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, 2016

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
8
   
Risk Considerations
10
   
Performance Overview and Holding Summaries
11
   
Report of Independent Registered Public Accounting Firm
13
   
Portfolio of Investments
14
   
Statement of Assets and Liabilities
28
   
Statement of Operations
29
   
Statement of Changes in Net Assets
30
   
Financial Highlights
32
   
Notes to Financial Statements
34
   
Additional Fund Information
41
   
Glossary of Terms Used in this Report
42
   
Reinvest Automatically, Easily and Conveniently
43
   
Board Members & Officers
44

Nuveen Investments
 
3

Chairman's Letter to Shareholders
Dear Shareholders,
The financial markets saw an increase in volatility over the past year. Global economic growth has continued to look fragile, led by China's ongoing slowdown and stagnant growth in Europe and Japan. By contrast, the U.S. economy's modest recovery stayed on pace. However, concerns about downside risks to U.S. economic growth were heightened in early 2016 amid a weak global growth outlook and churning stock markets. In addition to the challenging economic backdrop, the persistent decline of oil prices and a rally in the U.S. dollar dampened U.S. corporate earnings growth, further contributing to an uncertain outlook.
For most of 2015, the U.S. Federal Reserve postponed the first increase to its main policy interest rate, which tended to boost risky assets and weigh on longer-term bond yields at points throughout the year. However, volatility rose in the late spring amid Greece's turbulent negotiations with its European Union creditors. China's stock market declined amid worries about its decelerating economy and a loss of confidence in its policy makers. Conditions turned more favorable in the fall, as the Fed delayed its rate hike again in October, the European Central Bank appeared poised for further easing and China administered another round of stimulus measures. By the time the Fed announced the rate hike in December, the move was widely expected and had very little market impact.
Although volatility spiked in early 2016, conditions have generally improved since mid-February 2016. Global growth expectations remain subdued, but investors have gained more confidence that the Fed's interest rate increases will be gradual, oil prices appear more stable, the U.S. dollar has weakened and the U.S. economy continues to look fairly resilient. Consumer spending, which represents roughly two-thirds of the economy, continues to be supported by the meaningful improvement in the labor market, wage growth and cheaper gas prices.
The global markets may continue seeing bouts of market turbulence this year. While short-term volatility can be uncomfortable for investors, these periods can also provide opportunities. The experienced investment professionals working for you at Nuveen continue to seek upside potential and manage downside risks, whether markets are rising or falling. We also encourage you to contact your financial advisor, who can help you develop a plan to weather short-term price swings, while remaining consistent with your investment goals, time horizon and risk tolerance.
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.
Sincerely,
William J. Schneider
Chairman of the Board
May 23, 2016

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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, Inc. Portfolio manager Paul L. Brennan, CFA, reviews U.S. economic and municipal market conditions, key investment strategies and the twelvemonth 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, 2016?
Over the twelve-month period, U.S. economic data continued to point to subdued growth, rising employment and tame inflation. Economic activity has continued to hover around a 2% annualized growth rate since the end of the Great Recession in 2009, as measured by real gross domestic product (GDP), which is the value of the goods and services produced by the nation's economy less the value of the goods and services used up in production, adjusted for price changes. For the first quarter of 2016, real GDP increased at an annual rate of 0.5%, as reported by the "advance" estimate of the Bureau of Economic Analysis, down from 1.4% in the fourth quarter of 2015.
The labor and housing markets were among the bright spots in the economy during the reporting period, as both showed steady improvement. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 5.0% in March 2016 from 5.5% in March 2015, and job gains averaged slightly above 200,000 per month for the past twelve months. The S&P/Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, recorded a 5.3% annual gain in February 2016 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over-year increases of 4.6% and 5.4%, respectively.
Consumers, whose purchases comprise the largest component of the U.S. economy, benefited from lower gasoline prices. Pessimism about the economy's future and lackluster wage growth likely contributed to consumers' somewhat muted spending. Lower energy prices and tepid wage growth also weighed on inflation during this reporting period. The Consumer Price Index CPI rose 0.9% over the twelve-month period ended March 2016 on a seasonally adjusted basis, as reported by the U.S. Bureau of Labor Statistics. The core CPI (which excludes food and energy) increased 2.2% during the same period, slightly above the Fed's unofficial longer term inflation objective of 2.0%.
Business investment was also rather restrained. Corporate earnings growth slowed during 2015, reflecting an array of factors ranging from weakening demand amid sluggish U.S. and global growth to the impact of falling commodity prices and a strong U.S. dollar. Energy, materials and industrials companies were hit particularly hard by the downturn in natural resource prices, as well as
 
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
 
5



Portfolio Manager's Comments (continued)
the expectation of rising interest rates, which would make their debts more costly to service. With demand waning, companies, especially in the health care and technology sectors, looked to consolidations with rivals as a way to boost revenues. Merger and acquisition deals, both in the U.S. and globally, reached record levels in the calendar year 2015.
With the current expansion on solid footing, the U.S. Federal Reserve (Fed) prepared to raise one of its main interest rates, which had been held near zero since December 2008 to help stimulate the economy. After delaying the rate change for most of 2015 because of a weak global economic growth outlook, the Fed announced in December 2015 that it would raise the fed funds target rate by 0.25%. The news was widely expected and therefore had a relatively muted impact on the financial markets.
Although the Fed continued to emphasize future rate increases would be gradual, investors worried about the pace. This, along with uncertainties about the global macroeconomic backdrop, another downdraft in oil prices and a spike in stock market volatility triggered significant losses across risky assets and fueled demand for "safe haven" assets such as Treasury bonds and gold from January through mid-February. However, fear began to subside in March, propelling risky assets higher. The Fed held the rate steady at both the January and March policy meetings, as well as lowered its expectations to two rate increases in 2016 from four. Also boosting investor confidence were reassuring statements from the European Central Bank, some positive economic data in the U.S. and abroad, a retreat in the U.S. dollar and an oil price rally.
In the broad municipal bond market, yields ended the twelve-month reporting period slightly below where they started, although their downward path was not a straight line. For most of the period, the generally improved condition of the U.S. economy and expectation of rising interest rates propelled municipal bond yields higher. However, after the Fed's first rate hike, subsequent rate hikes seemed unlikely in the near future as the pace of the U.S. economic recovery remained below average and weakness lingered abroad, especially in Europe and China. This helped renew demand for municipal bonds, bolstering prices and weighing on yields (as bond prices and yields move in opposite directions) in the final months of the reporting period.
The municipal market's supply-demand balance was generally favorable over this reporting period. Issuance was unusually strong at the beginning of 2015, fueling concerns about potential oversupply conditions. Over the twelve months ended March 31, 2016, municipal bond gross issuance nationwide totaled $384.7 billion, an increase of 1.1% from the issuance for the twelve-month period ended March 31, 2015. The uptick in gross issuance is due mostly to increased refunding deals as issuers have been actively and aggressively refunding their outstanding debt given the very low interest rate environment. In these transactions the issuers are issuing new bonds and taking the bond proceeds and redeeming (calling) old bonds. These refunding transactions have ranged from 40%-60% of total issuance over the past few years. Thus, the net issuance (all bonds issued less bonds redeemed) is actually much lower than the gross issuance. In fact, the total municipal bonds outstanding has actually declined in each of the past four calendar years. So, the gross is surging, but the net is not and this has been an overall positive technical factor on municipal bond investment performance.
At the same time, regulatory changes, increased risk aversion and expectations for rising interest rates have encouraged bond dealers, typically brokers and banks, to reduce the size of their inventories in recent years. By holding fewer bonds on their books, dealers seek to mitigate their exposure that could potentially be worth less or be more difficult to sell in the future. Banks have reduced their participation in the markets in order to hold fewer bonds on their balance sheets. As a result, there has been less liquidity in the marketplace, which contributed to periods of increased price volatility.
What key strategies were used to manage NIM during the twelve-month reporting period ended March 31, 2016?
Despite recent bouts of heightened volatility, generally favorable market conditions supported a modest gain in the broad municipal market for the reporting period overall. Our trading activity continued to focus on pursuing the Fund's investment objectives. We continued to seek bonds in areas of the market that we expected to perform well as the economy continued to improve. The Fund's positioning emphasized intermediate and longer maturities, lower-rated credits and sectors offering higher yields. To fund these purchases, we generally reinvested the proceeds from called and maturing bonds. In some cases, we sold bonds that we believed had deteriorating fundamentals or could be traded for a better relative value, as well as selling short-dated, higher quality issues that we tend to hold over short timeframes as a source of liquidity.

6
 
Nuveen Investments



We've also continued to be more cautious in selecting individual securities. As investor demand for municipal securities has increased and created a slight supply-demand imbalance, we've started to see underwriters bring new issues to market that are structured with terms more favorable to the issuer and perhaps less advantageous to the investor than in the recent past. We believe this shift in the marketplace merits extra vigilance on our part to ensure that every credit considered for the portfolio offers adequate reward potential for the level of risk to the bondholder. In cases where our convictions have been less certain, we've sought compensation for the additional risk or have passed on the deal all together.
NIM's overall positioning remained relatively unchanged during the reporting period, except for small increases in the U.S.-guaranteed and transportation sectors. Although the Fund did buy some pre-refunded bonds during this reporting period, the shift was more attributable to the robust advance refunding activity that occurred in the first half of this reporting period, rather than a tactical decision on our part. As a result, the Fund's allocation to AAA rated bonds rose (as pre-refunded bonds are escrowed with U.S. Treasuries), while its A rated weighting decreased (as most of the Fund's called bonds in this reporting period carried single A credit ratings). The Fund's transportation weighting also increased over this reporting period. Toll roads and airports have continued to benefit from improving fundamentals in the economic recovery. Airline and road travel have increased, while airports and toll roads tend to be critical assets with few competitors. Additionally, the Fund's allocation to BBB rated credits rose over the reporting period, as we found attractive opportunities among lower rated bonds. Notable additions included a newly issued bond for Central Texas Regional Mobility Turnpike and some secondary market purchases in Ochsner Clinic (Louisiana) credits and District of Columbia tobacco securitization bonds.
Selling activity was muted in this reporting period, with cash for new purchases generated mainly from maturing and called bonds. 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. Also during this reporting period, the Fund sold its remaining Puerto Rico bonds. This exposure included small positions in an insured bond and a (non-governmental) private university bond that totaled less than 1% of the portfolio overall prior to the sale.
How did NIM perform during the twelve-month reporting period ended March 31, 2016?
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, 2016. The Fund's returns are compared with the performance of corresponding market indexes.
For the twelve months ended March 31, 2016, the total return on net asset value (NAV) for NIM underperformed both the S&P Municipal Bond Intermediate Index and the national S&P Municipal Bond Index.
The Fund's duration and yield curve positioning was a slight detractor from relative performance over the reporting period, but outperformance from credit rating and sector allocations helped offset the relative loss. The Fund's duration was slightly shorter than the S&P Municipal Bond Intermediate Index, which was disadvantageous during the reporting period's yield curve flattening. As yields on longer-dated bonds fell, NIM's exposure to the longer end of the yield curve contributed positively. However, the short end of the yield curve saw rising yields, which was detrimental to returns because of the Fund's slight overweight in shorter-maturity credits.
The Fund's emphasis on lower rated bonds was a positive contributor to relative outperformance during this reporting period. The Fund's overweight to A and BBB rated credits was especially beneficial, while exposure to below investment grade bonds was mildly positive for returns. Sector allocation aided relative performance, with strong results from the Fund's health care, tobacco, transportation and utilities sectors, as well as favorable credit selection in local general obligation bonds. The gains were slightly tempered by the Fund's exposure to pre-refunded bonds, a group which lagged during this reporting period due to its high credit quality and short maturities.

Nuveen Investments
 
7



Share Information
DISTRIBUTION INFORMATION
The following information regarding the Fund's distributions is current as of March 31, 2016. 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 distributions to shareholders were as shown in the accompanying table.

     
Per Share
 
Monthly Distributions (Ex-Dividend Date)
   
Amounts
 
April 2015
 
$
0.0275
 
May
   
0.0275
 
June
   
0.0275
 
July
   
0.0275
 
August
   
0.0275
 
September
   
0.0260
 
October
   
0.0260
 
November
   
0.0260
 
December
   
0.0260
 
January
   
0.0260
 
February
   
0.0260
 
March 2016
   
0.0260
 
Total Monthly Per Share Distributions
 
$
0.3195
 
Ordinary Income Distribution*
 
$
0.0092
 
Total Distributions from Net Investment Income
 
$
0.3287
 
Yields
       
Market Yield**
   
2.95
%
Taxable-Equivalent Yield**
   
4.10
%

*
Distribution paid in December 2015.
   
**
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, 2016, the Fund had a positive UNII balance for tax purposes and a positive UNII balance for financial reporting purposes.

8
 
Nuveen Investments



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 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 2015, 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, 2016, 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, 2016, 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
 
$
10.64
 
Share price
 
$
10.57
 
Premium/(Discount) to NAV
   
(0.66
)%
12-month average premium/(discount) to NAV
   
(2.73
)%

Nuveen Investments
 
9



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.
Nuveen Select Maturities Municipal Fund (NIM)
Investing in closed-end funds involves risk; principal loss is possible. There is no guarantee the Fund's investment objectives will be achieved. Closed-end fund shares may frequently trade at a discount or premium to their net asset value. Debt or fixed income securities such as those held by the Fund, are subject to market risk, credit risk, interest rate risk, derivatives risk, liquidity risk, and income risk. As interest rates rise, bond prices fall. These and other risk considerations such as tax risk are described in more detail on the Fund's web page at www.nuveen.com/NIM.

10
 
Nuveen Investments



NIM
 
 
Nuveen Select Maturities Municipal Fund
 
Performance Overview and Holding Summaries as of March 31, 2016
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, 2016

   
Average Annual
   
1-Year
 
5-Year
 
10-Year
 
NIM at NAV
 
3.66%
 
4.73%
 
4.44%
 
NIM at Share Price
 
1.24%
 
5.09%
 
4.65%
 
S&P Municipal Bond Intermediate Index
 
4.04%
 
5.09%
 
5.03%
 
S&P Municipal Bond Index
 
3.95%
 
5.78%
 
4.78%
 
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
 
11


NIM
Performance Overview and Holding Summaries as of March 31, 2016
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
98.3%
Corporate Bonds
0.0%
Short-Term Municipal Bonds
0.7%
Other Assets Less Liabilities
1.0%
Net Assets
100%

Credit Quality
(% of total investments)
 
AAA/U.S. Guaranteed
16.4%
AA
27.1%
A
32.1%
BBB
18.9%
BB or Lower
3.4%
N/R (not rated)
2.1%
Total
100%

Portfolio Composition
(% of total investments)
 
Tax Obligation/Limited
20.7%
Transportation
15.0%
U.S. Guaranteed
14.5%
Tax Obligation/General
12.9%
Utilities
12.6%
Health Care
12.6%
Other
11.7%
Total
100%

States and Territories
(% of total municipal bonds)
 
Illinois
15.4%
Texas
11.3%
California
6.8%
New Jersey
6.2%
Pennsylvania
5.8%
New York
5.6%
Florida
4.7%
South Carolina
4.4%
Wisconsin
3.7%
Ohio
3.5%
Arizona
3.0%
Washington
2.7%
Indiana
2.6%
Louisiana
2.5%
Missouri
2.4%
Other
19.4%
Total
100%

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Nuveen Investments



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, 2016, and the related statement of operations for the year then ended and the statements of changes in net assets and the financial highlights for each of the years in the two-year period then ended. 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 those financial highlights. 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 audits 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, 2016, 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 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 the Fund as of March 31, 2016, the results of its operations for the year then ended and the changes in its net assets and the financial highlights for each of the years in the two-year period then ended, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP
Chicago, Illinois
May 25, 2016

Nuveen Investments
 
13


 

NIM
   
 
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments
March 31, 2016

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
LONG-TERM INVESTMENTS – 98.3%
           
     
MUNICIPAL BONDS – 98.3%
           
     
Alabama – 0.2%
           
$
125
 
Mobile Spring Hill College Educational Building Authority, Alabama, Revenue Bonds, Spring Hill College Project, Series 2015, 5.000%, 4/15/27
4/25 at 100.00
 
N/R
$
125,629
 
 
75
 
Montgomery Medical Clinic Board, Alabama, Health Care Facility Revenue Bonds, Jackson Hospital & Clinic, Series 2015, 4.000%, 3/01/36
3/26 at 100.00
 
BBB
 
76,073
 
 
200
 
Total Alabama
       
201,702
 
     
Alaska – 0.1%
           
 
155
 
Alaska State, Sport Fishing Revenue Bonds, Refunding Series 2011, 5.000%, 4/01/21
4/20 at 100.00
 
A1
 
174,956
 
     
Arizona – 3.0%
           
     
Arizona Health Facilities Authority, Hospital System Revenue Bonds, Phoenix Children's Hospital, Refunding Series 2012A:
           
 
255
 
5.000%, 2/01/20
No Opt. Call
 
BBB+
 
289,634
 
 
290
 
5.000%, 2/01/27
2/22 at 100.00
 
BBB+
 
326,279
 
 
70
 
Arizona Health Facilities Authority, Revenue Bonds, Scottsdale Lincoln Hospitals Project, Series 2014A, 5.000%, 12/01/24
No Opt. Call
 
A2
 
86,642
 
     
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
 
483,348
 
 
685
 
5.000%, 7/01/26
7/22 at 100.00
 
A1
 
774,187
 
 
685
 
5.000%, 7/01/27
7/22 at 100.00
 
A1
 
769,371
 
 
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
 
105,594
 
     
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
 
BBB+
 
159,158
 
 
135
 
5.250%, 12/01/19
No Opt. Call
 
BBB+
 
151,922
 
 
95
 
5.000%, 12/01/32
No Opt. Call
 
BBB+
 
114,619
 
 
575
 
5.000%, 12/01/37
No Opt. Call
 
BBB+
 
705,203
 
 
3,465
 
Total Arizona
       
3,965,957
 
     
Arkansas – 0.4%
           
 
525
 
Independence County, Arkansas, Pollution Control Revenue Bonds, Arkansas Power and Light Company Project, Series 2013, 2.375%, 1/01/21
No Opt. Call
 
A2
 
549,119
 
     
California – 6.8%
           
 
300
 
Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Senior Lien Series 2013A, 5.000%, 10/01/23
No Opt. Call
 
A
 
372,057
 
 
125
 
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Series 2008A, 1.450%, 8/15/33 (Pre-refunded 3/15/17)
3/17 at 100.00
 
AA (4)
 
125,979
 
 
145
 
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard Children's Hospital, Series 2008C, 1.450%, 8/15/23 (Pre-refunded 3/15/17)
3/17 at 100.00
 
AA (4)
 
146,135
 
 
105
 
California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Refunding Series 2015B-2, 3.125%, 11/01/40 (Mandatory put 11/03/25) (Alternative Minimum Tax)
No Opt. Call
 
A–
 
110,196
 
 
290
 
California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Waste Management Inc., Series 2015A-1, 3.375%, 7/01/25 (Alternative Minimum Tax)
No Opt. Call
 
A–
 
311,428
 
 
205
 
California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Waste Management, Inc. Project, Refunding Series 2015B-1, 3.000%, 11/01/25 (Alternative Minimum Tax)
No Opt. Call
 
A–
 
213,809
 

14
 
Nuveen Investments



 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
California (continued)
           
$
525
 
California State, General Obligation Bonds, Various Purpose Series 2010, 5.500%, 3/01/40
3/20 at 100.00
 
AA–
$
608,711
 
 
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
 
BB+
 
142,680
 
 
260
 
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+
 
271,879
 
 
250
 
Delano, California, Certificates of Participation, Delano Regional Medical Center, Series 2012, 5.000%, 1/01/24
No Opt. Call
 
BBB–
 
279,608
 
 
710
 
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+
 
718,747
 
 
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
 
112,115
 
 
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
 
382,440
 
     
Moulton Niguel Water District, California, Certificates of Participation, Refunding Series 2003:
           
 
250
 
5.000%, 9/01/21 (Pre-refunded 9/01/16) – AMBAC Insured
9/16 at 100.00
 
AAA
 
254,800
 
 
250
 
5.000%, 9/01/22 (Pre-refunded 9/01/16) – AMBAC Insured
9/16 at 100.00
 
AAA
 
254,800
 
 
500
 
5.000%, 9/01/23 (Pre-refunded 9/01/16) – AMBAC Insured
9/16 at 100.00
 
AAA
 
509,600
 
 
1,000
 
Mount San Antonio Community College District, Los Angeles County, California, General Obligation Bonds, Election of 2008, Series 2013A, 0.000%, 8/01/28 (6)
2/28 at 100.00
 
AA
 
922,710
 
 
2,000
 
Palomar Pomerado Health, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/25 – AGC Insured
No Opt. Call
 
AA
 
1,525,320
 
 
35
 
Riverside County Transportation Commission, California, Toll Revenue Senior Lien Bonds, Series 2013A, 5.750%, 6/01/44
6/23 at 100.00
 
BBB–
 
40,649
 
 
2,000
 
San Diego Community College District, California, General Obligation Bonds, Refunding Series 2011, 0.000%, 8/01/37
No Opt. Call
 
AA+
 
937,180
 
 
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–
 
466,572
 
 
215
 
Washington Township Health Care District, California, Revenue Bonds, Refunding Series 2015A, 5.000%, 7/01/25
No Opt. Call
 
Baa1
 
255,426
 
 
10,170
 
Total California
       
8,962,841
 
     
Colorado – 1.1%
           
     
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2000B:
           
 
300
 
0.000%, 9/01/29 – NPFG Insured
No Opt. Call
 
AA–
 
192,996
 
 
245
 
0.000%, 9/01/33 – NPFG Insured
No Opt. Call
 
AA–
 
132,626
 
 
10
 
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2007A-1, 5.250%, 9/01/18 – NPFG Insured
No Opt. Call
 
AA–
 
10,918
 
 
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–
 
351,850
 
 
500
 
Plaza Metropolitan District 1, Lakewood, Colorado, Tax Increment Revenue Bonds, Refunding Series 2013, 5.000%, 12/01/20
No Opt. Call
 
N/R
 
540,835
 
 
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
 
BBB+
 
231,914
 
 
2,255
 
Total Colorado
       
1,461,139
 
     
Connecticut – 0.7%
           
 
900
 
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
 
900,990
 
     
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
 
185,968
 

Nuveen Investments
 
15


NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2016

 
Principal
Amount (000)
 
Description (1)
Optional Call Provisions (2)
 
Ratings (3)
 
Value
 
     
District of Columbia – 1.0%
           
$
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
 
BB+
$
122,471
 
 
990
 
District of Columbia Tobacco Settlement Corporation, Tobacco Settlement Asset-Backed Bonds, Series 2001, 6.500%, 5/15/33
No Opt. Call
 
Baa1
 
1,240,916
 
 
1,110
 
Total District of Columbia
       
1,363,387
 
     
Florida – 4.7%
           
     
Citizens Property Insurance Corporation, Florida, Coastal Account Senior Secured Bonds, Series 2015A-1:
           
 
545
 
5.000%, 6/01/22
12/21 at 100.00
 
AA–
 
646,893
 
 
365
 
5.000%, 6/01/25
12/24 at 100.00
 
AA–
 
449,527
 
 
190
 
Citizens Property Insurance Corporation, Florida, High Risk Assessment Revenue, Senior Secured Bonds, Series 2009A-1, 5.375%, 6/01/16
No Opt. Call
 
A+
 
191,579
 
 
195
 
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
 
AA–
 
211,983
 
     
Citizens Property Insurance Corporation, Florida, Personal and Commercial Lines Account Bonds, Senior Secured Series 2012A-1:
           
 
50
 
5.000%, 6/01/18
No Opt. Call
 
AA–
 
54,355
 
 
455
 
5.000%, 6/01/20
No Opt. Call
 
AA–
 
523,286
 
 
370
 
Collier County Educational Facilities Authority, Florida, Revenue Bonds, Hodges University, Series 2013, 6.000%, 11/01/33
11/23 at 100.00
 
BBB–
 
415,336
 
 
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–
 
638,310
 
     
Halifax Hospital Medical Center, Daytona Beach, Florida, Hospital Revenue Bonds, Series 2006:
           
 
370
 
5.250%, 6/01/26 (Pre-refunded 6/01/16)
6/16 at 100.00
 
N/R (4)
 
372,942
 
 
150
 
5.250%, 6/01/26 (Pre-refunded 6/01/16)
6/16 at 100.00
 
A– (4)
 
151,209
 
     
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
 
11,283
 
 
10
 
5.625%, 6/01/34 – AGC Insured
6/19 at 100.00
 
AA
 
11,261
 
 
750
 
North Sumter County Utility Dependent District, Florida, Utility Revenue Bonds, Series 2010, 5.000%, 10/01/20
No Opt. Call
 
A
 
824,460
 
 
75
 
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+
 
85,785
 
 
45
 
Port Everglades Authority, Florida, Port Facilities Revenue Bonds, Series 1986, 7.125%, 11/01/16 (ETM)
No Opt. Call
 
Aaa
 
46,600
 
 
720
 
South Miami Health Facilities Authority, Florida, Hospital Revenue, Baptist Health System Obligation Group, Refunding Series 2007, 5.000%, 8/15/27
8/17 at 100.00
 
AA
 
758,974
 
     
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+
 
142,928
 
 
350
 
5.000%, 9/01/23
9/22 at 100.00
 
A+
 
412,850
 
 
185
 
5.000%, 9/01/25
9/22 at 100.00
 
A+
 
218,507
 
 
5,555
 
Total Florida
       
6,168,068
 
     
Georgia – 1.0%
           
 
240
 
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)
 
269,438
 
 
900
 
Private Colleges and Universities Authority, Georgia, Revenue Bonds, Mercer University, Refunding Series 2012C, 5.250%, 10/01/23
10/22 at 100.00
 
Baa2
 
1,063,620
 
 
1,140
 
Total Georgia
       
1,333,058
 

16
 
Nuveen Investments



 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
Guam – 0.3%
           
$
140
 
Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2013, 5.500%, 7/01/43
7/23 at 100.00
 
A–
$
162,054
 
 
150
 
Guam International Airport Authority, Revenue Bonds, Series 2013C, 6.375%, 10/01/43 (Alternative Minimum Tax)
10/23 at 100.00
 
BBB
 
177,309
 
 
290
 
Total Guam
       
339,363
 
     
Hawaii – 0.5%
           
 
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+
 
223,528
 
 
10
 
Hawaii Department of Budget and Finance, Special Purpose Revenue Bonds, Queens Health Systems, Series 2015A, 5.000%, 7/01/29
7/25 at 100.00
 
AA–
 
12,229
 
 
400
 
HAWAIIAN ELECTRIC COMPANY INC. and Its Subsidiaries, Special Purpose Revenue Bonds, Department of Budget and Finance of the State of Hawaii, Series 2015, 3.250%, 1/01/25 (Alternative Minimum Tax)
No Opt. Call
 
A–
 
416,400
 
 
610
 
Total Hawaii
       
652,157
 
     
Illinois – 15.3%
           
 
310
 
Chicago Board of Education, Illinois, General Obligation Bonds, Dedicated Revenues, Refunding Series 2010F, 5.000%, 12/01/17
No Opt. Call
 
B+
 
294,708
 
 
500
 
Chicago Board of Education, Illinois, General Obligation Bonds, Dedicated Revenues, Series 2016A, 7.000%, 12/01/44
12/25 at 100.00
 
B+
 
457,010
 
 
300
 
Chicago, Illinois, General Airport Revenue Bonds, O'Hare International Airport, Senior Lien Refunding Series 2015A, 5.000%, 1/01/33 (Alternative Minimum Tax)
1/25 at 100.00
 
A
 
339,201
 
     
Chicago, Illinois, General Obligation Bonds, Refunding Series 2016C:
           
 
150
 
5.000%, 1/01/22
No Opt. Call
 
BBB+
 
156,609
 
 
200
 
5.000%, 1/01/23
No Opt. Call
 
BBB+
 
207,758
 
 
225
 
5.000%, 1/01/24
No Opt. Call
 
BBB+
 
230,942
 
 
115
 
5.000%, 1/01/25
No Opt. Call
 
BBB+
 
116,128
 
 
55
 
5.000%, 1/01/26
No Opt. Call
 
BBB+
 
54,661
 
 
325
 
Cook County, Illinois, General Obligation Bonds, Refunding Series 2012C, 5.000%, 11/15/21
No Opt. Call
 
AA
 
366,545
 
 
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
 
2,071,818
 
 
440
 
Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Refunding Senior Lien Series 2016A, 5.000%, 12/01/31
1/26 at 100.00
 
AA–
 
530,411
 
 
450
 
Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Senior Lien Series 2015B, 5.000%, 1/01/37
1/26 at 100.00
 
AA–
 
525,987
 
 
625
 
Illinois Finance Authority, Gas Supply Refunding Revenue Bonds, The Peoples Gas Light and Coke Company Project, Series 2010B, 1.875%, 2/01/33 (Mandatory put 8/01/20)
No Opt. Call
 
Aa3
 
632,944
 
 
455
 
Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2012, 5.000%, 9/01/27
9/22 at 100.00
 
BBB
 
502,111
 
 
470
 
Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2014A, 4.625%, 9/01/39
9/24 at 100.00
 
BBB
 
498,040
 
 
275
 
Illinois Finance Authority, Revenue Bonds, Northwest Community Hospital, Series 2008A, 5.500%, 7/01/38
7/18 at 100.00
 
A+
 
296,632
 
 
890
 
Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Series 2007A, 5.750%, 11/15/37 (Pre-refunded 11/15/17)
11/17 at 100.00
 
A (4)
 
960,630
 
 
250
 
Illinois Finance Authority, Revenue Bonds, Roosevelt University, Series 2007, 5.250%, 4/01/22
4/17 at 100.00
 
Baa3
 
255,925
 
      Illinois State, General Obligation Bonds, February Series 2014:            
 
370
 
5.000%, 2/01/25
2/24 at 100.00
 
A–
 
412,953
 
 
325
 
5.000%, 2/01/26
2/24 at 100.00
 
A–
 
360,068
 
 
445
 
Illinois State, General Obligation Bonds, Refunding Series 2008, 4.250%, 4/01/16
No Opt. Call
 
A–
 
445,000
 

Nuveen Investments
 
17



NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2016

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
Illinois (continued)
           
     
Illinois State, General Obligation Bonds, Refunding Series 2012:
           
$
390
 
5.000%, 8/01/20
No Opt. Call
 
A–
$
432,296
 
 
335
 
5.000%, 8/01/21
No Opt. Call
 
A–
 
372,168
 
 
1,000
 
5.000%, 8/01/22
No Opt. Call
 
A–
 
1,119,700
 
 
290
 
5.000%, 8/01/23
No Opt. Call
 
A–
 
326,494
 
     
Illinois State, General Obligation Bonds, Series 2006A:
           
 
25
 
5.000%, 6/01/24
12/16 at 100.00
 
A–
 
25,583
 
 
10
 
5.000%, 6/01/27
12/16 at 100.00
 
A–
 
10,211
 
 
230
 
Illinois State, General Obligation Bonds, Series 2006, 5.000%, 1/01/17
1/17 at 100.00
 
A–
 
231,325
 
 
300
 
Illinois State, General Obligation Bonds, Series 2012A, 4.000%, 1/01/20
No Opt. Call
 
A–
 
317,772
 
     
Illinois State, General Obligation Bonds, Series 2013:
           
 
280
 
5.500%, 7/01/25
7/23 at 100.00
 
A–
 
318,450
 
 
240
 
5.500%, 7/01/26
7/23 at 100.00
 
A–
 
272,294
 
 
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
 
1,320,660
 
 
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
 
757,090
 
     
Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds, Series 2010:
           
 
720
 
5.000%, 6/01/19
No Opt. Call
 
A
 
800,870
 
 
1,000
 
5.250%, 6/01/21
No Opt. Call
 
A
 
1,174,940
 
 
60
 
6.250%, 6/01/24
6/16 at 100.00
 
A
 
60,578
 
 
580
 
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
 
643,307
 
     
Southwestern Illinois Development Authority, Health Facility Revenue Bonds, Memorial Group, Inc., Series 2013:
           
 
50
 
7.250%, 11/01/33
11/23 at 100.00
 
AA
 
69,178
 
 
45
 
7.250%, 11/01/36
11/23 at 100.00
 
AA
 
61,698
 
 
200
 
7.625%, 11/01/48
11/23 at 100.00
 
AA
 
275,732
 
     
Springfield, Illinois, Electric Revenue Bonds, Senior Lien Series 2015:
           
 
230
 
5.000%, 3/01/33
3/25 at 100.00
 
A
 
265,556
 
 
145
 
5.000%, 3/01/34 – AGM Insured
3/25 at 100.00
 
AA
 
166,804
 
 
500
 
Sterling, Whiteside County, Illinois, General Obligation Bonds, Alternate Revenue Source, Series 2012, 4.000%, 11/01/22
No Opt. Call
 
A+
 
564,840
 
 
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
 
385,899
 
 
515
 
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
 
580,930
 
 
19,055
 
Total Illinois
       
20,270,456
 
     
Indiana – 2.6%
           
 
165
 
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
 
B–
 
161,634
 
 
425
 
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+
 
436,496
 
 
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
 
200,587
 
 
140
 
Indianapolis, Indiana, Thermal Energy System Revenue Bonds, Refunding First Lien Series 2014A, 5.000%, 10/01/31
10/24 at 100.00
 
A
 
164,311
 
 
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–
 
285,404
 
 
250
 
Lake County Building Corporation, Indiana, First Mortgage Bonds, Series 2012, 4.750%, 2/01/21
No Opt. Call
 
N/R
 
265,370
 

18
 
Nuveen Investments



 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
Indiana (continued)
           
$
250
 
Vanderburgh County, Indiana, Redevelopment District Tax Increment Revenue bonds, Refunding Series 2014, 5.000%, 2/01/29
8/24 at 100.00
 
A
$
294,205
 
 
865
 
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
 
A2
 
868,780
 
 
600
 
Whiting, Indiana, Environmental Facilities Revenue Bonds, BP Products North America Inc. Project, Series 2015, 5.000%, 11/01/45 (Mandatory put 11/01/22) (Alternative Minimum Tax)
No Opt. Call
 
A2
 
699,000
 
 
3,125
 
Total Indiana
       
3,375,787
 
     
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
 
558,625
 
 
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–
 
346,072
 
 
835
 
Total Iowa
       
904,697
 
     
Kansas – 0.1%
           
 
100
 
Wyandotte County/Kansas City Unified Government, Kansas, Utility System Revenue Bonds, Refunding & Improvement Series 2014A, 5.000%, 9/01/22
No Opt. Call
 
A+
 
120,586
 
 
45
 
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–
 
33,957
 
 
145
 
Total Kansas
       
154,543
 
     
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
 
376,250
 
 
500
 
Kentucky Public Transportation Infrastructure Authority, First Tier Toll Revenue Bonds, Downtown Crossing Project, Series 2013A, 5.000%, 7/01/17
No Opt. Call
 
Baa3
 
522,790
 
 
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
 
392,231
 
 
200
 
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
 
201,492
 
 
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
 
321,962
 
 
1,710
 
Total Kentucky
       
1,814,725
 
     
Louisiana – 2.5%
           
 
240
 
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
 
241,003
 
 
60
 
Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006B, 5.000%, 6/01/23 (Pre-refunded 6/01/16) – AMBAC Insured
6/16 at 100.00
 
A1 (4)
 
60,456
 
     
Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006-C1:
           
 
155
 
5.875%, 6/01/23
6/18 at 100.00
 
AA
 
170,895
 
 
10
 
6.000%, 6/01/24
6/18 at 100.00
 
AA
 
11,060
 
 
660
 
Louisiana Public Facilities Authority, Revenue Bonds, Entergy Louisiana, LLC Project, Refunding Series 2016B, 3.500%, 6/01/30
6/21 at 100.00
 
A2
 
671,220
 
 
475
 
Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project, Series 2007A, 5.250%, 5/15/38
5/17 at 100.00
 
Baa1
 
493,007
 
 
210
 
Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project, Series 2007A, 5.250%, 5/15/38 (Pre-refunded 5/15/17)
5/17 at 100.00
 
N/R (4)
 
220,889
 

Nuveen Investments
 
19



NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2016

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
Louisiana (continued)
           
     
Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project, Series 2015:
           
$
350
 
5.000%, 5/15/22
No Opt. Call
 
Baa1
$
407,484
 
 
200
 
5.000%, 5/15/24
No Opt. Call
 
Baa1
 
237,924
 
 
110
 
New Orleans, Louisiana, General Obligation Bonds, Refunding Series 2015, 5.000%, 12/01/25
No Opt. Call
 
A+
 
136,010
 
 
100
 
New Orleans, Louisiana, Sewerage Service Revenue Bonds, Series 2015, 5.000%, 6/01/32
6/25 at 100.00
 
A
 
116,794
 
 
525
 
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
 
573,122
 
 
3,095
 
Total Louisiana
       
3,339,864
 
     
Maine – 0.0%
           
 
35
 
Portland, Maine, General Airport Revenue Bonds, Refunding Series 2013, 5.000%, 7/01/22
No Opt. Call
 
BBB+
 
40,416
 
     
Massachusetts – 1.2%
           
 
200
 
Massachusetts Development Finance Agency Revenue Bonds, Lawrence General Hospital Issue, Series 2014A, 5.000%, 7/01/27
7/24 at 100.00
 
BBB–
 
219,674
 
 
500
 
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007, 5.000%, 10/01/19
10/17 at 100.00
 
N/R
 
516,200
 
 
100
 
Massachusetts Development Finance Agency, Revenue Bonds, Roxbury Latin School, Series 2014A, 3.250%, 7/01/33
7/25 at 100.00
 
AA–
 
103,708
 
     
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A:
           
 
100
 
5.200%, 1/01/20 – AMBAC Insured (Alternative Minimum Tax)
1/20 at 100.00
 
N/R
 
100,386
 
 
470
 
5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
7/16 at 100.00
 
N/R
 
471,814
 
     
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A:
           
 
100
 
5.000%, 8/15/18 (Pre-refunded 8/15/17) – AMBAC Insured
8/17 at 100.00
 
AA+ (4)
 
105,926
 
 
70
 
5.000%, 8/15/20 (Pre-refunded 8/15/17) – AMBAC Insured
8/17 at 100.00
 
AA+ (4)
 
74,148
 
 
1,540
 
Total Massachusetts
       
1,591,856
 
     
Michigan – 2.2%
           
 
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
 
266,884
 
 
155
 
Detroit, Michigan, General Obligation Bonds, Series 2001A-1, 5.375%,
4/01/18 – NPFG Insured
4/18 at 100.00
 
A3
 
155,384
 
 
150
 
Detroit, Michigan, Senior Lien Sewerage Disposal System Revenue Bonds, Series 2001B, 5.500%, 7/01/29 – FGIC Insured
No Opt. Call
 
AA–
 
189,617
 
 
845
 
Michigan Finance Authority, Detroit, Michigan, Local Government Loan Program, Unlimited Tax General Obligation Bonds, Series 2014G-2A, 5.375%,
4/01/18 – NPFG Insured
4/18 at 100.00
 
AA–
 
847,096
 
 
150
 
Michigan Finance Authority, Local Government Loan Program Revenue Bonds, Detroit Water & Sewerage Department Sewage Disposal System Local Project, Second Lien Series 2015C, 5.000%, 7/01/34
7/25 at 100.00
 
BBB+
 
172,241
 
 
500
 
Wayne County Airport Authority, Michigan, Revenue Bonds, Detroit Metropolitan Airport, Refunding Series 2010C, 5.000%, 12/01/16
No Opt. Call
 
A
 
514,345
 
 
705
 
Wayne County Airport Authority, Michigan, Revenue Bonds, Detroit Metropolitan Wayne County Airport, Refunding Series 2015F, 5.000%, 12/01/33 (Alternative Minimum Tax)
12/25 at 100.00
 
A
 
792,293
 
 
2,905
 
Total Michigan
       
2,937,860
 
     
Missouri – 2.4%
           
     
Jackson County, Missouri, Special Obligation Bonds, Harry S. Truman Sports Complex, Series 2006:
           
 
595
 
5.000%, 12/01/26 (Pre-refunded 12/01/16) – AMBAC Insured
12/16 at 100.00
 
Aa3 (4)
 
612,933
 
 
515
 
5.000%, 12/01/27 (Pre-refunded 12/01/16) – AMBAC Insured
12/16 at 100.00
 
Aa3 (4)
 
530,522
 
 
355
 
5.000%, 12/01/28 (Pre-refunded 12/01/16) – AMBAC Insured
12/16 at 100.00
 
Aa3 (4)
 
365,700
 

20
 
Nuveen Investments



 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
Missouri (continued)
           
$
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+
$
112,024
 
 
30
 
Missouri Health and Educational Facilities Authority, Educational Facilities Revenue Bonds, Saint Louis College of Pharmacy, Series 2015B, 4.000%, 5/01/32
11/23 at 100.00
 
BBB+
 
30,769
 
 
1,070
 
Saint Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series 2005, 5.500%, 7/01/19 – NPFG Insured
No Opt. Call
 
AA–
 
1,218,409
 
 
235
 
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)
 
267,700
 
 
2,900
 
Total Missouri
       
3,138,057
 
     
Montana – 0.4%
           
 
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
 
270,514
 
 
190
 
University of Montana, Revenue Bonds, Series 1996D, 5.375%, 5/15/19 – NPFG Insured (ETM)
No Opt. Call
 
AA– (4)
 
202,633
 
 
450
 
Total Montana
       
473,147
 
     
Nebraska – 0.1%
           
 
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–
 
114,505
 
     
Nevada – 2.2%
           
 
1,470
 
Clark County, Nevada, Airport Revenue Bonds, Subordinate Lien Series 2010B, 5.750%, 7/01/42
1/20 at 100.00
 
A+
 
1,697,527
 
 
250
 
Las Vegas Redevelopment Agency, Nevada, Tax Increment Revenue Bonds, Series 2009A, 8.000%, 6/15/30
6/19 at 100.00
 
BBB+
 
287,765
 
 
50
 
Las Vegas, Nevada, Local Improvement Bonds, Special Improvement District 607 Providence, Refunding Series 2013, 5.000%, 6/01/22
No Opt. Call
 
N/R
 
54,303
 
 
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
 
904,828
 
 
2,545
 
Total Nevada
       
2,944,423
 
     
New Hampshire – 0.1%
           
 
105
 
Business Finance Authority of the State of New Hampshire, Water Facility Revenue Bonds, Pennichuck Water Works, Inc. Project , Series 2015A, 4.250%, 1/01/36 (Alternative Minimum Tax)
1/26 at 100.00
 
A+
 
108,902
 
     
New Jersey – 6.1%
           
 
65
 
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+
 
65,287
 
 
250
 
Gloucester County Pollution Control Financing Authority, New Jersey, Pollution Control Revenue Bonds, Logan Project, Refunding Series 2014A, 5.000%, 12/01/24 (Alternative Minimum Tax)
No Opt. Call
 
BBB–
 
284,625
 
 
120
 
New Jersey Economic Development Authority, Cigarette Tax Revenue Bonds, Series 2004, 5.500%, 6/15/16 – AGC Insured (ETM)
No Opt. Call
 
Aaa
 
121,264
 
     
New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012:
           
 
150
 
4.000%, 6/15/19
No Opt. Call
 
BBB+
 
157,797
 
 
280
 
5.000%, 6/15/20
No Opt. Call
 
BBB+
 
306,860
 
 
150
 
5.000%, 6/15/21
No Opt. Call
 
BBB+
 
165,959
 
 
335
 
5.000%, 6/15/22
No Opt. Call
 
BBB+
 
372,430
 
 
350
 
5.000%, 6/15/23
6/22 at 100.00
 
BBB+
 
385,490
 
 
210
 
5.000%, 6/15/24
6/22 at 100.00
 
BBB+
 
230,189
 
 
510
 
5.000%, 6/15/25
6/22 at 100.00
 
BBB+
 
554,962
 
 
150
 
5.000%, 6/15/26
6/22 at 100.00
 
BBB+
 
162,303
 
 
100
 
4.250%, 6/15/27
6/22 at 100.00
 
BBB+
 
102,787
 
 
300
 
5.000%, 6/15/28
No Opt. Call
 
BBB+
 
322,701
 

Nuveen Investments
 
21



NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2016

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
New Jersey (continued)
           
$
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
$
246,660
 
 
1,000
 
New Jersey Economic Development Authority, School Facilities Construction Financing Program Bonds, Refunding Series 2015XX, 5.000%, 6/15/27
6/25 at 100.00
 
A–
 
1,099,840
 
 
100
 
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–
 
107,052
 
 
1,280
 
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital Appreciation Series 2010A, 0.000%, 12/15/33
No Opt. Call
 
A–
 
543,680
 
 
1,515
 
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D, 5.000%, 12/15/23
No Opt. Call
 
A–
 
1,691,710
 
 
330
 
New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/19
No Opt. Call
 
A+
 
365,521
 
 
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–
 
188,520
 
 
250
 
South Jersey Port Corporation, New Jersey, Marine Terminal Revenue Bonds, Refunding Series 2012Q, 3.000%, 1/01/22
No Opt. Call
 
A3
 
249,600
 
     
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds, Series 2007-1A:
           
 
195
 
4.500%, 6/01/23
6/17 at 100.00
 
BB
 
198,524
 
 
150
 
4.625%, 6/01/26
6/17 at 100.00
 
B+
 
151,257
 
 
8,180
 
Total New Jersey
       
8,075,018
 
     
New Mexico – 1.0%
           
 
715
 
Farmington, New Mexico, Pollution Control Revenue Refunding Bonds, Southern California Edison Company, Four Corners Project, Series 2005A, 1.875%, 4/01/29 (Mandatory put 4/01/20)
No Opt. Call
 
Aa3
 
724,953
 
 
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
 
547,497
 
 
1,205
 
Total New Mexico
       
1,272,450
 
     
New York – 5.5%
           
 
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–
 
251,992
 
     
Buffalo and Erie County Industrial Land Development Corporation, New York, Revenue Bonds, Catholic Health System, Inc. Project, Series 2015:
           
 
145
 
5.000%, 7/01/23
No Opt. Call
 
BBB+
 
172,389
 
 
195
 
5.000%, 7/01/24
No Opt. Call
 
BBB+
 
233,786
 
 
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
 
930,283
 
 
435
 
Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Senior Fiscal 2012 Series 2011A, 5.750%, 2/15/47
2/21 at 100.00
 
A
 
505,148
 
     
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
 
174,958
 
 
135
 
0.000%, 6/01/24 – AGM Insured
No Opt. Call
 
AA
 
114,325
 
     
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006B:
           
 
25
 
5.000%, 12/01/35 (Pre-refunded 6/01/16) – AGM Insured
6/16 at 100.00
 
AA (4)
 
25,188
 
 
200
 
5.000%, 12/01/35 (Pre-refunded 6/01/16)
6/16 at 100.00
 
A– (4)
 
201,506
 
 
405
 
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006C, 5.000%, 9/01/35 (Pre-refunded 9/01/16)
9/16 at 100.00
 
A– (4)
 
412,432
 
 
825
 
New York State Energy Research and Development Authority, Pollution Control Revenue Bonds, New York State Electric and Gas Corporation, Series 2005A, 2.375%, 7/01/26 (Mandatory put 5/01/20) (Alternative Minimum Tax)
No Opt. Call
 
AA–
 
838,588
 

22
 
Nuveen Investments



 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
New York (continued)
           
$
1,445
 
New York State Thruway Authority, General Revenue Junior Indebtedness Obligations, Series 2013A, 5.000%, 5/01/19
No Opt. Call
 
A–
$
1,620,683
 
     
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
 
378,299
 
 
565
 
5.000%, 6/01/18
No Opt. Call
 
AA
 
615,737
 
 
220
 
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and State Contingency Contract-Backed Bonds, Series 2013B, 5.000%, 6/01/22
6/17 at 100.00
 
AA
 
230,622
 
     
New York Transportation Development Corporation, New York, Special Facility Revenue Refunding Bonds, Terminal One Group Association, L.P. Project, Series 2015:
           
 
60
 
5.000%, 1/01/22 (Alternative Minimum Tax)
No Opt. Call
 
A–
 
70,621
 
 
60
 
5.000%, 1/01/23 (Alternative Minimum Tax)
No Opt. Call
 
A–
 
71,729
 
 
400
 
Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, Refunding Series 2013B, 5.000%, 11/15/21
No Opt. Call
 
AA–
 
481,732
 
 
6,660
 
Total New York
       
7,330,018
 
     
North Carolina – 1.2%
           
 
1,315
 
North Carolina Municipal Power Agency 1, Catawba Electric Revenue Bonds, Series 2015C, 5.000%, 1/01/29
1/26 at 100.00
 
A
 
1,613,163
 
     
North Dakota – 0.8%
           
     
Burleigh County, North Dakota, Health Care Revenue Bonds, Saint Alexius Medical Center Project, Series 2014A:
           
 
200
 
5.000%, 7/01/29 (Pre-refunded 7/01/21)
7/21 at 100.00
 
N/R (4)
 
238,498
 
 
650
 
5.000%, 7/01/31 (Pre-refunded 7/01/21)
7/21 at 100.00
 
N/R (4)
 
775,119
 
 
850
 
Total North Dakota
       
1,013,617
 
     
Ohio – 3.5%
           
 
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
 
Aa1
 
83,482
 
 
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–
 
1,253,344
 
 
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
 
522,134
 
 
50
 
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
 
55,003
 
 
225
 
Lake County, Ohio, Hospital Facilities Revenue Bonds, Lake Hospital System, Inc., Refunding Series 2008C, 5.500%, 8/15/24 (Pre-refunded 8/15/18)
8/18 at 100.00
 
N/R (4)
 
249,813
 
     
New Albany Community Authority, Ohio, Community Facilities Revenue Refunding Bonds, Series 2012C:
           
 
25
 
4.000%, 10/01/18
No Opt. Call
 
A1
 
26,655
 
 
30
 
4.000%, 10/01/19
No Opt. Call
 
A1
 
32,628
 
 
40
 
4.000%, 10/01/20
No Opt. Call
 
A1
 
44,033
 
 
45
 
5.000%, 10/01/21
No Opt. Call
 
A1
 
52,380
 
 
35
 
5.000%, 10/01/22
No Opt. Call
 
A1
 
41,411
 
 
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
 
Baa3
 
180,754
 
 
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
 
Baa3
 
102,161
 
 
2,000
 
Ohio Turnpike Commission, Turnpike Revenue Bonds, Infrastructure Projects, Junior Lien Convertible Series 2013A-3, 0.000%, 2/15/34 (6)
2/31 at 100.00
 
A+
 
1,855,358
 
 
100
 
Tuscarawas County Economic Development and Finance Alliance, Ohio, Higher Education Facilities Revenue Bonds, Ashland University, Refunding & Improvement Series 2015, 5.375%, 3/01/27
3/25 at 100.00
 
N/R
 
103,066
 
 
4,710
 
Total Ohio
       
4,602,222
 

Nuveen Investments
 
23



NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2016

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
Pennsylvania – 5.7%
           
$
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
 
Baa3
$
939,497
 
 
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
 
209,356
 
 
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
 
10,466
 
 
500
 
Montgomery County Industrial Development Authority, Pennsylvania, Pollution Control Revenue Bonds, PECO Energy Company Project, Refunding Series 1996A, 2.600%, 3/01/34 (Mandatory put 9/01/20)
No Opt. Call
 
BBB
 
510,490
 
 
500
 
Montgomery County Industrial Development Authority, Pennsylvania, Pollution Control Revenue Bonds, PECO Energy Company Project, Refunding Series 1999A, 2.500%, 10/01/30 (Mandatory put 4/01/20)
No Opt. Call
 
BBB
 
504,850
 
 
500
 
Pennsylvania Economic Development Financing Authority, Health System Revenue Bonds, Albert Einstein Healthcare, Series 2009A, 6.250%, 10/15/23 (Pre-refunded 10/15/19)
10/19 at 100.00
 
Baa2 (4)
 
572,550
 
 
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
 
616,160
 
 
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
 
311,708
 
 
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
 
274,420
 
 
225
 
Pennsylvania Economic Development Financing Authority, Unemployment Compensation Revenue Bonds, Series 2012B, 5.000%, 1/01/22
7/17 at 100.00
 
Aaa
 
237,483
 
 
185
 
Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, University of the Arts, Series 1999, 5.150%, 3/15/20 – AGC Insured (ETM)
5/16 at 100.00
 
AA (4)
 
201,078
 
 
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
 
127,285
 
 
580
 
Pennsylvania Turnpike Commission, Motor License Fund-Enhanced Subordinate Special Revenue Bonds, Series 2010A, 5.500%, 12/01/34
12/20 at 100.00
 
AA–
 
668,665
 
 
880
 
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Twelfth Series 1990B, 7.000%, 5/15/20 – NPFG Insured (ETM)
No Opt. Call
 
AA– (4)
 
991,311
 
 
875
 
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
 
995,540
 
 
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
 
A–
 
375,854
 
 
6,825
 
Total Pennsylvania
       
7,546,713
 
     
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
 
216,680
 
     
South Carolina – 4.4%
           
 
515
 
Greenville County School District, South Carolina, Installment Purchase Revenue Bonds, Series 2006, 5.000%, 12/01/24
12/16 at 100.00
 
AA
 
530,399
 
 
1,540
 
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Refunding Series 1991, 6.750%, 1/01/19 – FGIC Insured (ETM)
No Opt. Call
 
A3 (4)
 
1,783,443
 
 
3,040
 
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Refunding Series 1991, 6.750%, 1/01/19 – FGIC Insured
No Opt. Call
 
A3
 
3,493,413
 
 
5,095
 
Total South Carolina
       
5,807,255
 

24
 
Nuveen Investments



 
Principal
Amount (000)
 
Description (1)
Optional Call
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 (Pre-refunded 5/01/17)
5/17 at 100.00
 
A+ (4)
$
1,046,120
 
     
Tennessee – 0.3%
           
     
Knox County Health, Educational and Housing Facility Board, Tennessee, Hospital Revenue Refunding Bonds, Covenant Health, Series 2012A:
           
 
105
 
4.000%, 1/01/22
No Opt. Call
 
A
 
117,775
 
 
180
 
5.000%, 1/01/23
No Opt. Call
 
A
 
216,515
 
 
285
 
Total Tennessee
       
334,290
 
     
Texas – 11.1%
           
     
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding Series 2007:
           
 
130
 
5.000%, 5/01/23 (Pre-refunded 5/01/17) – SYNCORA GTY Insured
5/17 at 100.00
 
A+ (4)
 
136,136
 
 
15
 
5.000%, 5/01/24 (Pre-refunded 5/01/17) – SYNCORA GTY Insured
5/17 at 100.00
 
A+ (4)
 
15,708
 
 
40
 
5.000%, 5/01/25 (Pre-refunded 5/01/17) – SYNCORA GTY Insured
5/17 at 100.00
 
A+ (4)
 
41,888
 
 
10
 
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding Series 2010, 5.875%, 5/01/40 (Pre-refunded 5/01/20)
5/20 at 100.00
 
A+ (4)
 
11,935
 
 
135
 
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Series 2006, 4.500%, 5/01/25 (Pre-refunded 5/01/16) – NPFG Insured
5/16 at 100.00
 
AA– (4)
 
135,464
 
     
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Refunding Bonds, Series 2009:
           
 
45
 
5.000%, 5/01/29 (Pre-refunded 5/01/19)
5/19 at 100.00
 
A+ (4)
 
50,571
 
 
145
 
5.000%, 5/01/39 (Pre-refunded 5/01/19)
5/19 at 100.00
 
A+ (4)
 
162,951
 
 
25
 
Brazos River Authority, Texas, Collateralized Pollution Control Revenue Bonds, Texas Utilities Electric Company, Series 2003D, 5.400%, 10/01/29 (Mandatory put 10/01/16) (5)
5/16 at 100.00
 
N/R
 
612
 
 
525
 
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2011, 6.250%, 1/01/46
1/21 at 100.00
 
BBB+
 
627,974
 
 
1,000
 
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien, Series 2015A, 5.000%, 1/01/31
7/25 at 100.00
 
BBB+
 
1,165,730
 
 
1,875
 
Denton Independent School District, Denton County, Texas, General Obligation Bonds, Series 2006A, 5.000%, 8/15/20 (Pre-refunded 8/15/16)
8/16 at 100.00
 
AAA
 
1,906,854
 
 
155
 
Harris County-Houston Sports Authority, Texas, Revenue Bonds, Refunding Second Lien Series 2014C, 5.000%, 11/15/24
No Opt. Call
 
A3
 
187,981
 
 
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
 
480,431
 
 
35
 
Houston, Texas, Airport System Special Facilities Revenue Bonds, United Airlines, Inc. Terminal E Project, Refunding Series 2014, 5.000%, 7/01/29 (Alternative Minimum Tax)
7/24 at 100.00
 
BB–
 
38,411
 
 
140
 
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
 
142,605
 
 
860
 
Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment Facilities Department, Refunding Series 2011B, 5.250%, 9/01/25 (Pre-refunded 9/01/16)
9/16 at 100.00
 
N/R (4)
 
877,002
 
 
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
 
401,160
 
 
430
 
Love Field Airport Modernization Corporation, Texas, General Airport Revenue Bonds Series 2015, 5.000%, 11/01/28 (Alternative Minimum Tax)
11/25 at 100.00
 
A1
 
512,268
 
 
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
 
Baa1
 
225,244
 
     
McCamey County Hospital District, Texas, General Obligation Bonds, Series 2013:
           
 
100
 
5.000%, 12/01/25
No Opt. Call
 
Baa2
 
111,018
 
 
100
 
5.250%, 12/01/28
12/25 at 100.00
 
Baa2
 
113,503
 

Nuveen Investments
 
25



NIM
Nuveen Select Maturities Municipal Fund
 
 
Portfolio of Investments (continued)
March 31, 2016

 
Principal
Amount (000)
 
Description (1)
Optional Call
Provisions (2)
 
Ratings (3)
 
Value
 
     
Texas (continued)
           
     
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
$
481,576
 
 
380
 
5.000%, 8/15/25
8/22 at 100.00
 
Aa2
 
454,260
 
     
North Texas Tollway Authority, Special Projects System Revenue Bonds, Convertible Capital Appreciation Series 2011C:
           
 
100
 
0.000%, 9/01/43 (6)
9/31 at 100.00
 
AA+
 
97,121
 
 
490
 
0.000%, 9/01/45 (6)
9/31 at 100.00
 
AA+
 
522,026
 
 
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+
 
896,123
 
 
455
 
North Texas Tollway Authority, System Revenue Bonds, Refunding First Tier, Series 2014A, 5.000%, 1/01/23
No Opt. Call
 
A1
 
551,651
 
 
2,870
 
North Texas Tollway Authority, System Revenue Bonds, Refunding Second Tier, Series 2008, 5.750%, 1/01/38 (Pre-refunded 1/01/18)
1/18 at 100.00
 
A2 (4)
 
3,118,712
 
 
455
 
Texas Municipal Gas Acquisition and Supply Corporation I, Gas Supply Revenue Bonds, Series 2006B, 0.975%, 12/15/17
No Opt. Call
 
BBB+
 
454,754
 
 
110
 
Texas Municipal Gas Acquisition and Supply Corporation III, Gas Supply Revenue Bonds, Series 2012, 5.000%, 12/15/32
No Opt. Call
 
A3
 
122,844
 
 
165
 
Texas Transportation Commission, Central Texas Turnpike System Revenue Bonds, First Tier Refunding Series 2015B, 5.000%, 8/15/37
8/24 at 100.00
 
A–
 
190,323
 
 
465
 
Texas Transportation Commission, Central Texas Turnpike System Revenue Bonds, Second Tier Refunding Series 2015C, 5.000%, 8/15/31
8/24 at 100.00
 
BBB+
 
537,856
 
 
13,500
 
Total Texas
       
14,772,692
 
     
Virginia – 0.5%
           
 
565
 
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–
 
630,597
 
     
Washington – 2.5%
           
 
1,000
 
Port of Seattle, Washington, Revenue Bonds, Intermediate Lien Series 2015C, 5.000%, 4/01/23 (Alternative Minimum Tax)
No Opt. Call
 
A+
 
1,201,960
 
 
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
 
1,173,144
 
 
455
 
Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series 1989B, 7.125%, 7/01/16 – NPFG Insured
No Opt. Call
 
Aa1
 
462,621
 
 
585
 
Whidbey Island Public Hospital District, Island County, Washington, General Obligation Bonds, Whidbey General Hospital, Series 2013, 5.500%, 12/01/33
12/22 at 100.00
 
Baa2
 
640,710
 
 
3,090
 
Total Washington
       
3,478,435
 
     
Wisconsin – 3.6%
           
     
University of Wisconsin Hospitals and Clinics Authority, Revenue Bonds, Refunding Series 2013A:
           
 
755
 
4.000%, 4/01/20
No Opt. Call
 
Aa3
 
838,495
 
 
15
 
5.000%, 4/01/22
No Opt. Call
 
Aa3
 
18,042
 
 
325
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care, Inc., Series 2010B, 5.000%, 7/15/20
No Opt. Call
 
A2
 
368,050
 
 
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
 
A2
 
782,811
 
 
30
 
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Ministry Health Care, Inc., Refunding 2012C, 5.000%, 8/15/17
No Opt. Call
 
AA
 
31,729
 
     
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan Healthcare System, Series 2006A:
           
 
500
 
5.250%, 8/15/18 (Pre-refunded 8/15/16)
8/16 at 100.00
 
N/R (4)
 
508,815
 
 
180
 
5.250%, 8/15/34 (Pre-refunded 8/15/16)
8/16 at 100.00
 
N/R (4)
 
183,173
 

26
 
Nuveen Investments



 
Principal
Amount (000)
 
Description (1)
Optional Call Provisions (2)
 
Ratings (3)
 
Value
 
     
Wisconsin (continued)
           
$
1,500
 
Wisconsin Health and Educational Facilities Authority, Wisconsin, Revenue Bonds, ThedaCare Inc, Series 2015, 5.000%, 12/15/26
12/24 at 100.00
 
AA–
$
1,803,195
 
      Wisconsin State, General Fund Annual Appropriation Revenue Bonds, Refunding Series 2009A:            
 
45
 
5.000%, 5/01/21
5/19 at 100.00
 
AA–
 
50,657
 
 
35
 
5.375%, 5/01/25
5/19 at 100.00
 
AA–
 
39,672
 
 
40
 
5.625%, 5/01/28
5/19 at 100.00
 
AA–
 
45,499
 
 
150
 
6.000%, 5/01/33
5/19 at 100.00
 
AA–
 
172,125
 
 
4,250
 
Total Wisconsin
       
4,842,263
 
$
122,820
 
Total Municipal Bonds (cost $121,651,289)
       
130,049,476
 

 
Principal
Amount (000)
 
Description (1)
Coupon
 
Maturity
 
Ratings (3)
 
Value
 
     
CORPORATE BONDS – 0.0%
               
     
Transportation – 0.0%
               
$
17
 
Las Vegas Monorail Company, Senior Interest Bonds (7), (8)
5.500%
 
7/15/19
 
N/R
$
$498
 
 
4
 
Las Vegas Monorail Company, Senior Interest Bonds (7), (8)
3.000%
 
7/15/55
 
N/R
 
132
 
$
21
 
Total Corporate Bonds (cost $1,880)
           
630
 
     
Total Long-Term Investments (cost $121,653,169)
           
130,050,106
 

 
Principal
Amount (000)
 
Description (1)
Optional Call Provisions (2)
 
Ratings (3)
 
Value
 
     
SHORT-TERM INVESTMENTS – 0.7%
           
     
MUNICIPAL BONDS – 0.7%
           
     
Michigan – 0.7%
           
$
1,000
 
Michigan Hospital Finance Authority, Revenue Bonds, Ascension Health Senior Credit Group, Refunding and Project Series 2010F-5, 1.500%, 11/15/47 (Mandatory put 3/15/17) (9)
No Opt. Call
 
A–1
$
1,007,140
 
     
Total Short-Term Investments (cost $1,000,000)
       
1,007,140
 
     
Total Investments (cost $122,653,169) – 99.0%
       
131,057,246
 
     
Other Assets Less Liabilities – 1.0%
       
1,279,937
 
     
Net Assets – 100%
     
$
132,337,183
 

(1)
All percentages shown in the Portfolio of Investments are based on net assets.
(2)
Optional Call Provisions (not covered by the report of independent registered public accounting firm): Dates (month and year) and prices of the earliest optional call or redemption. There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities may be subject to periodic principal paydowns.
(3)
Ratings (not covered by the report of independent registered public accounting firm): Using the highest of Standard & Poor's Group ("Standard & Poor's"), Moody's Investors Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. Ratings below BBB by Standard & Poor's, Baa by Moody's or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
(4)
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or agency securities are regarded as having an implied rating equal to the rating of such securities.
(5)
As of, or subsequent to, the end of the reporting period this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund's Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund's records.
(6)
Step-up coupon. The rate shown is the coupon as of the end of the reporting period.
(7)
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3. See Notes to Financial Statements, Note 2 – Investment Valuation and Fair Value Measurements for more information.
(8)
During January 2010, Las Vegas Monorail Company ("Las Vegas Monorail") filed for federal bankruptcy protection. During March 2012, Las Vegas Monorail emerged from federal bankruptcy with the acceptance of a reorganization plan assigned by the Federal Bankruptcy Court. Under the reorganization plan, the Fund surrendered its Las Vegas Monorail Project Revenue Bonds, First Tier, Series 2000 and in turn received two senior interest corporate bonds: the first with an annual coupon rate of 5.500% maturing on July 15, 2019 and the second with an annual coupon rate of 3.000% (5.500% after December 31, 2015) maturing on July 15, 2055. The Fund is not accruing income for either senior interest corporate bond.
(9)
Investment has a maturity of more than one year, but has variable rate and demand features which qualify it as a short-term investment. The rate disclosed is that in effect as of the end of the reporting period. This rate changes periodically based on market conditions or a specified market index.
(ETM)
Escrowed to maturity.
See accompanying notes to financial statements.

Nuveen Investments
 
27

 
Statement of
   
 
Assets and Liabilities
March 31, 2016

Assets
       
Long-term investments, at value (cost $121,653,169)
 
$
130,050,106
 
Short-term investments, at value (cost $1,000,000)
   
1,007,140
 
Cash
   
265,292
 
Receivable for interest
   
1,551,076
 
Other assets
   
6,394
 
Total assets
   
132,880,008
 
Liabilities
       
Payable for:
       
Dividends
   
314,752
 
Investments purchased
   
125,396
 
Accrued expenses:
       
Management fees
   
51,679
 
Trustees fees
   
857
 
Other
   
50,141
 
Total liabilities
   
542,825
 
Net assets
 
$
132,337,183
 
Shares outstanding
   
12,442,881
 
Net asset value ("NAV") per share outstanding
 
$
10.64
 
Net assets consist of:
       
Shares, $0.01 par value per share
 
$
124,429
 
Paid-in surplus
   
123,816,785
 
Undistributed (Over-distribution of) net investment income
   
114,263
 
Accumulated net realized gain (loss)
   
(122,371
)
Net unrealized appreciation (depreciation)
   
8,404,077
 
Net assets
 
$
132,337,183
 
Authorized shares
   
Unlimited
 
See accompanying notes to financial statements.

28
 
Nuveen Investments


Statement of
   
 
Operations
Year Ended March 31, 2016

Investment Income
 
$
4,689,678
 
Expenses
       
Management fees
   
606,811
 
Custodian fees
   
41,781
 
Trustees fees
   
3,539
 
Professional fees
   
23,143
 
Shareholder reporting expenses
   
33,076
 
Shareholder servicing agent fees
   
5,426
 
Stock exchange listing fees
   
7,939
 
Investor relations expenses
   
14,665
 
Other
   
15,774
 
Total expenses
   
752,154
 
Net investment income (loss)
   
3,937,524
 
Realized and Unrealized Gain (Loss)
       
Net realized gain (loss) from investments
   
147,244
 
Change in net unrealized appreciation (depreciation) of investments
   
512,937
 
Net realized and unrealized gain (loss)
   
660,181
 
Net increase (decrease) in net assets from operations
 
$
4,597,705
 
See accompanying notes to financial statements.

Nuveen Investments
 
29



Statement of
 
 
Changes in Net Assets

     
Year
   
Year
 
     
Ended
   
Ended
 
     
3/31/16
   
3/31/15
 
Operations
             
Net investment income (loss)
 
$
3,937,524
 
$
4,233,348
 
Net realized gain (loss) from investments
   
147,244
   
179,611
 
Change in net unrealized appreciation (depreciation) of investments
   
512,937
   
2,467,709
 
Net increase (decrease) in net assets from operations
   
4,597,705
   
6,880,668
 
Distributions to Shareholders
             
From net investment income
   
(4,089,960
)
 
(4,244,414
)
Decrease in net assets from distributions to shareholders
   
(4,089,960
)
 
(4,244,414
)
Capital Share Transactions
             
Net proceeds from shares issued to shareholders due to reinvestment of distributions
   
11,750
   
28,128
 
Net increase (decrease) in net assets from capital share transactions
   
11,750
   
28,128
 
Net increase (decrease) in net assets
   
519,495
   
2,664,382
 
Net assets at the beginning of period
   
131,817,688
   
129,153,306
 
Net assets at the end of period
 
$
132,337,183
 
$
131,817,688
 
Undistributed (Over-distribution of) net investment income at the end of period
 
$
114,263
 
$
270,613
 
See accompanying notes to financial statements.

30
 
Nuveen Investments



THIS PAGE INTENTIONALLY LEFT BLANK

Nuveen Investments
 
31



Financial
 
 
Highlights
Selected data for a share outstanding throughout each period:

           
Investment Operations
 
Less Distributions
           
   
Beginning
NAV
 
Net
Investment Income
(Loss)
 
Net
Realized/
Unrealized
Gain (Loss)
 
Total
 
From Net Investment Income
 
From Accumulated Net Realized Gains
 
Total
 
Ending
NAV
 
Ending
Share
Price
 
Year Ended 3/31:
                                                       
2016
 
$
10.59
 
$
0.32
 
$
0.06
 
$
0.38
 
$
(0.33
)
$
 
$
(0.33
)
$
10.64
 
$
10.57
 
2015
   
10.38
   
0.34
   
0.21
   
0.55
   
(0.34
)
 
   
(0.34
)
 
10.59
   
10.78
 
2014
   
10.63
   
0.36
   
(0.27
)
 
0.09
   
(0.34
)
 
   
(0.34
)
 
10.38
   
10.18
 
2013
   
10.45
   
0.37
   
0.18
   
0.55
   
(0.37
)
 
   
(0.37
)
 
10.63
   
10.35
 
2012
   
10.02
   
0.40
   
0.44
   
0.84
   
(0.41
)
 
   
(0.41
)
 
10.45
   
10.23
 

32
 
Nuveen Investments



               
Ratios/Supplemental Data
 
   
Total Returns
     
Ratios to Average Net Assets
     
   
Based
on
NAV
(a)
Based
on
Share
Price
(a)
Ending
Net Assets (000)
 
Expenses
 
Net Investment Income
(Loss)
 
Portfolio Turnover Rate
(b)
     
3.66
%
 
1.24
%
$
132,337
   
0.57
%
 
3.01
%
 
20
%
     
5.37
   
9.39
   
131,818
   
0.58
   
3.23
   
16
 
     
0.95
   
1.83
   
129,153
   
0.58
   
3.44
   
15
 
     
5.32
   
4.77
   
132,277
   
0.56
   
3.51
   
17
 
     
8.49
   
8.49
   
129,868
   
0.62
   
3.92
   
17
 

(a)
Total Return Based on NAV is the combination of changes in NAV, reinvested dividend income at NAV and reinvested capital gains distributions at NAV, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending NAV. The actual reinvest price for the last dividend declared in the period may often be based on the Fund's market price (and not its NAV), and therefore may be different from the price used in the calculation. Total returns are not annualized.
   
 
Total Return Based on Share Price is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
   
(b)
Portfolio Turnover Rate is calculated based on the lesser of long-term purchases or sales (as disclosed in Note 5 – Investment Transactions) divided by the average long-term market value during the period.
See accompanying notes to financial statements.

Nuveen Investments
 
33



Notes to Financial Statements
1. General Information and Significant Accounting Policies
General Information
Fund Information
The fund covered in this report and its corresponding New York Stock Exchange ("NYSE") symbol is Nuveen Select Maturities Municipal Fund (NIM) (the "Fund"). The Fund is registered under the Investment Company Act of 1940, as amended, as a diversified, closed-end management investment company. The Fund was organized as a Massachusetts business trust on July 23, 1992.
The end of the reporting period for the Fund is March 31, 2016, and the period covered by these Notes to Financial Statements is the fiscal year ended March 31, 2016 (the "current fiscal period").
Investment Adviser
The Fund's investment adviser is Nuveen Fund Advisors, LLC (the "Adviser"), a wholly-owned subsidiary of Nuveen Investments, Inc. ("Nuveen"). Nuveen is an operating division of TIAA Global Asset Management. The Adviser is responsible for the Fund's overall investment strategy and asset allocation decisions. The Adviser has entered into a sub-advisory agreement with Nuveen Asset Management, LLC (the "Sub-Adviser"), a subsidiary of the Adviser, under which the Sub-Adviser manages the investment portfolio of the Fund.
Investment Objectives and Principal Investment Strategies
The Fund seeks to provide current income exempt from regular federal income tax, consistent with the preservation of capital by investing in an investment-grade quality portfolio of municipal obligations with intermediate characteristics. In managing its portfolio, the Fund has purchased municipal obligations having remaining effective maturities of no more than fifteen years with respect to 80% of its total assets that, in the opinion of the Sub-Adviser, represent the best value in terms of the balance between yield and capital preservation currently available from the intermediate sector of the municipal market. The Sub-Adviser will actively monitor the effective maturities of the Fund's investments in response to prevailing market conditions, and will adjust its portfolio consistent with its investment policy of maintaining an average effective remaining maturity of twelve years or less.
Significant Accounting Policies
The Fund is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 "Financial Services – Investment Companies." The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with U.S. generally accepted accounting principles ("U.S. GAAP").
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same basis used for federal income tax purposes. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Fund has earmarked securities in it's portfolio with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments.
As of the end of the reporting period, the Fund did not have any outstanding when-issued/delayed delivery purchase commitments.
Investment Income
Investment income, which reflects the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Investment income also reflects paydown gains and losses, if any.
Professional Fees
Professional fees presented on the Statement of Operations consist of legal fees incurred in the normal course of operations, audit fees, tax consulting fees and, in some cases, workout expenditures. Workout expenditures are incurred in an attempt to protect or enhance an investment or to pursue other claims or legal actions on behalf of Fund shareholders. If a refund is received for workout expenditures paid in a prior reporting period, such amounts will be recognized as "Legal fee refund" on the Statement of Operations.

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Dividends and Distributions to Shareholders
Dividends from net investment income are declared monthly. Net realized capital gains and/or market discount from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
Distributions to shareholders of net investment income, net realized capital gains and/or market discount, if any, are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications
Under the Fund's organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
Netting Agreements
In the ordinary course of business, the Fund may enter into transactions subject to enforceable International Swaps and Derivative Association, Inc. ("ISDA") master agreements or other similar arrangements ("netting agreements"). Generally, the right to offset in netting agreements allows the Fund to offset certain securities and derivatives with a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. Generally, the Fund manages its cash collateral and securities collateral on a counterparty basis.
The Fund's investments subject to netting agreements as of the end of the reporting period, if any, are further described in Note 3 – Portfolio Securities and Investments in Derivatives.
Use of Estimates
The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.
2. Investment Valuation and Fair Value Measurements
The fair valuation input levels as described below are for fair value measurement purposes.
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.

 
Level 1 – 
Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
 
Level 2 – 
Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – 
Prices are determined using significant unobservable inputs (including management's assumptions in determining the fair value of investments).
Prices of fixed income securities are provided by an independent pricing service approved by the Fund's Board of Trustees (the "Board"). The pricing service establishes a security's fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. These securities are generally classified as Level 2. In pricing certain securities, particularly less liquid and lower quality securities, the pricing service may consider information about a security, its issuer or market activity, provided by the Adviser. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.
Certain securities may not be able to be priced by the pre-established pricing methods as described above. Such securities may be valued by the Board and/or its appointee at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended) for which a pricing service is unable to provide a market price; securities whose trading has been formally suspended; debt securities that have gone into default and for which there is no current market quotation; a security whose market price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund's net asset value ("NAV") (as may be the case in non-U.S. markets on which the security is primarily traded) or make it difficult or impossible to obtain a reliable market quotation; and a

Nuveen Investments
 
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Notes to Financial Statements (continued)
security whose price, as provided by the pricing service, is not deemed to reflect the security's fair value. As a general principle, the fair value of a security would appear to be the amount that the owner might reasonably expect to receive for it in a current sale. A variety of factors may be considered in determining the fair value of such securities, which may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor's credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs. Regardless of the method employed to value a particular security, all valuations are subject to review by the Board and/or its appointee.
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund's fair value measurements as of the end of the reporting period:

     
Level 1
   
Level 2
   
Level 3
   
Total
 
Long-Term Investments:
                         
Municipal Bonds*
 
$
 
$
130,049,476
 
$
 
$
130,049,476
 
Corporate Bonds**
   
   
   
630
***
 
630
 
Short-Term Investments:
                         
Municipal Bonds*
   
   
1,007,140
   
   
1,007,140
 
Total
 
$
 
$
131,056,616
 
$
630
 
$
131,057,246
 
 
*
Refer to the Fund's Portfolio of Investments for state classifications.
**
Refer to the Fund's Portfolio of Investments for industry classifications.
***
Refer to the Fund's Portfolio of Investments for securities classified as Level 3.
The Board is responsible for the valuation process and has appointed the oversight of the daily valuation process to the Adviser's Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board, is responsible for making fair value determinations, evaluating the effectiveness of the Fund's pricing policies and reporting to the Board. The Valuation Committee is aided in its efforts by the Adviser's dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making a fair value determination, based on the facts and circumstances specific to the portfolio instrument. Fair value determinations generally will be derived as follows, using public or private market information:
     
 
(i)
If available, fair value determinations shall be derived by extrapolating from recent transactions or quoted prices for identical or comparable securities.
     
 
(ii)
If such information is not available, an analytical valuation methodology may be used based on other available information including, but not limited to: analyst appraisals, research reports, corporate action information, issuer financial statements and shelf registration statements. Such analytical valuation methodologies may include, but are not limited to: multiple of earnings, discount from market value of a similar freely-traded security, discounted cash flow analysis, book value or a multiple thereof, risk premium/yield analysis, yield to maturity and/or fundamental investment analysis.
The purchase price of a portfolio instrument will be used to fair value the instrument only if no other valuation methodology is available or deemed appropriate, and it is determined that the purchase price fairly reflects the instrument's current value.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board.
3. Portfolio Securities and Investments in Derivatives
Portfolio Securities
Zero Coupon Securities
A zero coupon security does not pay a regular interest coupon to its holders during the life of the security. Income to the holder of the security comes from accretion of the difference between the original purchase price of the security at issuance and the par value of the security at maturity and is effectively paid at maturity. The market prices of zero coupon securities generally are more volatile than the market prices of securities that pay interest periodically.
Investments in Derivatives
The Fund is authorized to invest in certain derivative instruments such as futures, options and swap contracts. The Fund limits its investments in futures, options on futures and swap contracts to the extent necessary for the Adviser to claim the exclusion from registration by the Commodity Futures Trading Commission as a commodity pool operator with respect to the Fund. The Fund records derivative instruments at fair value, with changes in fair

36
 
Nuveen Investments



value recognized on the Statement of Operations, when applicable. Even though the Fund's investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
Although the Fund is authorized to invest in derivative instruments and may do so in the future, it did not make any such investments during the current fiscal period.
Market and Counterparty Credit Risk
In the normal course of business the Fund may invest in financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the other party to the transaction to perform (counterparty credit risk). The potential loss could exceed the value of the financial assets recorded on the financial statements. Financial assets, which potentially expose the Fund to counterparty credit risk, consist principally of cash due from counterparties on forward, option and swap transactions, when applicable. The extent of the Fund's exposure to counterparty credit risk in respect to these financial assets approximates their carrying value as recorded on the Statement of Assets and Liabilities.
The Fund helps manage counterparty credit risk by entering into agreements only with counterparties the Adviser believes have the financial resources to honor their obligations and by having the Adviser monitor the financial stability of the counterparties. Additionally, counterparties may be required to pledge collateral daily (based on the daily valuation of the financial asset) on behalf of the Fund with a value approximately equal to the amount of any unrealized gain above a pre-determined threshold. Reciprocally, when the Fund has an unrealized loss, the Fund has instructed the custodian to pledge assets of the Fund as collateral with a value approximately equal to the amount of the unrealized loss above a pre-determined threshold. Collateral pledges are monitored and subsequently adjusted if and when the valuations fluctuate, either up or down, by at least the pre-determined threshold amount.
4. Fund Shares
Transactions in Fund shares during the Fund's current and prior fiscal period, were as follows:

     
Year
   
Year
 
     
Ended
   
Ended
 
     
3/31/16
   
3/31/15
 
Shares issued to shareholders due to reinvestment of distributions
   
1,111
   
2,650
 
5. Investment Transactions
Long-term purchases and sales (including maturities) during the current fiscal period aggregated $29,402,851 and $26,520,231, respectively.
6. Income Tax Information
The Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required. Furthermore, the Fund intends to satisfy conditions that will enable interest from municipal securities, which is exempt from regular federal and designated state income taxes, to retain such tax-exempt status when distributed to shareholders of the Fund. Net realized capital gains and ordinary income distributions paid by the Fund are subject to federal taxation.
For all open tax years and all major taxing jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts as detailed below. Temporary differences do not require reclassification. Temporary and permanent differences do not impact the NAV of the Fund.
As of March 31, 2016, the cost and unrealized appreciation (depreciation) of investments, as determined on a federal income tax basis, were as follows:
         
Cost of investments
 
$
122,501,074
 
Gross unrealized:
       
Appreciation
 
$
8,656,576
 
Depreciation
   
(100,404
)
Net unrealized appreciation (depreciation) of investments
 
$
8,556,172
 

Nuveen Investments
 
37



Notes to Financial Statements (continued)
Permanent differences, primarily due to taxable market discount, resulted in reclassifications among the Fund's components of net assets as of March 31, 2016, the Fund's tax year end, as follows:

         
Paid-in-surplus
 
$
6
 
Undistributed (Over-distribution of) net investment income
   
(3,914
)
Accumulated net realized gain (loss)
   
3,908
 
The tax components of undistributed net tax-exempt income, net ordinary income and net long-term capital gains as of March 31, 2016, the Fund's tax year end, were as follows:

         
Undistributed net tax-exempt income1
 
$
274,096
 
Undistributed net ordinary income2
   
 
Undistributed net long-term capital gains
   
 

1
Undistributed net tax-exempt income (on a tax basis) has not been reduced for the dividend declared on March 1, 2016, paid on April 1, 2016.
2
Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
The tax character of distributions paid during the Fund's tax years ended March 31, 2016 and March 31, 2015, was designated for purposes of the dividends paid deduction as follows:

2016
       
Distributions from net tax-exempt income3
 
$
3,994,604
 
Distributions from net ordinary income2
   
113,990
 
Distributions from net long-term capital gains
   
 
2015
       
Distributions from net tax-exempt income
 
$
4,254,292
 
Distributions from net ordinary income2
   
2,488
 
Distributions from net long-term capital gains
   
 

2
Net ordinary income consists of taxable market discount income and net short-term capital gains, if any.
3
The Fund hereby designates these amounts paid during the fiscal year ended March 31, 2016, as Exempt Interest Dividends.
As of March 31, 2016, the Fund's tax year end, the Fund had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as shown in the following table. The losses not subject to expiration will be utilized first by the Fund.
         
Expiration:
       
March 31, 2017
 
$
110,784
 
Not subject to expiration
   
 
Total
 
$
110,784
 
During the Fund's tax year ended March 31, 2016, the Fund utilized $150,231 of its capital loss carryforward.
7. Management Fees and Other Transactions with Affiliates
Management Fees
The Fund's management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Sub-Adviser is compensated for its services to the Fund from the management fees paid to the Adviser.
The Fund's management fee consists of two components – a fund-level fee, based only on the amount of assets within the Fund, and a complex-level fee, based on the aggregate amount of all eligible fund assets managed by the Adviser. This pricing structure enables Fund shareholders to benefit from growth in the assets within the Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

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The annual Fund-level fee, payable monthly, for the Fund is calculated according to the following schedule:

Average Daily Net Assets*
Fund-Level Fee
For the first $125 million
0.3000
%
For the next $125 million
0.2875
 
For the next $250 million
0.2750
 
For the next $500 million
0.2625
 
For the next $1 billion
0.2500
 
For net assets over $2 billion
0.2375
 
The annual complex-level fee, payable monthly, for the Fund is calculated by multiplying the current complex-wide fee rate, determined according to the following schedule by the Fund's daily net assets:

Complex-Level Managed Asset Breakpoint Level*
Effective Rate at Breakpoint Level
$55 billion
0.2000
%
$56 billion
0.1996
 
$57 billion
0.1989
 
$60 billion
0.1961
 
$63 billion
0.1931
 
$66 billion
0.1900
 
$71 billion
0.1851
 
$76 billion
0.1806
 
$80 billion
0.1773
 
$91 billion
0.1691
 
$125 billion
0.1599
 
$200 billion
0.1505
 
$250 billion
0.1469
 
$300 billion
0.1445
 

*
For the complex-level fees, managed assets include closed-end fund assets managed by the Adviser that are attributable to certain types of leverage. For these purposes, leverage includes the funds' use of preferred stock and borrowings and certain investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust's issuance of floating rate securities, subject to an agreement by the Adviser as to certain funds to limit the amount of such assets for determining managed assets in certain circumstances. The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds that constitute "eligible assets." Eligible assets do not include assets attributable to investments in other Nuveen funds or assets in excess of a determined amount (originally $2 billion) added to the Nuveen fund complex in connection with the Adviser's assumption of the management of the former First American Funds effective January 1, 2011. As of March 31, 2016, the complex-level fee rate for the Fund was 0.1632%.
The Fund pays no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Fund from the Adviser or its affiliates. The Board has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen-advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen-advised funds.
Other Transactions with Affiliates
The Fund is permitted to purchase or sell securities from or to certain other funds managed by the Adviser ("inter-fund trade") under specified conditions outlined in procedures adopted by the Board. These procedures have been designed to ensure that any inter-fund trade of securities by the Fund from or to another fund that is, or could be, considered an affiliate of the Fund under certain limited circumstances by virtue of having a common investment adviser (or affiliated investment adviser), common officer and/or common trustee complies with Rule 17a-7 of the 1940 Act. Further, as defined under these procedures, each inter-fund trade is effected at the current market price as provided by an independent pricing service. Unsettled inter-fund trades as of the end of the reporting period are recognized as a component of "Receivable for investments sold" and/or "Payable for investments purchased" on the Statement of Assets and Liabilities, when applicable.
During the current fiscal period, the Fund engaged in inter-fund trades pursuant to these procedures as follows:
         
Purchases
 
$
176,745
 
Sales
   
 

Nuveen Investments
 
39



Notes to Financial Statements (continued)
8. Borrowing Arrangements
Uncommitted Line of Credit
During the current fiscal period, the Fund participated in an unsecured bank line of credit ("Unsecured Credit Line") under which outstanding balances would bear interest at a variable rate. Although the Fund participated in the Unsecured Credit Line, it did not have any outstanding balances during the current fiscal period.
Committed Line of Credit
During the current fiscal period, the Fund, along with certain other funds managed by the Adviser ("Participating Funds"), established a 364-day, $2.53 billion standby credit facility with a group of lenders, under which the Participating Funds may borrow for various purposes other than leveraging for investment purposes. A large portion of this facility's capacity (and its associated costs as described below) is currently dedicated for use by a small number of Participating Funds, which does not include the Fund covered by this shareholder report. The remaining capacity under the facility (and the corresponding portion of the facility's annual costs) is separately dedicated to most of the other open-end funds in the Nuveen fund family, along with a number of Nuveen closed-end funds, including the Fund covered by this shareholder report. The credit facility expires in July 2016 unless extended or renewed.
The credit facility has the following terms: a fee of 0.15% per annum on unused commitment amounts, and interest at a rate equal to the higher of (a) one-month LIBOR (London Inter-Bank Offered Rate) plus 1.25% per annum or (b) the Fed Funds rate plus 1.25% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which are recognized as a component of "Other expenses" on the Statement of Operations, and along with commitment fees, have been allocated among such Participating Funds based upon the relative proportions of the facility's aggregate capacity reserved for them and other factors deemed relevant by the Adviser and the Board of each Participating Fund.
During the current fiscal period, the Fund did not utilize this facility.

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Additional Fund Information (Unaudited)

Board of Trustees
         
William Adams IV*
Jack B. Evans
William C. Hunter
David J. Kundert
John K. Nelson
William J. Schneider
Thomas S. Schreier, Jr.**
Judith M. Stockdale
Carole E. Stone
Terence J. Toth
Margaret L. Wolff
 

*
Interested Board Member.
**
Interested Board Member and will retire from the Fund's Board of Trustees effective May 31, 2016.
   

Fund Manager
Custodian
Legal Counsel
Independent Registered
Transfer Agent and
Nuveen Fund Advisors, LLC
State Street Bank
Chapman and Cutler LLP
Public Accounting Firm
Shareholder Services
333 West Wacker Drive
& Trust Company
Chicago, IL 60603
KPMG LLP
State Street Bank
Chicago, IL 60606
Boston, MA 02111
 
Chicago, IL 60601
& Trust Company
       
Nuveen Funds
       
P.O. Box 43071
       
Providence, RI 02940-3071
       
(800) 257-8787
         
Quarterly Form N-Q Portfolio of Investments Information
The Fund is required to file its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-Q. You may obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov or in person at the SEC's Public Reference Room in Washington, D.C. Call the SEC toll-free at (800) SEC-0330 for room hours and operation.
Nuveen Funds' Proxy Voting Information
You may obtain (i) information regarding how each fund voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at www.nuveen.com and (ii) a description of the policies and procedures that each fund used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll free at (800) 257-8787. You may also obtain this information directly from the SEC. Visit the SEC on-line at http://www.sec.gov.
         
CEO Certification Disclosure
The Fund's Chief Executive Officer (CEO) has submitted to the New York Stock Exchange (NYSE) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual. The Fund has filed with the SEC the certification of its CEO and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
 
         
Share Repurchases
The Fund intends to repurchase, through its open-market share repurchase program, shares of its own common stock at such times and in such amounts as is deemed advisable. During the period covered by this report, the Fund repurchased shares of its common stock as shown in the accompanying table. Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

     
NIM
 
Shares repurchased
   
 
FINRA BrokerCheck
The Financial Industry Regulatory Authority (FINRA) provides information regarding the disciplinary history of FINRA member firms and associated investment professionals. This information as well as an investor brochure describing FINRA BrokerCheck is available to the public by calling the FINRA BrokerCheck Hotline number at (800) 289-9999 or by visiting www.FINRA.org.

Nuveen Investments
 
41



Glossary of Terms Used in this Report (Unaudited)
   
Auction Rate Bond: An auction rate bond is a security whose interest payments are adjusted periodically through an auction process, which process typically also serves as a means for buying and selling the bond. Auctions that fail to attract enough buyers for all the shares offered for sale are deemed to have "failed," with current holders receiving a formula-based interest rate until the next scheduled auction.
   
Average Annual Total Return: This is a commonly used method to express an investment's performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment's actual cumulative performance (including change in NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
   
Duration: Duration is a measure of the expected period over which a bond's principal and interest will be paid, and consequently is a measure of the sensitivity of a bond's or bond fund's value to changes when market interest rates change. Generally, the longer a bond's or fund's duration, the more the price of the bond or fund will change as interest rates change.
   
Gross Domestic Product (GDP): The total market value of all final goods and services produced in a country/region in a given year, equal to total consumer, investment and government spending, plus the value of exports, minus the value of imports.
   
Net Asset Value (NAV) Per Share: A fund's Net Assets is equal to its total assets (securities, cash, accrued earnings and receivables) less its total liabilities. NAV per share is equal to the fund's Net Assets divided by its number of shares outstanding.
   
Pre-Refunding: Pre-Refunding, also known as advanced refundings or refinancings, is a procedure used by state and local governments to refinance municipal bonds to lower interest expenses. The issuer sells new bonds with a lower yield and uses the proceeds to buy U.S. Treasury securities, the interest from which is used to make payments on the higher-yielding bonds. Because of this collateral, pre-refunding generally raises a bond's credit rating and thus its value.
   
S&P Municipal Bond Intermediate Index: An unleveraged, market value-weighted index containing all of the bonds in the S&P Municipal Bond Index with maturity dates between 3 and 14.999 years. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
   
S&P Municipal Bond Index: An unleveraged, market value-weighted index designed to measure the performance of the tax-exempt, investment-grade U.S. municipal bond market. Index returns assume reinvestment of distributions, but do not reflect any applicable sales charges or management fees.
   
Zero Coupon Bond: A zero coupon bond does not pay a regular interest coupon to its holders during the life of the bond. Income to the holder of the bond comes from accretion of the difference between the original purchase price of the bond at issuance and the par value of the bond at maturity and is effectively paid at maturity. The market prices of zero coupon bonds generally are more volatile than the market prices of bonds that pay interest periodically.

42
 
Nuveen Investments



Reinvest Automatically, Easily and Conveniently
Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.
         
Nuveen Closed-End Funds Automatic Reinvestment Plan
Nuveen Closed-End Fund allows you to conveniently reinvest distributions in additional Fund shares. By choosing to reinvest, you'll be able to invest money regularly and automatically, and watch your investment grow through the power of compounding. Just like distributions in cash, there may be times when income or capital gains taxes may be payable on distributions that are reinvested. It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.
Easy and convenient
To make recordkeeping easy and convenient, each month you'll receive a statement showing your total distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.
How shares are purchased
The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net as -set value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund's shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares' net asset value or 95% of the shares' market value on the last business day imme -diately prior to the purchase date. Distributions received to purchase shares in the open market will normally be invested shortly after the distribution payment date. No interest will be paid on distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.
Flexible
You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan. The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.
Call today to start reinvesting distributions
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

Nuveen Investments
 
43



Board Members & Officers (Unaudited)
The management of the Funds, including general supervision of the duties performed for the Funds by the Adviser, is the responsibility of the Board of Trustees of the Funds. The number of trustees of the Funds is currently set at eleven. None of the trustees who are not "interested" persons of the Funds (referred to herein as "independent trustees") has ever been a director or employee of, or consultant to, Nuveen or its affiliates. The names and business addresses of the trustees and officers of the Funds, their principal occupations and other affiliations during the past five years, the number of portfolios each oversees and other directorships they hold are set forth below.

 
Name,
 
Position(s) Held
 
Year First
 
Principal
 
Number
 
Year of Birth
 
with the Funds
 
Elected or
 
Occupation(s)
 
of Portfolios
 
& Address
     
Appointed
 
Including other
 
in Fund Complex
         
and Term(1)
 
Directorships
 
Overseen by
             
During Past 5 Years
 
Board Member
                   
Independent Board Members:
           
                   
WILLIAM J. SCHNEIDER
1944
333 W. Wacker Drive
Chicago, IL 6o6o6
 


Chairman and
Board Member
 


1996
Class III
 
Chairman of Miller-Valentine Partners, a real estate investment company; Board Member of Med-America Health System and WDPR Public Radio station; formerly, Senior Partner and Chief Operating Officer (retired (2004) of Miller-Valentine Group; formerly, Board member, Business Advisory Council of the Cleveland Federal Reserve Bank and University of Dayton Business School Advisory Council; past Chair and Director, Dayton Development Coalition.
 


189
                   
JACK B. EVANS
1948
333 W. Wacker Drive
Chicago, IL 6o6o6
 


Board Member
 


1999
Class III
 
President, The Hall-Perrine Foundation, a private philanthropic corporation (since 1996); Director and Chairman, United Fire Group, a publicly held company; Director, The Gazette Company; Life Trustee of Coe College and the Iowa College Foundation; formerly, President Pro-Tem of the Board of Regents for the State of Iowa University System; formerly, Director, Alliant Energy; formerly, Director, Federal Reserve Bank of Chicago; formerly, President and Chief Operating Officer, SCI Financial Group, Inc., a regional financial services firm.
 


189
                   
WILLIAM C. HUNTER
1948
333 W. Wacker Drive
Chicago, IL 6o6o6
 


Board Member
 


2004
Class I
 
Dean Emeritus, formerly, Dean, Tippie College of Business, University of Iowa (2006-2012); Director (since 2004) of Xerox Corporation; Director (since 2005), and past President (2010-2014) Beta Gamma Sigma, Inc., The International Business Honor Society; Director of Wellmark, Inc. (since 2009); formerly, Dean and Distinguished Professor of Finance, School of Business at the University of Connecticut (2003-2006); previously, Senior Vice President and Director of Research at the Federal Reserve Bank of Chicago (1995-2003); formerly, Director (1997-2007), Credit Research Center at Georgetown University.
 


189
                   
DAVID J. KUNDERT
1942
333 W. Wacker Drive
Chicago, IL 6o6o6
 


Board Member
 


2005
Class II
 
Formerly, Director, Northwestern Mutual Wealth Management Company (2006-2013), retired (since 2004) as Chairman, JPMorgan Fleming Asset Management, President and CEO, Banc One Investment Advisors Corporation, and President, One Group Mutual Funds; prior thereto, Executive Vice President, Banc One Corporation and Chairman and CEO, Banc One Investment Management Group; Regent Emeritus, Member of Investment Committee, Luther College; member of the Wisconsin Bar Association; member of Board of Directors and Chair of Investment Committee, Greater Milwaukee Foundation; member of the Board of Directors (Milwaukee), College Possible; Board member of Milwaukee Repertory Theatre (since 2016).
 


189

44
 
Nuveen Investments



 
Name,
 
Position(s) Held
 
Year First
 
Principal
 
Number
 
Year of Birth
 
with the Funds
 
Elected or
 
Occupation(s)
 
of Portfolios
 
& Address
     
Appointed
 
Including other
 
in Fund Complex
         
and Term(1)
 
Directorships
 
Overseen by
             
During Past 5 Years
 
Board Member
Independent Board Members (continued):              
                   
JOHN K. NELSON
1962
333 W. Wacker Drive
Chicago, IL 6o6o6
 


Board Member
 


2013
Class II
 
Member of Board of Directors of Core12 LLC (since 2008), a private firm which develops branding, marketing and communications strategies for clients; Director of The Curran Center for Catholic American Studies (since 2009) and The President's Council, Fordham University (since 2010); formerly, senior external advisor to the financial services practice of Deloitte Consulting LLP (2012- 2014): formerly, Chairman of the Board of Trustees of Marian University (2010 as trustee, 2011-2014 as Chairman); formerly, Chief Executive Officer of ABN AMRO N.V. North America, and Global Head of its Financial Markets Division (2007-2008); prior senior positions held at ABN AMRO include Corporate Executive Vice President and Head of Global Markets-the Americas (2006- 2007), CEO of Wholesale Banking North America and Global Head of Foreign Exchange and Futures Markets (2001-2006), and Regional Commercial Treasurer and Senior Vice President Trading – North America (1996-2001); formerly, Trustee at St. Edmund Preparatory School in New York City.
 


189
                   
JUDITH M. STOCKDALE
1947
333 W. Wacker Drive
Chicago, IL 6o6o6
 


Board Member
 


1997
Class I
 
Board Member, Land Trust Alliance (since 2013) and U.S. Endowment for Forestry and Communities (since 2013); formerly, Executive Director (1994-2012), Gaylord and Dorothy Donnelley Foundation; prior thereto, Executive Director, Great Lakes Protection Fund (1990-1994).
 
189
                   
CAROLE E. STONE
1947
333 W. Wacker Drive
Chicago, IL 6o6o6
 


Board Member
 


2007
Class I
 
Director, Chicago Board Options Exchange, Inc. (since 2006); Director, C2 Options Exchange, Incorporated (since 2009); Director, CBOE Holdings, Inc. (since 2010); formerly, Commissioner, New York State Commission on Public Authority Reform (2005-2010).
 


189
                   
TERENCE J. TOTH
1959
333 W. Wacker Drive
Chicago, IL 6o6o6
 


Board Member
 


2008
Class II
 
Managing Partner, Promus Capital (since 2008); Director, Fulcrum IT Service LLC (since 2010), Quality Control Corporation (since 2012) and LogicMark LLC (since 2012); member: Chicago Fellowship Board (since 2005), Catalyst Schools of Chicago Board (since 2008) and Mather Foundation Board (since 2012), and chair of its investment committee; formerly, Director, Legal & General Investment Management America, Inc. (2008-2013); formerly, CEO and President, Northern Trust Global Investments (2004-2007): Executive Vice President, Quantitative Management & Securities Lending (2000-2004); prior thereto, various positions with Northern Trust Company (since 1994); formerly, Member, Northern Trust Mutual Funds Board (2005-2007), Northern Trust Global Investments Board (2004-2007), Northern Trust Japan Board (2004-2007), Northern Trust Securities Inc. Board (2003-2007) and Northern Trust Hong Kong Board (1997-2004).
 


189
                   
MARGARET L. WOLFF
1955
333 W. Wacker Drive
Chicago, IL 6o6o6
 


Board Member
 


2016
Class I
 
Member of the Board of Directors (since 2013) of Travelers Insurance Company of Canada and The Dominion of Canada General Insurance Company (each, a part of Travelers Canada, the Canadian operation of The Travelers Companies, Inc.); formerly, Of Counsel, Skadden, Arps, Slate, Meagher & Flom LLP (Mergers & Acquisitions Group) (2005-2014); Member of the Board of Trustees of New York- Presbyterian Hospital (since 2005); Member (since 2004) and Chair (since 2015) of the Board of Trustees of The John A. Hartford Foundation (a philanthropy dedicated to improving the care of older adults); formerly, Member (2005-2015) and Vice Chair (2011-2015) of the Board of Trustees of Mt. Holyoke College.
 


189

Nuveen Investments
 
45



Board Members & Officers (Unaudited) (continued)

 
Name,
 
Position(s) Held
 
Year First
 
Principal
 
Number
 
Year of Birth
 
with the Funds
 
Elected or
 
Occupation(s)
 
of Portfolios
 
& Address
     
Appointed
 
Including other
 
in Fund Complex
         
and Term(1)
 
Directorships
 
Overseen by
             
During Past 5 Years
 
Board Member
                   
Interested Board Members: