease 1/07 at 101.00 A 4,067,200
Revenue Bonds, Community Correctional Facility Acquisition
Project, Series 1997A, 6.050%, 1/01/17
1,025 Stockton Public Financing Authority, California, Lease 9/14 at 100.00 AAA 1,103,618
Revenue Bonds, Series 2004, 5.250%, 9/01/23 - FGIC Insured
2,000 Taft Public Financing Authority, California, Lease Revenue 1/07 at 101.00 A 2,032,240
Bonds, Community Correctional Facility Acquisition, Series
1997A, 6.050%, 1/01/17
6,700 Travis Unified School District, Solano County, California, 9/16 at 100.00 Aaa 7,014,096
Certificates of Participation, Series 2006, 5.000%,
9/01/31 - FGIC Insured
1,020 Vallejo Public Financing Authority, California, Limited No Opt. Call N/R 1,049,713
Obligation Revenue Refinancing Bonds, Fairground Drive
Assessment District 65, Series 1998, 5.700%, 9/02/11
- ----------------------------------------------------------------------------------------------------------------------------
56,560 Total Tax Obligation/Limited 59,091,701
- ----------------------------------------------------------------------------------------------------------------------------
Transportation - 8.1%
3,000 Bay Area Toll Authority, California, Revenue Bonds, San 4/11 at 100.00 AA 3,170,070
Francisco Bay Area Toll Bridge, Series 2001D, 5.000%,
4/01/16
2,000 Foothill/Eastern Transportation Corridor Agency, 1/10 at 100.00 BBB- 2,001,440
California, Toll Road Revenue Bonds, Series 1995A, 5.000%,
1/01/35
2,750 Foothill/Eastern Transportation Corridor Agency, 1/14 at 101.00 BBB- 2,470,297
California, Toll Road Revenue Refunding Bonds, Series
1999, 0.000%, 1/15/28
Palm Springs Financing Authority, California, Palm Springs
International Airport Revenue Bonds, Series 2006:
285 5.450%, 7/01/20 (Alternative Minimum Tax) 7/14 at 102.00 N/R 291,843
240 5.550%, 7/01/28 (Alternative Minimum Tax) 7/14 at 102.00 N/R 243,998
Port of Oakland, California, Revenue Bonds, Series 2000K:
2,000 5.500%, 11/01/09 - FGIC Insured (Alternative Minimum Tax) No Opt. Call AAA 2,106,660
4,000 5.750%, 11/01/29 - FGIC Insured (Alternative Minimum Tax) 5/10 at 100.00 AAA 4,232,800
5,500 Port of Oakland, California, Revenue Bonds, Series 2002M, 11/12 at 100.00 AAA 5,954,905
5.250%, 11/01/19 - FGIC Insured
2,475 San Francisco Airports Commission, California, Revenue 5/12 at 100.00 AAA 2,644,562
Refunding Bonds, San Francisco International Airport,
Second Series 2002, Issue 28B, 5.250%, 5/01/22 - MBIA
Insured
- ----------------------------------------------------------------------------------------------------------------------------
22,250 Total Transportation 23,116,575
- ----------------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed - 12.0% (3)
4,200 California Department of Water Resources, Power Supply 5/12 at 101.00 Aaa 4,574,430
Revenue Bonds, Series 2002A, 5.125%, 5/01/18 (Pre-refunded
5/01/12)
3,115 California Educational Facilities Authority, Revenue Bonds, 6/10 at 101.00 Baa3 (3) 3,470,577
Pooled College and University Projects, Series 2000C,
6.750%, 6/01/30 (ETM)
6,000 California Health Facilities Financing Authority, Revenue 12/09 at 101.00 A3 (3) 6,533,100
Bonds, Cedars-Sinai Medical Center, Series 1999A, 6.125%,
12/01/30 (Pre-refunded 12/01/09)
4,460 California Infrastructure Economic Development Bank, First No Opt. Call AAA 4,943,152
Lien Revenue Bonds, San Francisco Bay Area Toll Bridge,
Series 2003A, 5.000%, 7/01/22 - FSA Insured (ETM)
- ----
17
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed (3) (continued)
$ 4,800 California, Various Purpose General Obligation Bonds, 3/10 at 101.00 AAA $ 5,192,928
Series 2000, 5.750%, 3/01/27 (Pre-refunded 3/01/10) - MBIA
Insured
2,300 Los Angeles Harbors Department, California, Revenue Bonds, No Opt. Call AAA 2,816,143
Series 1988, 7.600%, 10/01/18 (ETM)
4,051 Merced Irrigation District, California, Subordinated 3/08 at 102.00 AAA 4,331,491
Revenue Certificates of Participation, Electric System
Project, Series 2000, 7.450%, 3/01/18 (Pre-refunded
3/01/08)
2,250 Orange County, California, Special Tax Bonds, Community 8/09 at 102.00 N/R (3) 2,494,080
Facilities District 99-1 of Ladera Ranch, Series 1999A,
6.700%, 8/15/29 (Pre-refunded 8/15/09)
- ---------------------------------------------------------------------------------------------------------------------------
31,176 Total U.S. Guaranteed 34,355,901
- ---------------------------------------------------------------------------------------------------------------------------
Utilities - 13.1%
6,420 California Department of Water Resources, Power Supply 5/12 at 101.00 N/R 8,381,824
Revenue Bonds, RITES PA-1120R, Series 2003, 8.756%,
5/01/14 - AMBAC Insured (IF)
2,740 California Statewide Community Development Authority, 12/06 at 101.00 N/R 2,757,043
Certificates of Participation Refunding, Rio Bravo Fresno
Project, Series 1999A, 6.300%, 12/01/18
Los Angeles Department of Water and Power, California,
Power System Revenue Bonds, Series 2001A-1:
5,000 5.250%, 7/01/15 7/11 at 100.00 AA- 5,323,900
10,000 5.250%, 7/01/21 - FSA Insured 7/11 at 100.00 AAA 10,584,397
500 Los Angeles Department of Water and Power, California, 7/13 at 100.00 AAA 531,485
Power System Revenue Bonds, Series 2003A-2, 5.000%,
7/01/21 - MBIA Insured
5,000 Los Angeles Department of Water and Power, California, 7/15 at 100.00 AAA 5,264,100
Power System Revenue Bonds, Series 2005A-1, 5.000%,
7/01/31 - FSA Insured
615 Merced Irrigation District, California, Electric System 9/15 at 100.00 AAA 649,010
Revenue Bonds, Series 2005, 5.125%, 9/01/31 - XLCA Insured
3,470 Puerto Rico Industrial, Tourist, Educational, Medical and 6/10 at 101.00 Baa3 3,782,612
Environmental Control Facilities Financing Authority,
Co-Generation Facility Revenue Bonds, Series 2000A,
6.625%, 6/01/26 (Alternative Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------------
33,745 Total Utilities 37,274,371
- ---------------------------------------------------------------------------------------------------------------------------
Water and Sewer - 8.5%
6,080 California Department of Water Resources, Water System 12/12 at 100.00 AAA 6,483,894
Revenue Bonds, Central Valley Project, Series 2002Z,
5.000%, 12/01/17 - FGIC Insured
1,270 California Department of Water Resources, Water System 6/13 at 100.00 AAA 1,385,608
Revenue Bonds, Central Valley Project, Series 2003Y,
5.250%, 12/01/16 - FGIC Insured
2,000 California Statewide Community Development Authority, Water 10/13 at 100.00 AAA 2,143,260
and Wastewater Revenue Bonds, Pooled Financing Program,
Series 2003A, 5.250%, 10/01/23 - FSA Insured
1,680 Castaic Lake Water Agency, California, Revenue Certificates 8/14 at 100.00 AAA 1,783,034
of Participation, Series 2004A, 5.000%, 8/01/20 - AMBAC
Insured
455 Healdsburg Public Financing Authority, California, 4/16 at 100.00 AAA 477,777
Wastewater Revenue Bonds, Series 2006, 5.000%, 4/01/36 -
MBIA Insured
4,250 Los Angeles Department of Water and Power, California, 7/11 at 100.00 AA 4,377,755
Waterworks Revenue Refunding Bonds, Series 2001A, 5.125%,
7/01/41
435 Marina Coast Water District, California, Enterprise 6/16 at 100.00 AAA 457,420
Certificate of Participation, Series 2006, 5.000%, 6/01/31
- MBIA Insured
1,500 Metropolitan Water District of Southern California, Water 10/14 at 100.00 AAA 1,577,805
Revenue Bonds, Series 2004B-3, 5.000%, 10/01/29 - MBIA
Insured
1,190 Pasadena, California, Water Revenue Refunding Bonds, Series 6/13 at 100.00 AAA 1,266,089
2003, 5.000%, 6/01/20 - FGIC Insured
625 Sacramento County Sanitation District Financing Authority, 6/16 at 100.00 AAA 661,800
California, Revenue Bonds, Series 2006, 5.000%, 12/01/31 -
FGIC Insured
1,670 Sacramento County Sanitation District Financing Authority, No Opt. Call AA 2,088,018
California, Revenue Bonds, Series 694R-A, 9.550%, 12/01/10
(IF)
- ----
18
Portfolio of Investments (Unaudited)
NUVEEN CALIFORNIA MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Water and Sewer (continued)
$ 1,385 Sacramento County Sanitation District Financing Authority, 12/10 at 101.00 AA $ 1,678,094
California, Revenue Bonds, Series 694R-B, 7.906%, 12/01/11
(IF)
- ---------------------------------------------------------------------------------------------------------------------
22,540 Total Water and Sewer 24,380,554
- ---------------------------------------------------------------------------------------------------------------------
$ 260,886 Total Long-Term Investments (cost $266,314,465) - 97.8% 279,013,480
- ---------------------------------------------------------------------------------------------------------------------
- ------------
Short-Term Investments - 0.5%
300 California Department of Water Resources, Power Supply A-1+ 300,000
Revenue Bonds, Variable Rate Demand Obligations, Series
2002C-7, 3.270%, 5/01/22 - FSA Insured (4)
500 California Housing Finance Agency, Home Mortgage Revenue A-1+ 500,000
Bonds, Variable Rate Demand Obligations, Series 2001R,
3.600%, 8/01/23 - AMBAC Insured (Alternative Minimum Tax)
(4)
500 East Bay Municipal Utility District, Alameda and Contra A-1+ 500,000
Costa Counties, California, Water System Subordinated
Revenue Bonds, Variable Rate Demand Obligations, Series
2005B-2, 3.260%, 6/01/38 - XLCA Insured (4)
- ---------------------------------------------------------------------------------------------------------------------
$ 1,300 Total Short-Term Investments (cost $1,300,000) 1,300,000
- ---------------------------------------------------------------------------------------------------------------------
- ------------
Total Investments (cost $267,614,465) - 98.3% 280,313,480
-------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.7% 4,938,163
-------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 285,251,643
-------------------------------------------------------------------------------------------------------
(1) Optional Call Provisions: Dates (month and year) and prices of
the earliest optional call or redemption. There may be other
call provisions at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic principal
paydowns.
(2) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below BBB by Standard & Poor's Group or Baa by
Moody's Investor Service, Inc. are considered to be below
investment grade. The ratings shown for inverse floating rate
investments represent those of the underlying bonds and not the
inverse floating rate investments themselves. Inverse floating
rate investments likely present greater credit risk to the
holders of such investments than to those holders of the
underlying bonds.
(3) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which ensure the
timely payment of principal and interest. Such investments are
normally considered to be equivalent to AAA rated securities.
(4) Investment has a maturity of more than one year, but has
variable rate and demand features which qualify it as a
short-term investment. The rate disclosed is that in effect at
the end of the reporting period. This rate changes periodically
based on market conditions or a specified market index.
N/R Not rated.
(ETM) Escrowed to maturity.
(IF) Inverse floating rate investment.
See accompanying notes to financial statements.
- ----
19
Portfolio of Investments (Unaudited)
NUVEEN CALIFORNIA INSURED MUNICIPAL BOND FUND
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations - 5.0%
$ 2,125 California Educational Facilities Authority, Student Loan 3/08 at 102.00 Aaa $ 2,201,819
Revenue Bonds, Cal Loan Program, Series 2001A, 5.400%,
3/01/21 - MBIA Insured (Alternative Minimum Tax)
2,500 California State Public Works Board, Lease Revenue Bonds, 4/15 at 100.00 AAA 2,625,325
University of California, Institute Projects, Series
2005C, 5.000%, 4/01/30 - AMBAC Insured
2,250 California State University, Systemwide Revenue Bonds, 5/15 at 100.00 AAA 2,383,695
Series 2005A, 5.000%, 11/01/25 - AMBAC Insured
5,000 Long Beach Bond Financing Authority, California, Lease 11/11 at 101.00 AAA 5,285,200
Revenue Refunding Bonds, Long Beach Aquarium of the South
Pacific, Series 2001, 5.250%, 11/01/30 - AMBAC Insured
- ---------------------------------------------------------------------------------------------------------------------
11,875 Total Education and Civic Organizations 12,496,039
- ---------------------------------------------------------------------------------------------------------------------
Health Care - 2.6%
2,000 Antelope Valley Healthcare District, California, Insured 1/08 at 102.00 AAA 2,071,920
Revenue Refunding Bonds, Series 1997A, 5.200%, 1/01/27 -
FSA Insured
4,000 California Statewide Community Development Authority, 8/09 at 101.00 AAA 4,212,640
Certificates of Participation, Sutter Health Obligated
Group, Series 1999, 5.500%, 8/15/31 - FSA Insured
- ---------------------------------------------------------------------------------------------------------------------
6,000 Total Health Care 6,284,560
- ---------------------------------------------------------------------------------------------------------------------
Housing/Multifamily - 3.9%
4,180 California Statewide Community Development Authority, 12/11 at 100.00 AAA 4,314,512
Multifamily Housing Revenue Senior Bonds, Westgate
Courtyards Apartments, Series 2001X-1, 5.420%, 12/01/34 -
AMBAC Insured (Alternative Minimum Tax)
3,865 Los Angeles, California, GNMA Mortgage-Backed Securities 7/11 at 102.00 AAA 4,024,934
Program Multifamily Housing Revenue Bonds, Park Plaza West
Senior Apartments, Series 2001B, 5.400%, 1/20/31
(Alternative Minimum Tax)
1,285 Santa Cruz County Housing Authority, California, GNMA 7/09 at 102.00 AAA 1,326,454
Collateralized Multifamily Housing Revenue Bonds,
Northgate Apartments, Series 1999A, 5.500%, 7/20/40
(Alternative Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
9,330 Total Housing/Multifamily 9,665,900
- ---------------------------------------------------------------------------------------------------------------------
Housing/Single Family - 4.7%
California Department of Veterans Affairs, Home Purchase
Revenue Bonds, Series 2002A:
3,500 5.300%, 12/01/21 - AMBAC Insured 6/12 at 101.00 AAA 3,749,060
5,000 5.350%, 12/01/27 - AMBAC Insured 6/12 at 101.00 AAA 5,335,600
2,420 California Rural Home Mortgage Finance Authority, FNMA 6/12 at 101.00 Aaa 2,464,746
Mortgage-Backed Securities Program Single Family Mortgage
Revenue Bonds, Series 2002D, 5.250%, 6/01/34 (Alternative
Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
10,920 Total Housing/Single Family 11,549,406
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/General - 21.1%
Bonita Unified School District, San Diego County,
California, General Obligation Bonds, Series 2004A:
1,425 5.250%, 8/01/20 - MBIA Insured 8/14 at 100.00 AAA 1,552,880
1,570 5.250%, 8/01/21 - MBIA Insured 8/14 at 100.00 AAA 1,710,892
3,570 California, General Obligation Bonds, Series 2004, 5.000%, 2/14 at 100.00 AAA 3,830,217
2/01/17 - AMBAC Insured
4,080 Chaffey Joint Union High School District, San Bernardino 8/15 at 100.00 AAA 4,347,077
County, California, General Obligation Bonds, Series 2005,
5.000%, 8/01/23 - FGIC Insured
1,365 El Segundo Unified School District, Los Angeles County, 9/14 at 100.00 AAA 1,488,642
California, General Obligation Bonds, Series 2004, 5.250%,
9/01/20 - FGIC Insured
1,610 Eureka Unified School District, Humboldt County, 8/12 at 101.00 AAA 1,741,392
California, General Obligation Bonds, Series 2002, 5.250%,
8/01/23 - FSA Insured
1,000 Fremont Unified School District, Alameda County, 8/12 at 101.00 AAA 1,063,040
California, General Obligation Bonds, Series 2002A,
5.000%, 8/01/21 - FGIC Insured
Glendora Unified School District, Los Angeles County,
California, General Obligation Bonds, Series 2006A:
1,900 5.250%, 8/01/24 - MBIA Insured 8/16 at 100.00 AAA 2,080,557
1,000 5.250%, 8/01/25 - MBIA Insured 8/16 at 100.00 AAA 1,093,320
- ----
20
Portfolio of Investments (Unaudited)
NUVEEN CALIFORNIA INSURED MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -----------------------------------------------------------------------------------------------------------------------
Tax Obligation/General (continued)
Golden West Schools Financing Authority, California,
General Obligation Revenue Refunding Bonds, School District
Program, Series 1998A:
$ 2,650 0.000%, 8/01/19 - MBIA Insured 8/13 at 68.56 AAA $ 1,342,729
2,755 0.000%, 8/01/20 - MBIA Insured 8/13 at 63.85 AAA 1,294,712
2,500 Huntington Beach Union High School District, Orange County, 8/14 at 100.00 AAA 2,655,050
California, General Obligation Bonds, Series 2004, 5.000%,
8/01/22 - FSA Insured
Imperial Community College District, Imperial County,
California, General Obligation Bonds, Series 2005:
1,330 5.000%, 8/01/23 - FGIC Insured 8/14 at 100.00 AAA 1,417,062
1,510 5.000%, 8/01/24 - FGIC Insured 8/14 at 100.00 AAA 1,604,209
1,460 Jurupa Unified School District, Riverside County, 8/13 at 100.00 AAA 1,537,935
California, General Obligation Bonds, Series 2004, 5.000%,
8/01/24 - FGIC Insured
1,255 Los Angeles Community College District, Los Angeles County, 8/15 at 100.00 AAA 1,333,299
California, General Obligation Bonds, Series 2005A,
5.000%, 8/01/24 - FSA Insured
5,000 Los Angeles Unified School District, California, General 7/12 at 100.00 AAA 5,263,200
Obligation Bonds, Series 2002E, 5.125%, 1/01/27 - MBIA
Insured
1,280 Los Angeles Unified School District, California, General 7/13 at 100.00 AAA 1,342,144
Obligation Bonds, Series 2003A, 5.000%, 7/01/24 - FSA
Insured
2,405 Oak Valley Hospital District, Stanislaus County, 7/14 at 101.00 Aaa 2,510,435
California, General Obligation Bonds, Series 2005, 5.000%,
7/01/31 - FGIC Insured
270 Roseville Joint Union High School District, Placer County, 8/15 at 100.00 AAA 285,814
California, General Obligation Bonds, Series 2006B,
5.000%, 8/01/27 - FGIC Insured
1,590 Sacramento City Unified School District, Sacramento County, 7/15 at 100.00 Aaa 1,682,379
California, General Obligation Bonds, Series 2005, 5.000%,
7/01/27 - MBIA Insured
4,070 San Benito Health Care District, California, General 7/14 at 101.00 AAA 4,242,365
Obligation Bonds, Series 2005, 5.000%, 7/01/31 - XLCA
Insured
2,335 San Juan Unified School District, Sacramento County, 8/14 at 100.00 AAA 2,511,713
California, General Obligation Bonds, Series 2004A,
5.000%, 8/01/18 - MBIA Insured
1,000 San Ramon Valley Unified School District, Contra Costa 8/14 at 100.00 AAA 1,056,480
County, California, General Obligation Bonds, Series 2004,
5.000%, 8/01/24 - FSA Insured
3,040 Sulphur Springs Union School District, Los Angeles County, No Opt. Call AAA 2,126,054
California, General Obligation Bonds, Series 1991A,
0.000%, 9/01/15 - MBIA Insured
1,000 Washington Unified School District, Yolo County, 8/13 at 100.00 AAA 1,057,580
California, General Obligation Bonds, Series 2004A,
5.000%, 8/01/22 - FGIC Insured
- -----------------------------------------------------------------------------------------------------------------------
52,970 Total Tax Obligation/General 52,171,177
- -----------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited - 19.6%
1,915 Alameda County Redevelopment Agency, California, Eden Area 8/16 at 100.00 AAA 2,005,675
Redevelopment Project, Tax Allocation Bonds, Series 2006A,
5.000%, 8/01/36 - MBIA Insured
350 Barstow Redevelopment Agency, California, Tax Allocation No Opt. Call AAA 393,533
Bonds, Central Redevelopment Project, Series 1994A,
7.000%, 9/01/14 - MBIA Insured
1,655 Bell Community Housing Authority, California, Lease Revenue 10/15 at 100.00 AAA 1,724,229
Bonds, Series 2005, 5.000%, 10/01/36 - AMBAC Insured
2,250 Brea and Olinda Unified School District, Orange County, 8/11 at 101.00 AAA 2,353,748
California, Certificates of Participation Refunding,
Series 2002A, 5.125%, 8/01/26 - FSA Insured
1,960 California Infrastructure Economic Development Bank, 12/13 at 100.00 AAA 2,064,390
Revenue Bonds, North County Center for Self-Sufficiency
Corporation, Series 2004, 5.000%, 12/01/25 - AMBAC Insured
335 Capistrano Unified School District, Orange County, 9/15 at 100.00 AAA 355,043
California, Special Tax Bonds, Community Facilities
District, Series 2005, 5.000%, 9/01/24 - FGIC Insured
2,000 Cerritos Public Financing Authority, California, Tax 11/17 at 102.00 AAA 2,151,000
Allocation Revenue Bonds, Los Cerritos Redevelopment
Projects, Series 2002A, 5.000%, 11/01/24 - AMBAC Insured
- ----
21
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited (continued)
$ 1,400 Chula Vista Public Financing Authority, California, Pooled 9/15 at 100.00 AAA $ 1,466,640
Community Facility District Assessment Revenue Bonds,
Series 2005A, 5.000%, 9/01/29 - MBIA Insured
2,285 Folsom Cordova Unified School District, Sacramento County, 10/14 at 100.00 AAA 2,434,096
California, General Obligation Bonds, School Facilities
Improvement District 1, Series 2004B, 5.000%, 10/01/21 -
MBIA Insured
1,185 Folsom Cordova Unified School District, Sacramento County, 10/14 at 100.00 AAA 1,248,954
California, General Obligation Bonds, School Facilities
Improvement District 2, Series 2004B, 5.000%, 10/01/27 -
FSA Insured
1,840 Hawthorne Community Redevelopment Agency, California, 9/16 at 100.00 AAA 1,941,494
Project Area 2 Tax Allocation Bonds, Series 2006, 5.000%,
9/01/26 - XLCA Insured
260 Hesperia Community Redevelopment Agency, California, Tax 9/15 at 100.00 AAA 276,760
Allocation Bonds, Series 2005A, 5.000%, 9/01/20 - XLCA
Insured
4,555 Long Beach Bond Finance Authority, California, Multiple 8/15 at 100.00 AAA 4,718,889
Project Tax Allocation Bonds, Housing and Gas Utility
Financing Project Areas, Series 2005A-1, 5.000%, 8/01/35 -
AMBAC Insured
610 Los Angeles Community Redevelopment Agency, California, 9/15 at 100.00 Aaa 634,107
Lease Revenue Bonds, Manchester Social Services Project,
Series 2005, 5.000%, 9/01/37 - AMBAC Insured
1,000 Los Angeles Community Redevelopment Agency, California, Tax 12/14 at 100.00 AAA 1,063,480
Allocation Bonds, Bunker Hill Project, Series 2004A,
5.000%, 12/01/20 - FSA Insured
2,000 Los Angeles County Metropolitan Transportation Authority, 7/13 at 100.00 AAA 2,135,940
California, Proposition A First Tier Senior Sales Tax
Revenue Bonds, Series 2003B, 5.000%, 7/01/19 - MBIA Insured
1,460 Moreno Valley Unified School District, Riverside County, 3/14 at 100.00 AAA 1,534,007
California, Certificates of Participation, Series 2005,
5.000%, 3/01/23 - FSA Insured
14,050 Paramount Redevelopment Agency, California, Tax Allocation No Opt. Call AAA 5,679,291
Refunding Bonds, Redevelopment Project Area 1, Series
1998, 0.000%, 8/01/26 - MBIA Insured
290 Rialto Redevelopment Agency, California, Tax Allocation 9/15 at 100.00 AAA 301,615
Bonds, Merged Project Area, Series 2005A, 5.000%, 9/01/35
- XLCA Insured
8,000 Riverside County, California, Asset Leasing Corporate 6/12 at 101.00 AAA 8,449,840
Leasehold Revenue Bonds, Riverside County Hospital
Project, Series 1997B, 5.000%, 6/01/19 - MBIA Insured
360 Roseville, California, Certificates of Participation, 8/13 at 100.00 AAA 375,692
Public Facilities, Series 2003A, 5.000%, 8/01/25 - AMBAC
Insured
3,560 Roseville, California, Special Tax Bonds, Community 9/15 at 100.00 AAA 3,724,080
Facilities District 1 - Woodcreek West, Series 2005,
5.000%, 9/01/30 - AMBAC Insured
1,490 Tulare Public Financing Authority, California, Lease 10/07 at 102.00 AAA 1,540,943
Revenue Bonds, Capital Facilities Project, Series 1997,
5.125%, 10/01/22 - MBIA Insured
- ---------------------------------------------------------------------------------------------------------------------
54,810 Total Tax Obligation/Limited 48,573,446
- ---------------------------------------------------------------------------------------------------------------------
Transportation - 9.8%
6,500 Foothill/Eastern Transportation Corridor Agency, 1/10 at 100.00 AAA 6,688,370
California, Toll Road Revenue Bonds, Series 1995A, 5.000%,
1/01/35 - MBIA Insured
3,255 Foothill/Eastern Transportation Corridor Agency, 1/10 at 101.00 AAA 3,480,506
California, Toll Road Revenue Refunding Bonds, Series
1999, 5.750%, 1/15/40 - MBIA Insured
2,000 Port of Oakland, California, Revenue Bonds, Series 2000K, 5/10 at 100.00 AAA 2,116,400
5.750%, 11/01/29 - FGIC Insured (Alternative Minimum Tax)
625 San Francisco Airports Commission, California, Revenue 5/10 at 101.00 AAA 653,081
Bonds, San Francisco International Airport, Second Series
2000, Issue 26B, 5.000%, 5/01/21 - FGIC Insured
3,470 San Francisco Airports Commission, California, Revenue 5/08 at 101.00 AAA 3,583,296
Bonds, San Francisco International Airport, Second Series
Issue 16A, 5.375%, 5/01/16 - FSA Insured (Alternative
Minimum Tax)
5,000 San Francisco Airports Commission, California, Revenue 5/11 at 100.00 AAA 5,171,900
Refunding Bonds, San Francisco International Airport,
Second Series 2001, Issue 27A, 5.250%, 5/01/31 - MBIA
Insured (Alternative Minimum Tax)
1,290 San Francisco Airports Commission, California, Special 1/08 at 101.00 AAA 1,322,637
Facilities Lease Revenue Bonds, San Francisco
International Airport, SFO Fuel Company LLC, Series 1997A,
5.250%, 1/01/22 - AMBAC Insured (Alternative Minimum Tax)
- ----
22
Portfolio of Investments (Unaudited)
NUVEEN CALIFORNIA INSURED MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Transportation (continued)
$ 1,320 San Francisco Airports Commission, California, Special 1/08 at 102.00 AAA $ 1,386,528
Facilities Lease Revenue Bonds, San Francisco
International Airport, SFO Fuel Company LLC, Series 2000A,
6.100%, 1/01/20 - FSA Insured (Alternative Minimum Tax)
- ---------------------------------------------------------------------------------------------------------------------
23,460 Total Transportation 24,402,718
- ---------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed - 18.5% (3)
690 Barstow Redevelopment Agency, California, Tax Allocation No Opt. Call AAA 786,131
Bonds, Central Redevelopment Project, Series 1994A,
7.000%, 9/01/14 - MBIA Insured (ETM)
22,250 California, Various Purpose General Obligation Bonds, 3/10 at 101.00 AAA 24,071,384
Series 2000, 5.750%, 3/01/27 (Pre-refunded 3/01/10) - MBIA
Insured
3,305 Centinela Valley Union High School District, Los Angeles 8/10 at 102.00 AAA 3,517,379
County, California, General Obligation Bonds, Series
2002C, 5.200%, 8/01/32 - FGIC Insured (ETM)
3,195 Desert Community College District, Riverside County, 8/14 at 100.00 AAA 3,489,611
California, General Obligation Bonds, Series 2004A,
5.000%, 8/01/23 (Pre-refunded 8/01/14) - MBIA Insured
6,000 Oakland, California, Insured Revenue Bonds, 1800 Harrison 1/10 at 100.00 AAA 6,478,500
Foundation - Kaiser Permanente, Series 1999A, 6.000%,
1/01/29 (Pre-refunded 1/01/10) - AMBAC Insured
4,570 Sacramento City Unified School District, Sacramento County, 7/09 at 102.00 Aaa 4,969,235
California, General Obligation Bonds, Series 2000A,
6.000%, 7/01/29 (Pre-refunded 7/01/09) - FGIC Insured
2,500 San Bernardino County Transportation Authority, California, No Opt. Call AAA 2,604,500
Limited Sales Tax Revenue Bonds, Series 1992A, 6.000%,
3/01/10 - FGIC Insured (ETM)
- ---------------------------------------------------------------------------------------------------------------------
42,510 Total U.S. Guaranteed 45,916,740
- ---------------------------------------------------------------------------------------------------------------------
Utilities - 6.8%
1,310 Anaheim Public Finance Authority, California, Second Lien 10/14 at 100.00 AAA 1,432,328
Electric Distribution Revenue Bonds, Series 2004, 5.250%,
10/01/17 - MBIA Insured
5,000 California Pollution Control Financing Authority, 4/11 at 102.00 AAA 5,353,750
Remarketed Revenue Bonds, Pacific Gas and Electric
Company, Series 1996A, 5.350%, 12/01/16 - MBIA Insured
(Alternative Minimum Tax)
1,000 California Pollution Control Financing Authority, Revenue 9/09 at 101.00 AAA 1,050,880
Refunding Bonds, Southern California Edison Company,
Series 1999B, 5.450%, 9/01/29 - MBIA Insured
595 Merced Irrigation District, California, Electric System 9/15 at 100.00 AAA 627,904
Revenue Bonds, Series 2005, 5.125%, 9/01/31 - XLCA Insured
3,500 Northern California Power Agency, Revenue Refunding Bonds, 7/08 at 101.00 AAA 3,605,700
Hydroelectric Project 1, Series 1998A, 5.125%, 7/01/23 -
MBIA Insured
1,950 Salinas Valley Solid Waste Authority, California, Revenue 8/12 at 100.00 AAA 2,041,123
Bonds, Series 2002, 5.250%, 8/01/27 - AMBAC Insured
(Alternative Minimum Tax)
2,700 Santa Clara, California, Subordinate Electric Revenue 7/13 at 100.00 AAA 2,841,750
Bonds, Series 2003A, 5.000%, 7/01/23 - MBIA Insured
- ---------------------------------------------------------------------------------------------------------------------
16,055 Total Utilities 16,953,435
- ---------------------------------------------------------------------------------------------------------------------
Water and Sewer - 7.3%
3,070 California Special District Finance Program, Certificates 9/10 at 100.00 AAA 3,209,409
of Participation, Water and Wastewater Revenue Bonds,
Jurupa Community Services District, Series 2001NN, 5.250%,
9/01/32 - MBIA Insured
400 Healdsburg Public Financing Authority, California, 4/16 at 100.00 AAA 420,024
Wastewater Revenue Bonds, Series 2006, 5.000%, 4/01/36 -
MBIA Insured
2,850 Metropolitan Water District of Southern California, Water 1/08 at 101.00 AAA 2,901,044
Revenue Bonds, Series 1997A, 5.000%, 7/01/37 - FGIC Insured
6,000 Orange County Sanitation District, California, Certificates 8/13 at 100.00 AAA 6,236,040
of Participation, Series 2003, 5.000%, 2/01/33 - FGIC
Insured
1,000 Orange County Water District, California, Revenue 2/15 at 100.00 AAA 1,051,700
Certificates of Participation, Series 2005B,
5.000%, 8/15/24 - MBIA Insured
- ----
23
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ---------------------------------------------------------------------------------------------------------------------
Water and Sewer (continued)
$ 1,500 Sacramento County Sanitation District Financing Authority, 12/14 at 100.00 AAA $ 1,599,540
California, Revenue Bonds, Series 2004A, 5.000%, 12/01/21
- AMBAC Insured
2,500 Westlands Water District, California, Revenue Certificates 3/15 at 100.00 AAA 2,606,325
of Participation, Series 2005A, 5.000%, 9/01/30 - MBIA
Insured
- ---------------------------------------------------------------------------------------------------------------------
17,320 Total Water and Sewer 18,024,082
- ---------------------------------------------------------------------------------------------------------------------
$ 245,250 Total Investments (cost $232,280,473) - 99.3% 246,037,503
- ---------------------------------------------------------------------------------------------------------------------
- ------------
Other Assets Less Liabilities - 0.7% 1,710,671
-------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 247,748,174
-------------------------------------------------------------------------------------------------------
Primarily all of the bonds in the Portfolio of Investments are
either covered by Original Issue Insurance, Secondary Market
Insurance or Portfolio Insurance, or are backed by an escrow or
trust containing sufficient U.S. Government or U.S. Government
agency securities, any of which ensure the timely payment of
principal and interest.
(1) Optional Call Provisions: Dates (month and year) and prices of
the earliest optional call or redemption. There may be other
call provisions at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic principal
paydowns.
(2) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below BBB by Standard & Poor's Group or Baa by
Moody's Investor Service, Inc. are considered to be below
investment grade.
(3) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which ensure the
timely payment of principal and interest.
(ETM) Escrowed to maturity.
See accompanying notes to financial statements.
- ----
24
Statement of Assets and Liabilities (Unaudited)
August 31, 2006
California California
High Yield California Insured
- ----------------------------------------------------------------------------------------------------------------------------
Assets
Investments, at value (cost $5,399,714, $267,614,465 and $232,280,473, respectively) $5,513,543 $280,313,480 $246,037,503
Cash -- 1,741,544 --
Receivables:
Fund Manager 364 -- --
Interest 69,628 3,871,553 2,916,090
Investments sold -- 305,000 95,000
Shares sold 34,132 924,304 125,000
Other assets -- 8,898 13,761
- ----------------------------------------------------------------------------------------------------------------------------
Total assets 5,617,667 287,164,779 249,187,354
- ----------------------------------------------------------------------------------------------------------------------------
Liabilities
Cash overdraft 111,416 -- 34,737
Payables:
Investments purchased 100,000 300,787 --
Shares redeemed -- 387,094 345,831
Accrued expenses:
Management fees -- 126,466 111,298
12b-1 distribution and service fees 1,589 37,813 33,469
Other 4,908 78,695 70,632
Dividends payable 17,013 982,281 843,213
- ----------------------------------------------------------------------------------------------------------------------------
Total liabilities 234,926 1,913,136 1,439,180
- ----------------------------------------------------------------------------------------------------------------------------
Net assets $5,382,741 $285,251,643 $247,748,174
- ----------------------------------------------------------------------------------------------------------------------------
Class A Shares
Net assets $3,718,741 $ 89,595,091 $ 87,844,947
Shares outstanding 363,314 8,617,251 8,124,706
Net asset value per share $ 10.24 $ 10.40 $ 10.81
Offering price per share (net asset value per share plus
maximum sales charge of 4.20% of offering price) $ 10.69 $ 10.86 $ 11.28
- ----------------------------------------------------------------------------------------------------------------------------
Class B Shares
Net assets $ 20,593 $ 10,978,784 $ 13,380,664
Shares outstanding 2,013 1,056,605 1,235,227
Net asset value and offering price per share $ 10.23 $ 10.39 $ 10.83
- ----------------------------------------------------------------------------------------------------------------------------
Class C Shares
Net assets $1,638,287 $ 22,141,453 $ 12,569,031
Shares outstanding 160,165 2,134,050 1,168,316
Net asset value and offering price per share $ 10.23 $ 10.38 $ 10.76
- ----------------------------------------------------------------------------------------------------------------------------
Class R Shares
Net assets $ 5,120 $162,536,315 $133,953,532
Shares outstanding 500 15,641,585 12,379,292
Net asset value and offering price per share $ 10.24 $ 10.39 $ 10.82
- ----------------------------------------------------------------------------------------------------------------------------
Net Assets Consist of:
- ----------------------------------------------------------------------------------------------------------------------------
Capital paid-in $5,273,713 $280,022,609 $233,367,111
Undistributed (Over-distribution of) net investment income (4,801) (458,726) (243,671)
Accumulated net realized gain (loss) from investments -- (7,011,255) 867,704
Net unrealized appreciation (depreciation) of investments 113,829 12,699,015 13,757,030
- ----------------------------------------------------------------------------------------------------------------------------
Net assets $5,382,741 $285,251,643 $247,748,174
- ----------------------------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
- ----
25
Statement of Operations (Unaudited)
California
High Yield California
---------------------- ----------------
For the Period 3/28/06
(commencement of
operations) through Six Months Ended
8/31/06 8/31/06
- ----------------------------------------------------------------------------------------------------------------------------------
Investment Income $ 68,967 $6,896,820
- ----------------------------------------------------------------------------------------------------------------------------------
Expenses
Management fees 9,552 736,965
12b-1 service fees - Class A 2,333 85,686
12b-1 distribution and service fees - Class B 68 56,273
12b-1 distribution and service fees - Class C 3,361 80,415
Shareholders' servicing agent fees and expenses 866 75,522
Custodian's fees and expenses 7,254 43,058
Trustees' fees and expenses 54 3,009
Professional fees 5,170 10,750
Shareholders' reports - printing and mailing expenses 693 20,004
Federal and state registration fees 1,106 1,765
Other expenses 1,243 4,418
- ----------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit, expense reimbursement, and legal fee refund 31,700 1,117,865
Custodian fee credit (2,668) (18,407)
Expense reimbursement (13,939) --
Legal fee refund -- (5,083)
- ----------------------------------------------------------------------------------------------------------------------------------
Net expenses 15,093 1,094,375
- ----------------------------------------------------------------------------------------------------------------------------------
Net investment income 53,874 5,802,445
- ----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from investments -- (44,016)
Net change in unrealized appreciation (depreciation) of investments 113,829 (693,756)
- ----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 113,829 (737,772)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $167,703 $5,064,673
- ----------------------------------------------------------------------------------------------------------------------------------
California
Insured
----------------
Six Months Ended
8/31/06
- ---------------------------------------------------------------------------------------------------------
Investment Income $ 6,061,520
- ---------------------------------------------------------------------------------------------------------
Expenses
Management fees 665,281
12b-1 service fees - Class A 86,407
12b-1 distribution and service fees - Class B 68,248
12b-1 distribution and service fees - Class C 47,006
Shareholders' servicing agent fees and expenses 61,662
Custodian's fees and expenses 33,566
Trustees' fees and expenses 2,621
Professional fees 9,999
Shareholders' reports - printing and mailing expenses 17,142
Federal and state registration fees 1,718
Other expenses 4,168
- ---------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit, expense reimbursement, and legal fee refund 997,818
Custodian fee credit (6,259)
Expense reimbursement --
Legal fee refund --
- ---------------------------------------------------------------------------------------------------------
Net expenses 991,559
- ---------------------------------------------------------------------------------------------------------
Net investment income 5,069,961
- ---------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from investments 554,395
Net change in unrealized appreciation (depreciation) of investments (1,836,108)
- ---------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (1,281,713)
- ---------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ 3,788,248
- ---------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
- ----
26
Statement of Changes in Net Assets (Unaudited)
California High Yield California
---------------------- ------------------------------
For the period 3/28/06
(commencement of
operations) through Six Months Ended Year Ended
8/31/06 8/31/06 2/28/06
- ------------------------------------------------------------------------------------------------------------------------------
Operations
Net investment income $ 53,874 $ 5,802,445 $ 11,581,956
Net realized gain (loss) from investments -- (44,016) 335,391
Net change in unrealized appreciation (depreciation) of investments 113,829 (693,756) (533,035)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 167,703 5,064,673 11,384,312
- ------------------------------------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income:
Class A (43,303) (1,750,488) (3,154,503)
Class B (249) (198,977) (521,065)
Class C (15,045) (384,193) (778,459)
Class R (78) (3,448,634) (7,444,490)
From accumulated net realized gains:
Class A -- -- --
Class B -- -- --
Class C -- -- --
Class R -- -- --
- ------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (58,675) (5,782,292) (11,898,517)
- ------------------------------------------------------------------------------------------------------------------------------
Fund Share Transactions
Proceeds from sale of shares 5,282,562 31,026,074 24,184,394
Proceeds from shares issued to shareholders due
to reinvestment of distributions 21,887 3,311,084 6,928,543
- ------------------------------------------------------------------------------------------------------------------------------
5,304,449 34,337,158 31,112,937
Cost of shares redeemed (30,736) (20,017,678) (27,945,821)
- ------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from Fund share transactions 5,273,713 14,319,480 3,167,116
- ------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets 5,382,741 13,601,861 2,652,911
Net assets at the beginning of period -- 271,649,782 268,996,871
- ------------------------------------------------------------------------------------------------------------------------------
Net assets at the end of period $5,382,741 $285,251,643 $271,649,782
- ------------------------------------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of) net investment income at the end
of period $ (4,801) $ (458,726) $ (478,879)
- ------------------------------------------------------------------------------------------------------------------------------
California Insured
------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
- -----------------------------------------------------------------------------------------------------
Operations
Net investment income $ 5,069,961 $ 10,612,463
Net realized gain (loss) from investments 554,395 1,454,288
Net change in unrealized appreciation (depreciation) of investments (1,836,108) (1,499,540)
- -----------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 3,788,248 10,567,211
- -----------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income:
Class A (1,755,503) (3,447,900)
Class B (235,313) (576,643)
Class C (218,607) (453,166)
Class R (2,895,128) (6,182,683)
From accumulated net realized gains:
Class A -- (285,208)
Class B -- (54,870)
Class C -- (42,880)
Class R -- (477,906)
- -----------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (5,104,551) (11,521,256)
- -----------------------------------------------------------------------------------------------------
Fund Share Transactions
Proceeds from sale of shares 8,830,355 15,122,386
Proceeds from shares issued to shareholders due
to reinvestment of distributions 2,887,235 6,582,323
- -----------------------------------------------------------------------------------------------------
11,717,590 21,704,709
Cost of shares redeemed (17,629,690) (25,580,892)
- -----------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from Fund share transactions (5,912,100) (3,876,183)
- -----------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (7,228,403) (4,830,228)
Net assets at the beginning of period 254,976,577 259,806,805
- -----------------------------------------------------------------------------------------------------
Net assets at the end of period $247,748,174 $254,976,577
- -----------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of) net investment income at the end
of period $ (243,671) $ (209,081)
- -----------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
- ----
27
Notes to Financial Statements (Unaudited)
1. General Information and Significant Accounting Policies
The Nuveen Multistate Trust II (the "Trust") is an open-end investment company
registered under the Investment Company Act of 1940, as amended. The Trust is
comprised of Nuveen California High Yield Municipal Bond Fund ("California High
Yield"), Nuveen California Municipal Bond Fund ("California") and Nuveen
California Insured Municipal Bond Fund ("California Insured") (collectively,
the "Funds"), among others. The Trust was organized as a Massachusetts business
trust on July 1, 1996. The Funds were each organized as a series of predecessor
trusts or corporations prior to that date.
California and California Insured seek to provide tax-free income and
preservation of capital through investments in diversified portfolios of
municipal bonds.
California High Yield seeks to provide a high level of tax-free income through
investments in a diversified portfolio of high yield municipal bonds.
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements in accordance with
accounting principles generally accepted in the United States.
Investment Valuation
The prices of municipal bonds in each Fund's investment portfolio are provided
by a pricing service approved by the Fund's Board of Trustees. When market
price quotes are not readily available (which is usually the case for municipal
securities), the pricing service or, in the absence of a pricing service for a
particular security, the Board of Trustees of the Funds, or its designee, may
establish fair value using a wide variety of market data including yields or
prices of municipal bonds of comparable quality, type of issue, coupon,
maturity and rating, market quotes or indications of value from securities
dealers, evaluations of anticipated cash flows or collateral, general market
conditions and other information and analysis, including the obligor's credit
characteristics considered relevant by the pricing service or the Board of
Trustees' designee. Temporary investments in securities that have variable rate
and demand features qualifying them as short-term investments are valued at
amortized cost, which approximates market value.
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and
losses from transactions are determined on the specific identification method.
Investments purchased on a when-issued or delayed delivery basis may have
extended settlement periods. Any investments so purchased are subject to market
fluctuation during this period. The Funds have instructed the custodian to
segregate assets with a current value at least equal to the amount of the
when-issued/delayed delivery purchase commitments. At August 31, 2006,
California High Yield had outstanding when-issued/delayed delivery purchase
commitments of $100,000. There were no such outstanding purchase commitments in
California or California Insured.
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
Investment income also includes paydown gains and losses, if any.
Professional Fees
Professional fees presented in the Statement of Operations consist of legal
fees incurred in the normal course of operations, audit fees, tax consulting
fees and, in some cases, workout expenditures. Workout expenditures are
incurred in an attempt to protect or enhance an investment, or to pursue other
claims or legal actions on behalf of each Fund's shareholders. Legal fee refund
presented on the Statement of Operations for California reflects a refund of
workout expenditures paid in a prior reporting period.
Dividends and Distributions to Shareholders
Tax-exempt net investment income is declared monthly as a dividend. Generally,
payment is made or reinvestment is credited to shareholder accounts on the
first business day after month-end. Net realized capital gains and/or market
discount from investment transactions, if any, are distributed to shareholders
not less frequently than annually. Furthermore, capital gains are distributed
only to the extent they exceed available capital loss carryforwards.
Distributions to shareholders of tax-exempt net investment income, net realized
capital gains and/or market discount, if any, are recorded on the ex-dividend
date. The amount and timing of distributions are determined in accordance with
federal income tax regulations, which may differ from accounting principles
generally accepted in the United States.
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. Furthermore,
each Fund intends to satisfy conditions which will enable interest from
municipal securities, which is exempt from regular federal and California state
income taxes, to retain such tax-exempt status when distributed to shareholders
of the Funds. Net realized capital gains and ordinary income distributions paid
by the Funds are subject to federal taxation.
Insurance
California Insured invests primarily in municipal securities which are either
covered by insurance or backed by an escrow or trust account containing
sufficient U.S. Government or U.S. Government agency securities, both of which
ensure the timely payment of principal and interest. Each insured municipal
security is covered by Original Issue Insurance, Secondary Market Insurance or
Portfolio Insurance. Such insurance does not guarantee the market value of the
municipal securities or the value of the Fund's
- ----
28
Notes to Financial Statements (Unaudited) (continued)
shares. Original Issue Insurance and Secondary Market Insurance remain in
effect as long as the municipal securities covered thereby remain outstanding
and the insurer remains in business, regardless of whether the Fund ultimately
disposes of such municipal securities. Consequently, the market value of the
municipal securities covered by Original Issue Insurance or Secondary Market
Insurance may reflect value attributable to the insurance. Portfolio Insurance,
in contrast, is effective only while the municipal securities are held by the
Fund. Accordingly, neither the prices used in determining the market value of
the underlying municipal securities nor the net asset value of the Fund's
shares include value, if any, attributable to the Portfolio Insurance. Each
policy of the Portfolio Insurance does, however, give the Fund the right to
obtain permanent insurance with respect to the municipal security covered by
the Portfolio Insurance policy at the time of its sale.
Flexible Sales Charge Program
Each Fund offers Class A, B, C and R Shares. Class A Shares are generally sold
with an up-front sales charge and incur a .20% annual 12b-1 service fee. Class
A Share purchases of $1 million or more are sold at net asset value without an
up-front sales charge but may be subject to a contingent deferred sales charge
("CDSC") if redeemed within 18 months of purchase. Class B Shares are sold
without an up-front sales charge but incur a .75% annual 12b-1 distribution fee
and a .20% annual 12b-1 service fee. An investor purchasing Class B Shares
agrees to pay a CDSC of up to 5% depending upon the length of time the shares
are held by the investor (CDSC is reduced to 0% at the end of six years). Class
B Shares convert to Class A Shares eight years after purchase. Class C Shares
are sold without an up-front sales charge but incur a .55% annual 12b-1
distribution fee and a .20% annual 12b-1 service fee. An investor purchasing
Class C Shares agrees to pay a CDSC of 1% if Class C Shares are redeemed within
one year of purchase. Class R Shares are not subject to any sales charge or
12b-1 distribution or service fees. Class R Shares are available only under
limited circumstances.
Derivative Financial Instruments
The Funds are authorized to invest in certain derivative financial instruments
including futures, forward, swap and option contracts, and other financial
instruments with similar characteristics including inverse floating rate
securities. During the six months ended August 31, 2006, California invested in
inverse floating rate securities for the purpose of enhancing portfolio yield.
Inverse floating rate securities are identified in the Portfolio of Investments
and are valued daily. The interest rate of an inverse floating rate security
has an inverse relationship to the interest rate of a short-term floating rate
security. Consequently, as the interest rate of the floating rate security
rises, the interest rate on the inverse floating rate security declines.
Conversely, as the interest rate of the floating rate security declines, the
interest rate on the inverse floating rate security rises. The price of an
inverse floating rate security will be more volatile than that of an otherwise
comparable fixed rate security since the interest rate is dependent on an
underlying fixed coupon rate or the general level of long-term interest rates
as well as the short-term interest paid on the floating rate security, and
because the inverse floating rate security typically bears the risk of loss of
a greater face value of an underlying bond. California High Yield and
California Insured did not invest in any such instruments during the period
ended August 31, 2006.
Expense Allocation
Expenses of the Funds that are not directly attributable to a specific class of
shares are prorated among the classes based on the relative net assets of each
class. Expenses directly attributable to a class of shares, which presently
only include 12b-1 distribution and service fees, are recorded to the specific
class.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on each Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Indemnifications
Under the Trust's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, in the normal course of business, the Trust
enters into contracts that provide general indemnifications to other parties.
The Trust's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Trust that have not yet
occurred. However, the Trust has not had prior claims or losses pursuant to
these contracts and expects the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results may differ from those estimates.
- ----
29
2. Fund Shares
Transactions in Fund shares were as follows:
California High Yield
---------------------------
For the period 3/28/06
(commencement of operations)
through 8/31/06
---------------------------
Shares Amount
- ----------------------------------------------------------------------------------------------------------
Shares sold:
Class A 364,388 $3,654,533
Class B 1,999 19,995
Class C 159,994 1,603,033
Class R 500 5,001
Shares issued to shareholders due to reinvestment
of distributions:
Class A 1,996 20,036
Class B 14 140
Class C 171 1,711
Class R -- --
- ----------------------------------------------------------------------------------------------------------
529,062 5,304,449
- ----------------------------------------------------------------------------------------------------------
Shares redeemed:
Class A (3,070) (30,736)
Class B -- --
Class C -- --
Class R -- --
- ----------------------------------------------------------------------------------------------------------
(3,070) (30,736)
- ----------------------------------------------------------------------------------------------------------
Net increase (decrease) 525,992 $5,273,713
- ----------------------------------------------------------------------------------------------------------
California
-----------------------------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
------------------------ ---------------------------
Shares Amount Shares Amount
- ----------------------------------------------------------------------------------------------------------
Shares sold:
Class A 2,094,081 $ 21,528,263 1,584,639 $ 16,482,717
Class A - automatic conversion of Class B shares 19,469 200,789 75,843 790,621
Class B 8,707 89,995 50,007 520,514
Class C 200,880 2,065,644 399,712 4,163,015
Class R 693,320 7,141,383 213,997 2,227,527
Shares issued to shareholders due to reinvestment
of distributions:
Class A 69,993 720,334 122,509 1,277,463
Class B 9,459 97,331 23,304 242,968
Class C 15,554 159,804 32,865 342,133
Class R 226,716 2,333,615 485,847 5,065,979
- ----------------------------------------------------------------------------------------------------------
3,338,179 34,337,158 2,988,723 31,112,937
- ----------------------------------------------------------------------------------------------------------
Shares redeemed:
Class A (1,084,188) (11,149,005) (883,816) (9,203,426)
Class B (201,706) (2,079,690) (294,855) (3,063,513)
Class B - automatic conversion to Class A shares (19,486) (200,789) (75,914) (790,621)
Class C (117,058) (1,203,433) (235,075) (2,444,711)
Class R (523,450) (5,384,761) (1,193,841) (12,443,550)
- ----------------------------------------------------------------------------------------------------------
(1,945,888) (20,017,678) (2,683,501) (27,945,821)
- ----------------------------------------------------------------------------------------------------------
Net increase (decrease) 1,392,291 $ 14,319,480 305,222 $ 3,167,116
- ----------------------------------------------------------------------------------------------------------
- ----
30
Notes to Financial Statements (Unaudited) (continued)
California Insured
--------------------------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
------------------------ ------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------
Shares sold:
Class A 571,153 $ 6,113,575 1,105,919 $ 12,056,183
Class A - automatic conversion of Class B shares 98,788 1,056,230 51,195 555,762
Class B 8,079 86,481 40,691 445,624
Class C 82,984 884,591 115,393 1,251,318
Class R 64,710 689,478 74,719 813,499
Shares issued to shareholders due to reinvestment
of distributions:
Class A 71,664 767,140 149,963 1,630,318
Class B 7,537 80,863 18,953 206,451
Class C 10,723 114,252 24,357 263,376
Class R 179,614 1,924,980 411,876 4,482,178
- -------------------------------------------------------------------------------------------------------
1,095,252 11,717,590 1,993,066 21,704,709
- -------------------------------------------------------------------------------------------------------
Shares redeemed:
Class A (551,721) (5,904,127) (829,234) (9,022,761)
Class B (89,708) (957,983) (299,510) (3,273,353)
Class B - automatic conversion to Class A shares (98,603) (1,056,230) (51,119) (555,762)
Class C (116,144) (1,235,834) (142,908) (1,553,112)
Class R (791,781) (8,475,516) (1,026,789) (11,175,904)
- -------------------------------------------------------------------------------------------------------
(1,647,957) (17,629,690) (2,349,560) (25,580,892)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) (552,705) $ (5,912,100) (356,494) $ (3,876,183)
- -------------------------------------------------------------------------------------------------------
3. Investment Transactions
Purchases and sales (including maturities but excluding short-term investments)
during the six months ended August 31, 2006, were as follows:
California California
High Yield* California Insured
--------------------------------------------------------
Purchases $5,400,075 $31,815,923 $15,275,656
Sales and maturities -- 21,119,752 21,083,380
--------------------------------------------------------
* For the period March 28, 2006 (commencement of operations) through August
31, 2006.
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 the treatment of paydown gains and losses, timing differences
in recognizing taxable market discount and timing differences in recognizing
certain gains and losses on investment transactions. To the extent that
differences arise that are permanent in nature, such amounts are reclassified
within the capital accounts on the Statement of Assets and Liabilities, based
on their Federal tax basis treatment and have no impact on the net asset value
of the Funds. Temporary differences do not require reclassification.
At August 31, 2006, the cost of investments was as follows:
California California
High Yield California Insured
--------------------------------------------------------
Cost of investments $5,399,571 $267,574,417 $232,099,288
--------------------------------------------------------
Gross unrealized appreciation and gross unrealized depreciation of investments
at August 31, 2006, were as follows:
California California
High Yield California Insured
- -----------------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $114,229 $12,755,193 $13,946,266
Depreciation (257) (16,130) (8,051)
- -----------------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $113,972 $12,739,063 $13,938,215
- -----------------------------------------------------------------------------------------------
- ----
31
The tax components of undistributed net tax-exempt income, net ordinary income
and net long-term capital gains at February 28, 2006, the Funds' last tax year
end, were as follows:
California
California Insured
---------------------------------------------------------------
Undistributed net tax-exempt income* $423,478 $485,378
Undistributed net ordinary income** -- --
Undistributed net long-term capital gains -- 313,309
---------------------------------------------------------------
* Undistributed net tax-exempt income (on a tax basis) has not been reduced
for the dividend declared on February 9, 2006, paid on March 1, 2006.
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
The tax character of distributions paid during the Funds' last tax year ended
February 28, 2006, was designated for purposes of the dividends paid deduction
as follows:
California
California Insured
----------------------------------------------------------------------
Distributions from net tax-exempt income $11,991,592 $10,733,670
Distributions from net ordinary income** -- --
Distributions from net long-term capital gains -- 860,864
----------------------------------------------------------------------
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
At February 28, 2006, the Funds' last tax year end, California had unused
capital loss carryforwards available for federal income tax purposes to be
applied against future capital gains, if any. If not applied, the carryforwards
will expire as follows:
---------------------------
Expiration year:
2011 $1,782,040
2012 5,101,139
2013 84,060
---------------------------
Total $6,967,239
---------------------------
5. Management Fee and Other Transactions with Affiliates
Each Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by Nuveen
Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen
Investments, Inc. ("Nuveen"), and a specific fund-level component, based only
on the amount of assets within each individual fund. This pricing structure
enables Nuveen fund shareholders to benefit from growth in the assets within
each individual fund as well as from growth in the amount of complex-wide
assets managed by the Adviser.
The annual fund-level fee, payable monthly, for each Fund is based upon the
average daily net assets of each Fund as follows:
California High Yield
Average Daily Net Assets Fund-Level Fee Rate
-----------------------------------------------------
For the first $125 million .4000%
For the next $125 million .3875
For the next $250 million .3750
For the next $500 million .3625
For the next $1 billion .3500
For net assets over $2 billion .3250
-----------------------------------------------------
California
California Insured
Average Daily Net Assets Fund-Level Fee Rate
---------------------------------------------------
For the first $125 million .3500%
For the next $125 million .3375
For the next $250 million .3250
For the next $500 million .3125
For the next $1 billion .3000
For the next $3 billion .2750
For net assets over $5 billion .2500
---------------------------------------------------
- ----
32
Notes to Financial Statements (Unaudited) (continued)
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 August 31, 2006, the complex-level fee rate was .1863%.
Complex-Level Assets/(1)/ Complex-Level Fee Rate
----------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion/(2)/ .1400
----------------------------------------------------------------
(1)The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds in
the U.S.
(2)With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level fee
rate for such complex-wide Managed Assets shall be .1400% until such time as
a different rate or rates is determined.
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Trust pays no
compensation directly to those of its Trustees who are affiliated with the
Adviser or to its Officers, all of whom receive remuneration for their services
to the Trust from the Adviser or its affiliates. The Board of Trustees has
adopted a deferred compensation plan for independent Trustees that enables
Trustees to elect to defer receipt of all or a portion of the annual
compensation they are entitled to receive from certain Nuveen advised Funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised Funds.
The Adviser has agreed to waive part of its management fees or reimburse
certain expenses of each Fund in order to limit total expenses (excluding 12b-1
distribution and service fees and extraordinary expenses) from exceeding .75%
of the average daily net assets of California High Yield through June 30, 2009
(1.00% after June 30, 2009), .75% of the average daily net assets of California
and .975% of the average daily net assets of California Insured. The Adviser
may also voluntarily reimburse additional expenses from time to time. Voluntary
reimbursements may be terminated at any time at the Adviser's discretion.
During the six months ended August 31, 2006, Nuveen Investments, LLC (the
"Distributor"), a wholly owned subsidiary of Nuveen, collected sales charges on
purchases of Class A Shares, the majority of which were paid out as concessions
to authorized dealers as follows:
California California
High Yield* California Insured
------------------------------------------------------------
Sales charges collected $63,192 $57,503 $97,554
Paid to authorized dealers 54,393 50,353 84,593
------------------------------------------------------------
* For the period March 28, 2006 (commencement of operations) through August
31, 2006.
The Distributor also received 12b-1 service fees on Class A Shares,
substantially all of which were paid to compensate authorized dealers for
providing services to shareholders relating to their investments.
During the six months ended August 31, 2006, the Distributor compensated
authorized dealers directly with commission advances at the time of purchase as
follows:
California California
High Yield* California Insured
-----------------------------------------------------
Commission advances $18,012 $23,288 $30,057
-----------------------------------------------------
* For the period March 28, 2006 (commencement of operations) through August
31, 2006.
To compensate for commissions advanced to authorized dealers, all 12b-1 service
fees collected on Class B Shares during the first year following a purchase,
all 12b-1 distribution fees collected on Class B Shares, and all 12b-1 service
and distribution fees collected on Class C Shares during the first year
following a purchase are retained by the Distributor. During the six months
ended August 31, 2006, the Distributor retained such 12b-1 fees as follows:
California California
High Yield* California Insured
-----------------------------------------------------
12b-1 fees retained $3,261 $77,696 $59,873
-----------------------------------------------------
* For the period March 28, 2006 (commencement of operations) through August
31, 2006.
The remaining 12b-1 fees charged to the Funds were paid to compensate
authorized dealers for providing services to shareholders relating to their
investments.
- ----
33
The Distributor also collected and retained CDSC on share redemptions during
the six months ended August 31, 2006, as follows:
California California
High Yield* California Insured
-----------------------------------------------
CDSC retained $-- $20,689 $13,079
-----------------------------------------------
* For the period March 28, 2006 (commencement of operations) through August
31, 2006.
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 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 dividend distributions from their tax-exempt net investment
income which were paid on October 2, 2006, to shareholders of record on
September 8, 2006, as follows:
California California
High Yield California Insured
----------------------------------------------------
Dividend per share:
Class A $.0375 $.0355 $.0365
Class B .0310 .0290 .0295
Class C .0325 .0310 .0310
Class R .0390 .0375 .0380
----------------------------------------------------
- ----
34
Financial Highlights (Unaudited)
Selected data for a share outstanding throughout each period:
Class (Commencement Date)
Investment Operations Less Distributions
-------------------------- ---------------------- ------
CALIFORNIA HIGH YIELD
Net
Beginning Net Realized/ Net Ending Ending
Net Invest- Unrealized Invest- Net Net
Asset ment Gain ment Capital Asset Total Assets
Year Ended February 28/29, Value Income(a) (Loss) Total Income Gains Total Value Return(b) (000)
- ---------------------------------------------------------------------------------------------------------------------
Class A (3/06)
2007(e) $10.00 $.15 $.24 $.39 $(.15) $-- $(.15) $10.24 3.93% $3,719
Class B (3/06)
2007(e) 10.00 .12 .23 .35 (.12) -- (.12) 10.23 3.56 21
Class C (3/06)
2007(e) 10.00 .13 .23 .36 (.13) -- (.13) 10.23 3.63 1,638
Class R (3/06)
2007(e) 10.00 .15 .25 .40 (.16) -- (.16) 10.24 3.99 5
- ---------------------------------------------------------------------------------------------------------------------
Class (Commencement Date)
Ratios/Supplemental Data
-------------------------------------------------------------------------
Before Credit/ After After Credit/
Reimbursement Reimbursement(c) Reimbursement(d)
CALIFORNIA HIGH YIELD ------------------ ------------------ ------------------
Ratio Ratio Ratio
of Net of Net of Net
Invest- Invest- Invest-
Ratio of ment Ratio of ment Ratio of ment
Expenses Income Expenses Income Expenses Income
to to to to to to
Average Average Average Average Average Average Portfolio
Net Net Net Net Net Net Turnover
Year Ended February 28/29, Assets Assets Assets Assets Assets Assets Rate
- --------------------------------------------------------------------------------------------------------
Class A (3/06)
2007(e) 1.82%* 2.39%* .94%* 3.27%* .77%* 3.43%* --%
Class B (3/06)
2007(e) 2.54* 1.73* 1.69* 2.58* 1.53* 2.75* --
Class C (3/06)
2007(e) 2.29* 2.06* 1.49* 2.86* 1.32* 3.03* --
Class R (3/06)
2007(e) 1.74* 2.30* .74* 3.31* .57* 3.47* --
- --------------------------------------------------------------------------------------------------------
* Annualized.
(a)Per share Net Investment Income is calculated using the average daily shares
method.
(b)Total returns are calculated on net asset value without any sales charge and
are not annualized.
(c)After expense reimbursement from the Adviser, where applicable.
(d)After custodian fee credit and expense reimbursement, where applicable.
(e)For the period March 28, 2006 (commencement of operations) through August
31, 2006.
See accompanying notes to financial statements.
- ----
35
Financial Highlights (Unaudited) (continued)
Selected data for a share outstanding throughout each period:
Class (Commencement Date)
Investment Operations Less Distributions
--------------------------- ----------------------- --------
CALIFORNIA
Net
Beginning Net Realized/ Net Ending Ending
Net Invest- Unrealized Invest- Net Net
Asset ment Gain ment Capital Asset Total Assets
Year Ended February 28/29, Value Income(a) (Loss) Total Income Gains Total Value Return(b) (000)
- -------------------------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) $10.43 $.21 $(.03) $.18 $(.21) $ -- $(.21) $10.40 1.79% $ 89,595
2006 10.45 .45 (.01) .44 (.46) -- (.46) 10.43 4.28 78,408
2005 10.52 .48 (.08) .40 (.47) -- (.47) 10.45 4.02 69,151
2004 10.30 .49 .22 .71 (.49) -- (.49) 10.52 7.08 58,671
2003 10.25 .50 .06 .56 (.51) -- (.51) 10.30 5.67 53,441
2002 10.42 .53 (.15) .38 (.53) (.02) (.55) 10.25 3.82 53,078
Class B (3/97)
2007(e) 10.42 .18 (.04) .14 (.17) -- (.17) 10.39 1.41 10,979
2006 10.44 .37 (.01) .36 (.38) -- (.38) 10.42 3.51 13,129
2005 10.51 .40 (.07) .33 (.40) -- (.40) 10.44 3.24 16,258
2004 10.29 .41 .22 .63 (.41) -- (.41) 10.51 6.30 17,139
2003 10.24 .43 .06 .49 (.44) -- (.44) 10.29 4.88 18,431
2002 10.41 .45 (.15) .30 (.45) (.02) (.47) 10.24 3.04 15,012
Class C (9/94)
2007(e) 10.41 .19 (.03) .16 (.19) -- (.19) 10.38 1.53 22,141
2006 10.43 .39 (.01) .38 (.40) -- (.40) 10.41 3.75 21,180
2005 10.50 .42 (.07) .35 (.42) -- (.42) 10.43 3.49 19,165
2004 10.29 .43 .21 .64 (.43) -- (.43) 10.50 6.42 18,341
2003 10.25 .45 .05 .50 (.46) -- (.46) 10.29 5.02 17,320
2002 10.42 .47 (.14) .33 (.48) (.02) (.50) 10.25 3.28 14,918
Class R (7/86)
2007(e) 10.43 .22 (.03) .19 (.23) -- (.23) 10.39 1.81 162,536
2006 10.45 .47 (.01) .46 (.48) -- (.48) 10.43 4.52 158,933
2005 10.52 .50 (.07) .43 (.50) -- (.50) 10.45 4.26 164,422
2004 10.31 .51 .21 .72 (.51) -- (.51) 10.52 7.22 172,001
2003 10.26 .52 .07 .59 (.54) -- (.54) 10.31 5.92 176,687
2002 10.43 .55 (.15) .40 (.55) (.02) (.57) 10.26 4.06 180,205
- -------------------------------------------------------------------------------------------------------------------------
Class (Commencement Date)
Ratios/Supplemental Data
-------------------------------------------------------------------------
Before Credit/ After Credit/
Reimbursement/ After Reimbursement/
Refund Reimbursement(c) Refund(d)
CALIFORNIA ------------------ ------------------ ------------------
Ratio Ratio Ratio
of Net of Net of Net
Invest- Invest- Invest-
Ratio of ment Ratio of ment Ratio of ment
Expenses Income Expenses Income Expenses Income
to to to to to to
Average Average Average Average Average Average Portfolio
Net Net Net Net Net Net Turnover
Year Ended February 28/29, Assets Assets Assets Assets Assets Assets Rate
- --------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) .84%* 4.12%* .84%* 4.12%* .83%* 4.13%* 8%
2006 .85 4.30 .85 4.30 .85 4.30 15
2005 .86 4.62 .86 4.62 .86 4.62 16
2004 .88 4.74 .88 4.74 .87 4.75 28
2003 .89 4.91 .89 4.91 .88 4.92 25
2002 .88 5.15 .88 5.15 .87 5.16 6
Class B (3/97)
2007(e) 1.59* 3.37* 1.59* 3.38* 1.58* 3.39* 8
2006 1.60 3.55 1.60 3.55 1.60 3.55 15
2005 1.61 3.87 1.61 3.87 1.61 3.87 16
2004 1.63 3.99 1.63 3.99 1.62 4.00 28
2003 1.64 4.16 1.64 4.16 1.63 4.17 25
2002 1.63 4.41 1.63 4.41 1.62 4.42 6
Class C (9/94)
2007(e) 1.39* 3.57* 1.39* 3.57* 1.38* 3.59* 8
2006 1.40 3.75 1.40 3.75 1.40 3.75 15
2005 1.41 4.07 1.41 4.07 1.41 4.07 16
2004 1.43 4.19 1.43 4.19 1.42 4.20 28
2003 1.44 4.37 1.44 4.37 1.43 4.37 25
2002 1.43 4.60 1.43 4.60 1.42 4.61 6
Class R (7/86)
2007(e) .64* 4.32* .64* 4.32* .63* 4.34* 8
2006 .65 4.50 .65 4.50 .65 4.50 15
2005 .66 4.82 .66 4.82 .66 4.82 16
2004 .68 4.94 .68 4.94 .67 4.95 28
2003 .69 5.12 .69 5.12 .68 5.12 25
2002 .68 5.35 .68 5.35 .67 5.37 6
- --------------------------------------------------------------------------------------------------------
* Annualized.
(a)Per share Net Investment Income is calculated using the average daily shares
method.
(b)Total returns are calculated on net asset value without any sales charge and
are not annualized.
(c)After expense reimbursement from the Adviser, where applicable.
(d)After custodian fee credit, expense reimbursement, and legal fee refund,
where applicable.
(e)For the six months ended August 31, 2006.
See accompanying notes to financial statements.
- ----
36
Selected data for a share outstanding throughout each period:
Class (Commencement Date)
Investment Operations Less Distributions
--------------------------- ----------------------- --------
CALIFORNIA INSURED
Net
Beginning Net Realized/ Net Ending Ending
Net Invest- Unrealized Invest- Net Net
Asset ment Gain ment Capital Asset Total Assets
Year Ended February 28/29, Value Income(a) (Loss) Total Income Gains Total Value Return(b) (000)
- -------------------------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) $10.87 $.22 $(.06) $.16 $(.22) $ -- $(.22) $10.81 1.50% $ 87,845
2006 10.91 .45 -- .45 (.45) (.04) (.49) 10.87 4.19 86,224
2005 11.19 .46 (.26) .20 (.47) (.01) (.48) 10.91 1.88 81,346
2004 11.06 .48 .15 .63 (.48) (.02) (.50) 11.19 5.84 83,966
2003 10.92 .49 .23 .72 (.50) (.08) (.58) 11.06 6.73 77,312
2002 10.85 .51 .12 .63 (.52) (.04) (.56) 10.92 5.90 70,068
Class B (3/97)
2007(e) 10.89 .18 (.06) .12 (.18) -- (.18) 10.83 1.10 13,381
2006 10.92 .36 .02 .38 (.37) (.04) (.41) 10.89 3.48 15,325
2005 11.20 .38 (.26) .12 (.39) (.01) (.40) 10.92 1.10 18,560
2004 11.07 .40 .15 .55 (.40) (.02) (.42) 11.20 5.04 21,346
2003 10.94 .41 .21 .62 (.41) (.08) (.49) 11.07 5.82 21,602
2002 10.86 .43 .12 .55 (.43) (.04) (.47) 10.94 5.18 18,985
Class C (9/94)
2007(e) 10.81 .19 (.05) .14 (.19) -- (.19) 10.76 1.29 12,569
2006 10.85 .38 -- .38 (.38) (.04) (.42) 10.81 3.58 12,872
2005 11.12 .40 (.25) .15 (.41) (.01) (.42) 10.85 1.37 12,952
2004 10.99 .42 .14 .56 (.41) (.02) (.43) 11.12 5.25 13,751
2003 10.86 .43 .21 .64 (.43) (.08) (.51) 10.99 6.04 13,082
2002 10.78 .44 .13 .57 (.45) (.04) (.49) 10.86 5.42 11,794
Class R (7/86)
2007(e) 10.87 .23 (.05) .18 (.23) -- (.23) 10.82 1.68 133,954
2006 10.91 .47 -- .47 (.47) (.04) (.51) 10.87 4.36 140,555
2005 11.19 .49 (.27) .22 (.49) (.01) (.50) 10.91 2.05 146,949
2004 11.05 .50 .16 .66 (.50) (.02) (.52) 11.19 6.11 154,110
2003 10.91 .51 .22 .73 (.51) (.08) (.59) 11.05 6.91 160,678
2002 10.84 .53 .11 .64 (.53) (.04) (.57) 10.91 6.08 162,649
- -------------------------------------------------------------------------------------------------------------------------
Class (Commencement Date)
Ratios/Supplemental Data
-------------------------------------------------------------------------
Before Credit/ After After Credit/
Reimbursement Reimbursement(c) Reimbursement(d)
CALIFORNIA INSURED ------------------ ------------------ ------------------
Ratio Ratio Ratio
of Net of Net of Net
Invest- Invest- Invest-
Ratio of ment Ratio of ment Ratio of ment
Expenses Income Expenses Income Expenses Income
to to to to to to
Average Average Average Average Average Average Portfolio
Net Net Net Net Net Net Turnover
Year Ended February 28/29, Assets Assets Assets Assets Assets Assets Rate
- --------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) .84%* 4.01%* .84%* 4.01%* .83%* 4.02%* 6%
2006 .84 4.10 .84 4.10 .83 4.10 14
2005 .84 4.25 .84 4.25 .84 4.26 22
2004 .86 4.38 .86 4.38 .86 4.38 14
2003 .86 4.47 .86 4.47 .86 4.48 25
2002 .87 4.64 .87 4.64 .85 4.66 40
Class B (3/97)
2007(e) 1.59* 3.26* 1.59* 3.26* 1.58* 3.27* 6
2006 1.58 3.34 1.58 3.34 1.58 3.35 14
2005 1.59 3.50 1.59 3.50 1.59 3.51 22
2004 1.61 3.63 1.61 3.63 1.61 3.63 14
2003 1.61 3.72 1.61 3.72 1.61 3.73 25
2002 1.62 3.89 1.62 3.89 1.60 3.91 40
Class C (9/94)
2007(e) 1.39* 3.46* 1.39* 3.46* 1.38* 3.47* 6
2006 1.39 3.55 1.39 3.55 1.38 3.55 14
2005 1.40 3.70 1.40 3.70 1.39 3.71 22
2004 1.41 3.83 1.41 3.83 1.41 3.83 14
2003 1.41 3.93 1.41 3.93 1.41 3.93 25
2002 1.42 4.10 1.42 4.10 1.40 4.12 40
Class R (7/86)
2007(e) .64* 4.21* .64* 4.21* .63* 4.22* 6
2006 .64 4.29 .64 4.29 .63 4.30 14
2005 .65 4.45 .65 4.45 .64 4.46 22
2004 .66 4.58 .66 4.58 .66 4.58 14
2003 .66 4.67 .66 4.67 .66 4.68 25
2002 .67 4.84 .67 4.84 .65 4.86 40
- --------------------------------------------------------------------------------------------------------
* Annualized.
(a)Per share Net Investment Income is calculated using the average daily shares
method.
(b)Total returns are calculated on net asset value without any sales charge and
are not annualized.
(c)After expense reimbursement from the Adviser, where applicable.
(d)After custodian fee credit and expense reimbursement, where applicable.
(e)For the six months ended August 31, 2006.
See accompanying notes to financial statements.
- ----
37
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 approve or 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 respective Investment
Management Agreement between the Nuveen California Municipal Bond Fund and the
Nuveen California Insured Municipal Bond Fund and NAM (the "Fund Adviser"). The
Investment Management Agreement between the Fund Adviser and the Nuveen
California High Yield Municipal Bond Fund was initially approved at a meeting
held on February 20, 2006 (the "February Meeting"), and therefore was not up
for renewal at the May Meeting. The approvals for the Nuveen California
Municipal Bond Fund and the Nuveen California Insured Municipal Bond Fund are
set forth below in Section I, followed by the discussion in Section II of the
initial approval for the Nuveen California High Yield Municipal Bond Fund.
I. NUVEEN CALIFORNIA MUNICIPAL BOND FUND AND
NUVEEN CALIFORNIA INSURED MUNICIPAL BOND FUND
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 Adviser and the performance of
the Nuveen California Municipal Bond Fund and the Nuveen California Insured
Municipal Bond Fund (for purposes of this Section I, the "Funds"). To assist
the Board in its evaluation of the advisory contract with the 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 Fund's past performance as well as the Fund's performance compared to
funds of similar investment objectives compiled by an independent third party
and to customized benchmarks;
.. 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 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 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, the Fund Adviser 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 the advisory contract with the 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 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 Fund and
the Fund Adviser; (c) the costs of the services to be provided and the
profitability of the Fund Adviser and its affiliates; (d) the extent to which
economies of scale would be realized as the Fund grows; and (e) whether fee
levels reflect these economies of scale for the benefit of Fund investors.
A. Nature, Extent and Quality of Services
In reviewing the Fund Adviser, the Trustees considered the nature, extent and
quality of the 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 Funds; the performance record of the applicable Fund
(as described in further detail below); and any initiatives and enhancements
Nuveen has taken for its municipal fund product line. In connection with their
continued service as Trustees, the Trustees also have a good understanding of
the Fund Adviser's organization, operations and personnel. In this regard, the
Trustees are familiar with and have evaluated the professional experience,
qualifications and credentials of the Fund Adviser's personnel. The Trustees
further reviewed materials describing, among other
- ----
38
things, the teams and personnel involved in the investment, research,
risk-management and operational processes involved in managing municipal funds
and their respective functions. Given the Trustees' experience with the Funds
and Fund Adviser, the Trustees recognized the demonstrated history of care and
depth of experience of the respective personnel in managing these Funds. In
this regard, the Trustees considered the continued quality of the Fund
Adviser's investment process in making portfolio management decisions as well
as additional refinements and improvements adopted to the portfolio management
processes. With respect to the services provided to municipal funds, including
the Funds, the Trustees noted that the Fund Adviser continues to make
refinements to its portfolio management process including, among other things,
the increased use of derivatives to enhance management of risk, additional
analytical software for research staff and improved municipal pricing processes.
In addition to advisory services, the independent Trustees considered the
quality of any administrative or non-advisory services provided. The Fund
Adviser provides the Funds with such administrative and other services
(exclusive of, and in addition to, any such services provided by others for the
Funds) and officers and other personnel as are necessary for the operations of
the respective 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 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 Funds (including a new reporting system for quarterly
portfolio holdings).
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
Funds under the Investment Management Agreement were of a high level and were
satisfactory.
B. The Investment Performance of the Funds and Fund Adviser
The Board considered the investment performance for each Fund, including the
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 portfolio level performance against customized
benchmarks, as described below. 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 Performance Peer Group of the Nuveen Intermediate Duration
Municipal Bond Fund). With respect to state specific municipal funds, the
Trustees recognized that certain state municipal funds do not have a
corresponding state specific Performance Peer Group in which case their
performance is measured against a more general municipal category for various
states. The two open-end Nuveen state municipal funds that utilize the more
general category are the Nuveen New Mexico Municipal Bond Fund and the Nuveen
Wisconsin Municipal Bond Fund.
In reviewing performance, the Trustees reviewed performance information
including, among other things, total return information compared with the
Fund's Performance Peer Group for the one-, three- and five-year periods (as
applicable) ending December 31, 2005. The Trustees also reviewed each Fund's
portfolio level performance (which does not reflect fund level fees and
expenses) compared to customized portfolio-level benchmarks for the one-and
three-year periods ending December 31, 2005 (as applicable). This analysis is
designed to assess the efficacy of investment decisions against appropriate
measures of risk and total return, within specific market segments. 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 Fund's absolute and relative investment
performance over time had been satisfactory.
C. Fees, Expenses and Profitability
1. Fees and Expenses
In evaluating the management fees and expenses of a Fund, the Board reviewed,
among other things, the 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 Peer Group may be the same.
Further, the Trustees recognized that in certain cases the closest Peer
Universe and/or Peer Group did not adequately reflect the 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 and insurance) 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
Fund's net total expense ratio was within an acceptable range compared to
peers.
- ----
39
Annual Investment Management Agreement Approval Process (continued)
2. Comparisons with the Fees of Other Clients
The Trustees further reviewed data comparing the advisory fees of the Fund
Adviser with fees the Fund Adviser charges to other clients, including
municipal managed accounts. In general, the fees charged for separate accounts
are somewhat lower than the fees assessed to the 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 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 the Funds, the Trustees believe such facts
justify the different levels of fees.
3. Profitability of Fund Adviser
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. Based on their
review, the Trustees were satisfied that the Fund Adviser's level of
profitability was reasonable in light of the services provided.
In evaluating the reasonableness of the compensation, the Trustees also
considered any other revenues paid to the 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 Funds, if any. See Section E of this Section I below for
additional information. Based on their review of the overall fee arrangements
of the applicable Fund, the Trustees determined that the advisory fees and
expenses of the respective 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 Fund's assets grow. In
addition to advisory fee breakpoints as assets in a respective 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
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 each Fund, including any sales charges and distribution fees
received and retained by the Fund's principal underwriter, Nuveen Investments,
LLC, an affiliate of the Fund Adviser as well as any benefits derived from soft
dollar arrangements. The Trustees recognized that an affiliate of the Fund
Adviser provides distribution and shareholder services to the
- ----
40
Funds and their shareholders for which it may be compensated pursuant to a
12b-1 plan. The Trustees therefore considered the 12b-1 fees retained by Nuveen
during the last calendar year.
In addition to the above, the Trustees considered whether the Fund Adviser
received any benefits from soft dollar arrangements. The Trustees noted that
the Fund Adviser 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, the Fund Adviser may from time to
time receive and have access to research generally provided to institutional
clients.
F. Approval
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 Agreements were
fair and reasonable, that the Fund Adviser's fees are reasonable in light of
the services provided to each Fund, and that the renewal of the Investment
Management Agreements should be approved.
II. NUVEEN CALIFORNIA HIGH YIELD MUNICIPAL BOND FUND
The Approval Process
With respect to the Nuveen California High Yield Municipal Bond Fund (for
purposes of this Section II, the "Fund"), to assist the Board in its evaluation
of the advisory contract with the Fund Adviser at the February Meeting, the
independent Trustees previously had received, in adequate time in advance of
this meeting or at prior meetings, materials which outlined, among other things:
.. the services currently provided by the Fund Adviser to other Nuveen funds and
expected to be provided to the Fund;
.. the organization of the Fund Adviser, including the responsibilities of
various departments and key personnel;
.. NAM's (and NAM's predecessor's) performance record with other funds and
either hypothetical performance of the Fund or historical performance of the
Fund Adviser, where applicable;
.. the profitability of NAM (which incorporated Nuveen's wholly-owned
subsidiaries);
.. the expenses of NAM in providing the various services;
.. the proposed management fees of the Fund Adviser, including comparisons of
such fees with the management fees of comparable, unaffiliated funds as well
as comparisons of the Fund Adviser's management fees with the fees the Fund
Adviser assesses to other types of investment products or accounts, if any,
and expense waivers to be applied to the Fund;
.. the soft dollar practices of the Fund Adviser; and
.. the expected expenses of the Fund, including comparisons of the Fund's
expected expense ratio with the expense ratios of comparable, unaffiliated
funds.
In addition to the foregoing materials, independent legal counsel to the
independent Trustees reviewed with the independent Trustees their duties as
Trustees under 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 February Meeting, NAM made a presentation to and responded to questions
from the Board. After the presentation 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
approval of the advisory contract. It is with this background that the Trustees
considered the advisory contract with the Fund Adviser. The independent
Trustees, in consultation with independent counsel, reviewed the factors set
out in judicial decisions and SEC directives relating to the approval of
advisory contracts. As outlined in more detail below, the Trustees considered
all factors they believed relevant with respect to the 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 Fund Adviser; (c) the
costs of the services to be provided and the profitability of the Fund Adviser
and its affiliates; (d) the extent to which economies of scale would be
realized as the Fund grows; and (e) whether fee levels reflect these economies
of scale for the benefit of Fund investors.
A. Nature, Extent and Quality of Services
In evaluating the nature, extent and quality of the Fund Adviser's services,
the Trustees reviewed information concerning the types of services that the
Fund Adviser or its affiliates currently provide to other Nuveen funds (as
applicable) and are expected to provide to the Fund; narrative and/or
statistical information concerning the Fund Adviser's performance record with
other funds they advise; and information describing Nuveen's organization and
its various departments, the experience and responsibilities of key personnel,
and available resources. As noted, given the Trustees' experience with the
other Nuveen funds and the Fund Adviser, the Trustees noted that they were
familiar with and continue to have a good understanding of the organization,
operations and personnel of the Fund Adviser.
- ----
41
Annual Investment Management Agreement Approval Process (continued)
In addition to advisory services, the independent Trustees considered the
quality of any administrative or non-advisory services to be provided. In this
regard, NAM is expected to provide the Fund with such administrative and other
services (exclusive of, and in addition to, any such services provided by
others for the Fund) and officers and other personnel as are necessary for the
operations of the Fund. In addition to investment management services, NAM and
its affiliates will provide the Fund with a wide range of services, including:
preparing shareholder reports; providing daily accounting; providing quarterly
financial statements; overseeing and coordinating the activities of other
service providers; administering and organizing Board meetings and preparing
the Board materials for such meetings; providing legal support (such as helping
to prepare registration statements, amendments thereto and proxy statements and
responding to regulatory inquiries); and performing other fund administrative
tasks necessary for the operation of the Fund (such as tax reporting and
fulfilling regulatory filing requirements). In evaluating the administrative
services, the Trustees also considered, in particular, the Fund Adviser's
policies and procedures for assuring compliance with applicable laws and
regulations in light of the enhanced SEC regulations governing compliance. In
this regard, the Trustees previously have recognized NAM's focus on compliance
and its compliance systems. In connection with their review of the advisory
contracts of other Nuveen funds with the Fund Adviser at their May 2005 meeting
(the "May 2005 Meeting"), the Trustees had previously received information
regarding the additions of experienced personnel to NAM's compliance group and
modifications and other enhancements to NAM's computer systems. In addition to
the foregoing, the Trustees had noted that NAM outsources certain services that
cannot be replicated without significant costs or at the same level of
expertise. Such outsourcing has been a beneficial and efficient use of
resources by keeping expenses low while obtaining quality services. Based on
their review, the Trustees found that, overall, the nature, extent and quality
of services expected to be provided to the Fund under the Investment Management
Agreement were sufficient.
B. The Investment Performance of the Fund Adviser
As the Fund was new and did not have its own performance history at the time of
the February Meeting, the Board reviewed (either at the February Meeting and/or
earlier meetings) and considered performance information regarding the Fund
Adviser's past performance record with other funds or accounts with similar
investment policies.
C. Fees, Expenses and Profitability
1. Fees and Expenses
In evaluating the management fees and expenses that the Fund was expected to
bear, the Trustees considered the Fund's proposed management fee structure and
its expected expense ratios in absolute terms as well as compared with the
fees and expense ratios of comparable, unaffiliated funds. At prior meetings,
the Trustees reviewed the financial information of NAM and its affiliates,
including revenues, expenses and profitability. In reviewing fees, the
Trustees, among other things, reviewed comparisons of the Fund's proposed
gross management fees and expected expense ratios with those of unaffiliated,
comparable funds. In this regard, the Trustees also considered the fund-level
and complex-wide breakpoint schedules. The complex-wide breakpoint schedule
was instituted in 2004 and is described in further detail below in Section D
of this Section II entitled "Economies of Scale and Whether Fee Levels Reflect
These Economies of Scale." The Trustees also noted the two-tiered expense
waivers with respect to the Fund.
2. Comparisons with the Fees of Other Clients
Due to their experience with other Nuveen funds, the Trustees were familiar
with the fees assessed to other clients of Nuveen or its affiliates that were
managed in the same or similar investment style. With respect to separately
managed accounts, the advisory fees charged to such separately managed
accounts are generally lower than those charged to comparable funds. The
Trustees noted, however, the additional services that are provided and the
costs incurred by Nuveen in managing and operating registered investment
companies, such as the Fund, compared to individually managed separate
accounts. For instance, as described above, NAM and its affiliates will
provide numerous services to the Fund including, but not limited to, preparing
shareholder reports; providing daily accounting; preparing quarterly financial
statements; overseeing and coordinating the activities of other service
providers; administering and organizing Board meetings and preparing the Board
materials for such meetings; providing legal support; and administering all
other aspects of the Fund's operations. Further, the Trustees noted the
increased compliance requirements for funds in light of new SEC regulations
and other legislation. These services are generally not required to the same
extent, if at all, for separate accounts. In addition to the differences in
services, the Trustees also considered, among other things, the differences in
product distribution, investor profiles and account sizes. Accordingly, the
Trustees believed that the nature and number of services provided to operate
the Fund merit the higher fees than those charged to separate managed accounts.
3. Profitability of NAM
In conjunction with its review of fees, the Trustees also considered the
profitability of NAM (which incorporated Nuveen's wholly-owned advisory
subsidiaries except Santa Barbara Asset Management which was newly acquired).
At their May 2005 Meeting, the Trustees reviewed NAM's revenues, expenses and
profitability margins (on both a pre-tax and after-tax basis). In reviewing
profitability, the Trustees recognized that one of the most difficult issues
in determining profitability is establishing a method of allocating expenses.
At the May 2005 Meeting, the Trustees reviewed NAM's assumptions and
methodology of allocating expenses and noted that the methods of allocation
used appeared reasonable but also had recognized the inherent limitations in
allocating costs among various advisory products. In reviewing NAM's
profitability, the Trustees had recognized that individual fund or product
line profitability of other advisers is generally not publicly available.
Further, profitability may be affected by
- ----
42
numerous factors including the types of funds managed, expense allocations,
business mix, etc. and therefore comparability of profitability is somewhat
limited. Nevertheless, to the extent available, the Trustees had considered
NAM's profit margin compared to the profitability of various publicly-traded
investment management companies and/or investment management companies that
publicly disclose some or all of their financial results compiled by three
independent third-party service providers. In their review, the Trustees also
reviewed the revenues, expenses and profit margins of various unaffiliated
advisory firms with similar amounts of assets under management for the last
year prepared by NAM. Based on their review, the Trustees were satisfied that
NAM's level of expected profitability was reasonable in light of the services
provided.
In evaluating the reasonableness of the compensation, the Trustees also
considered any other revenues paid to the 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 Fund, if any. See Section E of this Section II below for
additional information. Based on their review of the overall fee arrangements
of the Fund, the Trustees determined that the advisory fees and expected
expenses of the Fund were reasonable.
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
In reviewing compensation, the Trustees have long understood the benefits of
economies of scale as the assets of a fund grow and have sought to ensure that
shareholders share in these benefits. One method for shareholders to share in
economies of scale is to include breakpoints in the advisory fee schedules that
reduce fees as fund assets grow. Accordingly, the Trustees received and
reviewed the schedule of proposed advisory fees for the Fund, including
fund-level breakpoints thereto. In addition, after lengthy negotiations with
management, the Board in May, 2004 approved a complex-wide fee arrangement
pursuant to which fees of the funds in the Nuveen complex, which would include
the Fund, 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 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 schedules and complex-wide fee arrangement currently were
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 Fund. In this regard, the Trustees considered any
benefits from soft dollar arrangements. The Trustees have recognized that
although NAM manages a large amount of assets, it has very little, if any,
brokerage to allocate. This is due to the fact that NAM typically manages the
portfolios of the municipal funds in the Nuveen complex and municipal bonds
generally trade on a principal basis. Accordingly, 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. In
addition to soft dollar arrangements, the Trustees also considered any other
revenues, if any, received by NAM or its affiliates.
F. Approval
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 were
fair and reasonable, that the Fund Adviser's fees are reasonable in light of
the services to be provided to the Fund and the NAM Investment Management
Agreement should be and was approved.
- ----
43
Notes
- --------------------------------------------------------------------------------
44
Fund Information
================================================================================
Fund Manager Legal Counsel Transfer Agent and
Nuveen Asset Management Chapman and Cutler LLP Shareholder Services
333 West Wacker Drive Chicago, IL Boston Financial
Chicago, IL 60606 Data Services, Inc.
Independent Registered Nuveen Investor Services
Public Accounting Firm P.O. Box 8530
PricewaterhouseCoopers LLP Boston, MA 02266-8530
Chicago, IL (800) 257-8787
Custodian
State Street Bank & Trust Company
Boston, MA
================================================================================
Glossary of Terms Used in this Report
Average Annual Total Return: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period. It
expresses the return that would have been necessary each year to equal the
investment's actual cumulative performance (including change in NAV or offer
price and reinvested dividends and capital gains distributions, if any) over
the time period being considered.
Average Effective Maturity: The average of all the maturities of the bonds in a
Fund's portfolio, computed by weighting each maturity date (the date the
security comes due) by the market value of the security. This figure does not
account for the likelihood of prepayments or the exercise of call provisions.
Average Duration: Duration is a measure of the expected period over which a
bond's principal and interest will be paid, and consequently is a measure of
the sensitivity of a bond's (or bond fund's) value to changes when market
interest rates change. Generally, the longer a bond or Fund's duration, the
more the price of the bond or Fund will change as interest rates change.
Dividend Yield (also known as Market Yield or Current Yield): An investment's
current annualized dividend divided by its current offering price.
Net Asset Value (NAV): A Fund's NAV is the dollar value of one share in the
Fund. It is calculated by subtracting the liabilities of the Fund from its
total assets and then dividing the remainder by the number of shares
outstanding. Fund NAVs are calculated at the end of each business day.
SEC 30-Day Yield: A standardized measure of a Fund's yield that accounts for
the future amortization of premiums or discounts of bonds held in the fund's
portfolio.
Taxable-Equivalent Yield: The yield necessary from a fully taxable investment
to equal, on an after-tax basis at a specified assumed tax rate, the yield of a
municipal bond investment.
================================================================================
Quarterly Portfolio of Investments and Proxy Voting information: Each 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 Funds used to determine how to vote proxies
relating to portfolio securities are available without charge, upon request, by
calling Nuveen Investments 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.
================================================================================
NASD Regulation, Inc. provides a Public Disclosure Program which supplies
certain information regarding the disciplinary history of NASD members and
their associated persons in response to either telephone inquiries at (800)
289-9999 or written inquiries at www.nasdr.com. NASD Regulation, Inc. also
provides an investor brochure that includes information describing the Public
Disclosure Program.
- ----
45
Learn more
about Nuveen Funds at
www.nuveen.com/mf
Nuveen Investments:
SERVING Investors
For GENERATIONS
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. Over this time,
Nuveen Investments has adhered to the belief that the best approach to
investing is to apply conservative risk-management principles to help
minimize volatility.
Building on this tradition, we today offer a range of high quality equity
and fixed-income solutions that can be integral parts of a well-diversified
core portfolio. Our clients have come to appreciate this diversity, as well
as our continued adherence to proven, long-term investing principles.
We offer many different investing solutions for our clients' different
needs.
Managing approximately $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: NWQ, specializing in value-style equities;
Nuveen, managing fixed-income investments; Santa Barbara, committed to
growth equities; Tradewinds NWQ, specializing in global value equities;
Rittenhouse, focused on "blue-chip" growth equities; and Symphony, with
expertise in alternative investments as well as equity and income
portfolios.
Find out how we can help you reach your financial goals.
To learn more about the products and services Nuveen Investments offers and
for a prospectus, where applicable, talk to your financial advisor, or call
us at (800) 257-8787. Please read the information carefully before you
invest.
.. Share prices
.. Fund details
.. Daily financial news
.. Investor education
[LOGO] Nuveen Investments
MSA-CA-0806D
NUVEEN INVESTMENTS MUTUAL FUNDS
Semiannual Report Dependable, tax-free income
dated August 31, 2006 because it's not what you earn, it's what you keep.(R)
[GRAPHIC]
Nuveen Investments
Municipal Bond Funds
Nuveen Massachusetts Municipal Bond Fund
Nuveen Massachusetts Insured Municipal Bond Fund
[LOGO] Nuveen Investments
[GRAPHIC]
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OR
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if you get your Nuveen Investments Fund dividends and statements directly from
Nuveen Investments.
[LOGO] NUVEEN
Investments
------------------------------
Must be preceded by or accompanied by a prospectus.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
[PHOTO]
Timothy R. Schwertfeger
Dear Shareholder,
Once again, I am pleased to report that during the period covered by this
report your Fund provided tax-free income and solid performance from a
carefully selected portfolio of Massachusetts municipal bonds. Detailed
information on your Fund's performance can be found in the Portfolio Manager's
Comments and Fund Spotlight sections of this report.
In past letters, I've spoken about market volatility and the benefits of
maintaining a balanced portfolio. These thoughts remain just as valid in
today's environment as they've been in the past. Some may wonder if this is a
good time to own a municipal bond fund. Others may be thinking about adjusting
their current portfolios. We believe these are decisions you should make with
the help of a trusted financial advisor.
With the help of your advisor, you may be able to structure a well-balanced
portfolio that can become an important component in achieving your long-term
financial goals. In fact, a well-diversified portfolio may actually help to
reduce your overall investment risk. Your advisor can help you understand how a
municipal bond investment like your Nuveen Fund can be an important building
block in a portfolio crafted to perform well through a variety of market
conditions.
Since 1898, Nuveen Investments has offered financial products and solutions
that incorporate careful research, diversification, and the application of
conservative risk-management principles. We are grateful that you have chosen
us as a partner as you pursue your financial goals. We look forward to
continuing to earn your trust in the months and years ahead.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
October 16, 2006
"In fact, a well-diversified portfolio may actually help to
reduce your overall investment risk."
Semiannual Report Page 1
Portfolio Manager's Comments
Nuveen Massachusetts Municipal Bond Fund and Nuveen Massachusetts Insured
Municipal Bond Fund
Portfolio manager Cathryn Steeves examines key investment strategies and the
performance of the Nuveen Massachusetts Municipal Bond Fund and the Nuveen
Massachusetts Insured Municipal Bond Fund. Cathryn, who has 9 years of
investment experience, has managed the Funds since July 2006.
- --------------------------------------------------------------------------------
How did the Funds perform during the past six months?
The nearby chart provides total return performance for the two Funds for the
six-month, one-year, five-year and ten-year periods ended August 31, 2006,
along with comparisons to the Lipper Massachusetts Municipal Debt Funds
category average and the national Lehman Brothers Municipal Bond Index.
Although we believe that comparing the performance of state Funds with that of
a national municipal index may offer some insights into how the Funds performed
relative to the general municipal market, we also think that closely comparing
the results of state Funds with a national average is imperfect since most of
the national index's results come from out-of-state bonds, which do not provide
the state tax exemption afforded to the income from bonds issued in
Massachusetts and held by Massachusetts taxpayers.
For the six-month period ended August 31, 2006, the total return of the Nuveen
Massachusetts Municipal Bond Fund's Class A shares at net asset value
outperformed their Lipper peer group average, while the Nuveen Massachusetts
Insured Municipal Bond Fund's Class A shares produced a return relatively in
line with the average. Both Funds' NAV returns trailed the national Lehman
Brothers Municipal Bond Index during this six-month period.
For both Funds, our duration positioning contributed favorably to performance.
(Duration is a measure of a bond's susceptibility to price changes as interest
rates fluctuate.) Specifically, the uninsured Fund benefited from our relative
underweightings in shorter-duration bonds, which tended to be poor performers
in a climate of rising short-term interest rates, and from our relative
overweightings in the stronger-performing intermediate portion of the yield
curve. In addition, the uninsured Fund's allocation to the multifamily housing
sector also contributed positively to performance over the period. The insured
Fund was helped by its allocation to insured Federal Housing Administration
(FHA) and Government National Mortgage Association (GNMA) bonds, both of which
provided a modest amount of added yield in compensation for these securities'
generally greater call risk.
At the same time, exposure to bonds with near-term call dates - specifically,
our relative overweighting in holdings callable from 2010 to 2013 - was one
modest source of underperformance for the insured fund, as the short duration
holdings did not perform well as short-term rates rose during the period. In
the uninsured Fund, an allocation to insured securities detracted modestly from
the overall results for the period, since insured bonds prices tended to lag
their lower-rated, higher-yielding counterparts as investors continued to look
for opportunities to pick up additional income.
What strategies were used to manage the Funds?
In both Funds, careful duration management remained a significant theme. To
keep the portfolios' interest-rate sensitivity in line with target levels, we
took advantage of suitable opportunities to sell some of our holdings in
shorter-duration bonds and reinvest the proceeds in longer-dated securities. A
particular focus was on intermediate bonds with maturities between 2016 and
2026 - broadly representing the part of the municipal yield curve that we
believed offered particular value for shareholders.
Semiannual Report Page 2
Class A Shares--
Average Annual Total Returns as of 8/31/06
- --------------------------------------------------------------------------------
6-Month 1-Year 5-Year 10-Year
-----------------------------
Nuveen Massachusetts
Municipal Bond Fund
A Shares at NAV 1.79% 2.58% 4.69% 5.12%
A Shares at Offer -2.48% -1.76% 3.80% 4.67%
----------------------------------------------------------
Nuveen Massachusetts Insured
Municipal Bond Fund
A Shares at NAV 1.60% 2.25% 4.21% 4.89%
A Shares at Offer -2.62% -2.03% 3.32% 4.44%
----------------------------------------------------------
Lipper Massachusetts
Municipal Debt Funds
Category Average/1/ 1.64% 2.29% 4.06% 5.06%
Lehman Brothers Municipal
Bond Index/2/ 2.02% 3.03% 4.95% 5.98%
----------------------------------------------------------
Returns quoted represent past performance, which is no guarantee of future
results. Returns at NAV would be lower if the sales charge were included.
Returns less than one year are cumulative. Current performance may be higher or
lower than the performance shown. Investment returns and principal value will
fluctuate so that when shares are redeemed, they may be worth more or less than
their original cost. Class A shares have a 4.2% maximum sales charge. Returns
do not reflect the deduction of taxes that a shareholder would pay on Fund
distributions or the redemption of shares. For the most recent month-end
performance, visit www.nuveen.com or call (800) 257-8787.
We held a number of pre-refunded bonds in the uninsured Massachusetts portfolio
during the period. Pre-refunded bonds are those that have been scheduled to be
retired early by using the proceeds of other, newly issued bonds to secure the
interest and principal payment streams of the pre-refunded bonds. The proceeds
from these newly issued bonds are generally invested in U.S. government
securities. This results in the pre-refunded bonds being considered to be of
high credit quality. These pre-refundings help performance in the short run as
the securities receive a ratings upgrade and an immediate boost in their prices
when the refunding occurs. However, pre-refunded bonds quickly become priced to
their call dates, which effectively reduces their durations. Accordingly, we
sought to purchase some longer-duration securities to maintain our desired
level of interest-rate sensitivity
across the entire portfolio. In both Funds, we found periodic value
opportunities in securities with maturities of as long as 30 years. Besides
performing well during this period as prices on longer bonds rallied, these
bonds helped us keep the portfolios' durations at our desired level as other
holdings matured or were called or pre-refunded.
We also sought to take advantage of some of the period's interest rate
volatility. When we believed it was appropriate to do so, we sold some of our
bonds with relatively low embedded yields and replaced them with securities
offering similar risk characteristics and higher embedded yields. This strategy
has been one way we have been able to minimize the impact of higher-coupon
bonds maturing or being called from the portfolio.
Dividend Information
During the reporting period, there were no dividend changes to either Fund.
Each Fund seeks to pay dividends at a rate that reflects the past and projected
performance of the Fund. To permit a Fund to maintain a more stable monthly
dividend, the Fund may pay dividends at a rate that may be more or less than
the amount of net investment income actually earned by the Fund during the
period. If the Fund has cumulatively earned more than it has paid in dividends,
it will hold the excess in reserve as undistributed net investment income
(UNII) as part of the Fund's net asset value. Conversely, if the Fund has
cumulatively paid in dividends more than it has earned, the excess will
constitute a negative UNII that will likewise be reflected in the Fund's net
asset value. Each Fund will, over time, pay all its net investment income as
dividends to shareholders. As of August 31, 2006, both Funds had positive UNII
balances, based upon our best estimates, for tax purposes. The Nuveen
Massachusetts Insured Municipal Bond Fund had a positive UNII balance and the
Nuveen Massachusetts Municipal Bond Fund had a negative UNII balance for
financial statement purposes.
- --------------------------------------------------------------------------------
1The Lipper Massachusetts Municipal Debt Funds category average shown
represents the average annualized total return for all reporting funds for the
periods ended August 31, 2006. The Lipper Massachusetts Municipal Debt Funds
category contained 51, 51, 49 and 38 funds for the respective six-month and
one-, five- and ten-year periods ended August 31, 2006. The returns account
for the effects of management fees and assume reinvestment of dividends, but
do not reflect any applicable sales charges. You cannot invest directly in a
Lipper Category.
2The Lehman Brothers Municipal Bond Index is an unmanaged index composed of a
broad range of investment-grade municipal bonds and does not reflect any
initial or ongoing expenses. You cannot invest directly in an index.
Semiannual Report Page 3
Fund Spotlight as of 8/31/06 Nuveen Massachusetts Municipal Bond Fund
================================================================================
Quick Facts
A Shares B Shares C Shares R Shares
--------------------------------------------------------------------
NAV $10.02 $10.04 $9.95 $10.00
--------------------------------------------------------------------
Latest Monthly Dividend/1/ $0.0310 $0.0250 $0.0265 $0.0325
--------------------------------------------------------------------
Latest Capital Gain and Ordinary
Income Distribution/2/ $0.0317 $0.0317 $0.0317 $0.0317
--------------------------------------------------------------------
Inception Date 9/07/94 3/07/97 10/06/94 12/22/86
--------------------------------------------------------------------
Returns quoted represent past performance which is no guarantee of future
results. Returns without sales charges would be lower if the sales charge were
included. Current performance may be higher or lower than the performance
shown. Investment returns and principal value will fluctuate so that when
shares are redeemed, they may be worth more or less than their original cost.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Income is generally exempt from
regular federal income taxes. Some income may be subject to state and local
taxes and to the federal alternative minimum tax. Capital gains, if any, are
subject to tax. For the most recent month-end performance visit www.nuveen.com
or call (800) 257-8787.
Class A, C and R share returns are actual. Class B share returns are actual for
the period since class inception; returns prior to class inception are Class R
share returns adjusted for differences in sales charges and expenses, which are
primarily differences in distribution and service fees. Class A shares have a
4.2% maximum sales charge. Class B shares have a contingent deferred sales
charge (CDSC), also known as a back-end sales charge, that for redemptions
begins at 5% and declines periodically until after 6 years when the charge
becomes 0%. Class B shares automatically convert to Class A shares eight years
after purchase. Class C shares have a 1% CDSC for redemptions within less than
one year, which is not reflected in the one-year total return. Class R shares
have no sales charge and may be purchased under limited circumstances or by
specified classes of investors.
Average Annual Total Returns as of 8/31/06
A Shares NAV Offer
---------------------------------------------
1-Year 2.58% -1.76%
---------------------------------------------
5-Year 4.69% 3.80%
---------------------------------------------
10-Year 5.12% 4.67%
---------------------------------------------
B Shares w/o CDSC w/CDSC
---------------------------------------------
1-Year 1.84% -2.10%
---------------------------------------------
5-Year 3.90% 3.73%
---------------------------------------------
10-Year 4.53% 4.53%
---------------------------------------------
C Shares NAV
---------------------------------------------
1-Year 2.04%
---------------------------------------------
5-Year 4.13%
---------------------------------------------
10-Year 4.55%
---------------------------------------------
R Shares NAV
---------------------------------------------
1-Year 2.77%
---------------------------------------------
5-Year 4.89%
---------------------------------------------
10-Year 5.34%
---------------------------------------------
Tax-Free Yields
A Shares NAV Offer
---------------------------------------------
Dividend Yield/3/ 3.71% 3.56%
---------------------------------------------
SEC 30-Day Yield/4/ 3.50% 3.35%
---------------------------------------------
Taxable-Equivalent Yield/4,5/ 5.15% 4.93%
---------------------------------------------
B Shares NAV
---------------------------------------------
Dividend Yield/3/ 2.99%
---------------------------------------------
SEC 30-Day Yield 2.76%
---------------------------------------------
Taxable-Equivalent Yield/5/ 4.06%
---------------------------------------------
C Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.20%
---------------------------------------------
SEC 30-Day Yield 2.96%
---------------------------------------------
Taxable-Equivalent Yield/5/ 4.35%
---------------------------------------------
R Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.90%
---------------------------------------------
SEC 30-Day Yield 3.70%
---------------------------------------------
Taxable-Equivalent Yield/5/ 5.44%
---------------------------------------------
Average Annual Total Returns as of 9/30/06
A Shares NAV Offer
------------------------------------------
1-Year 4.31% -0.07%
------------------------------------------
5-Year 4.90% 4.00%
------------------------------------------
10-Year 5.08% 4.63%
------------------------------------------
B Shares w/o CDSC w/CDSC
------------------------------------------
1-Year 3.55% -0.45%
------------------------------------------
5-Year 4.13% 3.96%
------------------------------------------
10-Year 4.48% 4.48%
------------------------------------------
C Shares NAV
------------------------------------------
1-Year 3.67%
------------------------------------------
5-Year 4.32%
------------------------------------------
10-Year 4.49%
------------------------------------------
R Shares NAV
------------------------------------------
1-Year 4.50%
------------------------------------------
5-Year 5.10%
------------------------------------------
10-Year 5.29%
------------------------------------------
Portfolio Statistics
Net Assets ($000) $170,239
---------------------------------------------------------
Average Effective Maturity on Securities (Years) 16.72
---------------------------------------------------------
Average Duration 5.66
---------------------------------------------------------
- --------------------------------------------------------------------------------
1Paid September 1, 2006. This is the latest monthly tax-exempt dividend
declared during the period ended August 31, 2006.
2Paid December 1, 2005. Capital gains and/or ordinary income are subject to
federal taxation.
3Dividend Yield is the most recent dividend per share (annualized) divided by
the appropriate price per share. The SEC 30-Day Yield is a standardized
measure of the current market yield on the Fund's portfolio and is based on
the maximum offer price per share. The Dividend Yield also differs from the
SEC 30-Day Yield because the Fund may be paying out more or less than it is
earning and it may not include the effect of amortization of bond premium.
4The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies
only to A Shares purchased at no-load pursuant to the Fund's policy permitting
waiver of the A Share load in certain specified circumstances.
5The Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis at a specified tax rate. With respect to investments that
generate qualified dividend income that is taxable at a maximum rate of 15%,
the Taxable-Equivalent Yield is lower. The Taxable-Equivalent Yield is based
on the Fund's SEC 30-Day Yield on the indicated date and a combined federal
and state income tax rate of 32.0%.
Semiannual Report Page 4
Fund Spotlight as of 8/31/06 Nuveen Massachusetts Municipal Bond Fund
================================================================================
Bond Credit Quality/1/
[CHART]
AAA/U.S. Guaranteed 66.4%
AA 20.1%
A 4.3%
BBB 6.2%
BB or Lower 0.9%
N/R 2.1%
Industries/1/
Tax Obligation/General 20.0%
---------------------------------------
Healthcare 13.5%
---------------------------------------
U.S. Guaranteed 11.9%
---------------------------------------
Tax Obligation/Limited 11.6%
---------------------------------------
Education and Civic Organizations 11.4%
---------------------------------------
Water and Sewer 9.4%
---------------------------------------
Long-Term Care 6.2%
---------------------------------------
Transportation 5.2%
---------------------------------------
Other 10.8%
---------------------------------------
1As a percentage of total holdings as of August 31, 2006. Holdings are subject
to change.
- --------------------------------------------------------------------------------
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including front and back end sales charges (loads) or redemption fees,
where applicable; and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees, where applicable; and other Fund
expenses. This Example is intended to help you understand your ongoing costs
(in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The Example below is based on an investment of $1,000 invested at the beginning
of the period and held for the period.
The information under "Actual Performance," together with the amount you
invested, allows you to estimate actual expenses incurred over the reporting
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.60) and multiply the result by the cost
shown for your share class, in the row entitled "Expenses Incurred During
Period" to estimate the expenses incurred on your account during this period.
The information under "Hypothetical Performance," provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expense you incurred for the period. You may use this information to
compare the ongoing costs of investing in the Fund and other Funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front
and back end sales charges (loads) or redemption fees, where applicable.
Therefore, the hypothetical information is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning
different funds or share classes. In addition, if these transactional costs
were included, your costs would have been higher.
Hypothetical Performance
Actual Performance (5% annualized return before expenses)
--------------------------------------- ---------------------------------------
A Shares B Shares C Shares R Shares A Shares B Shares C Shares R Shares
- -----------------------------------------------------------------------------------------------------------------
Beginning Account Value (3/01/06) $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
- -----------------------------------------------------------------------------------------------------------------
Ending Account Value (8/31/06) $1,017.90 $1,015.20 $1,016.30 $1,018.90 $1,020.92 $1,017.14 $1,018.15 $1,021.93
- -----------------------------------------------------------------------------------------------------------------
Expenses Incurred During Period $ 4.32 $ 8.13 $ 7.12 $ 3.31 $ 4.33 $ 8.13 $ 7.12 $ 3.31
- -----------------------------------------------------------------------------------------------------------------
For each class of the Fund, expenses are equal to the Fund's annualized net
expense ratio of .85%, 1.60%, 1.40% and .65% for Classes A, B, C and R,
respectively, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report Page 5
Fund Spotlight as of 8/31/06 Nuveen Massachusetts Insured Municipal Bond Fund
================================================================================
Quick Facts
A Shares B Shares C Shares R Shares
--------------------------------------------------------------------
NAV $10.34 $10.35 $10.33 $10.37
--------------------------------------------------------------------
Latest Monthly Dividend/1/ $0.0320 $0.0255 $0.0270 $0.0335
--------------------------------------------------------------------
Latest Capital Gain and Ordinary
Income Distribution/2/ $0.0412 $0.0412 $0.0412 $0.0412
--------------------------------------------------------------------
Inception Date 9/07/94 3/06/97 9/15/94 12/22/86
--------------------------------------------------------------------
Returns quoted represent past performance which is no guarantee of future
results. Returns without sales charges would be lower if the sales charge were
included. Current performance may be higher or lower than the performance
shown. Investment returns and principal value will fluctuate so that when
shares are redeemed, they may be worth more or less than their original cost.
Returns do not reflect the deduction of taxes that a shareholder would pay on
Fund distributions or the redemption of shares. Income is generally exempt from
regular federal income taxes. Some income may be subject to state and local
taxes and to the federal alternative minimum tax. Capital gains, if any, are
subject to tax. For the most recent month-end performance visit www.nuveen.com
or call (800) 257-8787.
Class A, C and R share returns are actual. Class B share returns are actual for
the period since class inception; returns prior to class inception are Class R
share returns adjusted for differences in sales charges and expenses, which are
primarily differences in distribution and service fees. Class A shares have a
4.2% maximum sales charge. Class B shares have a contingent deferred sales
charge (CDSC), also known as a back-end sales charge, that for redemptions
begins at 5% and declines periodically until after 6 years when the charge
becomes 0%. Class B shares automatically convert to Class A shares eight years
after purchase. Class C shares have a 1% CDSC for redemptions within less than
one year, which is not reflected in the one-year total return. Class R shares
have no sales charge and may be purchased under limited circumstances or by
specified classes of investors.
Average Annual Total Returns as of 8/31/05
A Shares NAV Offer
---------------------------------------------
1-Year 2.25% -2.03%
---------------------------------------------
5-Year 4.21% 3.32%
---------------------------------------------
10-Year 4.89% 4.44%
---------------------------------------------
B Shares w/o CDSC w/CDSC
---------------------------------------------
1-Year 1.47% -2.45%
---------------------------------------------
5-Year 3.43% 3.26%
---------------------------------------------
10-Year 4.26% 4.26%
---------------------------------------------
C Shares NAV
---------------------------------------------
1-Year 1.65%
---------------------------------------------
5-Year 3.64%
---------------------------------------------
10-Year 4.30%
---------------------------------------------
R Shares NAV
---------------------------------------------
1-Year 2.42%
---------------------------------------------
5-Year 4.42%
---------------------------------------------
10-Year 5.10%
---------------------------------------------
Tax-Free Yields
A Shares NAV Offer
---------------------------------------------
Dividend Yield/3/ 3.71% 3.56%
---------------------------------------------
SEC 30-Day Yield/4/ 3.37% 3.23%
---------------------------------------------
Taxable-Equivalent Yield/4,5/ 4.96% 4.75%
---------------------------------------------
B Shares NAV
---------------------------------------------
Dividend Yield/3/ 2.96%
---------------------------------------------
SEC 30-Day Yield 2.63%
---------------------------------------------
Taxable-Equivalent Yield/5/ 3.87%
---------------------------------------------
C Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.14%
---------------------------------------------
SEC 30-Day Yield 2.83%
---------------------------------------------
Taxable-Equivalent Yield/5/ 4.16%
---------------------------------------------
R Shares NAV
---------------------------------------------
Dividend Yield/3/ 3.88%
---------------------------------------------
SEC 30-Day Yield 3.57%
---------------------------------------------
Taxable-Equivalent Yield/5/ 5.25%
---------------------------------------------
Average Annual Total Returns as of 9/30/06
A Shares NAV Offer
------------------------------------------
1-Year 3.92% -0.48%
------------------------------------------
5-Year 4.47% 3.57%
------------------------------------------
10-Year 4.85% 4.40%
------------------------------------------
B Shares w/o CDSC w/CDSC
------------------------------------------
1-Year 3.23% -0.76%
------------------------------------------
5-Year 3.71% 3.54%
------------------------------------------
10-Year 4.23% 4.23%
------------------------------------------
C Shares NAV
------------------------------------------
1-Year 3.42%
------------------------------------------
5-Year 3.90%
------------------------------------------
10-Year 4.27%
------------------------------------------
R Shares NAV
------------------------------------------
1-Year 4.19%
------------------------------------------
5-Year 4.68%
------------------------------------------
10-Year 5.06%
------------------------------------------
Portfolio Statistics
Net Assets ($000) $85,871
--------------------------------------------------------
Average Effective Maturity on Securities (Years) 15.17
--------------------------------------------------------
Average Duration 5.74
--------------------------------------------------------
- --------------------------------------------------------------------------------
1Paid September 1, 2006. This is the latest monthly tax-exempt dividend
declared during the period ended August 31, 2006.
2Paid December 1, 2005. Capital gains and/or ordinary income are subject to
federal taxation.
3Dividend Yield is the most recent dividend per share (annualized) divided by
the appropriate price per share. The SEC 30-Day Yield is a standardized
measure of the current market yield on the Fund's portfolio and is based on
the maximum offer price per share. The Dividend Yield also differs from the
SEC 30-Day Yield because the Fund may be paying out more or less than it is
earning and it may not include the effect of amortization of bond premium.
4The SEC 30-Day Yield and Taxable-Equivalent Yield on A Shares at NAV applies
only to A Shares purchased at no-load pursuant to the Fund's policy permitting
waiver of the A Share load in certain specified circumstances.
5The Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis at a specified tax rate. With respect to investments that
generate qualified dividend income that is taxable at a maximum rate of 15%,
the Taxable-Equivalent Yield is lower. The Taxable-Equivalent Yield is based
on the Fund's SEC 30-Day Yield on the indicated date and a combined federal
and state income tax rate of 32.0%.
Semiannual Report Page 6
Fund Spotlight as of 8/31/06 Nuveen Massachusetts Insured Municipal Bond Fund
================================================================================
Bond Credit Quality/1/
[CHART]
Insured 67.1%
U.S. Guaranteed 17.8%
GNMA/FNMA Guaranteed 13.5%
Uninsured (AAA) 0.7%
Uninsured (AA) 0.9%
The Fund features a portfolio of primarily investment-grade, long-term
municipal investments. These investments are covered by insurance, guaranteeing
the timely payment of principal and interest, or by an escrow or trust account
containing enough U.S. government or U.S. government agency securities to
ensure timely payment of principal and interest.
Industries/1/
Tax Obligation/General 26.3%
---------------------------------------
U.S. Guaranteed 17.9%
---------------------------------------
Healthcare 10.4%
---------------------------------------
Long-Term Care 10.4%
---------------------------------------
Tax Obligation/Limited 8.5%
---------------------------------------
Education and Civic Organizations 7.6%
---------------------------------------
Transportation 6.3%
---------------------------------------
Other 12.6%
---------------------------------------
1As a percentage of total holdings as of August 31, 2006. Holdings are subject
to change.
- --------------------------------------------------------------------------------
Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including front and back end sales charges (loads) or redemption fees,
where applicable; and (2) ongoing costs, including management fees;
distribution and service (12b-1) fees, where applicable; and other Fund
expenses. This Example is intended to help you understand your ongoing costs
(in dollars) of investing in the Fund and to compare these costs with the
ongoing costs of investing in other mutual funds.
The Example below is based on an investment of $1,000 invested at the beginning
of the period and held for the period.
The information under "Actual Performance," together with the amount you
invested, allows you to estimate actual expenses incurred over the reporting
period. Simply divide your account value by $1,000 (for example, an $8,600
account value divided by $1,000 = 8.60) and multiply the result by the cost
shown for your share class, in the row entitled "Expenses Incurred During
Period" to estimate the expenses incurred on your account during this period.
The information under "Hypothetical Performance," provides information about
hypothetical account values and hypothetical expenses based on the Fund's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Fund's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expense you incurred for the period. You may use this information to
compare the ongoing costs of investing in the Fund and other Funds. To do so,
compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transactional costs, such as front
and back end sales charges (loads) or redemption fees, where applicable.
Therefore, the hypothetical information is useful in comparing ongoing costs
only, and will not help you determine the relative total costs of owning
different funds or share classes. In addition, if these transactional costs
were included, your costs would have been higher.
Hypothetical Performance
Actual Performance (5% annualized return before expenses)
--------------------------------------- ---------------------------------------
A Shares B Shares C Shares R Shares A Shares B Shares C Shares R Shares
- -----------------------------------------------------------------------------------------------------------------
Beginning Account Value (3/01/06) $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00 $1,000.00
- -----------------------------------------------------------------------------------------------------------------
Ending Account Value (8/31/06) $1,016.00 $1,012.10 $1,013.00 $1,016.80 $1,020.72 $1,016.94 $1,017.95 $1,021.73
- -----------------------------------------------------------------------------------------------------------------
Expenses Incurred During Period $ 4.52 $ 8.32 $ 7.31 $ 3.51 $ 4.53 $ 8.34 $ 7.32 $ 3.52
- -----------------------------------------------------------------------------------------------------------------
For each class of the Fund, expenses are equal to the Fund's annualized net
expense ratio of .89%, 1.64%, 1.44% and .69% for Classes A, B, C and R,
respectively, multiplied by the average account value over the period,
multiplied by 184/365 (to reflect the one-half year period).
Semiannual Report Page 7
Portfolio of Investments (Unaudited)
NUVEEN MASSACHUSETTS MUNICIPAL BOND FUND
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- --------------------------------------------------------------------------------------------------------------------------
Consumer Discretionary - 0.9%
$ 1,485 Boston Industrial Development Financing Authority, 9/12 at 102.00 Ba3 $ 1,533,159
Massachusetts, Senior Revenue Bonds, Crosstown Center
Project, Series 2002, 6.500%, 9/01/35 (Alternative Minimum
Tax)
- --------------------------------------------------------------------------------------------------------------------------
Consumer Staples - 0.5%
900 Puerto Rico, The Children's Trust Fund, Tobacco Settlement 5/12 at 100.00 BBB 924,138
Asset-Backed Refunding Bonds, Series 2002, 5.375%, 5/15/33
- --------------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations - 11.3%
1,135 Massachusetts Development Finance Agency, Revenue Bonds, 10/15 at 100.00 AAA 1,184,202
Boston University, Series 2005T-1, 5.000%, 10/01/39 -
AMBAC Insured
1,800 Massachusetts Development Finance Agency, Revenue Bonds, 9/15 at 100.00 AAA 1,880,226
Western New England College, Series 2005A, 5.000%, 9/01/33
- AGC Insured
1,500 Massachusetts Development Finance Agency, Revenue Bonds, 10/15 at 100.00 Aaa 1,560,465
Williston Northampton School, Series 2005B, 5.000%,
10/01/37 - XLCA Insured
3,000 Massachusetts Development Finance Authority, Revenue Bonds, 3/09 at 101.00 A 3,081,270
Curry College, Series 1999A, 5.500%, 3/01/29 - ACA Insured
50 Massachusetts Development Finance Authority, Revenue Bonds, 7/13 at 101.00 BBB+ 56,063
Massachusetts College of Pharmacy and Allied Health
Sciences, Series 2003C, 6.375%, 7/01/23
3,075 Massachusetts Development Finance Authority, Revenue Bonds, 7/15 at 100.00 AAA 3,202,951
Massachusetts College of Pharmacy and Allied Health
Sciences, Series 2005D, 5.000%, 7/01/27 - AGC Insured
750 Massachusetts Development Finance Authority, Revenue Bonds, 9/13 at 100.00 AA- 799,545
Milton Academy, Series 2003A, 5.000%, 9/01/19
895 Massachusetts Educational Finance Authority, Educational 1/12 at 100.00 AAA 920,445
Loan Revenue Bonds, Series 2002E, 5.000%, 1/01/13 - AMBAC
Insured (Alternative Minimum Tax)
1,000 Massachusetts Health and Educational Facilities Authority, No Opt. Call AA- 1,102,550
Revenue Bonds, Boston College, Series 1993K, 5.375%,
6/01/14
1,000 Massachusetts Health and Educational Facilities Authority, No Opt. Call AAA 1,112,250
Revenue Bonds, Massachusetts Institute of Technology,
Series 2004M, 5.250%, 7/01/15
500 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 523,670
Revenue Bonds, Wellesley College, Series 2003H, 5.000%,
7/01/26
500 Massachusetts Health and Educational Facilities Authority, 7/13 at 100.00 AA+ 529,795
Revenue Bonds, Williams College, Series 2003H, 5.000%,
7/01/21
425 Puerto Rico Industrial, Tourist, Educational, Medical and 2/09 at 101.00 BBB- 437,265
Environmental Control Facilities Financing Authority,
Higher Education Revenue Bonds, Ana G. Mendez University
System, Series 1999, 5.375%, 2/01/19
University of Massachusetts Building Authority, Senior Lien
Project Revenue Bonds, Series 2005-1:
1,495 5.000%, 5/01/14 - AMBAC Insured No Opt. Call AAA 1,617,620
1,060 5.000%, 5/01/15 - AMBAC Insured No Opt. Call AAA 1,152,718
- --------------------------------------------------------------------------------------------------------------------------
18,185 Total Education and Civic Organizations 19,161,035
- --------------------------------------------------------------------------------------------------------------------------
Health Care - 13.3%
2,900 Massachusetts Development Finance Authority, Revenue Bonds, 8/09 at 101.00 A 3,032,791
Northern Berkshire Community Services Inc., Series 1999A,
6.250%, 8/15/29 - ACA Insured
1,250 Massachusetts Health and Educational Facilities Authority, 10/11 at 101.00 BBB+ 1,339,788
Revenue Bonds, Berkshire Health System, Series 2001E,
6.250%, 10/01/31
3,000 Massachusetts Health and Educational Facilities Authority, 11/11 at 101.00 AA 3,136,200
Revenue Bonds, Cape Cod Health Care Inc., Series 2001C,
5.250%, 11/15/31 - RAAI Insured
50 Massachusetts Health and Educational Facilities Authority, 1/09 at 101.00 BBB 52,003
Revenue Bonds, Caritas Christi Obligated Group, Series
1999A, 5.750%, 7/01/28
1,000 Massachusetts Health and Educational Facilities Authority, 7/12 at 101.00 BBB 1,082,370
Revenue Bonds, Caritas Christi Obligated Group, Series
2002B, 6.250%, 7/01/22
- ----
8
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- --------------------------------------------------------------------------------------------------------------------------
Health Care (continued)
$ 1,000 Massachusetts Health and Educational Facilities Authority, 1/12 at 101.00 A $ 1,080,960
Revenue Bonds, Covenant Health Systems Obligated Group,
Series 2002, 6.000%, 7/01/31
1,000 Massachusetts Health and Educational Facilities Authority, 8/12 at 100.00 AAA 1,062,510
Revenue Bonds, Dartmouth-Hitchcock Obligated Group, Series
2002, 5.125%, 8/01/22 - FSA Insured
1,250 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AA 1,283,100
Revenue Bonds, Emerson Hospital, Series 2005E, 5.000%,
8/15/35 - RAAI Insured
1,500 Massachusetts Health and Educational Facilities Authority, 7/08 at 101.00 AAA 1,514,820
Revenue Bonds, Harvard Pilgrim Healthcare, Series 1998A,
4.750%, 7/01/22 - FSA Insured
2,000 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AAA 2,125,260
Revenue Bonds, Lahey Clinic Medical Center, Series 2005C,
5.000%, 8/15/21 - FGIC Insured
1,400 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB- 1,438,738
Revenue Bonds, Milton Hospital Project, Series 2005D,
5.250%, 7/01/30
600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 644,052
Revenue Bonds, New England Medical Center Hospitals,
Series 2002H, 5.375%, 5/15/19 - FGIC Insured
2,785 Massachusetts Health and Educational Facilities Authority, 7/11 at 101.00 AA 3,018,188
Revenue Bonds, Partners HealthCare System Inc., Series
2001C, 5.750%, 7/01/32
375 Massachusetts Health and Educational Facilities Authority, 7/11 at 100.00 BBB 410,093
Revenue Bonds, UMass Memorial Health Care, Series 2001C,
6.625%, 7/01/32
1,475 Massachusetts Health and Educational Facilities Authority, 7/15 at 100.00 BBB 1,496,476
Revenue Bonds, UMass Memorial Health Care, Series 2005D,
5.000%, 7/01/33
- --------------------------------------------------------------------------------------------------------------------------
21,585 Total Health Care 22,717,349
- --------------------------------------------------------------------------------------------------------------------------
Housing/Multifamily - 3.7%
1,115 Framingham Housing Authority, Massachusetts, GNMA 8/10 at 105.00 AAA 1,225,575
Collateralized Mortgage Revenue Refunding Bonds, Beaver
Terrace Apartments, Series 2000A, 6.350%, 2/20/32
2,835 Massachusetts Development Financing Authority, Assisted 12/09 at 102.00 N/R 2,919,625
Living Revenue Bonds, Prospect House Apartments, Series
1999, 7.000%, 12/01/31
530 Massachusetts Housing Finance Agency, Housing Bonds, Series 6/15 at 100.00 AA- 541,782
2006A, 5.100%, 12/01/37 (Alternative Minimum Tax)
500 Massachusetts Housing Finance Agency, Housing Revenue 6/13 at 100.00 AA- 506,665
Bonds, Series 2003S, 5.050%, 12/01/23 (Alternative Minimum
Tax)
1,000 Massachusetts Industrial Finance Agency, FHA-Insured 1/08 at 102.00 AAA 1,043,940
Mortgage Loan Bonds, Hudner Associates Projects, Series
1997, 5.650%, 1/01/22 - MBIA Insured
- --------------------------------------------------------------------------------------------------------------------------
5,980 Total Housing/Multifamily 6,237,587
- --------------------------------------------------------------------------------------------------------------------------
Housing/Single Family - 1.4%
515 Massachusetts Housing Finance Agency, Single Family Housing 6/10 at 100.00 AA 522,107
Revenue Bonds, Series 84, 5.550%, 12/01/31 (Alternative
Minimum Tax)
1,600 Massachusetts Housing Finance Authority, Single Family 6/15 at 100.00 AA 1,602,704
Housing Revenue Bonds, Series 2006-122, 4.875%, 12/01/37
(Alternative Minimum Tax)
295 Puerto Rico Housing Finance Authority, Mortgage-Backed 6/13 at 100.00 AAA 297,257
Securities Program Home Mortgage Revenue Bonds, Series
2003A, 4.875%, 6/01/34 (Alternative Minimum Tax)
- --------------------------------------------------------------------------------------------------------------------------
2,410 Total Housing/Single Family 2,422,068
- --------------------------------------------------------------------------------------------------------------------------
Industrials - 0.6%
615 Massachusetts Development Finance Agency, Pioneer Valley No Opt. Call N/R 620,781
Resource Recovery Revenue Bonds, Eco/ Springfield LLC,
Series 2006, 5.875%, 7/01/14 (Alternative Minimum Tax)
400 Massachusetts Development Finance Agency, Solid Waste No Opt. Call BBB 425,488
Disposal Revenue Bonds, Waste Management Inc., Series
2003, 5.450%, 6/01/14
- --------------------------------------------------------------------------------------------------------------------------
1,015 Total Industrials 1,046,269
- --------------------------------------------------------------------------------------------------------------------------
- ----
9
Portfolio of Investments (Unaudited)
NUVEEN MASSACHUSETTS MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -----------------------------------------------------------------------------------------------------------------------
Long-Term Care - 6.2%
$ 1,500 Massachusetts Development Finance Agency, Human Service 9/15 at 100.00 AA $ 1,547,715
Provider Revenue Bonds, Seven Hills Foundation and
Affiliates Issue, Series 2005, 5.000%, 9/01/35 - RAAI
Insured
50 Massachusetts Development Finance Authority, First Mortgage 7/11 at 102.00 BBB- 54,173
Revenue Bonds, Berkshire Retirement Community - Edgecombe
Project, Series 2001A, 6.750%, 7/01/21
1,790 Massachusetts Development Finance Authority, Revenue Bonds, 9/09 at 102.00 AA 1,908,373
May Institute, Series 1999, 5.750%, 9/01/24 - RAAI Insured
885 Massachusetts Health and Educational Facilities Authority, 1/07 at 100.00 AAA 886,266
Revenue Bonds, Cable Housing and Health Services, Series
1993A, 5.625%, 7/01/13 - MBIA Insured
415 Massachusetts Industrial Finance Agency, FHA-Insured 2/07 at 101.00 AAA 423,852
Project Revenue Bonds, Heights Crossing LP, Series 1995,
6.000%, 2/01/15 (Alternative Minimum Tax)
610 Massachusetts Industrial Finance Agency, First Mortgage 1/11 at 101.00 BBB- 610,958
Revenue Bonds, Berkshire Retirement Community, Series
1994B, 4.750%, 7/01/17
2,020 Massachusetts Industrial Finance Agency, GNMA 6/09 at 102.00 AAA 2,108,355
Collateralized Assisted Living Facility Revenue Bonds,
Arbors at Taunton LP, Series 1999, 5.500%, 6/20/40
(Alternative Minimum Tax)
Massachusetts Industrial Finance Agency, GNMA
Collateralized Assisted Living Facility Revenue Bonds, TNG
Draper Place Project, Series 1998:
235 5.400%, 8/20/12 (Alternative Minimum Tax) 8/08 at 105.00 AA 236,208
2,490 6.450%, 8/20/39 (Alternative Minimum Tax) 8/08 at 105.00 AA 2,702,721
- -----------------------------------------------------------------------------------------------------------------------
9,995 Total Long-Term Care 10,478,621
- -----------------------------------------------------------------------------------------------------------------------
Tax Obligation/General - 18.4%
1,085 Amherst-Pelham Regional School District, Massachusetts, 11/15 at 101.00 AAA 1,186,578
General Obligation Bonds, Series 2005, 5.000%, 11/15/17 -
FSA Insured
500 Ashland, Massachusetts, General Obligation Bonds, Series 5/15 at 100.00 Aaa 546,880
2004, 5.250%, 5/15/23 - AMBAC Insured
1,160 Beverly, Massachusetts, General Obligation Bonds, Series 11/13 at 100.00 Aaa 1,230,261
2003, 5.000%, 11/01/21 - MBIA Insured
1,000 Boston, Massachusetts, General Obligation Bonds, Series 8/11 at 100.00 Aa1 1,056,910
2001B, 5.000%, 8/01/15
1,500 Boston, Massachusetts, General Obligation Bonds, Series 1/15 at 100.00 Aa1 1,621,350
2005A, 5.000%, 1/01/17
3,130 Boston, Massachusetts, General Obligation Bonds, Series 1/16 at 100.00 Aa1 3,370,384
2006A, 5.000%, 1/01/20
1,090 Brookline, Massachusetts, General Obligation Bonds, Series 4/10 at 101.00 Aaa 1,160,272
2000, 5.375%, 4/01/17
1,000 Erving, Massachusetts, General Obligation Bonds, Series 6/12 at 101.00 BBB 1,060,750
2002, 5.500%, 6/15/16
1,000 Fall River, Massachusetts, General Obligation Bonds, Series 2/13 at 101.00 AAA 1,065,250
2003, 5.000%, 2/01/21 - FSA Insured
1,145 Falmouth, Massachusetts, General Obligation Bonds, Series 2/12 at 101.00 AA+ 1,218,395
2002, 5.000%, 2/01/19
545 Lawrence, Massachusetts, General Obligation Bonds, Series 2/11 at 100.00 Aaa 568,866
2001, 5.000%, 2/01/21 - AMBAC Insured
1,335 Marlborough, Massachusetts, General Obligation Bonds, 6/09 at 101.00 Aaa 1,396,223
Series 1999, 5.125%, 6/15/19 - FGIC Insured
2,500 Massachusetts Bay Transportation Authority, General No Opt. Call AAA 3,096,650
Obligation Transportation System Bonds, Series 1991A,
7.000%, 3/01/21
1,250 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AA 1,427,475
Series 2002D, 5.500%, 8/01/19
2,000 Massachusetts, General Obligation Bonds, Series 2005C, 9/15 at 100.00 AA 2,119,660
5.000%, 9/01/24
1,490 Northbridge, Massachusetts, General Obligation Bonds, 2/12 at 101.00 AAA 1,610,332
Series 2002, 5.250%, 2/15/18 - AMBAC Insured
1,000 Randolph, Massachusetts, General Obligation Bonds, Series No Opt. Call AAA 1,081,320
2004, 5.000%, 9/01/13 - AMBAC Insured
1,000 Reading, Massachusetts, General Obligation Bonds, Series 3/14 at 100.00 AAA 1,079,030
2004, 5.000%, 3/15/15 - MBIA Insured
1,415 Springfield, Massachusetts, General Obligation Bonds, 1/13 at 100.00 AAA 1,522,625
Series 2003, 5.250%, 1/15/23 - MBIA Insured
Westfield, Massachusetts, General Obligation Bonds, Series
2004:
695 5.000%, 8/01/18 - AMBAC Insured 8/14 at 100.50 AAA 748,640
690 5.000%, 8/01/19 - AMBAC Insured 8/14 at 100.50 AAA 740,818
500 Woburn, Massachusetts, General Obligation Bonds, Series 11/15 at 100.00 Aaa 539,600
2005, 5.000%, 11/15/19 - MBIA Insured
1,825 Worcester, Massachusetts, General Obligation Bonds, Series 7/15 at 100.00 AAA 1,956,783
2005A, 5.000%, 7/01/19 - FGIC Insured
- -----------------------------------------------------------------------------------------------------------------------
28,855 Total Tax Obligation/General 31,405,052
- -----------------------------------------------------------------------------------------------------------------------
- ----
10
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- ------------------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited - 11.5%
$ 680 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/13 at 100.00 AAA $ 706,697
Series 2002, 5.000%, 5/01/32 - AMBAC Insured
395 Martha's Vineyard Land Bank, Massachusetts, Revenue Bonds, 5/14 at 100.00 AAA 417,231
Series 2004, 5.000%, 5/01/26 - AMBAC Insured
1,610 Massachusetts Bay Transportation Authority, Assessment 7/15 at 100.00 AAA 1,733,696
Bonds, Series 2005A, 5.000%, 7/01/18
770 Massachusetts Bay Transportation Authority, Senior Lien No Opt. Call AAA 870,855
Sales Tax Revenue Refunding Bonds, Series 2004C, 5.250%,
7/01/21
3,000 Massachusetts Bay Transportation Authority, Senior Sales 7/18 at 100.00 AAA 3,226,170
Tax Revenue Bonds, Series 2006, 5.000%, 7/01/26
550 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 585,305
Bonds, Series 2004A, 5.000%, 5/01/19 - MBIA Insured
815 Massachusetts College Building Authority, Project Revenue 5/16 at 100.00 AAA 858,700
Bonds, Series 2006A, 5.000%, 5/01/31 - AMBAC Insured
Massachusetts College Building Authority, Project Revenue
Refunding Bonds, Series 2003B:
1,025 5.375%, 5/01/22 - XLCA Insured No Opt. Call AAA 1,166,614
1,125 5.375%, 5/01/23 - XLCA Insured No Opt. Call AAA 1,284,424
Massachusetts School Building Authority, Dedicated Sales
Tax Revenue Bonds, Series 2005A:
1,600 5.000%, 8/15/20 - FSA Insured 8/15 at 100.00 AAA 1,712,576
2,000 5.000%, 8/15/22 - FSA Insured 8/15 at 100.00 AAA 2,129,880
670 Massachusetts, Special Obligation Dedicated Tax Revenue No Opt. Call AAA 738,313
Bonds, Series 2005, 5.000%, 1/01/20 - FGIC Insured
2,000 Massachusetts, Special Obligation Refunding Notes, Federal No Opt. Call Aaa 2,152,360
Highway Grant Anticipation Note Program, Series 2003A,
5.000%, 12/15/13 - FSA Insured
1,700 Puerto Rico, Highway Revenue Bonds, Highway and No Opt. Call AAA 1,952,994
Transportation Authority, Series 2003AA, 5.500%, 7/01/19 -
MBIA Insured
- ------------------------------------------------------------------------------------------------------------------------------
17,940 Total Tax Obligation/Limited 19,535,815
- ------------------------------------------------------------------------------------------------------------------------------
Transportation - 5.1%
3,835 Massachusetts Port Authority, Revenue Bonds, Series 2003A, 7/13 at 100.00 AAA 4,034,225
5.000%, 7/01/24 - MBIA Insured
2,500 Massachusetts Port Authority, Revenue Bonds, Series 2005A, 7/15 at 100.00 AAA 2,654,725
5.000%, 7/01/23 - AMBAC Insured
1,950 Massachusetts Port Authority, Special Facilities Revenue 1/11 at 101.00 AAA 1,989,254
Bonds, Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27
- AMBAC Insured (Alternative Minimum Tax)
- ------------------------------------------------------------------------------------------------------------------------------
8,285 Total Transportation 8,678,204
- ------------------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed - 11.7% (3)
250 Massachusetts Bay Transportation Authority, Certificates of 12/06 at 100.00 AA- (3) 253,242
Participation, Series 1988, 7.800%, 1/15/14 (Pre-refunded
12/22/06)
600 Massachusetts Bay Transportation Authority, General 3/07 at 101.00 AA (3) 610,314
Obligation Transportation System Bonds, Series 1997D,
5.000%, 3/01/27 (Pre-refunded 3/01/07)
2,000 Massachusetts Development Finance Authority, Revenue Bonds, 1/10 at 101.00 Aaa 2,207,060
Massachusetts College of Pharmacy and Allied Health
Sciences, Series 1999B, 6.625%, 7/01/20 (Pre-refunded
1/01/10)
1,540 Massachusetts Health and Educational Facilities Authority, 8/10 at 100.00 AAA 1,576,082
FHA-Insured Revenue Bonds, Malden Hospital, Series 1982A,
5.000%, 8/01/16 (Pre-refunded 8/01/10)
1,285 Massachusetts Health and Educational Facilities Authority, 2/07 at 102.00 Aa2 (3) 1,325,465
FHA-Insured Revenue Refunding Bonds, Youville Hospital,
Series 1997A, 6.250%, 2/15/41 (Pre-refunded 2/15/07)
3,000 Massachusetts Health and Educational Facilities Authority, 7/10 at 101.00 N/R (3) 3,314,370
Revenue Bonds, Winchester Hospital, Series 2000E, 6.750%,
7/01/30 (Pre-refunded 7/01/10)
1,500 Massachusetts Industrial Finance Agency, Healthcare 5/07 at 102.00 N/R (3) 1,546,875
Facilities Revenue Bonds, Jewish Geriatric Services Inc.
Obligated Group, Series 1997B, 5.500%, 5/15/27
(Pre-refunded 5/15/07)
495 Massachusetts Port Authority, Revenue Bonds, Series 1982, 1/07 at 100.00 AAA 666,631
13.000%, 7/01/13 (ETM)
- ----
11
Portfolio of Investments (Unaudited)
NUVEEN MASSACHUSETTS MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- -------------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed (3) (continued)
$ 1,860 Massachusetts, General Obligation Bonds, Consolidated Loan, 1/13 at 100.00 AA (3) $ 1,988,284
Series 2003A, 5.000%, 1/01/22 (Pre-refunded 1/01/13)
1,250 Massachusetts, General Obligation Bonds, Consolidated Loan, 8/14 at 100.00 AA (3) 1,348,312
Series 2004B, 5.000%, 8/01/24 (Pre-refunded 8/01/14)
1,500 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 1,639,500
Bonds, Series 2004, 5.250%, 1/01/25 (Pre-refunded 1/01/14)
- FGIC Insured
1,000 Massachusetts, Special Obligation Revenue Refunding Bonds, 6/12 at 100.00 AAA 1,087,330
Series 2002A, 5.375%, 6/01/19 (Pre-refunded 6/01/12) -
FGIC Insured
1,200 University of Massachusetts Building Authority, Senior Lien 11/13 at 100.00 AAA 1,314,672
Project Revenue Bonds, Series 2003-1, 5.250%, 11/01/18
(Pre-refunded 11/01/13) - AMBAC Insured
1,000 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 1,103,000
Project Revenue Bonds, Series 2004-1, 5.250%, 11/01/24
(Pre-refunded 11/01/14) - AMBAC Insured
- -------------------------------------------------------------------------------------------------------------------------
18,480 Total U.S. Guaranteed 19,981,137
- -------------------------------------------------------------------------------------------------------------------------
Utilities - 3.6%
1,000 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AAA 1,093,450
Revenue Bonds, SEMass System, Series 2001A, 5.625%,
1/01/16 - MBIA Insured
1,000 Massachusetts Industrial Finance Agency, Resource Recovery 12/08 at 102.00 BBB 1,032,170
Revenue Refunding Bonds, Ogden Haverhill Project, Series
1998A, 5.600%, 12/01/19 (Alternative Minimum Tax)
2,500 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/14 at 100.00 AAA 2,658,775
Series 2004PP, 5.000%, 7/01/22 - FGIC Insured
1,240 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/15 at 100.00 AAA 1,307,357
Series 2005RR, 5.000%, 7/01/35 - FGIC Insured
- -------------------------------------------------------------------------------------------------------------------------
5,740 Total Utilities 6,091,752
- -------------------------------------------------------------------------------------------------------------------------
Water and Sewer - 9.3%
2,000 Boston Water and Sewerage Commission, Massachusetts, 11/14 at 100.00 AA 2,115,920
General Revenue Bonds, Senior Series 2004A, 5.000%,
11/01/25
2,000 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/14 at 100.00 AAA 2,107,440
Program Bonds, Series 10, 5.000%, 8/01/26
1,750 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/15 at 100.00 AAA 1,763,370
Program Bonds, Series 11, 4.500%, 8/01/29
1,500 Massachusetts Water Pollution Abatement Trust, Pooled Loan 8/13 at 100.00 AAA 1,582,845
Program Bonds, Series 9, 5.000%, 8/01/22
1,500 Massachusetts Water Pollution Abatement Trust, Revenue 8/12 at 100.00 AAA 1,612,170
Bonds, MWRA Loan Program, Series 2002A, 5.250%, 8/01/20
Massachusetts Water Resources Authority, General Revenue
Bonds, Series 2005A:
1,650 5.000%, 8/01/27 - MBIA Insured 8/17 at 100.00 AAA 1,757,877
1,585 5.000%, 8/01/28 - MBIA Insured 8/17 at 100.00 AAA 1,687,201
2,080 5.000%, 8/01/29 - MBIA Insured 8/17 at 100.00 AAA 2,208,523
1,125 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 993,544
Bonds, Series 2006A, 4.000%, 8/01/46
- -------------------------------------------------------------------------------------------------------------------------
15,190 Total Water and Sewer 15,828,890
- -------------------------------------------------------------------------------------------------------------------------
$ 156,045 Total Long-Term Investments (cost $160,329,985) - 97.5% 166,041,076
- -------------------------------------------------------------------------------------------------------------------------
- ------------
Short-Term Investments - 1.3%
2,200 Puerto Rico Government Development Bank, Adjustable A-1 2,200,000
Refunding Bonds, Variable Rate Demand Obligations, Series
1985, 3.290%, 12/01/15 - MBIA Insured (4)
- -------------------------------------------------------------------------------------------------------------------------
$ 2,200 Total Short-Term Investments (cost $2,200,000) 2,200,000
- -------------------------------------------------------------------------------------------------------------------------
- ------------
Total Investments (cost $162,529,985) - 98.8% 168,241,076
-----------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.2% 1,997,536
-----------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 170,238,612
-----------------------------------------------------------------------------------------------------------
- ----
12
(1) Optional Call Provisions: Dates (month and year) and prices of
the earliest optional call or redemption. There may be other
call provisions at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic principal
paydowns.
(2) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below BBB by Standard & Poor's Group or Baa by
Moody's Investor Service, Inc. are considered to be below
investment grade.
(3) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which ensure the
timely payment of principal and interest. Such investments are
normally considered to be equivalent to AAA rated securities.
(4) Investment has a maturity of more than one year, but has
variable rate and demand features which qualify it as a
short-term investment. The rate disclosed is that in effect at
the end of the reporting period. This rate changes periodically
based on market conditions or a specified market index.
N/R Not rated.
(ETM) Escrowed to maturity.
See accompanying notes to financial statements.
- ----
13
Portfolio of Investments (Unaudited)
NUVEEN MASSACHUSETTS INSURED MUNICIPAL BOND FUND
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- --------------------------------------------------------------------------------------------------------------------
Education and Civic Organizations - 7.5%
$ 865 Massachusetts Development Finance Agency, Revenue Bonds, 10/15 at 100.00 AAA $ 902,498
Boston University, Series 2005T-1, 5.000%, 10/01/39 -
AMBAC Insured
1,500 Massachusetts Development Finance Agency, Revenue Bonds, 10/15 at 100.00 Aaa 1,560,465
Williston Northampton School, Series 2005B, 5.000%,
10/01/37 - XLCA Insured
1,790 Massachusetts Educational Finance Authority, Educational 1/12 at 100.00 AAA 1,840,890
Loan Revenue Bonds, Series 2002E, 5.000%, 1/01/13 - AMBAC
Insured (Alternative Minimum Tax)
1,000 Massachusetts Health and Educational Facilities Authority, 10/12 at 100.00 AAA 1,091,810
Revenue Bonds, University of Massachusetts - Worcester
Campus, Series 2002C, 5.500%, 10/01/18 - MBIA Insured
1,000 Massachusetts Health and Educational Facilities Authority, 10/14 at 100.00 AAA 1,086,290
Revenue Bonds, University of Massachusetts, Series 2005D,
5.250%, 10/01/24 - FGIC Insured
- --------------------------------------------------------------------------------------------------------------------
6,155 Total Education and Civic Organizations 6,481,953
- --------------------------------------------------------------------------------------------------------------------
Health Care - 10.3%
2,000 Boston, Massachusetts, Special Obligation Bonds, Boston 8/12 at 100.00 AAA 2,112,480
Medical Center, Series 2002, 5.000%, 8/01/18 - MBIA Insured
10 Massachusetts Health and Educational Facilities Authority, 1/07 at 100.00 AAA 10,028
Revenue Bonds, Capital Asset Program, Series 1989G-2,
7.200%, 7/01/09 - MBIA Insured
1,205 Massachusetts Health and Educational Facilities Authority, 7/08 at 102.00 AAA 1,248,018
Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%,
7/01/25 - MBIA Insured
1,000 Massachusetts Health and Educational Facilities Authority, 8/12 at 100.00 AAA 1,062,510
Revenue Bonds, Dartmouth-Hitchcock Obligated Group, Series
2002, 5.125%, 8/01/22 - FSA Insured
1,400 Massachusetts Health and Educational Facilities Authority, 8/15 at 100.00 AAA 1,487,682
Revenue Bonds, Lahey Clinic Medical Center, Series 2005C,
5.000%, 8/15/21 - FGIC Insured
600 Massachusetts Health and Educational Facilities Authority, 5/12 at 100.00 AAA 644,052
Revenue Bonds, New England Medical Center Hospitals,
Series 2002H, 5.375%, 5/15/19 - FGIC Insured
2,290 Puerto Rico Industrial, Tourist, Educational, Medical and 1/07 at 100.00 AAA 2,310,244
Environmental Control Facilities Financing Authority,
Hospital Revenue Bonds, Auxilio Mutuo Hospital, Series
1995A, 6.250%, 7/01/16 - MBIA Insured
- --------------------------------------------------------------------------------------------------------------------
8,505 Total Health Care 8,875,014
- --------------------------------------------------------------------------------------------------------------------
Housing/Multifamily - 4.3%
340 Massachusetts Housing Finance Agency, Housing Development 6/08 at 101.00 AAA 341,159
Revenue Bonds, Series 1998A, 5.375%, 6/01/16 - MBIA
Insured (Alternative Minimum Tax)
640 Massachusetts Industrial Finance Agency, FHA-Insured 1/08 at 102.00 AAA 668,122
Mortgage Loan Bonds, Hudner Associates Projects, Series
1997, 5.650%, 1/01/22 - MBIA Insured
2,575 Somerville Housing Authority, Massachusetts, GNMA 5/12 at 103.00 AAA 2,723,243
Collateralized Mortgage Revenue Bonds, Clarendon Hill
Towers, Series 2002, 5.200%, 11/20/22
- --------------------------------------------------------------------------------------------------------------------
3,555 Total Housing/Multifamily 3,732,524
- --------------------------------------------------------------------------------------------------------------------
Long-Term Care - 10.3%
2,500 Massachusetts Development Finance Authority, GNMA 3/12 at 105.00 AAA 2,759,500
Collateralized Assisted Living Facility Revenue Bonds,
Arbors at Chicopee, Series 2001A, 6.250%, 9/20/42
(Alternative Minimum Tax)
2,500 Massachusetts Development Finance Authority, GNMA 10/11 at 105.00 AAA 2,791,925
Collateralized Revenue Bonds, VOA Concord Assisted Living
Inc., Series 2000A, 6.900%, 10/20/41
3,185 Massachusetts Industrial Finance Agency, GNMA 12/07 at 102.00 AAA 3,315,776
Collateralized Assisted Living Facility Revenue Bonds,
Arbors at Amherst LP, Series 1997, 5.950%, 6/20/39
(Alternative Minimum Tax)
- --------------------------------------------------------------------------------------------------------------------
8,185 Total Long-Term Care 8,867,201
- --------------------------------------------------------------------------------------------------------------------
Tax Obligation/General - 26.1%
585 Brookline, Massachusetts, General Obligation Bonds, Series 4/10 at 101.00 Aaa 622,715
2000, 5.375%, 4/01/18
1,520 Fall River, Massachusetts, General Obligation Bonds, Series 2/13 at 101.00 AAA 1,651,374
2003, 5.250%, 2/01/17 - FSA Insured
- ----
14
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- --------------------------------------------------------------------------------------------------------------------
Tax Obligation/General (continued)
$ 1,265 Freetown Lakeville Regional School District, Plymouth 1/13 at 101.00 AAA $ 1,365,947
County, Massachusetts, General Obligation Bonds, Series
2003, 5.000%, 1/01/15 - MBIA Insured
1,000 Lawrence, Massachusetts, General Obligation Bonds, Series 2/11 at 100.00 Aaa 1,043,790
2001, 5.000%, 2/01/21 - AMBAC Insured
1,000 Massachusetts Bay Transportation Authority, General 3/08 at 101.00 AAA 1,026,170
Obligation Transportation System Bonds, Series 1998A,
5.000%, 3/01/18 - MBIA Insured
3,000 Massachusetts, General Obligation Bonds, Consolidated Loan, No Opt. Call AAA 3,420,988
Series 2001D, 6.000%, 11/01/13 - MBIA Insured
1,500 Monson, Massachusetts, Unlimited Tax General Obligation No Opt. Call AAA 1,607,565
School Refunding Bonds, Series 1993, 5.500%, 10/15/10 -
MBIA Insured
1,250 Northampton, Massachusetts, General Obligation Bonds, 9/12 at 101.00 Aaa 1,330,500
Series 2002, 5.000%, 9/01/19 - MBIA Insured
190 Northfield, Massachusetts, General Obligation Bonds, Series 10/06 at 100.00 AAA 190,631
1992, 6.350%, 10/15/09 - MBIA Insured
1,350 Norwell, Massachusetts, General Obligation Bonds, Series No Opt. Call AAA 1,442,786
2005, 5.000%, 2/15/25 - AMBAC Insured
1,230 Pioneer Valley Regional School District, Massachusetts, 6/12 at 101.00 Aaa 1,341,979
General Obligation Bonds, Series 2002, 5.375%, 6/15/19 -
AMBAC Insured
2,200 Puerto Rico, Public Improvement Bonds, TICS/TOCS, Series No Opt. Call AAA 3,044,184
2001, 8.428%, 7/01/19 - FSA Insured (IF)
1,770 Reading, Massachusetts, General Obligation Bonds, Series 3/14 at 100.00 AAA 1,903,139
2004, 5.000%, 3/15/16 - MBIA Insured
1,000 Tantasqua Regional School District, Massachusetts, General 10/15 at 100.00 Aaa 1,086,780
Obligation Bonds, Series 2005, 5.000%, 10/01/16 - FSA
Insured
220 Taunton, Massachusetts, General Obligation Bonds, Series 9/06 at 101.00 AAA 222,772
1991, 6.800%, 9/01/09 - MBIA Insured
500 Woburn, Massachusetts, General Obligation Bonds, Series 11/15 at 100.00 Aaa 539,600
2005, 5.000%, 11/15/19 - MBIA Insured
545 Worcester, Massachusetts, General Obligation Bonds, Series 8/11 at 100.00 AAA 588,856
2001A, 5.500%, 8/15/18 - FGIC Insured
- --------------------------------------------------------------------------------------------------------------------
20,125 Total Tax Obligation/General 22,429,776
- --------------------------------------------------------------------------------------------------------------------
Tax Obligation/Limited - 8.5%
1,160 Massachusetts College Building Authority, Project Revenue 5/14 at 100.00 AAA 1,242,847
Bonds, Series 2004A, 5.000%, 5/01/17 - MBIA Insured
560 Massachusetts College Building Authority, Project Revenue 5/16 at 100.00 AAA 590,027
Bonds, Series 2006A, 5.000%, 5/01/31 - AMBAC Insured
1,000 Massachusetts College Building Authority, Project Revenue No Opt. Call AAA 1,138,160
Refunding Bonds, Series 2003B, 5.375%, 5/01/22 - XLCA
Insured
1,100 Massachusetts School Building Authority, Dedicated Sales 8/15 at 100.00 AAA 1,177,396
Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/20 - FSA
Insured
460 Massachusetts, Special Obligation Dedicated Tax Revenue No Opt. Call AAA 506,902
Bonds, Series 2005, 5.000%, 1/01/20 - FGIC Insured
475 Puerto Rico Convention Center District Authority, Hotel 7/16 at 100.00 AAA 480,434
Occupancy Tax Revenue Bonds, Series 2006A, 4.500%, 7/01/36
- CIFG Insured
2,000 Puerto Rico Highway and Transportation Authority, Highway 7/14 at 100.00 AAA 2,144,380
Revenue Bonds, Series 2004J, 5.000%, 7/01/18 - MBIA Insured
- --------------------------------------------------------------------------------------------------------------------
6,755 Total Tax Obligation/Limited 7,280,146
- --------------------------------------------------------------------------------------------------------------------
Transportation - 6.3%
1,000 Massachusetts Port Authority, Revenue Bonds, Series 2003C, 7/13 at 100.00 AAA 1,064,450
5.000%, 7/01/18 - MBIA Insured
1,630 Massachusetts Port Authority, Revenue Bonds, Series 2005A, 7/15 at 100.00 AAA 1,730,881
5.000%, 7/01/23 - AMBAC Insured
530 Massachusetts Port Authority, Special Facilities Revenue 1/11 at 101.00 AAA 540,669
Bonds, Delta Air Lines Inc., Series 2001A, 5.000%, 1/01/27
- AMBAC Insured (Alternative Minimum Tax)
2,000 Massachusetts Turnpike Authority, Metropolitan Highway 1/07 at 102.00 AAA 2,040,440
System Revenue Bonds, Senior Series 1997A, 5.000%, 1/01/37
- MBIA Insured
- --------------------------------------------------------------------------------------------------------------------
5,160 Total Transportation 5,376,440
- --------------------------------------------------------------------------------------------------------------------
- ----
15
Portfolio of Investments (Unaudited)
NUVEEN MASSACHUSETTS INSURED MUNICIPAL BOND FUND (continued)
August 31, 2006
Principal Optional Call
Amount (000) Description Provisions (1) Ratings (2) Value
- --------------------------------------------------------------------------------------------------------------------
U.S. Guaranteed - 17.8% (3)
$ 2,000 Massachusetts Bay Transportation Authority, Senior Sales 7/12 at 100.00 AAA $ 2,142,240
Tax Revenue Refunding Bonds, Series 2002A, 5.000%, 7/01/32
(Pre-refunded 7/01/12)
295 Massachusetts Health and Educational Facilities Authority, 7/21 at 100.00 AAA 323,411
Revenue Bonds, CareGroup Inc., Series 1998A, 5.000%,
7/01/25 (Pre-refunded 7/01/21) - MBIA Insured
1,000 Massachusetts Industrial Finance Agency, Revenue Bonds, 7/08 at 102.00 AAA 1,044,310
Western New England College, Series 1998, 5.000%, 7/01/28
(Pre-refunded 7/01/08) - AMBAC Insured
850 Massachusetts Municipal Wholesale Electric Company, Power 1/07 at 100.00 AAA 876,529
Supply System Revenue Bonds, Nuclear Project 6, Series
1993A, 5.000%, 7/01/10 - AMBAC Insured (ETM)
2,450 Massachusetts Water Resources Authority, General Revenue 8/13 at 100.00 AAA 2,635,294
Bonds, Series 2004D, 5.000%, 8/01/15 (Pre-refunded
8/01/13) - MBIA Insured
1,000 Massachusetts, General Obligation Bonds, Consolidated Loan, 3/12 at 100.00 AAA 1,090,140
Series 2002B, 5.500%, 3/01/17 (Pre-refunded 3/01/12) - FSA
Insured
2,000 Massachusetts, Special Obligation Dedicated Tax Revenue 1/14 at 100.00 AAA 2,186,000
Bonds, Series 2004, 5.250%, 1/01/21 (Pre-refunded 1/01/14)
- FGIC Insured
2,575 Tantasqua Regional School District, Massachusetts, General 8/10 at 101.00 Aaa 2,731,560
Obligation Bonds, Series 2000, 5.000%, 8/15/19
(Pre-refunded 8/15/10) - FSA Insured
2,000 University of Massachusetts Building Authority, Senior Lien 11/14 at 100.00 AAA 2,223,440
Project Revenue Bonds, Series 2004-1, 5.375%, 11/01/18
(Pre-refunded 11/01/14) - AMBAC Insured
- --------------------------------------------------------------------------------------------------------------------
14,170 Total U.S. Guaranteed 15,252,924
- --------------------------------------------------------------------------------------------------------------------
Utilities - 3.9%
1,500 Massachusetts Development Finance Agency, Resource Recovery 1/12 at 101.00 AAA 1,640,175
Revenue Bonds, SEMass System, Series 2001A, 5.625%,
1/01/16 - MBIA Insured
1,600 Puerto Rico Electric Power Authority, Power Revenue Bonds, 7/10 at 101.00 AAA 1,689,936
Series 2000HH, 5.250%, 7/01/29 - FSA Insured
- --------------------------------------------------------------------------------------------------------------------
3,100 Total Utilities 3,330,111
- --------------------------------------------------------------------------------------------------------------------
Water and Sewer - 4.4%
1,000 Massachusetts Water Resources Authority, General Revenue No Opt. Call AAA 1,127,800
Bonds, Series 2002J, 5.250%, 8/01/19 - FSA Insured
750 Massachusetts Water Resources Authority, General Revenue 8/17 at 100.00 AAA 798,360
Bonds, Series 2005A, 5.000%, 8/01/28 - MBIA Insured
875 Massachusetts Water Resources Authority, General Revenue 8/16 at 100.00 AA 772,756
Bonds, Series 2006A, 4.000%, 8/01/46
1,000 Springfield Water and Sewerage Commission, Massachusetts, 7/14 at 100.00 AAA 1,055,950
General Revenue Bonds, Series 2003A, 5.000%, 7/01/23 -
MBIA Insured
- --------------------------------------------------------------------------------------------------------------------
3,625 Total Water and Sewer 3,754,866
- --------------------------------------------------------------------------------------------------------------------
$ 79,335 Total Investments (cost $82,133,428) - 99.4% 85,380,955
- --------------------------------------------------------------------------------------------------------------------
- ------------
Other Assets Less Liabilities - 0.6% 489,977
------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 85,870,932
------------------------------------------------------------------------------------------------------
Primarily all of the bonds in the Portfolio of Investments are
either covered by Original Issue Insurance, Secondary Market
Insurance or Portfolio Insurance, or are backed by an escrow or
trust containing sufficient U.S. Government or U.S. Government
agency securities, any of which ensure the timely payment of
principal and interest.
(1) Optional Call Provisions: Dates (month and year) and prices of
the earliest optional call or redemption. There may be other
call provisions at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic principal
paydowns.
(2) Ratings: Using the higher of Standard & Poor's or Moody's
rating. Ratings below BBB by Standard & Poor's Group or Baa by
Moody's Investor Service, Inc. are considered to be below
investment grade. The ratings shown for inverse floating rate
investments represent those of the underlying bonds and not the
inverse floating rate investments themselves. Inverse floating
rate investments likely represent greater credit risk to the
holders of such investments than to those holders of the
underlying bonds.
(3) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which ensure
the timely payment of principal and interest.
(ETM) Escrowed to maturity.
(IF) Inverse floating rate investment.
See accompanying notes to financial statements.
- ----
16
Statement of Assets and Liabilities (Unaudited)
August 31, 2006
Massachusetts
Massachusetts Insured
- ----------------------------------------------------------------------------------------------------
Assets
Investments, at value (cost $162,529,985 and $82,133,428, respectively) $168,241,076 $85,380,955
Cash 584,781 --
Receivables:
Interest 1,795,290 993,240
Investments sold 15,000 --
Shares sold 370,100 --
Other assets 54 39
- ----------------------------------------------------------------------------------------------------
Total assets 171,006,301 86,374,234
- ----------------------------------------------------------------------------------------------------
Liabilities
Cash overdraft -- 134,142
Payable for shares redeemed 104,209 15,597
Accrued expenses:
Management fees 76,202 38,973
12b-1 distribution and service fees 27,321 14,522
Other 36,753 35,473
Dividends payable 523,204 264,595
- ----------------------------------------------------------------------------------------------------
Total liabilities 767,689 503,302
- ----------------------------------------------------------------------------------------------------
Net assets $170,238,612 $85,870,932
- ----------------------------------------------------------------------------------------------------
Class A Shares
Net assets $ 92,356,383 $24,079,888
Shares outstanding 9,217,230 2,329,507
Net asset value per share $ 10.02 $ 10.34
Offering price per share (net asset value per share plus
maximum sales charge of 4.20% of offering price) $ 10.46 $ 10.79
- ----------------------------------------------------------------------------------------------------
Class B Shares
Net assets $ 5,374,622 $ 6,039,540
Shares outstanding 535,474 583,680
Net asset value and offering price per share $ 10.04 $ 10.35
- ----------------------------------------------------------------------------------------------------
Class C Shares
Net assets $ 12,233,477 $ 8,804,427
Shares outstanding 1,230,060 851,951
Net asset value and offering price per share $ 9.95 $ 10.33
- ----------------------------------------------------------------------------------------------------
Class R Shares
Net assets $ 60,274,130 $46,947,077
Shares outstanding 6,026,590 4,526,796
Net asset value and offering price per share $ 10.00 $ 10.37
- ----------------------------------------------------------------------------------------------------
Net Assets Consist of:
- ----------------------------------------------------------------------------------------------------
Capital paid-in $164,594,158 $82,332,493
Undistributed (Over-distribution of) net investment income (59,787) 56,715
Accumulated net realized gain (loss) from investments (6,850) 234,197
Net unrealized appreciation (depreciation) of investments 5,711,091 3,247,527
- ----------------------------------------------------------------------------------------------------
Net assets $170,238,612 $85,870,932
- ----------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
- ----
17
Statement of Operations (Unaudited)
Six Months Ended August 31, 2006
Massachusetts
Massachusetts Insured
- -------------------------------------------------------------------------------------------------
Investment Income $3,807,789 $2,018,115
- -------------------------------------------------------------------------------------------------
Expenses
Management fees 433,659 234,597
12b-1 service fees - Class A 83,963 24,107
12b-1 distribution and service fees - Class B 26,749 28,888
12b-1 distribution and service fees - Class C 44,739 35,391
Shareholders' servicing agent fees and expenses 52,124 31,842
Custodian's fees and expenses 27,575 20,505
Trustees' fees and expenses 1,653 1,130
Professional fees 7,343 6,069
Shareholders' reports - printing and mailing expenses 16,151 10,123
Federal and state registration fees 815 2,973
Other expenses 2,364 1,639
- -------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit 697,135 397,264
Custodian fee credit (19,069) (9,616)
- -------------------------------------------------------------------------------------------------
Net expenses 678,066 387,648
- -------------------------------------------------------------------------------------------------
Net investment income 3,129,723 1,630,467
- -------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss)
Net realized gain (loss) from investments 7,835 (29,304)
Net change in unrealized appreciation (depreciation) of investments 36,632 (264,913)
- -------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 44,467 (294,217)
- -------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $3,174,190 $1,336,250
- -------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
- ----
18
Statement of Changes in Net Assets (Unaudited)
Massachusetts
------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
- ------------------------------------------------------------------------------------------------------
Operations
Net investment income $ 3,129,723 $ 5,344,281
Net realized gain (loss) from investments 7,835 287,346
Net change in unrealized appreciation (depreciation) of investments 36,632 (671,161)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 3,174,190 4,960,466
- ------------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income:
Class A (1,556,907) (2,255,981)
Class B (84,610) (205,231)
Class C (192,758) (387,327)
Class R (1,185,207) (2,523,779)
From accumulated net realized gains:
Class A -- (185,446)
Class B -- (18,317)
Class C -- (35,602)
Class R -- (179,325)
- ------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (3,019,482) (5,791,008)
- ------------------------------------------------------------------------------------------------------
Fund Share Transactions
Proceeds from sale of shares 33,507,886 42,379,084
Proceeds from shares issued to shareholders due
to reinvestment of distributions 1,320,304 2,938,734
- ------------------------------------------------------------------------------------------------------
34,828,190 45,317,818
Cost of shares redeemed (16,589,126) (19,782,789)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from Fund share transactions 18,239,064 25,535,029
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets 18,393,772 24,704,487
Net assets at the beginning of period 151,844,840 127,140,353
- ------------------------------------------------------------------------------------------------------
Net assets at the end of period $170,238,612 $151,844,840
- ------------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of) net investment income at the end
of period $ (59,787) $ (170,028)
- ------------------------------------------------------------------------------------------------------
Massachusetts Insured
------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
- -----------------------------------------------------------------------------------------------------
Operations
Net investment income $ 1,630,467 $ 3,348,107
Net realized gain (loss) from investments (29,304) 514,664
Net change in unrealized appreciation (depreciation) of investments (264,913) (902,262)
- -----------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 1,336,250 2,960,509
- -----------------------------------------------------------------------------------------------------
Distributions to Shareholders
From net investment income:
Class A (449,443) (798,886)
Class B (90,330) (192,772)
Class C (149,085) (346,437)
Class R (926,463) (1,937,309)
From accumulated net realized gains:
Class A -- (74,219)
Class B -- (22,254)
Class C -- (36,222)
Class R -- (170,385)
- -----------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (1,615,321) (3,578,484)
- -----------------------------------------------------------------------------------------------------
Fund Share Transactions
Proceeds from sale of shares 1,527,427 7,821,591
Proceeds from shares issued to shareholders due
to reinvestment of distributions 1,049,869 2,415,020
- -----------------------------------------------------------------------------------------------------
2,577,296 10,236,611
Cost of shares redeemed (5,281,763) (11,168,735)
- -----------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from Fund share transactions (2,704,467) (932,124)
- -----------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (2,983,538) (1,550,099)
Net assets at the beginning of period 88,854,470 90,404,569
- -----------------------------------------------------------------------------------------------------
Net assets at the end of period $85,870,932 $ 88,854,470
- -----------------------------------------------------------------------------------------------------
Undistributed (Over-distribution of) net investment income at the end
of period $ 56,715 $ 41,569
- -----------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
- ----
19
Notes to Financial Statements (Unaudited)
1. General Information and Significant Accounting Policies
The Nuveen Multistate Trust II (the "Trust") is an open-end investment company
registered under the Investment Company Act of 1940, as amended. The Trust is
comprised of Nuveen Massachusetts Municipal Bond Fund ("Massachusetts") and
Nuveen Massachusetts Insured Municipal Bond Fund ("Massachusetts Insured")
(collectively, the "Funds"), among others. The Trust was organized as a
Massachusetts business trust on July 1, 1996. The Funds were each organized as
a series of predecessor trusts or corporations prior to that date.
The Funds seek to provide tax-free income and preservation of capital through
investments in diversified portfolios of municipal bonds.
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements in accordance with
accounting principles generally accepted in the United States.
Investment Valuation
The prices of municipal bonds in each Fund's investment portfolio are provided
by a pricing service approved by the Fund's Board of Trustees. When market
price quotes are not readily available (which is usually the case for municipal
securities), the pricing service or, in the absence of a pricing service for a
particular security, the Board of Trustees of the Funds, or its designee, may
establish fair market value using a wide variety of market data including
yields or prices of municipal bonds of comparable quality, type of issue,
coupon, maturity and rating, market quotes or indications of value from
securities dealers, evaluations of anticipated cash flows or collateral,
general market conditions and other information and analysis, including the
obligor's credit characteristics considered relevant by the pricing service or
the Board of Trustees' designee. Temporary investments in securities that have
variable rate and demand features qualifying them as short-term investments are
valued at amortized cost, which approximates market value.
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and
losses from transactions are determined on the specific identification method.
Investments purchased on a when-issued or delayed delivery basis may have
extended settlement periods. Any investments so purchased are subject to market
fluctuation during this period. The Funds have instructed the custodian to
segregate assets with a current value at least equal to the amount of the
when-issued/delayed delivery purchase commitments. At August 31, 2006, there
were no such outstanding purchase commitments in either of the funds.
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
Investment income also includes paydown gains and losses, if any.
Dividends and Distributions to Shareholders
Tax-exempt net investment income is declared monthly as a dividend. Generally,
payment is made or reinvestment is credited to shareholder accounts on the
first business day after month-end. Net realized capital gains and/or market
discount from investment transactions, if any, are distributed to shareholders
not less frequently than annually. Furthermore, capital gains are distributed
only to the extent they exceed available capital loss carryforwards.
Distributions to shareholders of tax-exempt net investment income, net realized
capital gains and/or market discount, if any, are recorded on the ex-dividend
date. The amount and timing of distributions are determined in accordance with
federal income tax regulations, which may differ from accounting principles
generally accepted in the United States.
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. Furthermore,
each Fund intends to satisfy conditions which will enable interest from
municipal securities, which is exempt from regular federal and Massachusetts
state income taxes, to retain such tax-exempt status when distributed to
shareholders of the Funds. Net realized capital gains and ordinary income
distributions paid by the Funds are subject to federal taxation.
- ----
20
Insurance
Massachusetts Insured invests primarily in municipal securities which are
either covered by insurance or backed by an escrow or trust account containing
sufficient U.S. Government or U.S. Government agency securities, both of which
ensure the timely payment of principal and interest. Each insured municipal
security is covered by Original Issue Insurance, Secondary Market Insurance or
Portfolio Insurance. Such insurance does not guarantee the market value of the
municipal securities or the value of the Fund's shares. Original Issue
Insurance and Secondary Market Insurance remain in effect as long as the
municipal securities covered thereby remain outstanding and the insurer remains
in business, regardless of whether the Fund ultimately disposes of such
municipal securities. Consequently, the market value of the municipal
securities covered by Original Issue Insurance or Secondary Market Insurance
may reflect value attributable to the insurance. Portfolio Insurance, in
contrast, is effective only while the municipal securities are held by the
Fund. Accordingly, neither the prices used in determining the market value of
the underlying municipal securities nor the net asset value of the Fund's
shares include value, if any, attributable to the Portfolio Insurance. Each
policy of the Portfolio Insurance does, however, give the Fund the right to
obtain permanent insurance with respect to the municipal security covered by
the Portfolio Insurance policy at the time of its sale.
Flexible Sales Charge Program
Each Fund offers Class A, B, C and R Shares. Class A Shares are generally sold
with an up-front sales charge and incur a .20% annual 12b-1 service fee. Class
A Share purchases of $1 million or more are sold at net asset value without an
up-front sales charge but may be subject to a contingent deferred sales charge
("CDSC") if redeemed within 18 months of purchase. Class B Shares are sold
without an up-front sales charge but incur a .75% annual 12b-1 distribution fee
and a .20% annual 12b-1 service fee. An investor purchasing Class B Shares
agrees to pay a CDSC of up to 5% depending upon the length of time the shares
are held by the investor (CDSC is reduced to 0% at the end of six years). Class
B Shares convert to Class A Shares eight years after purchase. Class C Shares
are sold without an up-front sales charge but incur a .55% annual 12b-1
distribution fee and a .20% annual 12b-1 service fee. An investor purchasing
Class C Shares agrees to pay a CDSC of 1% if Class C Shares are redeemed within
one year of purchase. Class R Shares are not subject to any sales charge or
12b-1 distribution or service fees. Class R Shares are available only under
limited circumstances.
Derivative Financial Instruments
The Funds are authorized to invest in certain derivative financial instruments
including futures, forward, swap and option contracts, and other financial
instruments with similar characteristics including inverse floating rate
securities. During the six months ended August 31, 2006, Massachusetts Insured
invested in inverse floating rate securities for the purpose of enhancing
portfolio yield. Inverse floating rate securities are identified in the
Portfolio of Investments and are valued daily. The interest rate of an inverse
floating rate security has an inverse relationship to the interest rate of a
short-term floating rate security. Consequently, as the interest rate of the
floating rate security rises, the interest rate on the inverse floating rate
security declines. Conversely, as the interest rate of the floating rate
security declines, the interest rate on the inverse floating rate security
rises. The price of an inverse floating rate security will be more volatile
than that of an otherwise comparable fixed rate security since the interest
rate is dependent on an underlying fixed coupon rate or the general level of
long-term interest rates as well as the short-term interest paid on the
floating rate security, and because the inverse floating rate security
typically bears the risk of loss of a greater face value of an underlying bond.
Massachusetts did not invest in any such instruments during the six months
ended August 31, 2006.
Expense Allocation
Expenses of the Funds that are not directly attributable to a specific class of
shares are prorated among the classes based on the relative net assets of each
class. Expenses directly attributable to a class of shares, which presently
only include 12b-1 distribution and service fees, are recorded to the specific
class.
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on each Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Indemnifications
Under the Trust's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Trust. In addition, in the normal course of business, the Trust
enters into contracts that provide general indemnifications to other parties.
The Trust's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Trust that have not yet
occurred. However, the Trust has not had prior claims or losses pursuant to
these contracts and expects the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts of
increases and decreases in net assets from operations during the reporting
period. Actual results may differ from those estimates.
- ----
21
Notes to Financial Statements (Unaudited) (continued)
2. Fund Shares
Transactions in Fund shares were as follows:
Massachusetts
--------------------------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
------------------------ ------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------
Shares sold:
Class A 3,176,122 $ 31,378,129 3,759,044 $ 37,733,181
Class A - automatic conversion of Class B shares 33,420 333,693 24,575 247,480
Class B 13,710 135,834 16,969 169,736
Class C 139,960 1,373,902 301,003 2,992,717
Class R 29,025 286,328 123,838 1,235,970
Shares issued to shareholders due to reinvestment
of distributions:
Class A 36,664 362,675 71,075 713,174
Class B 4,167 41,287 10,446 105,012
Class C 9,180 90,124 21,482 213,941
Class R 83,671 826,218 190,318 1,906,607
- -------------------------------------------------------------------------------------------------------
3,525,919 34,828,190 4,518,750 45,317,818
- -------------------------------------------------------------------------------------------------------
Shares redeemed:
Class A (1,262,093) (12,457,652) (1,113,096) (11,114,251)
Class B (45,320) (446,906) (128,817) (1,296,962)
Class B - automatic conversion to Class A shares (33,364) (333,693) (24,537) (247,480)
Class C (140,824) (1,379,484) (214,861) (2,137,080)
Class R (199,776) (1,971,391) (497,060) (4,987,016)
- -------------------------------------------------------------------------------------------------------
(1,681,377) (16,589,126) (1,978,371) (19,782,789)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) 1,844,542 $ 18,239,064 2,540,379 $ 25,535,029
- -------------------------------------------------------------------------------------------------------
Massachusetts Insured
--------------------------------------------------
Six Months Ended Year Ended
8/31/06 2/28/06
------------------------ ------------------------
Shares Amount Shares Amount
- -------------------------------------------------------------------------------------------------------
Shares sold:
Class A 96,803 $ 988,618 543,865 $ 5,623,345
Class A - automatic conversion of Class B shares 2,529 26,011 6,094 63,188
Class B 11,344 115,672 42,994 447,058
Class C 21,732 223,418 120,680 1,251,961
Class R 17,018 173,708 41,982 436,039
Shares issued to shareholders due to reinvestment
of distributions:
Class A 26,044 265,951 55,641 577,553
Class B 3,120 31,888 7,537 78,212
Class C 8,029 81,952 19,070 197,813
Class R 65,397 670,078 149,970 1,561,442
- -------------------------------------------------------------------------------------------------------
252,016 2,577,296 987,833 10,236,611
- -------------------------------------------------------------------------------------------------------
Shares redeemed:
Class A (125,894) (1,283,430) (309,080) (3,205,325)
Class B (18,199) (185,818) (101,268) (1,052,706)
Class B - automatic conversion to Class A shares (2,528) (26,011) (6,090) (63,188)
Class C (132,788) (1,352,967) (332,890) (3,446,340)
Class R (237,785) (2,433,537) (326,623) (3,401,176)
- -------------------------------------------------------------------------------------------------------
(517,194) (5,281,763) (1,075,951) (11,168,735)
- -------------------------------------------------------------------------------------------------------
Net increase (decrease) (265,178) $ (2,704,467) (88,118) $ (932,124)
- -------------------------------------------------------------------------------------------------------
- ----
22
3. Investment Transactions
Purchases and sales (including maturities but excluding short-term investments)
during the six months ended August 31, 2006, were as follows:
Massachusetts
Massachusetts Insured
------------------------------------------------
Purchases $19,346,242 $2,934,518
Sales and maturities 1,811,931 2,109,770
------------------------------------------------
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 the treatment of paydown gains and losses, timing differences
in recognizing taxable market discount and timing differences in recognizing
certain gains and losses on investment transactions. To the extent that
differences arise that are permanent in nature, such amounts are reclassified
within the capital accounts on the Statement of Assets and Liabilities, based
on their Federal tax basis treatment and have no impact on the net asset value
of the Funds. Temporary differences do not require classification.
At August 31, 2006, the cost of investments was as follows:
Massachusetts
Massachusetts Insured
-----------------------------------------------
-----------------------------------------------
Cost of investments $162,499,336 $82,076,589
-----------------------------------------------
Gross unrealized appreciation and gross unrealized depreciation of investments
at August 31, 2006, were as follows:
Massachusetts
Massachusetts Insured
- ---------------------------------------------------------------------------------------
Gross unrealized:
Appreciation $5,919,081 $3,368,480
Depreciation (177,341) (64,114)
- ---------------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $5,741,740 $3,304,366
- ---------------------------------------------------------------------------------------
The tax components of undistributed net tax-exempt income, net ordinary income
and net long-term capital gains at February 28, 2006, the Funds' last tax year
end, were as follows:
Massachusetts
Massachusetts Insured
---------------------------------------------------------------------
Undistributed net tax-exempt income* $263,286 $252,551
Undistributed net ordinary income** -- 2,043
Undistributed net long-term capital gains -- 263,501
---------------------------------------------------------------------
* Undistributed net tax-exempt income (on a tax basis) has not been reduced
for the dividend declared on February 9, 2006, paid on March 1, 2006.
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
The tax character of distributions paid during the Funds' last tax year ended
February 28, 2006, was designated for purposes of the dividends paid deduction
as follows:
Massachusetts
Massachusetts Insured
--------------------------------------------------------------------------
Distributions from net tax-exempt income $5,279,300 $3,240,754
Distributions from net ordinary income** 32,345 88,724
Distributions from net long-term capital gains 418,104 256,840
--------------------------------------------------------------------------
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
Massachusetts elected to defer net realized losses from investments incurred
from November 1, 2005 through February 28, 2006 ("post-October losses") in
accordance with Federal income tax regulations. Post-October losses of $14,671
were treated as having arisen on the first day of the current fiscal year.
- ----
23
Notes to Financial Statements (Unaudited) (continued)
5. Management Fee and Other Transactions with Affiliates
Each Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by Nuveen
Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen
Investments, Inc. ("Nuveen"), and a specific fund-level component, based only
on the amount of assets within each individual fund. This pricing structure
enables Nuveen fund shareholders to benefit from growth in the assets within
each individual fund as well as from growth in the amount of complex-wide
assets managed by the Adviser.
The annual fund-level fee, payable monthly, for each Fund is based upon the
average daily net assets of each Fund as follows:
Average Daily Net Assets Fund-Level Fee Rate
---------------------------------------------------
For the first $125 million .3500%
For the next $125 million .3375
For the next $250 million .3250
For the next $500 million .3125
For the next $1 billion .3000
For the next $3 billion .2750
For net assets over $5 billion .2500
---------------------------------------------------
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 August 31, 2006, the complex-level fee rate was .1863%.
Complex-Level Assets/(1)/ Complex-Level Fee Rate
----------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion/(2)/ .1400
----------------------------------------------------------------
(1)The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds in
the U.S.
(2)With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level fee
rate for such complex-wide Managed Assets shall be .1400% until such time as
a different rate or rates is determined.
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Trust pays no
compensation directly to those of its Trustees who are affiliated with the
Adviser or to its Officers, all of whom receive remuneration for their services
to the Trust from the Adviser or its affiliates. The Board of Trustees has
adopted a deferred compensation plan for independent Trustees that enables
Trustees to elect to defer receipt of all or a portion of the annual
compensation they are entitled to receive from certain Nuveen advised Funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised Funds.
The Adviser has agreed to waive part of its management fees or reimburse
certain expenses of each Fund in order to limit total expenses (excluding 12b-1
distribution and service fees and extraordinary expenses) from exceeding .75%
of the average daily net assets of Massachusetts and .975% of the average daily
net assets of Massachusetts Insured. The Adviser may also voluntarily reimburse
additional expenses from time to time. Voluntary reimbursements may be
terminated at any time at the Adviser's discretion.
- ----
24
During the six months ended August 31, 2006, Nuveen Investments, LLC (the
"Distributor"), a wholly owned subsidiary of Nuveen, collected sales charges on
purchases of Class A Shares, the majority of which were paid out as concessions
to authorized dealers as follows:
Massachusetts
Massachusetts Insured
------------------------------------------------------
Sales charges collected $59,959 $1,663
Paid to authorized dealers 50,461 1,451
------------------------------------------------------
The Distributor also received 12b-1 service fees on Class A Shares,
substantially all of which were paid to compensate authorized dealers for
providing services to shareholders relating to their investments.
During the six months ended August 31, 2006, the Distributor compensated
authorized dealers directly with commission advances at the time of purchase as
follows:
Massachusetts
Massachusetts Insured
-----------------------------------------------
Commission advances $13,015 $7,147
-----------------------------------------------
To compensate for commissions advanced to authorized dealers, all 12b-1 service
fees collected on Class B Shares during the first year following a purchase,
all 12b-1 distribution fees collected on Class B Shares, and all 12b-1 service
and distribution fees collected on Class C Shares during the first year
following a purchase are retained by the Distributor. During the six months
ended August 31, 2006, the Distributor retained such 12b-1 fees as follows:
Massachusetts
Massachusetts Insured
-----------------------------------------------
12b-1 fees retained $32,962 $27,307
-----------------------------------------------
The remaining 12b-1 fees charged to the Funds were paid to compensate
authorized dealers for providing services to shareholders relating to their
investments.
The Distributor also collected and retained CDSC on share redemptions during
the six months ended August 31, 2006, as follows:
Massachusetts
Massachusetts Insured
-----------------------------------------
CDSC retained $13,493 $3,477
-----------------------------------------
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 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 Event
Distributions to Shareholders
The Funds declared dividend distributions from their tax-exempt net investment
income which were paid on October 2, 2006, to shareholders of record on
September 8, 2006, as follows:
Massachusetts
Massachusetts Insured
-----------------------------------------------
Dividend per share:
Class A $.0310 $.0320
Class B .0250 .0255
Class C .0265 .0270
Class R .0325 .0335
-----------------------------------------------
- ----
25
Financial Highlights (Unaudited)
Selected data for a share outstanding throughout each period:
Class (Commencement Date)
Investment Operations Less Distributions
--------------------------- ----------------------- ----------------------------
Before Credit/
Reimbursement
MASSACHUSETTS ------------------
Ratio
of Net
Invest-
Ratio of ment
Net Expenses Income
Beginning Net Realized/ Net Ending Ending to to
Net Invest- Unrealized Invest- Net Net Average Average
Year Ended Asset ment Gain ment Capital Asset Total Assets Net Net
February 28/29, Value Income(a) (Loss) Total Income Gains Total Value Return(b) (000) Assets Assets
- ------------------------------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) $10.03 $.19 $(.01) $.18 $(.19) $ -- $(.19) $10.02 1.79% $92,356 .87%* 3.83%*
2006 10.09 .39 (.03) .36 (.39) (.03) (.42) 10.03 3.65 72,519 .88 3.86
2005 10.13 .41 (.04) .37 (.41) -- (.41) 10.09 3.75 45,302 .91 4.06
2004 9.98 .42 .16 .58 (.43) -- (.43) 10.13 5.95 28,720 .94 4.25
2003 9.75 .45 .24 .69 (.46) -- (.46) 9.98 7.27 21,751 .95 4.62
2002 9.70 .48 .07 .55 (.50) -- (.50) 9.75 5.86 19,878 .94 4.96
Class B (3/97)
2007(e) 10.04 .16 (.01) .15 (.15) -- (.15) 10.04 1.52 5,375 1.62* 3.09*
2006 10.11 .31 (.03) .28 (.32) (.03) (.35) 10.04 2.80 5,989 1.64 3.09
2005 10.15 .33 (.04) .29 (.33) -- (.33) 10.11 3.00 7,300 1.66 3.30
2004 10.01 .35 .15 .50 (.36) -- (.36) 10.15 5.07 7,976 1.68 3.49
2003 9.77 .38 .25 .63 (.39) -- (.39) 10.01 6.58 8,031 1.70 3.87
2002 9.72 .41 .06 .47 (.42) -- (.42) 9.77 4.96 6,588 1.69 4.21
Class C (10/94)
2007(e) 9.95 .16 -- .16 (.16) -- (.16) 9.95 1.63 12,233 1.42* 3.28*
2006 10.02 .33 (.03) .30 (.34) (.03) (.37) 9.95 3.01 12,160 1.44 3.30
2005 10.06 .35 (.04) .31 (.35) -- (.35) 10.02 3.21 11,160 1.46 3.50
2004 9.92 .37 .14 .51 (.37) -- (.37) 10.06 5.31 11,025 1.48 3.69
2003 9.69 .40 .24 .64 (.41) -- (.41) 9.92 6.73 9,703 1.50 4.07
2002 9.64 .43 .06 .49 (.44) -- (.44) 9.69 5.20 6,614 1.49 4.42
Class R (12/86)
2007(e) 10.01 .20 (.01) .19 (.20) -- (.20) 10.00 1.89 60,274 .67* 4.03*
2006 10.07 .41 (.03) .38 (.41) (.03) (.44) 10.01 3.84 61,177 .68 4.05
2005 10.11 .42 (.04) .38 (.42) -- (.42) 10.07 3.95 63,379 .71 4.25
2004 9.96 .44 .16 .60 (.45) -- (.45) 10.11 6.16 65,483 .73 4.45
2003 9.73 .47 .24 .71 (.48) -- (.48) 9.96 7.59 66,545 .75 4.83
2002 9.67 .50 .07 .57 (.51) -- (.51) 9.73 5.96 69,034 .74 5.16
- ------------------------------------------------------------------------------------------------------------------------------
Class (Commencement Date)
Ratios/Supplemental Data
----------------------------------------------------
After After Credit/
Reimbursement(c) Reimbursement(d)
MASSACHUSETTS ------------------ ------------------
Ratio Ratio
of Net of Net
Invest- Invest-
Ratio of ment Ratio of ment
Expenses Income Expenses Income
to to to to
Average Average Average Average Portfolio
Year Ended Net Net Net Net Turnover
February 28/29, Assets Assets Assets Assets Rate
- --------------------------------------------------------------------
Class A (9/94)
2007(e) .87%* 3.83%* .85%* 3.86%* 1%
2006 .88 3.86 .86 3.87 9
2005 .91 4.06 .91 4.06 11
2004 .94 4.25 .93 4.25 22
2003 .95 4.62 .94 4.63 14
2002 .94 4.96 .93 4.97 16
Class B (3/97)
2007(e) 1.62* 3.09* 1.60* 3.11* 1
2006 1.64 3.09 1.62 3.11 9
2005 1.66 3.30 1.65 3.31 11
2004 1.68 3.49 1.68 3.50 22
2003 1.70 3.87 1.69 3.88 14
2002 1.69 4.21 1.68 4.22 16
Class C (10/94)
2007(e) 1.42* 3.28* 1.40* 3.31* 1
2006 1.44 3.30 1.42 3.32 9
2005 1.46 3.50 1.45 3.51 11
2004 1.48 3.69 1.48 3.70 22
2003 1.50 4.07 1.49 4.08 14
2002 1.49 4.42 1.48 4.42 16
Class R (12/86)
2007(e) .67* 4.03* .65* 4.06* 1
2006 .68 4.05 .67 4.06 9
2005 .71 4.25 .70 4.26 11
2004 .73 4.45 .72 4.45 22
2003 .75 4.83 .74 4.84 14
2002 .74 5.16 .73 5.17 16
- --------------------------------------------------------------------
* Annualized.
(a)Per share Net Investment Income is calculated using the average daily shares
method.
(b)Total returns are calculated on net asset value without any sales charge and
are not annualized.
(c)After expense reimbursement from the Adviser, where applicable.
(d)After custodian fee credit and expense reimbursement, where applicable.
(e)For the six months ended August 31, 2006.
See accompanying notes to financial statements.
- ----
26
Selected data for a share outstanding throughout each period:
Class (Commencement Date)
Investment Operations Less Distributions
--------------------------- ----------------------- -------
MASSACHUSETTS INSURED
Net
Beginning Net Realized/ Net Ending Ending
Net Invest- Unrealized Invest- Net Net
Year Ended Asset ment Gain ment Capital Asset Total Assets
February 28/29, Value Income(a) (Loss) Total Income Gains Total Value Return(b) (000)
- ---------------------------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) $10.37 $.19 $(.03) $.16 $(.19) $ -- $(.19) $10.34 1.60% $24,080
2006 10.44 .40 (.04) .36 (.39) (.04) (.43) 10.37 3.48 24,153
2005 10.72 .41 (.21) .20 (.42) (.06) (.48) 10.44 1.95 21,233
2004 10.54 .43 .19 .62 (.44) -- (.44) 10.72 6.03 21,179
2003 10.36 .45 .23 .68 (.47) (.03) (.50) 10.54 6.74 23,212
2002 10.30 .50 .07 .57 (.49) (.02) (.51) 10.36 5.67 16,970
Class B (3/97)
2007(e) 10.38 .15 (.03) .12 (.15) -- (.15) 10.35 1.21 6,040
2006 10.45 .32 (.04) .28 (.31) (.04) (.35) 10.38 2.70 6,121
2005 10.73 .33 (.21) .12 (.34) (.06) (.40) 10.45 1.19 6,759
2004 10.55 .35 .19 .54 (.36) -- (.36) 10.73 5.24 7,183
2003 10.37 .38 .23 .61 (.40) (.03) (.43) 10.55 5.94 6,361
2002 10.31 .42 .07 .49 (.41) (.02) (.43) 10.37 4.87 3,574
Class C (9/94)
2007(e) 10.36 .16 (.03) .13 (.16) -- (.16) 10.33 1.30 8,804
2006 10.44 .34 (.05) .29 (.33) (.04) (.37) 10.36 2.78 9,895
2005 10.71 .35 (.20) .15 (.36) (.06) (.42) 10.44 1.46 11,981
2004 10.53 .37 .19 .56 (.38) -- (.38) 10.71 5.43 12,879
2003 10.35 .40 .22 .62 (.41) (.03) (.44) 10.53 6.14 12,935
2002 10.28 .44 .08 .52 (.43) (.02) (.45) 10.35 5.17 5,940
Class R (12/86)
2007(e) 10.40 .20 (.03) .17 (.20) -- (.20) 10.37 1.68 46,947
2006 10.47 .42 (.04) .38 (.41) (.04) (.45) 10.40 3.64 48,685
2005 10.75 .43 (.21) .22 (.44) (.06) (.50) 10.47 2.12 50,432
2004 10.56 .45 .20 .65 (.46) -- (.46) 10.75 6.30 54,344
2003 10.38 .48 .22 .70 (.49) (.03) (.52) 10.56 6.91 56,496
2002 10.31 .52 .08 .60 (.51) (.02) (.53) 10.38 5.95 54,719
- ---------------------------------------------------------------------------------------------------------------
Class (Commencement Date)
Ratios/Supplemental Data
-------------------------------------------------------------------------
Before Credit/ After After Credit/
Reimbursement Reimbursement(c) Reimbursement(d)
MASSACHUSETTS INSURED ------------------ ------------------ ------------------
Ratio Ratio Ratio
of Net of Net of Net
Invest- Invest- Invest-
Ratio of ment Ratio of ment Ratio of ment
Expenses Income Expenses Income Expenses Income
to to to to to to
Average Average Average Average Average Average Portfolio
Year Ended Net Net Net Net Net Net Turnover
February 28/29, Assets Assets Assets Assets Assets Assets Rate
- -----------------------------------------------------------------------------------------------
Class A (9/94)
2007(e) .91%* 3.72%* .91%* 3.72%* .89%* 3.74%* 2%
2006 .90 3.79 .90 3.79 .89 3.81 14
2005 .91 3.95 .91 3.95 .90 3.95 26
2004 .93 4.11 .93 4.11 .92 4.12 36
2003 .93 4.36 .93 4.36 .92 4.38 18
2002 .95 4.78 .95 4.78 .92 4.81 23
Class B (3/97)
2007(e) 1.66* 2.97* 1.66* 2.97* 1.64* 2.99* 2
2006 1.65 3.04 1.65 3.04 1.64 3.05 14
2005 1.66 3.20 1.66 3.20 1.65 3.20 26
2004 1.68 3.37 1.68 3.37 1.67 3.37 36
2003 1.68 3.59 1.68 3.59 1.67 3.61 18
2002 1.69 4.03 1.69 4.03 1.67 4.06 23
Class C (9/94)
2007(e) 1.46* 3.17* 1.46* 3.17* 1.44* 3.20* 2
2006 1.45 3.24 1.45 3.24 1.44 3.25 14
2005 1.46 3.40 1.46 3.40 1.45 3.40 26
2004 1.48 3.56 1.48 3.56 1.47 3.57 36
2003 1.48 3.79 1.48 3.79 1.47 3.81 18
2002 1.49 4.25 1.49 4.25 1.46 4.27 23
Class R (12/86)
2007(e) .71* 3.92* .71* 3.92* .69* 3.94* 2
2006 .70 3.99 .70 3.99 .69 4.00 14
2005 .71 4.15 .71 4.15 .70 4.15 26
2004 .73 4.31 .73 4.31 .72 4.32 36
2003 .73 4.58 .73 4.58 .72 4.59 18
2002 .75 4.98 .75 4.98 .73 5.00 23
- -----------------------------------------------------------------------------------------------
* Annualized.
(a)Per share Net Investment Income is calculated using the average daily shares
method.
(b)Total returns are calculated on net asset value without any sales charge and
are not annualized.
(c)After expense reimbursement from the Adviser, where applicable.
(d)After custodian fee credit and expense reimbursement, where applicable.
(e)For the six months ended August 31, 2006.
See accompanying notes to financial statements.
- ----
27
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 each Fund and NAM (the "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 Adviser and the performance of
each Fund. To assist the Board in its evaluation of the advisory contract with
the 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 Fund's past performance as well as the Fund's performance compared to
funds of similar investment objectives compiled by an independent third party
and to customized benchmarks;
.. 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 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 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, the Fund Adviser 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 the advisory contract with the 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 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 Fund and
the Fund Adviser; (c) the costs of the services to be provided and the
profitability of the Fund Adviser and its affiliates; (d) the extent to which
economies of scale would be realized as the Fund grows; and (e) whether fee
levels reflect these economies of scale for the benefit of Fund investors.
A. Nature, Extent and Quality of Services
In reviewing the Fund Adviser, the Trustees considered the nature, extent and
quality of the 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 Funds; the performance record of the applicable Fund
(as described in further detail below); and any initiatives and enhancements
Nuveen has taken for its municipal fund product line. In connection with their
continued service as Trustees, the Trustees also have a good understanding of
the Fund Adviser's organization, operations and personnel. In this regard, the
Trustees are familiar with and have evaluated the professional experience,
qualifications and credentials of the Fund Adviser's personnel. The Trustees
further reviewed materials describing, among other things, the teams and
personnel involved in the investment, research, risk-management and operational
processes involved in managing municipal funds and their respective functions.
Given the Trustees' experience with the Funds and Fund Adviser, the Trustees
recognized the demonstrated history of care and depth of experience of the
respective personnel in managing these Funds. In this regard, the Trustees
considered the continued quality of the Fund Adviser's investment process in
making portfolio management decisions as well as additional refinements and
improvements adopted to the portfolio management processes. With respect to the
services provided to municipal funds, including the Funds, the Trustees noted
that the Fund Adviser continues to make refinements to its portfolio management
process including, among other things, the increased use of derivatives to
enhance management of risk, additional analytical software for research staff
and improved municipal pricing processes.
- ----
28
In addition to advisory services, the independent Trustees considered the
quality of any administrative or non-advisory services provided. The Fund
Adviser provides the Funds with such administrative and other services
(exclusive of, and in addition to, any such services provided by others for the
Funds) and officers and other personnel as are necessary for the operations of
the respective 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 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 Funds (including a new reporting system for quarterly
portfolio holdings).
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
Funds under the Investment Management Agreement were of a high level and were
satisfactory.
B. The Investment Performance of the Funds and Fund Adviser
The Board considered the investment performance for each Fund, including the
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 portfolio level performance against customized
benchmarks, as described below. 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 Performance Peer Group of the Nuveen Intermediate Duration
Municipal Bond Fund). With respect to state specific municipal funds, the
Trustees recognized that certain state municipal funds do not have a
corresponding state specific Performance Peer Group in which case their
performance is measured against a more general municipal category for various
states. The two open-end Nuveen state municipal funds that utilize the more
general category are the Nuveen New Mexico Municipal Bond Fund and the Nuveen
Wisconsin Municipal Bond Fund.
In reviewing performance, the Trustees reviewed performance information
including, among other things, total return information compared with the
Fund's Performance Peer Group for the one-, three- and five-year periods (as
applicable) ending December 31, 2005. The Trustees also reviewed each Fund's
portfolio level performance (which does not reflect fund level fees and
expenses) compared to customized portfolio-level benchmarks for the one- and
three-year periods ending December 31, 2005 (as applicable). This analysis is
designed to assess the efficacy of investment decisions against appropriate
measures of risk and total return, within specific market segments. 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 Fund's absolute and relative investment
performance over time had been satisfactory.
C. Fees, Expenses and Profitability
1. Fees and Expenses
In evaluating the management fees and expenses of a Fund, the Board reviewed,
among other things, the 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 Peer Group may be the same.
Further, the Trustees recognized that in certain cases the closest Peer
Universe and/or Peer Group did not adequately reflect the 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 and insurance) 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
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 the Fund
Adviser with fees the Fund Adviser charges to other clients, including
municipal managed accounts. In general, the fees charged for separate accounts
are somewhat lower than the fees assessed to the 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 Funds is more extensive than that provided to managed separate
accounts. As described in further detail above, such additional services
include, but are not
- ----
29
Annual Investment Management Agreement Approval Process (continued)
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 the Funds,
the Trustees believe such facts justify the different levels of fees.
3. Profitability of Fund Adviser
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. Based on their
review, the Trustees were satisfied that the Fund Adviser's level of
profitability was reasonable in light of the services provided.
In evaluating the reasonableness of the compensation, the Trustees also
considered any other revenues paid to the 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 Funds, if any. See Section E below for additional
information. Based on their review of the overall fee arrangements of the
applicable Fund, the Trustees determined that the advisory fees and expenses of
the respective 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 Fund's assets grow. In
addition to advisory fee breakpoints as assets in a respective 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
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 each Fund, including any sales charges and distribution fees
received and retained by the Fund's principal underwriter, Nuveen Investments,
LLC, an affiliate of the Fund Adviser as well as any benefits derived from soft
dollar arrangements. The Trustees recognized that an affiliate of the Fund
Adviser provides distribution and shareholder services to the Funds and their
shareholders for which it may be compensated pursuant to a 12b-1 plan. The
Trustees therefore considered the 12b-1 fees retained by Nuveen during the last
calendar year.
In addition to the above, the Trustees considered whether the Fund Adviser
received any benefits from soft dollar arrangements. The Trustees noted that
the Fund Adviser 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, the Fund Adviser may from time to
time receive and have access to research generally provided to institutional
clients.
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30
F. Approval
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 Agreements were
fair and reasonable, that the Fund Adviser's fees are reasonable in light of
the services provided to each Fund, and that the renewal of the Investment
Management Agreements should be approved.
- ----
31
Notes
- --------------------------------------------------------------------------------
32
Fund Information
================================================================================
Fund Manager Legal Counsel Transfer Agent and
Nuveen Asset Management Chapman and Cutler LLP Shareholder Services
333 West Wacker Drive Chicago, IL Boston Financial
Chicago, IL 60606 Data Services, Inc.
Independent Registered Nuveen Investor Services
Public Accounting Firm P.O. Box 8530
PricewaterhouseCoopers LLP Boston, MA 02266-8530
Chicago, IL (800) 257-8787
Custodian
State Street Bank & Trust Company
Boston, MA
================================================================================
Glossary of Terms Used in this Report
Average Annual Total Return: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period. It
expresses the return that would have been necessary each year to equal the
investment's actual cumulative performance (including change in NAV or offer
price and reinvested dividends and capital gains distributions, if any) over
the time period being considered.
Average Effective Maturity: The average of all the maturities of the bonds in a
Fund's portfolio, computed by weighting each maturity date (the date the
security comes due) by the market value of the security. This figure does not
account for the likelihood of prepayments or the exercise of call provisions.
Average Duration: Duration is a measure of the expected period over which a
bond's principal and interest will be paid, and consequently is a measure of
the sensitivity of a bond's (or bond fund's) value to changes when market
interest rates change. Generally, the longer a bond or Fund's duration, the
more the price of the bond or Fund will change as interest rates change.
Dividend Yield (also known as Market Yield or Current Yield): An investment's
current annualized dividend divided by its current offering price.
Net Asset Value (NAV): A Fund's NAV is the dollar value of one share in the
Fund. It is calculated by subtracting the liabilities of the Fund from its
total assets and then dividing the remainder by the number of shares
outstanding. Fund NAVs are calculated at the end of each business day.
SEC 30-Day Yield: A standardized measure of a Fund's yield that accounts for
the future amortization of premiums or discounts of bonds held in the fund's
portfolio.
Taxable-Equivalent Yield: The yield necessary from a fully taxable investment
to equal, on an after-tax basis at a specified assumed tax rate, the yield of a
municipal bond investment.
================================================================================
Quarterly Portfolio of Investments and Proxy Voting information: Each 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 Funds used to determine how to vote proxies
relating to portfolio securities are available without charge, upon request, by
calling Nuveen Investments 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.
================================================================================
NASD Regulation, Inc. provides a Public Disclosure Program which supplies
certain information regarding the disciplinary history of NASD members and
their associated persons in response to either telephone inquiries at (800)
289-9999 or written inquiries at www.nasdr.com. NASD Regulation, Inc. also
provides an investor brochure that includes information describing the Public
Disclosure Program.
- ----
33
Learn more
about Nuveen Funds at
www.nuveen.com/mf
Nuveen Investments:
SERVING Investors
For GENERATIONS
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. Over this time,
Nuveen Investments has adhered to the belief that the best approach to
investing is to apply conservative risk-management principles to help
minimize volatility.
Building on this tradition, we today offer a range of high quality equity
and fixed-income solutions that can be integral parts of a well-diversified
core portfolio. Our clients have come to appreciate this diversity, as well
as our continued adherence to proven, long-term investing principles.
We offer many different investing solutions for our clients' different
needs.
Managing approximately $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: NWQ, specializing in value-style equities;
Nuveen, managing fixed-income investments; Santa Barbara, committed to
growth equities; Tradewinds NWQ, specializing in global value equities;
Rittenhouse, focused on "blue-chip" growth equities; and Symphony, with
expertise in alternative investments as well as equity and income
portfolios.
Find out how we can help you reach your financial goals.
To learn more about the products and services Nuveen Investments offers and
for a prospectus, where applicable, talk to your financial advisor, or call
us at (800) 257-8787. Please read the information carefully before you
invest.
.. Share prices
.. Fund details
.. Daily financial news
.. Investor education
[LOGO] Nuveen Investments
MSA-MA-08060
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable to this registrant.
ITEM 6. SCHEDULE OF INVESTMENTS
See Portfolio of Investments in Item 1
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not applicable to this registrant.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable to this registrant.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS
Not applicable to this registrant.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's Board implemented after the registrant
last provided disclosure in response to this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers, or
persons performing similar functions, have concluded that the registrant's
disclosure controls and procedures (as defined in Rule 30a-3(c) under the
Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR
270.30a-3(c))) are effective, as of a date within 90 days of the filing date of
this report that includes the disclosure required by this paragraph, based on
their evaluation of the controls and procedures required by Rule 30a-3(b) under
the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the
Securities Exchange Act of 1934, as amended (the "Exchange Act") (17 CFR
240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))
that occurred during the second fiscal quarter of the period covered by this
report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable
because the code is posted on registrant's website at www.nuveen.com/mf and
there were no amendments during the period covered by this report. (To view the
code, click on the Investors Resources drop down menu box, click on Fund
governance and then Code of Conduct.)
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: EX-99.CERT
Attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons: Not applicable
to this registrant.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an Exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registration specifically incorporates it by
reference. EX-99.906 CERT attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Multistate Trust II
--------------------------------------------------------
By (Signature and Title)* /s/ Jessica R. Droeger
-------------------------------------------
Jessica R. Droeger
Vice President and Secretary
Date November 7, 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 November 7, 2006
----------------------------------------------------------------
By (Signature and Title)* /s/ Stephen D. Foy
-------------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date November 7, 2006
----------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.