A lithographic projection apparatus includes a projection system having a last element from which an exposure light is projected onto a wafer through liquid in a space under the last element. A light incident surface of the last element has a convex shape. A liquid retaining member is disposed adjacent to a surface of the last element through which the exposure light does not pass. The liquid retaining member has an undersurface under which liquid is retained. A gap is formed between the liquid retaining member and the surface of the last element, the gap being in fluidic communication with the space. The liquid is retained between the last element and the undersurface of the liquid retaining member on one side and an upper surface of the wafer on the other side. The liquid locally covers a portion of the upper surface of the wafer.