nq2.htm



 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 
Investment Company Act file number 811-7056
 
Nuveen Select Maturities Municipal Fund
(Exact name of registrant as specified in charter)
 
Nuveen Investments
        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)
 

Kevin J. McCarthy
Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)
 
Registrant's telephone number, including area code:         312-917-7700        
 
Date of fiscal year end:            3/31          
 
Date of reporting period:         12/31/13         
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 
 
 
 
 
Item 1. Schedule of Investments
 
   
Portfolio of Investments (Unaudited)
      
           
   
Nuveen Select Maturities Municipal Fund (NIM)
      
   
December 31, 2013
      
 
Principal
    
Optional Call
    
Amount (000)
  
Description (1)
Provisions (2)
Ratings (3)
Value
   
LONG-TERM INVESTMENTS – 98.1%
      
   
MUNICIPAL BONDS – 98.1%
      
   
Alabama – 0.1%
      
$ 180
  
Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health
11/15 at 100.00
Baa2
$ 167,276
   
System Inc., Series 2005A, 5.000%, 11/15/30
      
   
Alaska – 0.1%
      
155
  
Alaska State, Sport Fishing Revenue Bonds, Refunding Series 2011, 5.000%, 4/01/21
4/20 at 100.00
A1
172,896
   
Arizona – 3.0%
      
   
Arizona Health Facilities Authority, Hospital System Revenue Bonds, Phoenix Children’s
      
   
Hospital, Refunding Series 2012A:
      
60
  
5.000%, 2/01/20
No Opt. Call
BBB+
65,774
290
  
5.000%, 2/01/27
2/22 at 100.00
BBB+
292,352
   
Arizona Sports and Tourism Authority, Senior Revenue Refunding Bonds, Multipurpose Stadium
      
   
Facility Project, Series 2012A:
      
425
  
5.000%, 7/01/25
7/22 at 100.00
A1
459,034
685
  
5.000%, 7/01/26
7/22 at 100.00
A1
733,197
685
  
5.000%, 7/01/27
7/22 at 100.00
A1
723,840
100
  
Pima County Industrial Development Authority, Arizona, Revenue Bonds, Tucson Electric Power
3/23 at 100.00
BBB
88,225
   
Company Project, Series 2013A, 4.000%, 9/01/29
      
   
Salt Verde Financial Corporation, Arizona, Senior Gas Revenue Bonds, Citigroup Energy Inc
      
   
Prepay Contract Obligations, Series 2007:
      
100
  
5.000%, 12/01/17
No Opt. Call
A–
110,054
100
  
5.250%, 12/01/19
No Opt. Call
A–
110,692
35
  
5.000%, 12/01/32
No Opt. Call
A–
34,076
480
  
5.000%, 12/01/37
No Opt. Call
A–
461,035
750
  
Surprise Municipal Property Corporation, Arizona, Wastewater System Revenue Bonds, Series
4/14 at 100.00
A–
753,923
   
2007, 4.500%, 4/01/17
      
3,710
  
Total Arizona
    
3,832,202
   
Arkansas – 1.0%
      
600
  
Independence County, Arkansas, Pollution Control Revenue Bonds, Arkansas Power and Light
No Opt. Call
A–
575,472
   
Company Project, Series 2013, 2.375%, 1/01/21
      
605
  
North Little Rock, Arkansas, Electric Revenue Refunding Bonds, Series 1992A, 6.500%, 7/01/15 –
No Opt. Call
A (4)
638,535
   
NPFG Insured (ETM)
      
1,205
  
Total Arkansas
    
1,214,007
   
California – 5.3%
      
300
  
Alameda Corridor Transportation Authority, California, Senior Lien Revenue Refunding Bonds,
No Opt. Call
A
341,271
   
Series 2013A, 5.000%, 10/01/23
      
330
  
California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West,
7/15 at 100.00
A
350,932
   
Series 2008H, 5.125%, 7/01/22
      
125
  
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard
No Opt. Call
AA
127,120
   
Children’s Hospital, Series 2008A, 1.450%, 8/15/33 (Mandatory put 3/15/17)
      
160
  
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard
No Opt. Call
AA
162,714
   
Children’s Hospital, Series 2012C, 1.450%, 8/15/23 (Mandatory put 3/15/17)
      
550
  
California Health Facilities Financing Authority, Revenue Bonds, Saint Joseph Health System,
No Opt. Call
AA–
629,228
   
Series 2013D, 5.000%, 7/01/43 (Mandatory put 10/15/20)
      
500
  
California State, General Obligation Bonds, Various Purpose Series 2010, 5.500%, 3/01/40
3/20 at 100.00
A1
538,900
135
  
California Statewide Communities Development Authority, Revenue Bonds, Kaiser Permanente,
No Opt. Call
A+
152,882
   
Series 2009E-1, 5.000%, 4/01/44 (Mandatory put 5/01/17)
      
250
  
Delano, California, Certificates of Participation, Delano Regional Medical Center, Series
No Opt. Call
BBB–
258,140
   
2012, 5.000%, 1/01/24
      
600
  
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed
6/17 at 100.00
B
505,542
   
Bonds, Series 2007A-1, 4.500%, 6/01/27
      
365
  
Lake Elsinore Redevelopment Agency, California, Special Tax Bonds, Community Facilities
10/17 at 100.00
AA–
366,821
   
District 90-2, Series 2007A, 4.500%, 10/01/24 – AGM Insured
      
   
Moulton Niguel Water District, California, Certificates of Participation, Refunding
      
   
Series 2003:
      
250
  
5.000%, 9/01/21 – AMBAC Insured
9/16 at 100.00
AAA
271,110
250
  
5.000%, 9/01/22 – AMBAC Insured
9/16 at 100.00
AAA
270,820
500
  
5.000%, 9/01/23 – AMBAC Insured
9/16 at 100.00
AAA
539,575
295
  
Mount San Antonio Community College District, Los Angeles County, California, General
2/14 at 100.00
AA
196,918
   
Obligation Bonds, Election of 2008, Series 2013A, 0.000%, 8/01/28
      
2,000
  
Palomar Pomerado Health, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/25 –
No Opt. Call
AA–
1,152,380
   
AGC Insured
      
35
  
Riverside County Transportation Commission, California, Toll Revenue Senior Lien Bonds, Series
6/23 at 100.00
BBB–
34,948
   
2013A, 5.750%, 6/01/44
      
300
  
Sacramento Municipal Utility District, California, Electric Revenue Bonds, Series 2004T,
5/14 at 100.00
AA+ (4)
305,415
   
5.000%, 5/15/30 (Pre-refunded 5/15/14) – BHAC Insured
      
2,000
  
San Diego Community College District, California, General Obligation Bonds, Refunding Series
No Opt. Call
AA+
553,760
   
2011, 0.000%, 8/01/37
      
8,945
  
Total California
    
6,758,476
   
Colorado – 4.0%
      
2,895
  
Centennial Downs Metropolitan District, Colorado, General Obligation Bonds, Series 1999,
12/14 at 100.00
N/R
2,930,522
   
5.000%, 12/01/20 – AMBAC Insured
      
1,175
  
Colorado Educational and Cultural Facilities Authority, Revenue Bonds, Classical Academy
6/14 at 100.00
A
1,176,892
   
Charter School, Series 2003, 4.500%, 12/01/18 – SYNCORA GTY Insured
      
55
  
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2000B, 0.000%, 9/01/33 –
No Opt. Call
A
16,968
   
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
260,580
   
NPFG Insured
      
500
  
Plaza Metropolitan District 1, Lakewood, Colorado, Tax Increment Revenue Bonds, Refunding
No Opt. Call
N/R
521,315
   
Series 2013, 5.000%, 12/01/20
      
200
  
Regional Transportation District, Colorado, Denver Transit Partners Eagle P3 Project Private
7/20 at 100.00
Baa3
203,886
   
Activity Bonds, Series 2010, 6.000%, 1/15/41
      
5,825
  
Total Colorado
    
5,110,163
   
Connecticut – 2.0%
      
875
  
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University,
No Opt. Call
AAA
862,698
   
Series 2010A-3, 0.875%, 7/01/49 (Mandatory put 2/08/18)
      
   
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator
      
   
Lisbon Project, Series 1993A:
      
95
  
5.500%, 1/01/14 (Alternative Minimum Tax)
No Opt. Call
N/R
95,000
1,570
  
5.500%, 1/01/15 (Alternative Minimum Tax)
7/14 at 100.00
A–
1,571,429
2,540
  
Total Connecticut
    
2,529,127
   
Delaware – 0.1%
      
170
  
Delaware Health Facilities Authority, Revenue Bonds, Nanticoke Memorial Hospital, Series 2013,
7/23 at 100.00
BBB–
155,693
   
5.000%, 7/01/28
      
   
District of Columbia – 0.2%
      
120
  
District of Columbia Student Dormitory Revenue Bonds, Provident Group – Howard Properties LLC
10/22 at 100.00
BBB–
110,879
   
Issue, Series 2013, 5.000%, 10/01/30
      
150
  
District of Columbia Tobacco Settlement Corporation, Tobacco Settlement Asset-Backed Bonds,
No Opt. Call
Baa1
155,796
   
Series 2001, 6.500%, 5/15/33
      
270
  
Total District of Columbia
    
266,675
   
Florida – 7.0%
      
80
  
Citizens Property Insurance Corporation, Florida, High Risk Assessment Revenue, Senior Secured
No Opt. Call
A+
88,616
   
Bonds, Series 2009A-1, 5.375%, 6/01/16
      
160
  
Citizens Property Insurance Corporation, Florida, High-Risk Account Revenue Bonds, Coastal
No Opt. Call
A+
180,818
   
Account Senior Secured Series 2011A-1, 5.000%, 6/01/18
      
370
  
Collier County Educational Facilities Authority, Florida, Revenue Bonds, Hodges University,
11/23 at 100.00
BBB–
362,408
   
Series 2013, 6.000%, 11/01/33
      
   
Florida Citizens Property Insurance Corporation, High Risk Account Revenue Bonds, Series 2007A:
      
1,215
  
5.000%, 3/01/15 – NPFG Insured
No Opt. Call
A+
1,278,107
340
  
5.000%, 3/01/16 – NPFG Insured
No Opt. Call
A+
370,328
   
Florida Citizens Property Insurance Corporation, Personal and Commercial Lines Account Bonds,
      
   
Senior Secured Series 2012A-1:
      
50
  
5.000%, 6/01/18
No Opt. Call
A+
56,506
455
  
5.000%, 6/01/20
No Opt. Call
A+
516,530
600
  
Florida Department of Environmental Protection, Florida Forever Revenue Bonds, Series 2007B,
7/17 at 101.00
AA–
668,742
   
5.000%, 7/01/19 – NPFG Insured
      
520
  
Halifax Hospital Medical Center, Florida, Revenue Bonds, Series 2006, 5.250%, 6/01/26
6/16 at 100.00
A–
524,342
   
Miami-Dade County, Florida, Public Facilities Revenue Bonds, Jackson Health System,
      
   
Series 2009:
      
10
  
5.500%, 6/01/29 – AGM Insured
6/19 at 100.00
AA–
10,483
10
  
5.625%, 6/01/34 – AGC Insured
6/19 at 100.00
AA–
10,319
750
  
North Sumter County Utility Dependent District, Florida, Utility Revenue Bonds, Series 2010,
No Opt. Call
A
815,543
   
5.000%, 10/01/20
      
270
  
Orange County School Board, Florida, Certificates of Participation, Series 2005B, 5.000%,
8/15 at 100.00
Aa2
286,778
   
8/01/25 – AMBAC Insured
      
2,000
  
Orange County, Florida, Tourist Development Tax Revenue Bonds, Series 2005, 5.000%, 10/01/22 –
10/15 at 100.00
AA–
2,142,480
   
AMBAC Insured
      
130
  
Port Everglades Authority, Florida, Port Facilities Revenue Bonds, Series 1986, 7.125%,
No Opt. Call
Aaa
145,089
   
11/01/16 (ETM)
      
680
  
South Miami Health Facilities Authority, Florida, Hospital Revenue, Baptist Health System
8/17 at 100.00
AA
720,712
   
Obligation Group, Series 2007, 5.000%, 8/15/27
      
   
Tampa, Florida, Cigarette Tax Allocation Bonds, H. Lee Moffitt Cancer Center Project,
      
   
Refunding & Capital Improvement Series 2012A:
      
100
  
5.000%, 9/01/22
No Opt. Call
A+
113,335
350
  
5.000%, 9/01/23
9/22 at 100.00
A+
389,305
150
  
5.000%, 9/01/25
9/22 at 100.00
A+
163,062
8,240
  
Total Florida
    
8,843,503
   
Georgia – 1.1%
      
300
  
Cherokee County Water and Sewerage Authority, Georgia, Revenue Bonds, Series 1995, 5.200%,
8/22 at 100.00
A (4)
345,540
   
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
980,928
   
Project, Refunding Series 2012C, 5.250%, 10/01/23
      
1,200
  
Total Georgia
    
1,326,468
   
Guam – 0.1%
      
140
  
Guam Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2013,
7/23 at 100.00
A–
135,733
   
5.500%, 7/01/43
      
   
Hawaii – 0.2%
      
200
  
Hawaii Department of Budget and Finance, Special Purpose Revenue Bonds, Hawaii Pacific
7/23 at 100.00
BB+
198,026
   
University, Series 2013A, 6.250%, 7/01/27
      
   
Idaho – 0.1%
      
100
  
Madison County, Idaho, Hospital Revenue Certificates of Participation, Madison Memorial
9/16 at 100.00
BB+
90,053
   
Hospital, Series 2006, 5.250%, 9/01/37
      
   
Illinois – 13.3%
      
200
  
Chicago, Illinois, Tax Increment Allocation Bonds, Irving/Cicero Redevelopment Project, Series
No Opt. Call
N/R
200,000
   
1998, 7.000%, 1/01/14
      
1,500
  
Cook County Township High School District 208, Illinois, General Obligation Bonds, Series
12/15 at 100.00
Aa3
1,609,365
   
2006, 5.000%, 12/01/21 – NPFG Insured
      
325
  
Cook County, Illinois, General Obligation Bonds, Refunding Series 2012C, 5.000%, 11/15/21
No Opt. Call
AA
362,963
2,000
  
Huntley, Illinois, Special Service Area 9, Special Tax Bonds, Series 2007, 5.100%, 3/01/28 –
3/17 at 100.00
AA–
2,153,740
   
AGC Insured
      
455
  
Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2012, 5.000%, 9/01/27
9/22 at 100.00
A–
459,272
640
  
Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Series 2007A,
11/17 at 100.00
A
658,822
   
5.750%, 11/15/37
      
250
  
Illinois Finance Authority, Revenue Bonds, Roosevelt University, Series 2007, 5.250%, 4/01/22
4/17 at 100.00
BBB
253,818
700
  
Illinois Health Facilities Authority, Revenue Bonds, Silver Cross Hospital and Medical
2/14 at 100.00
BBB–
701,512
   
Centers, Series 1999, 5.500%, 8/15/19
      
110
  
Illinois State, General Obligation Bonds, Refunding Series 2006, 5.000%, 1/01/15
No Opt. Call
A–
114,677
290
  
Illinois State, General Obligation Bonds, Refunding Series 2007B, 5.000%, 1/01/16
No Opt. Call
A–
311,834
425
  
Illinois State, General Obligation Bonds, Refunding Series 2008, 4.250%, 4/01/16
No Opt. Call
A–
453,488
1,165
  
Illinois State, General Obligation Bonds, Refunding Series 2010, 5.000%, 1/01/19
No Opt. Call
A–
1,297,041
   
Illinois State, General Obligation Bonds, Refunding Series 2012:
      
390
  
5.000%, 8/01/20
No Opt. Call
A–
428,832
320
  
5.000%, 8/01/21
No Opt. Call
A–
346,221
275
  
5.000%, 8/01/23
No Opt. Call
A–
292,240
110
  
5.000%, 8/01/24
8/22 at 100.00
A–
115,213
230
  
Illinois State, General Obligation Bonds, Series 2006, 5.000%, 1/01/17
1/16 at 100.00
A–
246,132
25
  
Illinois State, General Obligation Bonds, Series 2007A, 5.500%, 6/01/15
No Opt. Call
A–
26,627
300
  
Illinois State, General Obligation Bonds, Series 2012A, 4.000%, 1/01/20
No Opt. Call
A–
314,343
   
Illinois State, General Obligation Bonds, Series 2013:
      
280
  
5.500%, 7/01/25
7/23 at 100.00
A–
301,683
240
  
5.500%, 7/01/26
7/23 at 100.00
A–
256,001
1,355
  
Kane & DeKalb Counties Community Unit School District 301, Illinois, General Obligation Bonds,
No Opt. Call
Aa3
1,201,695
   
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–
674,630
   
County School District 150 Project, Series 2009A, 0.000%, 12/01/22 – AGC Insured
      
   
Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds,
      
   
Series 2010:
      
500
  
5.000%, 6/01/19
No Opt. Call
A
567,825
1,000
  
5.250%, 6/01/21
No Opt. Call
A
1,138,520
700
  
Regional Transportation Authority, Cook, DuPage, Kane, Lake, McHenry and Will Counties,
No Opt. Call
AA
831,768
   
Illinois, General Obligation Bonds, Series 1994D, 7.750%, 6/01/19 – FGIC Insured
      
500
  
Sterling, Whiteside County, Illinois, General Obligation Bonds, Alternate Revenue Source,
No Opt. Call
A+
509,985
   
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
376,165
   
District 525 Joliet Junior College, Illinois, General Obligation Bond, Series 2008, 5.750%, 6/01/28
      
620
  
Williamson & Johnson Counties Community Unit School District 2, Marion, Illinois, Limited Tax
10/19 at 103.00
BBB
663,022
   
General Obligation Lease Certificates, Series 2011, 7.000%, 10/15/22
      
16,260
  
Total Illinois
    
16,867,434
   
Indiana – 1.6%
      
210
  
Indiana Finance Authority, Educational Facilities Revenue Bonds, Drexel Foundation For
10/19 at 100.00
BB–
214,059
   
Educational Excellence, Inc., Series 2009A, 6.000%, 10/01/21
      
180
  
Indiana Finance Authority, Private Activity Bonds, Ohio River Bridges East End Crossing
1/17 at 100.00
BBB
191,907
   
Project, Series 2013B, 5.000%, 1/01/19 (Alternative Minimum Tax)
      
1,000
  
Indiana Health Facility Financing Authority, Revenue Bonds, Community Hospitals of Indiana,
5/15 at 100.00
N/R (4)
1,062,890
   
Series 2005A, 5.000%, 5/01/35 (Pre-refunded 5/01/15) – AMBAC Insured
      
250
  
Jasper County, Indiana, Pollution Control Revenue Refunding Bonds, Northern Indiana Public
No Opt. Call
A
284,910
   
Service Company Project, Series 1994A Remarketed, 5.850%, 4/01/19 – NPFG Insured
      
250
  
Lake County Building Corporation, Indiana, First Mortgage Bonds, Series 2012, 4.750%, 2/01/21
No Opt. Call
N/R
252,405
1,890
  
Total Indiana
    
2,006,171
   
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
519,545
335
  
Iowa Finance Authority, Iowa, Midwestern Disaster Area Revenue Bonds, Iowa Fertilizer Company
No Opt. Call
BB–
322,371
   
Project, Series 2013, 5.000%, 12/01/19
      
835
  
Total Iowa
    
841,916
   
Kansas – 0.1%
      
245
  
Wyandotte County-Kansas City Unified Government, Kansas, Sales Tax Special Obligation Capital
No Opt. Call
BBB+
165,904
   
Appreciation Revenue Bonds Redevelopment Project Area B – Major Multi-Sport Athletic Complex
      
   
Project, Subordinate Lien Series 2010B, 0.000%, 6/01/21
      
   
Kentucky – 1.4%
      
325
  
Kentucky Economic Development Finance Authority, Louisville Arena Project Revenue Bonds,
6/18 at 100.00
AA–
334,409
   
Louisville Arena Authority, Inc., Series 2008-A1, 5.750%, 12/01/28 – AGC Insured
      
200
  
Kentucky Housing Corporation, Housing Revenue Bonds, Series 2005G, 5.000%, 7/01/30
1/15 at 100.60
AAA
202,580
   
(Alternative Minimum Tax)
      
385
  
Kentucky Public Transportation Infrastructure Authority, First Tier Toll Revenue Bonds,
No Opt. Call
Baa3
425,367
   
Downtown Crossing Project, Series 2013A, 5.000%, 7/01/17
      
340
  
Lexington-Fayette Urban County Government Public Facilities Corporation, Kentucky State Lease
6/21 at 100.00
Aa3
357,228
   
Revenue Bonds, Eastern State Hospital Project, Series 2011A, 5.250%, 6/01/29
      
150
  
Louisville-Jefferson County Metropolitan Government, Kentucky, Environmental Facilities
No Opt. Call
A–
150,182
   
Revenue, Louisville Gas & Electric Company Project, Series 2007B, 1.600%, 6/01/33 (Mandatory
      
   
put 6/01/17)
      
320
  
Louisville-Jefferson County Metropolitan Government, Kentucky, Pollution Control Revenue
No Opt. Call
A1
321,302
   
Bonds, Louisville Gas and Electric Company Project, Series 2003A, 1.650%, 10/01/33 (Mandatory
      
   
put 4/03/17)
      
1,720
  
Total Kentucky
    
1,791,068
   
Louisiana – 1.3%
      
935
  
Louisiana Public Facilities Authority, Revenue Bonds, Baton Rouge General Hospital, Series
7/14 at 100.00
A (4)
957,608
   
2004, 5.250%, 7/01/24 (Pre-refunded 7/01/14) – NPFG Insured
      
255
  
Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project,
5/17 at 100.00
Baa1
251,022
   
Series 2007A, 5.250%, 5/15/38
      
385
  
Saint Charles Parish, Louisiana, Gulf Opportunity Zone Revenue Bonds, Valero Project, Series
No Opt. Call
BBB
380,599
   
2010, 4.000%, 12/01/40 (Mandatory put 6/01/22)
      
1,575
  
Total Louisiana
    
1,589,229
   
Maine – 0.1%
      
25
  
Maine Health and Higher Educational Facilities Authority Revenue Bonds, Eastern Maine Medical
No Opt. Call
Baa1
22,919
   
Center Obligated Group Issue, Series 2013, 3.000%, 7/01/23
      
35
  
Portland, Maine, General Airport Revenue Bonds, Refunding Series 2013, 5.000%, 7/01/22
No Opt. Call
BBB+
38,846
60
  
Total Maine
    
61,765
   
Massachusetts – 1.4%
      
500
  
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,
10/17 at 100.00
N/R
500,130
   
5.000%, 10/01/19
      
250
  
Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street
2/14 at 100.00
A
248,593
   
Redevelopment, M/SRBC Project, Series 2002A, 5.125%, 2/01/34 – NPFG Insured
      
   
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc.,
      
   
Series 2001A:
      
100
  
5.200%, 1/01/20 – AMBAC Insured (Alternative Minimum Tax)
1/14 at 100.00
N/R
98,735
470
  
5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
7/14 at 100.00
N/R
429,975
500
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,
8/15 at 100.00
Aa2 (4)
540,443
   
5.000%, 8/15/30 (Pre-refunded 8/15/15)
      
1,820
  
Total Massachusetts
    
1,817,876
   
Michigan – 2.7%
      
400
  
Detroit Downtown Development Authority, Michigan, Tax Increment Refunding Bonds, Development
No Opt. Call
A–
214,272
   
Area 1 Projects, Series 1996B, 0.000%, 7/01/23
      
1,000
  
Detroit, Michigan, General Obligation Bonds, Series 2001A-1, 5.375%, 4/01/18 – NPFG Insured (5)
4/14 at 100.00
A
946,360
50
  
Detroit, Michigan, Second Lien Sewerage Disposal System Revenue Bonds, Series 2005A, 5.000%,
7/15 at 100.00
A
44,838
   
7/01/35 – NPFG Insured
      
150
  
Detroit, Michigan, Senior Lien Sewerage Disposal System Revenue Bonds, Series 2001B, 5.500%,
No Opt. Call
A
145,589
   
7/01/29 – FGIC Insured
      
280
  
Michigan Finance Authority, Revenue Bonds, Detroit City School District, Series 2012,
No Opt. Call
A+
306,698
   
5.000%,6/01/18
      
200
  
Michigan Finance Authority, Unemployment Obligation Assessment Revenue Bonds, Series 2012B,
7/16 at 100.00
AAA
218,114
   
5.000%, 7/01/22
      
1,000
  
Michigan Hospital Finance Authority, Refunding and Project Revenue Bonds, Ascension Health
No Opt. Call
AA+
1,007,470
   
Senior Credit Group, Series 2010F-5, 1.500%, 11/15/47 (Mandatory put 3/15/17)
      
500
  
Wayne County Airport Authority, Michigan, Revenue Bonds, Detroit Metropolitan Airport,
No Opt. Call
A
555,760
   
Refunding Series 2010C, 5.000%, 12/01/16
      
3,580
  
Total Michigan
    
3,439,101
   
Minnesota – 0.2%
      
260
  
Northern Municipal Power Agency, Minnesota, Electric System Revenue Bonds, Refunding Series
No Opt. Call
AA–
272,394
   
2009A, 5.000%, 1/01/15 – AGC Insured
      
   
Mississippi – 0.5%
      
   
Mississippi Hospital Equipment and Facilities Authority, Revenue Bonds, Baptist Memorial
      
   
Healthcare, Series 2004B-1:
      
100
  
5.000%, 9/01/16
9/14 at 100.00
AA–
102,753
300
  
5.000%, 9/01/24
9/14 at 100.00
AA–
307,857
250
  
Warren County, Mississippi, Gulf Opportunity Zone Revenue Bonds, International Paper Company,
2/14 at 100.00
BBB
245,780
   
Series 2006A, 4.800%, 8/01/30
      
650
  
Total Mississippi
    
656,390
   
Missouri – 1.3%
      
100
  
Missouri Health and Educational Facilities Authority, Educational Facilities Revenue Bonds,
5/23 at 100.00
BBB+
100,212
   
Saint Louis College of Pharmacy, Series 2013, 5.250%, 5/01/33
      
315
  
St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1989A, 8.125%,
7/20 at 100.00
AA+ (4)
376,718
   
8/01/20 (Pre-refunded 7/01/20) (Alternative Minimum Tax)
      
1,000
  
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series
No Opt. Call
A
1,172,900
   
2005, 5.500%, 7/01/19 – NPFG Insured
      
1,415
  
Total Missouri
    
1,649,830
   
Montana – 0.3%
      
260
  
Billings, Montana, Tax Increment Urban Renewal Revenue Bonds, Expanded North 27th Street,
1/23 at 100.00
N/R
238,113
   
Series 2013A, 5.000%, 7/01/33
      
90
  
University of Montana, Revenue Bonds, Series 1996D, 5.375%, 5/15/19 – NPFG Insured (ETM)
3/14 at 100.00
A (4)
103,589
350
  
Total Montana
    
341,702
   
Nebraska – 0.9%
      
1,000
  
Dodge County School District 1, Nebraska, Fremont Public Schools, General Obligation Bonds,
12/14 at 100.00
Aa3 (4)
1,045,980
   
Series 2004, 5.000%, 12/15/19 (Pre-refunded 12/15/14) – AGM Insured
      
100
  
Douglas County School District 10 Elkhorn, Nebraska, General Obligation Bonds, Public Schools
6/22 at 100.00
AA–
106,079
   
Series 2012, 4.000%, 6/15/23
      
1,100
  
Total Nebraska
    
1,152,059
   
Nevada – 1.8%
      
1,000
  
Clark County, Nevada, Airport Revenue Bonds, Subordinate Lien Series 2010B, 5.750%, 7/01/42
1/20 at 100.00
A+
1,067,420
250
  
Las Vegas Redevelopment Agency, Nevada, Tax Increment Revenue Bonds, Series 2009A,
6/19 at 100.00
BBB–
269,475
   
8.000%, 6/15/30
      
50
  
Las Vegas, Nevada, Special Improvement District 607 Providence, Local Improvement Refunding
No Opt. Call
N/R
50,562
   
Bonds, Series 2013, 5.000%, 6/01/22
      
775
  
Washoe County, Nevada, General Obligation Bonds, Reno-Sparks Convention & Visitors Authority,
7/21 at 100.00
AA
857,313
   
Refunding Series 2011, 5.000%, 7/01/23
      
2,075
  
Total Nevada
    
2,244,770
   
New Hampshire – 0.5%
      
600
  
New Hampshire Health and Education Facilities Authority, Hospital Revenue Bonds, Speare
7/15 at 100.00
N/R (4)
646,332
   
Memorial Hospital, Series 2004, 5.500%, 7/01/25 (Pre-refunded 7/01/15)
      
   
New Jersey – 5.1%
      
190
  
Bayonne Redevelopment Agency, New Jersey, Revenue Bonds, Royal Caribbean Cruises Project,
No Opt. Call
BB
186,077
   
Series 2006A, 4.750%, 11/01/16 (Alternative Minimum Tax)
      
   
New Jersey Economic Development Authority, Cigarette Tax Revenue Bonds, Series 2004:
      
230
  
5.375%, 6/15/14 (ETM)
No Opt. Call
Aaa
235,490
15
  
5.375%, 6/15/15 – RAAI Insured (ETM)
No Opt. Call
Aaa
16,116
120
  
5.500%, 6/15/16 – RAAI Insured (ETM)
No Opt. Call
Aaa
134,820
   
New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012:
      
60
  
4.000%, 6/15/19
No Opt. Call
BBB+
63,629
200
  
5.000%, 6/15/20
No Opt. Call
BBB+
219,964
300
  
5.000%, 6/15/21
No Opt. Call
BBB+
326,229
325
  
5.000%, 6/15/22
No Opt. Call
BBB+
351,777
350
  
5.000%, 6/15/23
6/22 at 100.00
BBB+
374,262
210
  
5.000%, 6/15/24
6/22 at 100.00
BBB+
220,655
500
  
5.000%, 6/15/25
6/22 at 100.00
BBB+
519,520
150
  
5.000%, 6/15/26
6/22 at 100.00
BBB+
154,248
85
  
4.250%, 6/15/27
6/22 at 100.00
BBB+
78,737
300
  
5.000%, 6/15/28
No Opt. Call
BBB+
300,609
150
  
New Jersey Economic Development Authority, Private Activity Bonds, The Goethals Bridge
1/24 at 100.00
BBB–
150,939
   
Replacement Project, Series 2013, 5.000%, 1/01/28 (Alternative Minimum Tax)
      
50
  
New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset
10/18 at 100.00
A+
50,593
   
Transformation Program, Series 2008A, 5.250%, 10/01/38
      
1,730
  
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital
No Opt. Call
A+
576,869
   
Appreciation Series 2010A, 0.000%, 12/15/33
      
1,515
  
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D,
No Opt. Call
A+
1,702,678
   
5.000%, 12/15/23
      
260
  
New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/19
No Opt. Call
A+
300,420
250
  
South Jersey Port Corporation, New Jersey, Marine Terminal Revenue Refunding Bonds, Series
No Opt. Call
A1
245,110
   
2012Q, 3.000%, 1/01/22
      
300
  
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,
6/17 at 100.00
B1
277,125
   
Series 2007-1A, 4.500%, 6/01/23
      
7,290
  
Total New Jersey
    
6,485,867
   
New York – 5.0%
      
220
  
Brooklyn Arena Local Development Corporation, New York, Payment in Lieu of Taxes Revenue
1/20 at 100.00
BBB–
230,872
   
Bonds, Barclays Center Project, Series 2009, 6.000%, 7/15/30
      
770
  
Dormitory Authority of the State of New York, Third General Resolution Revenue Bonds, State
5/22 at 100.00
AA–
857,118
   
University Educational Facilities Issue, Series 2012A, 5.000%, 5/15/25
      
415
  
Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Senior Fiscal 2012 Series
2/21 at 100.00
A
441,465
   
2011A, 5.750%, 2/15/47
      
   
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2000A:
      
170
  
0.000%, 6/01/22 – AGM Insured
No Opt. Call
AA–
129,926
30
  
0.000%, 6/01/24 – AGM Insured
No Opt. Call
AA–
20,537
   
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006A:
      
145
  
4.000%, 12/01/16 – AGM Insured
No Opt. Call
AA–
155,678
130
  
5.000%, 12/01/26 – SYNCORA GTY Insured
6/16 at 100.00
A–
135,526
25
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006B,
6/16 at 100.00
AA–
25,384
   
5.000%, 12/01/35 – AGM Insured
      
150
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006B,
6/16 at 100.00
A–
150,891
   
5.000%, 12/01/35
      
25
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006C,
9/16 at 100.00
A–
25,149
   
5.000%, 9/01/35
      
405
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006D,
9/16 at 100.00
A
433,787
   
5.000%, 9/01/25 – NPFG Insured
      
   
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006E:
      
150
  
5.000%, 12/01/17 – FGIC Insured
12/16 at 100.00
A
166,059
395
  
5.000%, 12/01/18 – NPFG Insured
12/16 at 100.00
A
435,017
210
  
5.000%, 12/01/21 – FGIC Insured
12/16 at 100.00
A
229,322
150
  
5.000%, 12/01/22 – FGIC Insured
12/16 at 100.00
A
162,455
190
  
Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2006F, 5.000%,
11/16 at 100.00
A
208,001
   
5/01/19 – NPFG Insured
      
575
  
New York State Thruway Authority, General Revenue Junior Indebtedness Obligations, Series
No Opt. Call
A–
661,221
   
2013A, 5.000%, 5/01/19
      
   
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–
409,309
565
  
5.000%, 6/01/18
No Opt. Call
AA–
651,767
   
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and
      
   
State Contingency Contract-Backed Bonds, Series 2013B:
      
100
  
5.000%, 6/01/20
6/15 at 100.00
AA–
105,730
150
  
5.000%, 6/01/21
6/16 at 100.00
AA–
162,399
100
  
5.000%, 6/01/22
6/17 at 100.00
AA–
110,728
400
  
Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, Refunding
No Opt. Call
AA–
468,524
   
Series 2013B, 5.000%, 11/15/21
      
5,830
  
Total New York
    
6,376,865
   
North Carolina – 0.2%
      
200
  
North Carolina Municipal Power Agency 1, Catawba Electric Revenue Bonds, Refunding Series
No Opt. Call
A
230,368
   
2012A, 5.000%, 1/01/19
      
   
Ohio – 3.4%
      
45
  
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
No Opt. Call
Baa1
49,001
   
Bonds, Senior Lien, Series 2007A-1, 5.000%, 6/01/17
      
1,325
  
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
6/17 at 100.00
B–
1,094,318
   
Bonds, Senior Lien, Series 2007A-2, 5.125%, 6/01/24
      
480
  
Fairfield County, Ohio, Hospital Facilities Revenue Bonds, Fairfield Medical Center Project,
6/23 at 100.00
Baa2
449,486
   
Series 2013, 5.000%, 6/15/43
      
250
  
Lake County, Ohio, Hospital Facilities Revenue Bonds, Lake Hospital System, Inc., Refunding
8/18 at 100.00
A3
265,320
   
Series 2008C, 5.500%, 8/15/24
      
   
New Albany Community Authority, Ohio, Community Facilities Revenue Refunding Bonds,
      
   
Series 2012C:
      
25
  
4.000%, 10/01/18
No Opt. Call
A1
27,230
30
  
4.000%, 10/01/19
No Opt. Call
A1
32,529
40
  
4.000%, 10/01/20
No Opt. Call
A1
42,913
45
  
5.000%, 10/01/21
No Opt. Call
A1
50,700
35
  
5.000%, 10/01/22
No Opt. Call
A1
39,382
2,000
  
Ohio Turnpike Commission, Turnpike Revenue Bonds, Infrastructure Projects, Junior Lien
2/31 at 100.00
A+
1,228,440
   
Convertible Series 2013A-3, 0.000%, 2/15/34
      
1,000
  
Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004B,
No Opt. Call
A
1,048,020
   
4.500%, 12/01/15
      
5,275
  
Total Ohio
    
4,327,339
   
Oklahoma – 0.8%
      
1,000
  
Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%,
7/15 at 100.00
AA
1,047,080
   
7/01/27 – AMBAC Insured
      
   
Pennsylvania – 7.7%
      
935
  
Beaver County Industrial Development Authority, Pennsylvania, Pollution Control Revenue
No Opt. Call
BBB–
906,885
   
Refunding Bonds, FirstEnergy Nuclear Generation Project, Series 2006B, 2.500%, 12/01/41
      
   
(Mandatory put 6/01/17)
      
100
  
Cumberland County Municipal Authority, Pennsylvania, Revenue Bonds, Presbyterian Homes Inc.,
No Opt. Call
BBB+
105,363
   
Refunding Series 2005A, 5.000%, 12/01/15 – RAAI Insured
      
200
  
Luzerne County Industrial Development Authority, Pennsylvania, Guaranteed Lease Revenue Bonds,
12/19 at 100.00
N/R
198,946
   
Series 2009, 7.750%, 12/15/27
      
205
  
Pennsylvania Economic Development Financing Authority, Health System Revenue Bonds , Albert
10/19 at 100.00
BBB+
220,961
   
Einstein Healthcare, Series 2009A, 6.250%, 10/15/23
      
215
  
Pennsylvania Economic Development Financing Authority, Unemployment Compensation Revenue
7/17 at 100.00
Aaa
241,909
   
Bonds, Series 2012B, 5.000%, 1/01/22
      
345
  
Pennsylvania Higher Educational Facilities Authority, College Revenue Bonds, Ninth Series
No Opt. Call
Aaa
367,480
   
1976, 7.625%, 7/01/15 (ETM)
      
225
  
Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, University of the Arts,
3/14 at 100.00
N/R (4)
254,372
   
Series 1999, 5.150%, 3/15/20 – RAAI Insured (ETM)
      
125
  
Pennsylvania Public School Building Authority, Lease Revenue Bonds, School District of
12/16 at 100.00
AA–
121,039
   
Philadelphia, Series 2006B, 4.500%, 6/01/32 – AGM Insured
      
580
  
Pennsylvania Turnpike Commission, Motor License Fund-Enhanced Subordinate Special Revenue
12/20 at 100.00
AA
534,047
   
Bonds, Series 2010A, 0.000%, 12/01/34
      
4,120
  
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Eighteenth Series 2004, 5.000%, 8/01/15 –
8/14 at 100.00
BBB+
4,207,089
   
AMBAC Insured
      
1,115
  
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Twelfth Series 1990B, 7.000%, 5/15/20 –
No Opt. Call
A (4)
1,339,070
   
NPFG Insured (ETM)
      
865
  
St. Mary Hospital Authority, Pennsylvania, Health System Revenue Bonds, Catholic Health East,
5/19 at 100.00
Aa2
937,331
   
Series 2009D, 6.250%, 11/15/34
      
330
  
Union County Hospital Authority, Pennsylvania, Hospital Revenue Bonds, Evangelical Community
No Opt. Call
BBB+
362,261
   
Hospital Project, Refunding and Improvement Series 2011, 5.750%, 8/01/21
      
9,360
  
Total Pennsylvania
    
9,796,753
   
Puerto Rico – 0.9%
      
45
  
Puerto Rico Aqueduct and Sewerage Authority, Revenue Bonds, Senior Lien Series 2012A,
No Opt. Call
BBB–
32,951
   
5.000%, 7/01/22
      
20
  
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 0.000%,
No Opt. Call
Baa3
12,971
   
7/01/19 – AMBAC Insured
      
500
  
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities
No Opt. Call
BBB–
361,745
   
Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System Project,
      
   
Refunding Series 2012, 5.000%, 4/01/27
      
975
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
8/26 at 100.00
A+
685,220
   
2009A, 0.000%, 8/01/32
      
75
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
No Opt. Call
A+
15,094
   
2010A, 0.000%, 8/01/32
      
25
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
No Opt. Call
A+
2,935
   
2010C, 0.000%, 8/01/38
      
25
  
Puerto Rico, General Obligation and Public Improvement Bonds, Series 2002A, 5.500%, 7/01/17 –
No Opt. Call
BBB–
22,679
   
SYNCORA GTY Insured
      
1,665
  
Total Puerto Rico
    
1,133,595
   
Rhode Island – 1.3%
      
200
  
Rhode Island Health and Educational Building Corporation, Revenue Bonds, Care New England
9/23 at 100.00
BBB
198,000
   
Health System, Series 2013A, 5.500%, 9/01/28
      
   
Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds,
      
   
Series 2002A:
      
430
  
6.125%, 6/01/32
6/14 at 100.00
BBB+
422,527
1,020
  
6.250%, 6/01/42
6/14 at 100.00
BBB–
982,597
1,650
  
Total Rhode Island
    
1,603,124
   
South Carolina – 4.9%
      
510
  
Greenville County School District, South Carolina, Installment Purchase Revenue Bonds, Series
12/16 at 100.00
AA
555,859
   
2006, 5.000%, 12/01/24
      
1,540
  
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,
No Opt. Call
Baa1 (4)
1,932,715
   
1/01/19 – FGIC Insured (ETM)
      
3,025
  
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,
No Opt. Call
Baa1
3,702,237
   
1/01/19 – FGIC Insured
      
5,075
  
Total South Carolina
    
6,190,811
   
South Dakota – 0.8%
      
1,000
  
South Dakota Health and Educational Facilities Authority, Revenue Bonds, Sanford Health,
5/17 at 100.00
A+
1,018,300
   
Series 2007, 5.000%, 11/01/27
      
   
Tennessee – 0.2%
      
   
Knox County Health, Educational and Housing Facility Board, Tennessee, Hospital Revenue
      
   
Refunding Bonds, Covenant Health, Series 2012A:
      
100
  
4.000%, 1/01/22
No Opt. Call
A
102,864
180
  
5.000%, 1/01/23
No Opt. Call
A
194,978
280
  
Total Tennessee
    
297,842
   
Texas – 10.7%
      
1,055
  
Austin, Texas, General Obligation Bonds, Series 2004, 5.000%, 9/01/20 (Pre-refunded 9/01/14) –
9/14 at 100.00
AAA
1,089,013
   
NPFG Insured
      
560
  
Bexar County Housing Finance Corporation, Texas, FNMA Guaranteed Multifamily Housing Revenue
No Opt. Call
N/R
580,530
   
Bonds, Villas Sonterra Apartments Project, Series 2007A, 4.700%, 10/01/15 (Alternative
      
   
Minimum Tax)
      
   
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding
      
   
Series 2007:
      
125
  
5.000%, 5/01/23 – SYNCORA GTY Insured
5/17 at 100.00
A1
139,419
15
  
5.000%, 5/01/24 – SYNCORA GTY Insured
5/17 at 100.00
A1
16,704
25
  
5.000%, 5/01/25 – SYNCORA GTY Insured
5/17 at 100.00
A1
27,118
10
  
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding Series
5/20 at 100.00
A1
10,547
   
2010, 5.875%, 5/01/40
      
10
  
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Series 2006,
5/16 at 100.00
A1
10,275
   
4.500%, 5/01/25 – NPFG Insured
      
   
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Refunding Bonds,
      
   
Series 2009:
      
20
  
5.000%, 5/01/29
5/19 at 100.00
A1
20,621
185
  
5.000%, 5/01/39
5/19 at 100.00
A1
186,970
25
  
Brazos River Authority, Texas, Collateralized Pollution Control Revenue Bonds, Texas Utilities
3/14 at 100.00
CC
749
   
Electric Company, Series 2003D, 5.400%, 10/01/29 (Mandatory put 5/01/14)
      
2,000
  
Brazos River Authority, Texas, Collateralized Revenue Bonds, CenterPoint Energy Inc.,
6/14 at 100.00
A
2,028,820
   
Refunding Series 2004B, 4.250%, 12/01/17 – FGIC Insured
      
5
  
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2005, 5.000%,
1/15 at 100.00
A (4)
5,238
   
1/01/45 (Pre-refunded 1/01/15) – FGIC Insured
      
500
  
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2011,
1/21 at 100.00
Baa2
515,110
   
6.250%, 1/01/46
      
1,875
  
Denton Independent School District, Denton County, Texas, General Obligation Bonds, Series
8/16 at 100.00
AAA
2,077,650
   
2006, 5.000%, 8/15/20
      
610
  
Grand Parkway Transportation Corporation, Texas, System Toll Revenue Bonds, Subordinate Lien
2/14 at 100.00
AA+ (4)
611,202
   
Series 2013C, 2.000%, 10/01/17 (Mandatory put 2/15/14) (Pre-refunded 2/15/14)
      
1,000
  
Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment
9/16 at 100.00
A2
1,083,360
   
Facilities Department, Refunding Series 2011B, 5.250%, 9/01/25
      
500
  
Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment
No Opt. Call
A2
318,905
   
Project, Series 2001B, 0.000%, 9/01/23 – AMBAC Insured
      
300
  
Kerrville Health Facilities Development Corporation, Texas, Revenue Bonds, Sid Peterson
2/16 at 100.00
BBB–
301,665
   
Memorial Hospital Project, Series 2005, 5.125%, 8/15/26
      
200
  
Love Field Airport Modernization Corporation, Texas, Special Facilities Revenue Bonds,
11/20 at 100.00
BBB–
199,984
   
Southwest Airlines Company, Series 2010, 5.250%, 11/01/40
      
   
McCamey County Hospital District, Texas, General Obligation Bonds, Series 2013:
      
100
  
5.000%, 12/01/25
No Opt. Call
Baa2
101,583
100
  
5.250%, 12/01/28
12/25 at 100.00
Baa2
99,637
   
North Central Texas Health Facilities Development Corporation, Texas, Revenue Bonds,
      
   
Children’s Medical Center Dallas Project, Series 2012:
      
400
  
5.000%, 8/15/24
8/22 at 100.00
AA
438,924
380
  
5.000%, 8/15/25
8/22 at 100.00
AA
412,300
1,060
  
North Texas Tollway Authority, Second Tier System Revenue Refunding Bonds, Series 2008F,
1/18 at 100.00
A3
1,108,410
   
5.750%, 1/01/38
      
750
  
North Texas Tollway Authority, Special Projects System Revenue Bonds, Current Interest Series
9/21 at 100.00
AA+
834,450
   
2011D, 5.000%, 9/01/24
      
   
North Texas Tollway Authority, Special Projects System Revenue Bonds, Series 2011A:
      
100
  
0.000%, 9/01/43
9/31 at 100.00
AA+
68,023
490
  
0.000%, 9/01/45
9/31 at 100.00
AA+
369,225
860
  
Texas Municipal Gas Acquisition and Supply Corporation I, Gas Supply Revenue Bonds, Series
6/14 at 100.00
A–
854,453
   
2006B, 0.720%, 12/15/17
      
100
  
Texas Municipal Gas Acquisition and Supply Corporation III, Gas Supply Revenue Bonds, Series
No Opt. Call
A3
94,831
   
2012, 5.000%, 12/15/32
      
13,360
  
Total Texas
    
13,605,716
   
Virgin Islands – 0.4%
      
525
  
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien
10/20 at 100.00
BBB
520,443
   
Series 2010A, 5.000%, 10/01/29
      
   
Virginia – 0.6%
      
250
  
Virginia College Building Authority, Educational Facilities Revenue Refunding Bonds, Marymount
7/14 at 100.00
N/R
250,515
   
University, Series 1998, 5.100%, 7/01/18 – RAAI Insured
      
500
  
Virginia Small Business Financing Authority, Senior Lien Revenue Bonds, Elizabeth River
7/22 at 100.00
BBB–
484,055
   
Crossing, Opco LLC Project, Series 2012, 5.500%, 1/01/42 (Alternative Minimum Tax)
      
750
  
Total Virginia
    
734,570
   
Washington – 1.6%
      
1,050
  
Washington Health Care Facilities Authority, Revenue Bonds, Fred Hutchinson Cancer Research
1/21 at 100.00
A
1,065,897
   
Center, Series 2011A, 5.375%, 1/01/31
      
330
  
Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series
No Opt. Call
Aa1
383,440
   
1989B, 7.125%, 7/01/16 – NPFG Insured
      
585
  
Whidbey Island Public Hospital District, Island County, Washington, General Obligation Bonds,
12/22 at 100.00
A2
600,935
   
Whidbey General Series 2013, 5.500%, 12/01/33
      
1,965
  
Total Washington
    
2,050,272
   
Wisconsin – 2.1%
      
   
University of Wisconsin Hospitals and Clinics Authority, Revenue Bonds, Refunding Series 2013A:
      
755
  
4.000%, 4/01/20
No Opt. Call
Aa3
805,366
25
  
5.000%, 4/01/21
No Opt. Call
Aa3
27,907
15
  
5.000%, 4/01/22
No Opt. Call
Aa3
16,691
25
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
4/15 at 100.00
A
25,217
   
Inc., Series 2010A, 5.625%, 4/15/33
      
320
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
No Opt. Call
A
354,560
   
Inc., Series 2010B, 5.000%, 7/15/20
      
675
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
7/21 at 100.00
A
703,121
   
Inc., Series 2012A, 5.000%, 7/15/25
      
30
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Ministry Health Care,
No Opt. Call
A+
33,711
   
Inc., Refunding 2012C, 5.000%, 8/15/17
      
   
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan
      
   
Healthcare System, Series 2006A:
      
500
  
5.250%, 8/15/18
8/16 at 100.00
A–
540,880
180
  
5.250%, 8/15/34
8/16 at 100.00
A–
174,371
2,525
  
Total Wisconsin
    
2,681,824
$ 125,065
  
Total Municipal Bonds (cost $121,357,490)
    
124,445,008
 
             
Principal
            
Amount (000)
  
Description (1)
Coupon
Maturity
Ratings (3)
Value
   
CORPORATE BONDS – 0.0%
        
   
Nevada – 0.0%
        
$ 16
  
Las Vegas Monorail Company, Senior Interest Bonds (6), (7)
5.500%
7/15/19
N/R
$           2,790
  4  
Las Vegas Monorail Company, Senior Interest Bonds (6), (7)
3.000%
7/15/55
N/R
590
$ 20
  
Total Corporate Bonds (cost $787)
      
3,380
   
Total Long-Term Investments (cost $121,358,277)
      
124,448,388
   
Other Assets Less Liabilities – 1.9%
      
2,393,547
   
Net Assets – 100%
      
$ 126,841,935
 
 
 
 
 
 
 
 
 
Fair Value Measurements
 
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
 
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
 
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:
 
 
Level 1
Level 2
Level 3
Total
Long-Term Investments:
        
Municipal Bonds
$ –
$124,445,008
$      –
$124,445,008
Corporate Bonds
–
–
3,380
3,380
Total
$ –
$124,445,008
$3,380
$124,448,388
 
 
Income Tax Information
 
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
 
As of December 31, 2013, the cost of investments was $121,161,756.
 
Gross unrealized appreciation and gross unrealized depreciation of investments as of December 31, 2013, were as follows:
   
Gross unrealized:
  
   Appreciation
$  4,686,217
   Depreciation
(1,399,585)
Net unrealized appreciation (depreciation) of investments
$  3,286,632
 
 
(1)
  
All percentages shown in the Portfolio of Investments are based on net assets.
(2)
  
Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption.
   
There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities
   
may be subject to periodic principal paydowns.
(3)
  
Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc.
   
(“Moody’s” ) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB
   
by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of
   
these national rating agencies.
(4)
  
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities,
   
which ensure the timely payment of principal and interest. Such investments are normally considered to
   
be equivalent to AAA rated securities.
(5)
  
At 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 directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(6)
  
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the
   
Board of Trustees. For fair value measurement disclosure purposes, investment classified as Level 3.
(7)
  
During January 2010, Las Vegas Monorail Company (“Las Vegas Monorail”) filed for federal bankruptcy
   
protection. During March 2012, Las Vegas Monorail emerged from federal bankruptcy with the acceptance
   
of a reorganization plan assigned by the Federal Bankruptcy Court. Under the reorganization plan, the Fund
   
surrendered its Las Vegas Monorail Project Revenue Bonds, First Tier, Series 2000 and in turn received two
   
senior interest corporate bonds: the first with an annual coupon rate of 5.500% maturing on July 15, 2019
   
and the second with an annual coupon rate of 3.000% (5.500% after December 31, 2015) maturing on
   
July 15, 2055. The Fund’s custodian is not accruing income on the Fund’s records for either senior interest
   
corporate bond.
(ETM)
  
Escrowed to maturity.
 

 
 
 
 
 
Item 2. Controls and Procedures.

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

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

 
 
 
 
 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
(Registrant)  Nuveen Select Maturities Municipal Fund 
 
By (Signature and Title)     /s/ Kevin J. McCarthy                    
                                                   Kevin J. McCarthy
                                                   Vice President and Secretary
 
Date:         February 28, 2014        
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
By (Signature and Title)     /s/ Gifford R. Zimmerman                    
                                                    Gifford R. Zimmerman
                                                  Chief Administrative Officer (principal executive officer) 
 
Date:         February 28, 2014        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:         February 28, 2014