Form N-Q

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q


QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number         811-05570         

        Nuveen Premium Income Municipal Fund, Inc.         
(Exact name of registrant as specified in charter)

Nuveen Investments
        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)


Kevin J. McCarthy—Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)

Registrant's telephone number, including area code:         312-917-7700        

Date of fiscal year end:            10/31          

Date of reporting period:         7/31/07         

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. § 3507.

Item 1. Schedule of Investments

    Portfolio of Investments (Unaudited)             
    Nuveen Premium Income Municipal Fund, Inc. (NPI)             
    July 31, 2007             
Principal        Optional Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    Alabama – 4.0% (2.4% of Total Investments)             
$          4,050    Alabama 21st Century Authority, Tobacco Settlement Revenue Bonds, Series 2000, 6.125%, 12/01/16    6/10 at 102.00    A–   $   4,282,673 
6,000    Alabama Special Care Facilities Financing Authority, Revenue Bonds, Ascension Health, Series    11/16 at 100.00    AA    6,023,880 
     2006D, 5.000%, 11/15/39             
    Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health             
    System Inc., Series 2005A:             
6,000     5.250%, 11/15/20    11/15 at 100.00    Baa1    6,147,360 
1,300     5.000%, 11/15/30    11/15 at 100.00    Baa1    1,281,423 
12,000    Birmingham Waterworks and Sewerage Board, Alabama, Water and Sewerage Revenue Bonds,    1/17 at 100.00    AAA    11,381,520 
     Series 2007A, 4.500%, 1/01/43 – AMBAC Insured  (UB)             
2,190    Courtland Industrial Development Board, Alabama, Pollution Control Revenue Bonds,    6/15 at 100.00    BBB    2,145,565 
     International Paper Company, Series 2005A, 5.000%, 6/01/25             
5,020    DCH Health Care Authority, Alabama, Healthcare Facilities Revenue Bonds, Series 2002,    6/12 at 101.00    A+    5,174,616 
     5.250%, 6/01/18             
1,000    Montgomery BMC Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist    11/14 at 100.00    A3 (4)    1,078,820 
     Medical Center, Series 2004C, 5.250%, 11/15/29 (Pre-refunded 11/15/14)             
37,560    Total Alabama            37,515,587 
    Alaska – 2.8% (1.7% of Total Investments)             
    Anchorage, Alaska, General Obligation Refunding Bonds, Series 2003A:             
2,000     5.250%, 9/01/17 (Pre-refunded 9/01/13) – FGIC Insured    9/13 at 100.00    AAA    2,148,820 
2,035     5.250%, 9/01/18 (Pre-refunded 9/01/13) – FGIC Insured    9/13 at 100.00    AAA    2,186,424 
5,000    Northern Tobacco Securitization Corporation, Alaska, Tobacco Settlement Asset-Backed Bonds,    6/10 at 100.00    AAA    5,356,000 
     Series 2000, 6.500%, 6/01/31 (Pre-refunded 6/01/10)             
17,500    Northern Tobacco Securitization Corporation, Alaska, Tobacco Settlement Asset-Backed Bonds,    6/14 at 100.00    Baa3    16,354,973 
     Series 2006A, 5.000%, 6/01/32             
26,535    Total Alaska            26,046,217 
    Arizona – 1.0% (0.6% of Total Investments)             
    Glendale Industrial Development Authority, Arizona, Revenue Bonds, John C. Lincoln Health             
    Network, Series 2005B:             
500     5.250%, 12/01/24    12/15 at 100.00    BBB    509,250 
660     5.250%, 12/01/25    12/15 at 100.00    BBB    671,761 
3,900    Pima County Industrial Development Authority, Arizona, Lease Obligation Revenue Refunding    1/08 at 100.00    AAA    4,004,286 
     Bonds, Tucson Electric Power Company, Series 1988A, 7.250%, 7/15/10 – FSA Insured             
4,130    University of Arizona, Certificates of Participation, Series 2002B, 5.125%, 6/01/18 –    6/12 at 100.00    AAA    4,301,725 
     AMBAC Insured             
9,190    Total Arizona            9,487,022 
    Arkansas – 0.8% (0.5% of Total Investments)             
480    Paragould, Arkansas, Water, Sewer and Electric Revenue Bonds, Series 2000, 5.650%, 12/01/25    12/10 at 100.00    AAA    507,605 
     (Pre-refunded 12/01/10) – AMBAC Insured             
5,245    University of Arkansas, Fayetteville, Athletic Facilities Revenue Bonds, Razorback Stadium,    9/09 at 100.00    Aaa    5,356,089 
     Series 1999, 5.050%, 9/15/20 – AMBAC Insured             
2,000    Washington County, Arkansas, Hospital Revenue Bonds, Washington Regional Medical Center,    2/15 at 100.00    BBB    2,000,620 
     Series 2005B, 5.000%, 2/01/25             
7,725    Total Arkansas            7,864,314 
    California – 18.4% (11.1% of Total Investments)             
1,275    Acalanes Union High School District, Contra Costa County, California, General Obligation    8/15 at 100.00    AAA    1,335,320 
     Bonds, Series 2005, 5.000%, 8/01/24 – FGIC Insured             
9,200    Alameda Corridor Transportation Authority, California, Subordinate Lien Revenue Bonds, Series    No Opt. Call    AAA    5,068,096 
     2004A, 0.000%, 10/01/20 – AMBAC Insured             
3,335    Anaheim Public Finance Authority, California, Public Improvement Project Lease Revenue Bonds,    9/17 at 100.00    AAA    2,642,721 
     UBS Residual Series 07 1011-1013, 5.390%, 3/01/37 – FGIC Insured (IF)             
4,000    California Department of Water Resources, Power Supply Revenue Bonds, Series 2002A, 6.000%,    5/12 at 101.00    Aaa    4,428,520 
     5/01/15 (Pre-refunded 5/01/12)             
7,200    California Educational Facilities Authority, Revenue Bonds, University of Southern California,    10/15 at 100.00    AA+    7,294,464 
     Series 2005, 4.750%, 10/01/28             
1,500    California Educational Facilities Authority, Revenue Bonds, University of the Pacific, Series    11/15 at 100.00    A2    1,538,115 
     2006, 5.000%, 11/01/30             
    California Health Facilities Financing Authority, Health Facility Revenue Bonds, Adventist             
    Health System/West, Series 2003A:             
3,700     5.000%, 3/01/28    3/13 at 100.00    A    3,717,723 
7,000     5.000%, 3/01/33    3/13 at 100.00    A    7,013,230 
5,425    California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West,    No Opt. Call    A    5,645,364 
     Series 2004I, 4.950%, 7/01/26 (Mandatory put 7/01/14)             
9,560    California Health Facilities Financing Authority, Revenue Bonds, Cedars-Sinai Medical Center,    11/15 at 100.00    A2    9,675,772 
     Series 2005, 5.000%, 11/15/27             
8,570    California Health Facilities Financing Authority, Revenue Bonds, Kaiser Permanante System,    4/16 at 100.00    A+    8,581,398 
     Series 2006, 5.000%, 4/01/37             
3,015    California Health Facilities Financing Authority, Revenue Bonds, Sutter Health, Series 2007A,    11/16 at 100.00    AA–    3,031,462 
     5.000%, 11/15/42             
11,395    California State Public Works Board, Lease Revenue Bonds, Department of Corrections, Series    No Opt. Call    A    12,148,779 
     1993E, 5.500%, 6/01/15             
    California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity             
    Health System, Series 2005A:             
1,640     5.250%, 7/01/30    7/15 at 100.00    BBB+    1,662,714 
2,730     5.000%, 7/01/39    7/15 at 100.00    BBB+    2,668,138 
4,000    California, Economic Recovery Revenue Bonds, Series 2004A, 5.250%, 7/01/14    No Opt. Call    AA+    4,333,280 
    California, General Obligation Bonds, Series 2004:             
2,000     5.125%, 2/01/25    2/14 at 100.00    A+    2,090,980 
10,000     5.125%, 2/01/26    2/14 at 100.00    A+    10,443,400 
3,575    Chula Vista, California, Industrial Development Revenue Bonds, San Diego Gas and Electric    6/14 at 102.00    A2    3,738,413 
     Company, Series 1996A, 5.300%, 7/01/21             
4,890    Clovis Unified School District, Fresno County, California, General Obligation Bonds, Series    No Opt. Call    AAA    2,001,966 
     2006B, 0.000%, 8/01/26 – MBIA Insured             
5,000    Kern Community College District, California, General Obligation Bonds, Series 2006, 0.000%,    No Opt. Call    AAA    2,227,750 
     11/01/24 – FSA Insured             
5,470    Los Angeles Harbors Department, California, Revenue Bonds, Series 2006A, 5.000%, 8/01/22 –    8/16 at 102.00    AAA    5,695,638 
     FGIC Insured (Alternative Minimum Tax)             
995    Martinez, California, Home Mortgage Revenue Bonds, Series 1983A, 10.750%, 2/01/16 (ETM)    No Opt. Call    AAA    1,276,456 
19,120    Pomona, California, GNMA/FNMA Collateralized Securities Program Single Family Mortgage Revenue    No Opt. Call    AAA    24,113,376 
     Bonds, Series 1990A, 7.600%, 5/01/23 (ETM)             
5,000    Rancho Mirage Joint Powers Financing Authority, California, Revenue Bonds, Eisenhower Medical    7/14 at 100.00    A3    5,355,450 
     Center, Series 2004, 5.875%, 7/01/26             
2,000    Redwood City School District, San Mateo County, California, General Obligation Bonds, Series    7/12 at 100.00    AAA    2,065,460 
     2002, 5.000%, 7/15/27 – FGIC Insured             
3,700    Sacramento Municipal Utility District, California, Electric Revenue Bonds, Series 2003R,    8/13 at 100.00    AAA    3,846,964 
     5.000%, 8/15/22 – MBIA Insured             
    San Diego County, California, Certificates of Participation, Burnham Institute, Series 2006:             
400     5.000%, 9/01/21    9/15 at 102.00    Baa3    404,724 
445     5.000%, 9/01/23    9/15 at 102.00    Baa3    448,840 
3,500    San Diego Unified Port District, California, Revenue Bonds, Series 2004B, 5.000%, 9/01/29 –    9/14 at 100.00    AAA    3,603,950 
     MBIA Insured             
50,400    San Joaquin Hills Transportation Corridor Agency, Toll Road Revenue Refunding Bonds, Series 1997A,    No Opt. Call    AAA    14,258,664 
     0.000%, 1/15/34 (UB)             
    San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue             
    Refunding Bonds, Series 1997A:             
10,450     0.000%, 1/15/31 – MBIA Insured    No Opt. Call    AAA    3,403,774 
24,025     0.000%, 1/15/36 – MBIA Insured    No Opt. Call    AAA    6,160,971 
234,515    Total California            171,921,872 
    Colorado – 4.9% (3.0% of Total Investments)             
2,500    Centennial Water and Sanitation District, Colorado, Water and Sewerage Revenue Bonds, Series    12/14 at 100.00    AAA    2,623,350 
     2004, 5.000%, 12/01/21 – FGIC Insured             
690    Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Bromley    9/15 at 100.00    AAA    729,951 
     School, Series 2005, 5.125%, 9/15/20 – XLCA Insured             
2,125    Colorado Health Facilities Authority, Revenue Bonds, Evangelical Lutheran Good Samaritan    6/16 at 100.00    A–    2,133,904 
     Society, Series 2005, 5.000%, 6/01/29             
1,000    Colorado Health Facilities Authority, Revenue Bonds, Parkview Medical Center, Series 2004,    9/14 at 100.00    A3    1,007,520 
     5.000%, 9/01/25             
800    Colorado Health Facilities Authority, Revenue Bonds, Poudre Valley Health Care, Series 2005F,    3/15 at 100.00    BBB+    802,720 
     5.000%, 3/01/25             
275    Colorado Housing Finance Authority, Single Family Program Senior Bonds, Series 1997B-2,    11/07 at 105.00    Aa2    282,249 
     7.000%, 5/01/26 (Alternative Minimum Tax)             
205    Colorado Housing Finance Authority, Single Family Program Senior Bonds, Series 1997C-2,    11/07 at 105.00    Aa2    207,526 
     6.875%, 11/01/28 (Alternative Minimum Tax)             
640    Colorado Housing Finance Authority, Single Family Program Senior Bonds, Series 2000B-2,    4/10 at 105.00    AA    679,917 
     7.250%, 10/01/31 (Alternative Minimum Tax)             
9,450    Denver City and County, Colorado, Airport System Revenue Bonds, Series 1991D, 7.750%, 11/15/13    No Opt. Call    A+    10,367,690 
     (Alternative Minimum Tax)             
19,810    Denver, Colorado, Excise Tax Revenue Bonds, Convention Center, Series 2001A, 5.500%, 9/01/18    3/11 at 100.00    AAA    20,931,046 
     (Pre-refunded 3/01/11) – FSA Insured             
20,500    E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2000B, 0.000%,    No Opt. Call    AAA    6,116,790 
     9/01/32 – MBIA Insured             
52    El Paso County, Colorado, FNMA Mortgage-Backed Single Family Revenue Refunding Bonds, Series    No Opt. Call    Aaa    53,667 
     1992A-2, 8.750%, 6/01/11             
58,047    Total Colorado            45,936,330 
    Connecticut – 0.5% (0.3% of Total Investments)             
1,930    Connecticut, General Obligation Bonds, Series 2001C, 5.500%, 12/15/16    No Opt. Call    AA    2,156,891 
2,310    Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System    11/15 at 100.00    AAA    2,407,690 
     Revenue Bonds, Series 2005A, 5.000%, 11/15/30 – MBIA Insured             
4,240    Total Connecticut            4,564,581 
    District of Columbia – 4.7% (2.9% of Total Investments)             
4,885    District of Columbia Housing Finance Agency, GNMA Collateralized Single Family Mortgage    12/07 at 100.00    AAA    4,916,166 
     Revenue Bonds, Series 1988E-4, 6.375%, 6/01/26 (Alternative Minimum Tax)             
9,505    District of Columbia, General Obligation Bonds, Series 1998B, 6.000%, 6/01/20 – MBIA Insured    No Opt. Call    AAA    11,090,434 
10,350    District of Columbia, Revenue Bonds, Association of American Medical Colleges, Series 1997A,    8/07 at 102.00    AAA    10,566,419 
     5.375%, 2/15/27 – AMBAC Insured             
    District of Columbia, Revenue Bonds, Georgetown University, Series 2001A:             
14,105     0.000%, 4/01/24 (Pre-refunded 4/01/11) – MBIA Insured    4/11 at 47.66    AAA    5,815,350 
7,625     0.000%, 4/01/25 (Pre-refunded 4/01/11) – MBIA Insured    4/11 at 44.82    AAA    2,956,899 
16,665     0.000%, 4/01/32 (Pre-refunded 4/01/11) – MBIA Insured    4/11 at 29.23    AAA    4,214,912 
2,130    Washington Convention Center Authority, District of Columbia, Senior Lien Dedicated Tax    10/16 at 100.00    Aaa    1,938,151 
     Revenue Bonds, Series 2007, Residuals 1606, 5.774%, 10/01/30 – AMBAC Insured (IF)             
3,335    Washington DC Convention Center Authority, Dedicated Tax Revenue Bonds, Residual Series    10/16 at 100.00    Aaa    3,034,617 
     1730,1731, 1736, 5.773%, 10/01/30 (IF)             
68,600    Total District of Columbia            44,532,948 
    Florida – 5.8% (3.5% of Total Investments)             
4,225    Brevard County Health Facilities Authority, Florida, Revenue Bonds, Health First Inc. Project,    4/16 at 100.00    A    4,276,587 
     Series 2005, 5.000%, 4/01/24             
8,000    Hillsborough County Aviation Authority, Florida, Revenue Bonds, Tampa International Airport,    10/13 at 100.00    AAA    8,475,680 
     Series 2003A, 5.375%, 10/01/16 – MBIA Insured (Alternative Minimum Tax)             
5,400    Hillsborough County Industrial Development Authority, Florida, Exempt Facilities Remarketed    4/10 at 101.00    N/R    5,754,348 
     Revenue Bonds, National Gypsum Company, Apollo Beach Project, Series 2000B, 7.125%,             
     4/01/30 (Alternative Minimum Tax)             
19,750    Miami-Dade County Expressway Authority, Florida, Toll System Revenue Bonds, Series 2006,    7/16 at 100.00    AAA    19,175,473 
     4.500%, 7/01/33 – AMBAC Insured (UB)             
5,000    Orange County Health Facilities Authority, Florida, Hospital Revenue Bonds, Adventist Health    11/10 at 101.00    A+ (4)    5,443,750 
     System/Sunbelt Obligated Group, Series 2000, 6.500%, 11/15/30 (Pre-refunded 11/15/10)             
6,910    South Miami Health Facilities Authority, Florida, Hospital Revenue, Baptist Health System    8/17 at 100.00    AA–    6,892,794 
     Obligation Group, Series 2007, 5.000%, 8/15/42             
1,785    Tallahassee, Florida, Energy System Revenue Bonds, Series 2005, 5.000%, 10/01/28 –    10/15 at 100.00    AAA    1,849,653 
     MBIA Insured             
2,375    Volusia County School Board, Florida, Certificates of Participation, Series 2005B, 5.000%,    8/15 at 100.00    Aaa    2,469,406 
     8/01/22 – FSA Insured             
53,445    Total Florida            54,337,691 
    Georgia – 1.9% (1.1% of Total Investments)             
2,625    Fulton County Development Authority, Georgia, Revenue Bonds, Georgia Tech Molecular Science    5/14 at 100.00    AAA    2,793,289 
     Building, Series 2004, 5.250%, 5/01/24 – MBIA Insured             
6,025    Fulton-DeKalb Hospital Authority, Georgia, Revenue Refunding Certificates, Series 2003,    1/14 at 100.00    AAA    6,394,815 
     5.250%, 1/01/20 – FSA Insured             
4,845    Metropolitan Atlanta Rapid Transit Authority, Georgia, Sales Tax Revenue Refunding Bonds,    No Opt. Call    AAA    5,563,707 
     Series 1992P, 6.250%, 7/01/20 – AMBAC Insured             
2,705    Savannah Housing Authority, Georgia, GNMA Collateralized Mortgage Revenue Refunding Bonds,    5/08 at 103.00    Aaa    2,811,469 
     Plantation Oak Project, Series 2000, 6.350%, 11/20/39             
16,200    Total Georgia            17,563,280 
    Hawaii – 1.1% (0.7% of Total Investments)             
10,000    Hawaii, General Obligation Bonds, Series 2003DA, 5.250%, 9/01/21 – MBIA Insured    9/13 at 100.00    AAA    10,593,900 
    Idaho – 0.8% (0.5% of Total Investments)             
5,000    Boise City, Idaho, Airport Revenue Certificates of Participation, Series 2000, 5.500%,    9/10 at 100.00    Aaa    5,173,550 
     9/01/25 – FGIC Insured (Alternative Minimum Tax)             
2,185    Madison County, Idaho, Hospital Revenue Certificates of Participation, Madison Memorial    9/16 at 100.00    BBB–    2,187,251 
     Hospital, Series 2006, 5.250%, 9/01/30             
7,185    Total Idaho            7,360,801 
    Illinois – 12.4% (7.5% of Total Investments)             
9,220    Chicago Board of Education, Illinois, Unlimited Tax General Obligation Bonds, Dedicated Tax    12/07 at 102.00    AAA    9,436,025 
     Revenues, Series 1997A, 5.250%, 12/01/27 – AMBAC Insured             
    Chicago Board of Education, Illinois, Unlimited Tax General Obligation Bonds, Dedicated Tax             
    Revenues, Series 1998B-1:             
8,890     0.000%, 12/01/16 – FGIC Insured    No Opt. Call    AAA    5,949,899 
10,000     0.000%, 12/01/20 – FGIC Insured    No Opt. Call    AAA    5,481,700 
10,130     0.000%, 12/01/24 – FGIC Insured    No Opt. Call    AAA    4,558,703 
    Chicago Board of Education, Illinois, Unlimited Tax General Obligation Bonds, Dedicated Tax             
    Revenues, Series 1999A:             
15,000     0.000%, 12/01/21 – FGIC Insured    No Opt. Call    AAA    7,827,000 
10,000     0.000%, 12/01/23 – FGIC Insured    No Opt. Call    AAA    4,719,900 
26,350    Chicago Greater Metropolitan Area Sanitary District, Illinois, General Obligation Bonds,    12/16 at 100.00    AAA    28,358,661 
     Series 2006, 5.000%, 12/01/35 (UB)             
45    Chicago, Illinois, FNMA/GNMA Collateralized Single Family Mortgage Revenue Bonds, Series    9/07 at 104.00    Aaa    46,065 
     1996A, 7.000%, 9/01/27 (Alternative Minimum Tax)             
245    Chicago, Illinois, FNMA/GNMA Collateralized Single Family Mortgage Revenue Bonds, Series    9/07 at 105.00    Aaa    251,039 
     1997B, 6.950%, 9/01/28 (Alternative Minimum Tax)             
8,740    Illinois Development Finance Authority, Pollution Control Revenue Refunding Bonds, Illinois    8/07 at 100.00    AAA    8,846,191 
     Power Company, Series 1994A, 5.700%, 2/01/24 – MBIA Insured             
    Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Series 2004:             
1,050     5.250%, 11/15/22    5/14 at 100.00    A    1,076,408 
3,000     5.250%, 11/15/23    5/14 at 100.00    A    3,070,230 
985    Illinois Finance Authority, Revenue Bonds, Proctor Hospital, Series 2006, 5.125%, 1/01/25    1/16 at 100.00    BBB–    977,120 
1,115    Illinois Health Facilities Authority, Revenue Bonds, Condell Medical Center, Series 2002,    5/12 at 100.00    Baa2    1,136,252 
     5.500%, 5/15/32             
9,820    Illinois Health Facilities Authority, Revenue Bonds, Sherman Health Systems, Series 1997,    8/07 at 101.00    AAA    10,023,470 
     5.250%, 8/01/27 – AMBAC Insured             
10,040    Metropolitan Pier and Exposition Authority, Illinois, Revenue Bonds, McCormick Place Expansion    No Opt. Call    AAA    7,201,993 
     Project, Series 1992A, 0.000%, 6/15/15 – FGIC Insured             
9,200    Metropolitan Pier and Exposition Authority, Illinois, Revenue Bonds, McCormick Place Expansion    12/09 at 101.00    AAA    9,586,308 
     Project, Series 1999A, 5.500%, 12/15/24 – FGIC Insured             
3,000    Metropolitan Pier and Exposition Authority, Illinois, Revenue Bonds, McCormick Place    No Opt. Call    AAA    3,859,590 
     Hospitality Facility, Series 1996A, 7.000%, 7/01/26 (ETM)             
3,000    Upper Illinois River Valley Development Authority, Healthcare Facilities Revenue Bonds, Morris    12/11 at 101.00    BBB+    3,233,640 
     Hospital, Series 2001, 6.625%, 12/01/31             
139,830    Total Illinois            115,640,194 
    Indiana – 1.1% (0.7% of Total Investments)             
2,005    Hamilton County Public Building Corporation, Indiana, First Mortgage Bonds, Series 2004,    8/14 at 100.00    AAA    2,083,536 
     5.000%, 8/01/22 – FSA Insured             
7,965    Wawasee Community School Corporation, Indiana, First Mortgage Bonds, New Elementary and    1/12 at 101.00    AA (4)    8,654,769 
     Remodeling Building Corporation, Series 2000, 5.750%, 1/15/20 (Pre-refunded 1/15/12)             
9,970    Total Indiana            10,738,305 
    Iowa – 2.1% (1.2% of Total Investments)             
    Des Moines, Iowa, General Obligation Bonds, Series 2000D:             
1,215     5.750%, 6/01/17 – MBIA Insured    6/08 at 100.00    AAA    1,234,379 
1,410     5.800%, 6/01/18 – MBIA Insured    6/08 at 100.00    AAA    1,432,377 
2,000    Iowa Finance Authority, Healthcare Revenue Bonds, Genesis Medical Center, Series 2000,    7/10 at 100.00    A1    2,102,400 
     6.250%, 7/01/25             
3,860    Iowa Finance Authority, Industrial Remarketed Revenue Refunding Bonds, Urbandale Hotel    No Opt. Call    AAA    4,627,522 
     Corporation, Series 1989A, 8.500%, 8/01/16 (Alternative Minimum Tax) (ETM)             
10,000    Iowa Tobacco Settlement Authority, Asset Backed Settlement Revenue Bonds, Series 2005C,    6/15 at 100.00    BBB    9,945,400 
     5.500%, 6/01/42             
18,485    Total Iowa            19,342,078 
    Kansas – 0.7% (0.4% of Total Investments)             
6,000    Kansas Department of Transportation, Highway Revenue Bonds, Series 2004A, 5.000%, 3/01/21    3/14 at 100.00    AAA    6,276,900 
445    Sedgwick and Shawnee Counties, Kansas, GNMA Mortgage-Backed Securities Program Single Family    6/08 at 105.00    Aaa    447,710 
     Revenue Bonds, Series 1998A-1, 6.500%, 12/01/22 (Alternative Minimum Tax)             
6,445    Total Kansas            6,724,610 
    Kentucky – 0.8% (0.5% of Total Investments)             
3,770    Kentucky Turnpike Authority, Economic Development Road Revenue Bonds, Revitalization Project,    7/15 at 100.00    AAA    3,946,662 
     Series 2005B, 5.000%, 7/01/24 – AMBAC Insured             
    Marshall County School District Finance Corporation, Kentucky, School Building Revenue Bonds,             
    Series 2004:             
1,210     5.000%, 6/01/19 – AMBAC Insured    6/14 at 100.00    Aaa    1,268,383 
1,270     5.000%, 6/01/20 – AMBAC Insured    6/14 at 100.00    Aaa    1,328,966 
1,335     5.000%, 6/01/21 – AMBAC Insured    6/14 at 100.00    Aaa    1,396,984 
7,585    Total Kentucky            7,940,995 
    Louisiana – 3.1% (1.9% of Total Investments)             
2,915    Jefferson Sales Tax District, Jefferson Parish, Louisiana, Special Sales Tax Revenue Refunding    12/12 at 100.00    AAA    3,113,541 
     Bonds, Series 2002, 5.250%, 12/01/19 (Pre-refunded 12/01/12) – AMBAC Insured             
250    Louisiana Housing Finance Agency, Single Family Mortgage Revenue Bonds, Series 2000A, 7.450%,    9/09 at 101.00    Aaa    256,990 
     12/01/31 (Alternative Minimum Tax)             
5,505    Louisiana Public Facilities Authority, Extended Care Facilities Revenue Bonds, Comm-Care    No Opt. Call    BBB    6,727,220 
     Corporation Project, Series 1994, 11.000%, 2/01/14             
620    Louisiana Public Facilities Authority, Extended Care Facilities Revenue Bonds, Comm-Care    No Opt. Call    N/R (4)    758,787 
     Corporation Project, Series 1994, 11.000%, 2/01/14 (ETM)             
2,000    Louisiana Public Facilities Authority, Hospital Revenue Bonds, Franciscan Missionaries of Our    8/15 at 100.00    A+    2,036,700 
     Lady Health System, Series 2005A, 5.250%, 8/15/31             
    Louisiana State, Gasoline and Fuels Tax Revenue Bonds, Series 2005A:             
1,200     5.000%, 5/01/25 – FGIC Insured    5/15 at 100.00    AAA    1,246,368 
2,210     5.000%, 5/01/26 – FGIC Insured    5/15 at 100.00    AAA    2,290,997 
2,500     5.000%, 5/01/27 – FGIC Insured    5/15 at 100.00    AAA    2,589,950 
10,105    Louisiana State, Gasoline and Fuels Tax Revenue Bonds, Series 2006, 4.500%, 5/01/41 – FSA Insured (UB)    5/16 at 100.00    AAA    9,657,046 
930    Louisiana State, Gasoline and Fuels Tax Revenue Bonds, Series 2006, 4.750%, 5/01/39 – FSA Insured (UB)    5/16 at 100.00    AAA    932,251 
28,235    Total Louisiana            29,609,850 
    Maryland – 1.0% (0.6% of Total Investments)             
2,200    Baltimore, Maryland, Senior Lien Convention Center Hotel Revenue Bonds, Series 2006A, 5.250%,    9/16 at 100.00    AAA    2,351,448 
     9/01/27 – XLCA Insured             
3,560    Maryland Health and Higher Educational Facilities Authority, Revenue Bonds, Western Maryland    7/16 at 100.00    AAA    3,597,273 
     Health, Series 2006A, 4.750, 7/01/36 – MBIA Insured  (UB)             
3,600    Montgomery County Housing Opportunities Commission, Maryland, Multifamily Housing Development    7/10 at 100.00    Aaa    3,695,976 
     Bonds, Series 2000B, 6.200%, 7/01/30 (Alternative Minimum Tax)             
9,360    Total Maryland            9,644,697 
    Massachusetts – 4.9% (3.0% of Total Investments)             
840    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A, 5.250%, 7/01/30    7/10 at 100.00    AAA    866,040 
    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A:             
7,900     5.250%, 7/01/30 (Pre-refunded 7/01/10)    7/10 at 100.00    AAA    8,218,686 
1,260     5.250%, 7/01/30 (Pre-refunded 7/01/10)    7/10 at 100.00    Aa1 (4)    1,310,828 
8,505    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2001A,    1/11 at 100.00    AAA    8,711,672 
     5.850%, 7/01/35 – AMBAC Insured (Alternative Minimum Tax)             
2,825    Massachusetts Industrial Finance Agency, Resource Recovery Revenue Refunding Bonds, Ogden    12/08 at 102.00    BBB    2,903,959 
     Haverhill Project, Series 1998A, 5.450%, 12/01/12 (Alternative Minimum Tax)             
13,000    Massachusetts Water Pollution Abatement Trust, Pooled Loan Program Bonds, Series 12, 4.375%,    8/16 at 100.00    AAA    12,289,550 
     8/01/36 (UB)             
5,960    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.250%,    8/17 at 100.00    AAA    6,449,018 
     8/01/25 – MBIA Insured             
1,845    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2007, Residual Trust    2/17 at 100.00    Aaa    1,557,235 
     7039, 5.809%, 8/01/46 – FSA Insured (IF)             
3,820    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/24    1/14 at 100.00    AAA    4,104,514 
     (Pre-refunded 1/01/14) – FGIC Insured             
45,955    Total Massachusetts            46,411,502 
    Michigan – 4.4% (2.6% of Total Investments)             
    Detroit, Michigan, General Obligation Bonds, Series 2003A:             
3,565     5.250%, 4/01/22 – XLCA Insured    4/13 at 100.00    AAA    3,741,717 
1,275     5.250%, 4/01/23 – XLCA Insured    4/13 at 100.00    AAA    1,336,901 
3,930    Hudsonville Public Schools, Ottawa and Allegan Counties, Michigan, Unlimited Tax General    5/08 at 100.00    AAA    3,961,794 
     Obligation School Building and Site Refunding Bonds, Series 1997, 5.150%, 5/01/22 –             
     FGIC Insured             
3,000    Kent Hospital Finance Authority, Michigan, Revenue Bonds, Metropolitan Hospital, Series 2005A,    7/15 at 100.00    BBB    3,209,160 
     6.000%, 7/01/35             
6,600    Michigan Housing Development Authority, Limited Obligation Multifamily Mortgage Revenue    1/08 at 102.00    AAA    6,692,070 
     Refunding Bonds, Forest Hills Regency Square Project, Series 1999A, 5.750%, 7/01/29             
10,000    Michigan State Building Authority, Revenue Refunding Bonds, Facilities Program, Series 2003II,    10/13 at 100.00    AAA    10,394,200 
     5.000%, 10/15/23 – MBIA Insured             
4,000    Michigan State Hospital Finance Authority, Revenue Bonds, Trinity Health Care Group, Series    12/16 at 100.00    Aa2    4,017,480 
     2006A, 5.000%, 12/01/31             
850    Monroe County Hospital Finance Authority, Michigan, Mercy Memorial Hospital Corporation    6/16 at 100.00    BBB–    870,171 
     Revenue Bonds, Series 2006, 5.500%, 6/01/35             
6,390    Wayne County, Michigan, Airport Revenue Bonds, Detroit Metropolitan Airport, Series 2002D,    12/12 at 100.00    AAA    6,737,552 
     5.500%, 12/01/19 – FGIC Insured (Alternative Minimum Tax)             
39,610    Total Michigan            40,961,045 
    Minnesota – 5.4% (3.3% of Total Investments)             
13,650    Cohasset, Minnesota, Pollution Control Revenue Bonds, Allete Inc., Series 2004, 4.950%, 7/01/22    7/14 at 100.00    A–    13,789,503 
2,000    Duluth Economic Development Authority, Minnesota, Healthcare Facilities Revenue Bonds,    2/14 at 100.00    A–    2,066,680 
     Benedictine Health System – St. Mary’s Duluth Clinic, Series 2004, 5.375%, 2/15/22             
    Eden Prairie, Minnesota, GNMA Collateralized Multifamily Housing Revenue Bonds, Rolling Hills             
    Project, Series 2001A:             
1,000     6.150%, 8/20/31    8/11 at 105.00    Aaa    1,082,030 
2,000     6.200%, 2/20/43    8/11 at 105.00    Aaa    2,158,240 
3,000    Minneapolis-St. Paul Metropolitan Airports Commission, Minnesota, Airport Revenue Bonds,    1/08 at 101.00    AAA    3,045,420 
     Series 1998A, 5.000%, 1/01/22 (Pre-refunded 1/01/08) – AMBAC Insured             
90    Minnesota Agricultural and Economic Development Board, Healthcare System Revenue Bonds,    11/07 at 102.00    AAA    92,219 
     Fairview Hospital and Healthcare Services, Series 1997A, 5.750%, 11/15/26 – MBIA Insured             
1,335    Minnesota Higher Education Facilities Authority, Revenue Bonds, University of St. Thomas,    4/16 at 100.00    A2    1,367,934 
     Series 2006-6I, 5.000%, 4/01/23             
700    Minnesota Higher Education Facilities Authority, St. John’s University Revenue Bonds, Series    10/15 at 100.00    A2    717,402 
     2005-6G, 5.000%, 10/01/22             
1,500    Minnesota Municipal Power Agency, Electric Revenue Bonds, Series 2004A, 5.250%, 10/01/24    10/14 at 100.00    A3    1,571,445 
1,665    Rochester, Minnesota, Health Care Facilities Revenue Bonds, Series 2006, 5.000%, 11/15/36    5/16 at 100.00    AA    1,701,114 
1,545    St. Paul Housing and Redevelopment Authority, Minnesota, Revenue Bonds, Healtheast Inc.,    11/15 at 100.00    Baa3    1,656,781 
     Series 2005, 6.000%, 11/15/25             
17,945    St. Paul Housing and Redevelopment Authority, Minnesota, Sales Tax Revenue Refunding Bonds,    11/15 at 103.00    AAA    21,639,694 
     Civic Center Project, Series 1996, 7.100%, 11/01/23 – FSA Insured             
46,430    Total Minnesota            50,888,462 
    Mississippi – 0.5% (0.3% of Total Investments)             
4,275    Mississippi Hospital Equipment and Facilities Authority, Revenue Bonds, Baptist Memorial    9/14 at 100.00    N/R    4,238,492 
     Healthcare, Series 2004B-1, 5.000%, 9/01/24             
    Missouri – 2.0% (1.2% of Total Investments)             
2,000    Cole County Industrial Development Authority, Missouri, Revenue Bonds, Lutheran Senior    2/14 at 100.00    N/R    2,043,580 
     Services – Heisinger Project, Series 2004, 5.250%, 2/01/24             
500    Hannibal Industrial Development Authority, Missouri, Health Facilities Revenue Bonds, Hannibal    3/16 at 100.00    BBB+    503,625 
     Regional Hospital, Series 2006, 5.000%, 3/01/22             
    Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, Branson Landing             
    Project, Series 2005A:             
1,565     6.000%, 6/01/20    No Opt. Call    BBB+    1,766,056 
1,260     5.000%, 6/01/35    6/15 at 100.00    BBB+    1,274,566 
1,500    Missouri Health and Educational Facilities Authority, Revenue Bonds, SSM Healthcare System,    6/11 at 101.00    AAA    1,567,395 
     Series 2001A, 5.250%, 6/01/21 – AMBAC Insured             
    Missouri Health and Educational Facilities Authority, Revenue Bonds, SSM Healthcare System,             
    Series 2001A:             
1,500     5.250%, 6/01/21 (Pre-refunded 6/01/11) – AMBAC Insured    6/11 at 101.00    AAA    1,590,090 
4,150     5.250%, 6/01/28 (Pre-refunded 6/01/11) – AMBAC Insured    6/11 at 101.00    AAA    4,393,149 
410    Missouri Housing Development Commission, GNMA/FNMA Single Family Mortgage Revenue Bonds,    9/07 at 105.00    AAA    416,068 
     Homeownership Loan Program, Series 1996C, 7.450%, 9/01/27 (Alternative Minimum Tax)             
2,570    Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership    3/09 at 103.00    AAA    2,599,709 
     Loan Program, Series 1999B-1, 6.700%, 9/01/30 (Alternative Minimum Tax)             
2,960    St. Charles County Francis Howell School District, Missouri, General Obligation Refunding    No Opt. Call    AAA    3,028,376 
     Bonds, Series 1994A, 7.800%, 3/01/08 – FGIC Insured             
18,415    Total Missouri            19,182,614 
    Nebraska – 1.3% (0.8% of Total Investments)             
7,260    Omaha Public Power District, Nebraska, Separate Electric System Revenue Bonds, Nebraska City 2,    2/17 at 100.00    AAA    7,502,411 
     Series 2006A, 5.000%, 2/01/49 – AMBAC Insured (UB)             
4,410    University of Nebraska, Lincoln, Student Fees and Facilities Revenue Bonds, Series 2003B,    11/13 at 100.00    Aa2    4,530,525 
     5.000%, 7/01/33             
11,670    Total Nebraska            12,032,936 
    Nevada – 4.4% (2.7% of Total Investments)             
10,410    Clark County School District, Nevada, General Obligation Bonds, Series 2002C, 5.500%, 6/15/18    6/12 at 100.00    AAA    11,177,946 
     (Pre-refunded 6/15/12) – MBIA Insured             
15,000    Clark County, Nevada, General Obligation Bank Bonds, Southern Nevada Water Authority Loan,    6/11 at 100.00    AAA    15,771,000 
     Series 2001, 5.250%, 6/01/26 (Pre-refunded 6/01/11) – FGIC Insured             
    Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas             
    Monorail Project, First Tier, Series 2000:             
6,425     0.000%, 1/01/29 – AMBAC Insured    No Opt. Call    AAA    2,297,452 
12,000     5.375%, 1/01/40 – AMBAC Insured    1/10 at 100.00    AAA    12,298,200 
43,835    Total Nevada            41,544,598 
    New Hampshire – 0.0% (0.0% of Total Investments)             
455    New Hampshire Housing Finance Authority, Single Family Mortgage Acquisition Revenue Bonds,    1/08 at 101.00    Aa2    459,486 
     Series 1996B, 6.400%, 1/01/27 (Alternative Minimum Tax)             
    New Jersey – 7.9% (4.8% of Total Investments)             
10,150    Delaware River Port Authority, Pennsylvania and New Jersey, Revenue Bonds, Port District    1/10 at 100.00    AAA    10,523,622 
     Project, Series 1999B, 5.625%, 1/01/26 – FSA Insured             
8,000    Essex County Improvement Authority, New Jersey, General Obligation Guaranteed Lease Revenue    10/10 at 100.00    Aaa    8,528,560 
     Bonds, County Correctional Facility Project, Series 2000, 6.000%, 10/01/25 (Pre-refunded             
     10/01/10) – FGIC Insured             
500    Middlesex County Improvement Authority, New Jersey, Senior Revenue Bonds, Heldrich Center    No Opt. Call    Baa3    501,975 
     Hotel/Conference Center Project, Series 2005A, 5.000%, 1/01/15             
    New Jersey Economic Development Authority, School Facilities Construction Bonds, Series 2005P:             
3,655     5.250%, 9/01/24    9/15 at 100.00    AA–    3,893,708 
2,000     5.250%, 9/01/26    9/15 at 100.00    AA–    2,122,200 
3,985    New Jersey Housing and Mortgage Finance Agency, Home Buyer Program Revenue Bonds, Series    10/07 at 101.50    AAA    4,047,445 
     1997U, 5.850%, 4/01/29 – MBIA Insured (Alternative Minimum Tax)             
    New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2003C:             
5,410     5.500%, 6/15/20 (Pre-refunded 6/15/13)    6/13 at 100.00    AAA    5,873,745 
9,250     5.500%, 6/15/23 (Pre-refunded 6/15/13)    6/13 at 100.00    AAA    10,042,910 
3,850    New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2006A,    No Opt. Call    AA–    4,179,984 
     5.250%, 12/15/20             
    New Jersey Turnpike Authority, Revenue Bonds, Series 2000A:             
3,915     6.000%, 1/01/14 – MBIA Insured (ETM)    No Opt. Call    AAA    4,381,120 
7,585     6.000%, 1/01/14 – MBIA Insured (ETM)    No Opt. Call    AAA    8,488,070 
2,500    New Jersey Turnpike Authority, Revenue Bonds, Series 2003A, 5.000%, 1/01/19 – FGIC Insured    7/13 at 100.00    AAA    2,608,375 
9,130    New Jersey Turnpike Authority, Revenue Bonds, Series 2005A, 5.000%, 1/01/25 – FSA Insured    1/15 at 100.00    AAA    9,523,047 
69,930    Total New Jersey            74,714,761 
    New Mexico – 0.8% (0.5% of Total Investments)             
740    New Mexico Mortgage Finance Authority, Single Family Mortgage Program Bonds, Series 2000D-2,    3/10 at 102.50    AAA    749,960 
     6.850%, 9/01/31 (Alternative Minimum Tax)             
5,585    Santa Fe County, New Mexico, Correctional System Gross Receipts Tax Revenue Bonds, Series    No Opt. Call    AAA    6,547,966 
     1997, 6.000%, 2/01/27 – FSA Insured             
6,325    Total New Mexico            7,297,926 
    New York – 19.3% (11.8% of Total Investments)             
    Dormitory Authority of the State of New York, Revenue Bonds, University of Rochester,             
    Series 2004A:             
1,000     5.250%, 7/01/22    7/14 at 100.00    A+    1,060,890 
500     5.250%, 7/01/24    7/14 at 100.00    A+    528,905 
1,025    Dormitory Authority of the State of New York, Revenue Bonds, University of Rochester, Series    7/14 at 100.00    A+ (4)    1,113,652 
     2004A, 5.250%, 7/01/20 (Pre-refunded 7/01/14)             
1,995    Dormitory Authority of the State of New York, State and Local Appropriation Lease Bonds,    7/14 at 100.00    AA–    2,117,693 
     Upstate Community Colleges, Series 2004B, 5.250%, 7/01/20             
2,335    Dormitory Authority of the State of New York, State Personal Income Tax Revenue Bonds, Series    3/15 at 100.00    AAA    2,440,939 
     2005F, 5.000%, 3/15/24 – AMBAC Insured             
6,915    Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Series 2006A, 4.500%,    2/17 at 100.00    AAA    6,595,942 
     2/15/47 – MBIA Insured  (UB)             
6,000    Liberty Development Corporation, New York, Goldman Sachs Headquarter Revenue Bonds, Series    No Opt. Call    AA–    6,380,460 
     2005, 5.250%, 10/01/35             
13,580    Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 1998A,    6/08 at 101.00    AAA    13,895,463 
     5.250%, 12/01/26 (Pre-refunded 6/01/08)             
5,100    Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2006F, 4.250%,    11/16 at 100.00    AAA    4,782,933 
     5/01/33 – MBIA Insured  (UB)             
    Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006A:             
7,000     5.000%, 12/01/23 – FGIC Insured    6/16 at 100.00    AAA    7,353,920 
5,000     5.000%, 12/01/24 – FGIC Insured    6/16 at 100.00    AAA    5,245,300 
4,500    Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2005B,    11/15 at 100.00    AAA    4,680,765 
     5.000%, 11/15/30 – AMBAC Insured             
7,400    Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2005F,    11/15 at 100.00    A    7,624,738 
     5.000%, 11/15/30             
3,000    Metropolitan Transportation Authority, New York, Transportation Revenue Refunding Bonds,    11/12 at 100.00    AAA    3,148,320 
     Series 2002A, 5.125%, 11/15/21 – FGIC Insured             
    New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, United             
    Jewish Appeal – Federation of Jewish Philanthropies of New York Inc., Series 2004A:             
2,185     5.250%, 7/01/20    7/14 at 100.00    Aa1    2,325,452 
2,050     5.250%, 7/01/21    7/14 at 100.00    Aa1    2,181,774 
2,420     5.250%, 7/01/22    4/14 at 100.00    Aa1    2,582,285 
1,370     5.250%, 7/01/24    4/14 at 100.00    Aa1    1,457,639 
12,500    New York City, New York, General Obligation Bonds, Fiscal Series 2003D, 5.250%, 10/15/22    10/13 at 100.00    AA    13,185,250 
525    New York City, New York, General Obligation Bonds, Fiscal Series 2003J, 5.500%, 6/01/23    6/13 at 100.00    AA    560,375 
4,475    New York City, New York, General Obligation Bonds, Fiscal Series 2003J, 5.500%, 6/01/23    6/13 at 100.00    AA (4)    4,871,127 
     (Pre-refunded 6/01/13)             
6,000    New York City, New York, General Obligation Bonds, Fiscal Series 2004C, 5.250%, 8/15/20    8/14 at 100.00    AA    6,367,260 
7,960    New York City, New York, General Obligation Bonds, Fiscal Series 2005M, 5.000%, 4/01/24    4/15 at 100.00    AA    8,275,375 
11,525    New York Convention Center Development Corporation, Hotel Unit Fee Revenue Bonds,    11/15 at 100.00    AAA    11,844,588 
     Series 2005, 5.000%, 11/15/44 – AMBAC Insured  (UB)             
650    New York Counties Tobacco Trust I, Tobacco Settlement Pass-Through Bonds, Series 2000B,    6/10 at 101.00    BBB    684,223 
     6.500%, 6/01/35             
1,350    New York Counties Tobacco Trust I, Tobacco Settlement Pass-Through Bonds, Series 2000B,    6/10 at 101.00    AAA    1,462,955 
     6.500%, 6/01/35 (Pre-refunded 6/01/10)             
3,770    New York State Thruway Authority, General Revenue Bonds, Series 2005G, 5.000%, 1/01/25 –    7/15 at 100.00    AAA    3,944,061 
     FSA Insured             
    New York State Thruway Authority, Highway and Bridge Trust Fund Bonds, Second Generation,             
    Series 2005B:             
5,000     5.000%, 4/01/21 – AMBAC Insured    10/15 at 100.00    AAA    5,265,000 
2,000     5.000%, 4/01/22 – AMBAC Insured    10/15 at 100.00    AAA    2,104,880 
7,400    New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and    6/10 at 100.00    AA–    7,685,048 
     State Contingency Contract-Backed Bonds, Series 2003A-1, 5.500%, 6/01/16             
13,010    New York State Urban Development Corporation, Service Contract Revenue Bonds, Correctional and    No Opt. Call    AA–    13,667,265 
     Youth Facilities, Series 2002A, 5.500%, 1/01/17 (Mandatory put 1/01/11)             
6,460    New York State Urban Development Corporation, State Personal Income Tax Revenue Bonds, Series    3/14 at 100.00    AAA    6,704,705 
     2004A-1, 5.000%, 3/15/26 – FGIC Insured             
2,000    Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred Fortieth    6/15 at 101.00    AAA    2,093,560 
     Series 2005, 5.000%, 12/01/27 – XLCA Insured             
5,000    Port Authority of New York and New Jersey, Consolidated Revenue Bonds, One Hundred    3/14 at 101.00    AAA    5,197,700 
     Thirty-Fifth Series 2004, 5.000%, 9/15/28 – XLCA Insured             
2,720    Rensselaer County Industrial Development Agency, New York, Civic Facility Revenue Bonds,    3/16 at 100.00    A    2,828,610 
     Rensselaer Polytechnic Institute, Series 2006, 5.000%, 3/01/26             
9,515    Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Refunding Bonds,    11/12 at 100.00    Aa2    9,832,420 
     Series 2002B, 5.000%, 11/15/22             
175,235    Total New York            182,091,472 
    North Carolina – 1.1% (0.7% of Total Investments)             
    Charlotte, North Carolina, Certificates of Participation, Governmental Facilities Projects,             
    Series 2003G:             
5,785     5.250%, 6/01/22    6/13 at 100.00    AA+    6,064,011 
3,475     5.250%, 6/01/23    6/13 at 100.00    AA+    3,640,792 
1,000    Gaston County Industrial Facilities and Pollution Control Financing Authority, North Carolina,    8/15 at 100.00    N/R    1,034,400 
     National Gypsum Company Project Exempt Facilities Revenue Bonds, Series 2005, 5.750%,             
     8/01/35 (Alternative Minimum Tax)             
10,260    Total North Carolina            10,739,203 
    North Dakota – 1.1% (0.7% of Total Investments)             
9,650    Dickinson, North Dakota, Health Care Facilities Revenue Bonds, BHS Long Term Care Inc., Series    2/10 at 102.00    AA    10,588,173 
     1990, 7.625%, 2/15/20 – RAAI Insured             
    Ohio – 2.1% (1.3% of Total Investments)             
2,750    Cincinnati City School District, Hamilton County, Ohio, General Obligation Bonds, Series 2006,    No Opt. Call    AAA    3,052,418 
     5.250%, 12/01/22 – FGIC Insured             
4,265    Franklin County, Ohio, Hospital Revenue and Improvement Bonds, Children’s Hospital Project,    5/11 at 101.00    Aaa    4,539,879 
     Series 2001, 5.500%, 5/01/28 (Pre-refunded 5/01/11) – AMBAC Insured             
2,720    Ohio State University, General Receipts Bonds, Series 2003B, 5.250%, 6/01/20    6/13 at 100.00    AA    2,875,611 
665    Richland County, Ohio, Hospital Facilities Revenue Refunding Bonds, MedCentral Health System    11/10 at 101.00    A–    704,641 
     Obligated Group, Series 2000A, 6.125%, 11/15/16             
1,335    Richland County, Ohio, Hospital Facilities Revenue Refunding Bonds, MedCentral Health System    11/10 at 101.00    N/R (4)    1,439,023 
     Obligated Group, Series 2000A, 6.125%, 11/15/16 (Pre-refunded 11/15/10)             
7,000    Steubenville, Ohio, Hospital Facilities Revenue Refunding and Improvement Bonds, Trinity    10/10 at 100.00    A3 (4)    7,550,830 
     Health System, Series 2000, 6.500%, 10/01/30 (Pre-refunded 10/01/10)             
18,735    Total Ohio            20,162,402 
    Oklahoma – 2.8% (1.7% of Total Investments)             
    Norman Regional Hospital Authority, Oklahoma, Hospital Revenue Bonds, Series 2005:             
500     5.375%, 9/01/29    9/16 at 100.00    BBB    511,880 
1,050     5.375%, 9/01/36    9/16 at 100.00    BBB    1,068,827 
3,500    Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%,    7/15 at 100.00    AAA    3,664,010 
     7/01/24 – AMBAC Insured             
    Oklahoma Development Finance Authority, Revenue Bonds, Saint John Health System, Series 2007:             
10,000     5.000%, 2/15/37    2/17 at 100.00    AA–    10,063,900 
5,240     5.000%, 2/15/42    2/17 at 100.00    AA–    5,245,816 
5,610    Tulsa County Industrial Authority, Oklahoma, Health Care Revenue Bonds, Saint Francis Health    12/16 at 100.00    AA    5,645,175 
     System, Series 2006, 5.000%, 12/15/36             
25,900    Total Oklahoma            26,199,608 
    Oregon – 1.0% (0.6% of Total Investments)             
    Oregon Department of Administrative Services, Certificates of Participation, Series 2005A:             
2,060     5.000%, 5/01/24 – FSA Insured    5/15 at 100.00    AAA    2,143,718 
4,220     5.000%, 5/01/30 – FSA Insured    5/15 at 100.00    AAA    4,357,867 
2,500    Oregon State Department of Transportation, Highway User Tax Revenue Bonds, Series 2004A,    11/14 at 100.00    AAA    2,674,175 
     5.000%, 11/15/21 (Pre-refunded 11/15/14)             
8,780    Total Oregon            9,175,760 
    Pennsylvania – 4.4% (2.7% of Total Investments)             
980    Bucks County Industrial Development Authority, Pennsylvania, Charter School Revenue Bonds,    3/17 at 100.00    BBB    952,648 
     School Lane Charter School, Series 2007A, 5.000%, 3/15/37             
    Lancaster Higher Education Authority, Pennsylvania, Revenue Bonds, Franklin and Marshall             
    College, Series 2003C:             
1,340     5.250%, 4/15/15    4/13 at 100.00    A+    1,418,939 
1,960     5.250%, 4/15/17    4/13 at 100.00    A+    2,065,252 
1,000    Pennsylvania State University, General Revenue Bonds, Series 2005, 5.000%, 9/01/29    9/15 at 100.00    AA    1,040,060 
2,625    Pennsylvania Turnpike Commission, Turnpike Revenue Bonds, Series 2006A, 5.000%, 12/01/26 –    6/16 at 100.00    AAA    2,745,934 
     AMBAC Insured             
    Philadelphia Gas Works, Pennsylvania, Revenue Bonds, General Ordinance, Fifth Series 2004A-1:             
4,505     5.000%, 9/01/21 – FSA Insured    9/14 at 100.00    AAA    4,683,083 
4,735     5.000%, 9/01/22 – FSA Insured    9/14 at 100.00    AAA    4,913,415 
8,405    Philadelphia Redevelopment Authority, Pennsylvania, Multifamily Housing Mortgage Revenue    4/08 at 103.00    N/R    8,507,457 
     Bonds, Cricket Court Apartments, Series 1998A, 6.200%, 4/01/25 (Alternative Minimum Tax)             
14,000    State Public School Building Authority, Pennsylvania, Lease Revenue Bonds, Philadelphia School    6/13 at 100.00    AAA    15,004,780 
     District, Series 2003, 5.250%, 6/01/24 (Pre-refunded 6/01/13) – FSA Insured             
39,550    Total Pennsylvania            41,331,568 
    Puerto Rico – 0.4% (0.3% of Total Investments)             
1,500    Puerto Rico Electric Power Authority, Power Revenue Bonds, Series 2005RR, 5.000%, 7/01/30    7/15 at 100.00    AAA    1,611,945 
     (Pre-refunded 7/01/15) – XLCA Insured             
2,500    Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, Series 2007A, 5.250%,    8/17 at 100.00    A+    2,621,925 
     8/01/57 – MBIA Insured             
4,000    Total Puerto Rico            4,233,870 
    South Carolina – 6.8% (4.1% of Total Investments)             
8,610    Dorchester County School District 2, South Carolina, Installment Purchase Revenue Bonds,    12/14 at 100.00    A    8,992,628 
     GROWTH, Series 2004, 5.250%, 12/01/24             
    Greenville County School District, South Carolina, Installment Purchase Revenue Bonds,             
    Series 2003:             
5,090     5.250%, 12/01/18    12/13 at 100.00    AA–    5,371,477 
3,595     5.250%, 12/01/20    12/13 at 100.00    AA–    3,777,302 
1,865     5.250%, 12/01/21    12/13 at 100.00    AA–    1,957,467 
    Lexington County Health Service District, South Carolina, Hospital Revenue Bonds, Series 2004:             
1,805     6.000%, 5/01/19 (Pre-refunded 5/01/14)    5/14 at 100.00    A+ (4)    2,022,809 
2,400     5.500%, 5/01/24 (Pre-refunded 5/01/14)    5/14 at 100.00    A+ (4)    2,619,120 
    South Carolina JOBS Economic Development Authority, Hospital Refunding and Improvement Revenue             
    Bonds, Palmetto Health Alliance, Series 2003C:             
13,345     6.375%, 8/01/34 (Pre-refunded 8/01/13)    8/13 at 100.00    BBB+ (4)    15,055,028 
1,655     6.375%, 8/01/34 (Pre-refunded 8/01/13)    8/13 at 100.00    BBB+ (4)    1,862,835 
    Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement             
    Asset-Backed Bonds, Series 2001B:             
8,915     6.000%, 5/15/22    5/11 at 101.00    BBB    9,356,917 
7,500     6.375%, 5/15/28    5/11 at 101.00    BBB    7,922,775 
4,150     6.375%, 5/15/30    No Opt. Call    BBB    4,695,269 
58,930    Total South Carolina            63,633,627 
    Tennessee – 1.5% (0.9% of Total Investments)             
6,400    Johnson City Health and Educational Facilities Board, Tennessee, Revenue Bonds, Mountain    7/16 at 100.00    BBB+    6,606,720 
     States Health Alliance, Series 2006A, 5.500%, 7/01/36             
6,100    Knox County Health, Educational and Housing Facilities Board, Tennessee, Hospital Revenue    1/17 at 31.68    A–    1,070,794 
     Refunding Bonds, Covenant Health, Series 2006, 0.000%, 1/01/40             
410    Sullivan County Health Educational and Housing Facilities Board, Tennessee, Revenue Bonds,    9/16 at 100.00    BBB+    412,185 
     Wellmont Health System, Series 2006C, 5.250%, 9/01/36             
3,000    Sumner County Health, Educational, and Housing Facilities Board, Tennessee, Revenue Refunding    11/17 at 100.00    N/R    3,029,940 
     Bonds, Sumner Regional Health System Inc., Series 2007, 5.500%, 11/01/46 (WI/DD,             
     Settling 8/15/07)             
2,705    Tennessee Housing Development Agency, Homeownership Program Bonds, Series 2004, 5.000%,    7/13 at 100.00    AA    2,741,220 
     7/01/34 (Alternative Minimum Tax)             
18,615    Total Tennessee            13,860,859 
    Texas – 15.3% (9.3% of Total Investments)             
5,000    Alliance Airport Authority, Texas, Special Facilities Revenue Bonds, American Airlines Inc.,    12/12 at 100.00    CCC+    4,647,650 
     Series 2007, 5.250%, 12/01/29 (Alternative Minimum Tax)             
3,240    Austin Housing Finance Corporation, Texas, GNMA Collateralized Multifamily Housing Revenue    12/10 at 105.00    Aaa    3,516,080 
     Bonds, Fairway Village Project, Series 2000A, 7.375%, 6/20/35 (Alternative Minimum Tax)             
8,840    Board of Regents, University of Texas System, Financing System Revenue Bonds, Series 2006F,    2/17 at 100.00    AAA    8,167,099 
     4.250%, 8/15/36 (UB)             
2,150    Brazos River Authority, Texas, Pollution Control Revenue Bonds, TXU Energy Company LLC    10/13 at 101.00    Baa2    2,319,893 
     Project, Series 2003C, 6.750%, 10/01/38 (Alternative Minimum Tax)             
175    Clear Creek Independent School District, Galveston and Harris Counties, Texas, Unlimited Tax    2/10 at 100.00    AAA    183,750 
     Schoolhouse and Refunding Bonds, Series 2000, 6.000%, 2/15/16             
665    Harlingen Housing Finance Corporation, Texas, GNMA/FNMA Single Family Mortgage Revenue Bonds,    9/10 at 105.00    AAA    680,169 
     Series 2000A, 6.700%, 9/01/33 (Alternative Minimum Tax)             
3,380    Harris County Hospital District, Texas, Revenue Refunding Bonds, Series 1990, 7.400%,    No Opt. Call    AAA    3,548,392 
     2/15/10 – AMBAC Insured             
1,000    Harris County Hospital District, Texas, Revenue Refunding Bonds, Series 1990, 7.400%,    No Opt. Call    AAA    1,039,500 
     2/15/10 – AMBAC Insured (ETM)             
19,125    Harris County Hospital District, Texas, Revenue Refunding Bonds, Series 2000, 6.000%,    8/10 at 100.00    AAA    20,116,056 
     2/15/15 – MBIA Insured             
4,000    Harris County-Houston Sports Authority, Texas, Junior Lien Revenue Refunding Bonds, Series    11/11 at 100.00    AAA    4,148,720 
     2001B, 5.250%, 11/15/40 – MBIA Insured             
5,000    Houston, Texas, First Lien Combined Utility System Revenue Bonds, Series 2004A, 5.250%,    5/14 at 100.00    AAA    5,303,950 
     5/15/25 – MBIA Insured             
6,000    Houston, Texas, General Obligation Public Improvement Bonds, Series 2001B, 5.500%, 3/01/15 –    3/11 at 100.00    AAA    6,317,520 
     FSA Insured             
9,250    Houston, Texas, Subordinate Lien Airport System Revenue Bonds, Series 2000B, 5.500%, 7/01/30 –    7/10 at 100.00    AAA    9,607,420 
     FSA Insured             
4,660    Hutto Independent School District, Williamson County, Texas, General Obligation Bonds, Series    8/16 at 100.00    AAA    4,481,848 
     2007, Residuals 07-1001, 6.605%, 8/01/43 (IF)             
    Kerrville Health Facilities Development Corporation, Texas, Revenue Bonds, Sid Peterson             
    Memorial Hospital Project, Series 2005:             
2,000     5.250%, 8/15/21    No Opt. Call    BBB–    2,030,880 
2,500     5.125%, 8/15/26    No Opt. Call    BBB–    2,496,925 
1,505    Lower Colorado River Authority, Texas, Contract Revenue Refunding Bonds, Transmission Services    5/13 at 100.00    AAA    1,578,263 
     Corporation, Series 2003C, 5.250%, 5/15/23 – AMBAC Insured             
245    Lower Colorado River Authority, Texas, Revenue Refunding and Improvement Bonds, Series 2003,    5/13 at 100.00    Aaa    262,175 
     5.250%, 5/15/24 (Pre-refunded 5/15/13) – AMBAC Insured             
3,155    Lower Colorado River Authority, Texas, Revenue Refunding and Improvement Bonds, Series 2003,    5/13 at 100.00    AAA    3,311,898 
     5.250%, 5/15/24 – AMBAC Insured             
6,670    Pearland Independent School District, Brazoria County, Texas, General Obligation Bonds, Series    2/17 at 100.00    AAA    5,992,395 
     2007, Rites-PA- 1449, 6.182%, 2/15/32 (IF)             
2,000    Sabine River Authority, Texas, Pollution Control Revenue Bonds, TXU Electric Company, Series    11/15 at 100.00    Baa2    1,956,380 
     2001C, 5.200%, 5/01/28             
9,930    Tarrant County Cultural & Educational Facilities Financing Corporation, Texas, Revenue Bonds, Series    2/17 at 100.00    AA–    9,985,906 
     2007, 5.000%, 2/15/36             
10,810    Tarrant County Health Facilities Development Corporation, Texas, GNMA Collateralized Mortgage    12/10 at 105.00    Aaa    12,018,990 
     Loan Revenue Bonds, Eastview Nursing Home, Ebony Lake Nursing Center, Ft. Stockton Nursing             
     Center, Lynnhaven Nursing Center and Mission Oaks Manor, Series 2000A-1, 7.625%, 12/20/32             
4,000    Tarrant County Health Facilities Development Corporation, Texas, Hospital Revenue Bonds,    11/10 at 101.00    A+ (4)    4,380,760 
     Adventist Health System – Sunbelt Obligated Group, Series 2000, 6.700%, 11/15/30             
     (Pre-refunded 11/15/10)             
5,000    Tarrant Regional Water District, Texas, Water Revenue Refunding and Improvement Bonds, Series    3/13 at 100.00    AAA    5,286,200 
     1999, 5.250%, 3/01/17 – FSA Insured             
4,000    Texas A&M University, Financing System Revenue Bonds, Series 1999, 5.550%, 5/15/29    5/09 at 100.00    AAA    4,126,000 
     (Pre-refunded 5/15/09) – MBIA Insured             
25,000    Texas Turnpike Authority, First Tier Revenue Bonds, Central Texas Turnpike System, Series    No Opt. Call    AAA    11,328,500 
     2002A, 0.000%, 8/15/24 – AMBAC Insured             
3,335    Texas, General Obligation Bonds, Transportation Commission Mobility Fund, Series 2007,    4/17 at 100.00    AA    3,016,141 
     Residuals 1873, 5.773%, 4/01/33 (IF)             
2,500    Tomball Hospital Authority, Texas, Hospital Revenue Bonds, Tomball Regional Hospital, Series    7/15 at 100.00    Baa3    2,486,975 
     2005, 5.000%, 7/01/20             
155,135    Total Texas            144,336,435 
    Utah – 0.1% (0.0% of Total Investments)             
710    Utah Housing Finance Agency, Single Family Mortgage Bonds, Series 1997F, 5.750%, 7/01/28    1/08 at 101.50    AAA    719,258 
     (Alternative Minimum Tax)             
    Virginia – 0.6% (0.3% of Total Investments)             
4,800    Virginia Beach Development Authority, Virginia, Multifamily Residential Rental Housing Revenue    10/14 at 100.00    N/R    5,352,624 
     Bonds, Mayfair Apartments I and II, Series 1999, 7.500%, 10/01/39 (Alternative Minimum Tax)             
    Washington – 3.5% (2.2% of Total Investments)             
2,500    Energy Northwest, Washington, Electric Revenue Refunding Bonds, Columbia Generating Station –    7/12 at 100.00    AAA    2,697,475 
     Nuclear Project 2, Series 2002C, 5.750%, 7/01/17 – MBIA Insured             
3,125    Skagit County Public Hospital District 1, Washington, General Obligation Bonds, Series 2004A,    6/14 at 100.00    Aaa    3,360,625 
     5.375%, 12/01/20 – MBIA Insured             
5,000    Snohomish County, Washington, Limited Tax General Obligation Bonds, Series 2001, 5.250%,    12/11 at 100.00    AAA    5,209,750 
     12/01/26 – MBIA Insured             
7,775    Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series    7/08 at 102.00    Aaa    7,969,142 
     1998A, 5.125%, 7/01/18             
4,750    Washington State Healthcare Facilities Authority, Revenue Bonds, Swedish Health Services,    11/08 at 101.00    Aaa    4,847,850 
     Series 1998, 5.125%, 11/15/22 – AMBAC Insured             
6,480    Washington State, Motor Vehicle Fuel Tax General Obligation Bonds, Series 2002-03C, 0.000%,    No Opt. Call    AAA    2,974,255 
     6/01/24 – MBIA Insured             
11,000    Washington, General Obligation Bonds, Series 2000S-5, 0.000%, 1/01/20 – FGIC Insured    No Opt. Call    AAA    6,291,890 
40,630    Total Washington            33,350,987 
    Wisconsin – 3.4% (2.1% of Total Investments)             
    Milwaukee Redevelopment Authority, Wisconsin, Lease Revenue Bonds, Public Schools,             
    Series 2003A:             
1,000     5.125%, 8/01/22 (Pre-refunded 8/01/13) – AMBAC Insured    8/13 at 100.00    AAA    1,063,600 
750     5.125%, 8/01/23 (Pre-refunded 8/01/13) – AMBAC Insured    8/13 at 100.00    AAA    797,700 
1,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Agnesian Healthcare    7/11 at 100.00    A–    1,047,790 
     Inc., Series 2001, 6.000%, 7/01/21             
9,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Healthcare Inc.,    4/13 at 100.00    BBB+    9,789,480 
     Series 2003, 6.400%, 4/15/33             
2,175    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Carroll College Inc.,    10/11 at 100.00    BBB    2,318,398 
     Series 2001, 6.125%, 10/01/16             
790    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Divine Savior    5/16 at 100.00    BBB    763,282 
     Healthcare, Series 2006, 5.000%, 5/01/32             
6,025    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Franciscan Sisters of    9/13 at 100.00    BBB+ (4)    6,668,048 
     Christian Charity Healthcare Ministry, Series 2003A, 6.000%, 9/01/22 (Pre-refunded 9/01/13)             
4,995    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Franciscan Sisters of    9/17 at 100.00    BBB+    4,787,708 
     Christian Charity HealthCare Ministry, Series 2007, 5.000%, 9/01/33             
2,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan    8/13 at 100.00    A–    2,007,640 
     Services Inc., Series 2003A, 5.250%, 8/15/25             
    Wisconsin, General Obligation Bonds, Series 2004-3:             
175     5.250%, 5/01/19 – FGIC Insured    5/14 at 100.00    AAA    186,326 
1,265     5.250%, 5/01/21 – FGIC Insured    5/14 at 100.00    AAA    1,345,340 
1,545    Wisconsin, General Obligation Bonds, Series 2004-3, 5.250%, 5/01/19 (Pre-refunded 5/01/14) –    5/14 at 100.00    Aaa    1,669,064 
     FGIC Insured             
30,720    Total Wisconsin            32,444,376 
    Wyoming – 0.4% (0.3% of Total Investments)             
3,900    Sweetwater County, Wyoming, Solid Waste Disposal Revenue Bonds, FMC Corporation, Series 2005,    12/15 at 100.00    BBB    4,056,234 
     5.600%, 12/01/35 (Alternative Minimum Tax)             
$   1,645,602    Total Long-Term Investments (cost $1,492,939,579) – 163.3%            1,537,373,821 
    Short-Term Investments – 1.2% (0.7% of Total Investments)             
9,000    California Housing Finance Agency, Home Mortgage Adjustable Revenue Bonds, Series 2001U,        A-1+    9,000,000 
     3.700%, 8/01/32 – MBIA Insured (Alternative Minimum Tax) (5)             
2,000    Puerto Rico Government Development Bank, Adjustable Refunding Bonds, Variable Rate Demand        A-1+    2,000,000 
     Obligations, Series 1985, 3.490%, 12/01/15 – MBIA Insured (5)             
$        11,000    Total Short-Term Investments (cost $11,000,000)            11,000,000 
    Total Investments (cost $1,503,939,579) – 164.5%            1,548,373,821 
    Floating Rate Obligations (10.0)%            (93,734,000) 
    Other Assets Less Liabilities – 1.3%            11,514,265 
    Preferred Shares, at Liquidation Value – (55.8)%            (525,000,000) 
    Net Assets Applicable to Common Shares – 100%           $   941,154,086 

Forward Swaps outstanding at July 31, 2007:                         
        Fund            Fixed Rate            Unrealized 
    Notional    Pay/Receive    Floating Rate    Fixed Rate    Payment    Effective    Termination    Appreciation 
Counterparty    Amount    Floating Rate    Index    (Annualized)    Frequency    Date (6)    Date    (Depreciation) 
Citigroup Inc.    $15,000,000    Receive    3-Month USD-LIBOR    5.235%    Semi-Annually    12/12/07    12/12/36    $   955,081 
JPMorgan    31,000,000    Receive    3-Month USD-LIBOR    5.060       Semi-Annually    12/12/07    12/12/16    870,736 
                                $1,825,817 
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)                     

    The Fund may invest in “zero coupon” securities. A zero coupon security does not pay a regular interest 
    coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes 
    from accretion of the difference between the original purchase price of the security at issuance and the 
    par value of the security at maturity and is effectively paid at maturity. Such securities are included in the 
    portfolio with a 0.00% coupon rate in their description. The market prices of zero coupon securities generally 
    are more volatile than the market prices of securities that pay interest periodically. 
(1)    All percentages shown in the Portfolio of Investments are based on net assets applicable to Common 
    shares unless otherwise noted. 
(2)    Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. 
    There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities 
    may be subject to periodic principal paydowns. 
(3)    Ratings: Using the higher of Standard & Poor’s 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. 
(4)    Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency 
    securities which ensure the timely payment of principal and interest. Such investments are normally 
    considered to be equivalent to AAA rated securities. 
(5)    Investment has a maturity of more than one year, but has variable rate and demand features which 
    qualify it as a short-term investment. The rate disclosed is that in effect at the end of the reporting 
    period. This rate changes periodically based on market conditions or a specified market index. 
(6)    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. 
WI/DD    Purchased on a when-issued or delayed delivery basis. 
(ETM)    Escrowed to maturity. 
(IF)    Inverse floating rate investment. 
(UB)  Underlying bond of an inverse floating rate trust reflected as a financing transaction pursuant to the 
provisions of SFAS No. 140. 

 

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, timing differences in recognizing certain gains and losses on investment transactions and the treatment of investments in inverse floating rate transactions subject to SFAS No. 140.

At July 31, 2007, the cost of investments was $1,409,073,705.

Gross unrealized appreciation and gross unrealized depreciation of investments at July 31, 2007, were as follows:

Gross unrealized:     
  Appreciation    $ 55,581,406 
  Depreciation    (10,102,515) 
Net unrealized appreciation (depreciation) of investments    $ 45,478,891 

Item 2. Controls and Procedures.

  1. 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 Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
  2. 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 registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form 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)), exactly as set forth below: EX-99 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 Premium Income Municipal Fund, Inc.        

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

Date         September 28, 2007        

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*         /s/ Gifford R. Zimmerman                    
                                                   Gifford R. Zimmerman
                                                   Chief Administrative Officer (principal executive officer) 

Date         September 28, 2007        

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

Date        September 28, 2007        

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