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 811-07056

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, 2015

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.


 
 

 
 
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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
13
   
Report of Independent Registered Public Accounting Firm
15
   
Portfolio of Investments
16
   
Statement of Assets and Liabilities
29
   
Statement of Operations
30
   
Statement of Changes in Net Assets
31
   
Financial Highlights
32
   
Notes to Financial Statements
34
   
Additional Fund Information
40
   
Glossary of Terms Used in this Report
41
   
Reinvest Automatically, Easily and Conveniently
42
   
Board Members & Officers
43
 
Nuveen Investments
 
3

 
 

 
 
Chairman’s Letter to Shareholders
 
 
Dear Shareholders,
 
A pattern of divergence has emerged in the past year. Steady and moderate growth in the U.S. economy helped sustain the stock market’s bull run another year. U.S. bonds also performed well, amid subdued inflation, interest rates that remained unexpectedly low and concerns about the economic well-being of the rest of the world. The stronger domestic economy enabled the U.S. Federal Reserve (Fed) to gradually reduce its large scale bond purchases, known as quantitative easing (QE), without disruption to the markets, as well as begin to set expectations for a transition into tightening mode.
 
The economic story outside the U.S. continues to improve. Despite the drama over Greece’s debt negotiations, the European economy appears to be stabilizing. Japan is on a moderate recovery path as it emerged from recession late last quarter. China’s economy decelerated and, despite running well above the rate of other major global economies, investors feared it looked slow by China’s standards. Some areas of concern were a surprisingly steep decline in oil prices, the U.S. dollar’s rally and an increase in geopolitical tensions, including the Russia-Ukraine crisis and terrorist attacks across the Middle East and Africa, as well as more recently in Europe.
 
While a backdrop of healthy economic growth in the U.S. and the continuation of accommodative monetary policy (with the central banks of Japan and Europe stepping in where the Fed has left off) bodes well for the markets, the global outlook has become more uncertain. Indeed, volatility is likely to feature more prominently in the investment landscape going forward. Such conditions underscore the importance of professional investment management. Experienced investment teams have weathered the market’s ups and downs in the past and emerged with a better understanding of the sensitivities of their asset class and investment style, particularly in times of turbulence. We recognize the importance of maximizing gains, while striving to minimize volatility.
 
And, the same is true for investors like you. Maintaining an appropriate time horizon, diversification and relying on practiced investment teams are among your best strategies for achieving your long-term investment objectives. Additionally, I encourage you to communicate with your financial consultant if you have 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 22, 2015
 
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Portfolio Manager’s Comments
 
Nuveen Select Maturities Municipal Fund (NIM)
 
This Fund features portfolio management by Nuveen Asset Management, LLC, an affiliate of Nuveen Investment, Inc. 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 bond market during the twelve-month reporting period ended March 31, 2015?
 
During this reporting period, the U.S. economy continued to expand at a moderate pace. The Federal Reserve (Fed) maintained 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. At its October 2014 meeting, the Fed announced that it would end its bond-buying stimulus program as of November 1, 2014, after tapering its monthly asset purchases of mortgage-backed and longer-term Treasury securities from the original $85 billion per month to $15 billion per month over the course of seven consecutive meetings (December 2013 through September 2014). In making the announcement, the Fed cited substantial improvement in the outlook for the labor market since the inception of the current asset purchase program as well as sufficient underlying strength in the broader economy to support ongoing progress toward maximum employment in a context of price stability. The Fed also 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. Additionally, the Fed stated that it would likely maintain the current target range for the fed funds rate for a considerable time after the end of the asset purchase program, especially if projected inflation continues to run below the Fed’s 2% longer run goal. However, if economic data shows faster progress, the Fed indicated that it could raise the fed funds rate sooner than expected.
 
The Fed changed its language slightly in December, indicating it would be “patient” in normalizing monetary policy. This shift helped ease investors’ worries that the Fed might raise rates too soon. However, as employment data released early in the year continued to look strong, anticipation began building that the Fed could raise its main policy rate as soon as June. As widely expected, after its March meeting, the Fed eliminated “patient” from its statement but also highlighted the policy markers’ less optimistic view of the economy’s overall health as well as downgraded their inflation projections. Many market watchers now believed that a June rate hike was likely off the table. Some analysts also began to lower their forecasts for first quarter gross domestic product (GDP) growth, particularly after the March jobs report revealed a surprising slowdown in hiring. No rate hike was expected at the Fed’s April meeting (subsequent to the close of this reporting period), as the Fed said in March it would be “unlikely.”
 
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.
 
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
 
 Nuveen Investments
 
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Portfolio Manager’s Comments (continued)
 
According to the government’s advance estimate, the U.S. economy grew at a 0.2% annualized rate in the first quarter of 2015, as measured by GDP, compared with 4.6% in the second quarter of 2014, 5.0% in the third quarter and 2.2% in the fourth quarter. The decline in real GDP growth rate from the fourth quarter of 2014 to the first quarter of 2015 primarily reflects a downturn in both state and local government spending, a decline in exports and consumer spending. These were partly offset by an upturn in federal government spending. The Consumer Price Index (CPI) fell 0.1% year-over-year as of March 2015. The core CPI (which excludes food and energy) increased 1.8% during the same period, below the Fed’s unofficial longer term inflation objective of 2.0%. As of March 31, 2015, the national unemployment rate was 5.5%, the lowest level since May 2008 and the level considered “full employment” by some Fed officials, down from the 6.6% reported in March 2014. The housing market continued to post gains, although price growth has shown signs of deceleration in recent months. The average home price in the S&P/Case-Shiller Index of 20 major metropolitan areas rose 5.0% for the twelve months ended February 2015 (most recent data available at the time this report was prepared).
 
Municipal bonds enjoyed strong performance during the twelve-month reporting period, buoyed by a backdrop of low interest rates, improving investor sentiment and favorable supply-demand dynamics. Interest rates were widely expected to rise in 2014, as the economy improved and the Fed wound down its asset purchases. However, the 10-year Treasury yield ended the year even lower than where it began. As a result, fixed income asset classes performed surprisingly well (as yields fall, prices rise, and vice versa).
 
At the same time, investors grew more confident that the Fed’s tapering would proceed at a measured pace and that the credit woes of Detroit and Puerto Rico would be contained. In addition, credit fundamentals for state and local governments were generally stabilizing, although pockets of trouble remained. California and New York showed marked improvements during 2014, whereas Illinois, New Jersey and Puerto Rico, for example, still face considerable challenges.
 
Investors’ declining risk aversion bolstered demand for higher yielding assets, including municipal bonds, which reversed the tide of outflows municipal bond funds suffered in 2013. While demand and inflows rose, supply continued to be subdued. More municipal bonds left the market than were added in 2014, a condition known as net negative issuance. Part of the reason for net negative issuance was that a significant portion of issuer activity focused on current refundings, in which a new bond is issued to replace the called bond (in contrast to an advanced refunding, where the called bond remains in the market as a pre-refunded bond).
 
These factors helped drive municipal bond yields lower and tightened yield spreads relative to Treasuries in 2014 overall. However, as the year began, market conditions turned more volatile. A series of disappointing economic data underscored the fragility of the U.S. recovery, as well as cast further uncertainty on the timing of the Fed’s first rate hike. A change in the supply-demand balance also hampered the municipal bond sector. Issuance was unusually strong in the first three months of 2015, up 64.1% compared to the same three-month period in 2014. Over the twelve months ended March 31, 2015, municipal bond issuance nationwide totaled $374.5 billion, an increase of 20.3% from the issuance for the twelve-month period ended March 31, 2014. At the same time, regulatory changes, increased risk aversion and expectations for rising interest rates and have encouraged bond dealers, typically brokers and banks, to reduce the size of their inventories in recent years. By holding smaller amounts of bonds on their books, dealers seek to mitigate their exposure to bonds that could potentially be worth less or be more difficult to sell in the future. As a result, there has been less liquidity in the marketplace, which contributed to periods of increased price volatility in early 2015. The municipal bond market also experienced some seasonal weakness in the first few months of 2015 due to tax-related selling. Finally, divergence in economic growth and central bank policies have reinforced an interest rate differential that favors demand for U.S. Treasuries, maintaining downward pressure on yields.
 
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What key strategies were used to manage NIM during the twelve-month reporting period ended March 31, 2015?
 
A backdrop of supportive technical and fundamental factors helped the municipal market rally for most of the reporting period. For the reporting period as a whole, municipal bond prices generally rose, while interest rates declined. During this time, we continued to take a bottom-up approach to discovering sectors that appeared undervalued as well as individual credits that we believed had the potential to perform well over the long term.
 
The Fund’s overall positioning remained relatively unchanged during the reporting period. Marginal differences included an increase in NIM’s allocation to toll road issues, as the Fund has continued to find attractive yield opportunities within the transportation sector. We also slightly increased NIM’s allocation to A-rated bonds while its weighting in BBB-rated bonds modestly decreased. The majority of our purchases were in the intermediate part of the yield curve, although we also bought bonds with longer maturities since NIM had the flexibility to add these bonds and still maintain 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.
 
Cash for new purchases 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, it typically has a greater number of bonds maturing or being called than funds with longer average maturity targets. In addition, the decline in municipal yields and the flattening of the municipal yield curve relative to the Treasury curve made refunding deals more attractive, and the increase in this activity provided ample cash for purchases.
 
How did NIM perform during the twelve-month reporting period ended March 31, 2015?
 
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, 2015. The Fund’s returns are compared with the performance of corresponding market indexes.
 
For the twelve months ended March 31, 2015, the total return on net asset value (NAV) for NIM was in line with the return for the S&P Municipal Bond Intermediate Index but trailed the national S&P Municipal Bond Index.
 
Key management factors that influenced the Fund’s performance included duration and yield curve positioning, credit exposure and sector allocation.
 
Given the combination of declining interest rates and a flattening yield curve during this reporting period, municipal bonds with longer maturities generally outperformed those with shorter maturities. Overall, credits with maturities of 15 years or more, especially those at the longest end of the municipal yield curve, outperformed the general municipal market, while bonds at the shortest end of the curve produced the weakest results. NIM’s duration was a little short of that of the S&P Municipal Bond Intermediate Index, with a slight overexposure to bonds with very short maturities. This detracted from the Fund’s performance for the reporting period. We continue to hold these shorter bonds in our portfolio because of the higher levels of income they produce.
 
During this reporting period, lower rated bonds generally outperformed higher quality bonds, as the municipal market rally continued and investors became more willing to accept risk. With an overweight in BBB-rated and A-rated bonds and good exposure to non-rated bonds, credit exposure was the largest positive contributor to NIM’s performance during this reporting period.
 
 Nuveen Investments
 
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Portfolio Manager’s Comments (continued)
 
Overall sector allocation was favorable to performance during the period. Gains were primarily driven by the Fund’s overweight in sectors with a higher proportion of A-rated and BBB-rated bonds, as the lower rated segments performed well during this reporting period. For example, NIM benefited from an overweight in health care bonds, a sector that includes a number of A-rated bonds and was the overall muni market’s top performing group for the reporting period. Similarly, NIM’s larger exposure to tobacco settlement bonds aided performance, due to these bonds’ longer maturities and lower credit ratings. In addition, several tobacco bond issues were strengthened following the favorable resolution of a dispute over payments by tobacco companies. As of March 31, 2015, NIM had allocations of tobacco bonds issued by California, the District of Columbia, Illinois, New Jersey, New York and Ohio. This represented an overweighting in tobacco credits relative to the index, which was helpful for NIM’s performance.
 
The Fund’s holdings in the transportation sector, and specifically in toll roads, also added to relative results. During this reporting period, toll road bonds benefited from an increase in the fees charged by toll road operators, as well as rising toll road activity, in other words, more cars traveling through more tolls, as the economy continued to strengthen and as gas prices fell. Standout performers for the Fund included bonds issued for the E-470 Public Highway (Colorado), Central Texas Regional Mobility Authority, New Jersey Economic Development Goethals Bridge Replacement Project, Ohio Turnpike Commission, Elizabeth River Crossing (Virginia), and the “New” New York Bridge, which is replacing the old Tappan Zee Bridge across the Hudson River. NIM’s position in lower rated industrial development revenue (IDR) bonds also added to performance, with particularly strong results from corporate-backed IDRs. The largest allocation in the Fund, the tax obligation segment, delivered positive performance overall. Although some of NIM’s holdings in higher rated credits underperformed, the tax obligation category is diversified across the credit quality spectrum, which resulted in outperformance in the Fund’s other selections.
 
In contrast, NIM’s exposure to pre-refunded bonds detracted from performance. Pre-refunded bonds, which are often backed by U.S. Treasury securities, were among the poorest performing market segments. The underperformance of these bonds relative to the market can be attributed primarily to their shorter effective maturities and higher credit quality.
 
We also continue to monitor ongoing economic developments in Puerto Rico for any impact on the Fund’s holdings and performance. Regarding Puerto Rico, shareholders should note that NIM’s exposure to Puerto Rico debt at the end of the reporting period was less than 1%. The Puerto Rico credits offered higher yields, added diversification and triple exemption (i.e., exemption from most federal, state and local taxes). However, Puerto Rico’s continued economic weakening, escalating debt service obligations, and long-standing inability to deliver a balanced budget led to multiple downgrades on its debt over the past two years. Puerto Rico general obligation debt is rated Caa1/CCC+/B (below investment grade) by Moody’s, S&P and Fitch, respectively, with negative outlooks.
 
On February 6, 2015, a federal court found Puerto Rico’s Recovery Act to be unconstitutional. Though the Commonwealth is pursuing an appeal of the ruling, the outcome is uncertain. Puerto Rico’s non-voting Representative in Congress recently introduced legislation that would make chapter 9 bankruptcy available to the Commonwealth’s public corporations. A congressional committee hearing was held on February 26, 2015, but the bill has not advanced out of committee.
 
In light of the evolving economic situation in Puerto Rico, Nuveen’s credit analysis of the Commonwealth had previously considered the possibility of a default and restructuring of public corporations and we adjusted our portfolios to prepare for such an outcome, although no such default or restructuring has occurred to date. The Nuveen complex’s entire exposure to obligations of the government of Puerto Rico and other Puerto Rico issuers totaled 0.37% of assets under management as of March 31, 2015. As of March 31, 2015, NIM’s limited exposure to Puerto Rico generally was invested in bonds that were insured, pre-refunded (and therefore backed by securities such as U.S. Treasuries), or tobacco settlement bonds. Overall, the small size of our exposures meant that our Puerto Rico holdings had a negligible impact on performance.
 
The second situation that we continued to monitor was the City of Detroit’s filing for chapter 9 in federal bankruptcy court in July 2013. Burdened by decades of population loss, changes in the auto manufacturing industry and significant tax base deterioration,
 
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Detroit had been under severe financial stress for an extended period prior to the filing. Before Detroit could exit bankruptcy, issues surrounding the city’s complex debt portfolio, numerous union contracts, significant legal questions and more than 100,000 creditors had to be resolved. By October 2014, all of the major creditors had reached an agreement on the city’s plan to restructure its $18.5 billion of debt and emerge from bankruptcy on November 7, 2014. The U.S. Bankruptcy Court approved the city’s bankruptcy exit plan, thereby erasing approximately $7 billion in debt. The settlement plan also provided for $1.7 billion to be reinvested in the city for improved public safety, blight removal and upgraded basic services.
 
In August 2014, Detroit announced a tender offer for the city’s water and sewer bonds, aimed at replacing some of the $5.2 billion of existing debt with lower cost bonds. Approximately $1.5 billion in existing water and sewer bonds were returned to the city by investors under the tender offer, which enabled Detroit to issue new water and sewer bonds, resulting in savings of $250 million over the life of the bonds. The city also raised about $150 million to finance sewer system improvements. As part of the deal, Detroit water and sewer bonds also were permanently removed from the city’s bankruptcy case, which led to a rally in the bonds’ price. Shareholders of NIM should note that the Fund has small exposures to insured Detroit general obligation (GO) bonds and insured Detroit water and sewer credits that total approximately 1% of its portfolio. NIM’s Detroit water and sewer credits performed well as they rallied following the positive developments described earlier. The Fund’s holdings of bonds issued for Wayne County Airport and Detroit Downtown Development Authority are not part of the city’s bankruptcy filing.
 
 Nuveen Investments
 
9

 
 

 

Share Information (Unaudited)
 
DISTRIBUTION INFORMATION
 
The following information regarding the Fund’s distributions is current as of March 31, 2015. The Fund’s distribution levels may vary over time based on its investment activity and portfolio investment value changes.
 
During the current reporting period, the Fund’s monthly distributions to shareholders were as shown in the accompanying table.
 
     
Per Share
 
Ex-Dividend Date
   
Amounts
 
April 2014
 
$
0.0285
 
May
   
0.0285
 
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 2015
   
0.0275
 
         
Ordinary Income Distribution*
 
$
0.0002
 
Market Yield**
   
3.06
%
Taxable-Equivalent Yield**
   
4.25
%
 
*
Distribution paid in December 2014.
   
**
Market Yield is based on the Fund’s current annualized monthly distribution 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.
 
The Fund seeks to pay regular monthly dividends out of its net investment income at a rate that reflects its past and projected net income performance. To permit the Fund to maintain a more stable monthly dividend, the Fund may pay dividends at a rate that may be more or less than the amount of net income actually earned by the Fund during the period. If the Fund has cumulatively earned more than it has paid in dividends, it will hold the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s net asset value. Conversely, if the Fund has cumulatively paid in dividends more than it has earned, the excess will constitute a negative UNII that will likewise be reflected in the Fund’s net asset value. The Fund will, over time, pay all its net investment income as dividends to shareholders.
 
As of March 31, 2015, the Fund had a positive UNII balance for tax purposes and a positive UNII balance for financial reporting purposes.
 
All monthly dividends paid by the Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions was sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, the Fund’s shareholders would have received a notice to that effect. For financial reporting
 
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purposes, the composition and per share amounts of the Fund’s dividends for the reporting period are presented in the Statement of Changes in Net Assets and Financial Highlights, respectively. For income tax purposes, distribution information for each Fund as of its most recent tax year end is presented in Note 6 — Income Tax Information within the Notes to Financial Statements of this report.
 
SHARE REPURCHASES
 
During August 2014, the Fund’s Board of Trustees reauthorized an 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, 2015, and since the inception of the Fund’s repurchase program, the Fund has cumulatively repurchased and retired its outstanding shares as shown in the accompanying table.
 
Shares Cumulatively Repurchased and Retired
 
0
 
Shares Authorized for Repurchase
 
1,245,000
 
 
OTHER SHARE INFORMATION
 
As of March 31, 2015, 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
 
$
10.59
 
Share Price
 
$
10.78
 
Premium/(Discount) to NAV
   
1.79
%
12-Month Average Premium/(Discount) to NAV
   
(0.68
)%
 
 Nuveen Investments
 
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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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NIM
 
 
Nuveen Select Maturities Municipal Fund
 
Performance Overview and Holding Summaries as of March 31, 2015
 
Refer to the Glossary of Terms Used in this Report for further definition of the terms used within this section.
 
Average Annual Total Returns as of March 31, 2015
 
    Average Annual  
   
1-Year
 
5-Year
 
10-Year
 
NIM at NAV
 
5.37%
 
4.42%
 
4.48%
 
NIM at Share Price
 
9.39%
 
4.43%
 
5.74%
 
S&P Municipal Bond Intermediate Index
 
5.35%
 
4.94%
 
4.96%
 
S&P Municipal Bond Index
 
6.60%
 
5.26%
 
4.84%
 
 
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. Returns at NAV are net of Fund expenses, and assume reinvestment of distributions. Comparative index return information is provided for the Fund’s shares at NAV only. Indexes are not available for direct investment.
 
 
 Nuveen Investments
 
13

 
 

 

NIM
Performance Overview and Holding Summaries as of March 31, 2015 (continued)
 
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)
 
Long-Term Municipal Bonds
96.5%
Corporate Bonds
0.0%
Short-Term Municipal Bonds
1.0%
Other Assets Less Liabilities
2.5%
Net Assets
100%

Credit Quality
 
(% of total investments)
 
AAA/U.S.Guaranteed
12.1%
AA
29.1%
A
38.7%
BBB
14.7%
BB or Lower
2.6%
N/R
2.8%
Total
100%
 
Portfolio Composition
 
(% of total investments)
 
Tax Obligation/Limited
23.1%
Health Care
14.5%
Utilities
13.7%
U.S. Guaranteed
12.9%
Tax Obligation/General
12.6%
Transportation
10.4%
Other
12.8%
Total
100%
 
States and Territories
 
(% of total municipal bonds)
 
Illinois
13.5%
Texas
10.3%
Pennsylvania
8.4%
New York
6.6%
California
6.4%
Florida
6.3%
New Jersey
5.5%
South Carolina
4.8%
Ohio
4.1%
Wisconsin
3.8%
Missouri
3.0%
Arizona
2.7%
Indiana
2.6%
Michigan
2.3%
Other
19.7%
Total
100%
 
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Report of Independent Registered Public Accounting Firm
 
To 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, 2015, and the related statements of operations, changes in net assets and the financial highlights for the year 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 audit. The statement of changes in net assets and the financial highlights for the periods presented through March 31, 2014, were audited by other auditors whose report dated May 27, 2014, expressed an unqualified opinion on that statement and those financial highlights.
 
We conducted our audit 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. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of March 31, 2015, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audit provides 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 the Fund as of March 31, 2015, the results of its operations, the changes in its net assets and the financial highlights for the year then ended, in conformity with U.S. generally accepted accounting principles.
 
/s/ KPMG LLP
Chicago, Illinois
May 28, 2015
 
 Nuveen Investments
 
15

 
 

 

NIM
   
 
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments
March 31, 2015

 
Principal
     
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
LONG-TERM INVESTMENTS – 96.5%
             
     
MUNICIPAL BONDS – 96.5%
             
     
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
 
$
180,949
 
     
Alaska – 0.1%
             
 
155
 
Alaska State, Sport Fishing Revenue Bonds, Refunding Series 2011, 5.000%, 4/01/21
 
4/20 at 100.00
A1
   
176,252
 
     
Arizona – 2.6%
             
     
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+
   
69,299
 
 
290
 
5.000%, 2/01/27
 
2/22 at 100.00
BBB+
   
324,092
 
 
55
 
Arizona Health Facilities Authority, Revenue Bonds, Scottsdale Lincoln Hospitals Project, Series 2014A, 5.000%, 12/01/24
 
No Opt. Call
A2
   
66,329
 
     
Arizona Sports and Tourism Authority, Tax Revenue Bonds, Multipurpose Stadium Facility Project, Refunding Senior Series 2012A:
             
 
425
 
5.000%, 7/01/25
 
7/22 at 100.00
A1
   
478,529
 
 
685
 
5.000%, 7/01/26
 
7/22 at 100.00
A1
   
766,070
 
 
685
 
5.000%, 7/01/27
 
7/22 at 100.00
A1
   
756,959
 
 
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
A3
   
104,457
 
     
Salt Verde Financial Corporation, Arizona, Senior Gas Revenue Bonds, Citigroup Energy Inc Prepay Contract Obligations, Series 2007:
             
 
150
 
5.000%, 12/01/17
 
No Opt. Call
A–
   
163,959
 
 
110
 
5.250%, 12/01/19
 
No Opt. Call
A–
   
126,644
 
 
35
 
5.000%, 12/01/32
 
No Opt. Call
A–
   
40,564
 
 
480
 
5.000%, 12/01/37
 
No Opt. Call
A–
   
562,142
 
 
3,075
 
Total Arizona
         
3,459,044
 
     
Arkansas – 0.6%
             
 
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–
   
515,805
 
 
315
 
North Little Rock, Arkansas, Electric Revenue Refunding Bonds, Series 1992A, 6.500%, 7/01/15 – NPFG Insured (ETM)
 
No Opt. Call
AA– (4)
   
319,968
 
 
815
 
Total Arkansas
         
835,773
 
     
California – 6.0%
             
 
300
 
Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Senior Lien Series 2013A, 5.000%, 10/01/23
 
No Opt. Call
A
   
368,649
 
 
245
 
California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West, Series 2008H, 5.125%, 7/01/22 (Pre-refunded 7/01/15)
 
7/15 at 100.00
A (4)
   
248,016
 
 
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
   
126,948
 
 
160
 
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children’s Hospital, Series 2012C, 1.450%, 8/15/23 (Mandatory put 3/15/17)
 
No Opt. Call
AA
   
162,493
 
 
500
 
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–
   
591,865
 
 
525
 
California State, General Obligation Bonds, Various Purpose Series 2010, 5.500%, 3/01/40
 
3/20 at 100.00
Aa3
   
618,167
 
 
125
 
California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda University Medical Center, Series 2014A, 5.250%, 12/01/29
 
12/24 at 100.00
BBB
   
141,216
 
 
16
 
Nuveen Investments

 
 

 
 
 
Principal
     
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
California (continued)
             
$
210
 
California Statewide Communities Development Authority, Revenue Bonds, Kaiser Permanente, Series 2009E-1, 5.000%, 4/01/44 (Mandatory put 5/01/17)
 
No Opt. Call
A+
 
$
229,209
 
 
250
 
Delano, California, Certificates of Participation, Delano Regional Medical Center, Series 2012, 5.000%, 1/01/24
 
No Opt. Call
BBB–
   
277,128
 
 
560
 
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
   
545,625
 
 
100
 
Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills Improvement Area A & C, Series 2014C, 5.000%, 9/01/32
 
9/24 at 100.00
N/R
   
114,648
 
 
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
   
391,499
 
     
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
   
265,438
 
 
250
 
5.000%, 9/01/22 – AMBAC Insured
 
9/16 at 100.00
AAA
   
265,438
 
 
500
 
5.000%, 9/01/23 – AMBAC Insured
 
9/16 at 100.00
AAA
   
530,875
 
 
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
   
254,839
 
 
2,000
 
Palomar Pomerado Health, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/25 – AGC Insured
 
No Opt. Call
AA
   
1,417,060
 
 
35
 
Riverside County Transportation Commission, California, Toll Revenue Senior Lien Bonds, Series 2013A, 5.750%, 6/01/44
 
6/23 at 100.00
BBB–
   
40,712
 
 
2,000
 
San Diego Community College District, California, General Obligation Bonds, Refunding Series 2011, 0.000%, 8/01/37
 
No Opt. Call
AA+
   
841,340
 
 
415
 
San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue Bonds, Refunding Senior Lien Series 2014A, 5.000%, 1/15/29
 
1/25 at 100.00
BBB–
   
470,245
 
 
9,210
 
Total California
         
7,901,410
 
     
Colorado – 0.9%
             
     
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2000B:
             
 
125
 
0.000%, 9/01/29 – NPFG Insured
 
No Opt. Call
AA–
   
74,681
 
 
75
 
0.000%, 9/01/33 – NPFG Insured
 
No Opt. Call
AA–
   
36,592
 
 
10
 
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2007A-1, 5.250%, 9/01/18 – NPFG Insured
 
No Opt. Call
AA–
   
11,167
 
 
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–
   
329,500
 
 
500
 
Plaza Metropolitan District 1, Lakewood, Colorado, Tax Increment Revenue Bonds, Refunding Series 2013, 5.000%, 12/01/20
 
No Opt. Call
N/R
   
539,370
 
 
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
   
230,082
 
 
1,910
 
Total Colorado
         
1,221,392
 
     
Connecticut – 0.7%
             
 
950
 
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
   
948,452
 
     
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–
   
182,453
 
     
District of Columbia – 0.4%
             
 
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–
   
126,655
 
 
295
 
District of Columbia Tobacco Settlement Corporation, Tobacco Settlement Asset-Backed Bonds, Series 2001, 6.500%, 5/15/33
 
No Opt. Call
Baa1
   
377,402
 
 
415
 
Total District of Columbia
         
504,057
 
 
Nuveen Investments
 
17

 
 

 
 
NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2015

 
Principal
     
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
Florida – 6.2%
             
$
180
 
Citizens Property Insurance Corporation, Florida, High Risk Assessment Revenue, Senior Secured Bonds, Series 2009A-1, 5.375%, 6/01/16
 
No Opt. Call
A+
 
$
190,469
 
 
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+
   
178,816
 
 
370
 
Collier County Educational Facilities Authority, Florida, Revenue Bonds, Hodges University, Series 2013, 6.000%, 11/01/33
 
11/23 at 100.00
BBB–
   
415,702
 
 
600
 
Florida Citizens Property Insurance Corporation, High Risk Account Revenue Bonds, Series 2007A, 5.000%, 3/01/16 – NPFG Insured (ETM)
 
No Opt. Call
AA– (4)
   
626,148
 
     
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+
   
55,880
 
 
455
 
5.000%, 6/01/20
 
No Opt. Call
A+
   
530,121
 
 
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–
   
663,012
 
 
520
 
Halifax Hospital Medical Center, Florida, Revenue Bonds, Series 2006, 5.250%, 6/01/26
 
6/16 at 100.00
A–
   
540,914
 
     
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
   
11,487
 
 
10
 
5.625%, 6/01/34 – AGC Insured
 
6/19 at 100.00
AA
   
11,503
 
 
750
 
North Sumter County Utility Dependent District, Florida, Utility Revenue Bonds, Series 2010, 5.000%, 10/01/20
 
No Opt. Call
A
   
849,255
 
 
270
 
Orange County School Board, Florida, Certificates of Participation, Series 2005B, 5.000%, 8/01/25 – AMBAC Insured
 
8/15 at 100.00
AA
   
274,255
 
 
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–
   
2,047,580
 
 
65
 
Palm Beach County Health Facilities Authority, Florida, Hospital Revenue Bonds, BRCH Corporation Obligated Group, Refunding Series 2014, 5.000%, 12/01/31
 
12/24 at 100.00
BBB
   
73,877
 
 
90
 
Port Everglades Authority, Florida, Port Facilities Revenue Bonds, Series 1986, 7.125%, 11/01/16 (ETM)
 
No Opt. Call
Aaa
   
96,181
 
 
720
 
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
   
785,650
 
     
Tampa, Florida, Cigarette Tax Allocation Bonds, H. Lee Moffitt Cancer Center Project, Refunding & Capital Improvement Series 2012A:
             
 
120
 
5.000%, 9/01/22
 
No Opt. Call
A+
   
142,213
 
 
350
 
5.000%, 9/01/23
 
9/22 at 100.00
A+
   
409,752
 
 
185
 
5.000%, 9/01/25
 
9/22 at 100.00
A+
   
216,948
 
 
7,505
 
Total Florida
         
8,119,763
 
     
Georgia – 1.0%
             
 
270
 
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)
   
304,830
 
 
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
   
1,057,383
 
 
1,170
 
Total Georgia
         
1,362,213
 
     
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–
   
162,848
 
     
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+
   
224,028
 
     
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+
   
101,261
 
 
18
 
Nuveen Investments

 
 

 
 
 
Principal
 
 
 
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
Illinois – 13.2%
             
$
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
 
$
1,547,190
 
 
325
 
Cook County, Illinois, General Obligation Bonds, Refunding Series 2012C, 5.000%, 11/15/21
 
No Opt. Call
AA
   
378,424
 
 
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
   
2,154,080
 
 
455
 
Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2012, 5.000%, 9/01/27
 
9/22 at 100.00
BBB
   
493,302
 
 
125
 
Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2014A, 4.625%, 9/01/39
 
9/24 at 100.00
BBB
   
126,856
 
 
245
 
Illinois Finance Authority, Revenue Bonds, Northwest Community Hospital, Series 2008A, 5.500%, 7/01/38
 
7/18 at 100.00
A+
   
270,703
 
 
655
 
Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Series 2007A, 5.750%, 11/15/37
 
11/17 at 100.00
A
   
718,483
 
 
250
 
Illinois Finance Authority, Revenue Bonds, Roosevelt University, Series 2007, 5.250%, 4/01/22
 
4/17 at 100.00
Baa3
   
259,435
 
     
Illinois State, General Obligation Bonds, February Series 2014:
             
 
370
 
5.000%, 2/01/25
 
2/24 at 100.00
A–
   
417,031
 
 
325
 
5.000%, 2/01/26
 
2/24 at 100.00
A–
   
361,202
 
 
290
 
Illinois State, General Obligation Bonds, Refunding Series 2007B, 5.000%, 1/01/16
 
No Opt. Call
A–
   
299,332
 
 
425
 
Illinois State, General Obligation Bonds, Refunding Series 2008, 4.250%, 4/01/16
 
No Opt. Call
A–
   
439,858
 
     
Illinois State, General Obligation Bonds, Refunding Series 2012:
             
 
390
 
5.000%, 8/01/20
 
No Opt. Call
A–
   
434,912
 
 
325
 
5.000%, 8/01/21
 
No Opt. Call
A–
   
365,736
 
 
1,000
 
5.000%, 8/01/22
 
No Opt. Call
A–
   
1,132,740
 
 
275
 
5.000%, 8/01/23
 
No Opt. Call
A–
   
313,013
 
     
Illinois State, General Obligation Bonds, Series 2006A:
             
 
15
 
5.000%, 6/01/24
 
12/16 at 100.00
A–
   
15,744
 
 
10
 
5.000%, 6/01/27
 
12/16 at 100.00
A–
   
10,375
 
 
230
 
Illinois State, General Obligation Bonds, Series 2006, 5.000%, 1/01/17
 
1/16 at 100.00
A–
   
236,767
 
 
25
 
Illinois State, General Obligation Bonds, Series 2007A, 5.500%, 6/01/15
 
No Opt. Call
A–
   
25,207
 
 
300
 
Illinois State, General Obligation Bonds, Series 2012A, 4.000%, 1/01/20
 
No Opt. Call
A–
   
318,507
 
     
Illinois State, General Obligation Bonds, Series 2013:
             
 
280
 
5.500%, 7/01/25
 
7/23 at 100.00
A–
   
322,412
 
 
240
 
5.500%, 7/01/26
 
7/23 at 100.00
A–
   
275,422
 
 
1,380
 
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
   
1,296,234
 
 
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
   
740,690
 
     
Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds, Series 2010:
             
 
715
 
5.000%, 6/01/19
 
No Opt. Call
A
   
810,996
 
 
1,000
 
5.250%, 6/01/21
 
No Opt. Call
A
   
1,181,240
 
 
60
 
6.250%, 6/01/24
 
6/16 at 100.00
A
   
64,114
 
 
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
   
799,078
 
 
500
 
Sterling, Whiteside County, Illinois, General Obligation Bonds, Alternate Revenue Source, Series 2012, 4.000%, 11/01/22
 
No Opt. Call
A+
   
557,470
 
 
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
   
397,589
 
 
570
 
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
   
643,764
 
 
16,335
 
Total Illinois
         
17,407,906
 
     
Indiana – 2.6%
             
 
190
 
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–
   
194,077
 
 
 Nuveen Investments
 
19

 
 

 
 
NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2015

 
Principal
     
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
Indiana (continued)
             
$
250
 
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
 
$
267,165
 
 
175
 
Indiana Finance Authority, Tax-Exempt Private Activity Revenue Bonds, I-69 Section 5 Project, Series 2014, 5.250%, 9/01/34 (Alternative Minimum Tax)
 
9/24 at 100.00
BBB
   
196,102
 
 
1,010
 
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)
   
1,014,080
 
 
140
 
Indianapolis, Indiana, Thermal Energy System Revenue Bonds, Refunding First Lien Series 2014A, 5.000%, 10/01/31
 
10/24 at 100.00
A
   
161,122
 
 
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–
   
291,317
 
 
250
 
Lake County Building Corporation, Indiana, First Mortgage Bonds, Series 2012, 4.750%, 2/01/21
 
No Opt. Call
N/R
   
263,140
 
 
250
 
Vanderburgh County, Indiana, Redevelopment District Tax Increment Revenue bonds, Refunding Series 2014, 5.000%, 2/01/29
 
8/24 at 100.00
A
   
287,355
 
 
715
 
Whiting, Indiana, Environmental Facilities Revenue Bonds, BP Products North America Inc. Project, Series 2008, 1.850%, 6/01/44 (Mandatory put 10/01/19)
 
No Opt. Call
A
   
719,597
 
 
3,235
 
Total Indiana
         
3,393,955
 
     
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
   
557,570
 
 
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–
   
364,008
 
 
835
 
Total Iowa
         
921,578
 
     
Kansas – 0.2%
             
 
100
 
Wyandotte County/Kansas City Unified Government Board of Public Utilities, Kansas, Utility System Revenue Bonds, Refunding & Improvement Series 2014A, 5.000%, 9/01/22
 
No Opt. Call
A+
   
119,641
 
 
145
 
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–
   
104,774
 
 
245
 
Total Kansas
         
224,415
 
     
Kentucky – 1.3%
             
 
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
   
376,173
 
 
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
   
419,173
 
 
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
   
392,693
 
 
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–
   
151,439
 
 
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
   
323,539
 
 
1,545
 
Total Kentucky
         
1,663,017
 
     
Louisiana – 0.9%
             
 
210
 
De Soto Parrish, Louisiana, Pollution Control Revenue Bonds, Southwestern Electric Power Company Project, Refunding Series 2010, 1.600%, 1/01/19
 
No Opt. Call
BBB
   
209,588
 
 
55
 
Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006B, 5.000%, 6/01/23 – AMBAC Insured
 
6/16 at 100.00
A–
   
57,609
 
     
Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006-C1:
             
 
155
 
5.875%, 6/01/23
 
6/18 at 100.00
AA
   
176,745
 
 
10
 
6.000%, 6/01/24
 
6/18 at 100.00
AA
   
11,462
 
 
260
 
Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project, Series 2007A, 5.250%, 5/15/38
 
5/17 at 100.00
Baa1
   
272,862
 
 
20
 
Nuveen Investments

 
 

 
 
 
Principal
     
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
Louisiana (continued)
             
$
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
 
$
421,290
 
 
1,075
 
Total Louisiana
         
1,149,556
 
     
Maine – 0.0%
             
 
35
 
Portland, Maine, General Airport Revenue Bonds, Refunding Series 2013, 5.000%, 7/01/22
 
No Opt. Call
BBB+
   
40,630
 
     
Massachusetts – 1.6%
             
 
500
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.000%, 10/01/19
 
10/17 at 100.00
N/R
   
522,315
 
 
225
 
Massachusetts Development Finance Agency, Revenue Bonds, Roxbury Latin School, Series 2014A, 3.250%, 7/01/33
 
7/25 at 100.00
AA–
   
221,951
 
     
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A:
             
 
100
 
5.200%, 1/01/20 – AMBAC Insured (Alternative Minimum Tax)
 
5/15 at 100.00
N/R
   
100,151
 
 
470
 
5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
 
7/15 at 100.00
N/R
   
470,113
 
 
550
 
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)
   
559,840
 
     
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A:
             
 
100
 
5.000%, 8/15/18 – AMBAC Insured
 
8/17 at 100.00
AA+
   
110,536
 
 
60
 
5.000%, 8/15/20 – AMBAC Insured
 
8/17 at 100.00
AA+
   
66,121
 
 
2,005
 
Total Massachusetts
         
2,051,027
 
     
Michigan – 1.5%
             
 
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
   
237,112
 
 
155
 
Detroit, Michigan, General Obligation Bonds, Series 2001A-1, 5.375%, 4/01/18
 
10/15 at 100.00
A3
   
155,126
 
 
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–
   
50,253
 
 
150
 
Detroit, Michigan, Senior Lien Sewerage Disposal System Revenue Bonds, Series 2001B, 5.500%, 7/01/29 – FGIC Insured
 
No Opt. Call
AA–
   
174,962
 
 
845
 
Michigan Finance Authority, Detroit, Michigan, Local Government Loan Program, Unlimited Tax General Obligation Bonds, Series 2014G-2A, 5.375%, 4/01/18
 
10/15 at 100.00
A–
   
845,684
 
 
500
 
Wayne County Airport Authority, Michigan, Revenue Bonds, Detroit Metropolitan Airport, Refunding Series 2010C, 5.000%, 12/01/16
 
No Opt. Call
A
   
535,180
 
 
2,100
 
Total Michigan
         
1,998,317
 
     
Mississippi – 0.2%
             
 
250
 
Warren County, Mississippi, Gulf Opportunity Zone Revenue Bonds, International Paper Company, Series 2006A, 4.800%, 8/01/30
 
5/15 at 100.00
BBB
   
249,985
 
     
Missouri – 2.9%
             
 
25
 
Jackson County, Missouri, Special Obligation Bonds, Harry S. Truman Sports Complex, Series 2006, 5.000%, 12/01/24 (Pre-refunded 12/01/16) – AMBAC Insured
 
12/16 at 100.00
Aa3 (4)
   
26,867
 
     
Jackson County, Missouri, Special Obligation Bonds, Harry S. Truman Sports Complex, Series 2006:
             
 
295
 
4.500%, 12/01/25 (Pre-refunded 12/01/16) – AMBAC Insured
 
12/16 at 100.00
Aa3 (4)
   
314,582
 
 
325
 
5.000%, 12/01/26 (Pre-refunded 12/01/16) – AMBAC Insured
 
12/16 at 100.00
Aa3 (4)
   
349,268
 
 
430
 
5.000%, 12/01/27 (Pre-refunded 12/01/16) – AMBAC Insured
 
12/16 at 100.00
Aa3 (4)
   
462,108
 
 
270
 
5.000%, 12/01/28 (Pre-refunded 12/01/16) – AMBAC Insured
 
12/16 at 100.00
Aa3 (4)
   
290,161
 
 
705
 
4.500%, 12/01/31 (Pre-refunded 12/01/16) – AMBAC Insured
 
12/16 at 100.00
Aa3 (4)
   
751,798
 
 
25
 
Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, Branson Landing Project, Series 2005A, 4.750%, 6/01/25 (Pre-refunded 6/01/15)
 
6/15 at 100.00
A (4)
   
25,191
 
 
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+
   
110,520
 
 
260
 
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)
   
303,251
 
 
 Nuveen Investments
 
21

 
 

 
 
NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2015

 
Principal
     
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
Missouri (continued)
             
$
1,070
 
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series 2005, 5.500%, 7/01/19 – NPFG Insured
 
No Opt. Call
AA–
 
$
1,240,291
 
 
3,505
 
Total Missouri
         
3,874,037
 
     
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
   
269,352
 
 
150
 
University of Montana, Revenue Bonds, Series 1996D, 5.375%, 5/15/19 – NPFG Insured (ETM)
 
5/15 at 100.00
AA– (4)
   
166,001
 
 
410
 
Total Montana
         
435,353
 
     
Nebraska – 0.1%
             
 
35
 
Douglas County Hospital Authority 2, Nebraska, Hospital Revenue Bonds, Madonna Rehabilitation Hospital Project, Series 2014, 4.000%, 5/15/33
 
5/24 at 100.00
BBB+
   
35,467
 
 
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–
   
112,435
 
 
135
 
Total Nebraska
         
147,902
 
     
Nevada – 2.1%
             
 
1,325
 
Clark County, Nevada, Airport Revenue Bonds, Subordinate Lien Series 2010B, 5.750%, 7/01/42
 
1/20 at 100.00
A+
   
1,559,565
 
 
250
 
Las Vegas Redevelopment Agency, Nevada, Tax Increment Revenue Bonds, Series 2009A, 8.000%, 6/15/30
 
6/19 at 100.00
BBB
   
290,473
 
 
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
   
54,347
 
 
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
   
902,782
 
 
2,400
 
Total Nevada
         
2,807,167
 
     
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)
   
607,980
 
     
New Jersey – 5.3%
             
 
130
 
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
   
131,318
 
     
New Jersey Economic Development Authority, Cigarette Tax Revenue Bonds, Series 2004:
             
 
70
 
5.375%, 6/15/15 – RAAI Insured (ETM)
 
No Opt. Call
Aaa
   
70,753
 
 
120
 
5.500%, 6/15/16 – RAAI Insured (ETM)
 
No Opt. Call
Aaa
   
127,537
 
     
New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012:
             
 
150
 
4.000%, 6/15/19
 
No Opt. Call
BBB+
   
162,774
 
 
280
 
5.000%, 6/15/20
 
No Opt. Call
BBB+
   
320,104
 
 
150
 
5.000%, 6/15/21
 
No Opt. Call
BBB+
   
172,571
 
 
335
 
5.000%, 6/15/22
 
No Opt. Call
BBB+
   
388,704
 
 
350
 
5.000%, 6/15/23
 
6/22 at 100.00
BBB+
   
403,260
 
 
210
 
5.000%, 6/15/24
 
6/22 at 100.00
BBB+
   
239,507
 
 
500
 
5.000%, 6/15/25
 
6/22 at 100.00
BBB+
   
566,555
 
 
150
 
5.000%, 6/15/26
 
6/22 at 100.00
BBB+
   
168,816
 
 
100
 
4.250%, 6/15/27
 
6/22 at 100.00
BBB+
   
105,507
 
 
300
 
5.000%, 6/15/28
 
No Opt. Call
BBB+
   
332,619
 
 
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–
   
248,035
 
 
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
A2
   
54,301
 
 
1,665
 
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital Appreciation Series 2010A, 0.000%, 12/15/33
 
No Opt. Call
A2
   
695,071
 
 
1,515
 
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D, 5.000%, 12/15/23
 
No Opt. Call
A2
   
1,724,949
 
 
22
 
Nuveen Investments

 
 

 
 
 
Principal
     
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
New Jersey (continued)
             
$
320
 
New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/19
 
No Opt. Call
A+
 
$
363,571
 
 
170
 
Salem County Pollution Control Financing Authority, New Jersey, Pollution Control Revenue Bonds, Chambers Project, Refunding Series 2014A, 5.000%, 12/01/23 (Alternative Minimum Tax)
 
No Opt. Call
BBB
   
194,307
 
 
250
 
South Jersey Port Corporation, New Jersey, Marine Terminal Revenue Refunding Bonds, Series 2012Q, 3.000%, 1/01/22
 
No Opt. Call
A2
   
260,720
 
     
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2007-1A:
             
 
200
 
4.500%, 6/01/23
 
6/17 at 100.00
BB
   
200,644
 
 
100
 
4.625%, 6/01/26
 
6/17 at 100.00
B+
   
96,235
 
 
7,335
 
Total New Jersey
         
7,027,858
 
     
New Mexico – 1.0%
             
 
715
 
Farmington, New Mexico, Pollution Control Revenue Refunding Bonds, Southern California Edison Company, Four Corners Project, Series 2005B, 1.875%, 4/01/29 (Mandatory put 4/01/20) (WI/DD, Settling 4/01/15)
 
No Opt. Call
Aa3
   
714,242
 
 
490
 
New Mexico Municipal Energy Acquisition Authority, Gas Supply Revenue Bonds, Refunding Sub-Series 2014A, 5.000%, 11/01/39 (Mandatory put 8/01/19)
 
8/19 at 100.00
Aa3
   
558,801
 
 
1,205
 
Total New Mexico
         
1,273,043
 
     
New York – 6.5%
             
 
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–
   
258,229
 
 
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
   
916,308
 
 
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
   
484,106
 
     
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2000A:
             
 
195
 
0.000%, 6/01/22 – AGM Insured
 
No Opt. Call
AA
   
168,147
 
 
55
 
0.000%, 6/01/24 – AGM Insured
 
No Opt. Call
AA
   
43,775
 
     
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
   
150,594
 
 
220
 
5.000%, 12/01/26 – SYNCORA GTY Insured
 
6/16 at 100.00
A–
   
230,226
 
     
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
   
26,191
 
 
200
 
5.000%, 12/01/35
 
6/16 at 100.00
A–
   
209,312
 
 
400
 
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006C, 5.000%, 9/01/35
 
9/16 at 100.00
A–
   
422,076
 
 
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–
   
426,923
 
     
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006E:
             
 
205
 
5.000%, 12/01/17 – FGIC Insured
 
12/16 at 100.00
AA–
   
219,969
 
 
460
 
5.000%, 12/01/18 – NPFG Insured
 
12/16 at 100.00
AA–
   
493,194
 
 
10
 
4.000%, 12/01/18 – NPFG Insured
 
No Opt. Call
AA–
   
10,414
 
 
210
 
5.000%, 12/01/21 – FGIC Insured
 
12/16 at 100.00
AA–
   
224,427
 
 
220
 
5.000%, 12/01/22 – FGIC Insured
 
12/16 at 100.00
AA–
   
234,696
 
 
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–
   
202,939
 
 
1,475
 
New York State Thruway Authority, General Revenue Junior Indebtedness Obligations, Series 2013A, 5.000%, 5/01/19
 
No Opt. Call
A–
   
1,688,506
 
     
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
   
393,714
 
 
565
 
5.000%, 6/01/18
 
No Opt. Call
AA
   
635,105
 
 
 Nuveen Investments
 
23

 
 

 

NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2015

 
Principal
     
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
New York (continued)
             
     
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and State Contingency Contract-Backed Bonds, Series 2013B:
             
$
100
 
5.000%, 6/01/20
 
6/15 at 100.00
AA
 
$
100,801
 
 
260
 
5.000%, 6/01/21
 
6/16 at 100.00
AA
   
274,235
 
 
220
 
5.000%, 6/01/22
 
6/17 at 100.00
AA
   
240,343
 
 
400
 
Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, Refunding Series 2013B, 5.000%, 11/15/21
 
No Opt. Call
AA–
   
484,676
 
 
7,725
 
Total New York
         
8,538,906
 
     
North Dakota – 0.7%
             
     
Burleigh County, North Dakota, Health Care Revenue Bonds, Saint Alexius Medical Center Project, Series 2014A:
             
 
200
 
5.000%, 7/01/29
 
7/21 at 100.00
BBB+
   
219,702
 
 
650
 
5.000%, 7/01/31
 
7/21 at 100.00
BBB+
   
711,724
 
 
850
 
Total North Dakota
         
931,426
 
     
Ohio – 4.0%
             
 
80
 
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
A1
   
86,058
 
 
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–
   
1,133,895
 
 
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
   
519,725
 
 
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
   
281,243
 
     
New Albany Community Authority, Ohio, Community Facilities Revenue Refunding Bonds, Series 2012C:
             
 
25
 
4.000%, 10/01/18
 
No Opt. Call
A1
   
27,021
 
 
30
 
4.000%, 10/01/19
 
No Opt. Call
A1
   
32,813
 
 
40
 
4.000%, 10/01/20
 
No Opt. Call
A1
   
44,114
 
 
45
 
5.000%, 10/01/21
 
No Opt. Call
A1
   
52,452
 
 
35
 
5.000%, 10/01/22
 
No Opt. Call
A1
   
41,212
 
 
175
 
Ohio Air Quality Development Authority, Ohio, Pollution Control Revenue Refunding Bonds, FirstEnergy Generation Corp. Project, Series 2006A, 3.750%, 12/01/23 (Mandatory put 12/03/18)
 
No Opt. Call
BBB–
   
185,106
 
 
100
 
Ohio Air Quality Development Authority, Ohio, Pollution Control Revenue Refunding Bonds, FirstEnergy Generation Corp. Project, Series 2009B, 3.100%, 3/01/23 (Mandatory put 3/01/19)
 
No Opt. Call
BBB–
   
103,036
 
 
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+
   
1,676,260
 
 
1,000
 
Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004B, 4.500%, 12/01/15
 
No Opt. Call
A
   
1,023,820
 
 
5,585
 
Total Ohio
         
5,206,755
 
     
Oklahoma – 0.8%
             
 
1,000
 
Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%, 7/01/27 (Pre-refunded 7/01/15) – AMBAC Insured
 
7/15 at 100.00
AA (4)
   
1,012,130
 
     
Pennsylvania – 8.2%
             
 
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–
   
954,448
 
 
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+
   
102,230
 
 
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
   
208,972
 
 
10
 
Montgomery County Higher Education and Health Authority, Pennsylvania, Hospital Revenue Bonds, Abington Memorial Hospital Obligated Group, Series 2009A, 5.000%, 6/01/17
 
No Opt. Call
A
   
10,872
 
 
24
 
Nuveen Investments

 
 

 
 
 
Principal
     
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
Pennsylvania (continued)
             
$
210
 
Pennsylvania Economic Development Financing Authority, Health System Revenue Bonds , Albert Einstein Healthcare, Series 2009A, 6.250%, 10/15/23
 
10/19 at 100.00
Baa2
 
$
245,299
 
 
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
   
607,565
 
 
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
   
307,060
 
 
230
 
Pennsylvania Economic Development Financing Authority, Private Activity Revenue Bonds, Pennsylvania Rapid Bridge Replacement Project, Series 2015, 5.000%, 12/31/25 (Alternative Minimum Tax)
 
No Opt. Call
BBB
   
267,396
 
 
225
 
Pennsylvania Economic Development Financing Authority, Unemployment Compensation Revenue Bonds, Series 2012B, 5.000%, 1/01/22
 
7/17 at 100.00
Aaa
   
246,596
 
 
180
 
Pennsylvania Higher Educational Facilities Authority, College Revenue Bonds, Ninth Series 1976, 7.625%, 7/01/15 (ETM)
 
No Opt. Call
Aaa
   
183,344
 
 
225
 
Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, University of the Arts, Series 1999, 5.150%, 3/15/20 – RAAI Insured (ETM)
 
5/15 at 100.00
N/R (4)
   
247,795
 
 
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
   
130,531
 
 
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–
   
619,498
 
 
4,120
 
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Eighteenth Series 2004, 5.000%, 8/01/15 – AMBAC Insured
 
5/15 at 100.00
A–
   
4,135,574
 
 
1,020
 
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Twelfth Series 1990B, 7.000%, 5/15/20 – NPFG Insured (ETM)
 
No Opt. Call
AA– (4)
   
1,177,549
 
 
885
 
St. Mary Hospital Authority, Pennsylvania, Health System Revenue Bonds, Catholic Health East, Series 2009D, 6.250%, 11/15/34
 
5/19 at 100.00
AA
   
1,033,476
 
 
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+
   
377,104
 
 
10,125
 
Total Pennsylvania
         
10,855,309
 
     
Puerto Rico – 0.4%
             
 
20
 
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 0.000%, 7/01/19 – AMBAC Insured
 
No Opt. Call
B
   
15,973
 
 
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–
   
458,060
 
 
520
 
Total Puerto Rico
         
474,033
 
     
Rhode Island – 0.2%
             
 
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
   
221,706
 
     
South Carolina – 4.7%
             
 
515
 
Greenville County School District, South Carolina, Installment Purchase Revenue Bonds, Series 2006, 5.000%, 12/01/24
 
12/16 at 100.00
AA
   
552,162
 
 
1,540
 
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%, 1/01/19 – FGIC Insured (ETM)
 
No Opt. Call
A3 (4)
   
1,853,390
 
 
3,035
 
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%, 1/01/19 – FGIC Insured
 
No Opt. Call
A3
   
3,611,680
 
 
150
 
South Carolina Public Service Authority, Revenue Bonds, Santee Cooper Electric System, Series 2005C, 4.750%, 1/01/24 (Pre-refunded 7/01/15) – NPFG Insured
 
7/15 at 100.00
AA– (4)
   
151,710
 
 
5,240
 
Total South Carolina
         
6,168,942
 
 
 Nuveen Investments
 
25

 
 

 
 
NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2015

 
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+
 
$
1,056,900
 
     
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
   
111,463
 
 
180
 
5.000%, 1/01/23
 
No Opt. Call
A
   
214,807
 
 
280
 
Total Tennessee
         
326,270
 
     
Texas – 10.0%
             
 
545
 
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
   
551,349
 
     
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+
   
141,114
 
 
15
 
5.000%, 5/01/24 – SYNCORA GTY Insured
 
5/17 at 100.00
A+
   
16,273
 
 
40
 
5.000%, 5/01/25 – SYNCORA GTY Insured
 
5/17 at 100.00
A+
   
43,324
 
 
10
 
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding Series 2010, 5.875%, 5/01/40
 
5/20 at 100.00
A+
   
11,655
 
 
135
 
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Series 2006, 4.500%, 5/01/25 – NPFG Insured
 
5/16 at 100.00
AA–
   
140,538
 
     
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Refunding Bonds, Series 2009:
             
 
35
 
5.000%, 5/01/29
 
5/19 at 100.00
A+
   
38,802
 
 
135
 
5.000%, 5/01/39
 
5/19 at 100.00
A+
   
147,906
 
 
25
 
Brazos River Authority, Texas, Collateralized Pollution Control Revenue Bonds, Texas Utilities Electric Company, Series 2003D, 5.400%, 10/01/29 (Mandatory put 10/01/15) (5)
 
10/15 at 100.00
N/R
   
1,125
 
 
525
 
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2011, 6.250%, 1/01/46
 
1/21 at 100.00
BBB
   
617,195
 
 
1,875
 
Denton Independent School District, Denton County, Texas, General Obligation Bonds, Series 2006, 5.000%, 8/15/20 (Pre-refunded 8/15/16)
 
8/16 at 100.00
AAA
   
1,995,600
 
 
155
 
Harris County-Houston Sports Authority, Texas, Revenue Bonds, Refunding Second Lien Series 2014C, 5.000%, 11/15/24
 
No Opt. Call
A3
   
183,765
 
 
395
 
Harris County-Houston Sports Authority, Texas, Revenue Bonds, Refunding Senior Lien Series 2014A, 5.000%, 11/15/26 – AGM Insured
 
11/24 at 100.00
AA
   
471,571
 
 
35
 
Houston, Texas, Airport System Special Facilities Revenue Bonds, United Airlines, Inc. Terminal E Project, Refunding Series 2014, 5.000%, 7/01/29
 
7/24 at 100.00
B+
   
37,907
 
 
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
   
1,060,410
 
 
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
   
374,245
 
 
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
   
305,466
 
 
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
   
219,338
 
     
McCamey County Hospital District, Texas, General Obligation Bonds, Series 2013:
             
 
100
 
5.000%, 12/01/25
 
No Opt. Call
Baa2
   
109,986
 
 
100
 
5.250%, 12/01/28
 
12/25 at 100.00
Baa2
   
111,544
 
     
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
Aa2
   
472,472
 
 
380
 
5.000%, 8/15/25
 
8/22 at 100.00
Aa2
   
445,090
 
 
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+
   
894,975
 
     
North Texas Tollway Authority, Special Projects System Revenue Bonds, Series 2011A:
             
 
100
 
0.000%, 9/01/43
 
9/31 at 100.00
AA+
   
94,045
 
 
490
 
0.000%, 9/01/45
 
9/31 at 100.00
AA+
   
506,150
 
 
26
 
Nuveen Investments

 
 

 
 
 
Principal
     
Optional Call
         
 
Amount (000)
 
Description (1)
 
Provisions (2)
Ratings (3)
   
Value
 
     
Texas (continued)
             
$
455
 
North Texas Tollway Authority, System Revenue Bonds, Refunding First Tier, Series 2014A, 5.000%, 1/01/23
 
No Opt. Call
A2
 
$
547,461
 
 
2,170
 
North Texas Tollway Authority, System Revenue Bonds, Refunding Second Tier, Series 2008F, 5.750%, 1/01/38
 
1/18 at 100.00
A3
   
2,397,047
 
 
665
 
Texas Municipal Gas Acquisition and Supply Corporation I, Gas Supply Revenue Bonds, Series 2006B, 0.731%, 12/15/17
 
5/15 at 100.00
A–
   
665,352
 
 
110
 
Texas Municipal Gas Acquisition and Supply Corporation III, Gas Supply Revenue Bonds, Series 2012, 5.000%, 12/15/32
 
No Opt. Call
A3
   
121,288
 
 
465