UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7056
---------------------
Nuveen Select Maturities Municipal Fund
------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Jessica R. Droeger
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
-------------------
Date of fiscal year end: March 31
------------------
Date of reporting period: September 30, 3004
------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
SEMIANNUAL REPORT September 30, 2004
Nuveen Investments
Municipal Closed-End
Exchange-Traded
Funds
Nuveen Select Maturities Municipal Fund
NIM
Photo of: Man and woman sitting on porch.
Photo of: 2 children sitting in the grass.
Dependable, tax-free income because IT'S NOT WHAT YOU EARN, IT'S WHAT YOU
KEEP.(R)
Logo: NUVEEN Investments
Photo of: Woman
Photo of: Man and child
Photo of: Woman
NOW YOU CAN RECEIVE YOUR
NUVEEN FUND REPORTS FASTER.
NO MORE WAITING.
SIGN UP TODAY TO RECEIVE NUVEEN FUND INFORMATION BY E-MAIL.
It only takes a minute to sign up for E-Reports. Once enrolled, you'll receive
an e-mail as soon as your Nuveen Investments Fund information is ready -- no
more waiting for delivery by regular mail. Just click on the link within the
e-mail to see the report, and save it on your computer if you wish.
------------------
DELIVERY DIRECT TO
YOUR E-MAIL INBOX
------------------
IT'S FAST, EASY & FREE:
WWW.INVESTORDELIVERY.COM
if you get your Nuveen Fund dividends
and statements from your financial
advisor or brokerage account.
OR
WWW.NUVEEN.COM/CORPORATE/ENROLLMENT
if you get your Nuveen Fund dividends
and statements directly from Nuveen.
(Be sure to have the address sheet that accompanied this report handy. You'll
need it to complete the enrollment process.)
Logo: NUVEEN Investments
Timothy R. Schwertfeger
Chairman of the Board
Photo of: Timothy R. Schwertfeger
Chairman's
LETTER TO SHAREHOLDERS
Once again, I am pleased to report that over the most recent reporting period
your Fund continued to provide you with monthly tax-free income and an
attractive total return. For more specific information about the performance of
your Fund, please see the Portfolio Manager's Comments and Performance Overview
sections of this report.
With longer-term interest rates still relatively low, many investors have begun
to wonder whether these rates will soon begin to rise, and whether that makes
this the time to adjust their holdings of fixed-income investments. No one knows
what the future will bring, which is why we think a well-balanced portfolio that
is structured and carefully monitored with the help of an investment
professional is an
--------------------------------------------------------------------------------
"OUR MISSION CONTINUES TO BE TO ASSIST YOU AND YOUR FINANCIAL ADVISOR BY
OFFERING THE INVESTMENT SERVICES AND PRODUCTS THAT CAN HELP YOU TO SECURE YOUR
FINANCIAL OBJECTIVES."
--------------------------------------------------------------------------------
important component in achieving your long-term financial goals. A
well-diversified portfolio that includes fixed-income investments with a variety
of maturities may actually help to reduce your overall investment risk. We
believe that a municipal bond investment with intermediate-term characteristics
like this Nuveen Fund can be an important building block in a portfolio designed
to perform well through a variety of market conditions.
As in past reports, I'd also like to direct your attention to the inside front
cover, which explains the quick and easy process to begin receiving Fund reports
via e-mail and the internet. Thousands of Nuveen Fund shareholders have already
signed-up, and they are getting their Fund information faster and more
conveniently than ever. I urge you to consider joining them.
At Nuveen Investments, our mission continues to be to assist you and your
financial advisor by offering the investment services and products that can help
you to secure your financial objectives. We are grateful that you have chosen us
as a partner as you pursue your financial goals, and we look forward to
continuing to earn your trust in the months and years ahead.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
November 15, 2004
Nuveen Select Maturities Municipal Fund
NIM
Portfolio Manager's
PERSPECTIVE
Portfolio manager John Miller reviews the economy and market environment, key
investment strategies and the performance of the Fund. With 11 years of
municipal market experience, including 8 years with Nuveen, John has managed NIM
since 2001.
WHAT FACTORS AFFECTED THE U.S. ECONOMY AND MUNICIPAL MARKET DURING THE
SEMIANNUAL REPORTING PERIOD ENDED SEPTEMBER 30, 2004?
During this six-month period, the U.S. economy demonstrated improvement in a
number of key areas, although the pace of recovery slowed compared with that of
the previous six months. After posting GDP (gross domestic product) annualized
growth above 4% in the previous two quarters, economic growth in the second
quarter of 2004 moderated to 3.3% (annualized). Slower job growth and higher oil
prices held GDP growth to an annualized rate of 3.7% in the third quarter of
2004.
Higher energy costs were also partially responsible for some increased
speculation about a rise in the rate of inflation. The Consumer Price Index rose
at a 4.8% annualized rate in the second quarter of 2004 before slowing to a 0.6%
annual growth rate in the third quarter. These inflation concerns, along with
the pace of economic recovery and continued geopolitical uncertainty, acted as
catalysts for heightened volatility in the fixed-income markets during this
reporting period.
As one example, the yield on the Bond Buyer 25 Revenue Bond Index (BB25), a
widely followed municipal bond index, stood at 4.91% when this reporting period
began on April 1, 2004. As a series of improved employment reports sparked
increased anticipation that the Federal Reserve might move to raise short-term
interest rates, the index yield began to climb, rising to 5.45% by May 13, 2004.
By the end of September 2004, more bond-friendly news--including indications of
slower economic growth and relatively benign inflation--had prompted a retreat
to 5.02%.
While intermediate and long-term interest rates were moving up and then down,
short-term rates rose. The Federal Reserve introduced three one-quarter-point
increases in the fed funds rate between June and September 2004, raising the
target rate by a total of 75 basis points to 1.75%. As a result, we saw some
flattening of the yield curve (i.e., short-term rates started to approach the
much-higher long-term rates). The Fed continued to
4
note that it anticipated taking a "measured" approach to further tightening as a
way to promote a sustainable recovery without increasing inflationary pressures.
During this six-month period, municipal bond supply nationwide remained
relatively strong despite a decline in year-to-year issuance. More than $180
billion in new bonds came to market in the second and third quarters of 2004, a
decrease of 10% when compared with April-September 2003. In contrast to 2003,
when many states were issuing bonds to bridge budget gaps and fund operations,
an improving economy and higher tax revenues have, in general, lessened the
states' need to borrow. In September 2004 alone, national volume was down 24%
from one year earlier.
IN THIS ENVIRONMENT, WHAT KEY STRATEGIES WERE USED TO MANAGE NIM DURING THE SIX
MONTHS ENDED SEPTEMBER 30, 2004?
In keeping with the investment parameters of this Fund, the majority of our
purchase activity during this period focused on finding attractive securities in
the intermediate part of the yield curve (i.e., bonds that mature in about 10
years). Whenever possible, we sought bonds with coupons that were higher than
the prevailing market rates. We believed these so-called premium bonds offered
attractive current income and might help to moderate the risks inherent in a
rise in intermediate-term interest rates (since bond prices decline when
interest rates rise). To accommodate these purchases, we sold holdings of some
bonds with shorter maturities or relatively short call dates.
In addition to our emphasis on bonds that could provide current income and a
measure of downside protection, we also selectively looked for opportunities to
upgrade NIM's credit quality. As a result, we sold some BBB rated holdings at
what we thought were favorable prices and used the proceeds to purchase A rated
bonds. From a sector perspective, we continued to find healthcare attractive,
particularly hospital bonds. Among the additions to NIM's portfolio during this
period were A1 rated bonds issued by the Iowa Finance Authority for Genesis
Medical Center.
HOW DID THE FUND PERFORM?
Results for NIM, as well as for relevant benchmarks, are presented in the
accompanying table.
5
TOTAL RETURNS ON NET ASSET VALUE
For periods ended 9/30/04
CUMULATIVE ANNUALIZED
---------- ----------------------------
6-MONTH 1-YEAR 5-YEAR 10-YEAR
-----------------------------------------------------------------
NIM 1.95% 5.00% 3.29% 4.80%
-----------------------------------------------------------------
Lehman Brothers
7-Year Municipal
Bond Index1 0.99% 3.33% 6.41% 6.29%
-----------------------------------------------------------------
Lipper General and
Insured Unleveraged
Municipal Debt Funds
Average2 2.04% 5.86% 5.38% 6.12%
-----------------------------------------------------------------
Past performance is not predictive of future results.
For additional information, see the Performance Overview page for NIM in this
report.
For the six months ended September 30, 2004, NIM's cumulative return on net
asset value (NAV) outperformed the return of the unmanaged Lehman Brothers
index. The Fund slightly underperformed the average of the Lipper peer group,
which is comprised primarily of Funds holding longer-term bonds.
Some of NIM's relatively strong performance during this period was due to the
returns provided by specific securities within the portfolio. For example, the
Fund held $3.2 million (representing 3% of the portfolio) in bonds issued by the
Piedmont Municipal Power Agency, a South Carolina public electric power
facility. These bonds were pre-refunded during this period, which benefited the
Fund through price appreciation as well as enhancing the Fund's overall credit
quality.
Even though we were attempting to improve the credit quality of the Fund over
this period, NIM did benefit to a degree from its holdings of lower quality
bonds. Lower-rated bonds generally outperformed higher-quality securities as the
economic outlook improved over this period and demand for these bonds increased.
Among the lower-rated bonds making positive contributions to NIM's six-month
return were those issued within the healthcare sector, especially hospital
bonds. NIM's return was also helped by its holdings of bonds backed by revenues
from the 1998 master tobacco settlement agreement.
HOW ABOUT NIM'S DIVIDEND AND SHARE PRICE?
As noted earlier, our key goals over the past six months included
income-oriented strategies designed to support and potentially enhance NIM's
income stream. This emphasis helped to maintain the stability of NIM's dividend
throughout this period.
1 The Lehman Brothers 7-Year Municipal Bond Index is an unleveraged,
unmanaged index comprising a broad range of investment-grade municipal
bonds with maturities ranging from six to eight years. Results for the
Lehman index do not reflect any expenses.
2 The Lipper General and Insured Unleveraged Municipal Debt Funds category
average is calculated using the returns of all unleveraged closed-end
exchange-traded funds in this category for each period as follows: 6
months, 9 funds; 1 year, 9 funds; 5 years, 8 funds; and 10 years, 8 funds.
Fund and Lipper returns assume reinvestment of dividends.
6
NIM seeks to pay stable dividends at rates that reflect the Fund's past results
and projected future performance. During certain periods, NIM 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 a Fund has cumulatively earned
more than it has paid in dividends, it holds the excess in reserve as
undistributed net investment income (UNII) as part of the Fund's NAV.
Conversely, if a Fund has cumulatively paid dividends in excess of its earnings,
the excess constitutes negative UNII that is likewise reflected in the Fund's
NAV. NIM will, over time, pay all of its net investment income as dividends to
shareholders. As of September 30, 2004, NIM had a negative UNII balance for
purposes of its financial statements.
As of September 30, 2004, NIM was trading at a discount to its NAV. This
discount was roughly in line with the Fund's average discount over the entire
six-month reporting period.
HOW WAS NIM POSITIONED IN TERMS OF CREDIT QUALITY AND BOND CALLS AS OF SEPTEMBER
30, 2004?
Given the current geopolitical and economic climate, we continued to believe
that maintaining strong credit quality within part of the portfolio was a good
counterbalance to the Fund's exposure to lower-rated securities. As of the end
of September 2004, 58% of NIM's portfolio was rated AAA/U.S. guaranteed and AA.
At the end of September 2004, NIM's potential call exposure during 2004-2005 was
11%. The number of actual bond calls in this Fund depends largely on market
interest rates.
7
Nuveen Select Maturities Municipal Fund
NIM
Performance
OVERVIEW As of September 30, 2004
CREDIT QUALITY
(as a % of total investments)
AAA/U.S. Guaranteed 53%
AA 5%
A 20%
BBB 17%
NR 4%
BB or Lower 1%
Bar Chart:
2003-2004 MONTHLY TAX-FREE DIVIDENDS PER SHARE 2
Oct 0.0425
Nov 0.0425
Dec 0.0395
Jan 0.0395
Feb 0.0395
Mar 0.0395
Apr 0.0395
May 0.0395
Jun 0.0395
Jul 0.0395
Aug 0.0395
Sep 0.0395
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
10/1/03 $ 9.99
9.89
9.75
9.9
9.84
9.9
9.94
9.94
9.86
9.84
9.78
9.83
9.77
9.8
9.88
9.91
9.95
9.93
9.93
9.93
9.87
9.85
9.82
9.92
9.92
9.98
9.99
9.88
9.95
9.96
9.96
9.97
9.86
9.97
9.97
9.93
9.97
9.93
9.9
9.92
9.98
9.9
9.9
9.98
9.93
9.96
9.96
9.96
9.9
9.91
9.91
9.84
9.92
9.85
9.9
9.83
9.8
9.7
9.67
9.54
9.53
9.6
9.5
9.52
9.55
9.53
9.53
9.57
9.6
9.68
9.75
9.77
9.71
9.76
9.74
9.8
9.88
9.82
9.86
9.82
9.77
9.7
9.67
9.68
9.69
9.69
9.75
9.79
9.84
9.76
9.84
9.85
9.85
9.84
9.9
9.9
9.89
9.89
9.95
9.95
9.84
9.8
9.82
9.83
9.83
9.83
9.79
9.81
9.78
9.84
9.88
9.84
9.94
9.89
9.85
9.88
9.94
9.89
9.96
9.9
9.95
9.97
9.97
9.92
9.87
9.98
9.9
9.91
9.93
9.98
9.86
9.6
9.51
9.72
9.73
9.65
9.49
9.44
9.3
9.45
9.37
9.38
9.26
9.36
9.38
9.17
9.05
9.08
9
9.03
9.17
9.24
9.2
9.22
9.06
9.12
9.11
9.13
9.05
9.07
9.07
9.11
9.19
9.12
9.11
9.14
9.21
9.3
9.4
9.34
9.34
9.3
9.34
9.17
9.26
9.27
9.28
9.26
9.23
9.06
9.09
9.11
9.13
9.15
9.08
9.08
9.15
9.1
9.18
9.11
9.15
9.2
9.19
9.25
9.26
9.28
9.31
9.28
9.3
9.25
9.28
9.23
9.27
9.25
9.27
9.21
9.23
9.25
9.25
9.23
9.24
9.26
9.28
9.28
9.28
9.25
9.25
9.28
9.35
9.37
9.29
9.34
9.36
9.38
9.45
9.53
9.55
9.5
9.51
9.45
9.49
9.52
9.47
9.45
9.5
9.52
9.5
9.47
9.48
9.45
9.45
9.48
9.49
9.55
9.59
9.54
9.55
9.55
9.6
9.56
9.53
9.47
9.6
9.54
9.61
9.57
9/30/04 9.65
FUND SNAPSHOT
------------------------------------
Share Price $9.65
------------------------------------
Net Asset Value $10.31
------------------------------------
Premium/(Discount) to NAV -6.40%
------------------------------------
Market Yield 4.91%
------------------------------------
Taxable-Equivalent Yield1 6.82%
------------------------------------
Net Assets ($000) $127,737
------------------------------------
Average Effective
Maturity (Years) 11.84
------------------------------------
Modified Duration 4.43
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 9/19/92)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
6-Month
(cumulative) -.33% 1.95%
------------------------------------
1-Year 1.46% 5.00%
------------------------------------
5-Year 4.64% 3.29%
------------------------------------
10-Year 4.95% 4.80%
------------------------------------
STATES
(as a % of total investments)
------------------------------------
Illinois 12%
------------------------------------
Washington 10%
------------------------------------
New York 9%
------------------------------------
Colorado 9%
------------------------------------
Texas 7%
------------------------------------
District of Columbia 4%
------------------------------------
South Carolina 4%
------------------------------------
Arizona 4%
------------------------------------
Wisconsin 4%
------------------------------------
Arkansas 3%
------------------------------------
Kansas 3%
------------------------------------
Michigan 3%
------------------------------------
Pennsylvania 3%
------------------------------------
Other 25%
------------------------------------
SECTORS
(as a % of total investments)
------------------------------------
Utilities 23%
------------------------------------
Healthcare 18%
------------------------------------
U.S. Guaranteed 9%
------------------------------------
Tax Obligation/General 8%
------------------------------------
Long-Term Care 7%
------------------------------------
Consumer Staples 7%
------------------------------------
Tax Obligation/Limited 6%
------------------------------------
Transportation 5%
------------------------------------
Education and Civic
Organizations 5%
------------------------------------
Other 12%
------------------------------------
1 Taxable-equivalent yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a income tax rate of 28%. For investments
that generate qualified dividend income, the taxable-equivalent yield is
lower.
2 The Fund also paid shareholders a net ordinary income distribution in
December 2003 of $0.0020 per share.
8
Shareholder
MEETING REPORT
The Shareholder Meeting was held in Chicago, Illinois on August 3, 2004.
NIM
------------------------------------------------------------------------------------------------------------------------------------
APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS:
Common
Shares
====================================================================================================================================
Robert P. Bremner
For 11,468,168
Withhold 83,572
------------------------------------------------------------------------------------------------------------------------------------
Total 11,551,740
====================================================================================================================================
Lawrence H. Brown
For 11,456,846
Withhold 94,894
------------------------------------------------------------------------------------------------------------------------------------
Total 11,551,740
====================================================================================================================================
Jack B. Evans
For 11,467,374
Withhold 84,366
------------------------------------------------------------------------------------------------------------------------------------
Total 11,551,740
====================================================================================================================================
William C. Hunter
For 11,465,374
Withhold 86,366
------------------------------------------------------------------------------------------------------------------------------------
Total 11,551,740
====================================================================================================================================
William J. Schneider
For 11,471,858
Withhold 79,882
------------------------------------------------------------------------------------------------------------------------------------
Total 11,551,740
====================================================================================================================================
Timothy R. Schwertfeger
For 11,470,998
Withhold 80,742
------------------------------------------------------------------------------------------------------------------------------------
Total 11,551,740
====================================================================================================================================
Judith M. Stockdale
For 11,460,877
Withhold 90,863
------------------------------------------------------------------------------------------------------------------------------------
Total 11,551,740
====================================================================================================================================
9
Nuveen Select Maturities Municipal Fund (NIM)
Portfolio of
INVESTMENTS September 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
ALABAMA - 2.0%
$ 2,000 Alabama 21st Century Authority, Tobacco Settlement Revenue 12/11 at 101.00 A- $ 2,018,960
Bonds, Series 2001, 5.750%, 12/01/17
500 Marshall County Healthcare Authority, Alabama, Revenue 1/12 at 101.00 A- 543,780
Bonds, Series 2002A, 6.250%, 1/01/22
------------------------------------------------------------------------------------------------------------------------------------
ARIZONA - 3.9%
2,470 Arizona Educational Loan Marketing Corporation, Educational 3/05 at 100.00 Aaa 2,478,941
Loan Revenue Bonds, Series 1992, 6.375%, 9/01/05
(Alternative Minimum Tax)
1,570 Phoenix Industrial Development Authority, Arizona, Statewide 4/08 at 101.50 AAA 1,598,778
Single Family Mortgage Revenue Bonds, Series 1998C,
6.650%, 10/01/29 (Alternative Minimum Tax)
975 Industrial Development Authority, Winslow, Arizona, No Opt. Call N/R 938,477
Hospital Revenue Bonds, Winslow Memorial Hospital Project,
Series 1998, 5.750%, 6/01/08
------------------------------------------------------------------------------------------------------------------------------------
ARKANSAS - 3.0%
1,000 Fort Smith, Arkansas, Water and Sewer Revenue Refunding 10/11 at 100.00 AAA 1,107,850
and Construction Bonds, Series 2002A, 5.250%, 10/01/17 -
FSA Insured
1,000 Jonesboro, Arkansas, Industrial Development Revenue Bonds, No Opt. Call A+ 1,058,880
Anheuser Busch Inc. Project, Series 2002, 4.600%, 11/15/12
1,380 North Little Rock, Arkansas, Electric Revenue Refunding No Opt. Call AAA 1,689,851
Bonds, Series 1992A, 6.500%, 7/01/15 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA - 1.7%
2,115 Vernon, California, Electric System Revenue Bonds, 4/08 at 100.00 A2 2,190,463
Malburg Generating Station Project, Series 2003C,
5.250%, 4/01/17
------------------------------------------------------------------------------------------------------------------------------------
COLORADO - 9.2%
1,475 Colorado Educational and Cultural Facilities Authority, 7/12 at 100.00 BBB 1,431,724
Charter School Revenue Bonds, Douglas County School
District RE-1 - DCS Montessori School, Series 2002A,
6.000%, 7/15/22
1,175 Colorado Educational and Cultural Facilities Authority, 12/13 at 100.00 AAA 1,202,883
Charter School Revenue Bonds, Classical Academy,
Series 2003, 4.500%, 12/01/18 - XLCA Insured
660 Colorado Housing Finance Authority, Single Family Program 4/10 at 105.00 AA 684,763
Senior Bonds, Series 2000D-2, 6.900%, 4/01/29 (Alternative
Minimum Tax)
1,000 Denver Health and Hospitals Authority, Colorado, Healthcare 12/11 at 100.00 BBB 1,039,770
Revenue Bonds, Series 2001A, 6.000%, 12/01/23
1,465 Denver West Metropolitan District, Colorado, General 12/13 at 100.00 AA 1,470,391
Obligation Refunding and Improvement Bonds, Series 2003,
4.500%, 12/01/18 - RAAI Insured
209 El Paso County, Colorado, FNMA Mortgage-Backed Single No Opt. Call Aaa 211,418
Family Revenue Refunding Bonds, Series 1992A-2,
8.750%, 6/01/11
5,875 Northwest Parkway Public Highway Authority, Colorado, 6/11 at 38.04 AAA 1,630,900
Senior Lien Revenue Bonds, Series 2001B, 0.000%, 6/15/27 -
AMBAC Insured
1,000 Summit County, Colorado, Sports Facilities Revenue No Opt. Call AAA 1,104,300
Refunding Bonds, Keystone Resorts Management Inc.
Project, Series 1990, 7.750%, 9/01/06
2,845 University of Colorado Hospital Authority, Hospital Revenue 11/11 at 100.00 A3 2,978,174
Bonds, Series 2001A, 5.600%, 11/15/21
------------------------------------------------------------------------------------------------------------------------------------
CONNECTICUT - 1.6%
Eastern Connecticut Resource Recovery Authority, Solid
Waste Revenue Bonds, Wheelabrator Lisbon
Project, Series 1993A:
500 5.500%, 1/01/14 (Alternative Minimum Tax) 1/05 at 100.00 BBB 500,895
1,570 5.500%, 1/01/15 (Alternative Minimum Tax) 1/05 at 100.00 BBB 1,571,021
10
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
DISTRICT OF COLUMBIA - 4.3%
District of Columbia, General Obligation Refunding Bonds,
Series 1993A:
$ 900 6.000%, 6/01/07 - MBIA Insured No Opt. Call AAA $ 963,747
4,105 6.000%, 6/01/07 - MBIA Insured No Opt. Call AAA 4,511,723
------------------------------------------------------------------------------------------------------------------------------------
FLORIDA - 2.1%
2,400 Deltona, Florida, Utility Systems Water and Sewer Revenue 10/13 at 100.00 AAA 2,668,080
Bonds, Series 2003, 5.250%, 10/01/17 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
ILLINOIS - 11.9%
940 Chicago, Illinois, Tax Increment Allocation Bonds, 1/09 at 100.00 N/R 963,039
Irving/Cicero Redevelopment Project, Series 1998,
7.000%, 1/01/14
2,000 Illinois Development Finance Authority, Revenue Refunding 4/10 at 102.00 BBB- 2,094,480
Bonds, Olin Corporation Project, Series 1993D,
6.750%, 3/01/16
4,965 Illinois Development Finance Authority, Revenue Bonds, 4/11 at 105.00 Aaa 5,508,618
Greek American Nursing Project, Series 2000A,
7.600%, 4/20/40
2,000 Illinois Educational Facilities Authority, Revenue Bonds, No Opt. Call A1 2,003,400
Art Institute of Chicago, Series 2000, 4.450%, 3/01/34
(Mandatory put 3/01/15)
1,000 Illinois Health Facilities Authority, Revenue Refunding Bonds, 2/05 at 101.00 A+ 1,023,200
Edward Hospital Project, Series 1993A, 6.000%, 2/15/19
1,210 Illinois Health Facilities Authority, Revenue Bonds, Silver 8/09 at 101.00 A- 1,244,400
Cross Hospital and Medical Centers, Series 1999,
5.500%, 8/15/19
1,100 Illinois Housing Development Authority, Section 8 Elderly 11/04 at 100.00 A- 1,102,409
Housing Revenue Bonds, Skyline Towers Apartments Project,
Series 1992B, 6.625%, 11/01/07
1,000 Illinois Educational Facilities Authority, Student Housing 5/12 at 101.00 Baa2 1,101,180
Revenue Bonds, Educational Advancement Foundation Fund,
University Center Project, Series 2002, 6.625%, 5/01/17
------------------------------------------------------------------------------------------------------------------------------------
INDIANA - 0.9%
1,000 Indianapolis Local Public Improvement Bond Bank, Indiana, No Opt. Call AA 1,100,730
Series 1992D, 6.600%, 2/01/07
------------------------------------------------------------------------------------------------------------------------------------
IOWA - 2.0%
1,000 Iowa Finance Authority, Health Care Revenue Bonds, 7/10 at 100.00 A1 1,075,430
Genesis Medical Center, Series 2000, 6.250%, 7/01/25
1,800 Iowa Tobacco Settlement Authority, Tobacco Settlement 6/11 at 101.00 BBB 1,510,326
Asset-Backed Revenue Bonds, Series 2001B,
5.300%, 6/01/25
------------------------------------------------------------------------------------------------------------------------------------
KANSAS - 2.9%
3,500 Wichita, Kansas, Hospital Revenue Refunding and 11/11 at 101.00 A+ 3,702,825
Improvement Bonds, Via Christi Health System Inc.,
Series 2001-III, 5.500%, 11/15/21
------------------------------------------------------------------------------------------------------------------------------------
MARYLAND - 0.9%
1,100 Maryland Energy Financing Administration, Revenue 9/05 at 102.00 N/R 1,126,763
Bonds, AES Warrior Run Project, Series 1995,
7.400%, 9/01/19 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
MASSACHUSETTS - 2.0%
1,000 Massachusetts Industrial Finance Agency, Resource No Opt. Call BBB 1,011,850
Recovery Remarketed Revenue Refunding Bonds, Ogden
Haverhill Project, Series 1992A, 4.850%, 12/01/05
1,495 Massachusetts Housing Finance Agency, Rental Housing 7/10 at 100.00 AAA 1,606,273
Mortgage Revenue Bonds, Series 2000H, 6.650%, 7/01/41
(Alternative Minimum Tax) - MBIA Insured
11
Nuveen Select Maturities Municipal Fund (NIM) (continued)
Portfolio of INVESTMENTS September 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
MICHIGAN - 2.8%
$ 1,000 Cornell Township Economic Development Corporation, 5/12 at 100.00 BBB $ 1,070,650
Michigan, Environmental Improvement Revenue Refunding
Bonds, MeadWestvaco Corporation-Escanaba Project,
Series 2002, 5.875%, 5/01/18
1,455 Michigan State Hospital Finance Authority, Collateralized No Opt. Call Baa2 1,464,005
Loan, Detroit Medical Center, Series 2001, 7.360%, 4/01/07
470 Michigan State Hospital Finance Authority, Revenue No Opt. Call Ba3 470,150
Refunding Bonds, Detroit Medical Center, Series 1988A,
8.125%, 8/15/12
600 Michigan State Hospital Finance Authority, Hospital Revenue 1/06 at 102.00 Ba3 560,910
Refunding Bonds, Sinai Hospital, Series 1995,
6.625%, 1/01/16
------------------------------------------------------------------------------------------------------------------------------------
MINNESOTA - 0.9%
1,000 White Earth Band of Chippewa Indians, Minnesota, Revenue No Opt. Call A 1,126,800
Bonds, Series 2000A, 7.000%, 12/01/11 - ACA Insured
------------------------------------------------------------------------------------------------------------------------------------
NEBRASKA - 0.8%
1,000 Dodge County School District 1, Nebraska, Fremont Public 12/14 at 100.00 Aaa 1,076,560
Schools, General Obligation Bonds, Series 2004,
5.000%, 12/15/19 (WI, settling 10/15/04) - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
NEW YORK - 9.2%
1,000 New York State Dormitory Authority, Revenue Bonds, 7/13 at 100.00 AA 1,118,010
Brooklyn Law School, Series 2003A, 5.500%, 7/01/15 -
RAAI Insured
1,500 New York State Energy Research and Development 10/05 at 100.00 A1 1,513,005
Authority, Facilities Revenue Bonds, Consolidated Edison
Company Inc., Series 2001A, 4.700%, 6/01/36 (Alternative
Minimum Tax) (Mandatory put 10/01/12)
1,415 New York State Medical Care Facilities Finance Agency, 2/06 at 102.00 AA+ 1,512,182
FHA-Insured Mortgage Hospital and Nursing Home
Revenue Bonds, Series 1995C, 6.100%, 8/15/15
2,130 Niagara Falls, Niagara County, New York, General No Opt. Call AAA 2,500,854
Obligation Water Treatment Plant Bonds, Series 1994,
8.500%, 11/01/07 (Alternative Minimum Tax) - MBIA Insured
4,300 Port Authority of New York and New Jersey, Special Project No Opt. Call AAA 5,165,547
Bonds, JFK International Air Terminal LLC, Sixth Series 1997,
7.000%, 12/01/12 (Alternative Minimum Tax) - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
NORTH CAROLINA - 1.6%
1,880 Union County, North Carolina, Certificates of Participation, 6/13 at 101.00 AAA 2,029,103
Series 2003, 5.000%, 6/01/18 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
OHIO - 2.4%
1,965 Hamilton County, Ohio, Hospital Facilities Revenue No Opt. Call A*** 2,024,854
Refunding Bonds, Bethesda Hospital Inc., Series 1992A,
6.250%, 1/01/06
1,000 Toledo-Lucas County Port Authority, Ohio, Port Revenue No Opt. Call A+ 1,032,340
Bonds, Cargill Inc. Project, Series 2004B, 4.500%, 12/01/15
------------------------------------------------------------------------------------------------------------------------------------
OKLAHOMA - 1.0%
1,150 Oklahoma State Industries Authority, Health System 8/06 at 102.00 AAA 1,229,132
Revenue Refunding Bonds, Baptist Medical Center,
Series 1995D, 5.000%, 8/15/14 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
PENNSYLVANIA - 2.5%
1,500 Pennsylvania Economic Development Financing Authority, 12/04 at 102.00 BBB- 1,541,340
Resource Recovery Revenue Bonds, Colver Project,
Series 1994D, 7.150%, 12/01/18 (Alternative Minimum Tax)
1,390 Pennsylvania Higher Educational Facilities Authority, No Opt. Call Aaa 1,674,630
College Revenue Bonds, Ninth Series 1976, 7.625%, 7/01/15
12
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
SOUTH CAROLINA - 4.0%
Piedmont Municipal Power Agency, South Carolina, Electric
Revenue Bonds, Series 1991:
$ 1,040 6.750%, 1/01/19 - FGIC Insured No Opt. Call AAA $ 1,350,315
1,460 6.750%, 1/01/19 - FGIC Insured No Opt. Call AAA 1,860,653
1,250 South Carolina JOBS Economic Development Authority, No Opt. Call BBB 1,452,838
Hospital Revenue Bonds, Palmetto Health Alliance,
Series 2000A, 7.000%, 12/15/10
500 Tobacco Settlement Revenue Management Authority, 5/11 at 101.00 BBB 476,215
South Carolina, Tobacco Settlement Asset-Backed Bonds,
Series 2001B, 6.000%, 5/15/22
------------------------------------------------------------------------------------------------------------------------------------
TENNESSEE - 1.8%
Shelby County Health, Educational and Housing Facilities Board,
Tennessee, Hospital Revenue Bonds, Methodist Healthcare, Series
2002:
750 6.000%, 9/01/17 9/12 at 100.00 A-*** 885,510
1,250 6.000%, 9/01/17 (Pre-refunded to 9/01/12) 9/12 at 100.00 A-*** 1,475,375
------------------------------------------------------------------------------------------------------------------------------------
TEXAS - 7.2%
1,055 Austin, Texas, General Obligation Bonds, Series 2004, 9/14 at 100.00 AAA 1,124,187
5.000%, 9/01/20 - MBIA Insured
445 Austin-Travis County Mental Health Center, Texas, Revenue 3/05 at 101.00 AAA 457,393
Bonds, Mental Health and Mental Retardation Center
Facilities Acquisition Program, Series 1995A,
6.500%, 3/01/15 - FSA Insured
2,000 Brazos River Authority, Texas, Collateralized Revenue 6/14 at 100.00 AAA 2,006,200
Refunding Bonds, CenterPoint Energy Inc., Series 2004B,
4.250%, 12/01/17 - FGIC Insured
210 Galveston Property Finance Authority Inc., Texas, Single 3/05 at 100.00 A3 210,683
Family Mortgage Revenue Bonds, Series 1991A,
8.500%, 9/01/11
770 Gulf Coast Mental Health Centers, Texas, Revenue Bonds, 3/05 at 101.00 AAA 791,445
Mental Health and Mental Retardation Facilities Acquisition
Program, Series 1995C, 6.500%, 3/01/15 - FSA Insured
2,500 Matagorda County Navigation District 1, Texas, Pollution No Opt. Call BBB+ 2,600,425
Control Revenue Refunding Bonds, Central Power and
Light Company, Series 2001A, 4.550%, 11/01/29
(Mandatory put 11/01/06)
900 Tom Green County Health Facilities Development No Opt. Call Baa3 929,430
Corporation, Texas, Hospital Revenue Bonds, Shannon
Health System Project, Series 2001, 5.600%, 5/15/06
400 Travis County Health Facilities Development Corporation, 11/04 at 101.00 Aaa 409,084
Texas, Hospital Revenue Bonds, Daughters of Charity
National Health System, Series 1993B, 5.900%, 11/15/07
610 Tri-County Mental Health and Retardation Center, Texas, 3/05 at 101.00 AAA 626,989
Revenue Bonds, Facilities Acquisition Program, Series 1995E,
6.500%, 3/01/15 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
UTAH - 1.7%
2,055 Bountiful, Davis County, Utah, Hospital Revenue Refunding No Opt. Call N/R 2,114,205
Bonds, South Davis Community Hospital Project,
Series 1998, 6.000%, 12/15/10
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON - 9.3%
Washington State Public Power Supply System, Nuclear Project 1
Revenue Refunding Bonds, Series 1993A:
160 7.000%, 7/01/07 No Opt. Call Aaa 180,283
1,340 7.000%, 7/01/07 No Opt. Call Aaa 1,515,634
1,130 7.000%, 7/01/08 No Opt. Call Aaa 1,317,410
1,870 7.000%, 7/01/08 No Opt. Call Aaa 2,164,095
7,000 Washington Public Power Supply System, Nuclear Project 3 No Opt. Call Aaa 6,742,470
Revenue Refunding Bonds, Series 1990B, 0.000%, 7/01/06
------------------------------------------------------------------------------------------------------------------------------------
WEST VIRGINIA - 1.6%
2,000 Harrison County Commission, West Virginia, Solid Waste 8/06 at 100.00 AAA 2,048,100
Disposal Revenue Bonds, West Penn Power Company,
Series 1994C, 6.750%, 8/01/24 (Alternative Minimum
Tax) - MBIA Insured
13
Nuveen Select Maturities Municipal Fund (NIM) (continued)
Portfolio of INVESTMENTS September 30, 2004 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
WISCONSIN - 3.5%
Badger Tobacco Asset Securitization Corporation, Wisconsin,
Tobacco Settlement Asset-Backed Bonds, Series 2002:
$ 940 6.125%, 6/01/27 6/12 at 100.00 BBB $ 903,227
1,480 6.375%, 6/01/32 6/12 at 100.00 BBB 1,358,107
1,000 Wisconsin Health and Educational Facilities Authority, 7/11 at 100.00 A- 1,062,210
Revenue Bonds, Agnesian Healthcare Inc., Series 2001,
6.000%, 7/01/21
1,150 Wisconsin Health and Educational Facilities Authority, 2/09 at 101.00 A 1,182,188
Revenue Bonds, Aurora Health Care Inc., Series 1999A,
5.500%, 2/15/20 - ACA Insured
------------------------------------------------------------------------------------------------------------------------------------
$ 123,319 Total Long-Term Investments (cost $121,389,882) - 98.7% 126,125,435
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.3% 1,611,358
--------------------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 127,736,793
====================================================================================================================
* 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.
** Ratings: Using the higher of Standard & Poor's or
Moody's rating.
*** Securities are backed by an escrow or trust containing
sufficient U.S. Government or U.S. Government agency
securities which ensures the timely payment of
principal and interest. Such securities are normally
considered to be equivalent to AAA rated securities.
N/R Investment is not rated.
(WI) Security purchased on a when-issued basis.
See accompanying notes to financial statements.
14
Statement of
ASSETS AND LIABILITIES September 30, 2004 (Unaudited)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at market value (cost $121,389,882) $126,125,435
Receivables:
Interest 2,035,559
Investments sold 1,424,569
Other assets 3,779
------------------------------------------------------------------------------------------------------------------------------------
Total assets 129,589,342
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Cash overdraft 682,768
Payable for investments purchased 1,082,144
Accrued expenses:
Management fees 51,802
Other 35,835
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 1,852,549
------------------------------------------------------------------------------------------------------------------------------------
Net assets $127,736,793
====================================================================================================================================
Shares outstanding 12,394,977
====================================================================================================================================
Net asset value per share outstanding (net assets divided by shares outstanding) $ 10.31
====================================================================================================================================
NET ASSETS CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 123,950
Paid-in surplus 138,316,282
Undistributed (Over-distribution of) net investment income (161,963)
Accumulated net realized gain (loss) from investments (15,277,029)
Net unrealized appreciation of investments 4,735,553
------------------------------------------------------------------------------------------------------------------------------------
Net assets $127,736,793
====================================================================================================================================
See accompanying notes to financial statements.
15
Statement of
OPERATIONS Six Months Ended September 30, 2004 (Unaudited)
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME $3,459,140
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 315,020
Shareholders' servicing agent fees and expenses 8,062
Custodian's fees and expenses 17,276
Trustees' fees and expenses 1,960
Professional fees 6,119
Shareholders' reports - printing and mailing expenses 19,797
Stock exchange listing fees 4,322
Investor relations expense 9,449
Other expenses 3,646
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit 385,651
Custodian fee credit (4,043)
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 381,608
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 3,077,532
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized gain from investments 22,954
Change in net unrealized appreciation (depreciation) of investments (761,414)
------------------------------------------------------------------------------------------------------------------------------------
Net gain (loss) from investments (738,460)
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $2,339,072
====================================================================================================================================
See accompanying notes to financial statements.
16
Statement of
CHANGES IN NET ASSETS (Unaudited)
SIX MONTHS
ENDED YEAR ENDED
9/30/04 3/31/04
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 3,077,532 $ 6,292,979
Net realized gain (loss) from investments 22,954 (59,362)
Change in net unrealized appreciation (depreciation) of investments (761,414) 230,665
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations 2,339,072 6,464,282
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (2,937,611) (6,234,675)
From accumulated net realized gains from investments -- --
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (2,937,611) (6,234,675)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from shares issued to shareholders due to
reinvestment of distributions -- --
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (598,539) 229,607
Net assets at the beginning of period 128,335,332 128,105,725
------------------------------------------------------------------------------------------------------------------------------------
Net assets at the end of period $127,736,793 $128,335,332
====================================================================================================================================
Undistributed (Over-distribution of) net investment income at the end of period $ (161,963) $ (301,884)
====================================================================================================================================
See accompanying notes to financial statements.
17
Notes to
FINANCIAL STATEMENTS (Unaudited)
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The Fund covered in this report and its corresponding Common share New York
Stock Exchange symbol is Nuveen Select Maturities Municipal Fund (NIM) (the
"Fund"). The Fund is registered under the Investment Company Act of 1940, as
amended, as a closed-end, diversified management investment company.
The Fund seeks to provide current income exempt from regular federal income tax,
consistent with the preservation of capital by investing in a diversified,
investment-grade quality portfolio of municipal obligations with intermediate
characteristics. In managing its portfolio, the Fund has purchased municipal
obligations having remaining effective maturities of no more than fifteen years
with respect to 80% of its total assets that, in the opinion of Nuveen Advisory
Corp. (the "Adviser"), a wholly owned subsidiary of Nuveen Investments, Inc.,
represent the best value in terms of the balance between yield and capital
preservation currently available from the intermediate sector of the municipal
market. The Adviser will actively monitor the effective maturities of the Fund's
investments in response to prevailing market conditions, and will adjust its
portfolio consistent with its investment policy of maintaining an average
effective remaining maturity of twelve years or less.
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements in accordance with U.S.
generally accepted accounting principles.
Securities Valuation
The prices of municipal bonds in the Fund's investment portfolio are provided by
a pricing service approved by the Fund's Board of Trustees. When price quotes
are not readily available (which is usually the case for municipal securities),
the pricing service establishes fair market value based on yields or prices of
municipal bonds of comparable quality, type of issue, coupon, maturity and
rating, indications of value from securities dealers, evaluations of anticipated
cash flows or collateral and general market conditions. If it is determined that
market prices for a security are unavailable or inappropriate, the Board of
Trustees of the Fund, or its designee, may establish a fair value for the
security. Temporary investments in securities that have variable rate and demand
features qualifying them as short-term securities are valued at amortized cost,
which approximates market value.
Securities Transactions
Securities transactions are recorded on a trade date basis. Realized gains and
losses from such transactions are determined on the specific identification
method. Securities purchased or sold on a when-issued or delayed delivery basis
may have extended settlement periods. The securities so purchased are subject to
market fluctuation during this period. The Fund has instructed the custodian to
segregate assets with a current value at least equal to the amount of the
when-issued and delayed delivery purchase commitments. At September 30, 2004,
the Fund had an outstanding when-issued purchase commitment of $1,082,144.
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
Investment income also includes paydown gains and losses, if any.
Income Taxes
The Fund intends to distribute all net investment income and net capital gains
to shareholders and to otherwise comply with the requirements of Subchapter M of
the Internal Revenue Code applicable to regulated investment companies.
Therefore, no federal income tax provision is required. Furthermore, the Fund
intends to satisfy conditions which will enable interest from municipal
securities, which is exempt from regular federal income tax, to retain such
tax-exempt status when distributed to shareholders of the Fund. Net realized
capital gains and ordinary income distributions made by the Fund are subject to
federal taxation.
18
Dividends and Distributions to Shareholders
Dividends from tax-exempt net investment income are declared monthly. Net
realized capital gains and/or market discount from investment transactions, if
any, are distributed to shareholders not less frequently than annually.
Furthermore, capital gains are distributed only to the extent they exceed
available capital loss carryforwards.
Distributions to shareholders of tax-exempt net investment income, net realized
capital gains and/or market discount, if any, are recorded on the ex-dividend
date. The amount and timing of distributions are determined in accordance with
federal income tax regulations, which may differ from U.S. generally accepted
accounting principles.
Derivative Financial Instruments
The Fund may invest in certain derivative financial instruments including
futures, forward, swap and option contracts, and other financial instruments
with similar characteristics. Although the Fund is authorized to invest in such
financial instruments, and may do so in the future, it did not make any such
investments during the six months ended September 30, 2004.
Custodian Fee Credit
The Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on the Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Indemnifications
Under the Fund's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund. In addition, in the normal course of business, the Fund
enters into contracts that provide general indemnifications to other parties.
The Fund's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Fund that have not yet
occurred. However, the Fund has not had prior claims or losses pursuant to these
contracts and expects the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period. Actual
results may differ from those estimates.
2. FUND SHARES
The Fund did not engage in transactions in its own shares during the six months
ended September 30, 2004, nor during the fiscal year ended March 31, 2004.
3. SECURITIES TRANSACTIONS
Purchases and sales (including maturities) of investments in long-term municipal
securities during the six months ended September 30, 2004, aggregated $8,471,065
and $9,726,225, respectively.
4. INCOME TAX INFORMATION
The following information is presented on an income tax basis. Differences
between amounts for financial statement and federal income tax purposes are
primarily due to the treatment of paydown gains and losses on investments,
timing differences in recognizing income on taxable market discount securities
and timing differences in recognizing certain gains and losses on security
transactions.
At September 30, 2004, the cost of investments owned was $121,314,642.
The net unrealized appreciation of investments at September 30, 2004, aggregated
$4,810,793 of which $5,266,057 related to appreciated securities and $455,264
related to depreciated securities.
19
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
The tax components of undistributed net investment income and net realized gains
at March 31, 2004, the Fund's last fiscal year end, were as follows:
--------------------------------------------------------------------------------
Undistributed net tax-exempt income $77,372
Undistributed net ordinary income * 1,427
Undistributed net long-term capital gains --
================================================================================
* Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
The tax character of distributions paid during the fiscal year ended March 31,
2004, the Fund's last fiscal year end, was designated for purposes of the
dividends paid deduction as follows:
2004
--------------------------------------------------------------------------------
Distributions from net tax-exempt income $6,265,664
Distributions from net ordinary income * 24,790
Distributions from net long-term capital gains --
================================================================================
* Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
At March 31, 2004, the Fund's last fiscal year end, the Fund had unused capital
loss carryforwards of $15,276,106 available for federal income tax purposes to
be applied against future capital gains, if any. If not applied, $14,922 of the
carryforward will expire in the year 2010, $6,523,386 will expire in 2011 and
$8,737,798 will expire in 2012.
The Fund elected to defer net realized losses from investments incurred from
November 1, 2003 through March 31, 2004 ("post-October losses") in accordance
with Federal income tax regulations. Post-October losses of $24,091 were treated
as having arisen on the first day of the current fiscal year.
5. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
As approved by the Board of Trustees, effective August 1, 2004, a complex-wide
management fee structure was adopted for all funds sponsored by Nuveen Advisory
Corp. (the "Adviser"), a wholly owned subsidiary of Nuveen Investments, Inc. and
its affiliates. This fee structure separates each fund's management fee into two
components - a complex-level component, based on the aggregate amount of all
funds assets managed by the Adviser and its affiliates, and a specific
fund-level component, based only on the amount of assets within each individual
fund. This pricing structure enables Nuveen fund shareholders to benefit from
growth in the assets within each individual fund as well as from growth in the
amount of complex-wide assets managed by the Adviser and its affiliates. Under
no circumstances will this pricing structure result in a fund paying management
fees at a rate higher than would otherwise have been applicable had the
complex-wide management fee structure not been implemented. As a consequence of
this new management fee structure, the funds' effective management fees were
reduced by approximately .007% as of October 31, 2004.
Effective August 1, 2004, the annual fund-level fee, payable monthly, is based
upon the average daily net assets of the Fund as follows:
AVERAGE DAILY NET ASSETS FUND-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $125 million .3000%
For the next $125 million .2875
For the next $250 million .2750
For the next $500 million .2625
For the next $1 billion .2500
For net assets over $2 billion .2375
================================================================================
20
Effective August 1, 2004, the annual complex-level fee, payable monthly, which
is additive to the fund-level fee, for all Nuveen sponsored funds in the U.S.,
is based on the aggregate amount of total fund assets managed as follows:
COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion(2) .1400
================================================================================
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds
in the U.S.
(2) With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level
fee rate for such complex-wide Managed Assets shall be .1400% until such
time as a different rate or rates is determined.
The Fund paid through July 31, 2004, an annual management fee, payable monthly,
at the rates set forth below, which were based upon the average daily net assets
of the Fund as follows:
AVERAGE DAILY NET ASSETS MANAGEMENT FEE RATE
--------------------------------------------------------------------------------
For the first $125 million .5000%
For the next $125 million .4875
For the next $250 million .4750
For the next $500 million .4625
For the next $1 billion .4500
For net assets over $2 billion .4375
================================================================================
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Fund pays no
compensation directly to those of its Trustees who are affiliated with the
Adviser or to its officers, all of whom receive remuneration for their services
to the Fund from the Adviser or its affiliates. The Board of Trustees has
adopted a deferred compensation plan for independent Trustees that enables
Trustees to elect to defer receipt of all or a portion of the annual
compensation they are entitled to receive from certain Nuveen advised Funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised Funds.
21
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
6. SUBSEQUENT EVENT - DISTRIBUTIONS TO SHAREHOLDERS
The Fund declared a dividend distribution of $.0395 per share from its
tax-exempt net investment income which was paid on November 1, 2004, to
shareholders of record on October 15, 2004.
22
Financial
HIGHLIGHTS (Unaudited)
23
Financial
HIGHLIGHTS (Unaudited)
Selected data for a share outstanding throughout each period:
INVESTMENT OPERATIONS LESS DISTRIBUTIONS
------------------------------------ -------------------------------
NET
REALIZED/
BEGINNING NET UNREALIZED NET ENDING ENDING
NET ASSET INVESTMENT INVESTMENT INVESTMENT CAPITAL NET ASSET MARKET
VALUE INCOME GAIN (LOSS) TOTAL INCOME GAINS TOTAL VALUE VALUE
-------------------------------------------------------------------------------------------------------------------------
Year Ended 3/31:
2005(b) $10.35 $.25 $(.05) $.20 $(.24) $ -- $(.24) $10.31 $ 9.6500
2004 10.34 .51 -- .51 (.50) -- (.50) 10.35 9.9300
2003(a) 10.57 .43 (.22) .21 (.44) -- (.44) 10.34 9.8500
Year Ended 5/31:
2002 11.21 .57 (.57) -- (.61) (.03) (.64) 10.57 10.4500
2001 11.16 .62 .06 .68 (.63) -- (.63) 11.21 10.8700
2000 11.84 .63 (.59) .04 (.62) (.10) (.72) 11.16 10.1875
1999 11.95 .61 (.07) .54 (.61) (.04) (.65) 11.84 11.5625
=========================================================================================================================
TOTAL RETURNS RATIOS/SUPPLEMENTAL DATA
----------------------- ----------------------------------------------------------------------------------------
BEFORE CREDIT AFTER CREDIT**
----------------------------- ------------------------------
RATIO OF NET RATIO OF NET
RATIO OF INVESTMENT RATIO OF INVESTMENT
BASED ON BASED ON ENDING EXPENSES TO INCOME TO EXPENSES TO INCOME TO PORTFOLIO
MARKET NET ASSET NET ASSETS AVERAGE AVERAGE AVERAGE AVERAGE TURNOVER
VALUE+ VALUE+ (000) NET ASSETS NET ASSETS NET ASSETS NET ASSETS RATE
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 3/31:
2005(b) (.33)% 1.95% $127,737 .61%* 4.86%* .60%* 4.87%* 7%
2004 6.03 5.09 128,335 .63 4.92 .62 4.93 13
2003(a) (1.48) 2.03 128,106 .65* 4.95* .65* 4.96* 6
Year Ended 5/31:
2002 1.87 (.06) 130,959 .69 5.23 .68 5.23 48
2001 13.15 6.19 138,804 .64 5.50 .61 5.53 35
2000 (5.48) .43 138,149 .61 5.48 .61 5.49 6
1999 6.87 4.64 146,630 .63 5.14 .62 5.15 31
====================================================================================================================================
* Annualized.
** After custodian fee credit, where applicable.
+ Total Investment Return on Market Value is the combination of changes in
the market price per share and the effect of reinvested dividend income and
reinvested capital gains distributions, if any, at the average price paid
per share at the time of reinvestment. Total Return on Net Asset Value is
the combination of changes in net asset value per share, reinvested
dividend income at net asset value and reinvested capital gains
distributions at net asset value, if any. Total returns are not annualized.
(a) For the period June 1, 2002 through March 31, 2003.
(b) For the six months ended September 30, 2004.
See accompanying notes to financial statements.
24-25 spread
Build Your Wealth
AUTOMATICALLY
Sidebar text: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET
UP YOUR REINVESTMENT ACCOUNT.
NUVEEN CLOSED-END EXCHANGE-TRADED FUNDS DIVIDEND REINVESTMENT PLAN
Your Nuveen Closed-End Exchange-Traded Fund allows you to conveniently reinvest
dividends and/or capital gains distributions in additional fund shares.
By choosing to reinvest, you'll be able to invest money regularly and
automatically, and watch your investment grow through the power of tax-free
compounding. Just like dividends or distributions in cash, there may be times
when income or capital gains taxes may be payable on dividends or distributions
that are reinvested.
It is important to note that an automatic reinvestment plan does not ensure a
profit, nor does it protect you against loss in a declining market.
EASY AND CONVENIENT
To make recordkeeping easy and convenient, each month you'll receive a statement
showing your total dividends and distributions, the date of investment, the
shares acquired and the price per share, and the total number of shares you own.
HOW SHARES ARE PURCHASED
The shares you acquire by reinvesting will either be purchased on the open
market or newly issued by the Fund. If the shares are trading at or above net
asset value at the time of valuation, the Fund will issue new shares at the
then-current market price. If the shares are trading at less than net asset
value, shares for your account will be purchased on the open market. Dividends
and distributions received to purchase shares in the open market will normally
be invested shortly after the dividend payment date. No interest will be paid on
dividends and distributions awaiting reinvestment. Because the market price of
shares may increase before purchases are completed, the average purchase price
per share may exceed the market price at the time of valuation, resulting in the
acquisition of fewer shares than if the dividend or distribution had been paid
in shares issued by the Fund. A pro rata portion of any applicable brokerage
commissions on open market purchases will be paid by Plan participants. These
commissions usually will be lower than those charged on individual transactions.
FLEXIBILITY
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
You can reinvest whether your shares are registered in your name, or in the name
of a brokerage firm, bank, or other nominee. Ask your investment advisor if his
or her firm will participate on your behalf. Participants whose shares are
registered in the name of one firm may not be able to transfer the shares to
another firm and continue to participate in the Plan.
The Fund reserves the right to amend or terminate the Plan at any time. Although
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants, there is no direct service charge to participants
in the Plan at this time.
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in
or withdraw from the Plan, speak with your financial advisor or call us at (800)
257-8787.
26
Other Useful
INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
Each Fund's (i) quarterly portfolio of investments and (ii) information
regarding how the Funds voted proxies relating to portfolio securities held
during the most recent 12-month period ended June 30, 2004, are available
without charge, upon request, by calling Nuveen Investments toll-free at (800)
257-8787 or on Nuveen's web site at www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities
and Exchange Commission ("SEC"). The SEC may charge a copying fee for this
information. Visit the SEC on-line at http://www.sec.gov or in person at the
SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090
for room hours and operation. You may also request Fund information by sending
an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public
References Section at 450 Fifth Street NW, Washington, D.C. 20549.
GLOSSARY OF TERMS USED IN THIS REPORT
AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period. It
expresses the return that would have been necessary each year to equal the
investment's actual cumulative performance (including change in NAV or market
price and reinvested dividends and capital gains distributions, if any) over the
time period being considered.
AVERAGE EFFECTIVE MATURITY: The average of all the maturities of the bonds in a
fund's portfolio, computed by weighting each maturity date (the date the
security comes due) by the market value of the security. This figure does not
account for the likelihood of prepayments or the exercise of call provisions.
MODIFIED DURATION: Duration is a measure of the sensitivity of a bond or bond
fund's value to changes when interest rates change. Generally, the longer a bond
or fund's duration, the more the price of the bond or fund will change as
interest rates change.
MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An investment's
current annualized dividend divided by its current market price.
NET ASSET VALUE (NAV): A fund's NAV is calculated by subtracting the liabilities
of the fund from its total assets and then dividing the remainder by the number
of shares outstanding. Fund NAVs are calculated at the end of each business day.
TAXABLE-EQUIVALENT YIELD: The yield necessary from a fully taxable investment to
equal, on an after-tax basis, the yield of a municipal bond investment.
BOARD OF TRUSTEES
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
William C. Hunter
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
FUND MANAGER
Nuveen Advisory Corp.
333 West Wacker Drive
Chicago, IL 60606
CUSTODIAN
State Street Bank & Trust
Boston, MA
TRANSFER AGENT AND
SHAREHOLDER SERVICES
State Street Bank & Trust
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
LEGAL COUNSEL
Chapman and Cutler LLP
Chicago, IL
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
Chicago, IL
Each Fund intends to repurchase shares of its own common or preferred stock in
the future at such times and in such amounts as is deemed advisable. No shares
were repurchased during the period ended September 30, 2004. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
27
Nuveen Investments:
SERVING Investors
For GENERATIONS
Photo of: 2 women looking at a photo album.
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. For the past century,
Nuveen Investments has adhered to the belief that the best approach to investing
is to apply conservative risk-management principles to help minimize volatility.
Building on this tradition, we today offer a range of high quality equity and
fixed-income solutions that are integral to a well-diversified core portfolio.
Our clients have come to appreciate this diversity, as well as our continued
adherence to proven, long-term investing principles.
WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT NEEDS.
Managing $100 billion in assets, Nuveen Investments offers access to a number of
different asset classes and investing solutions through a variety of products.
Nuveen Investments markets its capabilities under four distinct brands: Nuveen,
a leader in tax-free investments; NWQ, a leader in value-style equities;
Rittenhouse, a leader in growth-style equities; and Symphony, a leading
institutional manager of market-neutral alternative investment portfolios.
FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS.
To learn more about the products and services Nuveen Investments offers and for
a prospectus, where applicable, talk to your financial advisor, or call us at
(800) 257-8787. Please read the information carefully before you invest.
Learn more
about Nuveen Funds at
WWW.NUVEEN.COM/ETF
o Share prices
o Fund details
o Daily financial news
o Investor education
o Interactive planning tools
Logo: NUVEEN Investments
ESA-A-0904D
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Schedule I in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
In the event of a vacancy on the Board, the nominating and governance committee
receives suggestions from various sources, including shareholders, as to
suitable candidates. Suggestions should be sent in writing to Lorna Ferguson,
Vice President for Board Relations, Nuveen Investments, 333 West Wacker Drive,
Chicago, IL 60606. The nominating and governance committee sets appropriate
standards and requirements for nominations for new directors and reserves the
right to interview all candidates and to make the final selection of any new
directors.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of this report that includes the disclosure
required by this paragraph, based on their evaluation of the controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (the "Exchange Act")(17 CFR
240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the registrant's last
fiscal half-year (the registrant's second fiscal half-year in the case
of an annual report) that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable to
this filing.
(a)(2) A separate certification for each principal executive officer and
principal financial officer of the registrant as required by Rule 30a-2(a) under
the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT
attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons: Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference. Ex-99.906 CERT attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Select Maturities Municipal Fund
-----------------------------------------------------------
By (Signature and Title)* /s/ Jessica R. Droeger
----------------------------------------------
Jessica R. Droeger
Vice President and Secretary
Date: December 8, 2004
-------------------------------------------------------------------
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: December 8, 2004
-------------------------------------------------------------------
By (Signature and Title)* /s/ Stephen D. Foy
----------------------------------------------
Stephen D. Foy
Vice President and Controller
(Principal Financial Officer)
Date: December 8, 2004
-------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.