nim.htm
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-7056

Nuveen Select Maturities Municipal Fund
(Exact name of registrant as specified in charter)

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

Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
(Name and address of agent for service)

Registrant's telephone number, including area code: (312) 917-7700

Date of fiscal year end: March 31

Date of reporting period: September 30, 2010

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.
 
 
 
 
 

 
 
NUVEEN INVESTMENTS ANNOUNCES STRATEGIC COMBINATION WITH FAF ADVISORS
 
On July 29, 2010, Nuveen Investments, announced that U.S. Bancorp will receive a 9.5% stake in Nuveen Investments and cash consideration in exchange for the long-term asset business of U.S. Bancorp’s FAF Advisors. Nuveen Investments is the parent of Nuveen Asset Management (NAM), the investment adviser for the Fund included in this report.
 
FAF Advisors, which currently manages about $25 billion of long-term assets and serves as the advisor of the First American Funds, will be combined with NAM, which currently manages about $75 billion in municipal fixed income assets. Upon completion of the transaction, Nuveen Investments, which currently manages about $160 billion of assets across several high-quality affiliates, will manage a combined total of about $185 billion in institutional and retail assets.
 
This combination will not affect the investment objectives, strategies or policies of the Fund in this report. Over time, Nuveen Investments expects that the combination will provide even more ways to meet the needs of investors who work with financial advisors and consultants by enhancing the multi-boutique model of Nuveen Investments, which also includes highly respected investment teams at Hyde Park, NWQ Investment Management, Santa Barbara Asset Management, Symphony Asset Management, Tradewinds Global Investors and Winslow Capital.
 
The transaction is expected to close late in 2010, subject to customary conditions.
 
 
 
 

 
 
Chairman’s
Letter to Shareholders
 
 
 
 
Dear Shareholder,
 
Recent months have revealed the fragility and disparity of the global economic recovery. In the U.S., the rate of economic growth has slowed as various stimulus programs wind down, exposing weakness in the underlying economy. In contrast, many emerging market countries are experiencing a return to comparatively high rates of growth. Confidence in global financial markets has been undermined by concerns about high sovereign debt levels in Europe and the U.S. Until these countries can begin credible programs to reduce their budgetary deficits, market unease and hesitation will remain. On a more encouraging note, while the global recovery is expanding existing trade imbalances, policy makers in the leading economies are making a sustained effort to create a global framework through which various countries can take complimentary actions that should reduce those imbalances over time.
 
The U.S. economy is subject to unusually high levels of uncertainty as it struggles to recover from a devastating financial crisis. Unemployment remains stubbornly high, due to what appears to be both cyclical and structural forces. Federal Reserve policy makers are implementing another round of quantitative easing, a novel approach to provide support to the economy. However, the high levels of debt owed both by U.S. consumers and the U.S. government limit the Fed’s ability to engineer a stronger economic recovery.
 
The U.S. financial markets reflect the crosscurrents now impacting the U.S. economy. Today’s historically low interest rates reflect the Fed’s intervention in the financial markets and the demand for U.S. government debt by U.S. and overseas investors looking for a safe haven for investment. The continued corporate earnings recovery and recent electoral results are giving a boost to equity markets. Encouragingly, financial institutions are rebuilding their balance sheets and the financial reform legislation enacted last summer has the potential to address many of the most significant contributors to the financial crisis, although the details still have to be worked out.
 
In this difficult environment your Nuveen investment team continues to seek sustainable investment opportunities and, at the same time, remains alert for potential risks that may result from a recovery still facing many headwinds. As your representative, the Nuveen Fund Board monitors the activities of each investment team to assure that all maintain their investment disciplines. As always, I encourage you to contact your financial consultant if you have any questions about your investment in a Nuveen Fund.
 
On behalf of the other members of your Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
 
 
Sincerely,
 
 
Robert P. Bremner
Chairman of the Board
November 22, 2010
 
 
Nuveen Investments 1
 
 
 

 
 
Portfolio Manager’s Comments
 
 
 
Nuveen Select Maturities Municipal Fund (NIM)
 
 
Portfolio manager Paul Brennan discusses key investment strategies and the performance of the Nuveen Select Maturities Municipal Fund for the six-month period ended September 30, 2010. With 19 years of investment experience, including 13 years with Nuveen, Paul has managed NIM since 2006.
 
 
What key strategies were used to manage NIM during the six-month reporting period ended September 30, 2010?
 
During this period, the combination of strong demand and tight supply of new tax-exempt municipal issuance continued to create favorable conditions that helped to support municipal bond prices. One reason for the decline in new tax-exempt supply was the considerable issuance of taxable municipal debt under the Build America Bond program. These bonds, first issued in April 2009, offer municipal issuers a federal subsidy equal to 35% of a security’s interest payments, providing issuers with a attractive alternative to traditional tax-exempt municipal debt. For the six months ended September 30, 2010, taxable Build America Bond issuance totaled $45.6 billion, representing approximately 23.5% of new bonds in the municipal marketplace nationwide. Since interest payments from Build America Bonds represent taxable income, we do not view these bonds as appropriate investment opportunities for NIM.
 
Despite the constrained issuance of tax-exempt municipal bonds, we continued to find attractive value opportunities, taking a bottom-up approach to discovering undervalued sectors and individual credits with the potential to perform well over the long term. While our focus generally remained on bonds in the mid- to lower-rated credit categories, we placed a little more emphasis on those rated AA and A. Overall, we slightly increased the credit quality of the Fund during this period, boosting our allocation to bonds rated AA to 12% from 7% over the six months. Many of the additions to our portfolio were purchased in the tax-supported sector, as we added general obligation bonds and other credits backed by government revenues, excise taxes, tolls and fees.
 
The impact of Build America Bonds was most evident in the area of longer-term issuance, as municipal issuers sought to take full advantage of the attractive financing terms offered by these bonds. Approximately 70% of Build America Bonds were issued with maturities of at least 30 years. Since NIM is an intermediate-term strategy Fund,1 the Build America Bond program had minimal impact on the Fund’s ability to find and purchase bonds consistent with maintaining its duration and maturity.
 
 
 
Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio manager as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements, and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Fund disclaims any obligation to update publicly or revise any forward-looking statements or views expressed herein.
 
Any reference to credit ratings for portfolio holdings refers to the highest rating assigned by a Nationally Recognized Statistical Rating Organization (“NRSRO”) such as Standard & Poor’s, Moody’s, or Fitch. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below investment grade. Holdings and ratings may change over time.
 
1 In keeping with its investment parameters, NIM maintains an average effective maturity of 12 years or less for portfolio holdings.
 
 
2 Nuveen Investments
 
 
 
 

 
 
 
Cash for new purchases during this period was generated primarily by the proceeds from called and maturing bonds.
 
How did the Fund perform?
 
Results for NIM, as well as relevant index information, are presented in the accompanying table.
 
Average Annual Total Returns on Net Asset Value* 
       
For periods ended 9/30/10 
       
 
6-Month 
1-Year 
5-Year 
10-Year
NIM 
3.85% 
5.39% 
4.74% 
4.01% 
         
Standard & Poor’s (S&P) Intermediate Municipal Bond Index2
5.72% 
6.26% 
5.60% 
5.79% 
          
Standard & Poor’s (S&P) National Municipal Bond Index3
5.56% 
5.85% 
4.91% 
5.71% 
 
For the six months ended September 30, 2010, NIM’s cumulative return on net asset value (NAV) underperformed the returns for the S&P Indexes.
 
Key management factors that influenced the Fund’s return for this period included duration and yield curve positioning, credit exposure and sector allocation and individual security selection.
 
During this period, municipal bonds with longer maturities generally outperformed those with shorter maturities, with credits at the longest end of the municipal yield curve posting the strongest returns. However, the intermediate part of the curve also performed well, as Investors’ searched for attractive yields while avoiding the relatively low yields of longer bonds. Overall, yield curve positioning and duration proved positive for the performance of NIM, as its strong allocation to the outperforming parts of the curve offset the impact of its exposure to the short end of the curve that produced weaker returns.
 
Credit exposure also played a role in performance. The demand for municipal bonds increased during this period driven by a variety of factors, including concerns about potential tax increases, the need to rebalance portfolio allocations and a growing appetite for additional risk for certain higher yielding bonds. Over time, this has caused credit spreads to narrow and the trend greatly helped our lower-rated positions, especially those bought at depressed values several years ago. At the same time, the supply of new tax-exempt municipal paper declined, due largely to the Build America Bond program. As investors bid up municipal bond prices, bonds rated A, BBB or below, and non-rated bonds generally outperformed those rated AAA or AA. In this environment, NIM’s allocations of bonds rated A, BBB and below, and non-rated bonds, which comprised approximately 61% of its portfolio, was a slightly positive factor in its performance.
 
 
*
Six-month returns are cumulative; all other returns are 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 Standard & Poor’s (S&P) Intermediate Municipal Bond Index is an unleveraged, market value-weighted index containing all of the bonds in the Standard & Poor’s (S&P) National Municipal Bond Index with maturity dates between 3 and 14.999 years. The index does not reflect any initial or ongoing expenses and is not available for direct investment.
   
3
The Standard & Poor’s (S&P) National Municipal Bond Index is an unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. This index does not reflect any initial or ongoing expenses and is not available for direct investment.
 
Nuveen Investments 3
 
 

 
 
Individual holdings that positively contributed to NIM’s return during this period included health care and transportation bonds. Revenue bonds as a whole performed well, with special tax, leasing and education among the other sectors that outperformed the general municipal market. General obligation and other tax-supported bonds outpaced the market but, unfortunately, NIM was under-weighted here and that detracted from performance. While NIM had a good allocation to the health care sector, the Fund tended to be a little more heavily weighted in sectors that lagged the top performers and posted returns more in line with the general municipal market, such as industrial development revenue (IDR), utilities, and water and sewer bonds.
 
Among the poorest performers during this period were pre-refunded bonds, which are often backed by U.S. Treasury securities. While these securities continued to provide attractive tax-free income, the relative poor performance of these bonds can be attributed primarily to the price declines associated with their shorter effective maturities and higher credit quality. During this period, NIM was slightly overweighted in pre-refunded bonds relative to the market average, which detracted from its relative performance. Bonds backed by the 1998 master tobacco settlement agreement also generally posted relatively poor returns. As of September 30, 2010, NIM held approximately 4.5% of its portfolio in lower-rated tobacco bonds. While NIM’s tobacco holdings outperformed the tobacco sector as a whole due to their shorter average lives, these bonds still hampered the Fund’s overall performance relative to the indexes.
 
In addition, due to weakening credit fundamentals and other factors, a number of NIM’s holdings did not perform as well as they had in the prior period. We generally remain favorable on these credits and continue to hold them in our portfolio. Additionally, the Fund’s performance was hurt by bond calls during this period, as bonds with large coupons were refinanced and called away from our portfolios and short call dates on some credits limited their participation in the market rally.
 
 
4 Nuveen Investments
 
 
 
 

 
 
Dividend and Share Price Information
 
 
The monthly dividend of NIM remained stable throughout the six-month reporting period ended September 30, 2010.
 
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 the 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 its NAV. Conversely, if the Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in its NAV. NIM will, over time, pay all of its net investment income as dividends to shareholders. As of September 30, 2010, NIM had a positive UNII balance, based upon our best estimate, for tax purposes and a positive UNII balance for financial reporting purposes.
 
SHARE REPURCHASES AND SHARE PRICE INFORMATION
 
Since the inception of the Fund’s repurchase program, the Fund has not repurchased any of its outstanding shares.
 
As of September 30, 2010, the share price of NIM was trading at a (+) premium of (+) 6.06% to its NAV. The Fund’s average (+) premium over the six-month reporting period was (+) 3.93%.
 
 
Nuveen Investments 5
 
 
 

 

     
 
NIM
Nuveen Select
   
Maturities
 
Performance
Municipal Fund
 
OVERVIEW
 
   
as of September 30, 2010 
 
Fund Snapshot
   
Share Price
 
$11.03
Net Asset Value (NAV)
 
$10.40
Premium/(Discount) to NAV
 
6.06%
Market Yield
 
3.81%
Taxable-Equivalent Yield1
 
5.29%
Net Assets ($000)
 
$129,198
Average Effective
   
Maturity on Securities (Years)
 
9.41
Modified Duration
 
3.44
 
Average Annual Total Return
   
(Inception 9/18/92)
   
 
On Share Price
On NAV
6-Month (Cumulative)
8.00%
3.85%
1-Year
11.42%
5.39%
5-Year
6.02%
4.74%
10-Year
5.72%
4.01%
 
States3
   
(as a % of total investments)
   
Illinois
 
14.3%
Colorado
 
12.4%
Pennsylvania
 
7.6%
New York
 
7.3%
Texas
 
6.9%
Florida
 
6.0%
South Carolina
 
5.7%
Wisconsin
 
3.8%
Arkansas
 
3.3%
Kansas
 
3.3%
Alabama
 
2.8%
Tennessee
 
2.1%
California
 
1.9%
North Carolina
 
1.7%
Minnesota
 
1.6%
Connecticut
 
1.5%
Louisiana
 
1.5%
Ohio
 
1.4%
Other
 
14.9%
 
Portfolio Composition3
   
(as a % of total investments)
   
Utilities
 
18.3%
U.S. Guaranteed
 
17.1%
Tax Obligation/Limited
 
16.2%
Health Care
 
10.0%
Tax Obligation/General
 
9.2%
Transportation
 
7.3%
Education and Civic Organizations
 
5.3%
Long-Term Care
 
4.9%
Other
 
11.7%
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit Quality (as a % of total investments)2,3
 
 
 
 
 
 
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this Fund’s Performance Overview page.
   
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     
Ratings shown are the highest of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. AAA includes bonds with an implied AAA rating since they are backed by U.S. Government or agency securities. AAA, AA, A and BBB ratings are investment grade; BB, B, CCC, CC, C and D ratings are below-investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
   
3     
Holdings are subject to change.
 
6 Nuveen Investments
 
 
 
 

 
     
 
NIM
Shareholder Meeting Report
    The annual meeting of shareholders was held on July 27, 2010, in the Lobby Conference Room, 333 West Wacker Drive, Chicago, IL 60606; at this meeting the shareholders were asked to vote on the election of Board Members.
 
   
 
NIM
Approval of the Board Members was reached as follows:
 
William C. Hunter
 
For
10,611,054
Withhold
120,108
Total
10,731,162
Judith M. Stockdale
 
For
10,596,353
Withhold
134,809
Total
10,731,162
Carole E. Stone
 
For
10,591,003
Withhold
140,159
Total
10,731,162
 
 
Nuveen Investments 7
 
 
 
 
 

 

           
   
Nuveen Select Maturities Municipal Fund
     
NIM
 
Portfolio of Investments
   
     
September 30, 2010 (Unaudited) 
Principal
   
Optional Call
   
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
Value
   
Alabama – 2.7%
     
   
Alabama 21st Century Authority, Tobacco Settlement Revenue Bonds, Series 2001:
     
$      2,000
 
  5.750%, 12/01/17
12/11 at 101.00
A–
$       2,050,940
200
 
  5.500%, 12/01/21
12/11 at 101.00
A–
202,124
180
 
Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health
11/15 at 100.00
Baa2
168,493
   
  System Inc., Series 2005A, 5.000%, 11/15/30
     
500
 
Jefferson County, Alabama, Sewer Revenue Refunding Warrants, Series 2003B, 5.250%, 2/01/12 –
2/11 at 100.00
AAA
488,220
   
  AGM Insured
     
500
 
Marshall County Healthcare Authority, Alabama, Revenue Bonds, Series 2002A, 6.250%, 1/01/22
1/12 at 101.00
A–
516,780
3,380
 
Total Alabama
   
3,426,557
   
Arizona – 1.0%
     
   
Salt Verde Financial Corporation, Arizona, Senior Gas Revenue Bonds, Citigroup Energy Inc
     
   
Prepay Contract Obligations, Series 2007:
     
100
 
  5.000%, 12/01/17
No Opt. Call
A
104,663
85
 
  5.250%, 12/01/19
No Opt. Call
A
88,374
35
 
  5.000%, 12/01/32
No Opt. Call
A
33,593
380
 
  5.000%, 12/01/37
No Opt. Call
A
362,079
750
 
Surprise Municipal Property Corporation, Arizona, Wastewater System Revenue Bonds, Series
4/11 at 100.00
N/R
754,598
   
  2007, 4.500%, 4/01/17
     
1,350
 
Total Arizona
   
1,343,307
   
Arkansas – 3.2%
     
1,500
 
Jefferson County, Arkansas, Pollution Control Revenue Bonds, Entergy Arkansas Inc. Project,
6/11 at 100.00
A–
1,515,975
   
  Series 2006, 4.600%, 10/01/17
     
1,000
 
Jonesboro, Arkansas, Industrial Development Revenue Bonds, Anheuser Busch Inc. Project, Series
No Opt. Call
BBB+
1,073,300
   
  2002, 4.600%, 11/15/12
     
1,380
 
North Little Rock, Arkansas, Electric Revenue Refunding Bonds, Series 1992A, 6.500%, 7/01/15 –
No Opt. Call
A
1,534,187
   
  NPFG Insured
     
3,880
 
Total Arkansas
   
4,123,462
   
California – 1.8%
     
400
 
California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West,
7/15 at 100.00
A
422,184
   
  Series 2008H, 5.125%, 7/01/22
     
500
 
California State, General Obligation Bonds, Various Purpose Series 2010, 5.500%, 3/01/40
3/20 at 100.00
A1
529,165
1,000
 
Ceres Unified School District, Stanislaus County, California, General Obligation Bonds, Series
8/12 at 32.87
A+
266,410
   
  2002B, 0.000%, 8/01/31 – FGIC Insured
     
255
 
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed
6/17 at 100.00
BBB
228,414
   
  Bonds, Series 2007A-1, 4.500%, 6/01/27
     
2,000
 
Palomar Pomerado Health, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/25 –
No Opt. Call
AA+
924,420
   
  AGC Insured
     
4,155
 
Total California
   
2,370,593
   
Colorado – 11.9%
     
2,895
 
Centennial Downs Metropolitan District, Colorado, General Obligation Bonds, Series 1999,
12/14 at 100.00
N/R
2,976,986
   
  5.000%, 12/01/20 – AMBAC Insured
     
1,140
 
Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Douglas
7/12 at 100.00
BBB
1,152,392
   
  County School District RE-1 – DCS Montessori School, Series 2002A, 6.000%, 7/15/22
     
1,175
 
Colorado Educational and Cultural Facilities Authority, Revenue Bonds, Classical Academy
12/13 at 100.00
A
1,207,172
   
  Charter School, Series 2003, 4.500%, 12/01/18 – SYNCORA GTY Insured
     
185
 
Colorado Housing Finance Authority, Single Family Program Senior Bonds, Series 2000D-2,
10/10 at 105.00
AA
200,263
   
  6.900%, 4/01/29 (Alternative Minimum Tax)
     
 
 
8 Nuveen Investments
 
 
 
 

 

           
Principal
   
Optional Call
   
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
Value
   
Colorado (continued)
     
$     1,025
 
Denver Health and Hospitals Authority, Colorado, Healthcare Revenue Bonds, Series 2001A,
12/11 at 100.00
N/R (4)
$     1,091,410
   
  6.000%, 12/01/23 (Pre-refunded 12/01/11)
     
1,465
 
Denver West Metropolitan District, Colorado, General Obligation Refunding and Improvement
12/13 at 100.00
N/R
1,457,792
   
  Bonds, Series 2003, 4.500%, 12/01/18 – RAAI Insured
     
1,500
 
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2007C-2, 5.000%,
No Opt. Call
A
1,605,525
   
  9/01/39 (Mandatory put 9/01/13) – NPFG Insured
     
1,000
 
E-470 Public Highway Authority, Colorado, Toll Revenue Bonds, Series 2004B, 0.000%, 3/01/36 –
No Opt. Call
A
184,660
   
  NPFG Insured
     
70
 
Northwest Parkway Public Highway Authority, Colorado, Revenue Bonds, Senior Series 2001A,
6/11 at 102.00
AAA
73,596
   
  5.250%, 6/15/41 (Pre-refunded 6/15/11) – AGM Insured
     
5,875
 
Northwest Parkway Public Highway Authority, Colorado, Senior Lien Revenue Bonds, Series 2001B,
6/11 at 38.04
N/R (4)
2,215,874
   
  0.000%, 6/15/27 (Pre-refunded 6/15/11) – AMBAC Insured
     
200
 
Regional Transportation District, Colorado, Denver Transit Partners Eagle P3 Project Private
7/20 at 100.00
Baa3
212,612
   
  Activity Bonds, Series 2010, 6.000%, 1/15/41
     
2,845
 
University of Colorado Hospital Authority, Revenue Bonds, Series 2001A, 5.600%, 11/15/21
11/11 at 100.00
A3 (4)
3,015,046
   
  (Pre-refunded 11/15/11)
     
19,375
 
Total Colorado
   
15,393,328
   
Connecticut – 1.5%
     
   
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator
     
   
Lisbon Project, Series 1993A:
     
335
 
  5.500%, 1/01/14 (Alternative Minimum Tax)
1/11 at 100.00
BBB
336,102
1,570
 
  5.500%, 1/01/15 (Alternative Minimum Tax)
1/15 at 100.00
BBB
1,572,559
1,905
 
Total Connecticut
   
1,908,661
   
Florida – 5.7%
     
2,400
 
Deltona, Florida, Utility Systems Water and Sewer Revenue Bonds, Series 2003, 5.250%,
10/13 at 100.00
A1
2,538,744
   
  10/01/17 – NPFG Insured
     
   
Florida Citizens Property Insurance Corporation, High Risk Account Revenue Bonds, Series 2007A:
     
1,000
 
  5.000%, 3/01/15 – NPFG Insured
No Opt. Call
A+
1,071,430
125
 
  5.000%, 3/01/16 – NPFG Insured
No Opt. Call
A+
133,728
600
 
Florida Department of Environmental Protection, Florida Forever Revenue Bonds, Series 2007B,
7/17 at 101.00
AA–
682,278
   
  5.000%, 7/01/19 – NPFG Insured
     
30
 
JEA, Florida, Electric Revenue Certificates, Series 1973-2, 6.800%, 7/01/12 (ETM)
No Opt. Call
AAA
32,152
2,000
 
Orange County, Florida, Tourist Development Tax Revenue Bonds, Series 2005, 5.000%, 10/01/22 –
10/15 at 100.00
A+
2,155,620
   
  AMBAC Insured
     
235
 
Port Everglades Authority, Florida, Port Facilities Revenue Bonds, Series 1986, 7.125%,
No Opt. Call
AAA
275,587
   
  11/01/16 (ETM)
     
500
 
South Miami Health Facilities Authority, Florida, Hospital Revenue, Baptist Health System
8/17 at 100.00
AA–
526,700
   
  Obligation Group, Series 2007, 5.000%, 8/15/27
     
6,890
 
Total Florida
   
7,416,239
   
Georgia – 0.3%
     
380
 
Cherokee County Water and Sewerage Authority, Georgia, Revenue Bonds, Series 1995, 5.200%,
8/22 at 100.00
AAA
440,146
   
  8/01/25 (Pre-refunded 8/01/22) – MBIA Insured
     
   
Idaho – 0.1%
     
100
 
Madison County, Idaho, Hospital Revenue Certificates of Participation, Madison Memorial
9/16 at 100.00
BBB–
90,782
   
  Hospital, Series 2006, 5.250%, 9/01/37
     
 
 
Nuveen Investments 9
 
 
 

 
 
NIM
Nuveen Select Maturities Municipal Fund (continued)
Portfolio of Investments September 30, 2010 (Unaudited)
 
           
Principal
   
Optional Call
   
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
Value
   
Illinois – 13.8%
     
$     550
 
Chicago, Illinois, Tax Increment Allocation Bonds, Irving/Cicero Redevelopment Project, Series
1/11 at 100.00
N/R
$     550,726
   
  1998, 7.000%, 1/01/14
     
1,500
 
Cook County Township High School District 208, Illinois, General Obligation Bonds, Series
12/15 at 100.00
Aa2
1,650,150
   
  2006, 5.000%, 12/01/21 – NPFG Insured
     
2,000
 
Huntley, Illinois, Special Service Area 9, Special Tax Bonds, Series 2007, 5.100%, 3/01/28 –
3/17 at 100.00
AAA
2,133,900
   
  AGC Insured
     
4,780
 
Illinois Development Finance Authority, GNMA Collateralized Mortgage Revenue Bonds, Greek
4/11 at 105.00
Aaa
5,484,998
   
  American Nursing Home Committee, Series 2000A, 7.600%, 4/20/40
     
2,000
 
Illinois Educational Facilities Authority, Revenue Bonds, Art Institute of Chicago, Series
3/14 at 102.00
A+
2,145,280
   
  2000, 4.450%, 3/01/34 (Mandatory put 3/01/15)
     
1,000
 
Illinois Educational Facilities Authority, Student Housing Revenue Bonds, Educational
5/12 at 101.00
Aaa
1,107,610
   
  Advancement Foundation Fund, University Center Project, Series 2002, 6.625%, 5/01/17
     
   
  (Pre-refunded 5/01/12)
     
250
 
Illinois Finance Authority, Revenue Bonds, Roosevelt University, Series 2007, 5.250%, 4/01/22
4/17 at 100.00
Baa2
253,295
20
 
Illinois Health Facilities Authority, Revenue Bonds, Condell Medical Center, Series 2002,
No Opt. Call
Aaa
21,521
   
  5.250%, 5/15/12 (ETM)
     
50
 
Illinois Health Facilities Authority, Revenue Bonds, Lutheran General Health System, Series
No Opt. Call
AA+ (4)
52,488
   
  1993A, 6.125%, 4/01/12 – AGM Insured (ETM)
     
695
 
Illinois Health Facilities Authority, Revenue Bonds, Silver Cross Hospital and Medical
2/11 at 100.50
BBB
698,920
   
  Centers, Series 1999, 5.500%, 8/15/19
     
30
 
Illinois State, General Obligation Bonds, Refunding Series 2007B, 5.000%, 1/01/16
No Opt. Call
A+
33,264
40
 
Illinois State, General Obligation Bonds, Refunding Series 2008, 4.250%, 4/01/16
No Opt. Call
A+
42,935
1,165
 
Illinois State, General Obligation Bonds, Refunding Series 2010, 5.000%, 1/01/19
No Opt. Call
A+
1,302,540
25
 
Illinois State, General Obligation Bonds, Series 2007A, 5.500%, 6/01/15
No Opt. Call
A+
28,253
75
 
Illinois, General Obligation Bonds, Illinois FIRST Program, Series 2002, 5.250%, 12/01/19 –
12/12 at 100.00
AAA
80,039
   
  AGM Insured
     
1,355
 
Kane & DeKalb Counties, Illinois, Community United School District 301, General Obligation
No Opt. Call
A1
998,676
   
  Bonds, Series 2006, 0.000%, 12/01/18 – NPFG Insured
     
55
 
Metropolitan Pier and Exposition Authority, Illinois, Dedicated State Tax Revenue Bonds,
6/13 at 100.00
AAA
60,094
   
  Series 2002, 5.375%, 6/01/15 – FGIC Insured
     
200
 
Metropolitan Pier and Exposition Authority, Illinois, Revenue Bonds, McCormick Place Expansion
12/11 at 100.00
AA
202,764
   
  Project, Series 1999A, 5.500%, 12/15/24 – AMBAC Insured
     
25
 
Metropolitan Pier and Exposition Authority, Illinois, Revenue Refunding Bonds, McCormick Place
12/10 at 100.00
A
25,026
   
  Expansion Project, Series 1996A, 5.250%, 6/15/27 – AMBAC Insured
     
700
 
Regional Transportation Authority, Cook, DuPage, Kane, Lake, McHenry and Will Counties,
No Opt. Call
AA
916,713
   
  Illinois, General Obligation Bonds, Series 1994D, 7.750%, 6/01/19 – FGIC Insured
     
16,515
 
Total Illinois
   
17,789,192
   
Indiana – 0.4%
     
250
 
Indiana Finance Authority, Educational Facilities Revenue Bonds, Drexel Foundation For
10/19 at 100.00
BBB–
264,970
   
  Educational Excellence, Inc., Series 2009A, 6.000%, 10/01/21
     
250
 
Jasper County, Indiana, Pollution Control Revenue Refunding Bonds, Northern Indiana Public
No Opt. Call
A
284,683
   
  Service Company Project, Series 1994A Remarketed, 5.850%, 4/01/19 – MBIA Insured
     
500
 
Total Indiana
   
549,653
   
Iowa – 1.2%
     
1,520
 
Iowa Tobacco Settlement Authority, Tobacco Settlement Asset-Backed Revenue Bonds, Series
6/11 at 101.00
AAA
1,579,098
   
  2001B, 5.300%, 6/01/25 (Pre-refunded 6/01/11)
     
 
 
10 Nuveen Investments
 
 
 
 

 
           
Principal
   
Optional Call
   
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
Value
   
Kansas – 3.1%
     
$     3,500
 
Wichita, Kansas, Hospital Facilities Revenue Refunding and Improvement Bonds, Via Christi
11/11 at 101.00
A+
$     3,592,048
   
  Health System Inc., Series 2001-III, 5.500%, 11/15/21
     
250
 
Wyandotte County-Kansas City Unified Government, Kansas, Sales Tax Special Obligation Bonds,
12/15 at 100.00
N/R
262,390
   
  Redevelopment Project Area B, Series 2005, 5.000%, 12/01/20
     
370
 
Wyandotte County-Kansas City Unified Government, Kansas, Sales Tax Special Obligation Capital
No Opt. Call
BBB
211,107
   
  Appreciation Revenue Bonds Redevelopment Project Area B – Major Multi-Sport Athletic Complex
     
   
  Project, Subordinate Lien Series 2010B, 0.000%, 6/01/21
     
4,120
 
Total Kansas
   
4,065,545
   
Kentucky – 0.9%
     
325
 
Kentucky Economic Development Finance Authority, Louisville Arena Project Revenue Bonds,
6/18 at 100.00
AAA
361,660
   
  Louisville Arena Authority, Inc., Series 2008-A1, 5.750%, 12/01/28 – AGC Insured
     
825
 
Kentucky Housing Corporation, Housing Revenue Bonds, Series 2005G, 5.000%, 7/01/30
1/15 at 100.60
AAA
845,444
   
  (Alternative Minimum Tax)
     
1,150
 
Total Kentucky
   
1,207,104
   
Louisiana – 1.4%
     
1,010
 
Louisiana Public Facilities Authority, Revenue Bonds, Baton Rouge General Hospital, Series
7/14 at 100.00
A
1,051,026
   
  2004, 5.250%, 7/01/24 – NPFG Insured
     
   
Tobacco Settlement Financing Corporation, Louisiana, Tobacco Settlement Asset-Backed Bonds,
     
   
Series 2001B:
     
510
 
  5.500%, 5/15/30
5/11 at 101.00
BBB
513,458
245
 
  5.875%, 5/15/39
5/11 at 101.00
BBB
247,149
1,765
 
Total Louisiana
   
1,811,633
   
Maryland – 0.9%
     
1,100
 
Maryland Energy Financing Administration, Revenue Bonds, AES Warrior Run Project, Series 1995,
9/10 at 100.00
N/R
1,100,682
   
  7.400%, 9/01/19 (Alternative Minimum Tax)
     
   
Massachusetts – 0.7%
     
500
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,
10/17 at 100.00
N/R
468,585
   
  5.000%, 10/01/19
     
   
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc.,
     
   
Series 2001A:
     
100
 
  5.200%, 1/01/20 – AMBAC Insured (Alternative Minimum Tax)
1/11 at 101.00
N/R
90,088
470
 
  5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
1/11 at 101.00
N/R
387,219
1,070
 
Total Massachusetts
   
945,892
   
Michigan – 1.2%
     
1,000
 
Cornell Township Economic Development Corporation, Michigan, Environmental Improvement
5/12 at 100.00
AAA
1,082,180
   
  Revenue Refunding Bonds, MeadWestvaco Corporation-Escanaba Project, Series 2002,
     
   
  5.875%, 5/01/18 (Pre-refunded 5/01/12)
     
445
 
Michigan State Hospital Finance Authority, Hospital Revenue Refunding Bonds, Sinai Hospital,
1/11 at 100.00
BB
445,165
   
  Series 1995, 6.625%, 1/01/16
     
1,445
 
Total Michigan
   
1,527,345
   
Minnesota – 1.5%
     
1,100
 
Becker, Minnesota, Pollution Control Revenue Bonds, Northern States Power Company, Series
8/12 at 101.00
A1
1,251,162
   
  1993A, 8.500%, 9/01/19
     
250
 
Northern Municipal Power Agency, Minnesota, Electric System Revenue Bonds, Refunding Series
No Opt. Call
AAA
284,695
   
  2009A, 5.000%, 1/01/15 – AGC Insured
     
440
 
White Earth Band of Chippewa Indians, Minnesota, Revenue Bonds, Series 2000A, 7.000%,
No Opt. Call
N/R
448,862
   
  12/01/11 – ACA Insured
     
1,790
 
Total Minnesota
   
1,984,719
 
 
Nuveen Investments 11
 
 
 

 
 
NIM
Nuveen Select Maturities Municipal Fund (continued)
Portfolio of Investments September 30, 2010 (Unaudited)
 
           
Principal
   
Optional Call
   
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
Value
   
Mississippi – 0.6%
     
   
Mississippi Hospital Equipment and Facilities Authority, Revenue Bonds, Baptist Memorial
     
   
Healthcare, Series 2004B-1:
     
$     200
 
  5.000%, 9/01/16
No Opt. Call
AA
$    218,710
300
 
  5.000%, 9/01/24
9/14 at 100.00
AA
313,209
250
 
Warren County, Mississippi, Gulf Opportunity Zone Revenue Bonds, International Paper Company,
8/11 at 100.00
BBB
238,950
   
  Series 2006A, 4.800%, 8/01/30
     
750
 
Total Mississippi
   
770,869
   
Montana – 0.1%
     
70
 
University of Montana, Revenue Bonds, Series 1996D, 5.375%, 5/15/19 – MBIA Insured (ETM)
11/10 at 100.00
AAA
83,117
   
Nebraska – 0.9%
     
1,000
 
Dodge County School District 1, Nebraska, Fremont Public Schools, General Obligation Bonds,
12/14 at 100.00
Aa3
1,128,240
   
  Series 2004, 5.000%, 12/15/19 – AGM Insured
     
   
Nevada – 1.2%
     
1,000
 
Clark County, Nevada, Airport Revenue Bonds, Subordinate Lien Series 2010B, 5.750%, 7/01/42
1/20 at 100.00
Aa3
1,088,150
   
Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas
     
   
Monorail Project, First Tier, Series 2000:
     
800
 
  0.000%, 1/01/15 – AMBAC Insured
No Opt. Call
D
132,832
35
 
  0.000%, 1/01/16 – AMBAC Insured
No Opt. Call
D
5,481
120
 
  0.000%, 1/01/18 – AMBAC Insured
No Opt. Call
D
16,708
50
 
  0.000%, 1/01/20 – AMBAC Insured
No Opt. Call
D
6,181
250
 
Las Vegas Redevelopment Agency, Nevada, Tax Increment Revenue Bonds, Series 2009A,
6/19 at 100.00
A
298,690
   
  8.000%, 6/15/30
     
2,255
 
Total Nevada
   
1,548,042
   
New Jersey – 1.1%
     
410
 
Bayonne Redevelopment Agency, New Jersey, Revenue Bonds, Royal Caribbean Cruises Project,
No Opt. Call
BB–
387,462
   
  Series 2006A, 4.750%, 11/01/16 (Alternative Minimum Tax)
     
   
New Jersey Economic Development Authority, Cigarette Tax Revenue Bonds, Series 2004:
     
100
 
  5.375%, 6/15/14
No Opt. Call
BBB
106,606
15
 
  5.375%, 6/15/15 – RAAI Insured
No Opt. Call
Baa3
16,103
1,730
 
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital
No Opt. Call
AA–
496,683
   
  Appreciation Series 2010A, 0.000%, 12/15/33
     
425
 
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,
6/17 at 100.00
BBB
399,122
   
  Series 2007-1A, 4.500%, 6/01/23
     
2,680
 
Total New Jersey
   
1,405,976
   
New York – 7.1%
     
220
 
Brooklyn Areba Local Development Corporation, New York, Payment in Lieu of Taxes Revenue
1/20 at 100.00
BBB–
237,530
   
  Bonds, Barclays Center Project, Series 2009, 6.000%, 7/15/30
     
1,000
 
Dormitory Authority of the State of New York, Revenue Bonds, Brooklyn Law School, Series
7/13 at 100.00
BBB+
1,078,450
   
  2003A, 5.500%, 7/01/15 – RAAI Insured
     
170
 
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special
No Opt. Call
N/R
168,982
   
  Needs Facilities Pooled Program, Series 2008A-1, 5.700%, 7/01/13
     
1,500
 
New York State Energy Research and Development Authority, Facilities Revenue Bonds,
10/10 at 100.00
A–
1,502,340
   
  Consolidated Edison Company Inc., Series 2001A, 4.700%, 6/01/36 (Mandatory put 10/01/12)
     
   
  (Alternative Minimum Tax)
     
   
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and
     
   
State Contingency Contract-Backed Bonds, Series 2003A-1:
     
20
 
  5.500%, 6/01/14
12/10 at 100.00
AA–
20,075
250
 
  5.250%, 6/01/20 – AMBAC Insured
6/13 at 100.00
AA–
271,543
590
 
  5.250%, 6/01/22 – AMBAC Insured
6/13 at 100.00
AA–
635,943
 
 
12 Nuveen Investments
 
 
 

 
           
Principal
   
Optional Call
   
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
Value
   
New York (continued)
     
   
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and
     
   
State Contingency Contract-Backed Bonds, Series 2003B-1C:
     
$       500
 
  5.500%, 6/01/21
6/13 at 100.00
AA–
$     542,535
65
 
  5.500%, 6/01/22
6/13 at 100.00
AA–
70,480
4,300
 
Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air
No Opt. Call
A
4,579,928
   
  Terminal LLC, Sixth Series 1997, 7.000%, 12/01/12 – NPFG Insured (Alternative Minimum Tax)
     
8,615
 
Total New York
   
9,107,806
   
North Carolina – 1.6%
     
1,880
 
Union County, North Carolina, Certificates of Participation, Series 2003, 5.000%, 6/01/18 –
6/13 at 101.00
Aa2
2,053,468
   
  AMBAC Insured
     
   
Ohio – 1.4%
     
770
 
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
6/17 at 100.00
BBB
661,214
   
  Bonds, Senior Lien, Series 2007A-2, 5.125%, 6/01/24
     
1,000
 
Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004B,
No Opt. Call
A
1,084,260
   
  4.500%, 12/01/15
     
1,770
 
Total Ohio
   
1,745,474
   
Pennsylvania – 7.3%
     
200
 
Luzerne County Industrial Development Authority, Pennsylvania, Guaranteed Lease Revenue Bonds,
12/19 at 100.00
N/R
204,020
   
  Series 2009, 7.750%, 12/15/27
     
770
 
Pennsylvania Higher Educational Facilities Authority, College Revenue Bonds, Ninth Series
No Opt. Call
Aaa
891,606
   
  1976, 7.625%, 7/01/15 (ETM)
     
225
 
Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, University of the Arts,
3/11 at 100.00
A+ (4)
256,597
   
  Series 1999, 5.150%, 3/15/20 – RAAI Insured (ETM)
     
580
 
Pennsylvania Turnpike Commission, Turnpike Revenue Bonds, Capital Appreciation Motor License
No Opt. Call
AA
458,009
   
  Special Fund, Series 2010A-2, 0.000%, 12/01/34
     
4,120
 
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Eighteenth Series 2004, 5.000%, 8/01/15 –
8/14 at 100.00
BBB+
4,463,441
   
  AMBAC Insured
     
1,435
 
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Twelfth Series 1990B, 7.000%, 5/15/20 –
No Opt. Call
Aaa
1,800,351
   
  MBIA Insured (ETM)
     
250
 
Philadelphia Hospitals and Higher Education Facilities Authority, Pennsylvania, Hospital
11/23 at 100.00
BBB
250,090
   
  Revenue Bonds, Temple University Hospital, Series 1993A, 6.625%, 11/15/23
     
1,085
 
Pittsburgh School District, Allegheny County, Pennsylvania, General Obligation Bonds, Series
No Opt. Call
Aa3
1,170,173
   
  2006B, 5.000%, 9/01/12 – AMBAC Insured
     
8,665
 
Total Pennsylvania
   
9,494,287
   
Puerto Rico – 0.7%
     
1,000
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
8/26 at 100.00
A+
864,100
   
  2009A, 0.000%, 8/01/32
     
   
Rhode Island – 0.8%
     
   
Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds,
     
   
Series 2002A:
     
255
 
  6.125%, 6/01/32
6/12 at 100.00
BBB
255,033
725
 
  6.250%, 6/01/42
6/12 at 100.00
BBB
724,920
980
 
Total Rhode Island
   
979,953
   
South Carolina – 5.5%
     
750
 
Berkeley County School District, South Carolina, Installment Purchase Revenue Bonds, Securing
12/13 at 100.00
A1
800,835
   
  Assets for Education, Series 2003, 5.250%, 12/01/19
     
1,540
 
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,
No Opt. Call
AAA
2,039,437
   
  1/01/19 – FGIC Insured (ETM)
     
2,835
 
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,
No Opt. Call
Baa1
3,566,740
   
  1/01/19 – FGIC Insured
     
 
 
Nuveen Investments 13
 
 
 

 
 
NIM Nuveen Select Maturities Municipal Fund (continued)
Portfolio of Investments September 30, 2010 (Unaudited)
 
           
Principal
   
Optional Call
   
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
Value
   
South Carolina (continued)
     
$       5
 
South Carolina JOBS Economic Development Authority, Economic Development Revenue Bonds, Bon
11/12 at 100.00
A3 (4)
$     5,528
   
  Secours Health System Inc., Series 2002A, 5.625%, 11/15/30 (Pre-refunded 11/15/12)
     
20
 
South Carolina JOBS Economic Development Authority, Economic Development Revenue Bonds, Bon
11/12 at 100.00
A–
20,345
   
  Secours Health System Inc., Series 2002B, 5.625%, 11/15/30
     
450
 
South Carolina JOBS Economic Development Authority, Hospital Revenue Bonds, Palmetto Health
No Opt. Call
Baa2 (4)
455,562
   
  Alliance, Series 2000A, 7.000%, 12/15/10 (ETM)
     
195
 
Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement
5/11 at 101.00
BBB (4)
201,412
   
  Asset-Backed Bonds, Series 2001B, 6.000%, 5/15/22 (Pre-refunded 5/15/11)
     
5,795
 
Total South Carolina
   
7,089,859
   
South Dakota – 0.8%
     
1,000
 
South Dakota Health and Educational Facilities Authority, Revenue Bonds, Sanford Health,
5/17 at 100.00
AA–
1,031,060
   
  Series 2007, 5.000%, 11/01/27
     
   
Tennessee – 2.0%
     
   
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
AAA
828,975
1,250
 
  6.000%, 9/01/17 (Pre-refunded 9/01/12)
9/12 at 100.00
AAA
1,381,625
400
 
The Tennessee Energy Acquisition Corporation, Gas Revenue Bonds, Series 2006A, 5.000%, 9/01/13
No Opt. Call
BB+
429,696
2,400
 
Total Tennessee
   
2,640,296
   
Texas – 6.7%
     
1,055
 
Austin, Texas, General Obligation Bonds, Series 2004, 5.000%, 9/01/20 – NPFG Insured
9/14 at 100.00
AAA
1,182,623
565
 
Bexar County Housing Finance Corporation, Texas, FNMA Guaranteed Multifamily Housing
No Opt. Call
N/R
598,397
   
  Revenue Bonds, Villas Sonterra Apartments Project, Series 2007A, 4.700%, 10/01/15
     
   
  (Alternative Minimum Tax)
     
25
 
Brazos River Authority, Texas, Collateralized Pollution Control Revenue Bonds, Texas Utilities
No Opt. Call
CCC
16,567
   
  Electric Company, Series 2003D, 5.400%, 10/01/29 (Mandatory put 10/01/14)
     
2,000
 
Brazos River Authority, Texas, Collateralized Revenue Refunding Bonds, CenterPoint Energy
6/14 at 100.00
A3
2,047,540
   
  Inc., Series 2004B, 4.250%, 12/01/17 – FGIC Insured
     
500
 
Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Electric
No Opt. Call
CCC
476,540
   
  Company, Series 2001C, 5.750%, 5/01/36 (Mandatory put 11/01/11) (Alternative Minimum Tax)
     
15
 
Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Energy Company
No Opt. Call
CCC
11,580
   
  LLC, Series 2003A, 6.750%, 4/01/38 (Mandatory put 4/01/13) (Alternative Minimum Tax)
     
1,875
 
Denton Independent School District, Denton County, Texas, General Obligation Bonds, Series
8/16 at 100.00
AAA
2,150,663
   
  2006, 5.000%, 8/15/20
     
300
 
Kerrville Health Facilities Development Corporation, Texas, Revenue Bonds, Sid Peterson
No Opt. Call
BBB–
292,947
   
  Memorial Hospital Project, Series 2005, 5.125%, 8/15/26
     
325
 
North Texas Thruway Authority, Second Tier System Revenue Refunding Bonds, Series 2008,
1/18 at 100.00
A3
346,359
   
  5.750%, 1/01/38
     
25
 
Sabine River Authority, Texas, Pollution Control Revenue Bonds, TXU Energy Company LLC
No Opt. Call
CCC
23,827
   
  Project, Series 2001B, 5.750%, 5/01/30 (Mandatory put 11/01/11) (Alternative Minimum Tax)
     
1,500
 
Texas Municipal Gas Acquisition and Supply Corporation I, Gas Supply Revenue Bonds, Series
1/11 at 100.00
A
1,331,955
   
  2006B, 0.746%, 12/15/17
     
145
 
Weslaco Health Facilities Development Corporation, Texas, Hospital Revenue Bonds, Knapp
6/12 at 100.00
N/R (4)
154,173
   
  Medical Center, Series 2002, 6.000%, 6/01/17 (Pre-refunded 6/01/12)
     
8,330
 
Total Texas
   
8,633,171
   
Utah – 0.2%
     
235
 
Bountiful, Davis County, Utah, Hospital Revenue Refunding Bonds, South Davis Community
No Opt. Call
N/R
235,150
   
  Hospital Project, Series 1998, 6.000%, 12/15/10
     
   
Virgin Islands – 0.4%
     
525
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien
10/20 at 100.00
BBB
538,298
   
  Series 2010A, 5.000%, 10/01/29
     
 
 
14 Nuveen Investments
 
 
 

 

           
Principal
   
Optional Call
   
Amount (000)
 
Description (1)
Provisions (2)
Ratings (3)
Value
   
Virginia – 0.2%
     
$      250
 
Virginia College Building Authority, Educational Facilities Revenue Refunding Bonds, Marymount
1/11 at 100.00
N/R
$    250,283
   
  University, Series 1998, 5.100%, 7/01/18 – RAAI Insured
     
   
Washington – 0.7%
     
295
 
Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series
No Opt. Call
Aaa
379,261
   
  1989B, 7.125%, 7/01/16 – NPFG Insured
     
520
 
Washington State Tobacco Settlement Authority, Tobacco Settlement Asset-Backed Revenue Bonds,
6/13 at 100.00
BBB
537,779
   
  Series 2002, 6.500%, 6/01/26
     
815
 
Total Washington
   
917,040
   
Wisconsin – 3.6%
     
   
Badger Tobacco Asset Securitization Corporation, Wisconsin, Tobacco Settlement Asset-Backed
     
   
Bonds, Series 2002:
     
465
 
  6.125%, 6/01/27 (Pre-refunded 6/01/12)
6/12 at 100.00
AAA
497,406
1,480
 
  6.375%, 6/01/32 (Pre-refunded 6/01/12)
6/12 at 100.00
AAA
1,622,998
1,000
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Agnesian Healthcare
7/11 at 100.00
A–
1,010,160
   
  Inc., Series 2001, 6.000%, 7/01/21
     
1,150
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care Inc.,
2/11 at 100.00
N/R
1,150,644
   
Series 1999A, 5.500%, 2/15/20 – ACA Insured
     
   
  Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan
     
   
Healthcare System, Series 2006:
     
200
 
  5.250%, 8/15/18
8/16 at 100.00
BBB+
210,716
180
 
  5.250%, 8/15/34
8/16 at 100.00
BBB+
171,976
4,475
 
Total Wisconsin
   
4,663,900
$ 125,880
 
Total Investments (cost $118,566,652) – 96.2%
   
124,254,327
   
Other Assets Less Liabilities – 3.8%
   
4,943,783
   
Net Assets – 100%
   
$ 129,198,110
 
 
 
(1)  All percentages shown in the Portfolio of Investments are based on net assets. 
   
(2)  Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns. 
   
(3) 
Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
   
(4)  Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Such investments are normally considered to be equivalent to AAA rated securities. 
   
N/R
Not rated.
   
(ETM) Escrowed to maturity.
   
 
 
 
 
 
 
 
 
See accompanying notes to financial statements.
 
 
Nuveen Investments 15
 
 
 

 
 
Statement of
Assets & Liabilities
 
 
September 30, 2010 (Unaudited)
 
Assets
     
Investments, at value (cost $118,566,652) 
  $ 124,254,327  
Cash 
    3,190,074  
Receivables: 
       
Interest 
    1,813,907  
Investments sold 
    531,187  
Other assets 
    2,303  
Total assets 
    129,791,798  
Liabilities
       
Payables: 
       
Dividends 
    415,828  
Investments purchased 
    69,837  
Accrued expenses: 
       
Management fees 
    51,214  
Other 
    56,809  
Total liabilities 
    593,688  
Net assets 
  $ 129,198,110  
Shares outstanding 
    12,422,049  
Net asset value per share outstanding 
  $ 10.40  
Net assets consist of:
       
Shares, $.01 par value per share 
  $ 124,220  
Paid-in surplus 
    138,587,187  
Undistributed (Over-distribution of) net investment income 
    229,932  
Accumulated net realized gain (loss) 
    (15,430,904
Net unrealized appreciation (depreciation) 
    5,687,675  
Net assets 
  $ 129,198,110  
Authorized shares 
 
Unlimited
 
 
 
See accompanying notes to financial statements.
 
 
16 Nuveen Investments
 
 
 
 

 
 
Statement of
Operations
 
 
Six Months Ended September 30, 2010
(Unaudited)
 
Investment Income
  $ 3,097,647  
Expenses
       
Management fees 
    310,461  
Shareholders’ servicing agent fees and expenses 
    8,489  
Custodian’s fees and expenses 
    13,668  
Trustees’ fees and expenses 
    1,529  
Professional fees 
    10,172  
Shareholders’ reports – printing and mailing expenses 
    23,615  
Stock exchange listing fees 
    4,581  
Investor relations expense 
    5,056  
Other expenses 
    3,684  
Total expenses before custodian fee credit 
    381,255  
      Custodian fee credit 
    (791
Net expenses 
    380,464  
Net investment income 
    2,717,183  
Realized and Unrealized Gain (Loss)
       
Net realized gain (loss) from investments 
    42,653  
Change in net unrealized appreciation (depreciation) of investments 
    2,149,302  
Net realized and unrealized gain (loss) 
    2,191,955  
Net increase (decrease) in net assets from operations 
  $ 4,909,138  
 
 
See accompanying notes to financial statements.
 
 
Nuveen Investments 17
 
 
 

 

             
Statement of
           
Changes in Net Assets (Unaudited)
       
   
Six Months
   
Year
 
   
Ended
   
Ended
 
   
9/30/10
   
3/31/10
 
Operations
           
Net investment income 
  $ 2,717,183     $ 5,463,824  
Net realized gain (loss) from investments 
    42,653       65,469  
Change in net unrealized appreciation (depreciation) of investments 
    2,149,302       6,371,614  
Net increase (decrease) in net assets from operations 
    4,909,138       11,900,907  
Distributions to Shareholders
               
From net investment income 
    (2,608,085     (5,212,112
Decrease in net assets from distributions to shareholders 
    (2,608,085     (5,212,112
Capital Share Transactions
               
Net proceeds from shares issued to shareholders due to reinvestment of distributions 
    65,047       131,705  
Net increase (decrease) in net assets applicable to shares from capital share transactions 
    65,047       131,705  
Net increase (decrease) in net assets 
    2,366,100       6,820,500  
Net assets at the beginning of period 
    126,832,010       120,011,510  
Net assets at the end of period 
  $ 129,198,110     $ 126,832,010  
Undistributed (Over-distribution of) net investment income at the end of period 
  $ 229,932     $ 120,834  
 
 
See accompanying notes to financial statements.
 
18 Nuveen Investments
 
 
 

 
 
Notes to
Financial Statements(Unaudited)
 
 
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, registered investment company.
 
The Fund seeks to provide current income exempt from regular federal income tax, consistent with the preservation of capital by investing in an investment-grade quality portfolio of municipal obligations with intermediate characteristics. In managing its portfolio, the Fund has purchased municipal obligations having remaining effective maturities of no more than fifteen years with respect to 80% of its total assets that, in the opinion of Nuveen Asset Management (the “Adviser”), a wholly-owned subsidiary of Nuveen Investments, Inc. (“Nuveen”), 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 (“U.S. GAAP”).
 
Investment Valuation
Prices of fixed-income securities are provided by a pricing service approved by the Fund’s Board of Trustees. These securities are generally classified as Level 2. Prices of fixed-income securities are based on the mean between the bid and asked price. When price quotes are not readily available (which is usually the case for municipal bonds) the pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer, or market activity, provided by the Adviser. These securities are generally classified as Level 2 or Level 3.
 
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. These securities are generally classified as Level 1 or Level 2 (which is usually the case for municipal securities).
 
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Fund’s Board of Trustees or its designee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund’s net asset value (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the pricing service, is not deemed to reflect the security’s fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Fund’s Board of Trustees or its designee.
 
Refer to Footnote 2 – Fair Value Measurements for further details on the leveling of securities held by the Fund as of the end of the reporting period.
 
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/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
 
 
Nuveen Investments 19
 
 
 

 
 
Notes to
Financial Statements (Unaudited) (continued)
 
 
equal to the amount of the when-issued/delayed delivery purchase commitments. At September 30, 2010, the Fund had no such outstanding purchase commitments.
 
Investment Income
Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also reflects paydown gains and losses, if any.
 
Professional Fees
Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment, or to pursue other claims or legal actions on behalf of Fund shareholders.
 
Income Taxes
The Fund intends to distribute substantially all of its 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 that will enable interest from municipal securities, which is exempt from regular federal and designated state income taxes, to retain such tax-exempt status when distributed to shareholders of the Fund. Net realized capital gains and ordinary income distributions paid by the Fund are subject to federal taxation.
 
For all open tax years and all major taxing jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
 
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 at least 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. GAAP.
 
Derivative Financial Instruments
The Fund is authorized to invest in futures, options, swaps and other derivative instruments. Although the Fund is authorized to invest in such financial instruments, and may do so in the future, it did not make any such investments during the six months ended September 30, 2010.
 
Zero Coupon Securities
The Fund is authorized to invest in zero coupon securities. A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Tax-exempt income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
 
Custodian Fee Credit
The Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on the Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which the Fund overdraws its account at the custodian bank.
 
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.
 
 
20 Nuveen Investments
 
 
 

 
 
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP 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. Fair Value Measurements
In determining the fair value of the Fund’s investments, various inputs are used. These inputs are summarized in the three broad levels listed below:
 
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of September 30, 2010:
 
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments:
                       
Municipal Bonds
  $     $ 124,254,327     $     $ 124,254,327  
 
 
3. Derivative Instruments and Hedging Activities
The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes. The Fund did not invest in derivative instruments during the six months ended September 30, 2010.
 
4. Fund Shares
   
Transactions in shares were as follows:
   
 
Six Months
Year
 
Ended
Ended
 
9/30/10
3/31/10
Shares issued to shareholders
   
due to reinvestment of distributions
6,297
13,113
 
5. Investment Transactions
Purchases and sales (including maturities but excluding short-term investments) during the six months ended September 30, 2010, aggregated $3,756,497 and $6,655,250, respectively.
 
6. 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 timing differences in recognizing taxable market discount and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
 
At September 30, 2010, the cost and unrealized appreciation (depreciation) of investments, as determined on a federal income tax basis, were as follows:
 
Cost of investments
  $ 118,443,482  
Gross unrealized:
       
   Appreciation
  $ 6,925,698  
   Depreciation
    (1,114,853 )
Net unrealized appreciation (depreciation) of investments
  $ 5,810,845  
 
 
Nuveen Investments 21
 
 
 

 
 
Notes to
Financial Statements (Unaudited) (continued)
 
 
Permanent differences, primarily due to taxable market discount, resulted in reclassifications among the Fund’s components of net assets at March 31, 2010, the Fund’s last tax year-end, as follows:
 
Undistributed (Over-distribution of) net investment income
  $ 166  
Accumulated net realized gain (loss)
    (166 )
Paid-in-surplus
     
 
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains at March 31, 2010, the Fund’s last tax year end, were as follows:
 
Undistributed net tax-exempt income *
  $ 431,495  
Undistributed net ordinary income **
    4,924  
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 2, 2010, paid on April 1, 2010.
       
**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 Fund’s last tax year ended March 31, 2010, was designated for purposes of the dividends paid deduction as follows:
 
Distributions from net tax-exempt income
  $ 5,211,653  
Distributions from net ordinary income **
     
Distributions from net long-term capital gains
     
** Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
       
 
At March 31, 2010, the Fund’s last tax year end, the Fund had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
 
Expiration:
 
   March 31, 2011
$ 6,500,491
   March 31, 2012
8,737,799
   March 31, 2013
4,977
   March 31, 2014
14,448
   March 31, 2015
11,084
   March 31, 2016
44,763
   March 31, 2017
148,403
Total
$15,461,965
 
7. Management Fees and Other Transactions with Affiliates
The Fund’s management fee is separated into two components – a fund-level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all fund assets managed by the Adviser. This pricing structure enables 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 calculated according to the following schedule:
 
     
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 Nuveen Investments
 
 
 

 

The annual complex-level fee, payable monthly, is calculated according to the following schedule:
     
       
Complex-Level Managed Asset Breakpoint Level*
 
Effective Rate at
Breakpoint Level
 
$55 billion
    .2000 %
$56 billion
    .1996  
$57 billion
    .1989  
$60 billion
    .1961  
$63 billion
    .1931  
$66 billion
    .1900  
$71 billion
    .1851  
$76 billion
    .1806  
$80 billion
    .1773  
$91 billion
    .1691  
$125 billion
    .1599  
$200 billion
    .1505  
$250 billion
    .1469  
$300 billion
    .1445  
 
* The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds, with such daily managed assets defined separately for each fund in its management agreement, but excluding assets attributable to investments in other Nuveen funds. Managed assets include closed-end fund assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes the funds’ use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. As of September 30, 2010, the complex-level fee rate was .1822%.
 
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.
 
8. New Accounting Standards
Fair Value Measurements
On January 21, 2010, Financial Accounting Standards Board issued changes to the authoritative guidance under U.S. GAAP for fair value measurements. The objective of which is to provide guidance on how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose Level 3 activity for purchases, sales, issuances and settlements in the Level 3 roll-forward on a gross basis rather than as one net number. The effective date of the amendment is for interim and annual periods beginning after December 15, 2010. At this time, management is evaluating the implications of this guidance and the impact it will have to the footnote disclosures, if any.
 
Nuveen Investments 23
 
 
 

 

 
Financial
               
 
Highlights(Unaudited) 
           
 
 
Selected data for a Common 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:
                                                     
2011(c)
  $ 10.22     $ .22     $ .17     $ .39     $ (.21 )   $     $ (.21 )   $ 10.40     $ 11.03  
2010
    9.68       .44       .52       .96       (.42 )           (.42 )     10.22       10.42  
2009
    10.07       .43       (.38 )     .05       (.44 )           (.44 )     9.68       9.98  
2008
    10.19       .44       (.12 )     .32       (.44 )           (.44 )     10.07       9.80  
2007
    10.15       .46       .05       .51       (.47 )           (.47 )     10.19       9.94  
2006
    10.22       .48       (.07 )     .41       (.48 )           (.48 )     10.15       9.95  
 
 
24 Nuveen Investments
 
 
 

 

              Ratios/Supplemental Data  
                    Ratios to Average        
  Total Returns           Net Assets(b)        
Based on
     
Based on
   
Ending
         
Net
   
Portfolio
 
Market
     
Net Asset
   
Net Assets
         
Investment
   
Turnover
 
Value(a)
     
Value(a)
      (000 )  
Expenses
   
Income
   
Rate
 
  8.00 %       3.85 %   $ 129,198       .59 %*     4.24 %*     3 %
  8.83         10.06       126,832       .59       4.38       5  
  6.53         .52       120,012       .61       4.43       8  
  3.18         3.18       124,831       .59       4.37       11  
  4.75         5.10       126,316       .62       4.44       15  
  12.21         4.02       125,857       .59       4.67       7  
 
(a)
Total Return Based 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. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
   
 
Total Return Based 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. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.
   
(b)
Ratios do not reflect the effect of custodian fee credits earned on the Fund’s net cash on deposit with the custodian bank, where applicable.
   
(c)
For the six months ended September 30, 2010.
   
*
Annualized
 
See accompanying notes to financial statements.
 
 
Nuveen Investments 25
 
 
 

 
 
Annual Investment Management
Agreement Approval Process (Unaudited)
 
 
The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuance is approved at least annually by the fund’s board members, including by a vote of a majority of the board members who are not parties to the advisory agreement or “interested persons” of any parties (the “Independent Board Members”), cast in person at a meeting called for the purpose of considering such approval. In connection with such approvals, the fund’s board members must request and evaluate, and the investment adviser is required to furnish, such information as may be reasonably necessary to evaluate the terms of the advisory agreement. Accordingly, at a meeting held on May 25-26, 2010 (the “May Meeting”), the Board of Trustees (the “Board,” and each Trustee, a “Board Member”) of the Fund, including a majority of the Independent Board Members, considered and approved the continuation of the advisory agreement (the “Advisory Agreement”) between the Fund and Nuveen Asset Management (the “Adviser”) for an additional one-year period. In preparation for their considerations at the May Meeting, the Board also held a separate meeting on April 21-22, 2010 (the “April Meeting”). Accordingly, the factors considered and determinations made regarding the renewals by the Independent Board Members include those made at the April Meeting.
 
In addition, in evaluating the Advisory Agreement, the Independent Board Members reviewed a broad range of information relating to the Fund and the Adviser, including absolute and comparative performance, fee and expense information for the Fund (as described in more detail below), the profitability of Nuveen for its advisory activities (which includes its wholly owned subsidiaries), and other information regarding the organization, personnel, and services provided by the Adviser. The Independent Board Members also met quarterly as well as at other times as the need arose during the year and took into account the information provided at such meetings and the knowledge gained therefrom. Prior to approving the renewal of the Advisory Agreement, the Independent Board Members reviewed the foregoing information with their independent legal counsel and with management, reviewed materials from independent legal counsel describing applicable law and their duties in reviewing advisory contracts, and met with independent legal counsel in private sessions without management present. The Independent Board Members considered the legal advice provided by independent legal counsel and relied upon their knowledge of the Adviser, its services and the Fund resulting from their meetings and other interactions throughout the year and their own business judgment in determining the factors to be considered in evaluating the Advisory Agreement. Each Board Member may have accorded different weight to the various factors in reaching his or her conclusions with respect to the Fund’s Advisory Agreement. The Independent Board Members did not identify any single factor as all-important or controlling. The Independent
 
 
26 Nuveen Investments
 
 
 

 
 
Board Members’ considerations were instead based on a comprehensive consideration of all the information presented. The principal factors considered by the Board and its conclusions are described below.
 
 
A. Nature, Extent and Quality of Services
In considering renewal of the Advisory Agreement, the Independent Board Members considered the nature, extent and quality of the Adviser’s services, including advisory services and administrative services. The Independent Board Members reviewed materials outlining, among other things, the Adviser’s organization and business; the types of services that the Adviser or its affiliates provide and are expected to provide to the Fund; the performance record of the Fund (as described in further detail below); and any initiatives Nuveen had taken for the applicable fund product line, including continued activities to refinance auction rate preferred securities, manage leverage during periods of market turbulence and implement an enhanced leverage management process, modify investment mandates in light of market conditions and seek shareholder approval as necessary, maintain the fund share repurchase program and maintain shareholder communications to keep shareholders apprised of Nuveen’s efforts in refinancing preferred shares. In addition to the foregoing, the Independent Board Members also noted the additional services that the Adviser or its affiliates provide to closed-end funds, including, in particular, Nuveen’s continued commitment to supporting the secondary market for the common shares of its closed-end funds through a variety of programs designed to raise investor and analyst awareness and understanding of closed-end funds. These efforts include maintaining an investor relations program to provide timely information and education to financial advisers and investors; providing marketing for the closed-end funds; maintaining and enhancing a closed-end fund website; participating in conferences and having direct communications with analysts and financial advisors.
 
As part of their review, the Independent Board Members also evaluated the background, experience and track record of the Adviser’s investment personnel. In this regard, the Independent Board Members considered any changes in the personnel, and the impact on the level of services provided to the Fund, if any. The Independent Board Members also reviewed information regarding portfolio manager compensation arrangements to evaluate the Adviser’s ability to attract and retain high quality investment personnel, preserve stability, and reward performance but not provide an incentive for taking undue risks.
 
In addition to advisory services, the Independent Board Members considered the quality of administrative services provided by the Adviser and its affiliates including product management, fund administration, oversight of service providers, shareholder services, administration of Board relations, regulatory and portfolio compliance and legal support. Given the importance of compliance, the Independent Board Members also considered the Adviser’s compliance program, including the report of the chief compliance officer regarding the Fund’s compliance policies and procedures.
 
Based on their review, the Independent Board Members found that, overall, the nature, extent and quality of services provided (and expected to be provided) to the Fund under the Advisory Agreement were satisfactory.
 
 
Nuveen Investments 27
 
 
 

 
 
Annual Investment Management Agreement
Approval Process (Unaudited) (continued)
 
 
B. The Investment Performance of the Fund and the Adviser
The Board considered the performance results of the Fund over various time periods. The Board reviewed, among other things, the Fund’s historic investment performance as well as information comparing the Fund’s performance information with that of other funds (the “Performance Peer Group”) based on data provided by an independent provider of mutual fund data and with recognized and/or customized benchmarks. In this regard, the Board reviewed the Fund’s total return information compared to its Performance Peer Group for the quarter, one-, three- and five-year periods ending December 31, 2009 and for the same periods ending March 31, 2010. In addition, the Board reviewed the Fund’s total return information compared to recognized and/or customized benchmarks for the quarter, one- and three-year periods ending December 31, 2009 and for the same periods ending March 31, 2010. Moreover, the Board reviewed the peer ranking of the Nuveen municipal funds advised by the Adviser in the aggregate. The Independent Board Members also reviewed historic premium and discount levels. This information supplemented the Fund performance information provided to the Board at each of its quarterly meetings.
 
In reviewing peer comparison information, the Independent Board Members recognized that the Performance Peer Group of certain funds may not adequately represent the objectives and strategies of the funds, thereby limiting the usefulness of comparing a fund’s performance with that of its Performance Peer Group. In this regard, the Independent Board Members considered that the Performance Peer Groups of certain funds (including the Fund) were classified as having significant differences from such funds based on considerations such as special fund objectives, potential investable universe and the composition of the peer set (e.g., the number and size of competing funds and number of competing managers).
 
Based on their review, the Independent Board Members determined that the Fund’s investment performance over time had been satisfactory. In this regard, the Independent Board Members noted that the Fund underperformed its benchmark in the three-year period but outperformed the performance of its benchmark in the one-year period.
 
C. Fees, Expenses and Profitability
1. Fees and Expenses
 
The Board evaluated the management fees and expenses of the Fund reviewing, among other things, the Fund’s gross management fees, net management fees and net expense ratios in absolute terms as well as compared to the fee and expenses of a comparable universe of funds based on data provided by an independent fund data provider (the “Peer Universe”) and in certain cases, to a more focused subset of funds in the Peer Universe (the “Peer Group”) and any expense limitations.
 
The Independent Board Members further reviewed the methodology regarding the construction of the applicable Peer Universe and/or Peer Group. In reviewing the comparisons of fee and expense information, the Independent Board Members took into account that in certain instances various factors such as: the asset level of a fund relative to peers; the limited size and particular composition of the Peer Universe or
 
 
28 Nuveen Investments
 
 
 

 
 
Peer Group; the investment objectives of the peers; expense anomalies; changes in the funds comprising the Peer Universe or Peer Group from year to year; levels of reimbursement; the timing of information used; and the differences in the type and use of leverage may impact the comparative data, thereby limiting the ability to make a meaningful comparison with peers, including for the Fund.
 
In reviewing the fee schedule for the Fund, the Independent Board Members also considered the fund-level and complex-wide breakpoint schedules (described in further detail below) and any fee waivers and reimbursements provided by Nuveen (applicable, in particular, for certain closed-end funds launched since 1999). In their review, the Independent Board Members noted that although the Fund had net management fees above the peer average and the available peer set was limited, its net expense ratio was below or near the peer average.
 
Based on their review of the fee and expense information provided, the Independent Board Members determined that the Fund’s management fees were reasonable in light of the nature, extent and quality of services provided to the Fund.
 
2. Comparisons with the Fees of Other Clients
The Independent Board Members further reviewed information regarding the nature of services and fee rates offered by the Adviser to other clients, including municipal separately managed accounts and passively managed municipal bond exchange traded funds (ETFs) that are sub-advised by the Adviser. In evaluating the comparisons of fees, the Independent Board Members noted that the fee rates charged to the Fund and other clients vary, among other things, because of the different services involved and the additional regulatory and compliance requirements associated with registered investment companies, such as the Fund. Accordingly, the Independent Board Members considered the differences in the product types, including, but not limited to, the services provided, the structure and operations, product distribution and costs thereof, portfolio investment policies, investor profiles, account sizes and regulatory requirements. The Independent Board Members noted, in particular, that the range of services provided to the Fund (as discussed above) is much more extensive than that provided to separately managed accounts. Given the inherent differences in the products, particularly the extensive services provided to the Fund, the Independent Board Members believe such facts justify the different levels of fees.
 
3. Profitability of Nuveen
In conjunction with its review of fees, the Independent Board Members also considered the profitability of Nuveen for its advisory activities (which incorporated Nuveen’s wholly-owned affiliated sub-advisers) and its financial condition. The Independent Board Members reviewed the revenues and expenses of Nuveen’s advisory activities for the last two years, the allocation methodology used in preparing the profitability data and an analysis of the key drivers behind the changes in revenues and expenses that impacted profitability in 2009. The Independent Board Members noted this information supplemented the profitability information requested and received during the year to help keep them apprised of developments affecting profitability (such as changes in fee waivers and expense reimbursement commitments). In this regard, the Independent Board Members
 
 
Nuveen Investments 29
 
 
 

 
 
Annual Investment Management Agreement
Approval Process (Unaudited) (continued)
 
 
noted that they had also appointed an Independent Board Member as a point person to review and keep them apprised of changes to the profitability analysis and/or methodologies during the year. The Independent Board Members also considered Nuveen’s revenues for advisory activities, expenses, and profit margin compared to that of various unaffiliated management firms with similar amounts of assets under management and relatively comparable asset composition prepared by Nuveen.
 
In reviewing profitability, the Independent Board Members recognized the subjective nature of determining profitability which may be affected by numerous factors including the allocation of expenses. Further, the Independent Board Members recognized the difficulties in making comparisons as the profitability of other advisers generally is not publicly available and the profitability information that is available for certain advisers or management firms may not be representative of the industry and may be affected by, among other things, the adviser’s particular business mix, capital costs, types of funds managed and expense allocations. Notwithstanding the foregoing, the Independent Board Members reviewed Nuveen’s methodology and assumptions for allocating expenses across product lines to determine profitability. In reviewing profitability, the Independent Board Members recognized Nuveen’s investment in its fund business. Based on their review, the Independent Board Members concluded that Nuveen’s level of profitability for its advisory activities was reasonable in light of the services provided.
 
In evaluating the reasonableness of the compensation, the Independent Board Members also considered other amounts paid to the Adviser by the Fund as well as any indirect benefits (such as soft dollar arrangements, if any) the Adviser and its affiliates receive, or are expected to receive, that are directly attributable to the management of the Fund, if any. See Section E below for additional information on indirect benefits the Adviser may receive as a result of its relationship with the Fund. Based on their review of the overall fee arrangements of the Fund, the Independent Board Members determined that the advisory fees and expenses of the Fund were reasonable.
 
D. Economies of Scale and Whether Fee Levels Reflect These Economies of Scale
With respect to economies of scale, the Independent Board Members have recognized the potential benefits resulting from the costs of a fund being spread over a larger asset base, although economies of scale are difficult to measure and predict with precision, particularly on a fund-by-fund basis. One method to help ensure the shareholders share in these benefits is to include breakpoints in the advisory fee schedule. Generally, management fees for funds in the Nuveen complex are comprised of a fund-level component and a complex-level component, subject to certain exceptions. Accordingly, the Independent Board Members reviewed and considered the applicable fund-level breakpoints in the advisory fee schedules that reduce advisory fees as asset levels increase. Further, the Independent Board Members noted that although closed-end funds may from time-to-time make additional share offerings, the growth of their assets will occur primarily through the appreciation of such funds’ investment portfolio.
 
 
30 Nuveen Investments
 
 
 

 
 
In addition to fund-level advisory fee breakpoints, the Board also considered the Fund’s complex-wide fee arrangement. Pursuant to the complex-wide fee arrangement, the fees of the funds in the Nuveen complex are generally reduced as the assets in the fund complex reach certain levels. The complex-wide fee arrangement seeks to provide the benefits of economies of scale to fund shareholders when total fund complex assets increase, even if assets of a particular fund are unchanged or have decreased. The approach reflects the notion that some of Nuveen’s costs are attributable to services provided to all its funds in the complex and therefore all funds benefit if these costs are spread over a larger asset base.
 
Based on their review, the Independent Board Members concluded that the breakpoint schedules and complex-wide fee arrangement were acceptable and reflect economies of scale to be shared with shareholders when assets under management increase.
 
E. Indirect Benefits
In evaluating fees, the Independent Board Members received and considered information regarding potential “fall out” or ancillary benefits the Adviser or its affiliates may receive as a result of its relationship with the Fund. In this regard, the Independent Board Members considered any revenues received by affiliates of the Adviser for serving as agent at Nuveen’s trading desk and as co-manager in initial public offerings of new closed-end funds.
 
In addition to the above, the Independent Board Members considered whether the Adviser received any benefits from soft dollar arrangements whereby a portion of the commissions paid by the Fund for brokerage may be used to acquire research that may be useful to the Adviser in managing the assets of the Fund and other clients. The Independent Board Members noted that the Adviser does not currently have any soft dollar arrangements; however, to the extent certain bona fide agency transactions that occur on markets that traditionally trade on a principal basis and riskless principal transactions are considered as generating “commissions,” the Adviser intends to comply with the applicable safe harbor provisions.
 
Based on their review, the Independent Board Members concluded that any indirect benefits received by the Adviser as a result of its relationship with the Fund were reasonable and within acceptable parameters.
 
F. Other Considerations
The Independent Board Members did not identify any single factor discussed previously as all-important or controlling. The Board Members, including the Independent Board Members, unanimously concluded that the terms of the Advisory Agreement are fair and reasonable, that the Adviser’s fees are reasonable in light of the services provided to the Fund and that the Advisory Agreement be renewed.
 
Nuveen Investments 31
 
 
 

 
 
 
Reinvest Automatically
Easily and Conveniently
 
 
Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.
 
Nuveen Closed-End Funds Dividend Reinvestment Plan
 
Your Nuveen 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 greater of the net asset value or 95% of 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. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. 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
 
 
32 Nuveen Investments
 
 
 

 
 
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.
 
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.
 
 
Nuveen Investments 33
 
 
 
 

 
 
Glossary of Terms
Used in this Report
 
 
·  
Auction Rate Bond: An auction rate bond is a security whose interest payments are adjusted periodically through an auction process, which process typically also serves as a means for buying and selling the bond. Auctions that fail to attract enough buyers for all the shares offered for sale are deemed to have “failed,” with current holders receiving a formula-based interest rate until the next scheduled auction.
 
·  
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 weighted average of the effective maturity dates of the fixed-income securities in the portfolio. A bond’s effective maturity takes into account the possibility that it may be called by the issuer before its stated maturity date. In this case, the bond trades as though it had a shorter maturity than its stated maturity. 
 
·&#