ATO Atmos Energy Corp

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Table of Contents

Letter to Shareholders

Portfolio Managers’ Comments

Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.

Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A, and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.

Portfolio managers Christopher Drahn, CFA, Michael Hamilton and Douglas White, CFA, review key investment strategies and the Funds’ performance during the six months ending November 30, 2012. Chris has managed the Nuveen Minnesota Intermediate Municipal Bond Fund since 1994, Doug has managed the Nuveen Minnesota Municipal Bond Fund since 1988 and the Nuveen Nebraska Municipal Bond Fund since 2011 and Michael has managed the Nuveen Oregon Intermediate Municipal Bond Fund since 1997.

How did the Funds perform during the six-month period ending November 30, 2012?

The tables in the Fund Performance and Expense Ratios section of this report provide Class A Share total returns for the Funds for the six-month, one-year, five-year and ten-year periods ending November 30, 2012. The tables also compare these returns to each Fund’s benchmark index and its appropriate Lipper classification average.

During the past six months, the Class A Shares at net asset value (NAV) of the Nuveen Minnesota Intermediate Municipal Bond Fund lagged the S&P Municipal Bond Intermediate Index and performed in line with the Barclays 1–15 Year Blend Municipal Bond Index, while outperforming the Lipper Other States Intermediate Municipal Debt Funds Classification Average. The Class A Shares at NAV of the Nuveen Oregon Intermediate Municipal Bond Fund trailed all three of these performance measures. Please note that both Funds’ primary index was changed. Previously, the Funds used the Barclays 1-15 Year Blend Municipal Bond Index as their primary benchmark. The Funds are now compared to the S&P Municipal Bond Intermediate Index because it more closely reflects the Funds’ investment universe. There have been no changes to the way the Funds are managed.

Meanwhile, both the Nuveen Minnesota Municipal Bond Fund and Nuveen Nebraska Municipal Bond Fund outperformed S&P Municipal Bond Index, the Barclays Municipal Bond Index, as well as their respective Lipper classification averages, the Lipper Minnesota Municipal Debt Funds Classification Average and the Lipper Other States Municipal Debt Funds Classification Average. Please note that both Funds’ primary index have also changed. Previously, the Funds used the Barclays Municipal Bond Index as their national benchmark. The Funds are now compared to the S&P Municipal Bond Index because it more closely reflects the Funds’ investment universe. There have been no changes to the way the Funds are managed.

What strategies were used to manage the Funds during the reporting period? How did these strategies influence performance?

All of the Funds continued to employ the same fundamental investment strategies and tactics long relied upon by Nuveen Asset Management. Our municipal bond portfolios

are managed with a value oriented approach and close input from Nuveen Asset Management’s research team. Below we highlight the specific factors influencing each Fund’s investment strategy, as well as how we managed each portfolio in light of recent market conditions.

Nuveen Minnesota Intermediate Municipal Bond Fund

During the reporting period, the Nuveen Minnesota Intermediate Municipal Bond Fund underperformed the S&P Municipal Bond Intermediate Index. The pursuit of yield in this historically low interest rate environment prompted many investors to take on the credit risk of lower quality bonds in exchange for their higher rates of income, which in turn lifted lower rated bonds’ prices relative to higher-grade. The portfolio’s underweighting in the market’s highest quality bonds, consisting of issues with credit ratings of AAA and AA, along with its slight overweight in A-rated, BBB-rated and non-rated bonds, added to the Fund’s performance. This preference worked against the market sectors that typically feature many high quality securities and thus had a somewhat positive impact on performance since the Fund was overweight in lower investment grade holdings.

For example, the Fund was overweight in two sectors that tend to offer a high volume of lower investment-grade rated, higher yielding issuance, health care and higher education, which made a small contribution. Conversely, the Fund was hampered by being underweight in corporate-backed industrial development revenue bonds, another category featuring many lower rated securities. The portfolio was also hindered by its allocation to pre-refunded bonds, which trailed the overall bond market owing to the securities’ very short maturities and high credit quality.

One positive factor contributing to the Fund’s results was the beneficial duration positioning, meaning the Fund was more sensitive than the benchmark to the helpful effects of falling interest rates. Relative to the Index, the Fund had slightly more exposure to bonds with longer intermediate maturities, as well as a modestly smaller allocation to the shorter intermediate part of the curve. Both stances were advantageous, as longer bonds generally outperformed shorter issues during the period. Tempering the Fund’s duration related outperformance, however, was a small overweighting in the shortest dated securities with maturities of two years and less, whose performance was especially subdued.

To finance our purchases for the Fund during the six-month reporting period, we primarily used the proceeds of bond calls and maturities, as well as new investment inflows from shareholders, and so there was very little need to sell securities. Our purchases generally took place in the primary (new-issue) municipal bond market, while the secondary market afforded opportunities to make smaller purchases, often adding to our positions of bonds already owned in the portfolio.

A number of our new purchases were general obligation (GO) bonds. Because of some unique characteristics of the Minnesota tax-exempt bond market, it is relatively straightforward to issue GO debt in this state, sometimes resulting in a healthy supply of these types of securities. In fact, we found a number of GO bonds offering what we saw as good value, especially in the intermediate portion of the yield curve. One notable series of GO purchases involved securities issued by Moorhead, Minnesota, with maturity

dates ranging from 2021 to 2025 and a Moody’s credit rating of Aa3. In addition, we bought a variety of AA-rated school-district GO bonds.

Other bond purchases during the period included issues that fund senior housing, higher education and electric utility projects, as well as a Minneapolis/St. Paul Metropolitan Airport bond deal. Notwithstanding the above, demand was very strong for Minnesota tax-exempt debt throughout the period, making investment at consistently advantageous prices difficult. Of final note, it became clear in November that a large Minnesota tobacco-securitization bond deal issued in 2011 would be called on December 1, 2012, the day after the close of the reporting period. The bonds were strong performers for the Fund over the life of the issue.

Nuveen Minnesota Municipal Bond Fund

Favorable duration positioning helped the Nuveen Minnesota Municipal Bond Fund outperform the S&P Municipal Bond Index. The Fund’s longer duration increased its sensitivity to interest rate changes, which had a positive influence on relative performance as interest rates fell during the period. With rates on longer bonds falling to a greater extent than rates on shorter bonds, the Fund was well situated, with longer dated securities being overweight. At the same time, the Fund’s more limited exposure to shorter maturity debt also contributed to good results on a relative basis.

To a lesser degree, advantageous credit quality positioning added to the Fund’s performance compared to the index. Due to investors’ desire for income in an environment of low yields, lower rated, higher income producing bonds tended to outperform their higher rated, lower coupon counterparts. Accordingly, the Fund’s elevated exposure to A-rated, BBB-rated and non-rated issues was helpful for results, as was our continued underweighting in the market’s highest rated securities — those with credit ratings of AAA and AA.

The Fund benefited from its greater exposure to several sectors that did well during the six-month period. Specifically, health care was overweight in the Fund and many of the portfolio’s individual positions generated especially good results. Also, the Fund was helped by its sole position in the tobacco sector, a sizeable allocation to Minnesota tobacco bond issues that we purchased in 2011. Because of the securities’ relatively short call date, they featured a very attractive call price to compensate investors for the risk that the bonds could be called. In fact, the issuer recently announced the bonds would be called on December 1, 2012 and, as a result, these securities were significant contributors to the Fund’s performance during the period.

In addition, the Fund was helped by being underweight in two groups that lagged the market as a result of their generally higher credit quality, state and local GO bonds and pre-refunded bonds, the latter of which tend to be among the market’s highest quality and shortest duration securities. Having these characteristics weighed on their results, as market conditions tended to favor bonds displaying the opposite qualities. On the other hand, one area of the market that had a negative impact on relative performance was being overweight in public power bonds, a sector that trailed the index.

Amid improved supply in the tax-exempt Minnesota bond market, we had relatively more choices of new bonds to add to the portfolio, given the healthy amount of new shareholder cash coming into the Fund that required investment. These inflows, along with the proceeds of bond calls and maturities, financed our purchases throughout the period.

Because the Fund was already overweight in the sectors that we found most attractive, we were able to diversify new portfolio additions across multiple sectors and maturity ranges. The vast majority of our new bond purchases for the Fund had maturities ranging from eight to thirty years and took place across a wide variety of revenue bond sectors, including education, corporate backed, life care and airports. We also added to the Fund’s GO debt allocation. As a result of these purchases, the Fund’s allocation to BBB-rated debt rose modestly, as did the portfolio’s AAA-rated bond exposure, while the percentage of the Fund’s AA-rated bond positions rose somewhat more and A-rated bond positions slightly declined.

Nuveen Nebraska Municipal Bond Fund

The Nuveen Nebraska Municipal Bond Fund outperformed the S&P Municipal Bond Index, in part because of helpful duration and yield curve positioning. Specifically, the portfolio’s increased allocation to bonds on the long end of the curve proved beneficial, given that longer bonds gained from declining interest rates more notably than shorter bonds. The Fund began the period with a longer duration than the benchmark, but that gap narrowed as the period progressed, although the Fund still finished the six-month time frame with more interest rate sensitivity than the index.

To a lesser degree, the Fund’s credit quality breakdown was another positive performance factor. In relation to the index, the Fund benefited from having more exposure to bonds rated A, the top performing credit quality segment of the investment-grade bond universe during the period and having a lower relative allocation to AAA-rated bonds, which did not appreciate as much as lower rated issues did.

Meanwhile, the Fund’s sector positioning had a mixed impact on performance. The Fund benefited by being overweight in the education and health care sectors, while good performance from the individual bonds we chose within those groups further added to results. Favorable security selection within the electric utility category also contributed positively. Among the Fund’s holdings in GO bonds, a relative underweighting to state GO issues proved effective, but our underweighting in local GO bonds had a negative impact, as many of these securities had lower credit ratings and therefore gained from investors’ desire to take on more credit risk in exchange for higher income. The Fund was overweight in the housing bond sector which proved a detriment to performance. Housing bonds often underperform during falling interest rate environments because lower rates increase the risk of mortgage prepayments.

We saw a substantial level of new shareholder cash coming into the portfolio, which meant that one of our primary tasks during the reporting period was to keep the Fund fully invested. We did not need to sell securities to accomplish our purchasing objectives, instead utilizing these shareholder inflows, as well as proceeds from bond calls and maturities.

Although we were successful in adding new bonds, the Nebraska municipal bond market is relatively small, so our purchases tended to reflect what securities were available at those times. During the period, our purchases increased the Fund’s exposure to the public power, higher education and hospital bond sectors, all of which were overweight in the Fund to various degrees at the end of the period. As a result of our purchases, the

Fund’s allocation to A-rated and AA-rated bonds rose modestly, while its AAA weighting decreased modestly and its BBB and non-rated exposure remained essentially unchanged.

Nuveen Oregon Intermediate Municipal Bond Fund

During the six-month reporting period, the Nuveen Oregon Intermediate Municipal Bond Fund lagged the S&P Municipal Bond Intermediate Index. Sector positioning was a key factor behind the Fund’s underperformance. Specifically, the Fund was overweight in local GO bonds, which trailed the index because many of these issues had relatively high credit ratings and were unattractive to investors seeking lower rated, higher yielding investments. While overweight Oregon health care bonds, a sector that performed well throughout the period, the health care credits held in the Fund did not participate fully in the price appreciation, hampering results from this sector. Many of the health care credits held in the Fund had shorter calls, thus, a shorter duration. An overweighting in higher education bonds added to performance on a relative basis. Among utilities, the Fund was hurt by a position in Puerto Rico Electric Power Authority revenue bonds, which underperformed when evidence of weakness in Puerto Rico’s financial condition emerged, causing the bonds to lose some of their value.

On the positive side, the Fund slightly benefited from its duration positioning, meaning its sensitivity to movements in interest rates. As the yield curve flattened, indicating that rates on longer bonds dropped to a greater extent than rates on shorter bonds, it was helpful to have more exposure to securities with longer durations within the intermediate universe we focus on in this portfolio. As a result, the Fund’s increased allocation to bonds with durations of eight years and longer provided a small but effective impact on relative performance. At the same time, however, the Fund was overweight in the market’s shortest maturity bonds, those with durations of two years and less and this was an offsetting negative. As mentioned earlier, lower rated bonds outperformed higher rated bonds during the period as investors sought the higher income; thus an underweighting to bonds rated AA was beneficial to the portfolio. While slightly underweight A-rated securities, the duration of the bonds held was longer than the index, thus, the Fund benefited.

Throughout the period, as new cash came into the portfolio from the proceeds of bond calls, bond maturities and new shareholder investments, we focused on purchasing bonds that we believed provided good value for our investors while supporting our management objectives. Bond supply in Oregon was relatively limited, so new purchases reflected the best available opportunities when we had funds to invest. We targeted bonds with credit ratings of A and maturities of 8 to 12 years, representing the portion of the yield curve where we believed the risk/reward trade-off was most favorable. During the period, a number of our new purchases were from the health care sector, where we bought some lower investment-grade rated health care and non-rated continuing care retirement center bonds. In addition, to keep the Fund invested amid modest supply, we added a few bonds with relatively short call dates and also bonds of U.S. territories, which are generally fully tax-exempt for residents of all 50 states. Territorial bond purchases during the period included some U.S. Virgin Islands gross receipts tax bonds, which provided what we believed was an attractive yield, as well as a small position in Puerto Rico higher education issues.

Risk Considerations

Mutual fund investing involves risk; principal loss is possible. Debt or fixed income securities such as those held by the fund, are subject to market risk, credit risk, interest rate risk, call risk, state concentration risk, tax risk and income risk. As interest rates rise, bond prices fall. Credit risk refers to an issuers ability to make interest and principal payments when due. Below investment grade or high yield debt securities are subject to liquidity risk and heightened credit risk. The fund’s use of inverse floaters creates effective leverage. Leverage involves the risk that the fund could lose more than its original investment and also increases the fund’s exposure to volatility and interest rate risk.

Dividend Information

All share classes of the Nuveen Minnesota Intermediate Municipal Bond Fund and the Nuveen Nebraska Municipal Bond Fund experienced one monthly dividend reduction, as well as the Class A, B and I Shares of the Nuveen Minnesota Municipal Bond Fund. The Class I Shares of the Nuveen Minnesota Municipal Bond Fund experienced one monthly dividend increase. While all share classes of the Nuveen Oregon Intermediate Municipal Bond Fund and the Class C1 Shares of the Minnesota Municipal Bond Fund experienced two monthly dividend reductions.

Each Fund seeks to pay dividends at a rate that reflects the past and projected performance of the Fund. To permit a Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If the Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if the Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. Each Fund will, over time, pay all its net investment income as dividends to shareholders. As of November 30, 2012, all four Funds had positive UNII balance, based upon our best estimate, for tax purposes. The Minnesota Intermediate and Minnesota Municipal Bond Funds had positive UNII balances and the Nebraska and Oregon Intermediate Municipal Bond Funds had negative UNII balances for financial reporting purposes.

Fund Performance and Expense Ratios

The Fund Performance and Expense Ratios for each Fund are shown on the following four pages.

Returns quoted represent past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance shown. Investment returns and principal value will fluctuate so that when shares are redeemed, they may be worth more or less than their original cost. Returns without sales charges would be lower if the sales charge were included. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. Income is generally exempt from regular federal income taxes. Some income may be subject to state and local income taxes and to the federal alternative minimum tax. Capital gains, if any, are subject to tax.

Returns may reflect a contractual agreement between certain Funds and the investment adviser to waive certain fees and expenses; see Notes to Financial Statements, Footnote 7 — Management Fees and Other Transactions with Affiliates for more information. In addition, returns may reflect a voluntary expense limitation by the Funds’ investment adviser that may be modified or discontinued at any time without notice. For the most recent month-end performance visit www.nuveen.com or call (800) 257-8787.

Returns reflect differences in sales charges and expenses, which are primarily differences in distribution and service fees. Fund returns assume reinvestment of dividends and capital gains.

Comparative index and Lipper return information is provided for the Funds’ Class A Shares at net asset value (NAV) only.

The expense ratios shown reflect the Funds’ total operating expenses (before fee waivers and/or expense reimbursements, if any) as shown in the Funds’ most recent prospectus. The expense ratios include management fees and other fees and expenses.

Fund Performance and Expense Ratios (continued)

Nuveen Minnesota Intermediate Municipal Bond Fund

Refer to the first page of this Fund Performance and Expense Ratios section for further explanation of the information included within this page.

Fund Performance

Average Annual Total Returns as of November 30, 2012*

Average Annual Total Returns as of December 31, 2012 (Most Recent Calendar Quarter)*