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)


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


Jessica R. Droeger—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:         7/31/06         

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, 2006             
Principal        Optional Call         
Amount (000)    Description (1)    Provisions (2)    Ratings (3)    Value 
    Alabama – 2.1% (1.4% 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–   $   4,300,857 
    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    6,190,440 
1,300     5.000%, 11/15/30    11/15 at 100.00    Baa1    1,293,565 
2,190    Courtland Industrial Development Board, Alabama, Pollution Control Revenue Bonds,    6/15 at 100.00    BBB    2,185,883 
     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+    5,210,660 
     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)    1,086,280 
     Medical Center, Series 2004C, 5.250%, 11/15/29 (Pre-refunded 11/15/14)             
19,560    Total Alabama            20,267,685 
    Alaska – 1.0% (0.7% of Total Investments)             
    Anchorage, Alaska, General Obligation Refunding Bonds, Series 2003A:             
2,000     5.250%, 9/01/17 – FGIC Insured    9/13 at 100.00    AAA    2,143,260 
2,035     5.250%, 9/01/18 – FGIC Insured    9/13 at 100.00    AAA    2,180,767 
5,000    Northern Tobacco Securitization Corporation, Alaska, Tobacco Settlement Asset-Backed Bonds,    6/10 at 100.00    AAA    5,253,800 
     Series 2000, 6.500%, 6/01/31 (Pre-refunded 6/01/10)             
9,035    Total Alaska            9,577,827 
    Arizona – 1.1% (0.7% 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    513,590 
660     5.250%, 12/01/25    12/15 at 100.00    BBB    677,886 
4,820    Pima County Industrial Development Authority, Arizona, Lease Obligation Revenue Refunding    1/07 at 100.50    AAA    4,838,027 
     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    4,350,707 
     AMBAC Insured             
10,110    Total Arizona            10,380,210 
    Arkansas – 0.8% (0.6% 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    515,443 
     (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    5,394,482 
     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    2,015,700 
     Series 2005B, 5.000%, 2/01/25             
7,725    Total Arkansas            7,925,625 
    California – 20.4% (13.3% of Total Investments)             
1,275    Acalanes Union High School District, Contra Costa County, California, General Obligation    8/15 at 100.00    AAA    1,332,796 
     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    4,783,724 
     2004A, 0.000%, 10/01/20 – AMBAC Insured             
4,000    California Department of Water Resources, Power Supply Revenue Bonds, Series 2002A, 6.000%,    5/12 at 101.00    Aaa    4,497,000 
     5/01/15 (Pre-refunded 5/01/12)             
2,000    California Educational Facilities Authority, Revenue Bonds, Occidental College, Series 2005A,    10/15 at 100.00    Aaa    2,070,520 
     5.000%, 10/01/30 – MBIA Insured             
7,200    California Educational Facilities Authority, Revenue Bonds, University of Southern California,    10/15 at 100.00    AA+    7,287,696 
     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    1,526,010 
     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    3,742,254 
7,000     5.000%, 3/01/33    3/13 at 100.00    A    7,060,270 
5,500    California Health Facilities Financing Authority, Health Facility Revenue Bonds, Catholic    7/26 at 100.00    A–    5,703,885 
     Healthcare West, 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    A3    9,704,834 
     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+    8,666,413 
     Series 2006, 5.000%, 4/01/37             
11,395    California State Public Works Board, Lease Revenue Bonds, Department of Corrections, Series    No Opt. Call    A    12,189,801 
     1993E, 5.500%, 6/01/15             
23,725    California State Public Works Board, Lease Revenue Refunding Bonds, Various University of    12/06 at 100.00    Aa2    23,741,369 
     California Projects, Series 1993A, 5.500%, 6/01/21             
    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+    1,686,363 
2,730     5.000%, 7/01/39    7/15 at 100.00    BBB+    2,733,767 
4,000    California, Economic Recovery Revenue Bonds, Series 2004A, 5.250%, 7/01/14    No Opt. Call    AA–    4,351,840 
    California, General Obligation Bonds, Series 2004:             
2,000     5.125%, 2/01/25    2/14 at 100.00    A+    2,079,480 
10,000     5.125%, 2/01/26    2/14 at 100.00    A+    10,384,500 
7,000    California, General Obligation Bonds, Series 2005, 5.000%, 8/01/22    8/15 at 100.00    A+    7,280,350 
3,575    Chula Vista, California, Industrial Development Revenue Bonds, San Diego Gas and Electric    6/14 at 102.00    A2    3,761,436 
     Company, Series 1996A, 5.300%, 7/01/21             
2,350    Grossmont-Cuyamaca Community College District, California, General Obligation Bonds, Series    8/15 at 100.00    AAA    2,447,643 
     2005B, 5.000%, 8/01/26 – FGIC Insured             
5,470    Los Angeles Harbors Department, California, Revenue Bonds, Series 2006A, 5.000%, 8/01/22 –    8/16 at 102.00    AAA    5,687,980 
     FGIC Insured (Alternative Minimum Tax)             
3,865    Los Angeles Unified School District, California, General Obligation Bonds, Series 2005A-1,    7/15 at 100.00    AAA    4,027,137 
     5.000%, 7/01/25 – FGIC Insured             
1,065    Martinez, California, Home Mortgage Revenue Bonds, Series 1983A, 10.750%, 2/01/16 (ETM)    No Opt. Call    AAA    1,405,640 
19,720    Pomona, California, GNMA/FNMA Collateralized Securities Program Single Family Mortgage Revenue    No Opt. Call    AAA    25,314,560 
     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    5,479,550 
     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    2,064,880 
     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    3,853,994 
     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    405,424 
445     5.000%, 9/01/23    9/15 at 102.00    Baa3    449,512 
3,500    San Diego Unified Port District, California, Revenue Bonds, Series 2004B, 5.000%, 9/01/29 –    9/14 at 100.00    AAA    3,599,435 
     MBIA Insured             
4,700    San Diego Unified School District, San Diego County, California, General Obligation Bonds,    7/15 at 100.00    AAA    4,876,109 
     Series 2005G, 5.000%, 7/01/29 – FSA Insured             
    San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue             
    Refunding Bonds, Series 1997A:             
10,000     0.000%, 1/15/31 – MBIA Insured    No Opt. Call    AAA    3,053,600 
24,025     0.000%, 1/15/36 – MBIA Insured    No Opt. Call    AAA    5,657,888 
211,810    Total California            192,907,660 
    Colorado – 5.2% (3.4% of Total Investments)             
2,500    Centennial Water and Sanitation District, Colorado, Water and Sewerage Revenue Bonds, Series    12/14 at 100.00    AAA    2,622,225 
     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    731,317 
     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–    2,132,225 
     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    1,003,980 
     5.000%, 9/01/25             
800    Colorado Health Facilities Authority, Revenue Bonds, Poudre Valley Health Care, Series 2005F,    3/15 at 100.00    BBB+    804,568 
     5.000%, 3/01/25             
400    Colorado Housing Finance Authority, Single Family Program Senior Bonds, Series 1997B-2,    5/07 at 105.00    Aa2    408,260 
     7.000%, 5/01/26 (Alternative Minimum Tax)             
290    Colorado Housing Finance Authority, Single Family Program Senior Bonds, Series 1997C-2,    11/07 at 105.00    Aa2    292,204 
     6.875%, 11/01/28 (Alternative Minimum Tax)             
735    Colorado Housing Finance Authority, Single Family Program Senior Bonds, Series 2000B-2,    4/10 at 105.00    AA    753,155 
     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+    10,610,838 
     (Alternative Minimum Tax)             
8,315    Denver City and County, Colorado, Special Facilities Airport Revenue Bonds, United Air Lines    10/06 at 100.00    N/R    8,491,694 
     Corporation, Series 1992A, 6.875%, 10/01/32 (Alternative Minimum Tax) (5) (6)             
19,810    Denver, Colorado, Excise Tax Revenue Bonds, Convention Center, Series 2001A, 5.500%, 9/01/18    3/11 at 100.00    AAA    21,226,612 
     (Pre-refunded 3/01/11) – FSA Insured             
77    El Paso County, Colorado, FNMA Mortgage-Backed Single Family Revenue Refunding Bonds, Series    No Opt. Call    Aaa    80,503 
     1992A-2, 8.750%, 6/01/11             
46,192    Total Colorado            49,157,581 
    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    2,160,828 
2,310    Greater New Haven Water Pollution Control Authority, Connecticut, Regional Wastewater System    11/15 at 100.00    AAA    2,408,337 
     Revenue Bonds, Series 2005A, 5.000%, 11/15/30 – MBIA Insured             
4,240    Total Connecticut            4,569,165 
    District of Columbia – 4.5% (2.9% of Total Investments)             
8,480    District of Columbia Housing Finance Agency, GNMA Collateralized Single Family Mortgage    12/06 at 101.00    AAA    8,694,883 
     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    11,137,959 
10,350    District of Columbia, Revenue Bonds, Association of American Medical Colleges, Series 1997A,    8/07 at 102.00    AAA    10,671,471 
     5.375%, 2/15/27 – AMBAC Insured             
    District of Columbia, Revenue Bonds, Georgetown University, Series 2001A:             
14,105     0.000%, 4/01/24 – MBIA Insured    4/11 at 47.66    AAA    5,378,519 
7,625     0.000%, 4/01/25 – MBIA Insured    4/11 at 44.82    AAA    2,735,926 
16,665     0.000%, 4/01/32 – MBIA Insured    4/11 at 29.23    AAA    3,924,108 
66,730    Total District of Columbia            42,542,866 
    Florida – 3.0% (2.0% of Total Investments)             
4,225    Brevard County Health Facilities Authority, Florida, Revenue Bonds, Health First Inc. Project,    4/16 at 100.00    A    4,299,276 
     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    8,555,600 
     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    5,938,488 
     Revenue Bonds, National Gypsum Company, Apollo Beach Project, Series 2000B, 7.125%, 4/01/30             
     (Alternative Minimum Tax)             
5,000    Orange County Health Facilities Authority, Florida, Hospital Revenue Bonds, Adventist Health    11/10 at 101.00    A+ (4)    5,549,800 
     System/Sunbelt Obligated Group, Series 2000, 6.500%, 11/15/30 (Pre-refunded 11/15/10)             
1,785    Tallahassee, Florida, Energy System Revenue Bonds, Series 2005, 5.000%, 10/01/28 – MBIA Insured    10/15 at 100.00    AAA    1,845,226 
2,375    Volusia County School Board, Florida, Certificates of Participation, Series 2005B, 5.000%,    8/15 at 100.00    Aaa    2,473,681 
     8/01/22 – FSA Insured             
26,785    Total Florida            28,662,071 
    Georgia – 1.9% (1.2% of Total Investments)             
2,625    Fulton County Development Authority, Georgia, Revenue Bonds, Georgia Tech Molecular Science    5/14 at 100.00    AAA    2,804,130 
     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    6,414,456 
     5.250%, 1/01/20 – FSA Insured             
4,845    Metropolitan Atlanta Rapid Transit Authority, Georgia, Sales Tax Revenue Refunding Bonds,    No Opt. Call    AAA    5,590,452 
     Series 1992P, 6.250%, 7/01/20 – AMBAC Insured             
2,730    Savannah Housing Authority, Georgia, GNMA Collateralized Mortgage Revenue Refunding Bonds,    5/08 at 103.00    Aaa    2,859,129 
     Plantation Oak Project, Series 2000, 6.350%, 11/20/39             
16,225    Total Georgia            17,668,167 
    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    10,649,800 
    Idaho – 0.6% (0.4% of Total Investments)             
5,000    Boise City, Idaho, Airport Revenue Certificates of Participation, Series 2000, 5.500%,    9/10 at 100.00    Aaa    5,230,900 
     9/01/25 – FGIC Insured (Alternative Minimum Tax)             
685    Madison County, Idaho, Hospital Revenue Certificates of Participation, Madison Memorial    9/16 at 100.00    BBB–    697,590 
     Hospital, Series 2006, 5.250%, 9/01/30             
5,685    Total Idaho            5,928,490 
    Illinois – 9.0% (5.9% of Total Investments)             
9,220    Chicago Board of Education, Illinois, Unlimited Tax General Obligation Bonds, Dedicated Tax    12/07 at 102.00    AAA    9,511,905 
     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    5,653,951 
10,000     0.000%, 12/01/20 – FGIC Insured    No Opt. Call    AAA    5,145,400 
9,900     0.000%, 12/01/24 – FGIC Insured    No Opt. Call    AAA    4,134,438 
    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    7,324,500 
10,000     0.000%, 12/01/23 – FGIC Insured    No Opt. Call    AAA    4,402,200 
90    Chicago, Illinois, FNMA/GNMA Collateralized Single Family Mortgage Revenue Bonds, Series    9/06 at 105.00    Aaa    92,249 
     1996A, 7.000%, 9/01/27 (Alternative Minimum Tax)             
280    Chicago, Illinois, FNMA/GNMA Collateralized Single Family Mortgage Revenue Bonds, Series    9/07 at 105.00    Aaa    287,286 
     1997B, 6.950%, 9/01/28 (Alternative Minimum Tax)             
8,740    Illinois Development Finance Authority, Pollution Control Revenue Refunding Bonds, Illinois    8/06 at 100.00    AAA    8,857,815 
     Power Company, Series 1994A, 5.700%, 2/01/24 – MBIA Insured             
    Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Series 2004:             
1,000     5.250%, 11/15/22    5/14 at 100.00    A    1,027,440 
3,000     5.250%, 11/15/23    5/14 at 100.00    A    3,070,200 
985    Illinois Finance Authority, Revenue Bonds, Proctor Hospital, Series 2006, 5.125%, 1/01/25    1/16 at 100.00    BBB–    982,626 
1,000    Illinois Health Facilities Authority, Revenue Bonds, Condell Medical Center, Series 2002,    5/12 at 100.00    Baa2    1,024,530 
     5.500%, 5/15/32             
9,820    Illinois Health Facilities Authority, Revenue Bonds, Sherman Health Systems, Series 1997,    8/07 at 101.00    AAA    10,014,141 
     5.250%, 8/01/27 – AMBAC Insured             
10,040    Metropolitan Pier and Exposition Authority, Illinois, Revenue Bonds, McCormick Place Expansion    No Opt. Call    AAA    6,848,284 
     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    9,702,412 
     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    3,881,310 
     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+    3,266,160 
     Hospital, Series 2001, 6.625%, 12/01/31             
113,165    Total Illinois            85,226,847 
    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    2,079,225 
     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)    8,781,492 
     Remodeling Building Corporation, Series 2000, 5.750%, 1/15/20 (Pre-refunded 1/15/12)             
9,970    Total Indiana            10,860,717 
    Iowa – 2.1% (1.4% 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    1,255,046 
1,410     5.800%, 6/01/18 – MBIA Insured    6/08 at 100.00    AAA    1,457,700 
2,000    Iowa Finance Authority, Healthcare Revenue Bonds, Genesis Medical Center, Series 2000,    7/10 at 100.00    A1    2,115,860 
     6.250%, 7/01/25             
4,125    Iowa Finance Authority, Industrial Remarketed Revenue Refunding Bonds, Urbandale Hotel    No Opt. Call    AAA    5,042,895 
     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    10,191,800 
     5.500%, 6/01/42             
18,750    Total Iowa            20,063,301 
    Kansas – 0.8% (0.5% of Total Investments)             
6,000    Kansas Department of Transportation, Highway Revenue Bonds, Series 2004A, 5.000%, 3/01/21    3/14 at 100.00    AA+    6,271,080 
1,560    Sedgwick and Shawnee Counties, Kansas, GNMA Mortgage-Backed Securities Program Single Family    6/08 at 105.00    Aaa    1,582,714 
     Revenue Bonds, Series 1998A-1, 6.500%, 12/01/22 (Alternative Minimum Tax)             
7,560    Total Kansas            7,853,794 
    Kentucky – 0.8% (0.6% of Total Investments)             
3,770    Kentucky Turnpike Authority, Economic Development Road Revenue Bonds, Revitalization Project,    7/15 at 100.00    AAA    3,933,807 
     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    1,271,093 
1,270     5.000%, 6/01/20 – AMBAC Insured    6/14 at 100.00    Aaa    1,330,668 
1,335     5.000%, 6/01/21 – AMBAC Insured    6/14 at 100.00    Aaa    1,394,261 
7,585    Total Kentucky            7,929,829 
    Louisiana – 2.1% (1.4% of Total Investments)             
2,915    Jefferson Sales Tax District, Jefferson Parish, Louisiana, Special Sales Tax Revenue Refunding    12/12 at 100.00    AAA    3,057,864 
     Bonds, Series 2002, 5.250%, 12/01/19 – AMBAC Insured             
350    Louisiana Housing Finance Agency, Single Family Mortgage Revenue Bonds, Series 2000A, 7.450%,    9/09 at 101.00    Aaa    360,129 
     12/01/31 (Alternative Minimum Tax)             
6,680    Louisiana Public Facilities Authority, Extended Care Facilities Revenue Bonds, Comm-Care    No Opt. Call    BBB    8,310,321 
     Corporation Project, Series 1994, 11.000%, 2/01/14             
2,000    Louisiana Public Facilities Authority, Hospital Revenue Bonds, Franciscan Missionaries of Our    8/15 at 100.00    A+    2,060,160 
     Lady Health System, Series 2005A, 5.250%, 8/15/31             
    Louisiana, Gasoline and Fuels Tax Revenue Bonds, Series 2005A:             
1,200     5.000%, 5/01/25 – FGIC Insured    5/15 at 100.00    AAA    1,239,852 
2,210     5.000%, 5/01/26 – FGIC Insured    5/15 at 100.00    AAA    2,280,168 
2,500     5.000%, 5/01/27 – FGIC Insured    5/15 at 100.00    AAA    2,583,025 
17,855    Total Louisiana            19,891,519 
    Maryland – 0.6% (0.4% of Total Investments)             
2,200    Baltimore, Maryland, Senior Lien Convention Center Hotel Revenue Bonds, Series 2006A, 5.250%,    9/16 at 100.00    AAA    2,351,800 
     9/01/27 – XLCA Insured             
3,600    Montgomery County Housing Opportunities Commission, Maryland, Multifamily Housing Development    7/10 at 100.00    Aaa    3,734,028 
     Bonds, Series 2000B, 6.200%, 7/01/30 (Alternative Minimum Tax)             
5,800    Total Maryland            6,085,828 
    Massachusetts – 4.0% (2.6% of Total Investments)             
2,100    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A, 5.250%, 7/01/30    7/10 at 100.00    AAA    2,181,102 
7,900    Massachusetts Bay Transportation Authority, Assessment Bonds, Series 2000A, 5.250%, 7/01/30    7/10 at 100.00    AAA    8,317,357 
     (Pre-refunded 7/01/10)             
4,770    Massachusetts Health and Educational Facilities Authority, Revenue Bonds, UMass Memorial    7/15 at 100.00    BBB    4,766,279 
     Health Care, Series 2005D, 5.000%, 7/01/33             
8,505    Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2001A,    1/11 at 100.00    AAA    8,773,333 
     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    2,930,542 
     Haverhill Project, Series 1998A, 5.450%, 12/01/12 (Alternative Minimum Tax)             
5,960    Massachusetts Water Resources Authority, General Revenue Bonds, Series 2005A, 5.250%,    8/17 at 100.00    AAA    6,443,952 
     8/01/25 – MBIA Insured             
3,820    Massachusetts, Special Obligation Dedicated Tax Revenue Bonds, Series 2004, 5.250%, 1/01/24    1/14 at 100.00    AAA    4,137,709 
     (Pre-refunded 1/01/14) – FGIC Insured             
35,880    Total Massachusetts            37,550,274 
    Michigan – 3.9% (2.5% 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    3,749,774 
1,275     5.250%, 4/01/23 – XLCA Insured    4/13 at 100.00    AAA    1,339,579 
3,930    Hudsonville Public Schools, Ottawa and Allegan Counties, Michigan, Unlimited Tax General    5/08 at 100.00    AAA    3,996,771 
     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    3,235,500 
     6.000%, 7/01/35             
6,600    Michigan Housing Development Authority, Limited Obligation Multifamily Mortgage Revenue    7/07 at 102.00    AAA    6,726,192 
     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    10,375,200 
     5.000%, 10/15/23 – MBIA Insured             
850    Monroe County Hospital Finance Authority, Michigan, Mercy Memorial Hospital Corporation    6/16 at 100.00    BBB–    871,870 
     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    6,801,708 
     5.500%, 12/01/19 – FGIC Insured (Alternative Minimum Tax)             
35,610    Total Michigan            37,096,594 
    Minnesota – 5.5% (3.6% 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    13,647,953 
2,000    Duluth Economic Development Authority, Minnesota, Healthcare Facilities Revenue Bonds,    2/14 at 100.00    A–    2,087,800 
     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    Aa2    1,080,040 
2,000     6.200%, 2/20/43    8/11 at 105.00    Aa2    2,153,240 
3,000    Minneapolis-St. Paul Metropolitan Airports Commission, Minnesota, Airport Revenue Bonds,    1/08 at 101.00    AAA    3,059,610 
     Series 1998A, 5.000%, 1/01/22 – AMBAC Insured             
90    Minnesota Agricultural and Economic Development Board, Healthcare System Revenue Bonds,    11/07 at 102.00    AAA    93,676 
     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    1,387,305 
     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    728,945 
     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    1,570,335 
1,665    Rochester, Minnesota, Health Care Facilities Revenue Bonds, Series 2006, 5.000%, 11/15/36    5/16 at 100.00    AA    1,703,062 
1,545    St. Paul Housing and Redevelopment Authority, Minnesota, Revenue Bonds, Healtheast Inc.,    11/15 at 100.00    Baa3    1,674,795 
     Series 2005, 6.000%, 11/15/25             
18,485    St. Paul Housing and Redevelopment Authority, Minnesota, Sales Tax Revenue Refunding Bonds,    11/15 at 103.00    AAA    22,548,002 
     Civic Center Project, Series 1996, 7.100%, 11/01/23 – FSA Insured             
46,970    Total Minnesota            51,734,763 
    Mississippi – 0.8% (0.5% of Total Investments)             
4,275    Mississippi Hospital Equipment and Facilities Authority, Revenue Bonds, Baptist Memorial    9/14 at 100.00    N/R    4,291,758 
     Healthcare, Series 2004B-1, 5.000%, 9/01/24             
3,045    Mississippi State University Educational Building Corporation, Revenue Bonds, Residence Hall    8/15 at 100.00    AAA    3,135,071 
     and Campus Improvement Project, Series 2005, 5.000%, 8/01/28 – MBIA Insured             
7,320    Total Mississippi            7,426,829 
    Missouri – 2.5% (1.6% of Total Investments)             
2,000    Cole County Industrial Development Authority, Missouri, Revenue Bonds, Lutheran Senior    2/14 at 100.00    N/R    2,045,140 
     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+    507,280 
     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+    1,760,735 
1,260     5.000%, 6/01/35    6/15 at 100.00    BBB+    1,261,247 
1,500    Missouri Health and Educational Facilities Authority, Revenue Bonds, SSM Healthcare System,    6/11 at 101.00    AAA    1,578,270 
     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    1,608,675 
4,150     5.250%, 6/01/28 (Pre-refunded 6/01/11) – AMBAC Insured    6/11 at 101.00    AAA    4,441,164 
655    Missouri Housing Development Commission, GNMA/FNMA Single Family Mortgage Revenue Bonds,    3/07 at 105.00    AAA    657,299 
     Homeownership Loan Program, Series 1996C, 7.450%, 9/01/27 (Alternative Minimum Tax)             
3,320    Missouri Housing Development Commission, Single Family Mortgage Revenue Bonds, Homeownership    3/09 at 103.00    AAA    3,359,242 
     Loan Program, Series 1999B-1, 6.700%, 9/01/30 (Alternative Minimum Tax)             
5,810    St. Charles County Francis Howell School District, Missouri, General Obligation Refunding    No Opt. Call    AAA    6,053,613 
     Bonds, Series 1994A, 7.800%, 3/01/08 – FGIC Insured             
22,260    Total Missouri            23,272,665 
    Nebraska – 0.5% (0.3% of Total Investments)             
4,410    University of Nebraska, Lincoln, Student Fees and Facilities Revenue Bonds, Series 2003B,    11/13 at 100.00    Aa2    4,500,096 
     5.000%, 7/01/33             
    Nevada – 4.4% (2.8% 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    11,318,793 
     (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    15,621,600 
     Series 2001, 5.250%, 6/01/26 – 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    2,149,355 
12,000     5.375%, 1/01/40 – AMBAC Insured    1/10 at 100.00    AAA    12,370,800 
43,835    Total Nevada            41,460,548 
    New Hampshire – 0.1% (0.0% of Total Investments)             
510    New Hampshire Housing Finance Agency, Single Family Mortgage Acquisition Revenue Bonds, Series    1/07 at 102.00    Aa2    519,343 
     1996B, 6.400%, 1/01/27 (Alternative Minimum Tax)             
    New Jersey – 9.4% (6.1% of Total Investments)             
10,150    Delaware River Port Authority, Pennsylvania and New Jersey, Revenue Bonds, Port District    1/10 at 100.00    AAA    10,658,211 
     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    8,679,840 
     Bonds, County Correctional Facility Project, Series 2000, 6.000%, 10/01/25 (Pre-refunded             
     10/01/10) – FGIC Insured             
    Essex County, New Jersey, General Obligation Bonds, Series 2005A:             
2,065     5.000%, 5/01/24 – MBIA Insured    5/15 at 100.00    Aaa    2,160,919 
3,030     5.000%, 5/01/25 – MBIA Insured    5/15 at 100.00    Aaa    3,166,259 
500    Middlesex County Improvement Authority, New Jersey, Senior Revenue Bonds, Heldrich Center    No Opt. Call    Baa3    502,880 
     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–    3,881,208 
2,000     5.250%, 9/01/26    9/15 at 100.00    AA–    2,113,040 
1,500    New Jersey Educational Facilities Authority, Revenue Bonds, Princeton University, Series    7/15 at 100.00    AAA    1,565,175 
     2005A, 5.000%, 7/01/30             
5,315    New Jersey Housing and Mortgage Finance Agency, Home Buyer Program Revenue Bonds, Series    10/07 at 101.50    AAA    5,443,889 
     1997U, 5.850%, 4/01/29 – MBIA Insured (Alternative Minimum Tax)             
    New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2003C:             
5,000     5.500%, 6/15/19 (Pre-refunded 6/15/13)    6/13 at 100.00    AAA    5,485,850 
5,410     5.500%, 6/15/20 (Pre-refunded 6/15/13)    6/13 at 100.00    AAA    5,935,690 
9,250     5.500%, 6/15/23 (Pre-refunded 6/15/13)    6/13 at 100.00    AAA    10,148,823 
3,850    New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2006A,    No Opt. Call    AA–    4,202,083 
     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    4,433,189 
7,585     6.000%, 1/01/14 – MBIA Insured (ETM)    No Opt. Call    AAA    8,588,951 
2,500    New Jersey Turnpike Authority, Revenue Bonds, Series 2003A, 5.000%, 1/01/19 – FGIC Insured    7/13 at 100.00    AAA    2,621,650 
9,130    New Jersey Turnpike Authority, Revenue Bonds, Series 2005A, 5.000%, 1/01/25 – FSA Insured    1/15 at 100.00    AAA    9,495,200 
82,855    Total New Jersey            89,082,857 
    New Mexico – 0.8% (0.5% of Total Investments)             
825    New Mexico Mortgage Finance Authority, Single Family Mortgage Program Bonds, Series 2000D-2,    3/10 at 102.50    AAA    835,222 
     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    6,479,661 
     1997, 6.000%, 2/01/27 – FSA Insured             
6,410    Total New Mexico            7,314,883 
    New York – 20.4% (13.3% of Total Investments)             
1,145    Dormitory Authority of the State of New York, Revenue Bonds, Mental Health Services Facilities    2/15 at 100.00    AAA    1,191,373 
     Improvements, Series 2005B, 5.000%, 2/15/24 – AMBAC Insured             
    Dormitory Authority of the State of New York, Revenue Bonds, University of Rochester,             
    Series 2004A:             
1,025     5.250%, 7/01/20    7/14 at 100.00    A+    1,087,248 
1,000     5.250%, 7/01/22    7/14 at 100.00    A+    1,058,670 
500     5.250%, 7/01/24    7/14 at 100.00    A+    527,960 
1,995    Dormitory Authority of the State of New York, State and Local Appropriation Lease Bonds,    7/14 at 100.00    AA–    2,116,156 
     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    2,431,949 
     2005F, 5.000%, 3/15/24 – AMBAC Insured             
6,000    Liberty Development Corporation, New York, Goldman Sachs Headquarter Revenue Bonds, Series    No Opt. Call    Aa3    6,586,500 
     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    A– (4)    14,087,892 
     5.250%, 12/01/26 (Pre-refunded 6/01/08)             
    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    7,329,070 
5,000     5.000%, 12/01/24 – FGIC Insured    6/16 at 100.00    AAA    5,226,950 
4,500    Metropolitan Transportation Authority, New York, Transportation Revenue Bonds, Series 2005B,    11/15 at 100.00    AAA    4,663,800 
     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    7,601,502 
     5.000%, 11/15/30             
3,000    Metropolitan Transportation Authority, New York, Transportation Revenue Refunding Bonds,    11/12 at 100.00    AAA    3,167,910 
     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    Aa2    2,332,029 
2,050     5.250%, 7/01/21    7/14 at 100.00    Aa2    2,183,968 
2,420     5.250%, 7/01/22    4/14 at 100.00    Aa2    2,580,325 
1,370     5.250%, 7/01/24    4/14 at 100.00    Aa2    1,456,968 
1,250    New York City Municipal Water Finance Authority, New York, Water and Sewerage System Revenue    6/15 at 100.00    AAA    1,302,200 
     Bonds, Fiscal Series 2005C, 5.000%, 6/15/25 – MBIA Insured             
4,250    New York City Municipal Water Finance Authority, New York, Water and Sewerage System Revenue    6/16 at 100.00    AA+    4,398,793 
     Bonds, Fiscal Series 2006D, 5.000%, 6/15/29             
    New York City Sales Tax Asset Receivable Corporation, New York, Dedicated Revenue Bonds, Local             
    Government Assistance Corporation, Series 2004A:             
10,000     5.000%, 10/15/22 – MBIA Insured    10/14 at 100.00    AAA    10,475,500 
4,825     5.000%, 10/15/24 – MBIA Insured    10/14 at 100.00    AAA    5,040,871 
1,665     5.000%, 10/15/25 – MBIA Insured    10/14 at 100.00    AAA    1,735,996 
12,500    New York City, New York, General Obligation Bonds, Fiscal Series 2003D, 5.250%, 10/15/22    10/13 at 100.00    AA–    13,161,000 
4,960    New York City, New York, General Obligation Bonds, Fiscal Series 2003J, 5.500%, 6/01/23    6/13 at 100.00    AA–    5,292,221 
40    New York City, New York, General Obligation Bonds, Fiscal Series 2003J, 5.500%, 6/01/23    6/13 at 100.00    AA– (4)    43,892 
     (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–    6,348,300 
7,960    New York City, New York, General Obligation Bonds, Fiscal Series 2005M, 5.000%, 4/01/24    4/15 at 100.00    AA–    8,205,088 
650    New York Counties Tobacco Trust I, Tobacco Settlement Pass-Through Bonds, Series 2000B,    6/10 at 101.00    BBB    690,001 
     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    1,494,815 
     6.500%, 6/01/35 (Pre-refunded 6/01/10)             
    New York State Thruway Authority, General Revenue Bonds, Series 2005G:             
3,770     5.000%, 1/01/25 – FSA Insured    7/15 at 100.00    AAA    3,928,151 
5,980     5.000%, 1/01/26 – FSA Insured    7/15 at 100.00    AAA    6,217,466 
    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    5,252,900 
2,000     5.000%, 4/01/22 – AMBAC Insured    10/15 at 100.00    AAA    2,096,520 
3,000    New York State Thruway Authority, State Personal Income Tax Revenue Bonds, Series 2005A,    3/15 at 100.00    AAA    3,164,190 
     5.000%, 3/15/19 – FSA Insured             
7,400    New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and    6/10 at 100.00    AA–    7,794,494 
     State Contingency Contract-Backed Bonds, Series 2003A-1, 5.500%, 6/01/16             
14,000    New York State Urban Development Corporation, Service Contract Revenue Bonds, Correctional and    1/17 at 100.00    AA–    14,856,520 
     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    6,685,131 
     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    2,082,260 
     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    5,175,450 
     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    2,810,902 
     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    9,825,570 
     Series 2002B, 5.000%, 11/15/22             
184,800    Total New York            193,708,501 
    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+    6,073,903 
3,475     5.250%, 6/01/23    6/13 at 100.00    AA+    3,646,422 
1,000    Gaston County Industrial Facilities and Pollution Control Financing Authority, North Carolina,    8/15 at 100.00    N/R    1,048,460 
     National Gypsum Company Project Exempt Facilities Revenue Bonds, Series 2005, 5.750%, 8/01/35             
     (Alternative Minimum Tax)             
10,260    Total North Carolina            10,768,785 
    North Dakota – 1.1% (0.7% of Total Investments)             
9,650    Dickinson, North Dakota, Health Care Facilities Revenue Bonds, BHS Long Term Care Inc.,    2/10 at 102.00    AA    10,894,464 
     Series 1990, 7.625%, 2/15/20 – RAAI Insured             
    Ohio – 2.0% (1.3% of Total Investments)             
4,265    Franklin County, Ohio, Hospital Revenue and Improvement Bonds, Children’s Hospital Project,    5/11 at 101.00    Aaa    4,606,029 
     Series 2001, 5.500%, 5/01/28 (Pre-refunded 5/01/11) – AMBAC Insured             
1,785    Marysville, Ohio, Wastewater Treatment System First Mortgage Revenue Bonds, Series 2005,    12/15 at 100.00    AAA    1,864,058 
     5.000%, 12/01/24 – MBIA Insured             
2,720    Ohio State University, General Receipts Bonds, Series 2003B, 5.250%, 6/01/20    6/13 at 100.00    AA    2,908,795 
2,000    Richland County, Ohio, Hospital Facilities Revenue Refunding Bonds, MedCentral Health System    11/10 at 101.00    A–    2,145,000 
     Obligated Group, Series 2000A, 6.125%, 11/15/16             
7,000    Steubenville, Ohio, Hospital Facilities Revenue Refunding and Improvement Bonds, Trinity    10/10 at 100.00    A3    7,568,750 
     Health System, Series 2000, 6.500%, 10/01/30             
17,770    Total Ohio            19,092,632 
    Oklahoma – 0.6% (0.4% 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–    513,890 
1,050     5.375%, 9/01/36    9/16 at 100.00    BBB–    1,076,072 
3,500    Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%,    7/15 at 100.00    AAA    3,652,075 
     7/01/24 – AMBAC Insured             
5,050    Total Oklahoma            5,242,037 
    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    2,137,456 
4,220     5.000%, 5/01/30 – FSA Insured    5/15 at 100.00    AAA    4,344,785 
2,500    Oregon State Department of Transportation, Highway User Tax Revenue Bonds, Series 2004A,    11/14 at 100.00    AA+    2,619,900 
     5.000%, 11/15/21             
8,780    Total Oregon            9,102,141 
    Pennsylvania – 5.7% (3.7% of Total Investments)             
2,440    Chester County, Pennsylvania, General Obligation Bonds, Series 2005, 5.000%, 11/15/24    5/15 at 100.00    Aa1    2,542,895 
    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+    1,430,195 
1,960     5.250%, 4/15/17    4/13 at 100.00    A+    2,076,600 
    Montgomery County Industrial Development Authority, Pennsylvania, Revenue Bonds, Hill School,             
    Series 2005:             
4,000     5.000%, 8/15/25 – MBIA Insured    8/15 at 100.00    Aaa    4,166,720 
3,550     5.000%, 8/15/26 – MBIA Insured    8/15 at 100.00    Aaa    3,692,604 
3,300     5.000%, 8/15/27 – MBIA Insured    8/15 at 100.00    Aaa    3,427,578 
1,000    Pennsylvania State University, General Revenue Bonds, Series 2005, 5.000%, 9/01/29    9/15 at 100.00    AA    1,037,280 
2,625    Pennsylvania Turnpike Commission, Turnpike Revenue Bonds, Series 2006A, 5.000%, 12/01/26 –    6/16 at 100.00    AAA    2,739,870 
     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    4,673,082 
4,735     5.000%, 9/01/22 – FSA Insured    9/14 at 100.00    AAA    4,901,861 
8,405    Philadelphia Redevelopment Authority, Pennsylvania, Multifamily Housing Mortgage Revenue    4/08 at 103.00    N/R    8,470,643 
     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    14,864,500 
     District, Series 2003, 5.250%, 6/01/24 – FSA Insured             
51,860    Total Pennsylvania            54,023,828 
    Puerto Rico – 0.2% (0.1% 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    1,552,860 
     XLCA Insured             
    South Carolina – 6.7% (4.4% of Total Investments)             
8,610    Dorchester County School District 2, South Carolina, Installment Purchase Revenue Bonds,    12/14 at 100.00    A    8,935,889 
     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–    5,363,588 
3,595     5.250%, 12/01/20    12/13 at 100.00    AA–    3,774,211 
1,865     5.250%, 12/01/21    12/13 at 100.00    AA–    1,954,389 
    Lexington County Health Service District, South Carolina, Hospital Revenue Bonds, Series 2004:             
1,805     6.000%, 5/01/19    5/14 at 100.00    A    1,971,475 
2,400     5.500%, 5/01/24    5/14 at 100.00    A    2,508,720 
1,655    South Carolina JOBS Economic Development Authority, Hospital Refunding and Improvement Revenue    8/13 at 100.00    BBB+    1,843,256 
     Bonds, Palmetto Health Alliance, Series 2003C, 6.375%, 8/01/34             
13,345    South Carolina JOBS Economic Development Authority, Hospital Refunding and Improvement Revenue    8/13 at 100.00    BBB+ (4)    15,294,171 
     Bonds, Palmetto Health Alliance, Series 2003C, 6.375%, 8/01/34 (Pre-refunded 8/01/13)             
    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    9,416,647 
7,500     6.375%, 5/15/28    5/11 at 101.00    BBB    8,040,825 
4,150     6.375%, 5/15/30    No Opt. Call    BBB    4,631,151 
58,930    Total South Carolina            63,734,322 
    Tennessee – 1.1% (0.7% of Total Investments)             
6,400    Johnson City Health and Educational Facilities Board, Tennessee, Revenue Bonds, Mountain    7/16 at 100.00    BBB+    6,683,136 
     States Health Alliance, Series 2006A, 5.500%, 7/01/36             
3,335    Tennessee Housing Development Agency, Homeownership Program Bonds, Series 2004, 5.000%,    7/13 at 100.00    AA    3,400,066 
     7/01/34 (Alternative Minimum Tax)             
9,735    Total Tennessee            10,083,202 
    Texas – 12.7% (8.3% of Total Investments)             
10,205    Alliance Airport Authority, Texas, Special Facilities Revenue Bonds, American Airlines Inc.,    12/06 at 100.00    CCC+    10,256,331 
     Series 1990, 7.500%, 12/01/29 (Alternative Minimum Tax)             
3,273    Austin Housing Finance Corporation, Texas, GNMA Collateralized Multifamily Housing Revenue    12/10 at 105.00    Aaa    3,594,212 
     Bonds, Fairway Village Project, Series 2000A, 7.375%, 6/20/35 (Alternative Minimum Tax)             
2,150    Brazos River Authority, Texas, Pollution Control Revenue Bonds, TXU Energy Company LLC    10/13 at 101.00    Baa2    2,415,009 
     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    187,268 
     Schoolhouse and Refunding Bonds, Series 2000, 6.000%, 2/15/16             
680    Harlingen Housing Finance Corporation, Texas, GNMA/FNMA Single Family Mortgage Revenue Bonds,    9/10 at 105.00    AAA    686,154 
     Series 2000A, 6.700%, 9/01/33 (Alternative Minimum Tax)             
4,295    Harris County Hospital District, Texas, Revenue Refunding Bonds, Series 1990, 7.400%,    No Opt. Call    AAA    4,590,453 
     2/15/10 – AMBAC Insured             
1,435    Harris County Hospital District, Texas, Revenue Refunding Bonds, Series 1990, 7.400%,    No Opt. Call    AAA    1,513,781 
     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    20,452,848 
     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    4,153,240 
     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    5,302,050 
     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    6,400,980 
     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    9,690,023 
     FSA Insured             
    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–    2,056,320 
2,500     5.125%, 8/15/26    No Opt. Call    BBB–    2,501,800 
1,505    Lower Colorado River Authority, Texas, Contract Revenue Refunding Bonds, Transmission Services    5/13 at 100.00    AAA    1,587,760 
     Corporation, Series 2003C, 5.250%, 5/15/23 – AMBAC Insured             
3,400    Lower Colorado River Authority, Texas, Revenue Refunding and Improvement Bonds, Series 2003,    5/13 at 100.00    AAA    3,593,936 
     5.250%, 5/15/24 – AMBAC Insured             
2,000    Sabine River Authority, Texas, Pollution Control Revenue Bonds, TXU Electric Company, Series    11/15 at 100.00    Baa2    2,039,560 
     2001C, 5.200%, 5/01/28             
10,810    Tarrant County Health Facilities Development Corporation, Texas, GNMA Collateralized Mortgage    12/10 at 105.00    Aaa    12,083,742 
     Loan Revenue Bonds, Eastview Nursing Home, Ebony Lake Nursing Center, Ft. Stockton Nursing             
     Center, Lynnhaven Nursing Center and Mission Oaks Manor, Series 2000A-             
4,000    Tarrant County Health Facilities Development Corporation, Texas, Hospital Revenue Bonds,    11/10 at 101.00    A+ (4)    4,476,200 
     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    5,315,300 
     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    4,187,640 
     (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    10,588,000 
     2002A, 0.000%, 8/15/24 – AMBAC Insured             
2,500    Tomball Hospital Authority, Texas, Hospital Revenue Bonds, Tomball Regional Hospital, Series    7/15 at 100.00    Baa3    2,494,925 
     2005, 5.000%, 7/01/20             
128,303    Total Texas            120,167,532 
    Utah – 0.1% (0.1% of Total Investments)             
1,190    Utah Housing Finance Agency, Single Family Mortgage Bonds, Series 1997F, 5.750%, 7/01/28    7/07 at 101.50    AAA    1,215,014 
     (Alternative Minimum Tax)             
    Virginia – 0.5% (0.4% of Total Investments)             
4,835    Virginia Beach Development Authority, Virginia, Multifamily Residential Rental Housing Revenue    10/14 at 100.00    N/R    5,151,209 
     Bonds, Mayfair Apartments I and II, Series 1999, 7.500%, 10/01/39 (Alternative Minimum Tax)             
    Washington – 6.3% (4.1% of Total Investments)             
2,500    Energy Northwest, Washington, Electric Revenue Refunding Bonds, Columbia Generating Station –    7/12 at 100.00    AAA    2,723,575 
     Nuclear Project 2, Series 2002C, 5.750%, 7/01/17 – MBIA Insured             
    Public Utility District 1, Chelan County, Washington, Revenue Bonds, Chelan Hydro Consolidated             
    System, Series 1997A:             
11,820     5.650%, 7/01/32 (Mandatory put 7/01/24) (Alternative Minimum Tax)    7/07 at 102.00    AA    12,088,905 
8,000     5.650%, 7/01/32 (Mandatory put 7/01/27) (Alternative Minimum Tax)    7/07 at 102.00    AA    8,170,640 
3,125    Skagit County Public Hospital District 1, Washington, General Obligation Bonds, Series 2004A,    6/14 at 100.00    Aaa    3,370,500 
     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    5,214,250 
     12/01/26 – MBIA Insured             
9,350    Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series    7/07 at 102.00    Aaa    9,642,749 
     1997A, 5.250%, 7/01/15             
7,775    Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series    7/08 at 102.00    Aaa    8,039,039 
     1998A, 5.125%, 7/01/18             
4,750    Washington State Healthcare Facilities Authority, Revenue Bonds, Swedish Health Services,    11/08 at 101.00    Aaa    4,877,348 
     Series 1998, 5.125%, 11/15/22 – AMBAC Insured             
11,000    Washington, General Obligation Bonds, Series 2000S-5, 0.000%, 1/01/20 – FGIC Insured    No Opt. Call    AAA    5,897,980 
63,320    Total Washington            60,024,986 
    Wisconsin – 3.0% (1.9% of Total Investments)             
    Milwaukee Redevelopment Authority, Wisconsin, Lease Revenue Bonds, Public Schools,             
    Series 2003A:             
1,000     5.125%, 8/01/22 – AMBAC Insured    8/13 at 100.00    AAA    1,041,930 
1,345     5.125%, 8/01/23 – AMBAC Insured    8/13 at 100.00    AAA    1,399,755 
1,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Agnesian Healthcare    7/11 at 100.00    A–    1,055,760 
     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+    9,879,750 
     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    2,322,226 
     Series 2001, 6.125%, 10/01/16             
790    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Divine Savior    5/16 at 100.00    BBB    774,800 
     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    A–    6,473,983 
     Christian Charity Healthcare Ministry, Series 2003A, 6.000%, 9/01/22             
2,000    Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan    8/13 at 100.00    A    2,050,660 
     Services Inc., Series 2003A, 5.250%, 8/15/25             
    Wisconsin, General Obligation Bonds, Series 2004-3:             
1,720     5.250%, 5/01/19 – FGIC Insured    5/14 at 100.00    AAA    1,838,302 
1,265     5.250%, 5/01/21 – FGIC Insured    5/14 at 100.00    AAA    1,349,768 
26,320    Total Wisconsin            28,186,934 
    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–    4,077,879 
     5.600%, 12/01/35 (Alternative Minimum Tax)             
$     1,487,045    Total Investments (cost $1,400,590,404) – 153.5%            1,455,134,160 
    Other Assets Less Liabilities – 1.9%            17,710,924 
    Preferred Shares, at Liquidation Value – (55.4)%            (525,000,000) 
    Net Assets Applicable to Common Shares – 100%           $   947,845,084 

(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)    On December 9, 2002, UAL Corporation, the holding company of United Air Lines, Inc., filed for federal 
    bankruptcy protection. The Adviser determined that it was likely United would not remain current on 
    their interest payment obligations with respect to these bonds and thus has stopped accruing interest. 
(6)    Investment valued at fair value using methods determined in good faith by, or at the discretion of, 
    the Board of Trustees. 
N/R    Not rated. 
(ETM)    Escrowed to maturity. 

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.

At July 31, 2006, the cost of investments was $1,399,489,623.

Gross unrealized appreciation and gross unrealized depreciation of investments at July 31, 2006, were as follows:

Gross unrealized:     
  Appreciation    $59,297,539 
  Depreciation    (3,653,002) 
Net unrealized appreciation (depreciation) of investments    $55,644,537 

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/ Jessica R. Droeger                     
                                                    Jessica R. Droeger
                                                    Vice President and Secretary

Date         September 28, 2006        

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

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

Date         September 28, 2006        

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

Date        September 28, 2006        

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