Unassociated Document



 
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 811-07056
 
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:         6/30/14         
 
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)
      
   
June 30, 2014
      
 
 
Principal
    
Optional Call
    
Amount (000)
  
Description (1)
Provisions (2)
Ratings (3)
Value
   
LONG-TERM INVESTMENTS – 97.8%
      
   
MUNICIPAL BONDS – 97.8%
      
   
Alabama – 0.1%
      
$ 180
  
Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health
11/15 at 100.00
Baa2
$ 181,082
   
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
176,554
   
Arizona – 3.1%
      
   
Arizona Health Facilities Authority, Hospital System Revenue Bonds, Phoenix Children’s
      
   
Hospital, Refunding Series 2012A:
      
60
  
5.000%, 2/01/20
No Opt. Call
BBB+
68,639
290
  
5.000%, 2/01/27
2/22 at 100.00
BBB+
320,583
   
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
482,333
685
  
5.000%, 7/01/26
7/22 at 100.00
A1
772,488
685
  
5.000%, 7/01/27
7/22 at 100.00
A1
768,118
100
  
Pima County Industrial Development Authority, Arizona, Revenue Bonds, Tucson Electric Power
3/23 at 100.00
Baa1
100,872
   
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–
110,635
100
  
5.250%, 12/01/19
No Opt. Call
A–
113,964
35
  
5.000%, 12/01/32
No Opt. Call
A–
38,282
480
  
5.000%, 12/01/37
No Opt. Call
A–
529,272
750
  
Surprise Municipal Property Corporation, Arizona, Wastewater System Revenue Bonds, Series
No Opt. Call
A–
757,320
   
2007, 4.500%, 4/01/17
      
3,710
  
Total Arizona
    
4,062,506
   
Arkansas – 0.6%
      
500
  
Independence County, Arkansas, Pollution Control Revenue Bonds, Arkansas Power and Light
No Opt. Call
A–
505,580
   
Company Project, Series 2013, 2.375%, 1/01/21
      
310
  
North Little Rock, Arkansas, Electric Revenue Refunding Bonds, Series 1992A, 6.500%, 7/01/15 –
No Opt. Call
AA– (4)
319,167
   
NPFG Insured (ETM)
      
810
  
Total Arkansas
    
824,747
   
California – 5.2%
      
300
  
Alameda Corridor Transportation Authority, California, Senior Lien Revenue Refunding Bonds,
No Opt. Call
A
359,271
   
Series 2013A, 5.000%, 10/01/23
      
240
  
California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West,
7/15 at 100.00
A
250,459
   
Series 2008H, 5.125%, 7/01/22
      
125
  
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard
No Opt. Call
AA
127,383
   
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
163,050
   
Children’s Hospital, Series 2012C, 1.450%, 8/15/23 (Mandatory put 3/15/17)
      
500
  
California Health Facilities Financing Authority, Revenue Bonds, Saint Joseph Health System,
No Opt. Call
AA–
591,660
   
Series 2013D, 5.000%, 7/01/43 (Mandatory put 10/15/20)
      
525
  
California State, General Obligation Bonds, Various Purpose Series 2010, 5.500%, 3/01/40
3/20 at 100.00
Aa3
604,307
135
  
California Statewide Communities Development Authority, Revenue Bonds, Kaiser Permanente,
No Opt. Call
A+
151,415
   
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–
272,763
   
2012, 5.000%, 1/01/24
      
600
  
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed
6/17 at 100.00
B
534,768
   
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
380,622
   
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
271,520
250
  
5.000%, 9/01/22 – AMBAC Insured
9/16 at 100.00
AAA
271,520
500
  
5.000%, 9/01/23 – AMBAC Insured
9/16 at 100.00
AAA
543,040
295
  
Mount San Antonio Community College District, Los Angeles County, California, General
2/28 at 100.00
AA
221,238
   
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
1,289,160
   
AGC Insured
      
35
  
Riverside County Transportation Commission, California, Toll Revenue Senior Lien Bonds, Series
6/23 at 100.00
BBB–
38,986
   
2013A, 5.750%, 6/01/44
      
2,000
  
San Diego Community College District, California, General Obligation Bonds, Refunding Series
No Opt. Call
AA+
690,520
   
2011, 0.000%, 8/01/37
      
8,530
  
Total California
    
6,761,682
   
Colorado – 4.0%
      
2,895
  
Centennial Downs Metropolitan District, Colorado, General Obligation Bonds, Series 1999,
12/14 at 100.00
N/R
2,917,057
   
5.000%, 12/01/20 – AMBAC Insured
      
1,175
  
Colorado Educational and Cultural Facilities Authority, Revenue Bonds, Classical Academy
No Opt. Call
A
1,177,491
   
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
AA–
22,155
   
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
AA–
305,240
   
NPFG Insured
      
500
  
Plaza Metropolitan District 1, Lakewood, Colorado, Tax Increment Revenue Bonds, Refunding
No Opt. Call
N/R
538,325
   
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
221,728
   
Activity Bonds, Series 2010, 6.000%, 1/15/41
      
5,825
  
Total Colorado
    
5,181,996
   
Connecticut – 1.9%
      
930
  
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University,
No Opt. Call
AAA
928,466
   
Series 2010A-3, 0.875%, 7/01/49 (Mandatory put 2/08/18)
      
1,570
  
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator
No Opt. Call
A–
1,598,370
   
Lisbon Project, Series 1993A, 5.500%, 1/01/15 (Alternative Minimum Tax)
      
2,500
  
Total Connecticut
    
2,526,836
   
Delaware – 0.1%
      
170
  
Delaware Health Facilities Authority, Revenue Bonds, Nanticoke Memorial Hospital, Series 2013,
7/23 at 100.00
BBB–
172,338
   
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–
124,134
   
Issue, Series 2013, 5.000%, 10/01/30
      
150
  
District of Columbia Tobacco Settlement Corporation, Tobacco Settlement Asset-Backed Bonds,
No Opt. Call
Baa1
165,968
   
Series 2001, 6.500%, 5/15/33
      
270
  
Total District of Columbia
    
290,102
   
Florida – 7.0%
      
100
  
Citizens Property Insurance Corporation, Florida, High Risk Assessment Revenue, Senior Secured
No Opt. Call
A+
109,452
   
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+
183,120
   
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–
401,676
   
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
AA–
1,254,402
420
  
5.000%, 3/01/16 – NPFG Insured
No Opt. Call
AA–
452,374
   
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+
57,225
455
  
5.000%, 6/01/20
No Opt. Call
A+
529,984
600
  
Florida Department of Environmental Protection, Florida Forever Revenue Bonds, Series 2007B,
7/17 at 101.00
AA–
677,712
   
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
BBB+
531,679
   
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
10,934
10
  
5.625%, 6/01/34 – AGC Insured
6/19 at 100.00
AA
10,802
750
  
North Sumter County Utility Dependent District, Florida, Utility Revenue Bonds, Series 2010,
No Opt. Call
A
848,370
   
5.000%, 10/01/20
      
270
  
Orange County School Board, Florida, Certificates of Participation, Series 2005B, 5.000%,
8/15 at 100.00
Aa2
283,206
   
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–
2,110,757
   
AMBAC Insured
      
130
  
Port Everglades Authority, Florida, Port Facilities Revenue Bonds, Series 1986, 7.125%,
No Opt. Call
Aaa
141,430
   
11/01/16 (ETM)
      
710
  
South Miami Health Facilities Authority, Florida, Hospital Revenue, Baptist Health System
8/17 at 100.00
AA
786,176
   
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:
      
110
  
5.000%, 9/01/22
No Opt. Call
A+
129,004
350
  
5.000%, 9/01/23
9/22 at 100.00
A+
403,792
150
  
5.000%, 9/01/25
9/22 at 100.00
A+
169,979
8,380
  
Total Florida
    
9,092,074
   
Georgia – 1.0%
      
300
  
Cherokee County Water and Sewerage Authority, Georgia, Revenue Bonds, Series 1995, 5.200%,
8/22 at 100.00
AA– (4)
344,493
   
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
1,017,684
   
Project, Refunding Series 2012C, 5.250%, 10/01/23
      
1,200
  
Total Georgia
    
1,362,177
   
Guam – 0.1%
      
140
  
Guam Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2013,
7/23 at 100.00
A–
151,238
   
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+
211,556
   
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+
99,528
   
Hospital, Series 2006, 5.250%, 9/01/37
      
   
Illinois – 13.8%
      
1,500
  
Cook County Township High School District 208, Illinois, General Obligation Bonds, Series
12/15 at 100.00
Aa3
1,594,500
   
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
378,784
2,000
  
Huntley, Illinois, Special Service Area 9, Special Tax Bonds, Series 2007, 5.100%, 3/01/28 –
3/17 at 100.00
AA
2,189,157
   
AGC Insured
      
455
  
Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2012, 5.000%, 9/01/27
9/22 at 100.00
BBB
487,510
640
  
Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Series 2007A,
11/17 at 100.00
A
679,149
   
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
259,540
700
  
Illinois Health Facilities Authority, Revenue Bonds, Silver Cross Hospital and Medical
No Opt. Call
BBB–
701,764
   
Centers, Series 1999, 5.500%, 8/15/19
      
   
Illinois State, General Obligation Bonds, February Series 2014:
      
370
  
5.000%, 2/01/25
2/24 at 100.00
A–
410,770
325
  
5.000%, 2/01/26
2/24 at 100.00
A–
358,501
110
  
Illinois State, General Obligation Bonds, Refunding Series 2006, 5.000%, 1/01/15
No Opt. Call
A–
112,598
290
  
Illinois State, General Obligation Bonds, Refunding Series 2007B, 5.000%, 1/01/16
No Opt. Call
A–
309,039
425
  
Illinois State, General Obligation Bonds, Refunding Series 2008, 4.250%, 4/01/16
No Opt. Call
A–
451,388
1,165
  
Illinois State, General Obligation Bonds, Refunding Series 2010, 5.000%, 1/01/19
No Opt. Call
A–
1,312,373
   
Illinois State, General Obligation Bonds, Refunding Series 2012:
      
390
  
5.000%, 8/01/20
No Opt. Call
A–
440,840
320
  
5.000%, 8/01/21
No Opt. Call
A–
362,288
275
  
5.000%, 8/01/23
No Opt. Call
A–
307,923
230
  
Illinois State, General Obligation Bonds, Series 2006, 5.000%, 1/01/17
1/16 at 100.00
A–
243,280
25
  
Illinois State, General Obligation Bonds, Series 2007A, 5.500%, 6/01/15
No Opt. Call
A–
26,186
300
  
Illinois State, General Obligation Bonds, Series 2012A, 4.000%, 1/01/20
No Opt. Call
A–
322,602
   
Illinois State, General Obligation Bonds, Series 2013:
      
280
  
5.500%, 7/01/25
7/23 at 100.00
A–
319,561
240
  
5.500%, 7/01/26
7/23 at 100.00
A–
274,303
1,380
  
Kane & DeKalb Counties Community Unit School District 301, Illinois, General Obligation Bonds,
No Opt. Call
Aa3
1,265,639
   
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
710,750
   
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:
      
705
  
5.000%, 6/01/19
No Opt. Call
A
812,661
1,000
  
5.250%, 6/01/21
No Opt. Call
A
1,177,510
60
  
6.250%, 6/01/24
6/16 at 100.00
A–
66,200
700
  
Regional Transportation Authority, Cook, DuPage, Kane, Lake, McHenry and Will Counties,
No Opt. Call
AA
830,116
   
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+
546,250
   
Series 2012, 4.000%, 11/01/22
      
355
  
Will, Grundy, Kendall, LaSalle, Kankakee, Livingston and Cook Counties Community
6/18 at 100.00
AA
397,909
   
College 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
693,916
   
General Obligation Lease Certificates, Series 2011, 7.000%, 10/15/22
      
16,935
  
Total Illinois
    
18,043,007
   
Indiana – 1.8%
      
210
  
Indiana Finance Authority, Educational Facilities Revenue Bonds, Drexel Foundation For
10/19 at 100.00
BB–
215,330
   
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
195,325
   
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)
1,040,490
   
Series 2005A, 5.000%, 5/01/35 (Pre-refunded 5/01/15) – AMBAC Insured
      
255
  
Jasper County, Indiana, Pollution Control Revenue Refunding Bonds, Northern Indiana Public
No Opt. Call
AA–
292,396
   
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
NA
259,880
250
  
Vanderburgh County, Indiana, Redevelopment District Tax Increment Revenue bonds, Refunding
8/24 at 100.00
A
280,838
   
Series 2014, 5.000%, 2/01/29 (WI/DD, Settling 7/02/14)
      
2,145
  
Total Indiana
    
2,284,259
   
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
542,485
335
  
Iowa Finance Authority, Iowa, Midwestern Disaster Area Revenue Bonds, Iowa Fertilizer Company
No Opt. Call
BB–
352,835
   
Project, Series 2013, 5.000%, 12/01/19
      
835
  
Total Iowa
    
895,320
   
Kansas – 0.2%
      
100
  
Wyandotte County/Kansas City Unified Government Board of Public Utilities, Kansas, Utility
No Opt. Call
A+
118,244
   
System Revenue Bonds, Refunding & Improvement Series 2014A, 5.000%, 9/01/22
      
200
  
Wyandotte County-Kansas City Unified Government, Kansas, Sales Tax Special Obligation Capital
No Opt. Call
A–
139,168
   
Appreciation Revenue Bonds Redevelopment Project Area B – Major Multi-Sport Athletic Complex
      
   
Project, Subordinate Lien Series 2010B, 0.000%, 6/01/21
      
300
  
Total Kansas
    
257,412
   
Kentucky – 1.4%
      
350
  
Kentucky Economic Development Finance Authority, Louisville Arena Project Revenue Bonds,
6/18 at 100.00
AA
374,164
   
Louisville Arena Authority, Inc., Series 2008-A1, 5.750%, 12/01/28 – AGC Insured
      
130
  
Kentucky Housing Corporation, Housing Revenue Bonds, Series 2005G, 5.000%, 7/01/30
1/15 at 100.60
AAA
131,226
   
(Alternative Minimum Tax)
      
385
  
Kentucky Public Transportation Infrastructure Authority, First Tier Toll Revenue Bonds,
No Opt. Call
Baa3
429,414
   
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
378,593
   
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–
151,005
   
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
A+
325,504
   
Bonds, Louisville Gas and Electric Company Project, Series 2003A, 1.650%, 10/01/33 (Mandatory
      
   
put 4/03/17)
      
1,675
  
Total Kentucky
    
1,789,906
   
Louisiana – 0.6%
      
55
  
Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006B,
6/16 at 100.00
A–
58,832
   
5.000%, 6/01/23 – AMBAC Insured
      
   
Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006-C1:
      
35
  
5.875%, 6/01/23
6/18 at 100.00
AA
40,729
10
  
6.000%, 6/01/24
6/18 at 100.00
AA
11,655
255
  
Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project,
5/17 at 100.00
Baa1
265,957
   
Series 2007A, 5.250%, 5/15/38
      
385
  
Saint Charles Parish, Louisiana, Gulf Opportunity Zone Revenue Bonds, Valero Project, Series
No Opt. Call
BBB
412,793
   
2010, 4.000%, 12/01/40 (Mandatory put 6/01/22)
      
740
  
Total Louisiana
    
789,966
   
Maine – 0.1%
      
25
  
Maine Health and Higher Educational Facilities Authority Revenue Bonds, Eastern Maine Medical
No Opt. Call
Baa1
24,468
   
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+
40,136
60
  
Total Maine
    
64,604
   
Massachusetts – 1.5%
      
500
  
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,
10/17 at 100.00
N/R
526,145
   
5.000%, 10/01/19
      
250
  
Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street
No Opt. Call
AA–
250,170
   
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)
No Opt. Call
N/R
100,037
470
  
5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
7/14 at 100.00
N/R
470,028
500
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,
8/15 at 100.00
AA (4)
527,350
   
5.000%, 8/15/30 (Pre-refunded 8/15/15)
      
   
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A:
      
100
  
5.000%, 8/15/18 – AMBAC Insured
8/17 at 100.00
AA+
112,400
25
  
5.000%, 8/15/20 – AMBAC Insured
8/17 at 100.00
AA+
28,173
1,945
  
Total Massachusetts
    
2,014,303
   
Michigan – 2.7%
      
400
  
Detroit Downtown Development Authority, Michigan, Tax Increment Refunding Bonds, Development
No Opt. Call
BB
224,104
   
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)
No Opt. Call
AA–
987,370
50
  
Detroit, Michigan, Second Lien Sewerage Disposal System Revenue Bonds, Series 2005A, 5.000%,
7/15 at 100.00
AA–
50,017
   
7/01/35 – NPFG Insured
      
150
  
Detroit, Michigan, Senior Lien Sewerage Disposal System Revenue Bonds, Series 2001B, 5.500%,
No Opt. Call
AA–
154,269
   
7/01/29 – FGIC Insured
      
280
  
Michigan Finance Authority, Revenue Bonds, Detroit City School District, Series 2012,
No Opt. Call
A+
309,966
   
5.000%, 6/01/18
      
200
  
Michigan Finance Authority, Unemployment Obligation Assessment Revenue Bonds, Series 2012B,
7/16 at 100.00
AAA
217,744
   
5.000%, 7/01/22
      
1,000
  
Michigan Hospital Finance Authority, Revenue Bonds, Ascension Health Senior Credit Group,
No Opt. Call
AA+
1,016,520
   
Refunding and Project 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
549,475
   
Refunding Series 2010C, 5.000%, 12/01/16
      
3,580
  
Total Michigan
    
3,509,465
   
Minnesota – 0.2%
      
260
  
Northern Municipal Power Agency, Minnesota, Electric System Revenue Bonds, Refunding Series
No Opt. Call
AA
266,354
   
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
A
100,750
300
  
5.000%, 9/01/24
9/14 at 100.00
A
302,211
250
  
Warren County, Mississippi, Gulf Opportunity Zone Revenue Bonds, International Paper Company,
No Opt. Call
BBB
250,140
   
Series 2006A, 4.800%, 8/01/30
      
650
  
Total Mississippi
    
653,101
   
Missouri – 1.3%
      
100
  
Missouri Health and Educational Facilities Authority, Educational Facilities Revenue Bonds,
5/23 at 100.00
BBB+
107,717
   
Saint Louis College of Pharmacy, Series 2013, 5.250%, 5/01/33
      
295
  
St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1989A, 8.125%,
7/20 at 100.00
AA+ (4)
351,923
   
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
AA–
1,179,140
   
2005, 5.500%, 7/01/19 – NPFG Insured
      
1,395
  
Total Missouri
    
1,638,780
   
Montana – 0.3%
      
260
  
Billings, Montana, Tax Increment Urban Renewal Revenue Bonds, Expanded North 27th Street,
1/23 at 100.00
N/R
263,458
   
Series 2013A, 5.000%, 7/01/33
      
115
  
University of Montana, Revenue Bonds, Series 1996D, 5.375%, 5/15/19 – NPFG Insured (ETM)
9/14 at 100.00
AA– (4)
130,859
375
  
Total Montana
    
394,317
   
Nebraska – 0.9%
      
1,000
  
Dodge County School District 1, Nebraska, Fremont Public Schools, General Obligation Bonds,
12/14 at 100.00
Aa3 (4)
1,022,430
   
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–
110,540
   
Series 2012, 4.000%, 6/15/23
      
1,100
  
Total Nebraska
    
1,132,970
   
Nevada – 1.8%
      
1,025
  
Clark County, Nevada, Airport Revenue Bonds, Subordinate Lien Series 2010B, 5.750%, 7/01/42
1/20 at 100.00
A+
1,191,317
250
  
Las Vegas Redevelopment Agency, Nevada, Tax Increment Revenue Bonds, Series 2009A,
6/19 at 100.00
BBB–
288,340
   
8.000%, 6/15/30
      
50
  
Las Vegas, Nevada, Special Improvement District 607 Providence, Local Improvement Refunding
No Opt. Call
N/R
53,456
   
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
884,345
   
Refunding Series 2011, 5.000%, 7/01/23
      
2,100
  
Total Nevada
    
2,417,458
   
New Hampshire – 0.5%
      
600
  
New Hampshire Health and Education Facilities Authority, Hospital Revenue Bonds, Speare
No Opt. Call
N/R (4)
631,932
   
Memorial Hospital, Series 2004, 5.500%, 7/01/25 (Pre-refunded 7/01/15)
      
   
New Jersey – 5.4%
      
190
  
Bayonne Redevelopment Agency, New Jersey, Revenue Bonds, Royal Caribbean Cruises Project,
No Opt. Call
BB
190,426
   
Series 2006A, 4.750%, 11/01/16 (Alternative Minimum Tax)
      
   
New Jersey Economic Development Authority, Cigarette Tax Revenue Bonds, Series 2004:
      
15
  
5.375%, 6/15/15 – RAAI Insured (ETM)
No Opt. Call
Aaa
15,760
120
  
5.500%, 6/15/16 – RAAI Insured (ETM)
No Opt. Call
Aaa
132,152
   
New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012:
      
120
  
4.000%, 6/15/19
No Opt. Call
BBB+
132,492
275
  
5.000%, 6/15/20
No Opt. Call
BBB+
316,217
300
  
5.000%, 6/15/21
No Opt. Call
BBB+
343,962
335
  
5.000%, 6/15/22
No Opt. Call
BBB+
383,870
350
  
5.000%, 6/15/23
6/22 at 100.00
BBB+
396,883
210
  
5.000%, 6/15/24
6/22 at 100.00
BBB+
234,728
500
  
5.000%, 6/15/25
6/22 at 100.00
BBB+
549,465
150
  
5.000%, 6/15/26
6/22 at 100.00
BBB+
163,320
100
  
4.250%, 6/15/27
6/22 at 100.00
BBB+
102,427
300
  
5.000%, 6/15/28
No Opt. Call
BBB+
323,985
220
  
New Jersey Economic Development Authority, Private Activity Bonds, The Goethals Bridge
1/24 at 100.00
BBB–
241,998
   
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
52,799
   
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
690,011
   
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
1,761,566
   
5.000%, 12/15/23
      
260
  
New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/19
No Opt. Call
A+
300,768
170
  
Salem County Pollution Control Financing Authority, New Jersey, Pollution Control Revenue
No Opt. Call
BBB
189,715
   
Bonds, Chambers Project, Refunding Series 2014A, 5.000%, 12/01/23 (Alternative Minimum Tax)
      
250
  
South Jersey Port Corporation, New Jersey, Marine Terminal Revenue Refunding Bonds, Series
No Opt. Call
A2
255,320
   
2012Q, 3.000%, 1/01/22
      
300
  
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,
6/17 at 100.00
BB
291,444
   
Series 2007-1A, 4.500%, 6/01/23
      
7,460
  
Total New Jersey
    
7,069,308
 
   
New York – 5.5%
      
220
  
Brooklyn Arena Local Development Corporation, New York, Payment in Lieu of Taxes Revenue
1/20 at 100.00
BBB–
244,673
   
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
896,965
   
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
473,776
   
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
139,157
55
  
0.000%, 6/01/24 – AGM Insured
No Opt. Call
AA
41,088
   
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006A:
      
145
  
4.000%, 12/01/16 – AGM Insured
No Opt. Call
AA
154,110
220
  
5.000%, 12/01/26 – SYNCORA GTY Insured
6/16 at 100.00
A–
235,330
   
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006B:
      
25
  
5.000%, 12/01/35 – AGM Insured
6/16 at 100.00
AA
26,532
160
  
5.000%, 12/01/35
6/16 at 100.00
A–
169,523
140
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006C,
9/16 at 100.00
A–
149,295
   
5.000%, 9/01/35
      
405
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006D,
9/16 at 100.00
AA–
438,996
   
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
AA–
165,122
435
  
5.000%, 12/01/18 – NPFG Insured
12/16 at 100.00
AA–
478,304
10
  
4.000%, 12/01/18 – NPFG Insured
No Opt. Call
AA–
10,585
210
  
5.000%, 12/01/21 – FGIC Insured
12/16 at 100.00
AA–
230,320
150
  
5.000%, 12/01/22 – FGIC Insured
12/16 at 100.00
AA–
164,325
190
  
Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2006F, 5.000%,
11/16 at 100.00
AA–
208,052
   
5/01/19 – NPFG Insured
      
705
  
New York State Thruway Authority, General Revenue Junior Indebtedness Obligations, Series
No Opt. Call
A–
819,513
   
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
405,940
565
  
5.000%, 6/01/18
No Opt. Call
AA
652,942
   
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
104,190
215
  
5.000%, 6/01/21
6/16 at 100.00
AA
232,366
200
  
5.000%, 6/01/22
6/17 at 100.00
AA
223,424
400
  
Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, Refunding
No Opt. Call
AA–
481,904
   
Series 2013B, 5.000%, 11/15/21
      
6,415
  
Total New York
    
7,146,432
   
Ohio – 4.2%
      
45
  
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
No Opt. Call
A1
49,037
   
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–
1,123,998
   
Bonds, Senior Lien, Series 2007A-2, 5.125%, 6/01/24
      
500
  
Columbus, Ohio, General Obligation Bonds, Various Purpose, Series 2014A, 5.000%, 2/15/20
No Opt. Call
AAA
597,565
480
  
Fairfield County, Ohio, Hospital Facilities Revenue Bonds, Fairfield Medical Center Project,
6/23 at 100.00
Baa2
502,210
   
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
272,375
   
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
27,365
30
  
4.000%, 10/01/19
No Opt. Call
A1
33,008
40
  
4.000%, 10/01/20
No Opt. Call
A1
43,901
45
  
5.000%, 10/01/21
No Opt. Call
A1
52,135
35
  
5.000%, 10/01/22
No Opt. Call
A1
40,777
175
  
Ohio Air Quality Development Authority, Ohio, Pollution Control Revenue Refunding Bonds,
No Opt. Call
BBB–
183,733
   
FirstEnergy Generation Corp. Project, Series 2006A, 3.750%, 12/01/23 (Mandatory put 12/03/18)
      
2,000
  
Ohio Turnpike Commission, Turnpike Revenue Bonds, Infrastructure Projects, Junior Lien
2/31 at 100.00
A+
1,463,420
   
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
1,045,500
   
4.500%, 12/01/15
      
5,950
  
Total Ohio
    
5,435,024
   
Oklahoma – 0.8%
      
1,000
  
Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%,
7/15 at 100.00
AA (4)
1,048,530
   
7/01/27 (Pre-refunded 7/01/15) – AMBAC Insured
      
   
Pennsylvania – 8.0%
      
935
  
Beaver County Industrial Development Authority, Pennsylvania, Pollution Control Revenue
No Opt. Call
BBB–
941,293
   
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+
104,231
   
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
205,634
   
Series 2009, 7.750%, 12/15/27
      
205
  
Pennsylvania Economic Development Financing Authority, Health System Revenue Bonds , Albert
10/19 at 100.00
BBB+
230,773
   
Einstein Healthcare, Series 2009A, 6.250%, 10/15/23
      
500
  
Pennsylvania Economic Development Financing Authority, Parking System Revenue Bonds, Capitol
1/24 at 100.00
AA
600,170
   
Region Parking System, Junior Guaranteed Series 2013B, 5.500%, 1/01/27
      
250
  
Pennsylvania Economic Development Financing Authority, Parking System Revenue Bonds, Capitol
1/24 at 100.00
AA
302,380
   
Region Parking System, Junior Insured Series 2013C, 5.500%, 1/01/26 – AGM Insured
      
215
  
Pennsylvania Economic Development Financing Authority, Unemployment Compensation Revenue
7/17 at 100.00
Aaa
241,916
   
Bonds, Series 2012B, 5.000%, 1/01/22
      
180
  
Pennsylvania Higher Educational Facilities Authority, College Revenue Bonds, Ninth Series
No Opt. Call
Aaa
186,239
   
1976, 7.625%, 7/01/15 (ETM)
      
225
  
Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, University of the Arts,
9/14 at 100.00
N/R (4)
253,528
   
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
126,871
   
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
585,429
   
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+
4,135,364
   
AMBAC Insured
      
1,005
  
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Twelfth Series 1990B, 7.000%, 5/15/20 –
No Opt. Call
AA– (4)
1,202,422
   
NPFG Insured (ETM)
      
895
  
St. Mary Hospital Authority, Pennsylvania, Health System Revenue Bonds, Catholic Health East,
5/19 at 100.00
Aa2
1,017,490
   
Series 2009D, 6.250%, 11/15/34
      
330
  
Union County Hospital Authority, Pennsylvania, Hospital Revenue Bonds, Evangelical Community
No Opt. Call
BBB+
374,738
   
Hospital Project, Refunding and Improvement Series 2011, 5.750%, 8/01/21
      
9,865
  
Total Pennsylvania
    
10,508,478
   
Puerto Rico – 0.7%
      
20
  
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 0.000%,
No Opt. Call
Caa1
14,822
   
7/01/19 – AMBAC Insured
      
500
  
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities
No Opt. Call
BBB–
451,690
   
Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System Project,
      
   
Refunding Series 2012, 5.000%, 4/01/27
      
565
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
8/26 at 100.00
A+
454,198
   
2009A, 0.000%, 8/01/32
      
75
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
No Opt. Call
A+
16,700
   
2010A, 0.000%, 8/01/32
      
25
  
Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series
No Opt. Call
A+
3,382
   
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
BB
23,659
   
SYNCORA GTY Insured
      
1,210
  
Total Puerto Rico
    
964,451
   
Rhode Island – 1.3%
      
200
  
Rhode Island Health and Educational Building Corporation, Revenue Bonds, Care New England
9/23 at 100.00
BBB
213,484
   
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
No Opt. Call
BBB+
429,970
1,020
  
6.250%, 6/01/42
No Opt. Call
BBB–
1,019,888
1,650
  
Total Rhode Island
    
1,663,342
   
South Carolina – 4.7%
      
510
  
Greenville County School District, South Carolina, Installment Purchase Revenue Bonds, Series
12/16 at 100.00
AA
558,705
   
2006, 5.000%, 12/01/24
      
1,540
  
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,
No Opt. Call
A3 (4)
1,911,633
   
1/01/19 – FGIC Insured (ETM)
      
3,035
  
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,
No Opt. Call
A3
3,710,679
   
1/01/19 – FGIC Insured
      
5,085
  
Total South Carolina
    
6,181,017
   
South Dakota – 0.8%
      
1,000
  
South Dakota Health and Educational Facilities Authority, Revenue Bonds, Sanford Health,
5/17 at 100.00
A+
1,054,230
   
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
107,649
180
  
5.000%, 1/01/23
No Opt. Call
A
211,714
280
  
Total Tennessee
    
319,363
   
Texas – 9.3%
      
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
1,063,757
   
NPFG Insured
      
555
  
Bexar County Housing Finance Corporation, Texas, FNMA Guaranteed Multifamily Housing
No Opt. Call
N/R
570,473
   
Revenue 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:
      
130
  
5.000%, 5/01/23 – SYNCORA GTY Insured
5/17 at 100.00
A+
144,179
15
  
5.000%, 5/01/24 – SYNCORA GTY Insured
5/17 at 100.00
A+
16,636
40
  
5.000%, 5/01/25 – SYNCORA GTY Insured
5/17 at 100.00
A+
44,232
10
  
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding Series
5/20 at 100.00
A+
11,179
   
2010, 5.875%, 5/01/40
      
20
  
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Series 2006,
5/16 at 100.00
AA–
21,289
   
4.500%, 5/01/25 – NPFG Insured
      
   
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Refunding Bonds,
      
   
Series 2009:
      
25
  
5.000%, 5/01/29
5/19 at 100.00
A+
26,648
115
  
5.000%, 5/01/39
5/19 at 100.00
A+
120,702
25
  
Brazos River Authority, Texas, Collateralized Pollution Control Revenue Bonds, Texas Utilities
9/14 at 100.00
C
1,750
   
Electric Company, Series 2003D, 5.400%, 10/01/29 (Mandatory put 10/01/14) (5)
      
5
  
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2005, 5.000%,
1/15 at 100.00
AA– (4)
5,122
   
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
562,640
   
6.250%, 1/01/46
      
1,875
  
Denton Independent School District, Denton County, Texas, General Obligation Bonds, Series
8/16 at 100.00
AAA
2,052,413
   
2006, 5.000%, 8/15/20
      
35
  
Houston, Texas, Airport System Special Facilities Revenue Bonds, United Airlines, Inc.
7/24 at 100.00
B
35,635
   
Terminal E Project, Refunding Series 2014, 5.000%, 7/01/29 (Alternative Minimum Tax)
      
1,000
  
Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment
9/16 at 100.00
A2
1,084,130
   
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
346,485
   
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
305,286
   
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–
214,438
   
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
107,561
100
  
5.250%, 12/01/28
12/25 at 100.00
Baa2
108,216
   
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
464,568
380
  
5.000%, 8/15/25
8/22 at 100.00
AA
438,539
1,900
  
North Texas Tollway Authority, Second Tier System Revenue Refunding Bonds, Series 2008F,
1/18 at 100.00
A3
2,098,816
   
5.750%, 1/01/38
      
750
  
North Texas Tollway Authority, Special Projects System Revenue Bonds, Current Interest Series
9/21 at 100.00
AA+
879,593
   
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+
81,839
490
  
0.000%, 9/01/45
9/31 at 100.00
AA+
440,848
860
  
Texas Municipal Gas Acquisition and Supply Corporation I, Gas Supply Revenue Bonds, Series
No Opt. Call
A–
859,260
   
2006B, 0.706%, 12/15/17
      
100
  
Texas Municipal Gas Acquisition and Supply Corporation III, Gas Supply Revenue Bonds, Series
No Opt. Call
A3
105,936
   
2012, 5.000%, 12/15/32
      
11,585
  
Total Texas
    
12,212,170
   
Virgin Islands – 0.4%
      
525
  
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien
10/20 at 100.00
BBB
564,428
   
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
250,663
   
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–
532,255
   
Crossing, Opco LLC Project, Series 2012, 5.500%, 1/01/42 (Alternative Minimum Tax)
      
750
  
Total Virginia
    
782,918
   
Washington – 1.7%
      
1,050
  
Washington Health Care Facilities Authority, Revenue Bonds, Fred Hutchinson Cancer Research
1/21 at 100.00
A
1,125,117
   
Center, Series 2011A, 5.375%, 1/01/31
      
380
  
Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series
No Opt. Call
Aa1
431,133
   
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
654,726
   
Whidbey General Series 2013, 5.500%, 12/01/33
      
2,015
  
Total Washington
    
2,210,976
   
Wisconsin – 2.2%
      
   
University of Wisconsin Hospitals and Clinics Authority, Revenue Bonds, Refunding Series 2013A:
      
755
  
4.000%, 4/01/20
No Opt. Call
Aa3
834,924
25
  
5.000%, 4/01/21
No Opt. Call
Aa3
29,021
15
  
5.000%, 4/01/22
No Opt. Call
Aa3
17,393
25
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
4/15 at 100.00
A
25,337
   
Inc., Series 2010A, 5.625%, 4/15/33
      
320
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
No Opt. Call
A
362,861
   
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
742,973
   
Inc., Series 2012A, 5.000%, 7/15/25
      
30
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Ministry Health Care,
No Opt. Call
A+
33,457
   
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–
539,785
180
  
5.250%, 8/15/34
8/16 at 100.00
A–
184,163
115
  
Wisconsin State, General Fund Annual Appropriation Revenue Bonds, Refunding Series 2009A,
5/19 at 100.00
AA–
135,224
   
6.000%, 5/01/33
      
2,640
  
Total Wisconsin
    
2,905,138
$ 124,295
  
Total Municipal Bonds (cost $120,894,047)
    
127,943,375
 
 
Principal
            
Amount (000)
  
Description (1)
 Coupon
             Maturity
Ratings (3)
Value
   
CORPORATE BONDS – 0.0%
        
   
Transportation – 0.0%
        
$ 16
  
Las Vegas Monorail Company, Senior Interest Bonds (6), (7)
 5.500%
             7/15/19
N/R
$ 2,867
4
  
Las Vegas Monorail Company, Senior Interest Bonds (6), (7)
 3.000%
              7/15/55
N/R
590
$ 20
  
Total Corporate Bonds (cost $1,216)
      
3,457
   
Total Long-Term Investments (cost $120,895,263)
      
127,946,832
   
Other Assets Less Liabilities – 2.2%
      
2,833,270
   
Net Assets – 100%
      
$ 130,780,102
 
 
 
 
 
 
 
 
 
Fair Value Measurements
 
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
 
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
 
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Prices are determined using significant unobservable inputs (including management's assumptions in determining the fair value of investments).
 
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
$ —
$127,943,375
$     —
$127,943,375
Corporate Bonds
—
—
3,457
3,457
Total
$ —
$127,943,375
$3,457
$127,946,832
 
 
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 June 30, 2014, the cost of investments was $120,671,731.
 
Gross unrealized appreciation and gross unrealized depreciation of investments as of June 30, 2014, were as follows:
 
   
Gross unrealized:
  
Appreciation
$7,559,102
Depreciation
(284,001)
Net unrealized appreciation (depreciation) of investments
$7,275,101
 
 
   
(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. Certain bonds backed by U.S. Government or
 
agency securities are regarded as having an implied rating equal to the rating of such securities.
(5)
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
 
Nuveen funds’ Board of Directors/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.
WI/DD
Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.
(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:         August 29, 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:         August 29, 2014        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:         August 29, 2014