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
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(Address of principal executive offices) (Zip code)
Jessica R. Droeger
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
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Date of fiscal year end: March 31
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Date of reporting period: March 31, 2006
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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.
ANNUAL REPORT March 31, 2006
Nuveen Investments
Municipal Exchange-Traded
Closed-End Funds
NUVEEN SELECT MATURITIES
MUNICIPAL FUND
NIM
Photo of: Man, woman and child at the beach.
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DEPENDABLE,
TAX-FREE INCOME BECAUSE
IT'S NOT WHAT YOU EARN,
IT'S WHAT YOU KEEP.(R)
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Photo: Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
Chairman's
LETTER TO SHAREHOLDERS
Once again, I am pleased to report that over the twelve-month period covered by
this report your Fund continued to provide you with attractive monthly tax-free
income. For more details about the management strategy and performance of your
Fund, please read the Portfolio Manager's Comments, the Dividend and Share Price
Information, and the Performance Overview sections of this report.
Municipal bonds can be an important building block in a well balanced investment
portfolio. In addition to providing attractive tax-free monthly income, a
municipal bond investment like your Fund may help you achieve and benefit from
greater portfolio diversification. Portfolio diversification is a recognized way
to try to reduce some of the risk that comes with investing. I encourage you to
contact your personal financial advisor who can help explain this important
investment strategy.
"PORTFOLIO DIVERSIFICATION IS A RECOGNIZED WAY TO TRY TO REDUCE SOME OF THE RISK
THAT COMES WITH INVESTING."
Nuveen Investments is pleased to offer you choices when it comes to receiving
your fund reports. As an alternative to mailed print copies, you can also sign
up to receive future Fund reports and other Fund information by e-mail and the
Internet. Not only will you receive the information faster, but this may also
help lower your Fund's expenses. The inside front cover of this report contains
information on how you can sign up.
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. At Nuveen Investments, our mission continues to be to
assist you and your financial advisor by offering investment services and
products that can help you to secure your financial objectives.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
May 3, 2006
Nuveen Select Maturities Municipal Fund
NIM
Portfolio Manager's
COMMENTS
Portfolio manager John Miller discusses the economic and municipal market
environments, key investment strategies, and the annual performance of the
Nuveen Select Maturities Municipal Fund. With 13 years of municipal market
experience, including 10 years with Nuveen, John has managed NIM since 2001.
WHAT FACTORS AFFECTED THE U.S. ECONOMY AND MUNICIPAL MARKET DURING THE ANNUAL
REPORTING PERIOD ENDED MARCH 31, 2006?
During this reporting period, we saw an increase in interest rates across the
yield curve, although short-term rates rose at a much faster pace than
longer-term rates. Between April 1, 2005, and March 31, 2006, the Federal
Reserve announced eight increases of 0.25% each in the fed funds rate, raising
this short-term target by 200 basis points (from 2.75% to 4.75%). In all, the
Fed has implemented fifteen 0.25% increases in the fed funds rate since June
2004. However, yields in the longer part of the curve proved to be more
resistant to increases. The yield on the benchmark 10-year U.S. Treasury note
ended March 2006 at 4.85%, up from 4.50% twelve months earlier, while the yield
on the Bond Buyer 25 Revenue Bond Index, a widely followed measure of
longer-term municipal market rates, was 5.14% at the end of March 2006, an
increase of just 11 basis points from the beginning of April 2005. As interest
rates increased, bond valuations generally declined, and the yield curve
flattened as shorter-term rates approached the levels of longer-term rates.
Even with rising interest rates, increased energy prices, and a housing market
that gave some indications of softening, the economy remained resilient, with a
healthy pattern of growth. After expanding at a rate of 3.3% in the second
quarter of 2005, the U.S. gross domestic product (GDP) grew by 4.1% in the third
quarter before slowing to 1.7% in the fourth quarter (all GDP numbers are
annualized). In the first quarter of 2006, the GDP rebounded to 4.8%, fueled by
the return of consumer and federal spending and increased business investment in
equipment. The overall employment picture remained positive, with national
unemployment at 4.7% in March 2006, down from 5.1% in March 2005. Despite a
slight increase in inflation expectations, the year-over-year increase in the
Consumer Price Index as of March 2006 remained relatively benign, at 3.4%.
However, for the first three months of 2006, inflation rose at the slightly
faster pace of 4.3% annualized, compared with 3.4% for all of 2005.
4
Over the 12 months ended March 2006, municipal bond supply nationwide remained
relatively strong, as $403.6 billion in new securities came to market, down 1.5%
from the previous 12 months. However, following record levels of issuance in
calendar year 2005, we saw a dramatic drop-off in supply during the first three
months of 2006, when municipal issuance totaled $69.6 billion, a decrease of 29%
from the same period in 2005. During the first quarter of 2006, the
transportation and education sectors and general purpose bonds experienced the
largest drops in issuance. A major factor in the 2006 YTD decline has been the
sharp reduction in pre-refunding volume, which was off 55% from last year's
levels. Although interest rates remained favorable for refundings, most
borrowers already had ample opportunities to come to the market during 2005.
Overall, demand for municipal bonds remained strong and diversified during this
period.
WHAT KEY STRATEGIES WERE USED TO MANAGE NIM DURING THE 12 MONTHS ENDED MARCH 31,
2006?
As interest rates rose and the yield curve flattened during this period, our key
strategies continued to include careful duration1 management and yield curve
positioning. On the whole, bonds in the intermediate range of the yield curve
were the most negatively impacted by changes in the curve over this period. As a
result, these bonds generally underperformed bonds with longer durations as well
as the municipal market as a whole, with issues having the longest durations (22
years and longer) posting the best returns for the period. This environment
presented some challenges for NIM, which--in keeping with its investment
parameters--maintains a maximum average maturity of 15 years for portfolio
holdings.
Consequently, our purchase activity during this period focused mainly on the
longer end of the range of bonds we could purchase for the Fund, that is, bonds
maturing in 10 to 20 years. In addition to helping us position NIM's duration
more advantageously in the current environment, we believed that bonds in this
part of the yield curve generally offered more attractive opportunities and the
best values. During this period, we also reinvested proceeds from called bonds
and sinking fund payments in the 10- to 20-year part of the curve, which helped
to improve NIM's overall call protection profile.
In looking for potential purchase candidates, we kept an opportunistic eye
toward all types of issuance that we believed could add value to NIM's
portfolio. Because NIM entered this reporting period fully invested and with
routine bond call exposure, the sharp
1 Duration is a measure of a bond's price sensitivity as interest rates
change, with longer duration bonds displaying more sensitivity to these
changes than bonds with shorter durations.
5
decline in supply during the last three months of this period had little impact
on our purchase activity or on our ability to keep the Fund fully invested.
During this period, the types of bonds we sought for NIM were generally more
defensive, including higher coupon bonds that can help to protect the Fund from
interest rate risk by providing a "cushion" of additional income if rates
continue to rise. For the most part, we also focused on purchasing higher
quality bonds (i.e., AAA and AA rated). In our opinion, NIM's current exposure
to bonds rated BBB or lower and nonrated bonds is at an appropriate level for
the Fund, and our goal during this period was to maintain, but not expand, that
exposure.
Overall, NIM continued to be well diversified geographically. During this
period, we purchased additional paper issued in specialty states, particularly
Florida, Kentucky, and Colorado, where we found attractively priced
opportunities. Because of the higher tax levels in many of these specialty
states, these bonds are generally in great demand by retail investors, which
helps to support their value.
HOW DID THE FUND PERFORM?
Results for NIM, as well as relevant index and peer group information, are
presented in the accompanying table.
TOTAL RETURNS ON NET ASSET VALUE*
For periods ended 3/31/06
1-YEAR 5-YEAR 10-YEAR
--------------------------------------------------------------------------------
NIM 4.02% 2.86% 4.03%
--------------------------------------------------------------------------------
Lehman Brothers
7-Year Municipal
Bond Index2 2.63% 4.57% 5.28%
--------------------------------------------------------------------------------
Lipper General and
Insured Unleveraged
Municipal Debt Funds
Average3 5.08% 5.05% 5.47%
--------------------------------------------------------------------------------
* Annualized.
Past performance is not predictive of future results. Current performance may be
higher or lower than the data shown. Returns do not reflect the deduction of
taxes that shareholders may have to pay on Fund distributions or upon the sale
of Fund shares.
For additional information, see the Performance Overview page for NIM in this
report.
2 The Lehman Brothers 7-Year Municipal Bond Index is an unleveraged,
unmanaged national 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.
3 The Lipper General and Insured Unleveraged Municipal Debt Funds category
average is calculated using the returns of all closed-end exchange-traded
funds in this category for each period as follows: 1 year, 8; 5 years, 8;
and 10 years, 8. Fund and Lipper returns assume reinvestment of dividends.
6
For the 12 months ended March 31, 2006, the total return on net asset value
(NAV) for NIM outperformed the return for its Lehman Brothers benchmark. Due in
part to its intermediate-term orientation, NIM underperformed the average return
for the Lipper peer group, which consists predominately of longer-term funds.
This was especially relevant during this reporting period, when the longest
bonds posted the best returns.
During this reporting period, factors having an impact on NIM's return included
yield curve and duration positioning, allocations to lower-rated credits, and
security-specific issues such as advance refundings4 and credit spreads.
As the yield curve continued to flatten over the course of this period, yield
curve and duration positioning played an important role in NIM's performance. As
noted earlier, intermediate bonds were the most impacted by the recent changes
in the yield curve and generally underperformed longer bonds. While NIM
maintained its intermediate-term orientation, our trading activity over the past
12 months, which emphasized bonds at the longer-end of the maturity range we can
purchase for this Fund, helped NIM's performance for the period.
With bonds rated BBB or lower and nonrated bonds generally outperforming other
credit quality sectors during this period, NIM benefited from its allocation of
lower-quality credits. The performance of this sector was largely the result of
investor demand for the higher yields typically associated with lower-quality
bonds, which drove up their value and caused credit spreads to tighten. As of
March 31, 2006, bonds rated BBB or lower and nonrated bonds accounted for 19% of
NIM's portfolio. NIM's heavy exposure to this sector of the market contributed
to its outperformance of the Lehman Brothers 7-Year Municipal Bond Index, which
has a smaller allocation of lower-rated bonds.
Among the lower-rated holdings making contributions to NIM's total return for
this period were healthcare (including hospital) bonds, charter schools, tax
incremental finance districts, and tobacco credits. As of March 31, 2006, NIM
held approximately 4% of its portfolio in unenhanced, uninsured tobacco bonds,
which were among the top performing sectors for 2005. In terms of total return
performance for this reporting period, the top three holdings in NIM's portfolio
were Iowa Tobacco Settlement Authority, which was rated BBB prior to refunding;
BBB rated Badger Tobacco Asset Securitization Corporation
4 Advance refundings, also known as pre-refundings or refinancings, occur
when an issuer sells new bonds and uses the proceeds to fund principal and
interest payments of older existing bonds. This process often results in
lower borrowing costs for bond issuers.
7
bonds (Wisconsin); and bonds issued by the Northwest Parkway Public Highway
Authority (Colorado).
We also continued to see a number of advance refundings during this period,
which benefited NIM through price appreciation and enhanced credit quality.
Approximately 3% of the Fund's portfolio was advance-refunded during this
period, including our $1.8 million position in tobacco credits issued by the
Iowa Tobacco Settlement Authority; and $515,000 in bonds issued by the Illinois
Health Facilities Authority for Silver Cross Hospital and Medical Centers.
While advance refundings generally enhanced performance for this 12-month
period, the rising interest rate environment--especially at the short-end of the
yield curve--meant that NIM's holdings of older, previously pre-refunded bonds
tended to underperform the general municipal market, due primarily to the
shorter effective maturities of these bonds.
HOW WAS NIM POSITIONED IN TERMS OF CREDIT QUALITY AND BOND CALLS AS OF MARCH 31,
2006?
We continued to believe that maintaining strong overall credit quality was an
important requirement. As of March 31, 2006, NIM continued to offer excellent
credit quality, with 66% of its portfolio allocated to bonds rated AAA/U.S.
guaranteed and AA and another 15% in bonds rated A.
As of March 31, 2006, 6% of NIM's portfolio was subject to potential bond calls
during the period April 2006 through the end of 2007. NIM continued to hold
these callable bonds in part due to their income and performance potential. The
number of actual bond calls will depend largely on future market interest rates.
8
Dividend and Share Price
INFORMATION
NIM was able to maintain a stable dividend throughout this 12-month reporting
period. In addition, due to capital gains generated by normal portfolio
activity, NIM's shareholders received a net ordinary income distribution of
$0.0014 per share at the end of December 2005.
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 March 31, 2006, NIM had a positive UNII balance for tax
purposes and a negative UNII balance for financial statement purposes.
At the end of the reporting period on March 31, 2006, NIM was trading at a
discount of -1.97% to its NAV. By comparison, the Fund's average discount over
the entire 12-month reporting period was -4.24%.
9
Nuveen Select Maturities Municipal Fund
NIM
Performance
OVERVIEW As of March 31, 2006
Pie Chart:
CREDIT QUALITY
(as a % of total investments)
AAA/U.S. Guaranteed 60%
AA 6%
A 15%
BBB 14%
BB or Lower 1%
N/R 4%
Bar Chart:
2005-2006 MONTHLY TAX-FREE DIVIDENDS PER SHARE 2
Apr 0.0395
May 0.0395
Jun 0.0395
Jul 0.0395
Aug 0.0395
Sep 0.0395
Oct 0.0395
Nov 0.0395
Dec 0.0395
Jan 0.0395
Feb 0.0395
Mar 0.0395
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
4/01/05 9.3
9.3
9.3
9.33
9.31
9.36
9.43
9.62
9.53
9.55
9.55
9.63
9.59
9.65
9.55
9.5
9.63
9.49
9.5
9.59
9.52
9.52
9.56
9.55
9.64
9.63
9.52
9.67
9.68
9.7
9.64
9.58
9.68
9.59
9.62
9.64
9.82
9.75
9.8
9.81
9.81
9.89
9.89
9.88
9.75
9.78
9.77
9.86
9.83
9.8
9.72
9.77
9.67
9.68
9.7
9.68
9.65
9.7
9.68
9.66
9.72
9.83
9.81
9.78
9.83
9.84
9.91
10.03
10.08
9.95
9.84
10.05
10.05
9.87
10.04
10
10.07
9.99
9.98
10
10.09
10.08
10.09
10.14
10.2
10.2
10.2
10.05
9.99
9.87
9.81
9.93
9.82
9.83
9.84
9.87
9.88
9.87
9.9
9.9
10.07
10.05
10.05
10.18
10.2
10.06
9.94
9.95
10
10.19
10.06
10.14
10.14
10.11
10.15
10.15
10.05
10.13
9.94
9.94
10.08
10.01
10.02
10.08
10.03
10.1
10.15
10.3
10.27
10.3
10.34
10.15
10.04
9.85
9.88
9.76
9.7
9.65
9.6
9.71
9.94
10.04
9.8
9.97
10.02
9.95
9.74
9.72
9.95
9.76
9.98
10
9.67
9.61
9.72
9.72
9.81
9.75
9.72
9.63
9.75
9.63
9.61
9.61
9.66
9.67
9.67
9.72
9.63
9.63
9.59
9.55
9.68
9.79
9.56
9.62
9.47
9.45
9.47
9.46
9.46
9.5
9.42
9.42
9.4
9.5
9.45
9.49
9.53
9.53
9.51
9.66
9.6
9.6
9.53
9.55
9.71
9.9
9.96
9.8
9.85
10
10.05
10.12
9.81
10.14
10.08
10.15
9.95
9.95
10.04
9.99
10.01
10.01
10
10.01
9.83
9.91
9.76
9.76
9.86
9.85
9.85
9.8
9.96
10.09
9.9
9.78
10.01
9.9
9.99
9.89
9.81
9.83
9.78
9.79
9.72
9.75
9.72
9.83
9.83
9.76
9.89
9.91
10
9.96
9.9
9.9
9.99
9.97
9.99
9.94
10
9.98
9.84
3/31/06 9.95
FUND SNAPSHOT
------------------------------------
Share Price $9.95
------------------------------------
Net Asset Value $10.15
------------------------------------
Premium/(Discount) to NAV -1.97%
------------------------------------
Market Yield 4.76%
------------------------------------
Taxable-Equivalent Yield1 6.61%
------------------------------------
Net Assets ($000) $125,857
------------------------------------
Average Effective
Maturity on Securities
(Years) 10.94
------------------------------------
Modified Duration 4.11
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 9/18/92)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
1-Year 12.21% 4.02%
------------------------------------
5-Year 2.96% 2.86%
------------------------------------
10-Year 4.13% 4.03%
------------------------------------
STATES
(as a % of total investments)
------------------------------------
Colorado 12.9%
------------------------------------
Illinois 11.4%
------------------------------------
Washington 9.7%
------------------------------------
New York 8.5%
------------------------------------
South Carolina 6.5%
------------------------------------
Texas 5.8%
------------------------------------
District of Columbia 4.1%
------------------------------------
Wisconsin 3.8%
------------------------------------
Florida 3.8%
------------------------------------
Arkansas 3.0%
------------------------------------
Kansas 3.0%
------------------------------------
Iowa 2.4%
------------------------------------
Michigan 2.3%
------------------------------------
Alabama 2.1%
------------------------------------
Tennessee 1.8%
------------------------------------
California 1.8%
------------------------------------
Utah 1.7%
------------------------------------
Connecticut 1.7%
------------------------------------
Other 13.7%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Utilities 20.8%
------------------------------------
Health Care 15.8%
------------------------------------
U.S. Guaranteed 15.2%
------------------------------------
Tax Obligation/Limited 11.1%
------------------------------------
Consumer Staples 5.8%
------------------------------------
Transportation 5.5%
------------------------------------
Long-Term Care 5.3%
------------------------------------
Tax Obligation/General 5.1%
------------------------------------
Education and Civic
Organizations 4.6%
------------------------------------
Other 10.8%
------------------------------------
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%. When comparing
this Fund to investments that generate qualified dividend income, the
Taxable-Equivalent Yield is lower.
2 The Fund paid shareholders a net ordinary income distribution in December
2005 of $0.0014 per share.
10
Report of
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS
NUVEEN SELECT MATURITIES MUNICIPAL FUND
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Nuveen Select Maturities Municipal Fund as of
March 31, 2006, and the related statement of operations for the year then ended,
the statement of changes in net assets for each of the two years in the period
then ended, and the financial highlights for each of the periods indicated
therein. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Fund's internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Fund's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of March 31, 2006, by correspondence with the custodian. We
believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Nuveen
Select Maturities Municipal Fund at March 31, 2006, the results of its
operations for the year then ended, changes in its net assets for each of the
two years in the period then ended, and its financial highlights for each of the
periods indicated therein in conformity with U.S. generally accepted accounting
principles.
/s/ Ernst & Young LLP
Chicago, Illinois
May 11, 2006
11
Nuveen Select Maturities Municipal Fund (NIM)
Portfolio of
INVESTMENTS March 31, 2006
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION PROVISIONS (1) RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
ALABAMA - 2.1%
$ 2,000 Alabama 21st Century Authority, Tobacco Settlement Revenue 12/11 at 101.00 A- $ 2,110,980
Bonds, Series 2001, 5.750%, 12/01/17
500 Marshall County Healthcare Authority, Alabama, Revenue Bonds, 1/12 at 101.00 A- 544,415
Series 2002A, 6.250%, 1/01/22
------------------------------------------------------------------------------------------------------------------------------------
2,500 Total Alabama 2,655,395
------------------------------------------------------------------------------------------------------------------------------------
ARIZONA - 1.2%
700 Phoenix Industrial Development Authority, Arizona, Statewide 4/08 at 101.50 AAA 721,301
Single Family Mortgage Revenue Bonds, Series 1998C,
6.650%, 10/01/29 (Alternative Minimum Tax)
750 Winslow Industrial Development Authority, Arizona, Hospital No Opt. Call N/R 754,477
Revenue Bonds, Winslow Memorial Hospital, Series 1998,
5.750%, 6/01/08
------------------------------------------------------------------------------------------------------------------------------------
1,450 Total Arizona 1,475,778
------------------------------------------------------------------------------------------------------------------------------------
ARKANSAS - 2.9%
1,000 Fort Smith, Arkansas, Water and Sewer Revenue Refunding and 10/11 at 100.00 AAA 1,062,940
Construction Bonds, Series 2002A, 5.250%, 10/01/17 - FSA Insured
1,000 Jonesboro, Arkansas, Industrial Development Revenue Bonds, No Opt. Call A+ 1,032,680
Anheuser Busch Inc. Project, Series 2002, 4.600%, 11/15/12
1,380 North Little Rock, Arkansas, Electric Revenue Refunding Bonds, No Opt. Call AAA 1,593,279
Series 1992A, 6.500%, 7/01/15 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
3,380 Total Arkansas 3,688,899
------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA - 1.7%
2,115 Vernon, California, Electric System Revenue Bonds, Malburg 4/08 at 100.00 Aaa 2,186,931
Generating Station Project, Series 2003C, 5.250%, 4/01/17
(Pre-refunded 4/01/08)
------------------------------------------------------------------------------------------------------------------------------------
COLORADO - 12.8%
2,895 Centennial Downs Metropolitan District, Colorado, General 12/14 at 100.00 AAA 3,047,653
Obligation Bonds, Series 1999, 5.000%, 12/01/20 -
AMBAC Insured
1,175 Colorado Educational and Cultural Facilities Authority, Charter 12/13 at 100.00 AAA 1,187,467
School Revenue Bonds, Classical Academy, Series 2003,
4.500%, 12/01/18 - XLCA Insured
1,405 Colorado Educational and Cultural Facilities Authority, Charter 7/12 at 100.00 BBB 1,460,315
School Revenue Bonds, Douglas County School District
RE-1 - DCS Montessori School, Series 2002A, 6.000%, 7/15/22
435 Colorado Housing Finance Authority, Single Family Program 4/10 at 105.00 AA 445,710
Senior Bonds, Series 2000D-2, 6.900%, 4/01/29
(Alternative Minimum Tax)
1,025 Denver Health and Hospitals Authority, Colorado, Healthcare 12/11 at 100.00 BBB 1,089,749
Revenue Bonds, Series 2001A, 6.000%, 12/01/23
1,465 Denver West Metropolitan District, Colorado, General Obligation 12/13 at 100.00 AA 1,458,071
Refunding and Improvement Bonds, Series 2003,
4.500%, 12/01/18 - RAAI Insured
1,340 Eagle Bend Metropolitan District 2, Colorado, General 12/14 at 101.00 AA 1,389,835
Obligation Bonds, Series 2004, 5.000%, 12/01/20 -
RAAI Insured
132 El Paso County, Colorado, FNMA Mortgage-Backed Single Family No Opt. Call Aaa 132,893
Revenue Refunding Bonds, Series 1992A-2, 8.750%, 6/01/11
70 Northwest Parkway Public Highway Authority, Colorado, Revenue 6/11 at 102.00 AAA 73,205
Bonds, Senior Series 2001A, 5.250%, 6/15/41 - FSA Insured
5,875 Northwest Parkway Public Highway Authority, Colorado, Senior 6/11 at 38.04 AAA 1,760,268
Lien Revenue Bonds, Series 2001B, 0.000%, 6/15/27 -
AMBAC Insured
12
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION PROVISIONS (1) RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
COLORADO (continued)
$ 1,000 Summit County, Colorado, Sports Facilities Revenue Refunding No Opt. Call AAA $ 1,016,670
Bonds, Keystone Resorts Management, Inc. Project,
Series 1990, 7.750%, 9/01/06
2,845 University of Colorado Hospital Authority, Revenue Bonds, 11/11 at 100.00 Baa1 2,986,254
Series 2001A, 5.600%, 11/15/21
------------------------------------------------------------------------------------------------------------------------------------
19,662 Total Colorado 16,048,090
------------------------------------------------------------------------------------------------------------------------------------
CONNECTICUT - 1.7%
Eastern Connecticut Resource Recovery Authority, Solid Waste
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
500 5.500%, 1/01/14 (Alternative Minimum Tax) 7/06 at 100.00 BBB 503,250
1,570 5.500%, 1/01/15 (Alternative Minimum Tax) 1/15 at 100.00 BBB 1,590,175
------------------------------------------------------------------------------------------------------------------------------------
2,070 Total Connecticut 2,093,425
------------------------------------------------------------------------------------------------------------------------------------
DISTRICT OF COLUMBIA - 4.0%
4,105 District of Columbia, General Obligation Refunding Bonds, No Opt. Call AAA 4,135,295
Series 1993A, 6.000%, 6/01/07 - MBIA Insured
900 District of Columbia, General Obligation Refunding Bonds, No Opt. Call AAA 906,912
Series 1993A, 6.000%, 6/01/07 - MBIA Insured (ETM)
------------------------------------------------------------------------------------------------------------------------------------
5,005 Total District of Columbia 5,042,207
------------------------------------------------------------------------------------------------------------------------------------
FLORIDA - 3.7%
2,400 Deltona, Florida, Utility Systems Water and Sewer Revenue 10/13 at 100.00 AAA 2,582,280
Bonds, Series 2003, 5.250%, 10/01/17 - MBIA Insured
2,000 Orange County, Florida, Tourist Development Tax Revenue Bonds, 10/15 at 100.00 AAA 2,112,240
Series 2005, 5.000%, 10/01/22 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
4,400 Total Florida 4,694,520
------------------------------------------------------------------------------------------------------------------------------------
ILLINOIS - 11.2%
845 Chicago, Illinois, Tax Increment Allocation Bonds, Irving/Cicero 1/09 at 100.00 N/R 894,171
Redevelopment Project, Series 1998, 7.000%, 1/01/14
4,920 Illinois Development Finance Authority, GNMA Collateralized 4/11 at 105.00 Aaa 5,074,390
Mortgage Revenue Bonds, Greek American Nursing Home
Committee, Series 2000A, 7.600%, 4/20/40
2,000 Illinois Development Finance Authority, Revenue Refunding 4/10 at 102.00 BBB- 2,144,660
Bonds, Olin Corporation, Series 1993D, 6.750%, 3/01/16
2,000 Illinois Educational Facilities Authority, Revenue Bonds, 3/34 at 100.00 A1 1,999,640
Art Institute of Chicago, Series 2000, 4.450%, 3/01/34
(Mandatory put 3/01/15)
1,000 Illinois Educational Facilities Authority, Student Housing 5/12 at 101.00 Baa3 1,110,670
Revenue Bonds, Educational Advancement Foundation Fund,
University Center Project, Series 2002, 6.625%, 5/01/17
695 Illinois Health Facilities Authority, Revenue Bonds, Silver Cross 8/09 at 101.00 A 719,700
Hospital and Medical Centers, Series 1999, 5.500%, 8/15/19
515 Illinois Health Facilities Authority, Revenue Bonds, Silver 8/09 at 101.00 A (3) 547,569
Cross Hospital and Medical Centers, Series 1999,
5.500%, 8/15/19 (Pre-refunded 8/15/09)
1,000 Illinois Health Facilities Authority, Revenue Refunding Bonds, 2/19 at 100.00 A+ 1,013,800
Edward Hospital, Series 1993A, 6.000%, 2/15/19
585 Illinois Housing Development Authority, Section 8 Elderly 5/06 at 100.00 A- 585,614
Housing Revenue Bonds, Skyline Towers Apartments,
Series 1992B, 6.625%, 11/01/07
------------------------------------------------------------------------------------------------------------------------------------
13,560 Total Illinois 14,090,214
------------------------------------------------------------------------------------------------------------------------------------
INDIANA - 0.8%
1,000 Indianapolis Local Public Improvement Bond Bank, Indiana, No Opt. Call AA 1,024,040
Series 1992D, 6.600%, 2/01/07
------------------------------------------------------------------------------------------------------------------------------------
13
Nuveen Select Maturities Municipal Fund (NIM) (continued)
Portfolio of INVESTMENTS March 31, 2006
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION PROVISIONS (1) RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
IOWA - 2.4%
$ 1,000 Iowa Finance Authority, Healthcare Revenue Bonds, Genesis 7/10 at 100.00 A1 $ 1,065,530
Medical Center, Series 2000, 6.250%, 7/01/25
1,800 Iowa Tobacco Settlement Authority, Tobacco Settlement 6/11 at 101.00 AAA 1,918,656
Asset-Backed Revenue Bonds, Series 2001B, 5.300%, 6/01/25
(Pre-refunded 6/01/11)
------------------------------------------------------------------------------------------------------------------------------------
2,800 Total Iowa 2,984,186
------------------------------------------------------------------------------------------------------------------------------------
KANSAS - 2.9%
3,500 Wichita, Kansas, Hospital Facilities Revenue Refunding and 11/11 at 101.00 A+ 3,670,765
Improvement Bonds, Via Christi Health System Inc.,
Series 2001-III, 5.500%, 11/15/21
------------------------------------------------------------------------------------------------------------------------------------
KENTUCKY - 1.6%
2,000 Kentucky Housing Corporation, Housing Revenue Bonds, 1/15 at 100.60 AAA 2,060,880
Series 2005G, 5.000%, 7/01/30 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
MARYLAND - 0.9%
1,100 Maryland Energy Financing Administration, Revenue Bonds, 9/07 at 100.00 N/R 1,113,508
AES Warrior Run Project, Series 1995, 7.400%, 9/01/19
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
MASSACHUSETTS - 1.3%
1,480 Massachusetts Housing Finance Agency, Rental Housing 7/10 at 100.00 AAA 1,583,230
Mortgage Revenue Bonds, Series 2000H, 6.650%, 7/01/41 -
MBIA Insured (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
MICHIGAN - 2.3%
1,000 Cornell Township Economic Development Corporation, 5/12 at 100.00 AAA 1,111,030
Michigan, Environmental Improvement Revenue Refunding
Bonds, MeadWestvaco Corporation-Escanaba Project,
Series 2002, 5.875%, 5/01/18 (Pre-refunded 5/01/12)
644 Michigan State Hospital Finance Authority, Collateralized Loan, No Opt. Call Baa2 646,178
Detroit Medical Center, Series 2001, 7.360%, 3/01/07
600 Michigan State Hospital Finance Authority, Hospital Revenue 7/06 at 102.00 Ba3 604,488
Refunding Bonds, Sinai Hospital, Series 1995, 6.625%, 1/01/16
470 Michigan State Hospital Finance Authority, Revenue Refunding 8/12 at 100.00 BB- 470,724
Bonds, Detroit Medical Center, Series 1988A, 8.125%, 8/15/12
------------------------------------------------------------------------------------------------------------------------------------
2,714 Total Michigan 2,832,420
------------------------------------------------------------------------------------------------------------------------------------
MINNESOTA - 0.9%
1,000 White Earth Band of Chippewa Indians, Minnesota, Revenue No Opt. Call A 1,069,880
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 1,051,440
Schools, General Obligation Bonds, Series 2004,
5.000%, 12/15/19 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
NEW YORK - 8.4%
1,000 Dormitory Authority of the State of New York, Revenue Bonds, 7/13 at 100.00 AA 1,080,460
Brooklyn Law School, Series 2003A, 5.500%, 7/01/15 -
RAAI Insured
1,500 New York State Energy Research and Development Authority, 6/36 at 100.00 A1 1,500,390
Facilities Revenue Bonds, Consolidated Edison Company Inc.,
Series 2001A, 4.700%, 6/01/36 (Mandatory put 10/01/12)
(Alternative Minimum Tax)
695 New York State Medical Care Facilities Finance Agency, 8/06 at 102.00 AA+ 710,109
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 Obligation No Opt. Call AAA 2,273,839
Water Treatment Plant Bonds, Series 1994,
8.500%, 11/01/07 - MBIA Insured (Alternative Minimum
Tax) (ETM)
4,300 Port Authority of New York and New Jersey, Special Project No Opt. Call AAA 4,952,955
Bonds, JFK International Air Terminal LLC, Sixth Series 1997,
7.000%, 12/01/12 - MBIA Insured (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
9,625 Total New York 10,517,753
------------------------------------------------------------------------------------------------------------------------------------
14
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION PROVISIONS (1) RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
NORTH CAROLINA - 1.6%
$ 1,880 Union County, North Carolina, Certificates of Participation, 6/13 at 101.00 AAA $ 1,990,281
Series 2003, 5.000%, 6/01/18 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
OHIO - 0.7%
1,000 Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, No Opt. Call A+ 1,007,590
Cargill Inc., Series 2004B, 4.500%, 12/01/15
------------------------------------------------------------------------------------------------------------------------------------
OKLAHOMA - 0.9%
1,150 Oklahoma State Industries Authority, Health System Revenue 8/06 at 102.00 AAA 1,177,416
Refunding Bonds, Baptist Medical Center, Series 1995D,
5.000%, 8/15/14 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
PENNSYLVANIA - 1.2%
1,300 Pennsylvania Higher Educational Facilities Authority, College No Opt. Call Aaa 1,490,203
Revenue Bonds, Ninth Series 1976, 7.625%, 7/01/15 (ETM)
------------------------------------------------------------------------------------------------------------------------------------
SOUTH CAROLINA - 6.4%
750 Berkeley County School District, South Carolina, Installment 12/13 at 100.00 AA 782,625
Purchase Revenue Bonds, Securing Assets for Education,
Series 2003, 5.250%, 12/01/19
1,540 Piedmont Municipal Power Agency, South Carolina, Electric No Opt. Call AAA 1,932,330
Revenue Bonds, Series 1991, 6.750%, 1/01/19 -
FGIC Insured (ETM)
2,835 Piedmont Municipal Power Agency, South Carolina, Electric No Opt. Call AAA 3,487,419
Revenue Bonds, Series 1991, 6.750%, 1/01/19 - FGIC Insured
1,260 South Carolina JOBS Economic Development Authority, No Opt. Call Baa2 (3) 1,382,951
Hospital Revenue Bonds, Palmetto Health Alliance,
Series 2000A, 7.000%, 12/15/10 (ETM)
500 Tobacco Settlement Revenue Management Authority, 5/11 at 101.00 BBB 524,580
South Carolina, Tobacco Settlement Asset-Backed Bonds,
Series 2001B, 6.000%, 5/15/22
------------------------------------------------------------------------------------------------------------------------------------
6,885 Total South Carolina 8,109,905
------------------------------------------------------------------------------------------------------------------------------------
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 (Pre-refunded 9/01/12) 9/12 at 100.00 A- (3) 841,695
1,250 6.000%, 9/01/17 (Pre-refunded 9/01/12) 9/12 at 100.00 A- (3) 1,402,825
------------------------------------------------------------------------------------------------------------------------------------
2,000 Total Tennessee 2,244,520
------------------------------------------------------------------------------------------------------------------------------------
TEXAS - 5.7%
1,055 Austin, Texas, General Obligation Bonds, Series 2004, 9/14 at 100.00 AAA 1,102,486
5.000%, 9/01/20 - MBIA Insured
385 Austin-Travis County Mental Health Center, Texas, Revenue 9/06 at 100.50 AAA 390,983
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 1,981,020
Refunding Bonds, CenterPoint Energy Inc., Series 2004B,
4.250%, 12/01/17 - FGIC Insured
140 Galveston Property Finance Authority Inc., Texas, Single Family 9/06 at 100.00 A3 140,403
Mortgage Revenue Bonds, Series 1991A, 8.500%, 9/01/11
2,500 Matagorda County Navigation District 1, Texas, Pollution 11/29 at 100.00 BBB 2,512,475
Control Revenue Refunding Bonds, Central Power and Light
Company, Series 2001A, 4.550%, 11/01/29 (Mandatory
put 11/01/06)
460 Tom Green County Health Facilities Development Corporation, No Opt. Call Baa3 460,676
Texas, Hospital Revenue Bonds, Shannon Health System
Project, Series 2001, 5.600%, 5/15/06
200 Travis County Health Facilities Development Corporation, 6/06 at 100.00 Aaa 200,174
Texas, Hospital Revenue Bonds, Daughters of Charity
National Health System, Series 1993B, 5.900%, 11/15/07 (ETM)
415 Tri-County Mental Health and Retardation Center, Texas, 9/06 at 100.50 AAA 421,449
Revenue Bonds, Facilities Acquisition Program, Series 1995E,
6.500%, 3/01/15 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
7,155 Total Texas 7,209,666
------------------------------------------------------------------------------------------------------------------------------------
15
Nuveen Select Maturities Municipal Fund (NIM) (continued)
Portfolio of INVESTMENTS March 31, 2006
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION PROVISIONS (1) RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
UTAH - 1.7%
$ 2,055 Bountiful, Davis County, Utah, Hospital Revenue Refunding No Opt. Call N/R $ 2,125,692
Bonds, South Davis Community Hospital Project, Series 1998,
6.000%, 12/15/10
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON - 9.6%
Washington Public Power Supply System, Revenue Refunding
Bonds, Nuclear Project 1, Series 1993A:
1,340 7.000%, 7/01/07 (ETM) No Opt. Call Aaa 1,395,690
1,130 7.000%, 7/01/08 (ETM) No Opt. Call Aaa 1,211,609
Washington Public Power Supply System, Revenue Refunding
Bonds, Nuclear Project 1, Series 1993A:
160 7.000%, 7/01/07 No Opt. Call Aaa 166,429
1,870 7.000%, 7/01/08 No Opt. Call AAA 2,000,021
295 Washington Public Power Supply System, Revenue Refunding No Opt. Call AAA 363,747
Bonds, Nuclear Project 3, Series 1989B, 7.125%, 7/01/16 -
MBIA Insured
7,000 Washington Public Power Supply System, Revenue Refunding No Opt. Call Aaa 6,938,747
Bonds, Nuclear Project 3, Series 1990B, 0.000%, 7/01/06
------------------------------------------------------------------------------------------------------------------------------------
11,795 Total Washington 12,076,243
------------------------------------------------------------------------------------------------------------------------------------
WEST VIRGINIA - 1.6%
2,000 Harrison County Commission, West Virginia, Solid Waste 8/06 at 100.00 AAA 2,021,200
Disposal Revenue Bonds, West Penn Power Company,
Series 1994C, 6.750%, 8/01/24 - MBIA Insured (Alternative
Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
WISCONSIN - 3.8%
Badger Tobacco Asset Securitization Corporation, Wisconsin,
Tobacco Settlement Asset-Backed Bonds, Series 2002:
875 6.125%, 6/01/27 6/12 at 100.00 BBB 925,899
1,480 6.375%, 6/01/32 6/12 at 100.00 BBB 1,587,936
1,000 Wisconsin Health and Educational Facilities Authority, 7/11 at 100.00 A- 1,061,450
Revenue Bonds, Agnesian Healthcare Inc., Series 2001,
6.000%, 7/01/21
1,150 Wisconsin Health and Educational Facilities Authority, Revenue 2/09 at 101.00 A 1,180,441
Bonds, Aurora Health Care Inc., Series 1999A,
5.500%, 2/15/20 - ACA Insured
------------------------------------------------------------------------------------------------------------------------------------
4,505 Total Wisconsin 4,755,726
------------------------------------------------------------------------------------------------------------------------------------
$ 122,086 Total Investments (cost $121,354,800) - 98.6% 124,092,003
=============-----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 1.4% 1,764,791
--------------------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 125,856,794
====================================================================================================================
(1) Optional Call Provisions (not covered by the report of
independent registered public accounting firm): Dates
(month and year) and prices of the earliest optional
call or redemption. There may be other call provisions
at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic
principal paydowns.
(2) Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating. Ratings below BBB
by Standard & Poor's Group or Baa by Moody's Investor
Service, Inc. are considered to be below investment
grade.
(3) Backed by an escrow or trust containing sufficient U.S.
Government or U.S. Government agency securities which
ensure the timely payment of principal and interest.
Such investments are normally considered to be
equivalent to AAA rated securities.
N/R Not rated.
(ETM) Escrowed to maturity.
See accompanying notes to financial statements.
16
Statement of
ASSETS AND LIABILITIES March 31, 2006
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $121,354,800) $124,092,003
Receivables:
Interest 2,033,593
Investments sold 330,000
Other assets 7,804
------------------------------------------------------------------------------------------------------------------------------------
Total assets 126,463,400
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Cash overdraft 523,021
Accrued expenses:
Management fees 52,408
Other 31,177
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 606,606
------------------------------------------------------------------------------------------------------------------------------------
Net assets $125,856,794
====================================================================================================================================
Shares outstanding 12,396,406
====================================================================================================================================
Net asset value per share outstanding (net assets divided by shares outstanding) $ 10.15
====================================================================================================================================
NET ASSETS CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Shares, $.01 par value per share $ 123,964
Paid-in surplus 138,331,037
Undistributed (Over-distribution of) net investment income (34,864)
Accumulated net realized gain (loss) from investments (15,300,546)
Net unrealized appreciation (depreciation) of investments 2,737,203
------------------------------------------------------------------------------------------------------------------------------------
Net assets $125,856,794
====================================================================================================================================
Authorized shares Unlimited
====================================================================================================================================
See accompanying notes to financial statements.
17
Statement of
OPERATIONS Year Ended March 31, 2006
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME $6,677,890
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 622,490
Shareholders' servicing agent fees and expenses 13,136
Custodian's fees and expenses 32,077
Trustees' fees and expenses 2,718
Professional fees 12,498
Shareholders' reports - printing and mailing expenses 27,087
Stock exchange listing fees 10,246
Investor relations expense 19,702
Other expenses 6,485
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit 746,439
Custodian fee credit (18,718
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 727,721
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 5,950,169
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments (21,565)
Change in net unrealized appreciation (depreciation) of investments (838,865)
------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (860,430)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $5,089,739
====================================================================================================================================
See accompanying notes to financial statements.
18
Statement of
CHANGES IN NET ASSETS
YEAR ENDED YEAR ENDED
3/31/06 3/31/05
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 5,950,169 $ 6,112,779
Net realized gain (loss) from investments (21,565) 22,958
Change in net unrealized appreciation (depreciation) of investments (838,865) (1,920,901)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 5,089,739 4,214,836
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (5,892,915) (5,904,969)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (5,892,915) (5,904,969)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from shares issued to shareholders due to reinvestment of distributions 14,771 --
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from capital share transactions 14,771 --
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (788,405) (1,690,133)
Net assets at the beginning of year 126,645,199 128,335,332
------------------------------------------------------------------------------------------------------------------------------------
Net assets at the end of year $125,856,794 $126,645,199
====================================================================================================================================
Undistributed (Over-distribution of) net investment income at the end of year $ (34,864) $ (88,272)
====================================================================================================================================
See accompanying notes to financial statements.
19
Notes to
FINANCIAL STATEMENTS
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The fund covered in this report and its corresponding 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 the Adviser,
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.
Investment 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 market price
quotes are not readily available (which is usually the case for municipal
securities), the pricing service or, in the absence of a pricing service for a
particular security, the Board of Trustees of the Funds, or its designee, may
establish fair market value using a wide variety of market data including yields
or prices of municipal bonds of comparable quality, type of issue, coupon,
maturity and rating, market quotes or indications of value from securities
dealers, evaluations of anticipated cash flows or collateral, general market
conditions and other information and analysis, including the obligor's credit
characteristics considered relevant by the pricing service or the Board of
Trustees' designee. Temporary investments in securities that have variable rate
and demand features qualifying them as short-term investments are valued at
amortized cost, which approximates market value.
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and
losses from transactions are determined on the specific identification method.
Investments purchased on a when-issued or delayed delivery basis may have
extended settlement periods. Any investments 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 March 31, 2006, the
Fund had no such outstanding purchase commitments.
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.
Federal Income Taxes
The Fund intends to distribute substantially 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. All monthly
tax-exempt income dividends paid during the fiscal year ended March 31, 2006,
have been designated Exempt Interest Dividends. Net realized capital gains and
ordinary income distributions paid by the Fund are subject to federal taxation.
20
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 fiscal year ended March 31, 2006.
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
During the fiscal year ended March 31, 2006, 1,429 shares were issued to
shareholders due to reinvestment of distributions. The Fund did not engage in
transactions in its own shares during the fiscal year ended March 31, 2005.
3. INVESTMENT TRANSACTIONS
Purchases and sales (including maturities but excluding short-term investments)
during the fiscal year ended March 31, 2006, aggregated $8,829,620 and
$8,609,210, 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, timing differences
in recognizing taxable market discount and timing differences in recognizing
certain gains and losses on investment transactions.
At March 31, 2006, the cost of investments was $121,317,441.
Gross unrealized appreciation and gross unrealized depreciation of investments
at March 31, 2006, were as follows:
--------------------------------------------------------------------------------
Gross unrealized:
Appreciation $3,388,557
Depreciation (613,995)
--------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $2,774,562
================================================================================
21
Notes to
FINANCIAL STATEMENTS (continued)
The tax components of undistributed net investment income and net realized gains
at March 31, 2006, were as follows:
--------------------------------------------------------------------------------
Undistributed net tax-exempt income * $353,483
Undistributed net ordinary income ** 63,950
Undistributed net long-term capital gains --
================================================================================
* Undistributed net tax-exempt income (on a tax basis) has not been reduced
for the dividend declared on March 1, 2006, paid on April 3, 2006.
** 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 tax years ended March 31,
2006 and March 31, 2005, was designated for purposes of the dividends paid
deduction as follows:
2006
--------------------------------------------------------------------------------
Distributions from net tax-exempt income $5,875,503
Distributions from net ordinary income ** 17,355
Distributions from net long-term capital gains *** --
================================================================================
2005
--------------------------------------------------------------------------------
Distributions from net tax-exempt income $5,875,221
Distributions from net ordinary income ** 29,748
Distributions from net long-term capital gains --
================================================================================
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
*** The Funds designated as a long-term capital gain dividend, pursuant to
Internal Revenue Code Section 852(b)(3), the amount necessary to reduce the
earnings and profits of the Fund related to net capital gain to zero for
the tax period ended March 31, 2006.
At March 31, 2006, the Fund had unused capital loss carryforwards of $15,295,532
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, $8,737,799 will expire in 2012,
$4,977 will expire in 2013 and $14,448 will expire in 2014.
The Fund elected to defer $5,016 of net realized losses from investments
incurred from November 1, 2005 through March 31, 2006 ("post-October losses") in
accordance with Federal income tax regulations. The post-October losses were
treated as having arisen on the first day of the following fiscal year.
5. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by Nuveen
Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen
Investments, Inc., and a specific fund-level component, based only on the amount
of assets within the Fund. This pricing structure enables Nuveen fund
shareholders to benefit from growth in the assets within the Fund as well as
from growth in the amount of complex-wide assets managed by the Adviser.
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
================================================================================
22
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 stated in the table below. As
of March 31, 2006, the complex-level fee rate was .1887%.
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 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.
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 May 1, 2006, to shareholders
of record on April 15, 2006.
23
Financial
HIGHLIGHTS
Selected data for a share outstanding throughout each period:
INVESTMENT OPERATIONS LESS DISTRIBUTIONS
------------------------------------ -----------------------------------
NET
BEGINNING NET REALIZED/ NET ENDING ENDING
NET ASSET INVESTMENT UNREALIZED INVESTMENT CAPITAL NET ASSET MARKET
VALUE INCOME GAIN (LOSS) TOTAL INCOME GAINS TOTAL VALUE VALUE
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 3/31:
2006 $10.22 $.48 $ (.07) $.41 $(.48) $ -- $(.48) $10.15 $9.95
2005 10.35 .49 (.14) .35 (.48) -- (.48) 10.22 9.30
2004 10.34 .51 -- .51 (.50) -- (.50) 10.35 9.93
2003(a) 10.57 .43 (.22) .21 (.44) -- (.44) 10.34 9.85
Year Ended 5/31:
2002 11.21 .57 (.57) -- (.61) (.03) (.64) 10.57 10.45
2001 11.16 .62 .06 .68 (.63) -- (.63) 11.21 10.87
====================================================================================================================================
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:
2006 12.21% 4.02% $125,857 .59% 4.67% .57% 4.68% 7%
2005 (1.52) 3.44 126,645 .61 4.81 .60 4.82 10
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
====================================================================================================================================
* Annualized.
** After custodian fee credit.
+ Total 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, 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.
See accompanying notes to financial statements.
24-25 spread
Board Members
AND OFFICERS
The management of the Funds, including general supervision of the duties
performed for the Funds by the Adviser, is the responsibility of the Board
Members of the Funds. The number of board members of the Fund is currently set
at nine. None of the board members who are not "interested" persons of the Funds
has ever been a director or employee of, or consultant to, Nuveen or its
affiliates. The names and business addresses of the board members and officers
of the Funds, their principal occupations and other affiliations during the past
five years, the number of portfolios each oversees and other directorships they
hold are set forth below.
NUMBER OF
PORTFOLIOS IN
POSITION(S) YEAR FIRST PRINCIPAL OCCUPATION(S) FUND COMPLEX
NAME, BIRTHDATE HELD WITH ELECTED OR INCLUDING OTHER DIRECTORSHIPS OVERSEEN BY
AND ADDRESS THE FUNDS APPOINTED(2) DURING PAST 5 YEARS BOARD MEMBER
------------------------------------------------------------------------------------------------------------------------------------
BOARD MEMBER WHO IS AN INTERESTED PERSON OF THE FUNDS:
------------------------------------------------------------------------------------------------------------------------------------
Timothy R. Schwertfeger(1) Chairman of 1994 Chairman (since 1996) and Director of Nuveen Investments, 161
3/28/49 the Board Inc., Nuveen Investments, LLC, Nuveen Advisory Corp. and
333 W. Wacker Drive and Board Nuveen Institutional Advisory Corp.(3); Director (since 1996)
Chicago, IL 60606 Member of Institutional Capital Corporation; Chairman and Director
(since 1997) of Nuveen Asset Management; Chairman and
Director of Rittenhouse Asset Management, Inc. (since 1999);
Chairman of Nuveen Investments Advisers Inc. (since 2002).
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS:
------------------------------------------------------------------------------------------------------------------------------------
Robert P. Bremner Board member 1997 Private Investor and Management Consultant. 161
8/22/40
333 W. Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Lawrence H. Brown Board member 1993 Retired (since 1989) as Senior Vice President of The 161
7/29/34 Northern Trust Company; Director (since 2002) Community
333 W. Wacker Drive Advisory Board for Highland Park and Highwood, United
Chicago, IL 60606 Way of the North Shore.
------------------------------------------------------------------------------------------------------------------------------------
Jack B. Evans Board member 1999 President, The Hall-Perrine Foundation, a private philanthropic 161
10/22/48 corporation (since 1996); Director and Vice Chairman, United
333 W. Wacker Drive Fire Group, a publicly held company; Adjunct Faculty Member,
Chicago, IL 60606 University of Iowa; Director, Gazette Companies; Life Trustee
of Coe College and Iowa College Foundation; formerly,
Director, Alliant Energy; formerly, Director, Federal Reserve
Bank of Chicago; formerly, President and Chief Operating Officer,
SCI Financial Group, Inc., a regional financial services firm.
------------------------------------------------------------------------------------------------------------------------------------
William C. Hunter Board member 2004 Dean and Distinguished Professor of Finance, School of 161
3/6/48 Business at the University of Connecticut (since 2002);
333 W. Wacker Drive previously, Senior Vice President and Director of Research
Chicago, IL 60606 at the Federal Reserve Bank of Chicago (1995-2003); Director
(since 1997), Credit Research Center at Georgetown University;
Director (since 2004) of Xerox Corporation; Director, SS&C
Technologies, Inc. (May 2005 - October 2005).
------------------------------------------------------------------------------------------------------------------------------------
David J. Kundert Board member 2005 Retired (since 2004) as Chairman, JPMorgan Fleming Asset 159
10/28/42 Management, President and CEO, Banc One Investment
333 W. Wacker Drive Advisors Corporation, and President, One Group Mutual
Chicago, IL 60606 Funds; prior thereto, Executive Vice President, Banc One
Corporation and Chairman and CEO, Banc One Investment
Management Group; Board of Regents, Luther College;
member of the Wisconsin Bar Association; member of Board
of Directors, Friends of Boerner Botanical Gardens.
26
NUMBER OF
PORTFOLIOS IN
POSITION(S) YEAR FIRST PRINCIPAL OCCUPATION(S) FUND COMPLEX
NAME, BIRTHDATE HELD WITH ELECTED OR INCLUDING OTHER DIRECTORSHIPS OVERSEEN BY
AND ADDRESS THE FUNDS APPOINTED(2) DURING PAST 5 YEARS BOARD MEMBER
------------------------------------------------------------------------------------------------------------------------------------
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
William J. Schneider Board member 1997 Chairman of Miller-Valentine Partners Ltd., a real estate 161
9/24/44 investment company; formerly, Senior Partner and Chief
333 W. Wacker Drive Operating Officer (retired, December 2004) of Miller-Valentine
Chicago, IL 60606 Group; formerly, Vice President, Miller-Valentine Realty;
Chair of the Finance Committee and member of the Audit
Committee of Premier Health Partners, the not-for-profit
company of Miami Valley Hospital; Vice President, Dayton
Philharmonic Orchestra Association; Board Member,
Regional Leaders Forum, which promotes cooperation on
economic development issues; Director, Dayton Development
Coalition; formerly, Member, Community Advisory Board,
National City Bank, Dayton, Ohio and Business Advisory
Council, Cleveland Federal Reserve Bank.
------------------------------------------------------------------------------------------------------------------------------------
Judith M. Stockdale Board member 1997 Executive Director, Gaylord and Dorothy Donnelley 161
12/29/47 Foundation (since 1994); prior thereto, Executive Director,
333 W. Wacker Drive Great Lakes Protection Fund (from 1990 to 1994).
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Eugene S. Sunshine Board member 2005 Senior Vice President for Business and Finance, 161
1/22/50 Northwestern University (since 1997); Director (since 2003),
333 W. Wacker Drive Chicago Board Options Exchange; Director (since 2003),
Chicago, IL 60606 National Mentor Holdings, a privately-held, national provider
of home and community-based services; Chairman (since
1997), Board of Directors, Rubicon, a pure captive insurance
company owned by Northwestern University; Director (since
1997), Evanston Chamber of Commerce and Evanston
Inventure, a business development organization.
NUMBER OF
PORTFOLIOS IN
POSITION(S) YEAR FIRST FUND COMPLEX
NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY
AND ADDRESS THE FUNDS APPOINTED(4) DURING PAST 5 YEARS OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUND:
------------------------------------------------------------------------------------------------------------------------------------
Gifford R. Zimmerman Chief 1988 Managing Director (since 2002), Assistant Secretary and 161
9/9/56 Administrative Associate General Counsel, formerly, Vice President and
333 W. Wacker Drive Officer Assistant General Counsel, of Nuveen Investments, LLC;
Chicago, IL 60606 Managing Director (2002-2004), General Counsel (1998-2004)
and Assistant Secretary, formerly, Vice President of Nuveen
Advisory Corp. and Nuveen Institutional Advisory Corp.(3);
Managing Director (since 2002) and Assistant Secretary and
Associate General Counsel, formerly, Vice President (since
1997), of Nuveen Asset Management; Managing Director
(since 2004) and Assistant Secretary (since 1994) of Nuveen
Investments, Inc.; Assistant Secretary of NWQ Investment
Management Company, LLC. (since 2002); Vice President and
Assistant Secretary of Nuveen Investments Advisers Inc.
(since 2002); Managing Director, Associate General Counsel
and Assistant Secretary of Rittenhouse Asset Management,
Inc. (since 2003); Chartered Financial Analyst.
27
Board Members
AND OFFICERS (CONTINUED)
NUMBER OF
PORTFOLIOS IN
POSITION(S) YEAR FIRST FUND COMPLEX
NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY
AND ADDRESS THE FUNDS APPOINTED(4) DURING PAST 5 YEARS OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
Julia L. Antonatos Vice President 2004 Managing Director (since 2005), formerly Vice President 161
9/22/63 (since 2002); formerly, Assistant Vice President (since 2000)
333 W. Wacker Drive of Nuveen Investments, LLC; Chartered Financial Analyst.
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Michael T. Atkinson Vice President 2000 Vice President (since 2002), formerly, Assistant Vice 161
2/3/66 and Assistant President (since 2000) of Nuveen Investments, LLC.
333 W. Wacker Drive Secretary
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Peter H. D'Arrigo Vice President 1999 Vice President of Nuveen Investments, LLC (since 1999); Vice 161
11/28/67 and Treasurer President and Treasurer (since 1999) of Nuveen Investments,
333 W. Wacker Drive Inc.; Vice President and Treasurer (1999-2004) of Nuveen
Chicago, IL 60606 Advisory Corp. and Nuveen Institutional Advisory Corp.(3);
Vice President and Treasurer of Nuveen Asset Management
(since 2002) and of Nuveen Investments Advisers Inc. (since
2002); Assistant Treasurer of NWQ Investment Management
Company, LLC. (since 2002); Vice President and Treasurer of
Nuveen Rittenhouse Asset Management, Inc. (since 2003);
Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
John N. Desmond Vice President 2005 Vice President, Director of Investment Operations, Nuveen 161
8/24/61 Investments, LLC (since January 2005); formerly, Director,
333 W. Wacker Drive Business Manager, Deutsche Asset Management (2003-2004),
Chicago, IL 60606 Director, Business Development and Transformation, Deutsche
Trust Bank Japan (2002-2003); previously, Senior Vice
President, Head of Investment Operations and Systems,
Scudder Investments Japan, (2000-2002), Senior Vice
President, Head of Plan Administration and Participant
Services, Scudder Investments (1995-2002).
------------------------------------------------------------------------------------------------------------------------------------
Jessica R. Droeger Vice President 1998 Vice President (since 2002), Assistant Secretary and 161
9/24/64 and Secretary Assistant General Counsel (since 1998) formerly, Assistant
333 W. Wacker Drive Vice President (since 1998) of Nuveen Investments, LLC;
Chicago, IL 60606 Vice President (2002-2004) and Assistant Secretary (1998-2004)
formerly, Assistant Vice President of Nuveen Advisory Corp.
and Nuveen Institutional Advisory Corp.(3); Vice President and
Assistant Secretary (since 2005) of Nuveen Asset Management.
------------------------------------------------------------------------------------------------------------------------------------
Lorna C. Ferguson Vice President 1998 Managing Director (since 2004), formerly, Vice President of 161
10/24/45 Nuveen Investments, LLC, Managing Director (2004) formerly,
333 W. Wacker Drive Vice President (1998-2004) of Nuveen Advisory Corp. and
Chicago, IL 60606 Nuveen Institutional Advisory Corp.(3); Managing Director
(since 2005) of Nuveen Asset Management.
------------------------------------------------------------------------------------------------------------------------------------
William M. Fitzgerald Vice President 1995 Managing Director (since 2002), formerly, Vice President of 161
3/2/64 Nuveen Investments; Managing Director (1997-2004) of
333 W. Wacker Drive Nuveen Advisory Corp. and Nuveen Institutional Advisory
Chicago, IL 60606 Corp.(3); Managing Director (since 2001) of Nuveen Asset
Management; Vice President (since 2002) of Nuveen
Investments Advisers Inc.; Chartered Financial Analyst.
28
NUMBER OF
PORTFOLIOS IN
POSITION(S) YEAR FIRST FUND COMPLEX
NAME, BIRTHDATE HELD WITH ELECTED OR PRINCIPAL OCCUPATION(S) OVERSEEN BY
AND ADDRESS THE FUNDS APPOINTED(4) DURING PAST 5 YEARS OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
Stephen D. Foy Vice President 1998 Vice President (since 1993) and Funds Controller (since 1998) 161
5/31/54 and Controller of Nuveen Investments, LLC; formerly, Vice President and
333 W. Wacker Drive Funds Controller (1998-2004) of Nuveen Investments, Inc.;
Chicago, IL 60606 Certified Public Accountant.
------------------------------------------------------------------------------------------------------------------------------------
James D. Grassi Vice President 2004 Vice President and Deputy Director of Compliance (since 2004) 161
4/13/56 and Chief of Nuveen Investments, LLC, Nuveen Investments Advisers Inc.,
333 W. Wacker Drive Compliance Nuveen Asset Management and Rittenhouse Asset Management,
Chicago, IL 60606 Officer Inc.; previously, Vice President and Deputy Director of Compliance
(2004) of Nuveen Advisory Corp. and Nuveen Institutional Advisory
Corp.(3); formerly, Senior Attorney (1994-2004), The Northern
Trust Company.
------------------------------------------------------------------------------------------------------------------------------------
David J. Lamb Vice President 2000 Vice President (since 2000) of Nuveen Investments, 161
3/22/63 LLC; Certified Public Accountant.
333 W. Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Tina M. Lazar Vice President 2002 Vice President of Nuveen Investments, LLC (since 1999). 161
8/27/61
333 W. Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Larry W. Martin Vice President 1988 Vice President, Assistant Secretary and Assistant General 161
7/27/51 and Assistant Counsel of Nuveen Investments, LLC; formerly, Vice President
333 W. Wacker Drive Secretary and Assistant Secretary of Nuveen Advisory Corp. and Nuveen
Chicago, IL 60606 Institutional Advisory Corp.(3); Vice President (since 2005)
and Assistant Secretary of Nuveen Investments, Inc.; Vice
President (since 2005) and Assistant Secretary (since 1997)
of Nuveen Asset Management; Vice President (since 2000),
Assistant Secretary and Assistant General Counsel (since
1998) of Rittenhouse Asset Management, Inc.; Vice President
and Assistant Secretary of Nuveen Investments Advisers Inc.
(since 2002); Assistant Secretary of NWQ Investment
Management Company, LLC (since 2002).
(1) Mr. Schwertfeger is an "interested person" of the Funds, as defined in the
Investment Company Act of 1940, because he is an officer and board member of
the Adviser.
(2) Board members serve an indefinite term until his/her successor is elected.
The year first elected or appointed represents the year in which the board
member was first elected or appointed to any fund in the Nuveen Complex.
(3) Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. were
reorganized into Nuveen Asset Management, effective January 1, 2005.
(4) Officers serve one year terms through July of each year. The year first
elected or appointed represents the year in which the Officer was first
elected or appointed to any fund in the Nuveen Complex.
29
Reinvest Automatically
EASILY AND CONVENIENTLY
Sidebar text: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET
UP YOUR REINVESTMENT ACCOUNT.
NUVEEN EXCHANGE-TRADED CLOSED-END FUNDS
DIVIDEND REINVESTMENT PLAN
Your Nuveen Exchange-Traded Closed-End 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
the 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.
FLEXIBLE
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.
CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS
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.
30
Other Useful
INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
Each Fund's (i) quarterly portfolio of investments, (ii) information regarding
how the Funds voted proxies relating to portfolio securities held during the
12-month period ended June 30, 2005, and (iii) a description of the policies and
procedures that the Funds used to determine how to vote proxies relating to
portfolio securities are available without charge, upon request, by calling
Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website 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.
CEO CERTIFICATION DISCLOSURE
Each Fund's Chief Executive Officer has submitted to the New York Stock Exchange
the annual CEO certification as required by Section 303A.12(a) of the NYSE
Listed Company Manual.
Each Fund has filed with the Securities and Exchange Commission the
certification of its Chief Executive Officer and Chief Financial Officer
required by Section 302 of the Sarbanes-Oxley Act.
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 expected period over which a
bond's principal and interest will be paid and consequently is a measure of the
sensitivity of a bond's or bond Fund's value to changes when market interest
rates change. Generally, the longer a bond's 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 common share NAV per share is calculated by
subtracting the liabilities of the Fund (including any MuniPreferred shares
issued in order to leverage 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
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Eugene S. Sunshine
FUND MANAGER
Nuveen Asset Management
333 West Wacker Drive
Chicago, IL 60606
CUSTODIAN
State Street Bank & Trust Company
Boston, MA
TRANSFER AGENT AND SHAREHOLDER SERVICES
State Street Bank & Trust Company
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
The Fund intends to repurchase shares of its own common stock in the future at
such times and in such amounts as is deemed advisable. No shares were
repurchased during the period covered by this report. Any future repurchases
will be reported to shareholders in the next annual or semiannual report.
31
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 more than $145 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 fixed-income 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, talk to
your financial advisor, or call us at (800) 257-8787. Please read the
information provided carefully before you invest.
Be sure to obtain a prospectus, where applicable. Investors should consider the
investment objective and policies, risk considerations, charges and expenses of
the Fund carefully before investing. The prospectus contains this and other
information relevant to an investment in the Fund. For a prospectus, please
contact your securities representative or Nuveen Investments, 333 W. Wacker Dr.,
Chicago, IL 60606. Please read the prospectus carefully before you invest or
send money.
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EAN-A-0306D
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a
code of ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions. There were no amendments to or waivers
from the Code during the period covered by this report. The registrant has
posted the code of ethics on its website at www.nuveen.com/etf. (To view the
code, click on the Investor Resources drop down menu box, click on Fund
Governance and then click on Code of Conduct.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Directors or Trustees determined that the registrant
has at least one "audit committee financial expert" (as defined in Item 3 of
Form N-CSR) serving on its Audit Committee. The registrant's audit committee
financial expert is Jack B. Evans, Chairman of the Audit Committee, who is
"independent" for purposes of Item 3 of Form N-CSR.
Mr. Evans was formerly President and Chief Operating Officer of SCI Financial
Group, Inc., a full service registered broker-dealer and registered investment
adviser ("SCI"). As part of his role as President and Chief Operating Officer,
Mr. Evans actively supervised the Chief Financial Officer (the "CFO") and
actively supervised the CFO's preparation of financial statements and other
filings with various regulatory authorities. In such capacity, Mr. Evans was
actively involved in the preparation of SCI's financial statements and the
resolution of issues raised in connection therewith. Mr. Evans has also served
on the audit committee of various reporting companies. At such companies, Mr.
Evans was involved in the oversight of audits, audit plans, and the preparation
of financial statements. Mr. Evans also formerly chaired the audit committee of
the Federal Reserve Bank of Chicago.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Nuveen Select Maturities Municipal Fund
The following tables show the amount of fees that Ernst & Young LLP, the Fund's
auditor, billed to the Fund during the Fund's last two full fiscal years. For
engagements with Ernst & Young LLP the Audit Committee approved in advance all
audit services and non-audit services that Ernst & Young LLP provided to the
Fund, except for those non-audit services that were subject to the pre-approval
exception under Rule 2-01 of Regulation S-X (the "pre-approval exception"). The
pre-approval exception for services provided directly to the Fund waives the
pre-approval requirement for services other than audit, review or attest
services if: (A) the aggregate amount of all such services provided constitutes
no more than 5% of the total amount of revenues paid by the Fund to its
accountant during the fiscal year in which the services are provided; (B) the
Fund did not recognize the services as non-audit services at the time of the
engagement; and (C) the services are promptly brought to the Audit Committee's
attention, and the Committee (or its delegate) approves the services before the
audit is completed.
The Audit Committee has delegated certain pre-approval responsibilities to its
Chairman (or, in his absence, any other member of the Audit Committee).
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE FUND
AUDIT FEES BILLED AUDIT-RELATED FEES TAX FEES ALL OTHER FEES
FISCAL YEAR ENDED TO FUND BILLED TO FUND BILLED TO FUND BILLED TO FUND
-------------------------------------------------------------------------------------------------------------------------------
March 31, 2006 $ 9,192 $ 0 $ 405 $ 0
-------------------------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0% 0%
pursuant to
pre-approval
exception
-------------------------------------------------------------------------------------------------------------------------------
March 31, 2005 $ 8,652 $ 0 $ 409 $ 0
-------------------------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0% 0%
pursuant to
pre-approval
exception
-------------------------------------------------------------------------------------------------------------------------------
The above "All Other Fees" are fees paid to audit firms to perform agreed upon
procedures required by the rating agencies to rate fund preferred shares. The
above "Tax Fees" were billed for professional services for tax advice, tax
compliance, and tax planning.
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE
ADVISER AND AFFILIATED FUND SERVICE PROVIDERS
The following tables show the amount of fees billed by Ernst & Young LLP to
Nuveen Asset Management ("NAM" or the "Adviser"), and any entity controlling,
controlled by or under common control with NAM ("Control Affiliate") that
provides ongoing services to the Fund ("Affiliated Fund Service Provider"), for
engagements directly related to the Fund's operations and financial reporting,
during the Fund's last two full fiscal years.
The tables also show the percentage of fees subject to the pre-approval
exception. The pre-approval exception for services provided to the Adviser and
any Affiliated Fund Service Provider (other than audit, review or attest
services) waives the pre-approval requirement if: (A) the aggregate amount of
all such services provided constitutes no more than 5% of the total amount of
revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund
Service Providers during the fiscal year in which the services are provided that
would have to be pre-approved by the Audit Committee; (B) the Fund did not
recognize the services as non-audit services at the time of the engagement; and
(C) the services are promptly brought to the Audit Committee's attention, and
the Committee (or its delegate) approves the services before the Fund's audit is
completed.
FISCAL YEAR ENDED AUDIT-RELATED FEES TAX FEES BILLED TO ALL OTHER FEES
BILLED TO ADVISER AND ADVISER AND BILLED TO ADVISER
AFFILIATED FUND AFFILIATED FUND AND AFFILIATED FUND
SERVICE PROVIDERS SERVICE PROVIDERS SERVICE PROVIDERS
----------------------------------------------------------------------------------------------------------------
March 31, 2006 $ 0 $ 275,000 $ 0
----------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0%
pursuant to
pre-approval
exception
----------------------------------------------------------------------------------------------------------------
March 31, 2005 (1) $ 0 $ 282,575 $ 0
----------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0%
pursuant to
pre-approval
exception
----------------------------------------------------------------------------------------------------------------
The above "Tax Fees" are primarily fees billed to the Adviser for Nuveen
Closed-End Funds tax return preparation.
(1) "Tax Fees Billed to Adviser and Affiliated Fund Service Providers" for the
year ended 3/31/05 have been revised and primarily reflect fees billed to the
Adviser for Nuveen Closed-End Funds tax return preparation.
NON-AUDIT SERVICES
The following table shows the amount of fees that Ernst & Young LLP billed
during the Fund's last two full fiscal years for non-audit services. For
engagements entered into on or after May 6, 2003, the Audit Committee is
required to pre-approve non-audit services that Ernst & Young LLP provides to
the Adviser and any Affiliated Fund Services Provider, if the engagement related
directly to the Fund's operations and financial reporting (except for those
subject to the de minimis exception described above). The Audit Committee
requested and received information from Ernst & Young LLP about any non-audit
services that Ernst & Young LLP rendered during the Fund's last fiscal year to
the Adviser and any Affiliated Fund Service Provider. The Committee considered
this information in evaluating Ernst & Young LLP's independence.
FISCAL YEAR ENDED TOTAL NON-AUDIT FEES
BILLED TO ADVISER AND
AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES
PROVIDERS (ENGAGEMENTS BILLED TO ADVISER AND
RELATED DIRECTLY TO THE AFFILIATED FUND SERVICE
TOTAL NON-AUDIT FEES OPERATIONS AND FINANCIAL PROVIDERS (ALL OTHER
BILLED TO FUND REPORTING OF THE FUND) ENGAGEMENTS) TOTAL
-------------------------------------------------------------------------------------------------------------------------------
March 31, 2006 $ 405 $ 275,000 $ 0 $ 275,405
March 31, 2005 $ 409 $ 282,575 $ 0 $ 282,984
The above "Non-Audit Fees billed to Adviser" for both fiscal year ends include
"Tax Fees" billed to Adviser in their respectable amounts from the previous
table.
Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit
Committee must approve (i) all non-audit services to be performed for the Fund
by the Fund's independent accountants and (ii) all audit and non-audit services
to be performed by the Fund's independent accountants for the Affiliated Fund
Service Providers with respect to operations and financial reporting of the
Fund. Regarding tax and research projects conducted by the independent
accountants for the Fund and Affiliated Fund Service Providers (with respect to
operations and financial reports of the Fund) such engagements will be (i)
pre-approved by the Audit Committee if they are expected to be for amounts
greater than $10,000; (ii) reported to the Audit Committee chairman for his
verbal approval prior to engagement if they are expected to be for amounts under
$10,000 but greater than $5,000; and (iii) reported to the Audit Committee at
the next Audit Committee meeting if they are expected to be for an amount under
$5,000.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant's Board of Directors or Trustees has a separately designated
Audit Committee established in accordance with Section 3(a)(58)(A) of the
Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The
members of the audit committee are Robert P. Bremner, Lawrence H. Brown, Jack B.
Evans, William J. Schneider and Eugene S. Sunshine.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The registrant invests its assets primarily in municipal bonds and cash
management securities. On rare occasions the registrant may acquire, directly or
through a special purpose vehicle, equity securities of a municipal bond issuer
whose bonds the registrant already owns when such bonds have deteriorated or are
expected shortly to deteriorate significantly in credit quality. The purpose of
acquiring equity securities generally will be to acquire control of the
municipal bond issuer and to seek to prevent the credit deterioration or
facilitate the liquidation or other workout of the distressed issuer's credit
problem. In the course of exercising control of a distressed municipal issuer,
NAM may pursue the registrant's interests in a variety of ways, which may entail
negotiating and executing consents, agreements and other arrangements, and
otherwise influencing the management of the issuer. NAM does not consider such
activities proxy voting for purposes of Rule 206(4)-6 under the 1940 Act, but
nevertheless provides reports to the registrant's Board of Trustees on its
control activities on a quarterly basis.
In the rare event that a municipal issuer were to issue a proxy or that the
registrant were to receive a proxy issued by a cash management security, NAM
would either engage an independent third party to determine how the proxy should
be voted or vote the proxy with the consent, or based on the instructions, of
the registrant's Board of Trustees or its representative. A member of NAM's
legal department would oversee the administration of the voting, and ensure that
records were maintained in accordance with Rule 206(4)-6, reports were filed
with the SEC on Form N-PX, and the results provided to the registrant's Board of
Trustees and made available to shareholders as required by applicable rules.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
THE PORTFOLIO MANAGER
The following individual has primary responsibility for the day-to-day
implementation of the registrant's investment strategies:
NAME FUND
John V. Miller Nuveen Select Maturities Municipal Fund
Other Accounts Managed. In addition to managing the registrant, the portfolio
manager is also primarily responsible for the day-to-day portfolio management of
the following accounts:
TYPE OF ACCOUNT
NUMBER OF
PORTFOLIO MANAGER MANAGED ACCOUNTS ASSETS
--------------------------------------------------------------------------------
John V. Miller Registered Investment Company 4 $3,641 million
Other Pooled Investment Vehicles 2 $39.1 million
Other Accounts 8 $1.2 million
* Assets are as of March 31, 2006. None of the assets in these accounts are
subject to an advisory fee based on performance.
Compensation. The portfolio manager's compensation consists of three basic
elements--base salary, cash bonus and long-term incentive compensation. The
compensation strategy is to annually compare overall compensation, including
these three elements, to the market in order to create a compensation structure
that is competitive and consistent with similar financial services companies. As
discussed below, several factors are considered in determining the portfolio
manager's total compensation. In any year these factors may include, among
others, the effectiveness of the investment strategies recommended by the
portfolio manager's investment team, the investment performance of the accounts
managed by the portfolio manager, and the overall performance of Nuveen
Investments, Inc. (the parent company of the NAM). Although investment
performance is a factor in determining the portfolio manager's compensation, it
is not necessarily a decisive factor. The portfolio manager's performance is
evaluated in part by comparing manager's performance against a specified
investment benchmark. This fund-specific benchmark is a customized subset of the
S&P/Investortools Municipal Bond index, an index comprised of bonds held by
managed municipal bond fund customers of Standard & Poor's Securities Pricing,
Inc. that are priced daily and whose fund holdings aggregate at least $2
million. As of May 31, 2006, the S&P/Investortools Municipal Bond index was
comprised of 46,877 securities with an aggregate current market value of $879
billion.
Base salary. The portfolio manager is paid a base salary that is set at a level
determined by NAM in accordance with its overall compensation strategy discussed
above. NAM is not under any current contractual obligation to increase a
portfolio manager's base salary.
Cash bonus. The portfolio manager is also eligible to receive an annual cash
bonus. The level of this bonus is based upon evaluations and determinations made
by the portfolio manager's supervisors, along with reviews submitted by his
peers. These reviews and evaluations often take into account a number of
factors, including the effectiveness of the investment strategies recommended to
the NAM's investment team, the performance of the accounts for which he serves
as portfolio manager relative to any benchmarks established for those accounts,
his effectiveness in communicating investment performance to stockholders and
their representatives, and his contribution to the NAM's investment process and
to the execution of investment strategies. The cash bonus component is also
impacted by the overall performance of Nuveen Investments, Inc. in achieving its
business objectives.
Long-term incentive compensation. The portfolio manager is eligible to receive
bonus compensation in the form of equity-based awards issued in securities
issued by Nuveen Investments, Inc. The amount of such compensation is dependent
upon the same factors articulated for cash bonus awards but also factors in his
long-term potential with the firm.
Material Conflicts of Interest. The portfolio manager's simultaneous management
of the Registrant and the other accounts noted above may present actual or
apparent conflicts of interest with respect to the allocation and aggregation of
securities orders placed on behalf of the registrant and the other account. NAM,
however, believes that such potential conflicts are mitigated by the fact that
the NAM has adopted several policies that address potential conflicts of
interest, including best execution and trade allocation policies that are
designed to ensure (1) that portfolio management is seeking the best price for
portfolio securities under the circumstances, (2) fair and equitable allocation
of investment opportunities among accounts over time and (3) compliance with
applicable regulatory requirements. All accounts are to be treated in a
non-preferential manner, such that allocations are not based upon account
performance, fee structure or preference of the portfolio manager. In addition,
NAM has adopted a Code of Conduct that sets forth policies regarding conflicts
of interest.
Beneficial Ownership of Securities. As of the March 31, 2006, the portfolio
manager beneficially owned the following dollar range of equity securities
issued by the Registrant and other Nuveen Funds managed by NAM's municipal
investment team.
-------------------------- ---------------------------------------------- ----------------- ----------------------
DOLLAR RANGE OF
EQUITY SECURITIES
DOLLAR RANGE OF BENEFICIALLY OWNED
EQUITY IN THE REMAINDER OF
SECURITIES NUVEEN FUNDS MANAGED
BENEFICIALLY BY NAM'S MUNICIPAL
NAME OF PORTFOLIO MANAGER FUND OWNED IN FUND INVESTMENT TEAM
-------------------------- ---------------------------------------------- ----------------- ----------------------
John V. Miller Nuveen Select Maturities Municipal Fund $0 $50,001-$100,000
-------------------------- ---------------------------------------------- ----------------- ----------------------
PORTFOLIO MANAGER BIO:
John V. Miller, CFA, joined Nuveen's investment management team as a credit
analyst in 1996, with three prior years of experience in the municipal market
with a private account management firm. He has been responsible for analysis of
high yield credits in the utility, solid waste and energy related sectors. Mr.
Miller was promoted to Vice President of Nuveen in 2002. He was previously an
analyst with C.W. Henderson & Assoc., a municipal bond manager for private
accounts. Currently, he manages investments for five Nuveen-sponsored investment
companies.
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.
During this reporting period, the registrant's Board of Trustees implemented a
change to the procedures by which shareholders may recommend nominees to the
registrant's board of trustees by amending the registrant's by-laws to include a
provision specifying the date by which shareholder nominations for election as
trustee at a subsequent meeting must be submitted to the registrant.
Shareholders must deliver or mail notice to the registrant not less than
forty-five days nor more than sixty days prior to the first anniversary date of
the date on which the registrant first mailed its proxy materials for the prior
year's annual meeting; provided, however, if and only if the annual meeting is
not scheduled to be held within a period that commences thirty days before the
first anniversary date of the annual meeting for the preceding year and ends
thirty days after such anniversary date (an annual meeting date outside such
period being referred to as an "Other Annual Meeting Date" hereafter), the
shareholder notice must be given no later than the close of business on the date
forty-five days prior to such Other Annual Meeting Date or the tenth business
day following the date such Other Annual Meeting Date is first publicly
announced or disclosed. The shareholder's notice must be in writing and set
forth the name, age, date of birth, business address, residence address and
nationality of the person(s) being nominated and the class or series, number of
all shares of the registrant owned of record or beneficially be each such
person(s), any other information regarding such person required by Item 401 of
Regulation S-K or Item 22 of Rule 14a-101 (Schedule 14A) under the Securities
Exchange Act of 1934, as amended, any other information regarding the person(s)
to be nominated that would be required to be disclosed in a proxy statement or
other filings required to be made in connection with solicitation of proxies for
election of trustees, and whether such shareholder believes any nominee is or
will be an "interested person" (as that term is defined in the Investment
Company Act of 1940, as amended) of the registrant or sufficient information to
enable the registrant to make that determination and the written and signed
consent of the person(s) to be nominated.
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 second fiscal quarter
of the period covered by this 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. Letter or number the
exhibits in the sequence indicated.
(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
because the code is posted on registrant's website at www.nuveen.com/etf and
there were no amendments during the period covered by this report. (To view the
code, click on the Investor Resources drop down menu box, click on Fund
Governance and then Code of Conduct.)
(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: June 8, 2006
-------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ Gifford R. Zimmerman
----------------------------------------------
Gifford R. Zimmerman
Chief Administrative Officer
(principal executive officer)
Date: June 8, 2006
-------------------------------------------------------------------
By (Signature and Title)* /s/ Stephen D. Foy
----------------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: June 8, 2006
-------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.