Unassociated Document



 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 
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, Illinois 60606         
(Address of principal executive offices) (Zip code)
 

Kevin J. McCarthy
Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)
 
Registrant's telephone number, including area code:         312-917-7700        
 
Date of fiscal year end:            3/31           
 
Date of reporting period:         6/30/13         
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q 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 the 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. § 3507.

 
 
 
 
 
Item 1. Schedule of Investments
 
 
 
           
   
Portfolio of Investments (Unaudited)
      
           
   
Nuveen Select Maturities Municipal Fund (NIM)
      
   
June 30, 2013
      
 
 
Principal
    
Optional Call
    
Amount (000)
  
Description (1)
Provisions (2)
Ratings (3)
Value
   
Municipal Bonds – 96.7%
      
   
Alabama – 0.1%
      
$    180
  
Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health
11/15 at 100.00
Baa2
$    180,450
   
System Inc., Series 2005A, 5.000%, 11/15/30
      
   
Alaska – 0.1%
      
155
  
Alaska State, Sport Fishing Revenue Bonds, Series 2011, 5.000%, 4/01/21
4/20 at 100.00
A1
174,997
   
Arizona – 3.0%
      
   
Arizona Health Facilities Authority, Hospital System Revenue Bonds, Phoenix Children’s
      
   
Hospital, Refunding Series 2012A:
      
60
  
5.000%, 2/01/20
No Opt. Call
BBB+
67,957
290
  
5.000%, 2/01/27
2/22 at 100.00
BBB+
300,295
   
Arizona Sports and Tourism Authority, Senior Revenue Refunding Bonds, Multipurpose Stadium
      
   
Facility Project, Series 2012A:
      
425
  
5.000%, 7/01/25
7/22 at 100.00
A1
465,129
685
  
5.000%, 7/01/26
7/22 at 100.00
A1
742,862
685
  
5.000%, 7/01/27
7/22 at 100.00
A1
734,779
100
  
Pima County Industrial Development Authority, Arizona, Revenue Bonds, Tucson Electric Power
3/23 at 100.00
Baa2
91,024
   
Company Project, Series 2013A, 4.000%, 9/01/29
      
   
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–
109,214
100
  
5.250%, 12/01/19
No Opt. Call
A–
113,150
35
  
5.000%, 12/01/32
No Opt. Call
A–
35,294
480
  
5.000%, 12/01/37
No Opt. Call
A–
475,723
750
  
Surprise Municipal Property Corporation, Arizona, Wastewater System Revenue Bonds, Series
10/13 at 100.00
A–
753,435
   
2007, 4.500%, 4/01/17
      
3,710
  
Total Arizona
    
3,888,862
   
Arkansas – 0.9%
      
600
  
Independence County, Arkansas, Pollution Control Revenue Bonds, Arkansas Power and Light
No Opt. Call
A–
574,662
   
Company Project, Series 2013, 2.375%, 1/01/21
      
605
  
North Little Rock, Arkansas, Electric Revenue Refunding Bonds, Series 1992A, 6.500%, 7/01/15 –
No Opt. Call
A (4)
639,709
   
NPFG Insured (ETM)
      
1,205
  
Total Arkansas
    
1,214,371
   
California – 4.5%
      
300
  
Alameda Corridor Transportation Authority, California, Senior Lien Revenue Refunding Bonds,
No Opt. Call
A
347,031
   
Series 2013A, 5.000%, 10/01/23
      
330
  
California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West,
7/15 at 100.00
A
353,885
   
Series 2008H, 5.125%, 7/01/22
      
125
  
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard
No Opt. Call
AA
124,466
   
Children’s Hospital, Series 2008A, 1.450%, 8/15/33 (Mandatory put 3/15/17)
      
160
  
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard
No Opt. Call
AA
159,317
   
Children’s Hospital, Series 2012C, 1.450%, 8/15/23 (Mandatory put 3/15/17)
      
500
  
California State, General Obligation Bonds, Various Purpose Series 2010, 5.500%, 3/01/40
3/20 at 100.00
A1
533,865
135
  
California Statewide Communities Development Authority, Revenue Bonds, Kaiser Permanente,
No Opt. Call
A+
152,638
   
Series 2009E-1, 5.000%, 4/01/44 (Mandatory put 5/01/17)
      
250
  
Delano, California, Certificates of Participation, Delano Regional Medical Center, Series
No Opt. Call
BBB–
261,650
   
2012, 5.000%, 1/01/24
      
600
  
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed
6/17 at 100.00
B
564,396
   
Bonds, Series 2007A-1, 4.500%, 6/01/27
      
365
  
Lake Elsinore Redevelopment Agency, California, Special Tax Bonds, Community Facilities
10/17 at 100.00
AA–
369,066
   
District 90-2, Series 2007A, 4.500%, 10/01/24 – AGM Insured
      
   
Moulton Niguel Water District, California, Certificates of Participation, Refunding
      
   
Series 2003:
      
250
  
5.000%, 9/01/21 – AMBAC Insured
9/16 at 100.00
AAA
269,090
250
  
5.000%, 9/01/22 – AMBAC Insured
9/16 at 100.00
AAA
269,090
500
  
5.000%, 9/01/23 – AMBAC Insured
9/16 at 100.00
AAA
538,180
2,000
  
Palomar Pomerado Health, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/25 –
No Opt. Call
AA–
1,146,520
   
AGC Insured
      
35
  
Riverside County Transportation Commission, California, Sales Tax Revenue Bonds, Limited Tax
6/23 at 100.00
BBB–
35,741
   
Bonds, Series 2013A, 5.750%, 6/01/44 (WI/DD, Settling 7/03/13)
      
2,000
  
San Diego Community College District, California, General Obligation Bonds, Refunding Series
No Opt. Call
AA+
582,020
   
2011, 0.000%, 8/01/37
      
7,800
  
Total California
    
5,706,955
   
Colorado – 6.5%
      
2,895
  
Centennial Downs Metropolitan District, Colorado, General Obligation Bonds, Series 1999,
12/14 at 100.00
N/R
2,951,366
   
5.000%, 12/01/20 – AMBAC Insured
      
1,175
  
Colorado Educational and Cultural Facilities Authority, Revenue Bonds, Classical Academy
12/13 at 100.00
A
1,183,096
   
Charter School, Series 2003, 4.500%, 12/01/18 – SYNCORA GTY Insured
      
100
  
Colorado Housing Finance Authority, Single Family Program Senior Bonds, Series 2000D-2,
10/13 at 103.50
AA
101,697
   
6.900%, 4/01/29 (Alternative Minimum Tax)
      
1,465
  
Denver West Metropolitan District, Colorado, General Obligation Refunding and Improvement
12/13 at 100.00
A– (4)
1,491,136
   
Bonds, Series 2003, 4.500%, 12/01/18 (Pre-refunded 12/01/13) – RAAI Insured
      
55
  
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2000B, 0.000%, 9/01/33 –
No Opt. Call
A
17,663
   
NPFG Insured
      
1,500
  
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2007C-2, 5.000%,
No Opt. Call
A
1,510,920
   
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 –
9/20 at 41.72
A
268,730
   
NPFG Insured
      
500
  
Plaza Metropolitan District 1, Lakewood, Colorado, Tax Increment Revenue Bonds, Refunding
No Opt. Call
N/R
532,085
   
Series 2013, 5.000%, 12/01/20
      
200
  
Regional Transportation District, Colorado, Denver Transit Partners Eagle P3 Project Private
7/20 at 100.00
Baa3
219,200
   
Activity Bonds, Series 2010, 6.000%, 1/15/41
      
8,890
  
Total Colorado
    
8,275,893
   
Connecticut – 1.9%
      
815
  
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University,
No Opt. Call
AAA
792,930
   
Series 2010A-3, 0.875%, 7/01/49 (Mandatory put 2/07/18)
      
   
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator
      
   
Lisbon Project, Series 1993A:
      
95
  
5.500%, 1/01/14 (Alternative Minimum Tax)
7/13 at 100.00
BBB
95,113
1,570
  
5.500%, 1/01/15 (Alternative Minimum Tax)
7/13 at 100.00
BBB
1,571,868
2,480
  
Total Connecticut
    
2,459,911
   
Delaware – 0.1%
      
170
  
Delaware Health Facilities Authority, Revenue Bonds, Nanticoke Memorial Hospital, Series 2013,
7/23 at 100.00
BBB–
165,107
   
5.000%, 7/01/28
      
   
District of Columbia – 0.2%
      
120
  
District of Columbia Student Dormitory Revenue Bonds, Provident Group – Howard Properties LLC
10/22 at 100.00
BBB–
116,878
   
Issue, Series 2013, 5.000%, 10/01/30
      
150
  
District of Columbia Tobacco Settlement Corporation, Tobacco Settlement Asset-Backed Bonds,
No Opt. Call
Baa1
164,153
   
Series 2001, 6.500%, 5/15/33
      
270
  
Total District of Columbia
    
281,031
   
Florida – 7.9%
      
80
  
Citizens Property Insurance Corporation, Florida, High Risk Assessment Revenue, Senior Secured
No Opt. Call
A+
89,088
   
Bonds, Series 2009A-1, 5.375%, 6/01/16
      
160
  
Citizens Property Insurance Corporation, Florida, High-Risk Account Revenue Bonds, Coastal
No Opt. Call
A+
180,126
   
Account Senior Secured Series 2011A-1, 5.000%, 6/01/18
      
   
City of Tampa, Florida, Refunding and Capital Improvement Cigarette Tax Allocation Bonds, H.
      
   
Lee Moffitt Cancer Center Project, Series 2012A:
      
100
  
5.000%, 9/01/22
No Opt. Call
A+
114,123
50
  
5.000%, 9/01/23
9/22 at 100.00
A+
56,188
150
  
5.000%, 9/01/25
9/22 at 100.00
A+
165,578
2,400
  
Deltona, Florida, Utility Systems Water and Sewer Revenue Bonds, Series 2003, 5.250%, 10/01/17 –
10/13 at 100.00
A1
2,429,256
   
NPFG Insured
      
   
Florida Citizens Property Insurance Corporation, High Risk Account Revenue Bonds, Series 2007A:
      
1,215
  
5.000%, 3/01/15 – NPFG Insured
No Opt. Call
A+
1,295,907
340
  
5.000%, 3/01/16 – NPFG Insured
No Opt. Call
A+
372,541
   
Florida Citizens Property Insurance Corporation, Personal and Commercial Lines Account Bonds,
      
   
Senior Secured Series 2012A-1:
      
50
  
5.000%, 6/01/18
No Opt. Call
A+
56,290
455
  
5.000%, 6/01/20
No Opt. Call
A+
514,600
600
  
Florida Department of Environmental Protection, Florida Forever Revenue Bonds, Series 2007B,
7/17 at 101.00
AA–
673,566
   
5.000%, 7/01/19 – NPFG Insured
      
25
  
Halifax Hospital Medical Center, Florida, Revenue Bonds, Series 2006, 5.250%, 6/01/26
6/16 at 100.00
A–
25,790
   
Miami-Dade County, Florida, Public Facilities Revenue Bonds, Jackson Health System,
      
   
Series 2009:
      
10
  
5.500%, 6/01/29 – AGM Insured
6/19 at 100.00
AA–
10,560
10
  
5.625%, 6/01/34 – AGC Insured
6/19 at 100.00
AA–
10,413
750
  
North Sumter County Utility Dependent District, Florida, Utility Revenue Bonds, Series 2010,
No Opt. Call
A
826,950
   
5.000%, 10/01/20
      
250
  
Orange County School Board, Florida, Certificates of Participation, Series 2005B, 5.000%,
8/15 at 100.00
Aa2
267,458
   
8/01/25 – AMBAC Insured
      
2,000
  
Orange County, Florida, Tourist Development Tax Revenue Bonds, Series 2005, 5.000%, 10/01/22 –
10/15 at 100.00
AA–
2,163,880
   
AMBAC Insured
      
165
  
Port Everglades Authority, Florida, Port Facilities Revenue Bonds, Series 1986, 7.125%,
No Opt. Call
Aaa
184,072
   
11/01/16 (ETM)
      
670
  
South Miami Health Facilities Authority, Florida, Hospital Revenue, Baptist Health System
8/17 at 100.00
AA
711,279
   
Obligation Group, Series 2007, 5.000%, 8/15/27
      
9,480
  
Total Florida
    
10,147,665
   
Georgia – 0.8%
      
330
  
Cherokee County Water and Sewerage Authority, Georgia, Revenue Bonds, Series 1995, 5.200%,
8/22 at 100.00
A (4)
378,084
   
8/01/25 (Pre-refunded 8/01/22) – NPFG Insured
      
600
  
Private Colleges and Universities Authority, Georgia, Revenue Bonds, Mercer University
10/22 at 100.00
Baa2
661,914
   
Project, Refunding Series 2012C, 5.250%, 10/01/23
      
930
  
Total Georgia
    
1,039,998
   
Idaho – 0.1%
      
100
  
Madison County, Idaho, Hospital Revenue Certificates of Participation, Madison Memorial
9/16 at 100.00
BB+
100,166
   
Hospital, Series 2006, 5.250%, 9/01/37
      
   
Illinois – 13.1%
      
200
  
Chicago, Illinois, Tax Increment Allocation Bonds, Irving/Cicero Redevelopment Project, Series
7/13 at 100.00
N/R
200,550
   
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
Aa3
1,633,995
   
2006, 5.000%, 12/01/21 – NPFG Insured
      
285
  
Cook County, Illinois, General Obligation Bonds, Refunding Series 2012C, 5.000%, 11/15/21
No Opt. Call
AA
327,582
2,000
  
Huntley, Illinois, Special Service Area 9, Special Tax Bonds, Series 2007, 5.100%, 3/01/28 –
3/17 at 100.00
AA–
2,189,080
   
AGC Insured
      
455
  
Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2012, 5.000%, 9/01/27
9/22 at 100.00
A–
471,630
635
  
Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Series 2007A,
11/17 at 100.00
A
666,331
   
5.750%, 11/15/37
      
250
  
Illinois Finance Authority, Revenue Bonds, Roosevelt University, Series 2007, 5.250%, 4/01/22
4/17 at 100.00
BBB
257,053
40
  
Illinois Health Facilities Authority, Revenue Bonds, Sherman Health Systems, Series 1997,
7/13 at 100.00
BBB (4)
40,033
   
5.250%, 8/01/22 (Pre-refunded 7/05/13) – AMBAC Insured
      
700
  
Illinois Health Facilities Authority, Revenue Bonds, Silver Cross Hospital and Medical
8/13 at 100.00
BBB–
701,057
   
Centers, Series 1999, 5.500%, 8/15/19
      
220
  
Illinois Health Facilities Authority, Revenue Refunding Bonds, Elmhurst Memorial Healthcare,
7/13 at 100.00
Baa2
220,592
   
Series 2002, 5.625%, 1/01/28
      
110
  
Illinois State, General Obligation Bonds, Refunding Series 2006, 5.000%, 1/01/15
No Opt. Call
A–
116,562
235
  
Illinois State, General Obligation Bonds, Refunding Series 2007B, 5.000%, 1/01/16
No Opt. Call
A–
254,991
425
  
Illinois State, General Obligation Bonds, Refunding Series 2008, 4.250%, 4/01/16
No Opt. Call
A–
455,205
1,165
  
Illinois State, General Obligation Bonds, Refunding Series 2010, 5.000%, 1/01/19
No Opt. Call
A–
1,296,878
   
Illinois State, General Obligation Bonds, Refunding Series 2012:
      
390
  
5.000%, 8/01/20
No Opt. Call
A–
432,709
320
  
5.000%, 8/01/21
No Opt. Call
A–
351,514
275
  
5.000%, 8/01/23
No Opt. Call
A–
296,497
110
  
5.000%, 8/01/24
8/22 at 100.00
A–
115,754
230
  
Illinois State, General Obligation Bonds, Series 2006, 5.000%, 1/01/17
1/16 at 100.00
A–
247,032
25
  
Illinois State, General Obligation Bonds, Series 2007A, 5.500%, 6/01/15
No Opt. Call
A–
27,083
300
  
Illinois State, General Obligation Bonds, Series 2012A, 4.000%, 1/01/20
No Opt. Call
A–
314,178
   
Illinois State, General Obligation Bonds, Series 2013:
      
280
  
5.500%, 7/01/25 (WI/DD, Settling 7/10/13)
7/23 at 100.00
A–
303,657
240
  
5.500%, 7/01/26 (WI/DD, Settling 7/10/13)
7/23 at 100.00
A–
257,966
1,355
  
Kane & DeKalb Counties Community Unit School District 301, Illinois, General Obligation Bonds,
No Opt. Call
Aa3
1,172,509
   
Series 2006, 0.000%, 12/01/18 – NPFG Insured
      
1,000
  
Peoria Public Building Commission, Illinois, School District Facility Revenue Bonds, Peoria
12/18 at 79.62
AA–
668,070
   
County School District 150 Project, Series 2009A, 0.000%, 12/01/22 – AGC Insured
      
   
Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds,
      
   
Series 2010:
      
500
  
5.000%, 6/01/19
No Opt. Call
A
566,700
1,000
  
5.250%, 6/01/21
No Opt. Call
A
1,150,930
700
  
Regional Transportation Authority, Cook, DuPage, Kane, Lake, McHenry and Will Counties,
No Opt. Call
AA
845,558
   
Illinois, General Obligation Bonds, Series 1994D, 7.750%, 6/01/19 – FGIC Insured
      
500
  
Sterling, Whiteside County, Illinois, General Obligation Bonds, Alternate Revenue Source,
No Opt. Call
A+
519,345
   
Series 2012, 4.000%, 11/01/22
      
670
  
Williamson & Johnson Counties Community Unit School District 2, Marion, Illinois, Limited Tax
10/19 at 103.00
BBB
733,127
   
General Obligation Lease Certificates, Series 2011, 7.000%, 10/15/22
      
16,115
  
Total Illinois
    
16,834,168
   
Indiana – 1.6%
      
230
  
Indiana Finance Authority, Educational Facilities Revenue Bonds, Drexel Foundation For
10/19 at 100.00
BB–
240,575
   
Educational Excellence, Inc., Series 2009A, 6.000%, 10/01/21
      
180
  
Indiana Finance Authority, Private Activity Bonds, Ohio River Bridges East End Crossing
1/17 at 100.00
BBB
196,576
   
Project, Series 2013B, 5.000%, 1/01/19 (Alternative Minimum Tax)
      
1,000
  
Indiana Health Facility Financing Authority, Revenue Bonds, Community Hospitals of Indiana,
5/15 at 100.00
A (4)
1,083,510
   
Series 2005A, 5.000%, 5/01/35 (Pre-refunded 5/01/15) – AMBAC Insured
      
250
  
Jasper County, Indiana, Pollution Control Revenue Refunding Bonds, Northern Indiana Public
No Opt. Call
A
284,433
   
Service Company Project, Series 1994A Remarketed, 5.850%, 4/01/19 – NPFG Insured
      
250
  
Lake County Building Corporation, Indiana, First Mortgage Bonds, Series 2012, 4.750%, 2/01/21
No Opt. Call
N/R
252,818
1,910
  
Total Indiana
    
2,057,912
   
Iowa – 0.7%
      
500
  
Ames, Iowa, Hospital Revenue Bonds, Mary Greeley Medical Center, Series 2011, 5.250%, 6/15/27
6/20 at 100.00
A2
525,735
335
  
Iowa Finance Authority, Iowa, Midwestern Disaster Area Revenue Bonds, Iowa Fertilizer Company
No Opt. Call
BB–
334,079
   
Project, Series 2013, 5.000%, 12/01/19
      
835
  
Total Iowa
    
859,814
   
Kansas – 0.2%
      
305
  
Wyandotte County-Kansas City Unified Government, Kansas, Sales Tax Special Obligation Capital
No Opt. Call
BBB+
196,810
   
Appreciation Revenue Bonds Redevelopment Project Area B – Major Multi-Sport Athletic Complex
      
   
Project, Subordinate Lien Series 2010B, 0.000%, 6/01/21
      
   
Kentucky – 1.1%
      
325
  
Kentucky Economic Development Finance Authority, Louisville Arena Project Revenue Bonds,
6/18 at 100.00
AA–
341,292
   
Louisville Arena Authority, Inc., Series 2008-A1, 5.750%, 12/01/28 – AGC Insured
      
275
  
Kentucky Housing Corporation, Housing Revenue Bonds, Series 2005G, 5.000%, 7/01/30
1/15 at 100.60
AAA
278,539
   
(Alternative Minimum Tax)
      
340
  
Lexington-Fayette Urban County Government Public Facilities Corporation, Kentucky State Lease
6/21 at 100.00
Aa3
366,697
   
Revenue Bonds, Eastern State Hospital Project, Series 2011A, 5.250%, 6/01/29
      
150
  
Louisville-Jefferson County Metropolitan Government, Kentucky, Environmental Facilities
No Opt. Call
A–
149,382
   
Revenue, Louisville Gas & Electric Company Project, Series 2007B, 1.600%, 6/01/33 (Mandatory
      
   
put 6/01/17)
      
320
  
Louisville-Jefferson County Metropolitan Government, Kentucky, Pollution Control Revenue
No Opt. Call
A+
319,558
   
Bonds, Louisville Gas and Electric Company Project, Series 2003A, 1.650%, 10/01/33 (Mandatory
      
   
put 4/03/17)
      
1,410
  
Total Kentucky
    
1,455,468
   
Louisiana – 1.7%
      
935
  
Louisiana Public Facilities Authority, Revenue Bonds, Baton Rouge General Hospital, Series
7/14 at 100.00
A (4)
979,469
   
2004, 5.250%, 7/01/24 (Pre-refunded 7/01/14) – NPFG Insured
      
255
  
Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project,
5/17 at 100.00
Baa1
261,408
   
Series 2007A, 5.250%, 5/15/38
      
385
  
Saint Charles Parish, Louisiana, Gulf Opportunity Zone Revenue Bonds, Valero Project, Series
No Opt. Call
BBB
384,503
   
2010, 4.000%, 12/01/40 (Mandatory put 6/01/22)
      
   
Tobacco Settlement Financing Corporation, Louisiana, Tobacco Settlement Asset-Backed Bonds,
      
   
Series 2001B:
      
120
  
5.500%, 5/15/30
11/13 at 100.00
A1
119,700
445
  
5.875%, 5/15/39
11/13 at 100.00
A–
443,888
2,140
  
Total Louisiana
    
2,188,968
   
Maine – 0.1%
      
25
  
Maine Health and Higher Educational Facilities Authority Revenue Bonds, Eastern Maine Medical
No Opt. Call
Baa1
23,210
   
Center Obligated Group Issue, Series 2013, 3.000%, 7/01/23
      
35
  
Portland, Maine, General Airport Revenue Bonds, Refunding Series 2013, 5.000%, 7/01/22
No Opt. Call
BBB+
39,185
60
  
Total Maine
    
62,395
   
Massachusetts – 1.0%
      
500
  
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,
10/17 at 100.00
N/R
506,270
   
5.000%, 10/01/19
      
250
  
Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street
8/13 at 100.00
A
238,815
   
Redevelopment, M/SRBC Project, Series 2002A, 5.125%, 2/01/34 – NPFG Insured
      
   
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc.,
      
   
Series 2001A:
      
100
  
5.200%, 1/01/20 – AMBAC Insured (Alternative Minimum Tax)
7/13 at 100.00
N/R
99,585
470
  
5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
1/14 at 100.00
N/R
446,900
1,320
  
Total Massachusetts
    
1,291,570
   
Michigan – 2.7%
      
400
  
Detroit, Michigan, Downtown Development Authority, Tax Increment Refunding Bonds, Development
No Opt. Call
A–
229,256
   
Area 1 Projects, Series 1996B, 0.000%, 7/01/23
      
1,000
  
Detroit, Michigan, General Obligation Bonds, Series 2001A-1, 5.375%, 4/01/18 – NPFG Insured
10/13 at 100.00
A
947,050
50
  
Detroit, Michigan, Second Lien Sewerage Disposal System Revenue Bonds, Series 2005A, 5.000%,
7/15 at 100.00
A
49,330
   
7/01/35 – NPFG Insured
      
150
  
Detroit, Michigan, Senior Lien Sewerage Disposal System Revenue Bonds, Series 2001B, 5.500%,
No Opt. Call
A
149,730
   
7/01/29 – FGIC Insured
      
280
  
Michigan Finance Authority, Revenue Bonds, Detroit City School District, Series 2012,
No Opt. Call
A+
310,736
   
5.000%, 6/01/18
      
200
  
Michigan Finance Authority, Unemployment Obligation Assessment Revenue Bonds, Series 2012B,
7/16 at 100.00
AAA
217,590
   
5.000%, 7/01/22
      
1,000
  
Michigan Hospital Finance Authority, Refunding and Project Revenue Bonds, Ascension Health
No Opt. Call
AA+
996,000
   
Senior Credit Group, Series 2010F-5, 1.500%, 11/15/47 (Mandatory put 3/15/17)
      
500
  
Wayne County Airport Authority, Michigan, Revenue Bonds, Detroit Metropolitan Airport,
No Opt. Call
A
558,750
   
Refunding Series 2010C, 5.000%, 12/01/16
      
3,580
  
Total Michigan
    
3,458,442
   
Minnesota – 0.2%
      
250
  
Northern Municipal Power Agency, Minnesota, Electric System Revenue Bonds, Refunding Series
No Opt. Call
AA–
266,433
   
2009A, 5.000%, 1/01/15 – AGC Insured
      
   
Mississippi – 0.5%
      
   
Mississippi Hospital Equipment and Facilities Authority, Revenue Bonds, Baptist Memorial
      
   
Healthcare, Series 2004B-1:
      
100
  
5.000%, 9/01/16
9/14 at 100.00
AA–
104,304
300
  
5.000%, 9/01/24
9/14 at 100.00
AA–
312,471
250
  
Warren County, Mississippi, Gulf Opportunity Zone Revenue Bonds, International Paper Company,
8/13 at 100.00
BBB
250,028
   
Series 2006A, 4.800%, 8/01/30
      
650
  
Total Mississippi
    
666,803
   
Missouri – 1.2%
      
335
  
St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1989A, 8.125%,
7/20 at 100.00
AA+ (4)
401,156
   
8/01/20 (Pre-refunded 7/01/20) (Alternative Minimum Tax)
      
1,000
  
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series
No Opt. Call
A
1,174,340
   
2005, 5.500%, 7/01/19 – NPFG Insured
      
1,335
  
Total Missouri
    
1,575,496
   
Montana – 0.3%
      
260
  
Billings, Montana, Tax Increment Urban Renewal Revenue Bonds, Expanded North 27th Street,
1/23 at 100.00
N/R
245,791
   
Series 2013A, 5.000%, 7/01/33
      
90
  
University of Montana, Revenue Bonds, Series 1996D, 5.375%, 5/15/19 – NPFG Insured (ETM)
9/13 at 100.00
A (4)
103,917
350
  
Total Montana
    
349,708
   
Nebraska – 0.9%
      
1,000
  
Dodge County School District 1, Nebraska, Fremont Public Schools, General Obligation Bonds,
12/14 at 100.00
Aa3 (4)
1,068,860
   
Series 2004, 5.000%, 12/15/19 (Pre-refunded 12/15/14) – AGM Insured
      
100
  
Douglas County School District 10 Elkhorn, Nebraska, General Obligation Bonds, Public Schools
6/22 at 100.00
AA–
107,512
   
Series 2012, 4.000%, 6/15/23
      
1,100
  
Total Nebraska
    
1,176,372
   
Nevada – 1.8%
      
1,000
  
Clark County, Nevada, Airport Revenue Bonds, Subordinate Lien Series 2010B, 5.750%, 7/01/42
1/20 at 100.00
A+
1,100,610
250
  
Las Vegas Redevelopment Agency, Nevada, Tax Increment Revenue Bonds, Series 2009A,
6/19 at 100.00
BBB–
274,095
   
8.000%, 6/15/30
      
50
  
Las Vegas, Nevada, Special Improvement District 607 Providence, Local Improvement Refunding
No Opt. Call
N/R
51,572
   
Bonds, Series 2013, 5.000%, 6/01/22
      
775
  
Washoe County, Nevada, General Obligation Bonds, Reno-Sparks Convention & Visitors Authority,
7/21 at 100.00
AA
871,712
   
Refunding Series 2011, 5.000%, 7/01/23
      
2,075
  
Total Nevada
    
2,297,989
   
New Hampshire – 0.5%
      
600
  
New Hampshire Health and Education Facilities Authority, Hospital Revenue Bonds, Speare
7/15 at 100.00
N/R (4)
653,490
   
Memorial Hospital, Series 2004, 5.500%, 7/01/25 (Pre-refunded 7/01/15)
      
   
New Jersey – 4.2%
      
250
  
Bayonne Redevelopment Agency, New Jersey, Revenue Bonds, Royal Caribbean Cruises Project,
No Opt. Call
BB
246,950
   
Series 2006A, 4.750%, 11/01/16 (Alternative Minimum Tax)
      
   
New Jersey Economic Development Authority, Cigarette Tax Revenue Bonds, Series 2004:
      
230
  
5.375%, 6/15/14 (ETM)
No Opt. Call
Aaa
241,309
15
  
5.375%, 6/15/15 – RAAI Insured (ETM)
No Opt. Call
Aaa
16,436
120
  
5.500%, 6/15/16 – RAAI Insured (ETM)
No Opt. Call
Aaa
136,564
   
New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012:
      
60
  
4.000%, 6/15/19
No Opt. Call
BBB+
63,410
200
  
5.000%, 6/15/21
No Opt. Call
BBB+
219,184
325
  
5.000%, 6/15/22
No Opt. Call
BBB+
352,034
350
  
5.000%, 6/15/23
6/22 at 100.00
BBB+
375,428
210
  
5.000%, 6/15/24
6/22 at 100.00
BBB+
221,882
200
  
5.000%, 6/15/25 (WI/DD, Settling 7/01/13)
6/22 at 100.00
BBB+
208,780
85
  
4.250%, 6/15/27
6/22 at 100.00
BBB+
80,288
50
  
New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset
10/18 at 100.00
A+
51,499
   
Transformation Program, Series 2008A, 5.250%, 10/01/38
      
1,730
  
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital
No Opt. Call
A+
583,754
   
Appreciation Series 2010A, 0.000%, 12/15/33
      
1,515
  
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D,
No Opt. Call
A+
1,727,539
   
5.000%, 12/15/23
      
260
  
New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/19
No Opt. Call
A+
299,759
250
  
South Jersey Port Corporation, New Jersey, Marine Terminal Revenue Refunding Bonds, Series
No Opt. Call
A1
244,475
   
2012Q, 3.000%, 1/01/22
      
300
  
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,
6/17 at 100.00
B1
289,503
   
Series 2007-1A, 4.500%, 6/01/23
      
6,150
  
Total New Jersey
    
5,358,794
   
New York – 5.1%
      
220
  
Brooklyn Arena Local Development Corporation, New York, Payment in Lieu of Taxes Revenue
1/20 at 100.00
BBB–
247,276
   
Bonds, Barclays Center Project, Series 2009, 6.000%, 7/15/30
      
770
  
Dormitory Authority of the State of New York, Third General Resolution Revenue Bonds, State
5/22 at 100.00
AA–
871,563
   
University Educational Facilities Issue, Series 2012A, 5.000%, 5/15/25
      
415
  
Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Senior Fiscal 2012 Series
2/21 at 100.00
A
455,952
   
2011A, 5.750%, 2/15/47
      
75
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2000A,
No Opt. Call
AA–
56,488
   
0.000%, 6/01/22 – AGM Insured
      
125
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006A,
6/16 at 100.00
A
129,455
   
5.000%, 12/01/26 – SYNCORA GTY Insured
      
150
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006B,
6/16 at 100.00
A
154,005
   
5.000%, 12/01/35
      
25
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006C,
9/16 at 100.00
A
25,664
   
5.000%, 9/01/35
      
185
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006D,
9/16 at 100.00
A
197,944
   
5.000%, 9/01/25 – NPFG Insured
      
   
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006E:
      
25
  
5.000%, 12/01/17 – FGIC Insured
12/16 at 100.00
A
27,723
360
  
5.000%, 12/01/18 – NPFG Insured
12/16 at 100.00
A
395,323
135
  
5.000%, 12/01/21 – FGIC Insured
12/16 at 100.00
A
146,844
55
  
5.000%, 12/01/22 – FGIC Insured
12/16 at 100.00
A
59,636
190
  
Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2006F, 5.000%,
11/16 at 100.00
A
207,615
   
5/01/19 – NPFG Insured
      
100
  
New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special
No Opt. Call
N/R
100,005
   
Needs Facilities Pooled Program, Series 2008A-1, 5.700%, 7/01/13
      
   
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and
      
   
State Contingency Contract-Backed Bonds, Series 2003A-1:
      
250
  
5.250%, 6/01/20 – AMBAC Insured
6/13 at 100.00
AA–
251,043
200
  
5.250%, 6/01/21 – AMBAC Insured
6/13 at 100.00
AA–
200,576
640
  
5.250%, 6/01/22 – AMBAC Insured
6/13 at 100.00
AA–
641,843
   
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
12/13 at 100.00
AA–
502,125
365
  
5.500%, 6/01/22
12/13 at 100.00
AA–
366,522
   
Tobacco Settlement Financing Corporation, New York, Asset-Backed Revenue Bonds, State
      
   
Contingency Contract Secured, Series 2011B:
      
360
  
5.000%, 6/01/17
No Opt. Call
AA–
405,666
565
  
5.000%, 6/01/18
No Opt. Call
AA–
645,959
400
  
Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, Refunding
No Opt. Call
AA–
476,056
   
Series 2013B, 5.000%, 11/15/21
      
6,110
  
Total New York
    
6,565,283
   
North Carolina – 0.2%
      
200
  
North Carolina Municipal Power Agency 1, Catawba Electric Revenue Bonds, Refunding Series
No Opt. Call
A
230,696
   
2012A, 5.000%, 1/01/19
      
   
Ohio – 2.5%
      
45
  
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
No Opt. Call
Baa1
50,597
   
Bonds, Senior Lien, Series 2007A-1, 5.000%, 6/01/17
      
1,325
  
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
6/17 at 100.00
B–
1,193,600
   
Bonds, Senior Lien, Series 2007A-2, 5.125%, 6/01/24 (WI/DD, Settling 7/01/13)
      
480
  
Fairfield County, Ohio, Hospital Facilities Revenue Bonds, Fairfield Medical Center Project,
6/23 at 100.00
Baa2
474,475
   
Series 2013, 5.000%, 6/15/43
      
250
  
Lake County, Ohio, Hospital Facilities Revenue Bonds, Lake Hospital System, Inc., Refunding
8/18 at 100.00
A3
270,160
   
Series 2008C, 5.500%, 8/15/24
      
   
New Albany Community Authority, Ohio, Community Facilities Revenue Refunding Bonds,
      
   
Series 2012C:
      
25
  
4.000%, 10/01/18
No Opt. Call
A1
27,009
30
  
4.000%, 10/01/19
No Opt. Call
A1
32,415
40
  
4.000%, 10/01/20
No Opt. Call
A1
43,159
45
  
5.000%, 10/01/21
No Opt. Call
A1
51,309
35
  
5.000%, 10/01/22
No Opt. Call
A1
39,794
1,000
  
Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004B,
No Opt. Call
A
1,053,880
   
4.500%, 12/01/15
      
3,275
  
Total Ohio
    
3,236,398
   
Oklahoma – 0.8%
      
1,000
  
Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%,
7/15 at 100.00
AA
1,060,100
   
7/01/27 – AMBAC Insured
      
   
Pennsylvania – 7.1%
      
935
  
Beaver County Industrial Development Authority, Pennsylvania, Pollution Control Revenue
No Opt. Call
BBB–
924,463
   
Refunding Bonds, FirstEnergy Nuclear Generation Project, Series 2006B, 2.500%, 12/01/41
      
   
(Mandatory put 6/01/17)
      
100
  
Cumberland County Municipal Authority, Pennsylvania, Revenue Bonds, Presbyterian Homes Inc.,
No Opt. Call
BBB+
105,933
   
Refunding Series 2005A, 5.000%, 12/01/15 – RAAI Insured
      
200
  
Luzerne County Industrial Development Authority, Pennsylvania, Guaranteed Lease Revenue Bonds,
12/19 at 100.00
N/R
203,362
   
Series 2009, 7.750%, 12/15/27
      
105
  
Pennsylvania Economic Development Financing Authority, Health System Revenue Bonds , Albert
10/19 at 100.00
BBB+
117,976
   
Einstein Healthcare, Series 2009A, 6.250%, 10/15/23
      
345
  
Pennsylvania Higher Educational Facilities Authority, College Revenue Bonds, Ninth Series
7/14 at 100.00
Aaa
368,367
   
1976, 7.625%, 7/01/15 (ETM)
      
225
  
Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, University of the Arts,
9/13 at 100.00
N/R (4)
254,662
   
Series 1999, 5.150%, 3/15/20 – RAAI Insured (ETM)
      
125
  
Pennsylvania Public School Building Authority, Lease Revenue Bonds, School District of
12/16 at 100.00
AA
125,035
   
Philadelphia, Series 2006B, 4.500%, 6/01/32 – AGM Insured
      
580
  
Pennsylvania Turnpike Commission, Motor License Fund-Enhanced Subordinate Special Revenue
12/20 at 100.00
AA
538,803
   
Bonds, Series 2010A, 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+
4,267,197
   
AMBAC Insured
      
1,115
  
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Twelfth Series 1990B, 7.000%, 5/15/20 –
No Opt. Call
A (4)
1,350,600
   
NPFG Insured (ETM)
      
390
  
St. Mary Hospital Authority, Pennsylvania, Health System Revenue Bonds, Catholic Health East,
5/19 at 100.00
A+
423,326
   
Series 2009D, 6.250%, 11/15/34
      
330
  
Union County Hospital Authority, Pennsylvania, Hospital Revenue Bonds, Evangelical Community
No Opt. Call
BBB+
371,296
   
Hospital Project, Refunding and Improvement Series 2011, 5.750%, 8/01/21
      
8,570
  
Total Pennsylvania
    
9,051,020
   
Puerto Rico – 1.2%
      
45
  
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2012A,
No Opt. Call
BBB–
42,698
   
5.000%, 7/01/22
      
20
  
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 0.000%,
No Opt. Call
Baa3
14,521
   
7/01/19 – AMBAC Insured
      
500
  
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities
No Opt. Call
BBB–
471,440
   
Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System Project,
      
   
Refunding Series 2012, 5.000%, 4/01/27
      
1,000
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
8/26 at 100.00
A+
973,940
   
2009A, 0.000%, 8/01/32
      
75
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
No Opt. Call
A+
23,508
   
2010A, 0.000%, 8/01/32
      
25
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
No Opt. Call
A+
5,285
   
2010C, 0.000%, 8/01/38
      
25
  
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/17 –
No Opt. Call
BBB–
25,992
   
SYNCORA GTY Insured
      
1,690
  
Total Puerto Rico
    
1,557,384
   
Rhode Island – 1.0%
      
   
Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds,
      
   
Series 2002A:
      
430
  
6.125%, 6/01/32
6/13 at 100.00
BBB+
425,700
865
  
6.250%, 6/01/42
6/13 at 100.00
BBB–
856,350
1,295
  
Total Rhode Island
    
1,282,050
   
South Carolina – 5.2%
      
750
  
Berkeley County School District, South Carolina, Installment Purchase Revenue Bonds, Securing
12/13 at 100.00
Aa3
765,188
   
Assets for Education, Series 2003, 5.250%, 12/01/19
      
255
  
Greenville County School District, South Carolina, Installment Purchase Revenue Bonds, Series
12/16 at 100.00
AA
281,803
   
2006, 5.000%, 12/01/24
      
1,540
  
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,
No Opt. Call
Baa1 (4)
1,950,533
   
1/01/19 – FGIC Insured (ETM)
      
3,025
  
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,
No Opt. Call
Baa1
3,733,576
   
1/01/19 – FGIC Insured
      
5,570
  
Total South Carolina
    
6,731,100
   
South Dakota – 0.8%
      
1,000
  
South Dakota Health and Educational Facilities Authority, Revenue Bonds, Sanford Health,
5/17 at 100.00
A+
1,026,570
   
Series 2007, 5.000%, 11/01/27
      
   
Tennessee – 0.6%
      
   
Knox County Health, Educational and Housing Facility Board, Tennessee, Hospital Revenue
      
   
Refunding Bonds, Covenant Health, Series 2012A:
      
100
  
4.000%, 1/01/22
No Opt. Call
A
104,363
180
  
5.000%, 1/01/23
No Opt. Call
A
200,830
400
  
The Tennessee Energy Acquisition Corporation, Gas Revenue Bonds, Series 2006A, 5.000%, 9/01/13
No Opt. Call
A
402,352
680
  
Total Tennessee
    
707,545
   
Texas – 9.6%
      
1,055
  
Austin, Texas, General Obligation Bonds, Series 2004, 5.000%, 9/01/20 (Pre-refunded 9/01/14) –
9/14 at 100.00
AAA
1,113,479
   
NPFG Insured
      
565
  
Bexar County Housing Finance Corporation, Texas, FNMA Guaranteed Multifamily Housing Revenue
No Opt. Call
N/R
588,515
   
Bonds, Villas Sonterra Apartments Project, Series 2007A, 4.700%, 10/01/15 (Alternative
      
   
Minimum Tax)
      
   
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding
      
   
Series 2007:
      
125
  
5.000%, 5/01/23 – SYNCORA GTY Insured
5/17 at 100.00
A1
138,814
15
  
5.000%, 5/01/24 – SYNCORA GTY Insured
5/17 at 100.00
A1
16,658
15
  
5.000%, 5/01/25 – SYNCORA GTY Insured
5/17 at 100.00
A1
16,341
10
  
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding Series
5/20 at 100.00
A1
10,801
   
2010, 5.875%, 5/01/40
      
10
  
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Series 2006,
5/16 at 100.00
A1
10,282
   
4.500%, 5/01/25 – NPFG Insured
      
   
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Refunding Bonds,
      
   
Series 2009:
      
20
  
5.000%, 5/01/29
5/19 at 100.00
A1
20,936
145
  
5.000%, 5/01/39
5/19 at 100.00
A1
149,356
25
  
Brazos River Authority, Texas, Collateralized Pollution Control Revenue Bonds, Texas Utilities
No Opt. Call
CC
3,250
   
Electric Company, Series 2003D, 5.400%, 10/01/29 (Mandatory put 10/01/14)
      
2,000
  
Brazos River Authority, Texas, Collateralized Revenue Bonds, CenterPoint Energy Inc.,
6/14 at 100.00
A
2,060,680
   
Refunding Series 2004B, 4.250%, 12/01/17 – FGIC Insured
      
5
  
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2005, 5.000%,
1/15 at 100.00
A (4)
5,334
   
1/01/45 (Pre-refunded 1/01/15) – FGIC Insured
      
500
  
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2011,
1/21 at 100.00
Baa2
545,580
   
6.250%, 1/01/46
      
1,875
  
Denton Independent School District, Denton County, Texas, General Obligation Bonds, Series
8/16 at 100.00
AAA
2,073,844
   
2006, 5.000%, 8/15/20
      
1,000
  
Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment
9/16 at 100.00
A2
1,075,790
   
Facilities Department, Refunding Series 2011B, 5.250%, 9/01/25
      
500
  
Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment
No Opt. Call
A2
311,660
   
Project, Series 2001B, 0.000%, 9/01/23 – AMBAC Insured
      
300
  
Kerrville Health Facilities Development Corporation, Texas, Revenue Bonds, Sid Peterson
2/16 at 100.00
BBB–
302,901
   
Memorial Hospital Project, Series 2005, 5.125%, 8/15/26
      
200
  
Love Field Airport Modernization Corporation, Texas, Special Facilities Revenue Bonds,
11/20 at 100.00
BBB–
198,550
   
Southwest Airlines Company, Series 2010, 5.250%, 11/01/40
      
   
North Central Texas Health Facilities Development Corporation, Texas, Revenue Bonds,
      
   
Children’s Medical Center Dallas Project, Series 2012:
      
400
  
5.000%, 8/15/24
8/22 at 100.00
AA
443,480
380
  
5.000%, 8/15/25
8/22 at 100.00
AA
417,316
325
  
North Texas Tollway Authority, Second Tier System Revenue Refunding Bonds, Series 2008F,
1/18 at 100.00
A3
351,913
   
5.750%, 1/01/38
      
750
  
North Texas Tollway Authority, Special Projects System Revenue Bonds, Current Interest Series
9/21 at 100.00
AA
853,133
   
2011D, 5.000%, 9/01/24
      
   
North Texas Tollway Authority, Special Projects System Revenue Bonds, Series 2011A:
      
100
  
0.000%, 9/01/43
9/31 at 100.00
AA
69,665
490
  
0.000%, 9/01/45
9/31 at 100.00
AA
374,331
1,040
  
Texas Municipal Gas Acquisition and Supply Corporation I, Gas Supply Revenue Bonds, Series
6/13 at 100.00
A–
1,023,786
   
2006B, 0.733%, 12/15/17
      
100
  
Texas Municipal Gas Acquisition and Supply Corporation III, Gas Supply Revenue Bonds, Series
No Opt. Call
A3
99,119
   
2012, 5.000%, 12/15/32
      
11,950
  
Total Texas
    
12,275,514
   
Virgin Islands – 0.4%
      
525
  
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien
10/20 at 100.00
BBB+
549,339
   
Series 2010A, 5.000%, 10/01/29
      
   
Virginia – 0.6%
      
250
  
Virginia College Building Authority, Educational Facilities Revenue Refunding Bonds, Marymount
1/14 at 100.00
N/R
250,488
   
University, Series 1998, 5.100%, 7/01/18 – RAAI Insured
      
500
  
Virginia Small Business Financing Authority, Senior Lien Revenue Bonds, Elizabeth River
7/22 at 100.00
BBB–
479,875
   
Crossing, Opco LLC Project, Series 2012, 5.500%, 1/01/42 (Alternative Minimum Tax)
      
750
  
Total Virginia
    
730,363
   
Washington – 1.6%
      
1,050
  
Washington Health Care Facilities Authority, Revenue Bonds, Fred Hutchinson Cancer Research
1/21 at 100.00
A
1,085,343
   
Center, Series 2011A, 5.375%, 1/01/31
      
330
  
Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series
No Opt. Call
Aa1
389,862
   
1989B, 7.125%, 7/01/16 – NPFG Insured
      
515
  
Washington State Tobacco Settlement Authority, Tobacco Settlement Asset-Backed Revenue Bonds,
6/13 at 100.00
A3
520,655
   
Series 2002, 6.500%, 6/01/26
      
1,895
  
Total Washington
    
1,995,860
   
Wisconsin – 2.1%
      
   
University of Wisconsin Hospitals and Clinics Authority, Revenue Bonds, Refunding Series 2013A:
      
755
  
4.000%, 4/01/20
No Opt. Call
Aa3
816,819
25
  
5.000%, 4/01/21
No Opt. Call
Aa3
28,437
15
  
5.000%, 4/01/22
No Opt. Call
Aa3
16,986
25
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
4/15 at 100.00
A
25,494
   
Inc., Series 2010A, 5.625%, 4/15/33
      
320
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
No Opt. Call
A
363,670
   
Inc., Series 2010B, 5.000%, 7/15/20
      
675
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
7/21 at 100.00
A
722,203
   
Inc., Series 2012A, 5.000%, 7/15/25
      
20
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Ministry Health Care,
No Opt. Call
A+
22,444
   
Inc., Refunding 2012C, 5.000%, 8/15/17
      
   
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan
      
   
Healthcare System, Series 2006A:
      
500
  
5.250%, 8/15/18
8/16 at 100.00
A–
548,460
180
  
5.250%, 8/15/34
8/16 at 100.00
A–
184,181
2,515
  
Total Wisconsin
    
2,728,694
$ 122,580
  
Total Municipal Bonds (cost $119,375,483)
    
124,113,954
 
             
Principal
            
Amount (000)
  
Description (1)
Coupon
Maturity
Ratings (3)
Value
   
Corporate Bonds – 0.0%
        
   
Nevada – 0.0%
        
$         15
  
Las Vegas Monorail Company, Senior Interest Bonds (5), (6)
5.500%
7/15/19
N/R
$ 3,770
4
  
Las Vegas Monorail Company, Senior Interest Bonds (5), (6)
3.000%
7/15/55
N/R
882
$         19
  
Total Corporate Bonds (cost $370)
      
4,652
 
 
Principal
      
Optional Call
    
Amount (000)
  
Description (1)
  
Provisions (2)
Ratings (3)
Value
   
Short-Term Investments – 0.4%
        
   
Missouri – 0.4%
        
$       500
  
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Variable Rate
No Opt. Call
A-2
$ 500,000
   
Demand Obligations, Tender Option Bond Trust DCL-017, 0.500%, 7/01/22 (7)
        
   
Total Short-Term Investments (cost $500,000)
      
500,000
   
Total Investments (cost $119,875,853) – 97.1%
      
124,618,606
   
Other Assets Less Liabilities – 2.9%
      
3,716,485
   
Net Assets – 100%
      
$ 128,335,091
 
 

 
 
 
 
 
 
Fair Value Measurements
 
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
 
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
 
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Prices are determined using 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 risks associated with investing in those securities. The following is a summary of the Fund's fair value measurements as of the end of the reporting period:
         
 
Level 1
Level 2
Level 3
Total
Long-Term Investments*:
        
   Municipal Bonds
$ —
$124,113,954
$ —
$124,113,954
Corporate Bonds
—
—
4,652
4,652
Short-Term Investments:
        
   Municipal Bonds
—
500,000
—
500,000
Total
$ —
$124,613,954
$4,652
$124,618,606
* Refer to the Fund’s Portfolio of Investments for breakdown of Corporate Bonds classified as Level 3.
 
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.
 
As of June 30, 2013, the cost of investments was $119,700,537.
 
Gross unrealized appreciation and gross unrealized depreciation of investments as of June 30, 2013, were as follows:
   
Gross unrealized:
  
  Appreciation
$5,784,947
  Depreciation
(866,878)
Net unrealized appreciation (depreciation) of investments
$4,918,069
 
(1)
  
All percentages shown in the Portfolio of Investment 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 Investors 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. Certain bonds backed by U.S. Government or
   
agency securities are regarded as having an implied rating equal to the rating of such securities.
(5)
  
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the
   
Board of Trustees. For fair value measurement disclosure purposes, investment classified as Level 3.
(6)
  
During January 2010, Las Vegas Monorail Company (“Las Vegas Monorail”) filed for federal bankruptcy
   
protection. During March 2012, Las Vegas Monorail emerged from federal bankruptcy with the acceptance
   
of a reorganization plan assigned by the Federal Bankruptcy Court. Under the reorganization plan, the Fund
   
surrendered its Las Vegas Monorail Project Revenue Bonds, First Tier, Series 2000 and in turn received two
   
senior interest corporate bonds: the first with an annual coupon rate of 5.500% maturing on July 15, 2019
   
and the second with an annual coupon rate of 3.000% (5.500% after December 31, 2015) maturing on
   
July 15, 2055. The Fund’s custodian is not accruing income on the Fund’s records for either senior interest
   
corporate bond.
(7)
  
Investment has a maturity of more than one year, but has variable rate and demand features which qualify
   
it as a short-term investment. The rate disclosed is that in effect at the end of the reporting period. The
   
rate changes periodically based on market conditions or a specified market index.
N/R
  
Not rated.
WI/DD
  
Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.
(ETM)
  
Escrowed to maturity.
 
 
 
 
 
 
 
Item 2. Controls and Procedures.

a.  
The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
 
 
b.  
There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
 
Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: See EX-99 CERT attached hereto.

 
 
 
 
 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
(Registrant)  Nuveen Select Maturities Municipal Fund 
 
By (Signature and Title)     /s/ Kevin J. McCarthy                    
                                                   Kevin J. McCarthy
                                                   Vice President and Secretary
 
Date:         August 29, 2013        
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
By (Signature and Title)     /s/ Gifford R. Zimmerman                    
                                                    Gifford R. Zimmerman
                                                  Chief Administrative Officer (principal executive officer) 
 
Date:         August 29, 2013        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:         August 29, 2013