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: March 31, 2014

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 to be acquired by TIAA-CREF
 
On April 14, 2014, TIAA-CREF announced that it had entered into an agreement to acquire Nuveen Investments, the parent company of your fund’s investment adviser, Nuveen Fund Advisors, LLC (“NFAL”) and the Nuveen affiliates that act as sub-advisers to the majority of the Nuveen Funds. TIAA-CREF is a national financial services organization with approximately $569 billion in assets under management (as of March 31, 2014) and is a leading provider of retirement services in the academic, research, medical and cultural fields. Nuveen anticipates that it will operate as a separate subsidiary within TIAA-CREF’s asset management business, and that its current leadership and key investment teams will stay in place.
 
Your Fund investment will not change as a result of Nuveen’s change of ownership. You will still own the same Fund shares and the underlying value of those shares will not change as a result of the transaction. NFAL and your Fund’s sub-adviser(s) will continue to manage your Fund according to the same objectives and policies as before, and we do not anticipate any significant changes to your Fund’s operations. Under the securities laws, the consummation of the transaction will result in the automatic termination of the investment management agreements between the Funds and NFAL and the investment sub-advisory agreements between NFAL and each Fund’s sub-adviser(s). New agreements will be presented to the Funds’ shareholders for approval, and, if approved, will take effect upon consummation of the transaction or such later time as shareholder approval is obtained.
 
The transaction, expected to be completed by year end, is subject to customary closing conditions.
 

 
 

 
 
Table of Contents
 
   
Chairman’s Letter to Shareholders
4
   
Portfolio Manager’s Comments
5
   
Share Information
10
   
Risk Considerations
12
   
Performance Overview and Holding Summaries
14
   
Report of Independent Registered Public Accounting Firm
16
   
Portfolio of Investments
17
   
Statement of Assets and Liabilities
30
   
Statement of Operations
31
   
Statement of Changes in Net Assets
32
   
Financial Highlights
34
   
Notes to Financial Statements
36
   
Additional Fund Information
42
   
Glossary of Terms Used in this Report
43
   
Reinvest Automatically, Easily and Conveniently
44
   
Board Members & Officers
45

Nuveen Investments
 
3

 
 

 
 
Chairman’s Letter to Shareholders
 
 
Dear Shareholders,
 
Despite headwinds from slow growth, fiscal and political uncertainty in many countries and some fragile economies around the world, domestic and international equity markets increased significantly in 2013. The emerging markets equity sector was an exception. Other sectors, such as real estate, were flat to down a bit and commodities were notably negative in total return performance. The fixed income market also experienced losses in many sectors.
 
U.S. equities in particular hit numerous all-time highs during the past year, exceeding prior rising market trends. Europe and Asia struggled with political and financial stresses but Europe’s improving GDP in the second half provided hope that the region can exit recession. In Japan, the economic policies advocated by Prime Minister Shinzo Abe became a positive influence on the economy as deflationary pressures declined, while the economy in China started to stabilize due to monetary easing and supply side reforms. On the domestic front, the Federal Reserve stimulus continued throughout the year but discussion of reductions in the stimulus program caused historically low rates to rise and added to concern that interest rates could rise quickly in the near future. This provided challenges for fixed income investors.
 
The Federal Reserve’s decision to slow down its bond buying program beginning in December 2013, and the federal budget compromise over government spending into early 2015 were positive signs that the domestic economy is moving forward. We are beginning to experience an economy that can provide encouraging conditions for GDP growth, job growth and low inflation. Additionally, downward trending unemployment and a continuing rebound in the housing market adds to a positive economic scenario going forward.
 
However, the current year has experienced a tumultuous start. It is in these particularly volatile markets that professional investment management is most important. Investment teams who have experienced challenging markets in the past understand how their asset class can behave in rapidly changing times. Remaining committed to their investment disciplines during these times is a critical component to achieving long-term success. In fact, many strong investment track records are established during challenging periods because experienced investment teams understand that volatile markets place a premium on companies and investment ideas that can weather the short-term volatility. By maintaining appropriate time horizons, diversification and relying on practiced investment teams, we believe that investors can achieve their long-term investment objectives.
 
As always, I encourage you to communicate with your financial consultant if you have any questions about your investment in a Nuveen Fund. On behalf of the other members of the Nuveen Fund Board, we look forward to continuing to earn your trust in the months and years ahead.
 
 
William J. Schneider
Chairman of the Board
May 23, 2014
 
4
 
Nuveen Investments

 
 

 
 
Portfolio Manager’s Comments
 
Nuveen Select Maturities Municipal Fund (NIM)
 
This Fund features portfolio management by Nuveen Asset Management, LLC, an affiliate of Nuveen Investments. Portfolio manager Paul L. Brennan, CFA, reviews U.S. economic and municipal market conditions, key investment strategies and the twelve-month performance of the Nuveen Select Maturities Municipal Fund (NIM). Paul has managed NIM since 2006.
 
What factors affected the U.S. economy and the national municipal market during the twelve-month reporting period ended March 31, 2014?
 
During this reporting period, the U.S. economy’s progress toward recovery from recession continued, although the economy remained below peak levels. The Federal Reserve (Fed) maintained its efforts to bolster growth and promote progress toward its mandates of maximum employment and price stability by holding the benchmark fed funds rate at the record low level of zero to 0.25% that it established in December 2008. Based on its view that the underlying strength in the broader economy was enough to support ongoing improvement in the labor market, the Fed began to reduce, or taper, its monthly asset purchases in $10 billion increments over the course of four consecutive meetings (December 2013 through April 2014). As of May 2014, the Fed’s monthly purchases comprise $20 billion in mortgage-backed securities (versus the original $40 billion per month) and $25 billion in longer-term Treasury securities (versus $45 billion). Following the April 2014 meeting (subsequent to the end of this reporting period), the Fed reiterated that it would continue to look at a wide range of factors, including labor market conditions, indicators of inflationary pressures and readings on financial developments, in determining future actions, saying that it would likely maintain the current target range for the fed funds rate for a considerable time after the asset purchase program ends, especially if projected inflation continues to run below the Fed’s 2% longer-run goal.
 
In the first quarter of 2014, the U.S. economy, as measured by the U.S. gross domestic product (GDP), grew at an annualized rate of 0.1%, compared with 2.6% in the fourth quarter of 2013. While consumer spending, the main driver of the U.S. economy, made a strong showing, growth during this period was restrained primarily by sharp declines in business investment in equipment and home construction. The Consumer Price Index (CPI) rose 1.5% year-over-year as of March 2014, while the core CPI (which excludes food and energy) increased 1.7% during the same period, staying within the Fed’s unofficial objective of 2.0% or lower for this inflation measure. As of March 2014, the national unemployment rate was 6.7%, an improvement from the 7.5% reported in March 2013, but still higher than levels that would provide consistent support for optimal GDP growth. The housing market continued to post gains, as the average home price in the S&P/Case-Shiller Index of 20 major metropolitan areas rose 12.9% for the twelve months ended February 2014 (most recent data available at the time this report was prepared). This brought the average U.S. home price back to mid-2004 levels, although prices continued to be down approximately 20% from their mid-2006 peak.
 

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.
 
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch) Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.
 
Bond insurance guarantees only the payment of principal and interest on the bond when due, and not the value of the bonds themselves, which will fluctuate with the bond market and the financial success of the issuer and the insurer. Insurance relates specifically to the bonds in the portfolio and not to the share prices of a Fund. No representation is made as to the insurers’ ability to meet their commitments.

Nuveen Investments
 
5

 
 

 
 
Portfolio Manager’s Comments (continued)
 
As this reporting period began, continued political debate over federal spending clouded the outlook for the U.S. economy, as lawmakers failed to reach a resolution on spending cuts intended to address the federal budget deficit. Even after the lack of resolution triggered a program of automatic spending cuts (or sequestration) that impacted federal programs, the federal budget for Fiscal 2014 remained under debate. On October 1, 2013, the start date for Fiscal 2014, the federal government shut down for 16 days until an interim appropriations bill was signed into law, funding the government at sequestration levels through January 15, 2014 and suspending the debt limit until February 2014. Consensus on a $1.1 trillion federal spending bill was finally reached in January 2014, and in February 2014, members of Congress agreed to suspend the $16.7 trillion debt ceiling until March 2015.
 
In June 2013, then-Fed Chairman Ben Bernanke’s remarks about potentially tapering the Fed’s asset purchase program touched off widespread uncertainty about the next step for the Fed’s quantitative easing program and its impact on the economy and financial markets. This led to increased market volatility, which was compounded by headline credit stories involving Detroit’s bankruptcy filing in July 2013, the largest municipal bankruptcy in history and the disappointing news that continued to come out of Puerto Rico, where a struggling economy and years of deficit spending and borrowing resulted in multiple downgrades on the commonwealth’s bonds. In this unsettled environment, the Treasury market traded off, the municipal market followed suit and spreads widened as investor concern grew, prompting increased selling by bondholders across the fixed income markets.
 
During the second half of this reporting period, municipal bonds generally rallied, as higher yields and the prospect of higher taxes sparked increased demand and improved flows into municipal bond funds, while supply continued to drop. This supply/demand dynamic served as a key driver of municipal market performance. While yields retraced some of their 2013 gains during the first three months of 2014, municipal bond prices still depreciated for the reporting period as a whole. At the same time, fundamentals on municipal bonds remained strong, as state governments made good progress in dealing with budget issues. Due to strong growth in personal tax and sales tax collections, year-over-year totals for state tax revenues have increased for 16 consecutive quarters, while on the expense side, the states made headway in cutting and controlling costs, with more than 40 states implementing some type of pension reform. The current level of municipal issuance reflects the more conservative approach to state budgeting as well as decreased refunding activity as municipal market yields rose. Over the twelve months ended March 31, 2014, municipal bond issuance nationwide totaled $311.3 billion, a decrease of 17% from the issuance for the twelve-month period ended March 31, 2013.
 
What key strategies were used to manage NIM during the twelve-month reporting period ended March 31, 2014?
 
As previously discussed, during the first part of this reporting period, uncertainty about the future of the Fed’s quantitative easing program and headline credit stories involving Detroit and Puerto Rico led to an unsettled environment and increased selling by bondholders across the fixed income markets. The second half of the reporting period brought greater stability and a municipal market rally driven by stronger demand and tight supply, with municipal bond prices generally rising as a whole. During this time, we continued to take a bottom-up approach to discovering sectors that appeared undervalued as well as individual credits that had the potential to perform well over the long term and helped us keep NIM fully invested.
 
Despite the drop in new issuance nationally, we continued to find bonds that helped us accomplish our goals for NIM. During this reporting period, the Fund found value in diversified areas of the marketplace, including the tax-backed sector, where we increased our exposure, and health care, where we purchased a new issue for St. Joseph Health System in California and added to our position in bonds issued for St. Mary/Catholic Healthcare East in Pennsylvania. Following Catholic Healthcare East’s merger with Trinity Health in May 2013, which created the second largest not-for-profit health system in the U.S., the St. Mary bonds were upgraded to AA-rated. We also continued to find the transportation sector attractive, purchasing credits issued for the North Texas Tollway Authority, the Ohio Turnpike, the Downtown Bridge across the Ohio River (near Louisville, Kentucky), a new bridge to replace the Tappan Zee across the Hudson River (the “New” New York Bridge) and the demolition and replacement of Goethals Bridge between Staten Island and New Jersey. Other additions to our portfolio during the reporting period included bonds issued for Long Island Power Authority (New York) and general obligation (GO) credits issued by the State of Illinois, which offered high yield premiums relative to the underlying risk.
 
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In the first part of the reporting period, many of these purchases took advantage of the pattern of outflows, predominately from high yield funds, during the bond market selloff, which enabled us to find bonds offering higher coupons and strong credit at attractive prices. These secondary market purchases, many of which were in the A-rated credit category, represented positions and sectors already held in NIM as well as issues new to the Fund. We also participated in the primary market as attractive opportunities arose.
 
Overall, we continued to manage NIM in line with the Fund’s intermediate maturity mandate. In keeping with its investment parameters, NIM maintains an average effective maturity of twelve years or less for its portfolio holdings. During the early part of this reporting period, we allowed NIM’s duration to shorten slightly. This decision was consistent with our belief that the risk associated with extending duration at that time outweighed the potential upside. After the bond market selloff began in the summer of 2013, we found more attractive pricing on intermediate and long-term bonds, which allowed us to make incremental increases in NIM’s duration and maturity. On the whole, we did not make any broad changes in duration or maturity.
 
Also during this reporting period, S&P upgraded its credit rating on National Public Finance Guarantee Corp. (NPFG), the insurance subsidiary of MBIA, to AA-rated from A-rated, citing NPFG’s strong operating performance and competitive position in the financial guarantee market. As a result, the ratings on NIM’s holdings of bonds backed by insurance from NPFG were similarly upgraded to AA-rated as of mid-March 2014. This action produced an increase in the percentage of our portfolio held in the AA-rated credit quality category (and a corresponding decrease in the A-rated category), improving the Fund’s overall credit quality.
 
Cash for new purchases during the reporting period was generated primarily by proceeds from called and matured bonds, which we worked to redeploy to keep NIM fully invested and support the Fund’s income stream. Because NIM is an intermediate maturity Fund, we typically have a greater number of bonds maturing or being called, which was beneficial during this period as it positioned us to take advantage of increased opportunities in the secondary market. We also sold some of the Fund’s holdings of subordinate sales tax revenue bonds issued by the Puerto Rico Sales Tax Financing Corporation (COFINA). Further information on developments in Puerto Rico and our Puerto Rico holdings can be found at the end of the Portfolio Manager’s Comments section.
 
How did NIM perform during the twelve-month reporting period ended March 31, 2014?
 
The table in NIM’s Performance Overview and Holding Summaries section of this report provide total returns for the Fund for the one-year, five-year and ten-year periods ended March 31, 2014. The Fund 's returns are compared with the performance of corresponding market indexes.
 
For the twelve months ended March 31, 2014, the total return on net asset value (NAV) for NIM exceeded the return for both the S&P Municipal Bond Intermediate Index and the national S&P Municipal Bond Index. Key management factors that influenced the Fund’s performance included duration and yield curve positioning, credit exposure, sector allocation and security selection.
 
During this reporting period, bonds with maturities of less than 17 years generally outperformed the municipal market as a whole. Specifically, bonds maturing in two to six years and in 12 to 17 years generated the best returns, while the weakest returns were produced by bonds with maturities of 22 years and longer. Overall, NIM’s duration and yield curve positioning was a positive contributor to the Fund’s performance, as the Fund generally benefited from its intermediate-term orientation. As previously mentioned, during the early part of this reporting period we had allowed the Fund’s maturity and duration to shorten so that it was slightly short of its benchmark. This positioning was beneficial in the interest rate environment of the twelve-month reporting period.
 
Credit exposure was another factor in NIM’s performance. While performance by credit quality sector varied from state to state, in general the Fund’s A-, BBB- and BB-rated holdings performed best, as the environment shifted from selloff to rally and investors became more willing to accept risk. However, it should be noted that for the municipal market as a whole, the BBB-rated bond category was heavily and negatively affected by Puerto Rico bonds. While the Fund’s performance was negatively affected by its overweighting to BBB-rated bonds, the Fund’s very limited exposure to Puerto Rico helped to lessen the impact. At the same time, B-rated bonds underperformed by the widest margin, largely due to the performance of B-rated tobacco bonds.

Nuveen Investments
 
7

 
 

 
 
Portfolio Manager’s Comments (continued)
 
Among the municipal market sectors for this period, housing bonds generally were the top performers, boosted by improving property value assessments and the decline in mortgage and tax delinquencies. Other revenue sectors that generally outperformed the general municipal market included industrial development revenue (IDR) bonds, education, health care (including hospitals), transportation and water and sewer. Pre-refunded bonds, which are often backed by U.S. Treasury securities, also were among the better performing market segments. The outperformance of these bonds relative to the market can be attributed primarily to their shorter effective maturities. As of March 31, 2014, NIM was overweighted in pre-refunded bonds relative to the market average, which benefited its performance. GO credits also generally outperformed the market. Other holdings that benefited NIM’s performance included bonds issued by the State of Illinois. Despite the state’s well-publicized fiscal difficulties, we believe Illinois has taken small positive steps to begin addressing these problems and these bonds performed well for NIM.
 
Revenue bonds as a whole performed in line with the municipal market, with utilities generally lagging municipal market performance by the widest margin. Lower rated tobacco credits backed by the 1998 master tobacco settlement agreement also performed poorly, due in part to their longer effective durations. NIM had allocations of lower rated tobacco bonds issued by California, the District of Columbia, New Jersey, Ohio and Rhode Island, which detracted from its performance. This was offset to some degree by the Fund’s higher quality tobacco holdings issued by New York and Washington State, which performed well.
 
Over the twelve months ended March 31, 2014, two events in the broader municipal market also had an impact on NIM’s holdings and performance: the bankruptcy filing of Detroit, Michigan and the downgrade of Puerto Rico bonds to below investment grade. In July 2013, the City of Detroit filed for Chapter 9 in federal bankruptcy court. Burdened by decades of population loss, changes in the auto manufacturing industry and significant tax base deterioration, Detroit had been under severe financial stress for an extended period. Detroit’s bankruptcy filing will likely be a lengthy one, given the complexity of its debt portfolio, number of creditors, numerous union contracts and significant legal questions that must be addressed. Following the end of this reporting period, Detroit announced that it had reached agreements with bond insurance companies over the treatment of voter-approved GO bonds and with one of its retired worker groups over pension and health care benefits. Shareholders of NIM should note that the Fund has small exposures to insured Detroit GO bonds (less than 1% of its portfolio), insured Detroit sewer credits and tax increment financing bonds issued by the Detroit Downtown Development Authority. The Fund’s holdings of bonds issued for Detroit City Schools, Wayne County Airport and the Detroit Downtown Development Authority are not part of the city’s bankruptcy filing. Overall, our Detroit holdings performed well during this reporting period.
 
In Puerto Rico, the commonwealth’s continued economic weakening, escalating debt service obligations and long-standing inability to deliver a balanced budget have led to multiple downgrades on its debt. Following the most recent round of rating reductions in February 2014, Moody’s, S&P and Fitch, rated Puerto Rico GO debt at Ba2/BB+/BB, respectively, with negative outlooks. Ratings on dedicated sales tax bonds issued by COFINA also have been lowered, with senior sales tax revenue bonds rated Baa1/AA-/AA- and subordinate sales tax revenue bonds rated Baa2/A+/A+ by Moody’s, S&P and Fitch, respectively, as of March 2014. The COFINA bonds were able to maintain a higher credit rating than the GOs because, unlike the revenue streams supporting some Puerto Rican issues, the sales taxes supporting the COFINA bonds cannot be diverted and used to support Puerto Rico’s GO bonds.
 
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For the reporting period ended March 31, 2014, Puerto Rico paper underperformed the municipal market as a whole. During this reporting period, NIM had limited exposure to Puerto Rico bonds. These territorial bonds were originally added to our portfolio at times when municipal paper was scarce in order to keep assets fully invested and working for the Fund. We found the Puerto Rico credits attractive because they offer higher yields, added diversification and triple exemption (i.e., exemption from most federal, state and local taxes). During this reporting period, we sold COFINA subordinate sales tax bonds, reducing NIM’s Puerto Rico exposure from 1.2% at the beginning of the period to 0.7% at period end. As of March 31, 2014, NIM’s exposure to Puerto Rico consisted primarily of COFINA subordinate sales tax credits and bonds issued for Ana G. Mendez University, a private school, plus a small amount of other bonds enhanced with financial guarantees. While this exposure had a modestly negative effect on NIM, the small nature of our exposure helped to limit the impact of Puerto Rico’s underperformance. A look at Puerto Rico’s tax-supported debt (GO, COFINA and guaranteed debt) as a whole makes it clear that the commonwealth’s debt was structured based on an assumption of a steadily growing economy. Unfortunately for Puerto Rico, its economy continues to struggle with high unemployment and population loss, among other problems. As a result, we believe that Puerto Rico bonds that lack a lien on specific revenues (e.g., COFINA sales tax bonds) or that are not backed by healthy bond insurers currently carry significant economic, fiscal and political risks.
 
Nuveen Investments
 
9

 
 

 
 
Share Information
 
DIVIDEND INFORMATION
 
The following information regarding the Fund’s dividends is current as of March 31, 2014. The Fund’s dividend levels may vary over time based on its investment activity and portfolio investment value changes.
 
During the current reporting period, the Fund’s monthly dividends to shareholders were as shown in the accompanying table.
 
     
Per Share
 
Ex-Dividend Date
   
Amounts
 
April 2013
 
$
0.0295
 
May
   
0.0295
 
June
   
0.0285
 
July
   
0.0285
 
August
   
0.0285
 
September
   
0.0285
 
October
   
0.0285
 
November
   
0.0285
 
December
   
0.0285
 
January
   
0.0285
 
February
   
0.0285
 
March 2014
   
0.0285
 
         
Ordinary Income Distribution*
   
0.0006
 
         
Market Yield**
   
3.36%
 
Taxable-Equivalent Yield**
   
4.67%
 

*
Distribution paid in December 2013.
**
Market Yield is based on the Fund’s current annualized monthly dividend divided by the Fund’s current market price as of the end of the reporting period. 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 an income tax rate of 28.0%. When comparing the Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield is lower.
 
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 the Fund’s NAV. Conversely, if the Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund’s NAV. NIM will, over time, pay all of its net investment income as dividends to shareholders. As of March 31, 2014, NIM had a positive UNII balance for both tax and financial reporting purposes.
 
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Nuveen Investments

 
 

 
 
SHARE REPURCHASES
 
During November 2013, the Nuveen Funds’ Board of Directors/Trustees reauthorized the Fund’s open-market share repurchase program, allowing the Fund to repurchase an aggregate of up to approximately 10% of its outstanding shares.
 
As of March 31, 2014, and since the inception of the Fund’s repurchase program, the Fund has not repurchased any of its outstanding shares.

     
NIM
 
Shares Cumulatively Repurchased and Retired
   
 
Shares Authorized for Repurchase
   
1,245,000
 
 
OTHER SHARE INFORMATION
 
As of March 31, 2014, and during the current reporting period, the Fund’s share price was trading at a premium/(discount) to its NAV as shown in the accompanying table.

NAV
 
$
10.38
 
Share Price
 
$
10.18
 
Premium/(Discount) to NAV
   
(1.93
)%
12-Month Average Premium/(Discount) to NAV
   
(4.23
)%

Nuveen Investments
 
11

 
 

 
 
Risk Considerations
 
Fund shares are not guaranteed or endorsed by any bank or other insured depository institution, and are not federally insured by the Federal Deposit Insurance Corporation. Past performance is no guarantee of future results. Fund shares are subject to a variety of risks, including:
 
Investment, Price and Market Risk. An investment in shares is subject to investment risk, including the possible loss of the entire principal amount that you invest. Your investment in shares represents an indirect investment in the municipal securities owned by the Fund, which generally trade in the over-the-counter markets. Shares of closed-end investment companies like this Fund frequently trade at a discount to their net asset value (NAV). Your shares at any point in time may be worth less than your original investment, even after taking into account the reinvestment of Fund dividends and distributions.
 
Tax Risk. The tax treatment of Fund distributions may be affected by new IRS interpretations of the Internal Revenue Code and future changes in tax laws and regulations.
 
Issuer Credit Risk. This is the risk that a security in the Fund’s portfolio will fail to make dividend or interest payments when due.
 
Interest Rate Risk. Fixed-income securities such as bonds, preferred, convertible and other debt securities will decline in value if market interest rates rise.
 
Reinvestment Risk. If market interest rates decline, income earned from the Fund’s portfolio may be reinvested at rates below that of the original bond that generated the income.
 
Call Risk or Prepayment Risk. Issuers may exercise their option to prepay principal earlier than scheduled, forcing the Fund to reinvest in lower-yielding securities.

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Nuveen Investments
 
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NIM
 
 
Nuveen Select Maturities Municipal Fund
 
Performance Overview and Holding Summaries as of March 31, 2014
   
 
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this page.
 
Average Annual Total Returns as of March 31, 2014

   
Average Annual
 
   
1-Year
 
5-Year
 
10-Year
 
NIM at NAV
 
0.95%
 
5.34%
 
4.28%
 
NIM at Share Price
 
1.83%
 
4.33%
 
4.63%
 
S&P Municipal Bond Intermediate Index
 
0.88%
 
5.52%
 
4.59%
 
S&P Municipal Bond Index
 
0.32%
 
6.17%
 
4.51%
 
 
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. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.
 
 
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This data relates to the securities held in the Fund’s portfolio of investments as of the end of the reporting period. It should not be construed as a measure of performance for the Fund itself. Holdings are subject to change.
 
Ratings shown are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings; BB, B, CCC, CC, C and D are below-investment grade ratings. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities. Holdings designated N/R are not rated by these national rating agencies.
 
Fund Allocation
       
(% of net assets)
       
Municipal Bonds
   
98.7
%
Corporate Bonds
   
0.0
%
Other Assets Less Liabilities
   
1.3
%

Credit Quality
       
(% of total investments)
       
AAA/U.S.Guaranteed
   
12.6
%
AA
   
27.8
%
A
   
32.7
%
BBB
   
19.6
%
BB or Lower
   
2.5
%
N/R
   
4.8
%

Portfolio Composition
       
(% of total investments)
       
Tax Obligation/Limited
   
26.4
%
Utilities
   
14.7
%
Tax Obligation/General
   
14.3
%
Health Care
   
13.2
%
U.S. Guaranteed
   
9.0
%
Transportation
   
8.3
%
Other Industries
   
14.1
%

States
       
(% of total investments)
       
Illinois
   
13.8
%
Texas
   
10.3
%
Pennsylvania
   
8.5
%
Florida
   
7.0
%
California
   
5.5
%
New Jersey
   
5.4
%
New York
   
5.4
%
South Carolina
   
4.8
%
Colorado
   
4.0
%
Ohio
   
3.7
%
Arizona
   
3.1
%
Michigan
   
2.7
%
Wisconsin
   
2.1
%
Connecticut
   
1.9
%
Nevada
   
1.8
%
Other States
   
20.0
%

Nuveen Investments
 
15

 
 

 
 
Report of Independent Registered Public Accounting Firm
 
The Board of Trustees and Shareholders of
Nuveen Select Maturities Municipal Fund
 
We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Nuveen Select Maturities Municipal Fund (the “Fund”) as of March 31, 2014, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
 
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Fund’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of March 31, 2014, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.
 
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Nuveen Select Maturities Municipal Fund at March 31, 2014, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
 
 
Chicago, Illinois
May 27, 2014

16
 
Nuveen Investments

 
 

 

NIM
 
 
Nuveen Select Maturities Municipal Fund
 
Portfolio of Investments
 
March 31, 2014

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
LONG-TERM INVESTMENTS – 98.7%
             
     
MUNICIPAL BONDS – 98.7%
             
     
Alabama – 0.1%
             
$
180
 
Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health System Inc., Series 2005A, 5.000%, 11/15/30
11/15 at 100.00
 
Baa2
 
$
177,790
 
     
Alaska – 0.1%
             
 
155
 
Alaska State, Sport Fishing Revenue Bonds, Refunding Series 2011, 5.000%, 4/01/21
4/20 at 100.00
 
A1
   
174,356
 
     
Arizona – 3.1%
             
     
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+
   
67,543
 
 
290
 
5.000%, 2/01/27
2/22 at 100.00
 
BBB+
   
304,691
 
     
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
   
470,003
 
 
685
 
5.000%, 7/01/26
7/22 at 100.00
 
A1
   
752,390
 
 
685
 
5.000%, 7/01/27
7/22 at 100.00
 
A1
   
747,534
 
 
100
 
Pima County Industrial Development Authority, Arizona, Revenue Bonds, Tucson Electric Power Company Project, Series 2013A, 4.000%, 9/01/29
3/23 at 100.00
 
Baa1
   
95,230
 
     
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–
   
110,321
 
 
100
 
5.250%, 12/01/19
No Opt. Call
 
A–
   
111,674
 
 
35
 
5.000%, 12/01/32
No Opt. Call
 
A–
   
37,147
 
 
480
 
5.000%, 12/01/37
No Opt. Call
 
A–
   
507,480
 
 
750
 
Surprise Municipal Property Corporation, Arizona, Wastewater System Revenue Bonds, Series 2007, 4.500%, 4/01/17
10/14 at 100.00
 
A–
   
763,305
 
 
3,710
 
Total Arizona
         
3,967,318
 
     
Arkansas – 0.9%
             
 
500
 
Independence County, Arkansas, Pollution Control Revenue Bonds, Arkansas Power and Light Company Project, Series 2013, 2.375%, 1/01/21
No Opt. Call
 
A–
   
494,595
 
 
605
 
North Little Rock, Arkansas, Electric Revenue Refunding Bonds, Series 1992A, 6.500%, 7/01/15 – NPFG Insured (ETM)
No Opt. Call
 
AA– (4)
   
631,142
 
 
1,105
 
Total Arkansas
         
1,125,737
 
     
California – 5.4%
             
 
300
 
Alameda Corridor Transportation Authority, California, Senior Lien Revenue Refunding Bonds, Series 2013A, 5.000%, 10/01/23
No Opt. Call
 
A
   
350,292
 
 
330
 
California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West, Series 2008H, 5.125%, 7/01/22
7/15 at 100.00
 
A
   
348,523
 
 
125
 
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children’s Hospital, Series 2008A, 1.450%, 8/15/33 (Mandatory put 3/15/17)
No Opt. Call
 
AA
   
127,119
 
 
160
 
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children’s Hospital, Series 2008C, 1.450%, 8/15/23 (Mandatory put 3/15/17)
No Opt. Call
 
AA
   
162,712
 
 
550
 
California Health Facilities Financing Authority, Revenue Bonds, Saint Joseph Health System, Series 2013D, 5.000%, 7/01/43 (Mandatory put 10/15/20)
No Opt. Call
 
AA–
   
640,580
 
 
500
 
California State, General Obligation Bonds, Various Purpose Series 2010, 5.500%, 3/01/40
3/20 at 100.00
 
A1
   
560,525
 
 
135
 
California Statewide Communities Development Authority, Revenue Bonds, Kaiser Permanente, Series 2012E-1, 5.000%, 4/01/44 (Mandatory put 5/01/17)
No Opt. Call
 
A+
   
152,257
 
 
Nuveen Investments
 
17

 
 

 

NIM
Nuveen Select Maturities Municipal Fund
 
Portfolio of Investments (continued)
 
March 31, 2014

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
California (continued)
             
$
250
 
Delano, California, Certificates of Participation, Delano Regional Medical Center, Series 2012, 5.000%, 1/01/24
No Opt. Call
 
BBB–
 
$
265,820
 
 
600
 
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed Bonds, Series 2007A-1, 4.500%, 6/01/27
6/17 at 100.00
 
B
   
520,314
 
 
365
 
Lake Elsinore Redevelopment Agency, California, Special Tax Bonds, Community Facilities District 90-2, Series 2007A, 4.500%, 10/01/24 – AGM Insured
10/17 at 100.00
 
AA
   
376,195
 
     
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
   
269,698
 
 
250
 
5.000%, 9/01/22 – AMBAC Insured
9/16 at 100.00
 
AAA
   
269,698
 
 
500
 
5.000%, 9/01/23 – AMBAC Insured
9/16 at 100.00
 
AAA
   
539,395
 
 
295
 
Mount San Antonio Community College District, Los Angeles County, California, General Obligation Bonds, Election of 2008, Series 2013A, 0.000%, 8/01/28
2/28 at 100.00
 
AA
   
212,704
 
 
2,000
 
Palomar Pomerado Health, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/25 – AGC Insured
No Opt. Call
 
AA
   
1,236,160
 
 
35
 
Riverside County Transportation Commission, California, Toll Revenue Senior Lien Bonds, Series 2013A, 5.750%, 6/01/44
6/23 at 100.00
 
BBB–
   
36,555
 
 
300
 
Sacramento Municipal Utility District, California, Electric Revenue Bonds, Series 2004T, 5.000%, 5/15/30 (Pre-refunded 5/15/14) – BHAC Insured
5/14 at 100.00
 
AA+ (4)
   
301,785
 
 
2,000
 
San Diego Community College District, California, General Obligation Bonds, Refunding Series 2011, 0.000%, 8/01/37
No Opt. Call
 
AA+
   
633,240
 
 
8,945
 
Total California
         
7,003,572
 
     
Colorado – 4.0%
             
 
2,895
 
Centennial Downs Metropolitan District, Colorado, General Obligation Bonds, Series 1999, 5.000%, 12/01/20 – AMBAC Insured
12/14 at 100.00
 
N/R
   
2,923,889
 
 
1,175
 
Colorado Educational and Cultural Facilities Authority, Revenue Bonds, Classical Academy Charter School, Series 2003, 4.500%, 12/01/18 – SYNCORA GTY Insured
5/14 at 100.00
 
A
   
1,177,244
 
 
55
 
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2000B, 0.000%, 9/01/33 – NPFG Insured
No Opt. Call
 
AA–
   
18,574
 
 
1,000
 
E-470 Public Highway Authority, Colorado, Toll Revenue Bonds, Series 2004B, 0.000%, 3/01/36 – NPFG Insured
9/20 at 41.72
 
AA–
   
283,200
 
 
500
 
Plaza Metropolitan District 1, Lakewood, Colorado, Tax Increment Revenue Bonds, Refunding Series 2013, 5.000%, 12/01/20
No Opt. Call
 
N/R
   
535,015
 
 
200
 
Regional Transportation District, Colorado, Denver Transit Partners Eagle P3 Project Private Activity Bonds, Series 2010, 6.000%, 1/15/41
7/20 at 100.00
 
Baa3
   
211,544
 
 
5,825
 
Total Colorado
         
5,149,466
 
     
Connecticut – 1.9%
             
 
875
 
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University, Series 2010A-3, 0.875%, 7/01/49 (Mandatory put 2/08/18)
No Opt. Call
 
AAA
   
867,545
 
 
1,570
 
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A, 5.500%, 1/01/15 (Alternative Minimum Tax)
5/14 at 100.00
 
A–
   
1,601,400
 
 
2,445
 
Total Connecticut
         
2,468,945
 
     
Delaware – 0.1%
             
 
170
 
Delaware Health Facilities Authority, Revenue Bonds, Nanticoke Memorial Hospital, Series 2013, 5.000%, 7/01/28
7/23 at 100.00
 
BBB–
   
165,759
 
     
District of Columbia – 0.2%
             
 
120
 
District of Columbia Student Dormitory Revenue Bonds, Provident Group – Howard Properties LLC Issue, Series 2013, 5.000%, 10/01/30
10/22 at 100.00
 
BBB–
   
113,423
 
 
150
 
District of Columbia Tobacco Settlement Corporation, Tobacco Settlement Asset-Backed Bonds, Series 2001, 6.500%, 5/15/33
No Opt. Call
 
Baa1
   
158,891
 
 
270
 
Total District of Columbia
         
272,314
 

18
 
Nuveen Investments

 
 

 
 
 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Florida – 6.9%
             
$
100
 
Citizens Property Insurance Corporation, Florida, High Risk Assessment Revenue, Senior Secured Bonds, Series 2009A-1, 5.375%, 6/01/16
No Opt. Call
 
A+
 
$
109,776
 
 
160
 
Citizens Property Insurance Corporation, Florida, High-Risk Account Revenue Bonds, Coastal Account Senior Secured Series 2011A-1, 5.000%, 6/01/18
No Opt. Call
 
A+
   
181,402
 
 
370
 
Collier County Educational Facilities Authority, Florida, Revenue Bonds, Hodges University, Series 2013, 6.000%, 11/01/33
11/23 at 100.00
 
BBB–
   
377,541
 
     
Florida Citizens Property Insurance Corporation, High Risk Account Revenue Bonds, Series 2007A:
             
 
1,215
 
5.000%, 3/01/15 – NPFG Insured
No Opt. Call
 
AA–
   
1,267,901
 
 
365
 
5.000%, 3/01/16 – NPFG Insured
No Opt. Call
 
AA–
   
394,258
 
     
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+
   
56,688
 
 
455
 
5.000%, 6/01/20
No Opt. Call
 
A+
   
518,573
 
 
600
 
Florida Department of Environmental Protection, Florida Forever Revenue Bonds, Series 2007B, 5.000%, 7/01/19 – NPFG Insured
7/17 at 101.00
 
AA–
   
668,316
 
 
520
 
Halifax Hospital Medical Center, Florida, Revenue Bonds, Series 2006, 5.250%, 6/01/26
6/16 at 100.00
 
BBB+
   
529,090
 
     
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
   
10,732
 
 
10
 
5.625%, 6/01/34 – AGC Insured
6/19 at 100.00
 
AA
   
10,579
 
 
750
 
North Sumter County Utility Dependent District, Florida, Utility Revenue Bonds, Series 2010, 5.000%, 10/01/20
No Opt. Call
 
A
   
835,403
 
 
270
 
Orange County School Board, Florida, Certificates of Participation, Series 2005B, 5.000%, 8/01/25 – AMBAC Insured
8/15 at 100.00
 
Aa2
   
285,131
 
 
2,000
 
Orange County, Florida, Tourist Development Tax Revenue Bonds, Series 2005, 5.000%, 10/01/22 – AMBAC Insured
10/15 at 100.00
 
AA–
   
2,125,297
 
 
130
 
Port Everglades Authority, Florida, Port Facilities Revenue Bonds, Series 1986, 7.125%, 11/01/16 (ETM)
No Opt. Call
 
Aaa
   
143,363
 
 
700
 
South Miami Health Facilities Authority, Florida, Hospital Revenue, Baptist Health System Obligation Group, Series 2007, 5.000%, 8/15/27
8/17 at 100.00
 
AA
   
769,867
 
     
Tampa, Florida, Cigarette Tax Allocation Bonds, H. Lee Moffitt Cancer Center Project, Refunding & Capital Improvement Series 2012A:
             
 
100
 
5.000%, 9/01/22
No Opt. Call
 
A+
   
115,324
 
 
350
 
5.000%, 9/01/23
9/22 at 100.00
 
A+
   
397,670
 
 
150
 
5.000%, 9/01/25
9/22 at 100.00
 
A+
   
167,376
 
 
8,305
 
Total Florida
         
8,964,287
 
     
Georgia – 1.1%
             
 
300
 
Cherokee County Water and Sewerage Authority, Georgia, Revenue Bonds, Series 1995, 5.200%, 8/01/25 (Pre-refunded 8/01/22) – NPFG Insured
8/22 at 100.00
 
AA– (4)
   
344,658
 
 
900
 
Private Colleges and Universities Authority, Georgia, Revenue Bonds, Mercer University Project, Refunding Series 2012C, 5.250%, 10/01/23
10/22 at 100.00
 
Baa2
   
1,001,817
 
 
1,200
 
Total Georgia
         
1,346,475
 
     
Guam – 0.1%
             
 
140
 
Guam Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2013, 5.500%, 7/01/43
7/23 at 100.00
 
A–
   
146,028
 
     
Hawaii – 0.2%
             
 
200
 
Hawaii Department of Budget and Finance, Special Purpose Revenue Bonds, Hawaii Pacific University, Series 2013A, 6.250%, 7/01/27
7/23 at 100.00
 
BB+
   
204,626
 
     
Idaho – 0.1%
             
 
100
 
Madison County, Idaho, Hospital Revenue Certificates of Participation, Madison Memorial Hospital, Series 2006, 5.250%, 9/01/37
9/16 at 100.00
 
BB+
   
96,917
 

Nuveen Investments
 
19

 
 

 

NIM
Nuveen Select Maturities Municipal Fund
 
Portfolio of Investments (continued)
 
March 31, 2014

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Illinois – 13.6%
             
$
1,500
 
Cook County Township High School District 208, Illinois, General Obligation Bonds, Series 2006, 5.000%, 12/01/21 – NPFG Insured
12/15 at 100.00
 
Aa3
 
$
1,602,420
 
 
325
 
Cook County, Illinois, General Obligation Bonds, Refunding Series 2012C, 5.000%, 11/15/21
No Opt. Call
 
AA
   
370,087
 
 
2,000
 
Huntley, Illinois, Special Service Area 9, Special Tax Bonds, Series 2007, 5.100%, 3/01/28 – AGC Insured
3/17 at 100.00
 
AA
   
2,168,797
 
 
455
 
Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2012, 5.000%, 9/01/27
9/22 at 100.00
 
A–
   
469,596
 
 
640
 
Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Series 2007A, 5.750%, 11/15/37
11/17 at 100.00
 
A
   
671,661
 
 
250
 
Illinois Finance Authority, Revenue Bonds, Roosevelt University, Series 2007, 5.250%, 4/01/22
4/17 at 100.00
 
BBB
   
257,078
 
 
700
 
Illinois Health Facilities Authority, Revenue Bonds, Silver Cross Hospital and Medical Centers, Series 1999, 5.500%, 8/15/19
5/14 at 100.00
 
BBB–
   
701,680
 
 
110
 
Illinois State, General Obligation Bonds, Refunding Series 2006, 5.000%, 1/01/15
No Opt. Call
 
A–
   
113,823
 
 
290
 
Illinois State, General Obligation Bonds, Refunding Series 2007B, 5.000%, 1/01/16
No Opt. Call
 
A–
   
311,994
 
 
425
 
Illinois State, General Obligation Bonds, Refunding Series 2008, 4.250%, 4/01/16
No Opt. Call
 
A–
   
455,001
 
 
1,165
 
Illinois State, General Obligation Bonds, Refunding Series 2010, 5.000%, 1/01/19
No Opt. Call
 
A–
   
1,318,349
 
     
Illinois State, General Obligation Bonds, Refunding Series 2012:
             
 
390
 
5.000%, 8/01/20
No Opt. Call
 
A–
   
440,470
 
 
320
 
5.000%, 8/01/21
No Opt. Call
 
A–
   
359,485
 
 
275
 
5.000%, 8/01/23
No Opt. Call
 
A–
   
308,913
 
 
230
 
Illinois State, General Obligation Bonds, Series 2006, 5.000%, 1/01/17
1/16 at 100.00
 
A–
   
244,858
 
 
25
 
Illinois State, General Obligation Bonds, Series 2007A, 5.500%, 6/01/15
No Opt. Call
 
A–
   
26,466
 
 
300
 
Illinois State, General Obligation Bonds, Series 2012A, 4.000%, 1/01/20
No Opt. Call
 
A–
   
321,873
 
     
Illinois State, General Obligation Bonds, Series 2013:
             
 
280
 
5.500%, 7/01/25
7/23 at 100.00
 
A–
   
318,226
 
 
240
 
5.500%, 7/01/26
7/23 at 100.00
 
A–
   
270,458
 
     
Illinois State, General Obligation Bonds, Various Purpose, Series 2014:
             
 
370
 
5.000%, 2/01/25
2/24 at 100.00
 
A–
   
409,512
 
 
325
 
5.000%, 2/01/26
2/24 at 100.00
 
A–
   
354,637
 
 
1,355
 
Kane & DeKalb Counties Community Unit School District 301, Illinois, General Obligation Bonds, Series 2006, 0.000%, 12/01/18 – NPFG Insured
No Opt. Call
 
Aa3
   
1,222,047
 
 
1,000
 
Peoria Public Building Commission, Illinois, School District Facility Revenue Bonds, Peoria County School District 150 Project, Series 2009A, 0.000%, 12/01/22 – AGC Insured
12/18 at 79.62
 
AA
   
687,970
 
     
Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds, Series 2010:
             
 
520
 
5.000%, 6/01/19
No Opt. Call
 
A
   
598,681
 
 
1,000
 
5.250%, 6/01/21
No Opt. Call
 
A
   
1,162,010
 
 
20
 
6.250%, 6/01/24
6/16 at 100.00
 
A–
   
22,086
 
 
700
 
Regional Transportation Authority, Cook, DuPage, Kane, Lake, McHenry and Will Counties, Illinois, General Obligation Bonds, Series 1994D, 7.750%, 6/01/19 – FGIC Insured
No Opt. Call
 
AA
   
822,843
 
 
500
 
Sterling, Whiteside County, Illinois, General Obligation Bonds, Alternate Revenue Source, Series 2012, 4.000%, 11/01/22
No Opt. Call
 
A+
   
522,970
 
 
355
 
Will, Grundy, Kendall, LaSalle, Kankakee, Livingston and Cook Counties Community College District 525 Joliet Junior College, Illinois, General Obligation Bond, Series 2008, 5.750%, 6/01/28
6/18 at 100.00
 
AA
   
390,862
 
 
620
 
Williamson & Johnson Counties Community Unit School District 2, Marion, Illinois, Limited Tax General Obligation Lease Certificates, Series 2011, 7.000%, 10/15/22
10/19 at 103.00
 
BBB
   
681,560
 
 
16,685
 
Total Illinois
         
17,606,413
 
     
Indiana – 1.6%
             
 
210
 
Indiana Finance Authority, Educational Facilities Revenue Bonds, Drexel Foundation For Educational Excellence, Inc., Series 2009A, 6.000%, 10/01/21
10/19 at 100.00
 
BB–
   
212,283
 
 
180
 
Indiana Finance Authority, Private Activity Bonds, Ohio River Bridges East End Crossing Project, Series 2013B, 5.000%, 1/01/19 (Alternative Minimum Tax)
1/17 at 100.00
 
BBB
   
194,274
 
 
20
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Indiana (continued)
             
$
1,000
 
Indiana Health Facility Financing Authority, Revenue Bonds, Community Hospitals of Indiana, Series 2005A, 5.000%, 5/01/35 (Pre-refunded 5/01/15) – AMBAC Insured
5/15 at 100.00
 
N/R (4)
 
$
1,051,940
 
 
255
 
Jasper County, Indiana, Pollution Control Revenue Refunding Bonds, Northern Indiana Public Service Company Project, Series 1994A Remarketed, 5.850%, 4/01/19 – NPFG Insured
No Opt. Call
 
AA–
   
290,636
 
 
250
 
Lake County Building Corporation, Indiana, First Mortgage Bonds, Series 2012, 4.750%, 2/01/21
No Opt. Call
 
N/R
   
255,678
 
 
1,895
 
Total Indiana
         
2,004,811
 
     
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
   
532,755
 
 
335
 
Iowa Finance Authority, Iowa, Midwestern Disaster Area Revenue Bonds, Iowa Fertilizer Company Project, Series 2013, 5.000%, 12/01/19
No Opt. Call
 
BB–
   
333,998
 
 
835
 
Total Iowa
         
866,753
 
     
Kansas – 0.1%
             
 
245
 
Wyandotte County-Kansas City Unified Government, Kansas, Sales Tax Special Obligation Capital Appreciation Revenue Bonds Redevelopment Project Area B – Major Multi-Sport Athletic Complex Project, Subordinate Lien Series 2010B, 0.000%, 6/01/21
No Opt. Call
 
A–
   
168,675
 
     
Kentucky – 1.4%
             
 
350
 
Kentucky Economic Development Finance Authority, Louisville Arena Project Revenue Bonds, Louisville Arena Authority, Inc., Series 2008-A1, 5.750%, 12/01/28 – AGC Insured
6/18 at 100.00
 
AA
   
368,127
 
 
170
 
Kentucky Housing Corporation, Housing Revenue Bonds, Series 2005G, 5.000%, 7/01/30 (Alternative Minimum Tax)
1/15 at 100.60
 
AAA
   
172,375
 
 
385
 
Kentucky Public Transportation Infrastructure Authority, First Tier Toll Revenue Bonds, Downtown Crossing Project, Series 2013A, 5.000%, 7/01/17
No Opt. Call
 
Baa3
   
425,706
 
 
340
 
Lexington-Fayette Urban County Government Public Facilities Corporation, Kentucky State Lease Revenue Bonds, Eastern State Hospital Project, Series 2011A, 5.250%, 6/01/29
6/21 at 100.00
 
Aa3
   
369,434
 
 
150
 
Louisville-Jefferson County Metropolitan Government, Kentucky, Environmental Facilities Revenue, Louisville Gas & Electric Company Project, Series 2007B, 1.600%, 6/01/33 (Mandatory put 6/01/17)
No Opt. Call
 
A–
   
150,345
 
 
320
 
Louisville-Jefferson County Metropolitan Government, Kentucky, Pollution Control Revenue Bonds, Louisville Gas and Electric Company Project, Series 2003A, 1.650%, 10/01/33 (Mandatory put 4/03/17)
No Opt. Call
 
A1
   
322,858
 
 
1,715
 
Total Kentucky
         
1,808,845
 
     
Louisiana – 1.3%
             
 
45
 
Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006B, 5.000%, 6/01/23 – AMBAC Insured
6/16 at 100.00
 
A–
   
48,106
 
     
Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006-C1:
             
 
25
 
5.875%, 6/01/23
6/18 at 100.00
 
AA
   
28,378
 
 
10
 
6.000%, 6/01/24
6/18 at 100.00
 
AA
   
11,366
 
 
935
 
Louisiana Public Facilities Authority, Revenue Bonds, Baton Rouge General Hospital, Series 2004, 5.250%, 7/01/24 (Pre-refunded 7/01/14) – NPFG Insured
7/14 at 100.00
 
AA– (4)
   
946,398
 
 
255
 
Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project, Series 2007A, 5.250%, 5/15/38
5/17 at 100.00
 
Baa1
   
258,277
 
 
385
 
Saint Charles Parish, Louisiana, Gulf Opportunity Zone Revenue Bonds, Valero Project, Series 2010, 4.000%, 12/01/40 (Mandatory put 6/01/22)
No Opt. Call
 
BBB
   
396,900
 
 
1,655
 
Total Louisiana
         
1,689,425
 
     
Maine – 0.1%
             
 
25
 
Maine Health and Higher Educational Facilities Authority Revenue Bonds, Eastern Maine Medical Center Obligated Group Issue, Series 2013, 3.000%, 7/01/23
No Opt. Call
 
Baa1
   
23,696
 
 
35
 
Portland, Maine, General Airport Revenue Bonds, Refunding Series 2013, 5.000%, 7/01/22
No Opt. Call
 
BBB+
   
39,468
 
 
60
 
Total Maine
         
63,164
 

Nuveen Investments
 
21

 
 

 

NIM
Nuveen Select Maturities Municipal Fund
 
Portfolio of Investments (continued)
 
March 31, 2014

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Massachusetts – 1.4%
             
$
500
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.000%, 10/01/19
10/17 at 100.00
 
N/R
 
$
521,490
 
 
250
 
Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street Redevelopment, M/SRBC Project, Series 2002A, 5.125%, 2/01/34 – NPFG Insured
5/14 at 100.00
 
AA–
   
250,090
 
     
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A:
             
 
100
 
5.200%, 1/01/20 – AMBAC Insured (Alternative Minimum Tax)
5/14 at 100.00
 
N/R
   
100,000
 
 
470
 
5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
7/14 at 100.00
 
N/R
   
453,216
 
 
500
 
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A, 5.000%, 8/15/30 (Pre-refunded 8/15/15)
8/15 at 100.00
 
AA (4)
   
532,765
 
 
1,820
 
Total Massachusetts
         
1,857,561
 
     
Michigan – 2.7%
             
 
400
 
Detroit Downtown Development Authority, Michigan, Tax Increment Refunding Bonds, Development Area 1 Projects, Series 1996B, 0.000%, 7/01/23
No Opt. Call
 
BB
   
217,428
 
 
1,000
 
Detroit, Michigan, General Obligation Bonds, Series 2001A-1, 5.375%, 4/01/18 – NPFG Insured (5)
5/14 at 100.00
 
AA–
   
978,720
 
 
50
 
Detroit, Michigan, Second Lien Sewerage Disposal System Revenue Bonds, Series 2005A, 5.000%, 7/01/35 – NPFG Insured
7/15 at 100.00
 
AA–
   
47,650
 
 
150
 
Detroit, Michigan, Senior Lien Sewerage Disposal System Revenue Bonds, Series 2001B, 5.500%, 7/01/29 – FGIC Insured
No Opt. Call
 
AA–
   
149,603
 
 
280
 
Michigan Finance Authority, Revenue Bonds, Detroit City School District, Series 2012, 5.000%, 6/01/18
No Opt. Call
 
A+
   
309,767
 
 
200
 
Michigan Finance Authority, Unemployment Obligation Assessment Revenue Bonds, Series 2012B, 5.000%, 7/01/22
7/16 at 100.00
 
AAA
   
219,286
 
 
1,000
 
Michigan Hospital Finance Authority, Refunding and Project Revenue Bonds, Ascension Health Senior Credit Group, Series 2010, 1.500%, 11/15/47 (Mandatory put 3/15/17)
No Opt. Call
 
AA+
   
1,014,190
 
 
500
 
Wayne County Airport Authority, Michigan, Revenue Bonds, Detroit Metropolitan Airport, Refunding Series 2010C, 5.000%, 12/01/16
No Opt. Call
 
A
   
551,140
 
 
3,580
 
Total Michigan
         
3,487,784
 
     
Minnesota – 0.2%
             
 
260
 
Northern Municipal Power Agency, Minnesota, Electric System Revenue Bonds, Refunding Series 2009A, 5.000%, 1/01/15 – AGC Insured
No Opt. Call
 
AA
   
269,399
 
     
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–
   
101,783
 
 
300
 
5.000%, 9/01/24
9/14 at 100.00
 
AA–
   
304,974
 
 
250
 
Warren County, Mississippi, Gulf Opportunity Zone Revenue Bonds, International Paper Company, Series 2006A, 4.800%, 8/01/30
5/14 at 100.00
 
BBB
   
250,053
 
 
650
 
Total Mississippi
         
656,810
 
     
Missouri – 1.3%
             
 
100
 
Missouri Health and Educational Facilities Authority, Educational Facilities Revenue Bonds, Saint Louis College of Pharmacy, Series 2013, 5.250%, 5/01/33
5/23 at 100.00
 
BBB+
   
104,362
 
 
295
 
St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1989A, 8.125%,8/01/20 (Pre-refunded 7/01/20) (Alternative Minimum Tax)
7/20 at 100.00
 
AA+ (4)
   
352,437
 
 
1,000
 
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series 2005, 5.500%, 7/01/19 – NPFG Insured
No Opt. Call
 
AA–
   
1,172,760
 
 
1,395
 
Total Missouri
         
1,629,559
 

22
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Montana – 0.3%
             
$
260
 
Billings, Montana, Tax Increment Urban Renewal Revenue Bonds, Expanded North 27th Street, Series 2013A, 5.000%, 7/01/33
1/23 at 100.00
 
N/R
 
$
251,490
 
 
115
 
University of Montana, Revenue Bonds, Series 1996D, 5.375%, 5/15/19 – NPFG Insured (ETM)
5/14 at 100.00
 
AA– (4)
   
131,531
 
 
375
 
Total Montana
         
383,021
 
     
Nebraska – 0.9%
             
 
1,000
 
Dodge County School District 1, Nebraska, Fremont Public Schools, General Obligation Bonds, Series 2004, 5.000%, 12/15/19 (Pre-refunded 12/15/14) – AGM Insured
12/14 at 100.00
 
Aa3 (4)
   
1,034,370
 
 
100
 
Douglas County School District 10 Elkhorn, Nebraska, General Obligation Bonds, Public Schools Series 2012, 4.000%, 6/15/23
6/22 at 100.00
 
AA–
   
108,591
 
 
1,100
 
Total Nebraska
         
1,142,961
 
     
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+
   
1,128,930
 
 
250
 
Las Vegas Redevelopment Agency, Nevada, Tax Increment Revenue Bonds, Series 2009A, 8.000%, 6/15/30
6/19 at 100.00
 
BBB–
   
281,945
 
 
50
 
Las Vegas, Nevada, Special Improvement District 607 Providence, Local Improvement Refunding Bonds, Series 2013, 5.000%, 6/01/22
No Opt. Call
 
N/R
   
51,917
 
 
775
 
Washoe County, Nevada, General Obligation Bonds, Reno-Sparks Convention & Visitors Authority, Refunding Series 2011, 5.000%, 7/01/23
7/21 at 100.00
 
AA
   
872,883
 
 
2,075
 
Total Nevada
         
2,335,675
 
     
New Hampshire – 0.5%
             
 
600
 
New Hampshire Health and Education Facilities Authority, Hospital Revenue Bonds, Speare Memorial Hospital, Series 2004, 5.500%, 7/01/25 (Pre-refunded 7/01/15)
7/15 at 100.00
 
N/R (4)
   
639,324
 
     
New Jersey – 5.3%
             
 
190
 
Bayonne Redevelopment Agency, New Jersey, Revenue Bonds, Royal Caribbean Cruises Project, Series 2006A, 4.750%, 11/01/16 (Alternative Minimum Tax)
No Opt. Call
 
BB
   
188,605
 
     
New Jersey Economic Development Authority, Cigarette Tax Revenue Bonds, Series 2004:
             
 
230
 
5.375%, 6/15/14 (ETM)
No Opt. Call
 
Aaa
   
232,486
 
 
15
 
5.375%, 6/15/15 – RAAI Insured (ETM)
No Opt. Call
 
Aaa
   
15,940
 
 
120
 
5.500%, 6/15/16 – RAAI Insured (ETM)
No Opt. Call
 
Aaa
   
133,512
 
     
New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012:
             
 
120
 
4.000%, 6/15/19
No Opt. Call
 
BBB+
   
131,011
 
 
200
 
5.000%, 6/15/20
No Opt. Call
 
BBB+
   
226,628
 
 
300
 
5.000%, 6/15/21
No Opt. Call
 
BBB+
   
338,886
 
 
325
 
5.000%, 6/15/22
No Opt. Call
 
BBB+
   
365,154
 
 
350
 
5.000%, 6/15/23
6/22 at 100.00
 
BBB+
   
389,274
 
 
210
 
5.000%, 6/15/24
6/22 at 100.00
 
BBB+
   
229,488
 
 
500
 
5.000%, 6/15/25
6/22 at 100.00
 
BBB+
   
538,795
 
 
150
 
5.000%, 6/15/26
6/22 at 100.00
 
BBB+
   
160,442
 
 
85
 
4.250%, 6/15/27
6/22 at 100.00
 
BBB+
   
85,510
 
 
300
 
5.000%, 6/15/28
No Opt. Call
 
BBB+
   
317,028
 
 
220
 
New Jersey Economic Development Authority, Private Activity Bonds, The Goethals Bridge Replacement Project, Series 2013, 5.000%, 1/01/28 (Alternative Minimum Tax)
1/24 at 100.00
 
BBB–
   
233,044
 
 
50
 
New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset Transformation Program, Series 2008A, 5.250%, 10/01/38
10/18 at 100.00
 
A+
   
51,946
 
 
1,730
 
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital Appreciation Series 2010A, 0.000%, 12/15/33
No Opt. Call
 
A+
   
648,733
 
 
1,515
 
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D, 5.000%, 12/15/23
No Opt. Call
 
A+
   
1,757,521
 

Nuveen Investments
 
23

 
 

 

NIM
Nuveen Select Maturities Municipal Fund
 
Portfolio of Investments (continued)
 
March 31, 2014

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
New Jersey (continued)
             
$
260
 
New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/19
No Opt. Call
 
A+
 
$
300,596
 
 
250
 
South Jersey Port Corporation, New Jersey, Marine Terminal Revenue Refunding Bonds, Series 2012Q, 3.000%, 1/01/22
No Opt. Call
 
A1
   
251,458
 
 
300
 
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2007-1A, 4.500%, 6/01/23
6/17 at 100.00
 
BB
   
289,059
 
 
7,420
 
Total New Jersey
         
6,885,116
 
     
New York – 5.3%
             
 
220
 
Brooklyn Arena Local Development Corporation, New York, Payment in Lieu of Taxes Revenue Bonds, Barclays Center Project, Series 2009, 6.000%, 7/15/30
1/20 at 100.00
 
BBB–
   
238,267
 
 
770
 
Dormitory Authority of the State of New York, Third General Resolution Revenue Bonds, State University Educational Facilities Issue, Series 2012A, 5.000%, 5/15/25
5/22 at 100.00
 
AA–
   
877,985
 
 
415
 
Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Senior Fiscal 2012 Series 2011A, 5.750%, 2/15/47
2/21 at 100.00
 
A
   
456,467
 
     
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2000A:
             
 
170
 
0.000%, 6/01/22 – AGM Insured
No Opt. Call
 
AA
   
134,878
 
 
55
 
0.000%, 6/01/24 – AGM Insured
No Opt. Call
 
AA
   
39,663
 
     
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006A:
             
 
145
 
4.000%, 12/01/16 – AGM Insured
No Opt. Call
 
AA
   
154,567
 
 
210
 
5.000%, 12/01/26 – SYNCORA GTY Insured
6/16 at 100.00
 
A–
   
224,496
 
     
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006B:
             
 
25
 
5.000%, 12/01/35 – AGM Insured
6/16 at 100.00
 
AA
   
26,420
 
 
150
 
5.000%, 12/01/35
6/16 at 100.00
 
A–
   
157,613
 
 
25
 
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006C, 5.000%, 9/01/35
9/16 at 100.00
 
A–
   
26,262
 
 
405
 
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006D, 5.000%, 9/01/25 – NPFG Insured
9/16 at 100.00
 
AA–
   
436,610
 
     
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006E:
             
 
150
 
5.000%, 12/01/17 – FGIC Insured
12/16 at 100.00
 
AA–
   
165,644
 
 
435
 
5.000%, 12/01/18 – NPFG Insured
12/16 at 100.00
 
AA–
   
479,879
 
 
10
 
4.000%, 12/01/18 – NPFG Insured
No Opt. Call
 
AA–
   
10,573
 
 
210
 
5.000%, 12/01/21 – FGIC Insured
12/16 at 100.00
 
AA–
   
229,513
 
 
150
 
5.000%, 12/01/22 – FGIC Insured
12/16 at 100.00
 
AA–
   
163,485
 
 
190
 
Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2006F, 5.000%, 5/01/19 – NPFG Insured
11/16 at 100.00
 
AA–
   
208,487
 
 
675
 
New York State Thruway Authority, General Revenue Junior Indebtedness Obligations, Series 2013A, 5.000%, 5/01/19
No Opt. Call
 
A–
   
782,150
 
     
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and State Contingency Contract-Backed Bonds, Series 2011B:
             
 
360
 
5.000%, 6/01/17
No Opt. Call
 
AA–
   
405,130
 
 
565
 
5.000%, 6/01/18
No Opt. Call
 
AA–
   
649,055
 
     
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and State Contingency Contract-Backed Bonds, Series 2013B:
             
 
100
 
5.000%, 6/01/20
6/15 at 100.00
 
AA–
   
105,120
 
 
150
 
5.000%, 6/01/21
6/16 at 100.00
 
AA–
   
162,866
 
 
200
 
5.000%, 6/01/22
6/17 at 100.00
 
AA–
   
221,940
 
 
400
 
Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, Refunding Series 2013B, 5.000%, 11/15/21
No Opt. Call
 
AA–
   
474,920
 
 
6,185
 
Total New York
         
6,831,990
 

24
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Ohio – 3.6%
             
$
45
 
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue Bonds, Senior Lien, Series 2007A-1, 5.000%, 6/01/17
No Opt. Call
 
A3
 
$
49,427
 
 
1,325
 
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue Bonds, Senior Lien, Series 2007A-2, 5.125%, 6/01/24
6/17 at 100.00
 
B–
   
1,130,755
 
 
480
 
Fairfield County, Ohio, Hospital Facilities Revenue Bonds, Fairfield Medical Center Project, Series 2013, 5.000%, 6/15/43
6/23 at 100.00
 
Baa2
   
486,326
 
 
250
 
Lake County, Ohio, Hospital Facilities Revenue Bonds, Lake Hospital System, Inc., Refunding Series 2008C, 5.500%, 8/15/24
8/18 at 100.00
 
A3
   
269,495
 
     
New Albany Community Authority, Ohio, Community Facilities Revenue Refunding Bonds, Series 2012C:
             
 
25
 
4.000%, 10/01/18
No Opt. Call
 
A1
   
27,209
 
 
30
 
4.000%, 10/01/19
No Opt. Call
 
A1
   
32,628
 
 
40
 
4.000%, 10/01/20
No Opt. Call
 
A1
   
43,161
 
 
45
 
5.000%, 10/01/21
No Opt. Call
 
A1
   
51,223
 
 
35
 
5.000%, 10/01/22
No Opt. Call
 
A1
   
40,069
 
 
175
 
Ohio Air Quality Development Authority, Ohio, Pollution Control Revenue Refunding Bonds, FirstEnergy Generation Corp. Project, Series 2006A, 3.750%, 12/01/23
No Opt. Call
 
BBB–
   
178,302
 
 
2,000
 
Ohio Turnpike Commission, Turnpike Revenue Bonds, Infrastructure Projects, Junior Lien Convertible Series 2013A-3, 0.000%, 2/15/34
2/31 at 100.00
 
A+
   
1,348,360
 
 
1,000
 
Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004B, 4.500%, 12/01/15
No Opt. Call
 
A
   
1,044,310
 
 
5,450
 
Total Ohio
         
4,701,265
 
     
Oklahoma – 0.8%
             
 
1,000
 
Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%, 7/01/27 – AMBAC Insured
7/15 at 100.00
 
AA
   
1,048,590
 
     
Pennsylvania – 8.4%
             
 
935
 
Beaver County Industrial Development Authority, Pennsylvania, Pollution Control Revenue Refunding Bonds, FirstEnergy Nuclear Generation Project, Series 2006B, 2.500%, 12/01/41 (Mandatory put 6/01/17)
No Opt. Call
 
BBB–
   
933,008
 
 
100
 
Cumberland County Municipal Authority, Pennsylvania, Revenue Bonds, Presbyterian Homes Inc., Refunding Series 2005A, 5.000%, 12/01/15 – RAAI Insured
No Opt. Call
 
BBB+
   
104,778
 
 
200
 
Luzerne County Industrial Development Authority, Pennsylvania, Guaranteed Lease Revenue Bonds, Series 2009, 7.750%, 12/15/27
12/19 at 100.00
 
N/R
   
202,972
 
 
205
 
Pennsylvania Economic Development Financing Authority, Health System Revenue Bonds, Albert Einstein Healthcare, Series 2009A, 6.250%, 10/15/23
10/19 at 100.00
 
BBB+
   
227,800
 
 
500
 
Pennsylvania Economic Development Financing Authority, Parking System Revenue Bonds, Capitol Region Parking System, Junior Guaranteed Series 2013B, 5.500%, 1/01/27
1/24 at 100.00
 
AA
   
579,510
 
 
250
 
Pennsylvania Economic Development Financing Authority, Parking System Revenue Bonds, Capitol Region Parking System, Junior Insured Series 2013C, 5.500%, 1/01/26 – AGM Insured
1/24 at 100.00
 
AA
   
291,775
 
 
215
 
Pennsylvania Economic Development Financing Authority, Unemployment Compensation Revenue Bonds, Series 2012B, 5.000%, 1/01/22
7/17 at 100.00
 
Aaa
   
241,342
 
 
345
 
Pennsylvania Higher Educational Facilities Authority, College Revenue Bonds, Ninth Series 1976, 7.625%, 7/01/15 (ETM)
No Opt. Call
 
Aaa
   
362,460
 
 
225
 
Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, University of the Arts, Series 1999, 5.150%, 3/15/20 – RAAI Insured (ETM)
5/14 at 100.00
 
N/R (4)
   
253,895
 
 
125
 
Pennsylvania Public School Building Authority, Lease Revenue Bonds, School District of Philadelphia, Series 2006B, 4.500%, 6/01/32 – AGM Insured
12/16 at 100.00
 
AA
   
125,414
 

Nuveen Investments
 
25

 
 

 

NIM
Nuveen Select Maturities Municipal Fund
 
Portfolio of Investments (continued)
 
March 31, 2014

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Pennsylvania (continued)
             
$
580
 
Pennsylvania Turnpike Commission, Motor License Fund-Enhanced Subordinate Special Revenue Bonds, Series 2010A, 0.000%, 12/01/34
12/20 at 100.00
 
AA
 
$
576,932
 
 
4,120
 
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Eighteenth Series 2004, 5.000%, 8/01/15 – AMBAC Insured
8/14 at 100.00
 
BBB+
   
4,177,179
 
 
1,135
 
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Twelfth Series 1990B, 7.000%, 5/15/20 – NPFG Insured (ETM)
No Opt. Call
 
AA– (4)
   
1,350,287
 
 
895
 
St. Mary Hospital Authority, Pennsylvania, Health System Revenue Bonds, Catholic Health East, Series 2009D, 6.250%, 11/15/34
5/19 at 100.00
 
Aa2
   
993,727
 
 
330
 
Union County Hospital Authority, Pennsylvania, Hospital Revenue Bonds, Evangelical Community Hospital Project, Refunding and Improvement Series 2011, 5.750%, 8/01/21
No Opt. Call
 
BBB+
   
367,610
 
 
10,160
 
Total Pennsylvania
         
10,788,689
 
     
Puerto Rico – 0.7%
             
 
20
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 0.000%, 7/01/19 – AMBAC Insured
No Opt. Call
 
Ba2
   
13,129
 
 
500
 
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System Project, Refunding Series 2012, 5.000%, 4/01/27
No Opt. Call
 
BBB–
   
423,135
 
 
565
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2009A, 0.000%, 8/01/32
8/26 at 100.00
 
A+
   
425,021
 
 
75
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010A, 0.000%, 8/01/32
No Opt. Call
 
A+
   
17,710
 
 
25
 
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series 2010C, 0.000%, 8/01/38
No Opt. Call
 
A+
   
3,638
 
 
25
 
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/17 – SYNCORA GTY Insured
No Opt. Call
 
BB+
   
23,516
 
 
1,210
 
Total Puerto Rico
         
906,149
 
     
Rhode Island – 1.3%
             
 
200
 
Rhode Island Health and Educational Building Corporation, Revenue Bonds, Care New England Health System, Series 2013A, 5.500%, 9/01/28
9/23 at 100.00
 
BBB
   
206,972
 
     
Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds, Series 2002A:
             
 
430
 
6.125%, 6/01/32
5/14 at 100.00
 
BBB+
   
429,966
 
 
1,020
 
6.250%, 6/01/42
5/14 at 100.00
 
BBB–
   
1,003,700
 
 
1,650
 
Total Rhode Island
         
1,640,638
 
     
South Carolina – 4.8%
             
 
510
 
Greenville County School District, South Carolina, Installment Purchase Revenue Bonds, Series 2006, 5.000%, 12/01/24
12/16 at 100.00
 
AA
   
555,849
 
 
1,540
 
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%, 1/01/19 – FGIC Insured (ETM)
No Opt. Call
 
Baa1 (4)
   
1,921,720
 
 
3,030
 
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%, 1/01/19 – FGIC Insured
No Opt. Call
 
Baa1
   
3,693,567
 
 
5,080
 
Total South Carolina
         
6,171,136
 

26
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
South Dakota – 0.8%
             
$
1,000
 
South Dakota Health and Educational Facilities Authority, Revenue Bonds, Sanford Health, Series 2007, 5.000%, 11/01/27
5/17 at 100.00
 
A+
 
$
1,031,680
 
     
Tennessee – 0.2%
             
     
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
   
105,098
 
 
180
 
5.000%, 1/01/23
No Opt. Call
 
A
   
200,909
 
 
280
 
Total Tennessee
         
306,007
 
     
Texas – 10.2%
             
 
1,055
 
Austin, Texas, General Obligation Bonds, Series 2004, 5.000%, 9/01/20 (Pre-refunded 9/01/14) – NPFG Insured
9/14 at 100.00
 
AAA
   
1,076,417
 
 
555
 
Bexar County Housing Finance Corporation, Texas, FNMA Guaranteed Multifamily Housing Revenue Bonds, Villas Sonterra Apartments Project, Series 2007A, 4.700%, 10/01/15 (Alternative Minimum Tax)
No Opt. Call
 
N/R
   
573,282
 
     
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding Series 2007:
             
 
130
 
5.000%, 5/01/23 – SYNCORA GTY Insured
5/17 at 100.00
 
A+
   
144,325
 
 
15
 
5.000%, 5/01/24 – SYNCORA GTY Insured
5/17 at 100.00
 
A+
   
16,653
 
 
30
 
5.000%, 5/01/25 – SYNCORA GTY Insured
5/17 at 100.00
 
A+
   
33,078
 
 
10
 
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding Series 2010, 5.875%, 5/01/40
5/20 at 100.00
 
A+
   
10,827
 
 
10
 
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Series 2006, 4.500%, 5/01/25 – NPFG Insured
5/16 at 100.00
 
AA–
   
10,616
 
     
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Refunding Bonds, Series 2009:
             
 
20
 
5.000%, 5/01/29
5/19 at 100.00
 
A+
   
21,095
 
 
185
 
5.000%, 5/01/39
5/19 at 100.00
 
A+
   
191,490
 
 
25
 
Brazos River Authority, Texas, Collateralized Pollution Control Revenue Bonds, Texas Utilities Electric Company, Series 2003D, 5.400%, 10/01/29 (Mandatory put 10/01/14) (5)
5/14 at 100.00
 
C
   
874
 
 
2,000
 
Brazos River Authority, Texas, Collateralized Revenue Bonds, CenterPoint Energy Inc., Refunding Series 2004B, 4.250%, 12/01/17 – FGIC Insured
6/14 at 100.00
 
A1
   
2,011,420
 
 
5
 
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2005, 5.000%,1/01/45 (Pre-refunded 1/01/15) – FGIC Insured
1/15 at 100.00
 
AA– (4)
   
5,181
 
 
500
 
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2011, 6.250%, 1/01/46
1/21 at 100.00
 
Baa2
   
536,275
 
 
1,875
 
Denton Independent School District, Denton County, Texas, General Obligation Bonds, Series 2006, 5.000%, 8/15/20
8/16 at 100.00
 
AAA
   
2,063,869
 
 
1,000
 
Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment Facilities Department, Refunding Series 2011B, 5.250%, 9/01/25
9/16 at 100.00
 
A2
   
1,081,780
 
 
500
 
Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment Project, Series 2001B, 0.000%, 9/01/23 – AMBAC Insured
No Opt. Call
 
A2
   
335,460
 
 
300
 
Kerrville Health Facilities Development Corporation, Texas, Revenue Bonds, Sid Peterson Memorial Hospital Project, Series 2005, 5.125%, 8/15/26
2/16 at 100.00
 
BBB–
   
304,074
 
 
200
 
Love Field Airport Modernization Corporation, Texas, Special Facilities Revenue Bonds, Southwest Airlines Company, Series 2010, 5.250%, 11/01/40
11/20 at 100.00
 
BBB–
   
205,816
 

Nuveen Investments
 
27

 
 

 
 
NIM
Nuveen Select Maturities Municipal Fund
 
Portfolio of Investments (continued)
 
March 31, 2014

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Texas (continued)
             
     
McCamey County Hospital District, Texas, General Obligation Bonds, Series 2013:
             
$
100
 
5.000%, 12/01/25
No Opt. Call
 
Baa2
 
$
104,753
 
 
100
 
5.250%, 12/01/28
12/25 at 100.00
 
Baa2
   
104,615
 
     
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
   
455,100
 
 
380
 
5.000%, 8/15/25
8/22 at 100.00
 
AA
   
428,944
 
 
1,060
 
North Texas Tollway Authority, Second Tier System Revenue Refunding Bonds, Series 2008F, 5.750%, 1/01/38
1/18 at 100.00
 
A3
   
1,141,334
 
 
750
 
North Texas Tollway Authority, Special Projects System Revenue Bonds, Current Interest Series 2011D, 5.000%, 9/01/24
9/21 at 100.00
 
AA+
   
860,775
 
     
North Texas Tollway Authority, Special Projects System Revenue Bonds, Series 2011A:
             
 
100
 
0.000%, 9/01/43
9/31 at 100.00
 
AA+
   
74,871
 
 
490
 
0.000%, 9/01/45
9/31 at 100.00
 
AA+
   
403,005
 
 
860
 
Texas Municipal Gas Acquisition and Supply Corporation I, Gas Supply Revenue Bonds, Series 2006B, 0.706%, 12/15/17
5/14 at 100.00
 
A–
   
852,286
 
 
100
 
Texas Municipal Gas Acquisition and Supply Corporation III, Gas Supply Revenue Bonds, Series 2012, 5.000%, 12/15/32
No Opt. Call
 
A3
   
100,836
 
 
12,755
 
Total Texas
         
13,149,051
 
     
Virgin Islands – 0.4%
             
 
525
 
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien Series 2010A, 5.000%, 10/01/29
10/20 at 100.00
 
BBB
   
539,207
 
     
Virginia – 0.6%
             
 
250
 
Virginia College Building Authority, Educational Facilities Revenue Refunding Bonds, Marymount University, Series 1998, 5.100%, 7/01/18 – RAAI Insured
7/14 at 100.00
 
N/R
   
250,628
 
 
500
 
Virginia Small Business Financing Authority, Senior Lien Revenue Bonds, Elizabeth River Crossing, Opco LLC Project, Series 2012, 5.500%, 1/01/42 (Alternative Minimum Tax)
7/22 at 100.00
 
BBB–
   
513,630
 
 
750
 
Total Virginia
         
764,258
 
     
Washington – 1.6%
             
 
1,050
 
Washington Health Care Facilities Authority, Revenue Bonds, Fred Hutchinson Cancer Research Center, Series 2011A, 5.375%, 1/01/31
1/21 at 100.00
 
A
   
1,099,781
 
 
330
 
Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series 1989B, 7.125%, 7/01/16 – NPFG Insured
No Opt. Call
 
Aa1
   
378,810
 
 
585
 
Whidbey Island Public Hospital District, Island County, Washington, General Obligation Bonds, Whidbey General Series 2013, 5.500%, 12/01/33
12/22 at 100.00
 
A2
   
625,260
 
 
1,965
 
Total Washington
         
2,103,851
 
     
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
   
816,865
 
 
25
 
5.000%, 4/01/21
No Opt. Call
 
Aa3
   
28,398
 
 
15
 
5.000%, 4/01/22
No Opt. Call
 
Aa3
   
16,955
 
 
25
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care, Inc., Series 2010A, 5.625%, 4/15/33
4/15 at 100.00
 
A
   
25,325
 
 
320
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care, Inc., Series 2010B, 5.000%, 7/15/20
No Opt. Call
 
A
   
359,075
 
 
675
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care, Inc., Series 2012A, 5.000%, 7/15/25
7/21 at 100.00
 
A
   
722,088
 
 
30
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Ministry Health Care, Inc., Refunding 2012C, 5.000%, 8/15/17
No Opt. Call
 
A+
   
33,508
 

28
 
Nuveen Investments

 
 

 

 
Principal
   
Optional Call
           
 
Amount (000)
 
Description (1)
Provisions (2)
 
Ratings (3)
   
Value
 
     
Wisconsin (continued)
             
     
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–
 
$
538,785
 
 
180
 
5.250%, 8/15/34
8/16 at 100.00
 
A–
   
182,794
 
 
2,525
 
Total Wisconsin
         
2,723,793
 
$
125,650
 
To