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Table of Contents

Chairman’s Letter to Shareholders	4
Portfolio Manager’s Comments	5
Share Information	9
Risk Considerations	11
Performance Overview and Holding Summaries	12
Report of Independent Registered Public Accounting Firm	14
Portfolio of Investments	15
Statement of Assets and Liabilities	30
Statement of Operations	31
Statement of Changes in Net Assets	32
Financial Highlights	34
Notes to Financial Statements	36
Additional Fund Information	44
Glossary of Terms Used in this Report	45
Reinvest Automatically, Easily and Conveniently	46
Board Members & Officers	47

 

3

 

Dear Shareholders,

After a prolonged absence, volatility has returned to the markets in 2018. Last year, the markets seemed willing to shrug off any bad news. But in the first few months of 2018, a backdrop of greater economic uncertainty has made markets more reactive to daily headlines. As interest rates have moved off of historic lows and inflation has ticked higher, the economy’s ability to withstand tighter financial conditions is hard to predict. At the same time, there are concerns that the newly enacted tax reform could overheat the economy. How the U.S. Federal Reserve (Fed) will manage these conditions is under intense scrutiny, particularly in light of the Fed’s leadership change in February 2018.

Growth forecasts for the world’s major economies remain expansionary, although some indicators have pointed to slower momentum this year. Moreover, inflationary pressures and tightening financial conditions could become headwinds, and trade policy and geopolitics remain uncertain. A trade war has implications for both the supply and demand sides of the economy, which complicates the outlook for businesses, consumers and the economy as a whole.

While the risks surrounding trade, monetary and fiscal policy may have increased, there is still opportunity for upside. Recession risk continues to look low, global economies are still expanding and corporate profits have continued to be healthy. Fundamentals, not headlines, drive markets over the long term. And, it’s easy to forget the relative calm over the past year was the outlier. A return to more historically normal volatility levels is both to be expected and part of the healthy functioning of the markets.

Context and perspective are important. If you’re investing for long-term goals, stay focused on the long term, as temporary bumps may smooth over time. Individuals that have shorter timeframes could also benefit from sticking to a clearly defined investment strategy with a portfolio designed for short-term needs. Your financial advisor can help you determine if your portfolio is properly aligned with your goals, timeline and risk tolerance, as well as help you differentiate the noise from what really matters. 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,

 

 

4

Portfolio Manager’s Comments

Nuveen Select Maturities Municipal Fund (NIM)

This Fund features portfolio management by Nuveen Asset Management, LLC (NAM), an affiliate of Nuveen, LLC. Portfolio manager Paul L. Brennan, CFA, reviews U.S. economic and municipal market conditions, key investment strategies and the twelve-month performance of the Nuveen Select Maturities Municipal Fund (NIM). Paul has managed NIM since 2006.

What factors affected the U.S. economy and the national municipal bond market during the twelve-month reporting period ended March 31, 2018?

After hovering near an annual pace of 3% for most of the reporting period, U.S. gross domestic product (GDP) growth cooled to 2.3% in the first quarter of 2018, according to the Bureau of Economic Analysis “advance” estimate. GDP is the value of 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. A beginning-of-the-year slowdown was expected given the seasonal trend of slower first quarter growth seen over the past few years and the delayed impact of tax cuts on workers’ paychecks.

Nevertheless, consumer spending, boosted by employment and wage gains, continued to drive the economy. The Atlantic coast hurricanes in September and October 2017 temporarily weakened shopping and dining out activity, but rebuilding efforts had a positive impact on the economy. Although business investment slowed in early 2018 from the gains seen in the second half of 2017, business sentiment remained strong and hiring continued to boost employment. As reported by the Bureau of Labor Statistics, the unemployment rate fell to 4.1% in March 2018 from 4.5% in March 2017 and job gains averaged around 188,000 per month for the past twelve months. While the jobs market has continued to tighten, wage growth has remained lackluster during this economic recovery. However, the January jobs report revealed an unexpected pickup in wages, which triggered a broad sell-off in equities, despite tame inflation readings. The Consumer Price Index (CPI) increased 2.4% over the twelve-month reporting period ended March 31, 2018 on a seasonally adjusted basis, as reported by the Bureau of Labor Statistics. The core CPI (which excludes food and energy) increased 2.1% during the same period, slightly above the Federal Reserve’s (Fed) unofficial longer term inflation objective of 2.0%.

 

---

This material is not intended to be a recommendation or investment advice, does not constitute a solicitation to buy or sell securities, and is not provided in a fiduciary capacity. The information provided does not take into account the specific objectives or circumstances of any particular investor, or suggest any specific course of action. Investment decisions should be made based on an investor’s objectives and circumstances and in consultation with his or her advisors.

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 Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.

For financial reporting purposes, the ratings disclosed are the highest rating given by one of the following national rating agencies: Standard & Poor’s Group (S&P), Moody’s Investors Service, Inc. (Moody’s) or Fitch, Inc. (Fitch). This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. Credit ratings are subject to change. AAA, AA, A and BBB are investment grade ratings, while BB, B, CCC, CC, C and D are below investment grade ratings. 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.

 

5

Portfolio Manager’s Comments (continued)

The housing market also continued to improve with low mortgage rates and low inventory driving home prices higher. The S&P CoreLogic Case-Shiller U.S. National Home Price Index, which covers all nine U.S. census divisions, recorded a 6.3% annual gain in February 2018 (most recent data available at the time this report was prepared). The 10-City and 20-City Composites reported year-over-year increases of 6.5% and 6.8%, respectively.

With the U.S. economy delivering a sustainable growth rate and employment strengthening, the Fed’s policy making committee continued to incrementally raise its main benchmark interest rate. The most recent increase, in March 2018, was the sixth rate hike since December 2015. In addition, in October 2017, the Fed began reducing its balance sheet by allowing a small amount of maturing Treasury and mortgage securities to roll off without reinvestment. The market expects the pace to remain moderate and predictable, with minimal market disruption.

Fed Chair Janet Yellen’s term expired in February 2018, and incoming Chairman Jerome Powell indicated he would likely maintain the Fed’s gradual pace of interest rate hikes. At the March meeting, the Fed kept its projection for three interest rate increases in 2018. However, investors remained concerned that the 2017 Tax Cuts and Jobs Act fiscal stimulus and a recent pick-up in inflation have increased the risk of a Fed policy misstep.

The markets also continued to react to geopolitical news. Protectionist rhetoric had been garnering attention across Europe, as anti-European Union (EU) sentiment featured prominently (although did not win a majority) in the Dutch, French, German and Italian elections held in 2017 and early 2018. In March, the U.S.’s surprise announcement of steel and aluminum tariffs, followed by China’s retaliatory measures, sparked fears of a trade war and added uncertainty to the ongoing North American Free Trade Agreement (NAFTA) talks. Also in March 2018, the U.K. and EU agreed in principle to the Brexit transition terms, opening the door to the next round of negotiation dealing with trade and security issues. The U.S. Treasury issued additional sanctions on Russia (announced in April 2018, after the close of the reporting period) and speculation increased that Iran would be next.

The broad municipal bond market gained moderately in this reporting period, although not without volatility. For most of the reporting period, municipal bonds continued to rebound from the post-election sell-off in the fourth quarter of 2016. After President Trump’s surprising win, bond markets repriced his reflationary fiscal agenda, driving interest rates higher. Municipal bonds suffered a surge in investor outflows due to speculation that the Trump administration’s tax reform proposals could adversely impact municipal bonds.

However, the economy sustained its moderate growth with low inflation, an improving jobs market and modest wage growth, and progress on the White House’s agenda was slow. This backdrop helped municipal bond yields and valuations return to pre-election levels and reverse the trend of outflows. Fundamental credit conditions continued to be favorable overall, while the ongoing high-profile difficulties in Puerto Rico, Illinois and New Jersey were contained.

After the new administration’s health care and immigration reforms met obstacles, Congress refocused on tax reform initiatives in the latter months of 2017. Early drafts of the bill fostered significant uncertainty about the impact on the municipal bond market, leading municipal bonds to underperform taxable bonds in December and provoking issuers to rush bond offerings ahead of the pending tax law. Issuance in December reached an all-time high of $62.5 billion, exacerbating the market’s price decline during the month. However, all of the supply was absorbed and municipal bond valuations subsequently returned to more typical levels.

The final tax reform legislation signed on December 27, 2017 largely spared municipal bonds and was considered neutral to positive for the municipal market overall. Notably, a provision that would have eliminated the tax-preferred status of 20 to 30% of the municipal bond market was not included in the final bill. Moreover, investors were relieved that the adopted changes apply only to newly issued municipal bonds and also could be beneficial from a technical standpoint. Because new issue advance refunding bonds are no longer tax exempt, the total supply of municipal bonds will decrease going forward, boosting the scarcity value of

 

6

existing municipal bonds. The new tax law also caps the state and local tax (SALT) deduction for individuals, which will likely increase demand for tax-exempt municipal bonds, especially in states with high income and/or property taxes.

Following the issuance surge in late 2017, issuance remained sharply lower in early 2018. However, the overall balance of municipal bond supply and demand remained advantageous for prices. Municipal bond issuance nationwide totaled $406.9 billion in this reporting period, an 8.3% drop from the issuance for the twelve-month reporting period ended March 31, 2017. The robust pace of issuance seen since the low volume depths of 2011 began to moderate in 2017 as interest rates moved higher. Despite the increase, the overall level of interest rates still remained low, encouraging issuers to continue to actively refund their outstanding debt. 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. So, while gross issuance volume has been strong, the net has not, and this was an overall positive technical factor on municipal bond investment performance in recent years. Although the pace of refundings is slowing, net negative issuance is expected to continue.

Despite the volatility surrounding the potential tax law changes, demand remained robust and continued to outstrip supply. Low global interest rates have continued to drive investors toward higher after-tax yielding assets, including U.S. municipal bonds. As a result, municipal bond fund inflows steadily increased in 2017 overall.

What key strategies were used to manage NIM during the twelve-month reporting period ended March 31, 2018?

Municipal bonds benefited from a generally favorable macroeconomic backdrop, despite the uncertainties surrounding the tax reform bill and headline-driven noise about trade policy. Credit spreads narrowed, as sentiment improved after the fourth-quarter sell-off and municipal bond fund flows reversed from net negative to net positive. Rates in the short to intermediate range moved higher with the Fed’s rate hikes, while rates on the long end declined slightly amid low inflation, which resulted in a flatter yield curve during this reporting period. We continued to take a bottom-up approach to discovering sectors that appeared undervalued as well as individual credits that we believed had the potential to perform well over the long term.

The Fund’s overall positioning remained relatively unchanged during the reporting period, emphasizing an intermediate-term average maturity focus along with longer maturities, lower rated credits and sectors offering higher yields. We continued to seek attractive relative value opportunities to enhance the Funds’ long-term performance potential. The Fund’s purchases included credits from a range of sectors, including higher education, utilities, tax supported, transportation and industrial development revenue (IDR). Cash for new purchases was generated primarily by proceeds from called and matured bonds, which we worked to redeploy to keep NIM fully invested and support the Fund’s income stream. Because NIM is an intermediate maturity Fund, it typically has a greater number of bonds maturing or being called than funds with longer average maturity targets. We also sold some shorter dated and/or higher quality bonds to take advantage of more appealing long-term opportunities.

How did NIM perform during the twelve-month reporting period ended March 31, 2018?

The table in NIM’s Performance Overview and Holding Summaries section of this report provides total returns for the Fund for the one-year, five-year and ten-year periods ended March 31, 2018. The Fund’s returns are compared with the performance of a corresponding market index.

For the twelve months ended March 31, 2018, the total return on net asset value (NAV) for NIM outperformed the return for the S&P Municipal Bond Intermediate Index.

 

7

Portfolio Manager’s Comments (continued)

The factors affecting the Fund’s performance during this reporting period included duration and yield curve positioning, credit exposure, sector allocation and credit selection. The Fund was positioned with an overall shorter duration than the benchmark, which was advantageous during this reporting period. Although the Fund’s slight overweight to longer maturity bonds was beneficial to performance, relative gains were offset by the Fund’s exposures to short maturity paper, which lagged. Lower credit qualities outperformed higher credit qualities in this reporting period, resulting in a positive contribution from the Fund’s overweight to bonds rated A and below. NIM’s sector allocations were favorable to performance, particularly in hospitals, tobacco, transportation and industrial development revenue (IDR). Additionally, our individual credit selection added value, most notably in Chicago and Chicago-related bonds.

Given the continued news about economic problems in Puerto Rico, we should note that NIM has no exposure to Puerto Rico bonds.

 

8

 

Share Information

DISTRIBUTION INFORMATION

The following information regarding the Fund’s distributions is current as of March 31, 2018. The Fund’s distribution levels may vary over time based on its investment activity and portfolio investment value changes.

	Per Share
Monthly Distributions (Ex-Dividend Date)	Amounts
April 2017	0.0260
May	0.0260
June	0.0260
July	0.0260
August	0.0260
September	0.0260
October	0.0260
November	0.0260
December	0.0279
January	0.0260
February	0.0260
March 2018	0.0260
Total Distributions from Net Investment Income	0.3139
Yields
Market Yield*	3.22%
Taxable-Equivalent Yield*	4.24%
*  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 24.0%. When comparing the Fund to investments that generate qualified dividend income, the Taxable-Equivalent Yield would be 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, 2018, the Fund had a positive UNII balance for tax purposes and a positive UNII balance for financial reporting purposes.

All monthly dividends paid by the Fund during the current reporting period were paid from net investment income. If a portion of the Fund’s monthly distributions was sourced from or comprised of elements other than net investment income, including capital gains and/or a return of capital, the Fund’s shareholders would have received a notice to that effect. For financial reporting purposes, the

 

9

Share Information (continued)

 

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 2017, 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, 2018, 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, 2018, 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		$	10.34
Share price		$	9.69
Premium/(Discount) to NAV			(6.29	)%
12-month average premium/(discount) to NAV			(3.83	)%

 

10

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.

 

11

 

NIM	Nuveen Select Maturities Municipal Fund  Performance Overview and Holding Summaries as of March 31, 2018

 

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, 2018

 

		Average Annual
	1-Year	5-Year	10-Year
NIM at NAV	3.65%	2.62%	3.92%
NIM at Share Price	0.67%	1.92%	3.58%
S&P Municipal Bond Intermediate Index	1.96%	2.44%	4.26%

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.

 

12

 

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.

For financial reporting purposes, the ratings disclosed 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. This treatment of split-rated securities may differ from that used for other purposes, such as for Fund investment policies. 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. Holdings designated N/R are not rated by these national rating agencies.

Fund Allocation
(% of net assets)
Long-Term Municipal Bonds	98.6%
Corporate Bonds	0.0%
Short-Term Municipal Bonds	0.4%
Other Assets Less Liabilities	1.0%
Net Assets	100%

 

Portfolio Credit Quality
(% of total investments)
U.S. Guaranteed	9.7%
AAA	3.4%
AA	20.8%
A	33.0%
BBB	21.6%
BB or Lower	7.4%
N/R (not rated)	4.1%
Total	100%

 

Portfolio Composition
(% of total investments)
Tax Obligation/Limited	16.6%
Transportation	16.1%
Utilities	14.6%
Tax Obligation/General	13.1%
Health Care	13.1%
U.S. Guaranteed	9.7%
Education and Civic Organizations	5.0%
Consumer Staples	4.8%
Other	7.0%
Total	100%

 

States and Territories
(% of total municipal bonds)
Illinois	16.5%
New Jersey	8.0%
Texas	6.3%
Pennsylvania	6.1%
California	5.9%
Ohio	5.2%
Florida	4.4%
Wisconsin	4.1%
New York	4.0%
South Carolina	3.7%
Louisiana	3.3%
Arizona	3.1%
Nevada	2.3%
Washington	2.3%
Colorado	2.1%
Indiana	2.1%
Connecticut	1.9%
Other	18.7%
Total	100%

 

13

 

Report of Independent Registered Public Accounting Firm

 

 

To the Shareholders and Board of Trustees of
Nuveen Select Maturities Municipal Fund


Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities of Nuveen Select Maturities Municipal Fund (the “Fund”), including the portfolio of investments, as of March 31, 2018, the related statement of operations for the year then ended, the statements of changes in net assets for each of the years in the two-year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years in the four-year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of March 31, 2018, the results of its operations for the year then ended, the changes in its net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years in the four-year period then ended, in conformity with U.S. generally accepted accounting principles. The financial highlights for the year ended March 31, 2014 were audited by other independent registered public accountants whose report dated May 27, 2014, expressed an unqualified opinion on those financial highlights.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of March 31, 2018, by correspondence with the custodian and brokers or other appropriate auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.

 

/s/ KPMG LLP

We have served as the auditor of one or more Nuveen investment companies since 2014.

 

14

NIM	Nuveen Select Maturities Municipal Fund Portfolio of Investments March 31, 2018

 

Principal			Optional Call
Amount (000)		Description (1)	Provisions (2)	Ratings (3)	Value
		LONG-TERM INVESTMENTS – 98.6%
		MUNICIPAL BONDS – 98.6%
		Alabama – 1.0%
$      210		Black Belt Energy Gas District, Alabama, Gas PrePay Revenue Bonds, Project 3 Series 2018A.,	9/23 at 100.31	N/R	$      225,422
		4.000%, 12/01/48
500		Black Belt Energy Gas District, Alabama, Gas Supply Revenue Bonds, Series 2016A, 4.000%,	3/21 at 100.59	A1	526,385
		7/01/46 (Mandatory put 6/01/21)
350		Black Belt Energy Gas District, Alabama, Gas Supply Revenue Bonds, Series 2017A, 4.000%,	4/22 at 100.52	A1	371,732
		8/01/47 (Mandatory put 7/01/22)
125		Mobile Spring Hill College Educational Building Authority, Alabama, Revenue Bonds, Spring Hill	4/25 at 100.00	N/R	128,126
		College Project, Series 2015, 5.000%, 4/15/27
1,185		Total Alabama			1,251,665
		Alaska – 0.2%
150		Alaska Industrial Development and Export Authority, Loan Anticipation Revenue Notes, YKHC	12/19 at 100.00	N/R	152,250
		Project, Series 2017, 3.500%, 12/01/20
155		Alaska State, Sport Fishing Revenue Bonds, Refunding Series 2011, 5.000%, 4/01/21	4/20 at 100.00	A1	163,829
305		Total Alaska			316,079
		Arizona – 3.1%
		Arizona Health Facilities Authority, Hospital System Revenue Bonds, Phoenix Children’s
		Hospital, Refunding Series 2012A:
275		5.000%, 2/01/20	No Opt. Call	A–	289,371
290		5.000%, 2/01/27	2/22 at 100.00	A–	312,666
		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	460,560
685		5.000%, 7/01/26	7/22 at 100.00	A1	740,040
685		5.000%, 7/01/27	7/22 at 100.00	A1	737,204
120		Phoenix Industrial Development Authority, Arizona, Education Facility Revenue Bonds, Legacy	7/19 at 101.00	N/R	117,744
		Traditional Schools East Mesa and Cadence, Nevada Campuses, Series 2017A, 4.000%, 7/01/22, 144A
115		Pima County Industrial Development Authority, Arizona, Revenue Bonds, Tucson Electric Power	3/23 at 100.00	A–	121,180
		Company Project, Series 2013A, 4.000%, 9/01/29
		Salt Verde Financial Corporation, Arizona, Senior Gas Revenue Bonds, Citigroup Energy Inc.
		Prepay Contract Obligations, Series 2007:
135		5.250%, 12/01/19	No Opt. Call	BBB+	142,016
210		5.000%, 12/01/32	No Opt. Call	BBB+	246,933
705		5.000%, 12/01/37	No Opt. Call	BBB+	837,667
3,645		Total Arizona			4,005,381
		Arkansas – 0.4%
540		Independence County, Arkansas, Pollution Control Revenue Bonds, Arkansas Power and Light	No Opt. Call	A	544,655
		Company Project, Series 2013, 2.375%, 1/01/21
		California – 5.9%
300		Alameda Corridor Transportation Authority, California, Revenue Bonds, Refunding Senior Lien	No Opt. Call	A	345,093
		Series 2013A, 5.000%, 10/01/23
390		California Health Facilities Financing Authority, Revenue Bonds, El Camino Hospital, Series	2/27 at 100.00	A+	396,150
		2017, 3.750%, 2/01/32
275		California Municipal Finance Authority, Charter School Revenue Bonds, Palmdale Aerospace	7/26 at 100.00	BB	289,201
		Academy Project, Series 2016A, 5.000%, 7/01/31, 144A

 

15

NIM	Nuveen Select Maturities Municipal Fund Portfolio of Investments (continued) March 31, 2018

 

Principal			Optional Call
Amount (000)		Description (1)	Provisions (2)	Ratings (3)	Value
		California (continued)
$    105		California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Waste	No Opt. Call	A–	$    107,171
		Management Inc., Refunding Series 2015B-2, 3.125%, 11/01/40 (Mandatory put 11/03/25)
		(Alternative Minimum Tax)
290		California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Waste	No Opt. Call	A–	301,049
		Management Inc., Series 2015A-1, 3.375%, 7/01/25 (Alternative Minimum Tax)
205		California Pollution Control Financing Authority, Solid Waste Disposal Revenue Bonds, Waste	No Opt. Call	A–	207,919
		Management, Inc. Project, Refunding Series 2015B-1, 3.000%, 11/01/25 (Alternative Minimum Tax)
525		California State, General Obligation Bonds, Various Purpose Series 2010, 5.500%, 3/01/40	3/20 at 100.00	AA–	561,115
125		California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda	12/24 at 100.00	BB+	138,282
		University Medical Center, Series 2014A, 5.250%, 12/01/29
250		Delano, California, Certificates of Participation, Delano Regional Medical Center, Series	1/23 at 100.00	BBB	264,233
		2012, 5.000%, 1/01/24
145		Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed	5/18 at 100.00	B+	145,145
		Bonds, Series 2007A-1, 5.000%, 6/01/33
100		Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills	9/24 at 100.00	N/R	109,748
		Improvement Area A & C, Series 2014C, 5.000%, 9/01/32
325		Lake Elsinore Redevelopment Agency, California, Special Tax Bonds, Community Facilities	6/18 at 100.00	AA	325,670
		District 90-2, Series 2007A, 4.500%, 10/01/24 – AGM Insured
1,000		Mount San Antonio Community College District, Los Angeles County, California, General	2/28 at 100.00	Aa1	963,680
		Obligation Bonds, Election of 2008, Series 2013A, 0.000%, 8/01/28 (4)
2,000		Palomar Pomerado Health, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/25 –	No Opt. Call	AA	1,613,740
		AGC Insured
35		Riverside County Transportation Commission, California, Toll Revenue Senior Lien Bonds, Series	6/23 at 100.00	BBB–	39,037
		2013A, 5.750%, 6/01/44
2,000		San Diego Community College District, California, General Obligation Bonds, Refunding Series	No Opt. Call	AAA	1,016,980
		2011, 0.000%, 8/01/37
415		San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue	1/25 at 100.00	BBB	466,394
		Bonds, Refunding Senior Lien Series 2014A, 5.000%, 1/15/29
215		Washington Township Health Care District, California, Revenue Bonds, Refunding Series 2015A,	No Opt. Call	Baa1	243,550
		5.000%, 7/01/25
8,700		Total California			7,534,157
		Colorado – 2.1%
750		Colorado Bridge Enterprise, Revenue Bonds, Central 70 Project, Senior Series 2017., 4.000%,	12/27 at 100.00	A–	781,965
		6/30/30 (Alternative Minimum Tax)
250		Colorado Health Facilities Authority, Colorado, Revenue Bonds, Catholic Health Initiatives,	No Opt. Call	BBB+	273,240
		Series 2008D-3, 5.000%, 10/01/38 (Mandatory put 11/12/21)
		E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2000B:
300		0.000%, 9/01/29 – NPFG Insured	No Opt. Call	A–	203,736
250		0.000%, 9/01/33 – NPFG Insured	No Opt. Call	A–	142,737
5		E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2007A-1, 5.250%,	No Opt. Call	A–	5,077
		9/01/18 – NPFG Insured
1,000		E-470 Public Highway Authority, Colorado, Toll Revenue Bonds, Series 2004B, 0.000%, 3/01/36 –	9/20 at 41.72	A–	388,770
		NPFG Insured
500		Plaza Metropolitan District 1, Lakewood, Colorado, Tax Increment Revenue Bonds, Refunding	No Opt. Call	N/R	530,245
		Series 2013, 5.000%, 12/01/20, 144A
210		Regional Transportation District, Colorado, Denver Transit Partners Eagle P3 Project Private	7/20 at 100.00	BBB+	225,865
		Activity Bonds, Series 2010, 6.000%, 1/15/41
100		Southlands Metropolitan District 1, Colorado, Limited Tax General Obligation Bonds, Series	No Opt. Call	Ba1	99,106
		2017A-1, 3.500%, 12/01/27
3,365		Total Colorado			2,650,741

 

16

 

Principal			Optional Call
Amount (000)		Description (1)	Provisions (2)	Ratings (3)	Value
		Connecticut – 1.8%
$    100		Connecticut Health and Educational Facilities Authority, Revenue Bonds, Healthcare Facility	5/18 at 100.00	N/R	$    100,083
		Expansion Church Home of Hartford Inc. Project, TEMPS-50 Series 2016B-2, 2.875%, 9/01/20, 144A
2,000		Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University,	No Opt. Call	AAA	2,266,880
		Series 2017C-2, 5.000%, 7/01/57 (Mandatory put 2/01/23)
2,100		Total Connecticut			2,366,963
		Delaware – 0.1%
170		Delaware Health Facilities Authority, Revenue Bonds, Nanticoke Memorial Hospital, Series 2013,	7/23 at 100.00	BBB	183,889
		5.000%, 7/01/28
		District of Columbia – 0.9%
120		District of Columbia Student Dormitory Revenue Bonds, Provident Group – Howard Properties LLC	10/22 at 100.00	BB+	122,906
		Issue, Series 2013, 5.000%, 10/01/30
935		District of Columbia Tobacco Settlement Corporation, Tobacco Settlement Asset-Backed Bonds,	No Opt. Call	A–	1,061,103
		Series 2001, 6.500%, 5/15/33
1,055		Total District of Columbia			1,184,009
		Florida – 3.9%
295		Cape Coral, Florida, Utility Improvement Assessment Bonds, Refunding Various Areas Series	No Opt. Call	AA	291,094
		2017, 3.000%, 9/01/28 – AGM Insured
		Citizens Property Insurance Corporation, Florida, Coastal Account Senior Secured Bonds, Series
		2015A-1:
555		5.000%, 6/01/22	12/21 at 100.00	AA	611,005
390		5.000%, 6/01/25	12/24 at 100.00	AA	447,923
200		Citizens Property Insurance Corporation, Florida, High-Risk Account Revenue Bonds, Coastal	No Opt. Call	AA	201,100
		Account Senior Secured Series 2011A-1, 5.000%, 6/01/18
		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	50,275
455		5.000%, 6/01/20	No Opt. Call	AA	485,116
		Collier County Educational Facilities Authority, Florida, Revenue Bonds, Hodges University,
		Refunding Series 2013:
80		4.750%, 11/01/23	No Opt. Call	BBB–	84,238
370		6.000%, 11/01/33	11/23 at 100.00	BBB–	409,575
985		Florida, Development Finance Corporation, Surface Transportation Facility Revenue Bonds,	1/19 at 105.00	N/R	1,015,023
		Brightline Passenger Rail Project – South Segment, Series 2017., 5.625%, 1/01/47, 144A
		(Alternative Minimum Tax)
		Miami-Dade County, Florida, Public Facilities Revenue Bonds, Jackson Health System, Series 2009:
10		5.500%, 6/01/29 (Pre-refunded 6/01/19) – AGM Insured	6/19 at 100.00	AA (5)	10,448
10		5.625%, 6/01/34 (Pre-refunded 6/01/19) – AGC Insured	6/19 at 100.00	AA (5)	10,462
480		North Sumter County Utility Dependent District, Florida, Utility Revenue Bonds, Series 2010,	No Opt. Call	A	503,563
		5.000%, 10/01/20
90		Palm Beach County Health Facilities Authority, Florida, Hospital Revenue Bonds, BRCH	12/24 at 100.00	BBB+	98,459
		Corporation Obligated Group, Refunding Series 2014, 5.000%, 12/01/31
		Tampa, Florida, Cigarette Tax Allocation Bonds, H. Lee Moffitt Cancer Center Project,
		Refunding & Capital Improvement Series 2012A:
135		5.000%, 9/01/22	No Opt. Call	A+	150,564
350		5.000%, 9/01/23	9/22 at 100.00	A+	389,886
185		5.000%, 9/01/25	9/22 at 100.00	A+	204,852
4,640		Total Florida			4,963,583
		Georgia – 0.9%
180		Cherokee County Water and Sewerage Authority, Georgia, Revenue Bonds, Series 1995, 5.200%,	8/22 at 100.00	N/R (5)	192,492
		8/01/25 (Pre-refunded 8/01/22) – NPFG Insured
900		Private Colleges and Universities Authority, Georgia, Revenue Bonds, Mercer University,	10/22 at 100.00	Baa2	1,024,299
		Refunding Series 2012C, 5.250%, 10/01/23
1,080		Total Georgia			1,216,791

 

17

Principal			Optional Call
Amount (000)		Description (1)	Provisions (2)	Ratings (3)	Value
		Guam – 0.3%
$    140		Guam Government Waterworks Authority, Water and Wastewater System Revenue Bonds,	7/23 at 100.00	A–	$    153,091
		Series 2013, 5.500%, 7/01/43
150		Guam International Airport Authority, Revenue Bonds, Series 2013C, 6.375%, 10/01/43	10/23 at 100.00	BBB	171,831
		(Alternative Minimum Tax)
290		Total Guam			324,922
		Hawaii – 1.4%
200		Hawaii Department of Budget and Finance, Special Purpose Revenue Bonds, Hawaii Pacific	7/23 at 100.00	BB	210,276
		University, Series 2013A, 6.250%, 7/01/27
1,000		Hawaii Department of Budget and Finance, Special Purpose Revenue Bonds, Hawaiian Electric	No Opt. Call	A–	992,920
		Company, Inc. and Subsidiary Projects, Series 2017A, 3.100%, 5/01/26 (Alternative Minimum Tax)
20		Hawaii Department of Budget and Finance, Special Purpose Revenue Bonds, Queens Health	7/25 at 100.00	AA–	22,894
		Systems, Series 2015A, 5.000%, 7/01/29
510		Hawaiian Electric Company Inc. and Its Subsidiaries, Special Purpose Revenue Bonds,	No Opt. Call	A–	516,778
		Department of Budget and Finance of the State of Hawaii, Series 2015, 3.250%, 1/01/25
		(Alternative Minimum Tax)
1,730		Total Hawaii			1,742,868
		Idaho – 0.4%
575		Nez Perce County, Idaho, Pollution Control Revenue Bonds, Potlatch Corporation Project,	No Opt. Call	BB+	567,577
		Refunding Series 2016, 2.750%, 10/01/24, 144A
		Illinois – 16.3%
		Cary, Illinois, Special Tax Bonds, Special Service Area 1, Refunding Series 2016:
10		2.150%, 3/01/23 – BAM Insured	No Opt. Call	AA	9,555
10		2.350%, 3/01/24 – BAM Insured	No Opt. Call	AA	9,513
25		2.700%, 3/01/26 – BAM Insured	3/25 at 100.00	AA	23,534
25		2.900%, 3/01/28 – BAM Insured	3/25 at 100.00	AA	23,002
25		3.050%, 3/01/30 – BAM Insured	3/25 at 100.00	AA	23,314
		Cary, Illinois, Special Tax Bonds, Special Service Area 2, Refunding Series 2016:
15		2.150%, 3/01/23 – BAM Insured	No Opt. Call	AA	14,332
15		2.350%, 3/01/24 – BAM Insured	No Opt. Call	AA	14,269
25		2.700%, 3/01/26 – BAM Insured	3/25 at 100.00	AA	23,534
35		2.900%, 3/01/28 – BAM Insured	3/25 at 100.00	AA	32,457
40		3.050%, 3/01/30 – BAM Insured	3/25 at 100.00	AA	37,114
1,215		Chicago Board of Education, Illinois, Dedicated Capital Improvement Tax Revenue Bonds, Series	4/27 at 100.00	A	1,425,632
		2016, 6.000%, 4/01/46
750		Chicago Board of Education, Illinois, General Obligation Bonds, Dedicated Revenues, Refunding	12/27 at 100.00	B	885,495
		Series 2017B, 6.750%, 12/01/30, 144A
290		Chicago Board of Education, Illinois, General Obligation Bonds, Dedicated Revenues, Refunding	12/27 at 100.00	B	294,872
		Series 2017C, 5.000%, 12/01/30
200		Chicago Board of Education, Illinois, General Obligation Bonds, Dedicated Revenues, Refunding	12/27 at 100.00	B	202,742
		Series 2017D, 5.000%, 12/01/31
300		Chicago, Illinois, General Airport Revenue Bonds, O’Hare International Airport, Senior Lien	1/25 at 100.00	A	332,319
		Refunding Series 2015A, 5.000%, 1/01/33 (Alternative Minimum Tax)
75		Chicago, Illinois, General Obligation Bonds, Project and Refunding Series 2009C, 5.000%, 1/01/27	1/19 at 100.00	BBB+	75,904
		Chicago, Illinois, General Obligation Bonds, Refunding Series 2016C:
200		5.000%, 1/01/23	No Opt. Call	BBB+	213,360
225		5.000%, 1/01/24	No Opt. Call	BBB+	241,807
190		5.000%, 1/01/25	No Opt. Call	BBB+	205,202
55		5.000%, 1/01/26	No Opt. Call	BBB+	59,542
325		Cook County, Illinois, General Obligation Bonds, Refunding Series 2012C, 5.000%, 11/15/21	No Opt. Call	AA–	357,058
185		Cook County, Illinois, General Obligation Bonds, Refunding Series 2016A, 5.000%, 11/15/20	No Opt. Call	AA–	199,175
590		Huntley, Illinois, Special Tax Bonds, Special Service Area 10, Refunding Series 2017, 3.300%,	3/26 at 100.00	AA	571,203
		3/01/28 – BAM Insured

 

18

 

Principal			Optional Call
Amount (000)		Description (1)	Provisions (2)	Ratings (3)	Value
		Illinois (continued)
$    625		Illinois Finance Authority, Gas Supply Refunding Revenue Bonds, The Peoples Gas Light and Coke	No Opt. Call	Aa3	$    620,269
		Company Project, Series 2010B, 1.875%, 2/01/33 (Mandatory put 8/01/20)
455		Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2012, 5.000%, 9/01/27	9/22 at 100.00	BBB–	483,997
560		Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2014A, 4.625%, 9/01/39	9/24 at 100.00	BBB–	574,504
275		Illinois Finance Authority, Revenue Bonds, Northwest Community Hospital, Series 2008A, 5.500%,	7/18 at 100.00	A (5)	277,659
		7/01/38 (Pre-refunded 7/01/18)
1,850		Illinois Finance Authority, Revenue Bonds, Presence Health Network, Series 2016C, 4.000%, 2/15/24	No Opt. Call	BBB	1,970,324
250		Illinois Finance Authority, Revenue Bonds, Roosevelt University, Series 2007, 5.250%, 4/01/22	6/18 at 100.00	Ba2	249,998
		Illinois State, General Obligation Bonds, February Series 2014:
370		5.000%, 2/01/25	2/24 at 100.00	BBB	386,694
325		5.000%, 2/01/26	2/24 at 100.00	BBB	337,617
		Illinois State, General Obligation Bonds, Refunding Series 2012:
390		5.000%, 8/01/20	No Opt. Call	BBB	405,522
335		5.000%, 8/01/21	No Opt. Call	BBB	350,748
1,000		5.000%, 8/01/22	No Opt. Call	BBB	1,044,170
320		5.000%, 8/01/23	No Opt. Call	BBB	334,733
300		Illinois State, General Obligation Bonds, Series 2012A, 4.000%, 1/01/20	No Opt. Call	BBB	303,264
		Illinois State, General Obligation Bonds, Series 2013:
280		5.500%, 7/01/25	7/23 at 100.00	BBB	298,718
240		5.500%, 7/01/26	7/23 at 100.00	BBB	254,998
470		Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Refunding Senior Lien Series	1/26 at 100.00	AA–	538,352
		2016A, 5.000%, 12/01/31
450		Illinois Toll Highway Authority, Toll Highway Revenue Bonds, Senior Lien Series 2015B,	1/26 at 100.00	AA–	506,794
		5.000%, 1/01/37
1,380		Kane & DeKalb Counties Community Unit School District 301, Illinois, General Obligation Bonds,	No Opt. Call	Aa2	1,363,123
		Series 2006, 0.000%, 12/01/18 – NPFG Insured
1,000		Peoria Public Building Commission, Illinois, School District Facility Revenue Bonds, Peoria	12/18 at 79.62	AA	786,650
		County School District 150 Project, Series 2009A, 0.000%, 12/01/22 – AGC Insured
		Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds,
		Series 2010:
725		5.000%, 6/01/19	No Opt. Call	A	750,839
1,025		5.250%, 6/01/21	No Opt. Call	A	1,119,935
220		Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds, Series	No Opt. Call	A	251,508
		2017., 5.000%, 6/01/25
310		Regional Transportation Authority, Cook, DuPage, Kane, Lake, McHenry and Will Counties,	No Opt. Call	AA	321,675
		Illinois, General Obligation Bonds, Series 1994D, 7.750%, 6/01/19 – FGIC Insured
		Southwestern Illinois Development Authority, Health Facility Revenue Bonds, Memorial Group,
		Inc., Series 2013:
50		7.250%, 11/01/33 (Pre-refunded 11/01/23)	11/23 at 100.00	N/R (5)	63,035
95		7.250%, 11/01/36 (Pre-refunded 11/01/23)	11/23 at 100.00	N/R (5)	119,767
200		7.625%, 11/01/48 (Pre-refunded 11/01/23)	11/23 at 100.00	N/R (5)	256,050
		Springfield, Illinois, Electric Revenue Bonds, Senior Lien Series 2015:
230		5.000%, 3/01/33	3/25 at 100.00	A	253,681
145		5.000%, 3/01/34 – AGM Insured	3/25 at 100.00	AA	159,929
500		Sterling, Whiteside County, Illinois, General Obligation Bonds, Alternate Revenue Source,	No Opt. Call	A+	535,375
		Series 2012, 4.000%, 11/01/22
355		Will, Grundy, Kendall, LaSalle, Kankakee, Livingston and Cook Counties Community College	6/18 at 100.00	AA	357,027
		District 525 Joliet Junior College, Illinois, General Obligation Bond, Series 2008,
		5.750%, 6/01/28
390		Williamson & Johnson Counties Community Unit School District 2, Marion, Illinois, Limited Tax	10/19 at 103.00	BBB+	412,273
		General Obligation Lease Certificates, Series 2011, 7.000%, 10/15/22
19,945		Total Illinois			20,964,163

 

19

NIM	Nuveen Select Maturities Municipal Fund Portfolio of Investments (continued) March 31, 2018

 

Principal			Optional Call
Amount (000)		Description (1)	Provisions (2)	Ratings (3)	Value
		Indiana – 2.0%
$    115		Indiana Finance Authority, Educational Facilities Revenue Bonds, Drexel Foundation For	10/19 at 100.00	B	$    116,388
		Educational Excellence, Inc., Series 2009A, 6.000%, 10/01/21
140		Indianapolis, Indiana, Thermal Energy System Revenue Bonds, Refunding First Lien Series 2014A,	10/24 at 100.00	A	156,499
		5.000%, 10/01/31
255		Jasper County, Indiana, Pollution Control Revenue Refunding Bonds, Northern Indiana Public	No Opt. Call	BBB+	264,664
		Service Company Project, Series 1994A Remarketed, 5.850%, 4/01/19 – NPFG Insured
250		Lake County Building Corporation, Indiana, First Mortgage Bonds, Series 2012, 4.750%, 2/01/21	No Opt. Call	N/R	257,245
250		Vanderburgh County, Indiana, Redevelopment District Tax Increment Revenue bonds, Refunding	8/24 at 100.00	A	281,372
		Series 2014, 5.000%, 2/01/29
875		Whiting, Indiana, Environmental Facilities Revenue Bonds, BP Products North America Inc.	No Opt. Call	A1	872,568
		Project, Series 2008, 1.850%, 6/01/44 (Mandatory put 10/01/19)
600		Whiting, Indiana, Environmental Facilities Revenue Bonds, BP Products North America Inc.	No Opt. Call	A1	674,718
		Project, Series 2015, 5.000%, 11/01/45 (Mandatory put 11/01/22) (Alternative Minimum Tax)
2,485		Total Indiana			2,623,454
		Iowa – 1.1%
500		Ames, Iowa, Hospital Revenue Bonds, Mary Greeley Medical Center, Series 2011, 5.250%, 6/15/27	6/20 at 100.00	A2 (5)	536,245
		(Pre-refunded 6/15/20)
		Iowa Finance Authority, Iowa, Midwestern Disaster Area Revenue Bonds, Iowa Fertilizer Company
		Project, Series 2013:
215		5.500%, 12/01/22	12/18 at 100.00	B	218,057
200		5.250%, 12/01/25	12/23 at 100.00	B	213,064
185		Iowa Finance Authority, Iowa, Midwestern Disaster Area Revenue Bonds, Iowa Fertilizer Company	6/19 at 105.00	B	197,345
		Project, Series 2016, 5.875%, 12/01/27, 144A
220		Iowa Finance Authority, Iowa, Midwestern Disaster Area Revenue Bonds, Iowa Fertilizer Company	6/31 at 100.00	B	230,923
		Project, Series 2018A, 5.250%, 12/01/50 (Mandatory put 12/01/33)
1,320		Total Iowa			1,395,634
		Kansas – 0.1%
105		Wyandotte County/Kansas City Unified Government, Kansas, Utility System Revenue Bonds,	No Opt. Call	A+	117,293
		Refunding & Improvement Series 2014A, 5.000%, 9/01/22
		Kentucky – 1.0%
550		Kentucky Economic Development Finance Authority, Hospital Revenue Bonds, Owensboro Health,	6/27 at 100.00	Baa3	608,707
		Refunding Series 2017A, 5.000%, 6/01/31
350		Kentucky Economic Development Finance Authority, Louisville Arena Project Revenue Bonds,	6/18 at 100.00	AA (5)	352,404
		Louisville Arena Authority, Inc., Series 2008-A1, 5.750%, 12/01/28 (Pre-refunded 6/01/18) –
		AGC Insured
340		Lexington-Fayette Urban County Government Public Facilities Corporation, Kentucky State Lease	6/21 at 100.00	A1	368,669
		Revenue Bonds, Eastern State Hospital Project, Series 2011A, 5.250%, 6/01/29
1,240		Total Kentucky			1,329,780
		Louisiana – 3.3%
240		De Soto Parrish, Louisiana, Pollution Control Revenue Bonds, Southwestern Electric Power	No Opt. Call	A–	240,744
		Company Project, Refunding Series 2010, 1.600%, 1/01/19
455		Jefferson Parish Hospital Service District 2, Louisiana, Hospital Revenue Bonds, East	7/21 at 100.00	B+	465,956
		Jefferson General Hospital, Refunding Series 2011, 6.375%, 7/01/41
		Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006-C1:
175		5.875%, 6/01/23 (Pre-refunded 6/01/18)	6/18 at 100.00	AA (5)	176,237
10		6.000%, 6/01/24 (Pre-refunded 6/01/18)	6/18 at 100.00	AA (5)	10,073
1,200		Louisiana Local Government Environmental Facilities and Community Development Authority,	11/27 at 100.00	BBB	1,187,796
		Revenue Bonds, Westlake Chemical Corporation Projects, Refunding Series 2017, 3.500%, 11/01/32
150		Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project,	5/26 at 100.00	A3	170,540
		Refunding Series 2016, 5.000%, 5/15/29

 

20

 

Principal			Optional Call
Amount (000)		Description (1)	Provisions (2)	Ratings (3)	Value
		Louisiana (continued)
$    100		Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project,	5/27 at 100.00	A3	$    114,132
		Refunding Series 2017, 5.000%, 5/15/30
		Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project,
		Series 2015:
525		5.000%, 5/15/22	No Opt. Call	A3	580,797
335		5.000%, 5/15/24	No Opt. Call	A3	381,813
110		New Orleans, Louisiana, General Obligation Bonds, Refunding Series 2015, 5.000%, 12/01/25	No Opt. Call	AA–	127,730
100		New Orleans, Louisiana, Sewerage Service Revenue Bonds, Series 2015, 5.000%, 6/01/32	6/25 at 100.00	A	111,570
590		Saint Charles Parish, Louisiana, Gulf Opportunity Zone Revenue Bonds, Valero Project, Series	No Opt. Call	BBB	627,878
		2010, 4.000%, 12/01/40 (Mandatory put 6/01/22)
3,990		Total Louisiana			4,195,266
		Maine – 0.0%
35		Portland, Maine, General Airport Revenue Bonds, Refunding Series 2013, 5.000%, 7/01/22	No Opt. Call	BBB+	38,770
		Maryland – 0.3%
335		Baltimore, Maryland, Convention Center Hotel Revenue Bonds, Refunding Series 2017,	9/27 at 100.00	BBB–	386,161
		5.000%, 9/01/30
		Massachusetts – 1.0%
200		Massachusetts Development Finance Agency Revenue Bonds, Lawrence General Hospital Issue,	7/24 at 100.00	BB+	217,974
		Series 2014A, 5.000%, 7/01/27
500		Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,	6/18 at 100.00	N/R	500,970
		5.000%, 10/01/19
		Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc.,
		Series 2001A:
100		5.200%, 1/01/20 – AMBAC Insured (Alternative Minimum Tax)	6/18 at 100.00	N/R	101,386
470		5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)	7/18 at 100.00	N/R	476,495
1,270		Total Massachusetts			1,296,825
		Michigan – 1.1%
400		Detroit Downtown Development Authority, Michigan, Tax Increment Refunding Bonds, Development	No Opt. Call	BB	311,588
		Area 1 Projects, Series 1996B, 0.000%, 7/01/23
150		Detroit, Michigan, Senior Lien Sewerage Disposal System Revenue Bonds, Series 2001B, 5.500%,	No Opt. Call	A–	175,699
		7/01/29 – FGIC Insured
150		Michigan Finance Authority, Local Government Loan Program Revenue Bonds, Detroit Water &	7/25 at 100.00	A–	164,985
		Sewerage Department Sewage Disposal System Local Project, Second Lien Series 2015C,
		5.000%, 7/01/34
705		Wayne County Airport Authority, Michigan, Revenue Bonds, Detroit Metropolitan Wayne County	12/25 at 100.00	A	784,002
		Airport, Refunding Series 2015F, 5.000%, 12/01/33 (Alternative Minimum Tax)
1,405		Total Michigan			1,436,274
		Missouri – 1.2%
100		Branson Industrial Development Authority, Missouri, Tax Increment Revenue Bonds, Branson	11/25 at 100.00	N/R	101,041
		Shoppes Redevelopment Project, Refunding Series 2017A, 4.000%, 11/01/26
100		Missouri Health and Educational Facilities Authority, Educational Facilities Revenue Bonds,	5/23 at 100.00	BBB+	109,564
		Saint Louis College of Pharmacy, Series 2013, 5.250%, 5/01/33
30		Missouri Health and Educational Facilities Authority, Educational Facilities Revenue Bonds,	11/23 at 100.00	BBB	30,283
		Saint Louis College of Pharmacy, Series 2015B, 4.000%, 5/01/32
1,070		Saint Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series	No Opt. Call	A–	1,117,925
		2005, 5.500%, 7/01/19 – NPFG Insured
140		St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1989A, 8.125%,	7/20 at 100.00	AA+ (5)	151,399
		8/01/20 (Pre-refunded 7/01/20) (Alternative Minimum Tax)
1,440		Total Missouri			1,510,212