UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7056
---------------------
Nuveen Select Maturities Municipal Fund
--------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
--------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
--------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
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Date of fiscal year end: March 31
------------------
Date of reporting period: March 31, 2007
------------------
Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
ANNUAL REPORT March 31, 2007
Nuveen Investments
Municipal Closed-End Funds
NUVEEN SELECT
MATURITIES
MUNICIPAL FUND
NIM
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DEPENDABLE,
TAX-FREE INCOME BECAUSE
IT'S NOT WHAT YOU EARN,
IT'S WHAT YOU KEEP.(R)
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Photo of: Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
Chairman's
LETTER TO SHAREHOLDERS
Once again, I am pleased to report that over the twelve-month period
covered by this report your Fund continued to provide you with attractive
monthly tax-free income. For more details about the management strategy and
performance of your Fund, please read the Portfolio Manager's Comments, the
Dividend and Share Price Information and the Performance Overview sections
of this report.
For some time, I've used these letters to remind you that municipal bonds
can be an important building block in a well-balanced investment portfolio.
In addition to providing attractive tax-free monthly income, a municipal
bond investment like your Fund may help you achieve and benefit from
greater portfolio diversification. Portfolio diversification is a
recognized way to try to reduce some of the risk that comes with investing.
For more information about this important investment strategy, I encourage
you to contact your personal financial advisor.
"IN ADDITION TO PROVIDING ATTRACTIVE TAX-FREE MONTHLY INCOME, A MUNICIPAL BOND
INVESTMENT LIKE YOUR FUND MAY HELP YOU ACHIEVE AND BENEFIT FROM GREATER
PORTFOLIO DIVERSIFICATION."
We also are pleased to be able to offer you a choice concerning how you
receive your shareholder reports and other Fund information. As an
alternative to mailed copies, you can sign up to receive future Fund
reports and other Fund information by e-mail and the internet. The inside
front cover of this report contains information on how you can sign up.
We are grateful that you have chosen us as a partner as you pursue your
financial goals, and we look forward to continuing to earn your trust in
the months and years ahead. At Nuveen Investments, our mission continues to
be to assist you and your financial advisor by offering investment services
and products that can help you to secure your financial objectives.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
May 15, 2007
Nuveen Investments Closed-End Fund
NIM
Portfolio Manager's
COMMENTS
Portfolio manager Paul Brennan discusses U.S. economic and municipal market
conditions, key investment strategies, and the annual performance of the Nuveen
Select Maturities Municipal Fund. With over 17 years of investment experience,
including 15 years with Nuveen, Paul has managed NIM since July 2006.
WHAT FACTORS AFFECTED THE U.S. ECONOMY AND MUNICIPAL MARKET DURING THE 12-MONTH
REPORTING PERIOD ENDED MARCH 31, 2007?
Between April 1, 2006, and March 31, 2007, we saw interest rates at the short
end of the yield curve rise modestly, while longer-term rates generally
declined. In May and June 2006, the Federal Reserve announced two additional
increases of 0.25% each in the Fed funds rate, bringing this short-term target
to 5.25%. Then, in the first pause in rate increases in more than two years, the
Fed left monetary policy unchanged during the remaining nine months of this
reporting period while it kept close tabs on inflationary pressures and the pace
of economic growth. Over the same 12-month period, the yield on the benchmark
10-year U.S. Treasury note fell 20 basis points to end March 2007 at 4.65%. In
the municipal market, the yield on the Bond Buyer 25 Revenue Bond Index, a
widely followed measure of longer-term municipal market rates, fell to 4.48% at
the end of March 2007, a decline of 66 basis points from the end of March 2006.
As shorter-term municipal bond interest rates approached the levels of long-term
rates, the municipal bond yield curve continued to flatten, with longer
duration1 bonds generally outperforming those with shorter durations during this
period.
Although many market observers had expected to see the Fed funds rate begin to
ease in early 2007, slowing economic growth, higher energy prices and a slumping
housing market kept the Fed on the sidelines. After posting an annualized gain
of 5.6% in the first quarter of 2006, the U.S. gross domestic product, a closely
watched measure, expanded 2.6% in the second quarter, 2.0% in the third quarter,
and 2.5% in the fourth quarter (all GDP numbers annualized). In the first
quarter of 2007, the rate of GDP growth slowed even further to an annualized
1.3%, the weakest rate in four years.
1 Duration is a measure of a bond's price sensitivity as interest rates
change, with longer duration bonds displaying more sensitivity to these
changes than bonds with shorter durations.
4
Over the 12 months ended March 2007, municipal bond issuance nationwide totaled
$417.8 billion, up 11% from the previous 12 months. This total reflected record
supply during the first three months of 2007, when $104 billion in new
securities came to market, an increase of 49% from the same period in 2006. A
major factor in the first quarter 2007 volume was an 88% increase in advance
refundings2 driven by attractive borrowing rates for issuers. Strong demand for
municipal bonds was more than adequate to absorb the surge in issuance, as
retail investors, institutional investors such as hedge funds and arbitragers,
and overseas investors all participated in the market.
WHAT KEY STRATEGIES WERE USED TO MANAGE NIM DURING THIS REPORTING PERIOD?
In the interest rate environment of the past 12 months, where the flattening
yield curve remained a dominant market factor, we believed that the Fund's
emphasis on an intermediate-term investment strategy helped its overall
performance. To maintain the Fund's intermediate-term characteristics, our
purchases for NIM's portfolio focused mainly on attractively priced bonds
maturing in 15 years or less. This approach was consistent with our overall view
that the flatter yield curve made it less compelling to take on the additional
risk typically associated with longer maturities or durations.
During this period, a number of large municipal offerings were brought to
market, which provided us with more bonds from which to choose. While the
majority of our purchases over the 12 month period were higher-rated securities
(AAA and AA), we also pursued opportunities that offered unusual structural
features that we believed could add value to the Fund. As a result, some of the
additions to NIM's portfolio included securities with adjustable rate coupons
and unusual call structures or sinking fund provisions.
Our purchases of AAA rated bonds, combined with several Fund holdings that were
upgraded to AAA through advance refundings resulted in an increase of
approximately 5% in NIM's allocation of AAA rated bonds over this period. The
Fund's allocations to lower-rated categories, particularly bonds rated BBB,
declined slightly. Nevertheless as of March 31, 2007, NIM continued to have
healthy exposure (30% of the portfolio) to bonds rated A or lower and non-rated
bonds.
2 Advance refundings, also known as pre-refundings or refinancings, occur
when an issuer sells new bonds and uses the proceeds to fund principal and
interest payments of older existing bonds. This process often results in
lower borrowing costs for bond issuers.
5
HOW DID THE FUND PERFORM?
Results for NIM, as well as relevant index information, are presented in the
accompanying table.
TOTAL RETURNS ON NET ASSET VALUE
For periods ended 3/31/07
ANNUALIZED
------------------------------------------
1-YEAR 5-YEAR 10-YEAR
--------------------------------------------------------------------------------
NIM 5.10% 4.27% 4.05%
--------------------------------------------------------------------------------
Lehman Brothers
7-Year Municipal
Bond Index3 5.06% 4.88% 5.33%
--------------------------------------------------------------------------------
Past performance is not predictive of future results. Current performance may be
higher or lower than the data shown. Returns do not reflect the deduction of
taxes that shareholders may have to pay on Fund distributions or upon the sale
of Fund shares.
For additional information, see the Performance Overview page for NIM in this
report.
For the 12 months ended March 31, 2007, the total return on net asset value
(NAV) for NIM slightly exceeded the return for the Lehman Brothers 7-Year
Municipal Bond Index. During this reporting period, NIM's return was influenced
by duration and yield curve positioning, allocations to lower-rated credits,
advance refundings, and bond call exposure.
As the yield curve flattened over the course of this period, duration and yield
curve positioning played a key role in NIM's performance. While NIM continued to
offer an intermediate-term orientation4 on average, the Fund maintained a slight
"barbell" bias in its maturity structure, i.e., greater focus on securities at
both the longer and shorter ends of the maturity range. This overall positioning
was very positive for the Fund's performance in the interest rate environment of
the past 12 months.
With bonds rated BBB or lower and nonrated bonds generally outperforming other
credit quality sectors during this period, NIM benefited from its allocation of
lower-quality credits. The performance of this sector was largely the result of
investor demand for the higher yields typically associated with lower-quality
bonds, which drove up their value. Among the lower-rated holdings making
contributions to NIM's return for this period were health care (including
hospital), charter school, and industrial development revenue bonds as well as
tobacco credits. At period end, NIM held approximately 4% of its portfolio in
lower-rated bonds backed by the 1998 master tobacco settlement agreement.
3 The Lehman Brothers 7-Year Municipal Bond Index is an unleveraged,
unmanaged national index comprising a broad range of investment-grade
municipal bonds with maturities ranging from six to eight years. Results
for the Lehman Brothers index do not reflect any expenses.
4 In keeping with its investment parameters, NIM maintains an average
effective maturity of 12 years or less for portfolio holdings.
6
We also continued to see positive impact from advance refunding activity during
this 12-month period, which benefited NIM through price appreciation and
enhanced credit quality.
NIM's performance was also impacted by significant bond calls and the impact of
previous refundings activity. On the whole, bonds with short call dates did not
perform as strongly as bonds with longer call dates and better call protection
as interest rates declined during this period. As a result, NIM's holdings of
older, previously pre-refunded bonds tended to underperform the general
municipal market during this period, due primarily to their shorter effective
maturities. However, we continued to hold these short call bonds as long as
possible because their higher yields benefited NIM's income stream. While an
elevated level of call activity is not unusual for a fund with an intermediate
maturity focus like NIM, we have worked to offset some of the impact of this
activity by placing more emphasis on securities with longer maturities (i.e.,
the barbell maturity structure mentioned earlier).
7
Dividend and Share Price
INFORMATION
During this period, proceeds from older, higher-yielding bonds that matured or
were called were reinvested into bonds currently available in the market, which
generally offered lower yields. This impacted NIM's income stream, resulting in
two monthly dividend reductions during the 12-month period ended March 31, 2007.
Prior to these cuts, which took effect in September 2006 and March 2007, NIM had
provided shareholders with 33 consecutive months of stable dividends.
Due to normal portfolio activity, common shareholders of NIM received a net
ordinary income distribution of $0.0052 at the end of December 2006.
NIM seeks to pay stable dividends at rates that reflect the Fund's past results
and projected future performance. During certain periods, NIM may pay dividends
at a rate that may be more or less than the amount of net investment income
actually earned by the Fund during the period. If a Fund has cumulatively earned
more than it has paid in dividends, it holds the excess in reserve as
undistributed net investment income (UNII) as part of the Fund's NAV.
Conversely, if a Fund has cumulatively paid dividends in excess of its earnings,
the excess constitutes negative UNII that is likewise reflected in the Fund's
NAV. NIM will, over time, pay all of its net investment income as dividends to
shareholders. As of March 31, 2007, NIM had a positive UNII balance for tax
purposes and a negative UNII balance for financial statement purposes.
As of March 31, 2007, NIM was trading at a discount of -2.45% to its NAV. The
Fund's average discount over the entire 12-month reporting period was -3.86%.
8
Nuveen Select Maturities Municipal Fund
NIM
Performance
OVERVIEW As of March 31, 2007
NIM
Pie Chart:
CREDIT QUALITY
(as a % of total investments)
AAA/U.S. Guaranteed 65%
AA 5%
A 18%
BBB 8%
BB or Lower 1%
N/R 3%
Bar Chart:
2006-2007 MONTHLY TAX-FREE DIVIDENDS PER SHARE2
Apr 0.0395
May 0.0395
Jun 0.0395
Jul 0.0395
Aug 0.0395
Sep 0.038
Oct 0.038
Nov 0.038
Dec 0.038
Jan 0.038
Feb 0.038
Mar 0.0365
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
4/01/06 9.96
9.83
9.47
9.72
10.01
9.73
9.73
9.76
9.88
9.94
9.67
9.6
9.5
9.52
9.56
9.5
9.59
9.67
9.71
9.62
9.76
9.82
9.68
9.7
9.62
9.66
9.75
9.83
9.75
9.69
9.78
9.7
9.74
9.75
9.7599
9.86
9.99
9.92
9.76
9.87
9.83
9.81
10
9.87
9.88
9.9296
9.86
10.03
9.96
9.94
9.87
9.89
9.87
9.9
9.9
9.94
3/31/07 9.94
FUND SNAPSHOT
------------------------------------
Share Price $9.94
------------------------------------
Net Asset Value $10.19
------------------------------------
Premium/(Discount) to NAV -2.45%
------------------------------------
Market Yield 4.41%
------------------------------------
Taxable-Equivalent Yield1 6.13%
------------------------------------
Net Assets ($000) $126,316
------------------------------------
Average Effective
Maturity on Securities (Years) 11.05
------------------------------------
Modified Duration 4.15
------------------------------------
AVERAGE ANNUAL TOTAL RETURN
(Inception 9/18/92)
------------------------------------
ON SHARE PRICE ON NAV
------------------------------------
1-Year 4.75% 5.10%
------------------------------------
5-Year 4.30% 4.27%
------------------------------------
10-Year 4.33% 4.05%
------------------------------------
STATES
(as a % of total investments)
------------------------------------
Colorado 13.7%
------------------------------------
Illinois 11.7%
------------------------------------
New York 9.2%
------------------------------------
Pennsylvania 7.9%
------------------------------------
South Carolina 6.6%
------------------------------------
Texas 5.9%
------------------------------------
Florida 4.7%
------------------------------------
Arkansas 4.2%
------------------------------------
Washington 4.1%
------------------------------------
Wisconsin 3.9%
------------------------------------
Kansas 3.0%
------------------------------------
Iowa 2.4%
------------------------------------
Alabama 2.2%
------------------------------------
Michigan 1.8%
------------------------------------
Tennessee 1.8%
------------------------------------
California 1.7%
------------------------------------
Connecticut 1.7%
------------------------------------
West Virginia 1.7%
------------------------------------
Other 11.8%
------------------------------------
INDUSTRIES
(as a % of total investments)
------------------------------------
Utilities 19.2%
------------------------------------
U.S. Guaranteed 18.3%
------------------------------------
Health Care 11.3%
------------------------------------
Tax Obligation/Limited 10.4%
------------------------------------
Tax Obligation/General 8.9%
------------------------------------
Transportation 5.7%
------------------------------------
Consumer Staples 5.0%
------------------------------------
Long-Term Care 4.8%
------------------------------------
Education and Civic
Organizations 4.7%
------------------------------------
Other 11.7%
------------------------------------
1 Taxable-Equivalent Yield represents the yield that must be earned on a
fully taxable investment in order to equal the yield of the Fund on an
after-tax basis. It is based on a income tax rate of 28%. When comparing
this Fund to investments that generate qualified dividend income, the
Taxable-Equivalent Yield is lower.
2 The Fund paid shareholders a net ordinary income distribution in December
2006 of $0.0052 per share.
9
Report of
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS
NUVEEN SELECT MATURITIES MUNICIPAL FUND
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of Nuveen Select Maturities Municipal Fund as of
March 31, 2007, and the related statement of operations for the year then ended,
the statement of changes in net assets for each of the two years in the period
then ended, and the financial highlights for each of the periods indicated
therein. These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. We were
not engaged to perform an audit of the Fund's internal control over financial
reporting. Our audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are appropriate in the
circumstances, but not for the purpose of expressing an opinion on the
effectiveness of the Fund's internal control over financial reporting.
Accordingly, we express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements and financial highlights, assessing the accounting principles used
and significant estimates made by management, and evaluating the overall
financial statement presentation. Our procedures included confirmation of
securities owned as of March 31, 2007, by correspondence with the custodian and
brokers. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of Nuveen
Select Maturities Municipal Fund at March 31, 2007, the results of its
operations for the year then ended, changes in its net assets for each of the
two years in the period then ended, and its financial highlights for each of the
periods indicated therein in conformity with U.S. generally accepted accounting
principles.
/s/ Ernst & Young LLP
Chicago, Illinois
May 21, 2007
10
Nuveen Select Maturities Municipal Fund (NIM)
Portfolio of
INVESTMENTS March 31, 2007
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION PROVISIONS (1) RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
ALABAMA - 2.1%
$ 2,000 Alabama 21st Century Authority, Tobacco Settlement Revenue 12/11 at 101.00 A- $ 2,131,220
Bonds, Series 2001, 5.750%, 12/01/17
500 Marshall County Healthcare Authority, Alabama, Revenue 1/12 at 101.00 A- 544,205
Bonds, Series 2002A, 6.250%, 1/01/22
------------------------------------------------------------------------------------------------------------------------------------
2,500 Total Alabama 2,675,425
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ARIZONA - 0.8%
445 Phoenix Industrial Development Authority, Arizona, Statewide 4/08 at 101.50 AAA 456,971
Single Family Mortgage Revenue Bonds, Series 1998C,
6.650%, 10/01/29 (Alternative Minimum Tax)
515 Winslow Industrial Development Authority, Arizona, Hospital No Opt. Call N/R 518,250
Revenue Bonds, Winslow Memorial Hospital, Series 1998,
5.750%, 6/01/08
------------------------------------------------------------------------------------------------------------------------------------
960 Total Arizona 975,221
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ARKANSAS - 4.1%
1,000 Fort Smith, Arkansas, Water and Sewer Revenue Refunding 10/11 at 100.00 AAA 1,062,470
and Construction Bonds, Series 2002A, 5.250%, 10/01/17 -
FSA Insured
1,500 Jefferson County, Arkansas, Pollution Control Revenue Bonds, 6/11 at 100.00 A- 1,518,780
Entergy Arkansas Inc. Project, Series 2006, 4.600%, 10/01/17
1,000 Jonesboro, Arkansas, Industrial Development Revenue Bonds, No Opt. Call A1 1,042,090
Anheuser Busch Inc. Project, Series 2002, 4.600%, 11/15/12
1,380 North Little Rock, Arkansas, Electric Revenue Refunding Bonds, No Opt. Call AAA 1,572,482
Series 1992A, 6.500%, 7/01/15 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
4,880 Total Arkansas 5,195,822
------------------------------------------------------------------------------------------------------------------------------------
CALIFORNIA - 1.7%
2,115 Vernon, California, Electric System Revenue Bonds, Malburg 4/08 at 100.00 Aaa 2,151,463
Generating Station Project, Series 2003C, 5.250%, 4/01/17
(Pre-refunded 4/01/08)
------------------------------------------------------------------------------------------------------------------------------------
COLORADO - 13.4%
2,895 Centennial Downs Metropolitan District, Colorado, General 12/14 at 100.00 AAA 3,096,260
Obligation Bonds, Series 1999, 5.000%, 12/01/20 -
AMBAC Insured
1,175 Colorado Educational and Cultural Facilities Authority, Charter 12/13 at 100.00 AAA 1,205,303
School Revenue Bonds, Classical Academy, Series 2003,
4.500%, 12/01/18 - XLCA Insured
1,350 Colorado Educational and Cultural Facilities Authority, Charter 7/12 at 100.00 BBB 1,414,206
School Revenue Bonds, Douglas County School District RE-1 -
DCS Montessori School, Series 2002A, 6.000%, 7/15/22
350 Colorado Housing Finance Authority, Single Family Program 4/10 at 105.00 AA 354,407
Senior Bonds, Series 2000D-2, 6.900%, 4/01/29 (Alternative
Minimum Tax)
1,025 Denver Health and Hospitals Authority, Colorado, Healthcare 12/11 at 100.00 BBB 1,094,136
Revenue Bonds, Series 2001A, 6.000%, 12/01/23
1,465 Denver West Metropolitan District, Colorado, General Obligation 12/13 at 100.00 AA 1,481,423
Refunding and Improvement Bonds, Series 2003,
4.500%, 12/01/18 - RAAI Insured
1,340 Eagle Bend Metropolitan District 2, Colorado, General Obligation 12/14 at 101.00 AA 1,408,688
Bonds, Series 2004, 5.000%, 12/01/20 - RAAI Insured
78 El Paso County, Colorado, FNMA Mortgage-Backed Single No Opt. Call Aaa 81,387
Family Revenue Refunding Bonds, Series 1992A-2,
8.750%, 6/01/11
1,750 Erie, Boulder and Weld Counties, Colorado, Water Enterprise 12/08 at 100.00 A 1,768,025
Revenue Bonds, Series 1998, 5.000%, 12/01/23 - ACA Insured
70 Northwest Parkway Public Highway Authority, Colorado, 6/11 at 102.00 AAA 74,539
Revenue Bonds, Senior Series 2001A, 5.250%, 6/15/41 -
FSA Insured
11
Nuveen Select Maturities Municipal Fund (NIM) (continued)
Portfolio of INVESTMENTS March 31, 2007
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION PROVISIONS (1) RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
COLORADO (continued)
$ 5,875 Northwest Parkway Public Highway Authority, Colorado, Senior 6/11 at 38.04 AAA $ 1,860,201
Lien Revenue Bonds, Series 2001B, 0.000%, 6/15/27 -
AMBAC Insured
2,845 University of Colorado Hospital Authority, Revenue Bonds, 11/11 at 100.00 Baa1 (3) 3,057,066
Series 2001A, 5.600%, 11/15/21 (Pre-refunded 11/15/11)
------------------------------------------------------------------------------------------------------------------------------------
20,218 Total Colorado 16,895,641
------------------------------------------------------------------------------------------------------------------------------------
CONNECTICUT - 1.7%
Eastern Connecticut Resource Recovery Authority, Solid Waste
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
500 5.500%, 1/01/14 (Alternative Minimum Tax) 7/07 at 100.00 BBB 504,545
1,570 5.500%, 1/01/15 (Alternative Minimum Tax) 7/07 at 100.00 BBB 1,585,135
------------------------------------------------------------------------------------------------------------------------------------
2,070 Total Connecticut 2,089,680
------------------------------------------------------------------------------------------------------------------------------------
DISTRICT OF COLUMBIA - 0.5%
685 District of Columbia, General Obligation Refunding Bonds, No Opt. Call AAA 687,644
Series 1993A, 6.000%, 6/01/07 - MBIA Insured
85 District of Columbia, General Obligation Refunding Bonds, No Opt. Call AAA 85,327
Series 1993A, 6.000%, 6/01/07 - MBIA Insured (ETM)
------------------------------------------------------------------------------------------------------------------------------------
770 Total District of Columbia 772,971
------------------------------------------------------------------------------------------------------------------------------------
FLORIDA - 4.6%
2,400 Deltona, Florida, Utility Systems Water and Sewer Revenue 10/13 at 100.00 AAA 2,601,720
Bonds, Series 2003, 5.250%, 10/01/17 - MBIA Insured
1,000 Florida Citizens Property Insurance Corporation, High Risk No Opt. Call AAA 1,079,390
Account Revenue Bonds, Series 2007A, 5.000%, 3/01/15 -
MBIA Insured
2,000 Orange County, Florida, Tourist Development Tax Revenue 10/15 at 100.00 AAA 2,134,480
Bonds, Series 2005, 5.000%, 10/01/22 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
5,400 Total Florida 5,815,590
------------------------------------------------------------------------------------------------------------------------------------
ILLINOIS - 11.4%
790 Chicago, Illinois, Tax Increment Allocation Bonds, Irving/Cicero 1/09 at 100.00 N/R 821,979
Redevelopment Project, Series 1998, 7.000%, 1/01/14
1,500 Cook County Township High School District 208, Illinois, General 12/15 at 100.00 Aaa 1,600,395
Obligation Bonds, Series 2006, 5.000%, 12/01/21 -
MBIA Insured
4,890 Illinois Development Finance Authority, GNMA Collateralized 4/11 at 105.00 Aaa 5,081,051
Mortgage Revenue Bonds, Greek American Nursing Home
Committee, Series 2000A, 7.600%, 4/20/40
2,000 Illinois Development Finance Authority, Revenue Refunding 4/10 at 102.00 BBB- 2,136,680
Bonds, Olin Corporation, Series 1993D, 6.750%, 3/01/16
2,000 Illinois Educational Facilities Authority, Revenue Bonds, 3/14 at 102.00 A1 2,033,740
Art Institute of Chicago, Series 2000, 4.450%, 3/01/34
(Mandatory put 3/01/15)
1,000 Illinois Educational Facilities Authority, Student Housing 5/12 at 101.00 Aaa 1,143,990
Revenue Bonds, Educational Advancement Foundation Fund,
University Center Project, Series 2002, 6.625%, 5/01/17
(Pre-refunded 5/01/12)
695 Illinois Health Facilities Authority, Revenue Bonds, 8/09 at 101.00 A 717,421
Silver Cross Hospital and Medical Centers, Series 1999,
5.500%, 8/15/19
515 Illinois Health Facilities Authority, Revenue Bonds, 8/09 at 101.00 A (3) 540,889
Silver Cross Hospital and Medical Centers, Series 1999,
5.500%, 8/15/19 (Pre-refunded 8/15/09)
300 Illinois Housing Development Authority, Section 8 Elderly 5/07 at 100.00 A 300,264
Housing Revenue Bonds, Skyline Towers Apartments,
Series 1992B, 6.625%, 11/01/07
------------------------------------------------------------------------------------------------------------------------------------
13,690 Total Illinois 14,376,409
------------------------------------------------------------------------------------------------------------------------------------
12
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION PROVISIONS (1) RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
IOWA - 2.4%
$ 1,000 Iowa Finance Authority, Healthcare Revenue Bonds, 7/10 at 100.00 A1 $ 1,064,460
Genesis Medical Center, Series 2000, 6.250%, 7/01/25
1,800 Iowa Tobacco Settlement Authority, Tobacco Settlement 6/11 at 101.00 AAA 1,910,268
Asset-Backed Revenue Bonds, Series 2001B, 5.300%, 6/01/25
(Pre-refunded 6/01/11)
------------------------------------------------------------------------------------------------------------------------------------
2,800 Total Iowa 2,974,728
------------------------------------------------------------------------------------------------------------------------------------
KANSAS - 2.9%
3,500 Wichita, Kansas, Hospital Facilities Revenue Refunding and 11/11 at 101.00 A+ 3,699,990
Improvement Bonds, Via Christi Health System Inc.,
Series 2001-III, 5.500%, 11/15/21
------------------------------------------------------------------------------------------------------------------------------------
KENTUCKY - 1.5%
1,875 Kentucky Housing Corporation, Housing Revenue Bonds, 1/15 at 100.60 AAA 1,929,225
Series 2005G, 5.000%, 7/01/30 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
MARYLAND - 0.9%
1,100 Maryland Energy Financing Administration, Revenue Bonds, 9/07 at 100.00 N/R 1,099,857
AES Warrior Run Project, Series 1995, 7.400%, 9/01/19
(Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
MASSACHUSETTS - 1.3%
1,470 Massachusetts Housing Finance Agency, Rental Housing 7/10 at 100.00 AAA 1,566,344
Mortgage Revenue Bonds, Series 2000H, 6.650%, 7/01/41 -
MBIA Insured (Alternative Minimum Tax)
100 Massachusetts Port Authority, Special Facilities Revenue Bonds, 1/11 at 101.00 AAA 104,108
Delta Air Lines Inc., Series 2001A, 5.200%, 1/01/20 -
AMBAC Insured (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
1,570 Total Massachusetts 1,670,452
------------------------------------------------------------------------------------------------------------------------------------
MICHIGAN - 1.8%
1,000 Cornell Township Economic Development Corporation, 5/12 at 100.00 AAA 1,101,180
Michigan, Environmental Improvement Revenue Refunding
Bonds, MeadWestvaco Corporation-Escanaba Project,
Series 2002, 5.875%, 5/01/18 (Pre-refunded 5/01/12)
51 Michigan State Hospital Finance Authority, Collateralized No Opt. Call N/R 51,352
Loan, Detroit Medical Center, Series 2001, 7.360%, 4/01/07
600 Michigan State Hospital Finance Authority, Hospital Revenue 7/07 at 101.00 Ba3 606,384
Refunding Bonds, Sinai Hospital, Series 1995,
6.625%, 1/01/16
470 Michigan State Hospital Finance Authority, Revenue Refunding 8/07 at 100.00 BB- 470,832
Bonds, Detroit Medical Center, Series 1988A, 8.125%, 8/15/12
------------------------------------------------------------------------------------------------------------------------------------
2,121 Total Michigan 2,229,748
------------------------------------------------------------------------------------------------------------------------------------
MINNESOTA - 0.8%
1,000 White Earth Band of Chippewa Indians, Minnesota, Revenue No Opt. Call A 1,066,560
Bonds, Series 2000A, 7.000%, 12/01/11 - ACA Insured
------------------------------------------------------------------------------------------------------------------------------------
NEBRASKA - 0.8%
1,000 Dodge County School District 1, Nebraska, Fremont Public 12/14 at 100.00 Aaa 1,071,190
Schools, General Obligation Bonds, Series 2004,
5.000%, 12/15/19 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
NEW YORK - 8.0%
1,000 Dormitory Authority of the State of New York, Revenue Bonds, 7/13 at 100.00 AA 1,084,210
Brooklyn Law School, Series 2003A, 5.500%, 7/01/15 -
RAAI Insured
1,500 New York State Energy Research and Development Authority, 4/07 at 100.00 A1 1,500,645
Facilities Revenue Bonds, Consolidated Edison Company Inc.,
Series 2001A, 4.700%, 6/01/36 (Mandatory put 10/01/12)
(Alternative Minimum Tax)
420 New York State Medical Care Facilities Finance Agency, 8/07 at 101.00 AA+ 424,901
FHA-Insured Mortgage Hospital and Nursing Home Revenue
Bonds, Series 1995C, 6.100%, 8/15/15
2,130 Niagara Falls, Niagara County, New York, General Obligation No Opt. Call AAA 2,187,553
Water Treatment Plant Bonds, Series 1994, 8.500%, 11/01/07 -
MBIA Insured (Alternative Minimum Tax) (ETM)
13
Nuveen Select Maturities Municipal Fund (NIM) (continued)
Portfolio of INVESTMENTS March 31, 2007
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION PROVISIONS (1) RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
NEW YORK (continued)
$ 4,300 Port Authority of New York and New Jersey, Special Project No Opt. Call AAA $ 4,967,618
Bonds, JFK International Air Terminal LLC, Sixth Series 1997,
7.000%, 12/01/12 - MBIA Insured (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
9,350 Total New York 10,164,927
------------------------------------------------------------------------------------------------------------------------------------
NORTH CAROLINA - 1.6%
1,880 Union County, North Carolina, Certificates of Participation, 6/13 at 101.00 AAA 2,012,051
Series 2003, 5.000%, 6/01/18 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
OHIO - 0.8%
1,000 Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, No Opt. Call A+ 1,029,030
Cargill Inc., Series 2004B, 4.500%, 12/01/15
------------------------------------------------------------------------------------------------------------------------------------
OKLAHOMA - 0.9%
1,150 Oklahoma State Industries Authority, Health System Revenue 8/07 at 101.00 AAA 1,167,342
Refunding Bonds, Baptist Medical Center, Series 1995D,
5.000%, 8/15/14 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
PENNSYLVANIA - 7.7%
1,205 Pennsylvania Higher Educational Facilities Authority, College No Opt. Call Aaa 1,368,446
Revenue Bonds, Ninth Series 1976, 7.625%, 7/01/15 (ETM)
4,120 Philadelphia Gas Works, Pennsylvania, Revenue Bonds, 8/14 at 100.00 AAA 4,404,610
Eighteenth Series 2004, 5.000%, 8/01/15 - AMBAC Insured
530 Philadelphia Gas Works, Pennsylvania, Revenue Bonds, No Opt. Call AAA 631,649
Twelfth Series 1990B, 7.000%, 5/15/20 - MBIA Insured (ETM)
2,085 Pittsburgh School District, Allegheny County, Pennsylvania, No Opt. Call AAA 2,217,460
General Obligation Bonds, Series 2006B, 5.000%, 9/01/12 -
AMBAC Insured
1,000 Pittsburgh, Pennsylvania, General Obligation Bonds, No Opt. Call AAA 1,054,400
Series 2005A, 5.000%, 9/01/11 - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
8,940 Total Pennsylvania 9,676,565
------------------------------------------------------------------------------------------------------------------------------------
SOUTH CAROLINA - 6.4%
750 Berkeley County School District, South Carolina, Installment 12/13 at 100.00 A- 790,890
Purchase Revenue Bonds, Securing Assets for Education,
Series 2003, 5.250%, 12/01/19
1,540 Piedmont Municipal Power Agency, South Carolina, Electric No Opt. Call AAA 1,938,028
Revenue Bonds, Series 1991, 6.750%, 1/01/19 -
FGIC Insured (ETM)
2,835 Piedmont Municipal Power Agency, South Carolina, Electric No Opt. Call AAA 3,513,359
Revenue Bonds, Series 1991, 6.750%, 1/01/19 - FGIC Insured
1,260 South Carolina JOBS Economic Development Authority, No Opt. Call Baa2 (3) 1,353,769
Hospital Revenue Bonds, Palmetto Health Alliance,
Series 2000A, 7.000%, 12/15/10 (ETM)
500 Tobacco Settlement Revenue Management Authority, 5/11 at 101.00 BBB 531,965
South Carolina, Tobacco Settlement Asset-Backed Bonds,
Series 2001B, 6.000%, 5/15/22
------------------------------------------------------------------------------------------------------------------------------------
6,885 Total South Carolina 8,128,011
------------------------------------------------------------------------------------------------------------------------------------
TENNESSEE - 1.8%
Shelby County Health, Educational and Housing Facilities
Board, Tennessee, Hospital Revenue Bonds, Methodist
Healthcare, Series 2002:
750 6.000%, 9/01/17 (Pre-refunded 9/01/12) 9/12 at 100.00 A- (3) 834,953
1,250 6.000%, 9/01/17 (Pre-refunded 9/01/12) 9/12 at 100.00 A- (3) 1,391,588
------------------------------------------------------------------------------------------------------------------------------------
2,000 Total Tennessee 2,226,541
------------------------------------------------------------------------------------------------------------------------------------
TEXAS - 5.8%
1,055 Austin, Texas, General Obligation Bonds, Series 2004, 9/14 at 100.00 AAA 1,122,193
5.000%, 9/01/20 - MBIA Insured
25 Brazos River Authority, Texas, Collateralized Pollution Control No Opt. Call Baa2 25,737
Revenue Bonds, Texas Utilities Electric Company, Series 2003D,
5.400%, 10/01/29 (Mandatory put 10/01/14)
2,000 Brazos River Authority, Texas, Collateralized Revenue Refunding 6/14 at 100.00 AAA 2,022,960
Bonds, CenterPoint Energy Inc., Series 2004B,
4.250%, 12/01/17 - FGIC Insured
14
PRINCIPAL OPTIONAL CALL
AMOUNT (000) DESCRIPTION PROVISIONS (1) RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
TEXAS (continued)
$ 15 Brazos River Authority, Texas, Pollution Control Revenue No Opt. Call Baa2 $ 16,302
Refunding Bonds, TXU Energy Company LLC, Series 2003A,
6.750%, 4/01/38 (Mandatory put 4/01/13) (Alternative
Minimum Tax)
1,875 Denton Independent School District, Denton County, Texas, 8/16 at 100.00 AAA 2,008,931
General Obligation Bonds, Series 2006, 5.000%, 8/15/20
90 Galveston Property Finance Authority Inc., Texas, Single 9/07 at 100.00 A3 91,578
Family Mortgage Revenue Bonds, Series 1991A,
8.500%, 9/01/11
25 Sabine River Authority, Texas, Pollution Control Revenue No Opt. Call Baa2 25,756
Bonds, TXU Energy Company LLC Project, Series 2001B,
5.750%, 5/01/30 (Mandatory put 11/01/11)
(Alternative Minimum Tax)
1,500 Texas Municipal Gas Acquistion and Supply Corporation I, Gas 7/07 at 100.00 AA- 1,501,875
Supply Revenue Bonds, Series 2006B, 4.148%, 12/15/17
100 Travis County Health Facilities Development Corporation, 5/07 at 100.00 Aaa 100,179
Texas, Hospital Revenue Bonds, Daughters of Charity National
Health System, Series 1993B, 5.900%, 11/15/07 (ETM)
370 Tri-County Mental Health and Retardation Center, Texas, 9/07 at 100.00 AAA 373,752
Revenue Bonds, Facilities Acquisition Program, Series 1995E,
6.500%, 3/01/15 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
7,055 Total Texas 7,289,263
------------------------------------------------------------------------------------------------------------------------------------
UTAH - 1.4%
1,690 Bountiful, Davis County, Utah, Hospital Revenue Refunding No Opt. Call N/R 1,734,633
Bonds, South Davis Community Hospital Project, Series 1998,
6.000%, 12/15/10
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON - 4.0%
Washington Public Power Supply System, Revenue Refunding
Bonds, Nuclear Project 1, Series 1993A:
1,340 7.000%, 7/01/07 (ETM) No Opt. Call Aaa 1,351,015
1,130 7.000%, 7/01/08 (ETM) No Opt. Call Aaa 1,176,353
Washington Public Power Supply System, Revenue Refunding
Bonds, Nuclear Project 1, Series 1993A:
160 7.000%, 7/01/07 No Opt. Call Aaa 161,307
1,870 7.000%, 7/01/08 No Opt. Call AAA 1,944,594
295 Washington Public Power Supply System, Revenue Refunding No Opt. Call AAA 367,889
Bonds, Nuclear Project 3, Series 1989B, 7.125%, 7/01/16 -
MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
4,795 Total Washington 5,001,158
------------------------------------------------------------------------------------------------------------------------------------
WEST VIRGINIA - 1.6%
2,000 Harrison County Commission, West Virginia, Solid Waste 8/07 at 100.00 AAA 2,031,680
Disposal Revenue Bonds, West Penn Power Company,
Series 1994C, 6.750%, 8/01/24 - MBIA Insured (Alternative
Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
WISCONSIN - 3.8%
Badger Tobacco Asset Securitization Corporation, Wisconsin,
Tobacco Settlement Asset-Backed Bonds, Series 2002:
840 6.125%, 6/01/27 6/12 at 100.00 BBB 898,716
1,480 6.375%, 6/01/32 6/12 at 100.00 BBB 1,608,671
1,000 Wisconsin Health and Educational Facilities Authority, 7/11 at 100.00 A- 1,062,160
Revenue Bonds, Agnesian Healthcare Inc., Series 2001,
6.000%, 7/01/21
1,150 Wisconsin Health and Educational Facilities Authority, Revenue 2/09 at 101.00 A 1,182,223
Bonds, Aurora Health Care Inc., Series 1999A,
5.500%, 2/15/20 - ACA Insured
------------------------------------------------------------------------------------------------------------------------------------
4,470 Total Wisconsin 4,751,770
------------------------------------------------------------------------------------------------------------------------------------
$ 118,784 Total Long-Term Investments (cost $118,543,145) - 96.5% 121,902,943
=============-----------------------------------------------------------------------------------------------------------------------
15
Nuveen Select Maturities Municipal Fund (NIM) (continued)
Portfolio of INVESTMENTS March 31, 2007
PRINCIPAL
AMOUNT (000) DESCRIPTION RATINGS (2) VALUE
------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 0.9%
$ 1,150 New York City, New York, General Obligation Bonds, Variable A-1+ $ 1,150,000
Rate Demand Obligations, Fiscal Series 2002A-7,
3.760%, 11/01/24 - AMBAC Insured (4)
=============-----------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (cost $1,150,000) 1,150,000
--------------------------------------------------------------------------------------------------------------------
Total Investments (cost $119,693,145) - 97.4% 123,052,943
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 2.6% 3,263,358
--------------------------------------------------------------------------------------------------------------------
Net Assets - 100% $ 126,316,301
====================================================================================================================
(1) Optional Call Provisions (not covered by the report of
independent registered public accounting firm): Dates
(month and year) and prices of the earliest optional
call or redemption. There may be other call provisions
at varying prices at later dates. Certain
mortgage-backed securities may be subject to periodic
principal paydowns.
(2) Ratings (not covered by the report of independent
registered public accounting firm): Using the higher of
Standard & Poor's or Moody's rating. Ratings below BBB
by Standard & Poor's Group or Baa by Moody's Investor
Service, Inc. are considered to be below investment
grade.
(3) 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.
(4) Investment has a maturity of more than one year, but
has variable rate and demand features which qualify it
as a short-term investment. The rate disclosed is that
in effect at the end of the reporting period. This rate
changes periodically based on market conditions or a
specified market index.
N/R Not rated.
(ETM) Escrowed to maturity.
See accompanying notes to financial statements.
16
Statement of
ASSETS AND LIABILITIES March 31, 2007
--------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $119,693,145) $123,052,943
Cash 105,809
Receivables:
Interest 2,031,111
Investments sold 1,249,125
Other assets 7,663
--------------------------------------------------------------------------------
Total assets 126,446,651
--------------------------------------------------------------------------------
LIABILITIES
Payable for investments purchased 42,727
Accrued expenses:
Management fees 52,001
Other 35,622
--------------------------------------------------------------------------------
Total liabilities 130,350
--------------------------------------------------------------------------------
Net assets $126,316,301
================================================================================
Shares outstanding 12,396,406
================================================================================
Net asset value per share outstanding $ 10.19
================================================================================
NET ASSETS CONSIST OF:
--------------------------------------------------------------------------------
Shares, $.01 par value per share $ 123,964
Paid-in surplus 138,329,233
Undistributed (Over-distribution of) net investment income (178,249)
Accumulated net realized gain (loss) from investments (15,318,445)
Net unrealized appreciation (depreciation) of investments 3,359,798
--------------------------------------------------------------------------------
Net assets $126,316,301
================================================================================
Authorized shares Unlimited
================================================================================
See accompanying notes to financial statements.
17
Statement of
OPERATIONS Year Ended March 31, 2007
--------------------------------------------------------------------------------
INVESTMENT INCOME $6,377,871
--------------------------------------------------------------------------------
EXPENSES
Management fees 612,517
Shareholders' servicing agent fees and expenses 11,342
Custodian's fees and expenses 67,172
Trustees' fees and expenses 2,549
Professional fees 11,548
Shareholders' reports - printing and mailing expenses 36,243
Stock exchange listing fees 9,780
Investor relations expense 20,702
Other expenses 6,152
--------------------------------------------------------------------------------
Total expenses before custodian fee credit 778,005
Custodian fee credit (45,513)
--------------------------------------------------------------------------------
Net expenses 732,492
--------------------------------------------------------------------------------
Net investment income 5,645,379
--------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments (16,869)
Change in net unrealized appreciation (depreciation) of investments 622,595
--------------------------------------------------------------------------------
Net realized and unrealized gain (loss) 605,726
--------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $6,251,105
================================================================================
See accompanying notes to financial statements.
18
Statement of
CHANGES IN NET ASSETS
YEAR ENDED YEAR ENDED
3/31/07 3/31/06
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 5,645,379 $ 5,950,169
Net realized gain (loss) from investments (16,869) (21,565)
Change in net unrealized appreciation (depreciation) of investments 622,595 (838,865)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 6,251,105 5,089,739
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (5,791,598) (5,892,915)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (5,791,598) (5,892,915)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from shares issued to shareholders due to reinvestment of distributions -- 14,771
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from capital share transactions -- 14,771
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets 459,507 (788,405)
Net assets at the beginning of year 125,856,794 126,645,199
------------------------------------------------------------------------------------------------------------------------------------
Net assets at the end of year $126,316,301 $125,856,794
====================================================================================================================================
Undistributed (Over-distribution of) net investment income at the end of year $ (178,249) $ (34,864)
====================================================================================================================================
See accompanying notes to financial statements.
19
Notes to
FINANCIAL STATEMENTS
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The fund covered in this report and its corresponding New York Stock Exchange
symbol is Nuveen Select Maturities Municipal Fund (NIM) (the "Fund"). The Fund
is registered under the Investment Company Act of 1940, as amended, as a
closed-end, diversified management investment company.
The Fund seeks to provide current income exempt from regular federal income tax,
consistent with the preservation of capital by investing in a diversified,
investment-grade quality portfolio of municipal obligations with intermediate
characteristics. In managing its portfolio, the Fund has purchased municipal
obligations having remaining effective maturities of no more than fifteen years
with respect to 80% of its total assets that, in the opinion of the Adviser,
represent the best value in terms of the balance between yield and capital
preservation currently available from the intermediate sector of the municipal
market. The Adviser will actively monitor the effective maturities of the Fund's
investments in response to prevailing market conditions, and will adjust its
portfolio consistent with its investment policy of maintaining an average
effective remaining maturity of twelve years or less.
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements in accordance with U.S.
generally accepted accounting principles.
Investment Valuation
The prices of municipal bonds in the Fund's investment portfolio are provided by
a pricing service approved by the Fund's Board of Trustees. When market price
quotes are not readily available (which is usually the case for municipal
securities), the pricing service may establish fair value based on yields or
prices of municipal bonds of comparable quality, type of issue, coupon, maturity
and rating, indications of value from securities dealers, evaluations of
anticipated cash flows or collateral and general market conditions. If the
pricing service is unable to supply a price for a municipal bond, the Fund may
use a market price or fair market value quote provided by a major broker/dealer
in such investments. If it is determined that the market price or fair market
value for an investment is unavailable or inappropriate, the Board of Trustees
of the Fund, or its designee, may establish a fair value for the investment.
Temporary investments in securities that have variable rate and demand features
qualifying them as short-term investments are valued at amortized cost, which
approximates market value.
Investment Transactions
Investment transactions are recorded on a trade date basis. Realized gains and
losses from transactions are determined on the specific identification method.
Investments purchased on a when-issued/delayed delivery basis may have extended
settlement periods. Any investments so purchased are subject to market
fluctuation during this period. The Fund has instructed the custodian to
segregate assets with a current value at least equal to the amount of the
when-issued/delayed delivery purchase commitments. At March 31, 2007, the Fund
had no such outstanding purchase commitments.
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
Investment income also includes paydown gains and losses, if any.
Federal Income Taxes
The Fund intends to distribute substantially all net investment income and net
capital gains to shareholders and to otherwise comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies. Therefore, no federal income tax provision is required. Furthermore,
the Fund intends to satisfy conditions which will enable interest from municipal
securities, which is exempt from regular federal income tax, to retain such
tax-exempt status when distributed to shareholders of the Fund. Net realized
capital gains and ordinary income distributions paid by the Fund are subject to
federal taxation.
20
Dividends and Distributions to Shareholders
Dividends from tax-exempt net investment income are declared monthly. Net
realized capital gains and/or market discount from investment transactions, if
any, are distributed to shareholders not less frequently than annually.
Furthermore, capital gains are distributed only to the extent they exceed
available capital loss carryforwards.
Distributions to shareholders of tax-exempt net investment income, net realized
capital gains and/or market discount, if any, are recorded on the ex-dividend
date. The amount and timing of distributions are determined in accordance with
federal income tax regulations, which may differ from U.S. generally accepted
accounting principles.
Derivative Financial Instruments
The Fund is authorized to invest in certain derivative financial instruments
including futures, forward, swap and option contracts, and other financial
instruments with similar characteristics. Although the Fund is authorized to
invest in such financial instruments, and may do so in the future, it did not
invest in any such instruments during the fiscal year ended March 31, 2007.
Custodian Fee Credit
The Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on the Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
Indemnifications
Under the Fund's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund. In addition, in the normal course of business, the Fund
enters into contracts that provide general indemnifications to other parties.
The Fund's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Fund that have not yet
occurred. However, the Fund has not had prior claims or losses pursuant to these
contracts and expects the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period. Actual
results may differ from those estimates.
2. FUND SHARES
The Fund did not engage in transactions in its own shares during the fiscal year
ended March 31, 2007. During the fiscal year ended March 31, 2006, 1,429 shares
were issued to shareholders due to reinvestment of distributions.
3. INVESTMENT TRANSACTIONS
Purchases and sales (including maturities but excluding short-term investments)
during the fiscal year ended March 31, 2007, aggregated $17,835,072 and
$20,329,949, respectively.
4. 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 the treatment of paydown gains and losses, 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 values of the Fund.
At March 31, 2007, the cost of investments was $119,643,609.
Gross unrealized appreciation and gross unrealized depreciation of investments
at March 31, 2007, were as follows:
--------------------------------------------------------------------------------
Gross unrealized:
Appreciation $3,725,261
Depreciation (315,927)
--------------------------------------------------------------------------------
Net unrealized appreciation (depreciation) of investments $3,409,334
================================================================================
21
Notes to
FINANCIAL STATEMENTS (CONTINUED)
The tax components of undistributed net tax-exempt income, net ordinary income
and net long-term capital gains at March 31, 2007, the Fund's tax year end, were
as follows:
--------------------------------------------------------------------------------
Undistributed net tax-exempt income * $223,968
Undistributed net ordinary income ** 713
Undistributed net long-term capital gains --
================================================================================
* Undistributed net tax-exempt income (on a tax basis) has not been reduced
for the dividend declared on March 1, 2007, paid on April 2, 2007.
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
The tax character of distributions paid during the tax years ended March 31,
2007 and March 31, 2006, was designated for purposes of the dividends paid
deduction as follows:
2007
--------------------------------------------------------------------------------
Distributions from net tax-exempt income *** $5,764,329
Distributions from net ordinary income ** 64,461
Distributions from net long-term capital gains --
================================================================================
2006
--------------------------------------------------------------------------------
Distributions from net tax-exempt income $5,875,503
Distributions from net ordinary income ** 17,355
Distributions from net long-term capital gains --
================================================================================
** Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
*** The Fund hereby designates this amount paid during the fiscal year ended
March 31, 2007, as an Exempt Interest Dividend.
At March 31, 2007, the Fund had unused capital loss carryforwards of $15,306,616
available for federal income tax purposes to be applied against future capital
gains, if any. If not applied, $14,922 of the carryforward will expire in the
year 2010, $6,523,386 will expire in 2011, $8,737,799 will expire in 2012,
$4,977 will expire in 2013, $14,448 will expire in 2014 and $11,084 will expire
in 2015.
The Fund elected to defer net realized losses from investments incurred from
November 1, 2006 through March 31, 2007 ("post-October losses") in accordance
with federal income tax regulations. Post-October losses of $11,832 were treated
as having arisen on the first day of the following fiscal year.
5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
The Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by Nuveen
Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen
Investments, Inc. ("Nuveen"), and a specific fund-level component, based only on
the amount of assets within the Fund. This pricing structure enables Nuveen fund
shareholders to benefit from growth in the assets within each individual fund as
well as from growth in the amount of complex-wide assets managed by the Adviser.
The annual fund-level fee, payable monthly, is based upon the average daily net
assets of the Fund as follows:
AVERAGE DAILY NET ASSETS FUND-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $125 million .3000%
For the next $125 million .2875
For the next $250 million .2750
For the next $500 million .2625
For the next $1 billion .2500
For net assets over $2 billion .2375
================================================================================
22
The annual complex-level fee, payable monthly, which is additive to the
fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the
aggregate amount of total fund assets managed as stated in the table below. As
of March 31, 2007, the complex-level fee rate was .1834%.
COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion(2) .1400
================================================================================
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
preferred stock issued by or borrowings by the Nuveen funds) of
Nuveen-sponsored funds in the U.S.
(2) With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level
fee rate for such complex-wide Managed Assets shall be .1400% until such
time as a different rate or rates is determined.
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Fund pays no
compensation directly to those of its Trustees who are affiliated with the
Adviser or to its Officers, all of whom receive remuneration for their services
to the Fund from the Adviser or its affiliates. The Board of Trustees has
adopted a deferred compensation plan for independent Trustees that enables
Trustees to elect to defer receipt of all or a portion of the annual
compensation they are entitled to receive from certain Nuveen advised funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised funds.
6. NEW ACCOUNTING PRONOUNCEMENTS
Financial Accounting Standards Board Interpretation No. 48
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB
Interpretation No. 48, "Accounting for Uncertainty in Income Taxes" (FIN 48).
FIN 48 provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. FIN 48 requires
the evaluation of tax positions taken or expected to be taken in the course of
preparing the Fund's tax returns to determine whether the tax positions are
"more-likely-than-not" of being sustained by the applicable tax authority. Tax
positions not deemed to meet the more-likely-than-not threshold would be
recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is
required for fiscal years beginning after December 15, 2006, and is to be
applied to all open tax years as of the effective date. Recent SEC guidance
allows funds to delay implementing FIN 48 into NAV calculations until the fund's
last NAV calculations in the first required financial statement reporting
period. As a result, the Fund must begin to incorporate FIN 48 into its NAV
calculations by September 28, 2007. At this time, management is continuing to
evaluate the implications of FIN 48 and does not expect the adoption of FIN 48
will have a significant impact on the net assets or results of operations of the
Fund.
Financial Accounting Standards Board Statement of Financial Accounting Standards
No. 157
In September 2006, the Financial Accounting Standards Board (FASB) issued
Statement of Financial Accounting Standards (SFAS) No. 157, "Fair Value
Measurements." This standard establishes a single authoritative definition of
fair value, sets out a framework for measuring fair value and requires
additional disclosures about fair value measurements. SFAS No. 157 applies to
fair value measurements already required or permitted by existing standards.
SFAS No. 157 is effective for financial statements issued for fiscal years
beginning after November 15, 2007, and interim periods within those fiscal
years. The changes to current generally accepted accounting principles from the
application of this standard relate to the definition of fair value, the methods
used to measure fair value, and the expanded disclosures about fair value
measurements. As of March 31, 2007, the Fund does not believe the adoption of
SFAS No. 157 will impact the financial statement amounts; however, additional
disclosures may be required about the inputs used to develop the measurements
and the effect of certain of the measurements included within the Statement of
Operations for the period.
7. SUBSEQUENT EVENT
Distributions to Shareholders
The Fund declared a dividend distribution of $.0365 per share from its
tax-exempt net investment income which was paid on May 1, 2007, to shareholders
of record on April 15, 2007.
23
Financial
HIGHLIGHTS
Selected data for a share outstanding throughout each period:
INVESTMENT OPERATIONS LESS DISTRIBUTIONS
------------------------------------- -----------------------------------
NET
BEGINNING NET REALIZED/ NET ENDING ENDING
NET ASSET INVESTMENT UNREALIZED INVESTMENT CAPITAL NET ASSET MARKET
VALUE INCOME GAIN (LOSS) TOTAL INCOME GAINS TOTAL VALUE VALUE
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 3/31:
2007 $10.15 $.46 $ .05 $.51 $(.47) $ -- $(.47) $10.19 $ 9.94
2006 10.22 .48 (.07) .41 (.48) -- (.48) 10.15 9.95
2005 10.35 .49 (.14) .35 (.48) -- (.48) 10.22 9.30
2004 10.34 .51 -- .51 (.50) -- (.50) 10.35 9.93
2003(a) 10.57 .43 (.22) .21 (.44) -- (.44) 10.34 9.85
Year Ended 5/31:
2002 11.21 .57 (.57) -- (.61) (.03) (.64) 10.57 10.45
====================================================================================================================================
TOTAL RETURNS RATIOS/SUPPLEMENTAL DATA
-------------------------- ----------------------------------------------------------------------------------
RATIOS TO AVERAGE RATIOS TO AVERAGE
NET ASSETS NET ASSETS
BEFORE CREDIT AFTER CREDIT**
------------------------ -----------------------
BASED ON BASED ON ENDING NET NET PORTFOLIO
MARKET NET ASSET NET ASSETS INVESTMENT INVESTMENT TURNOVER
VALUE+ VALUE+ (000) EXPENSES INCOME EXPENSES INCOME RATE
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 3/31:
2007 4.75% 5.10% $126,316 .62% 4.44% .58% 4.48% 15%
2006 12.21 4.02 125,857 .59 4.67 .57 4.68 7
2005 (1.52) 3.44 126,645 .61 4.81 .60 4.82 10
2004 6.03 5.09 128,335 .63 4.92 .62 4.93 13
2003(a) (1.48) 2.03 128,106 .65* 4.95* .65* 4.96* 6
Year Ended 5/31:
2002 1.87 (.06) 130,959 .69 5.23 .68 5.23 48
====================================================================================================================================
* Annualized.
** After custodian fee credit.
+ Total Return on Market Value is the combination of changes in the market
price per share and the effect of reinvested dividend income and reinvested
capital gains distributions, if any, at the average price paid per share at
the time of reinvestment. Total Return on Net Asset Value is the
combination of changes in net asset value, reinvested dividend income at
net asset value and reinvested capital gains distributions at net asset
value, if any. Total returns are not annualized.
(a) For the period June 1, 2002 through March 31, 2003.
See accompanying notes to financial statements.
24-25 spread
Board Members
AND OFFICERS
The management of the Funds, including general supervision of the duties
performed for the Funds by the Adviser, is the responsibility of the Board
Members of the Funds. The number of board members of the Fund is currently set
at ten. None of the board members who are not "interested" persons of the Funds
has ever been a director or employee of, or consultant to, Nuveen or its
affiliates. The names and business addresses of the board members and officers
of the Funds, their principal occupations and other affiliations during the past
five years, the number of portfolios each oversees and other directorships they
hold are set forth below.
NUMBER OF
POSITION(S) YEAR FIRST PORTFOLIOS IN
HELD ELECTED FUND COMPLEX
NAME, BIRTHDATE WITH THE OR APPOINTED PRINCIPAL OCCUPATION(S) INCLUDING OVERSEEN BY
AND ADDRESS FUNDS AND CLASS(2) OTHER DIRECTORSHIPS DURING PAST 5 YEARS BOARD MEMBER
------------------------------------------------------------------------------------------------------------------------------------
BOARD MEMBER WHO IS AN INTERESTED PERSON OF THE FUNDS:
------------------------------------------------------------------------------------------------------------------------------------
Timothy R. Schwertfeger(1) Chairman of 1994 Chairman (since 1996) and Director of Nuveen Investments, 174
3/28/49 the Board Class I Inc., Nuveen Investments, LLC; Chairman and Director (since
333 W. Wacker Drive and Board 1997) of Nuveen Asset Management; Chairman and Director
Chicago, IL 60606 Member of Rittenhouse Asset Management, Inc. (since 1999);
Chairman of Nuveen Investments Advisers Inc. (since 2002);
formerly, Chairman and Director (1996-2004) Nuveen
Advisory Corp. and Nuveen Institutional Advisory Corp.(3);
formerly, Director (1996-2006) of Institutional Capital
Corporation.
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS:
------------------------------------------------------------------------------------------------------------------------------------
Robert P. Bremner Lead Independent 1997 Private Investor and Management Consultant. 174
8/22/40 Board member Class III
333 W. Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Lawrence H. Brown Board member 1993 Retired (since 1989) as Senior Vice President of The Northern 174
7/29/34 Class I Trust Company; Director (since 2002) Community Advisory
333 W. Wacker Drive Board for Highland Park and Highwood, United Way of the
Chicago, IL 60606 North Shore; Director (since 2006) of the Michael Rolfe
Pancreatic Cancer Foundation.
------------------------------------------------------------------------------------------------------------------------------------
Jack B. Evans Board member 1999 President, The Hall-Perrine Foundation, a private 174
10/22/48 Class III philanthropic corporation (since 1996); Director and Vice
333 W. Wacker Drive Chairman, United Fire Group, a publicly held company;
Chicago, IL 60606 Adjunct Faculty Member, University of Iowa; Director,
Gazette Companies; Life Trustee of Coe College and Iowa
College Foundation; formerly, Director, Alliant Energy;
formerly, Director, Federal Reserve Bank of Chicago; formerly,
President and Chief Operating Officer, SCI Financial Group,
Inc., a regional financial services firm.
------------------------------------------------------------------------------------------------------------------------------------
William C. Hunter Board member 2004 Dean, Tippie College of Business, University of Iowa (since 174
3/6/48 Class II July 2006); formerly, Dean and Distinguished Professor of
333 W. Wacker Drive Finance, School of Business at the University of Connecticut
Chicago, IL 60606 (2003-2006); previously, Senior Vice President and Director of
Research at the Federal Reserve Bank of Chicago (1995-
2003); Director (since 1997), Credit Research Center at
Georgetown University; Director (since 2004) of Xerox
Corporation; Director, SS&C Technologies, Inc. (May 2005-
October 2005).
------------------------------------------------------------------------------------------------------------------------------------
David J. Kundert Board member 2005 Director, Northwestern Mutual Wealth Management 172
10/28/42 Class II Company; Retired (since 2004) as Chairman, JPMorgan
333 W. Wacker Drive Fleming Asset Management, President and CEO, Banc One
Chicago, IL 60606 Investment Advisors Corporation, and President, One Group
Mutual Funds; prior thereto, Executive Vice President, Banc
One Corporation and Chairman and CEO, Banc One
Investment Management Group; Board of Regents, Luther
College; member of the Wisconsin Bar Association; member
of Board of Directors, Friends of Boerner Botanical Gardens;
member of Board of Directors, Milwaukee Repertory Theater.
26
NUMBER OF
POSITION(S) YEAR FIRST PORTFOLIOS IN
HELD ELECTED FUND COMPLEX
NAME, BIRTHDATE WITH THE OR APPOINTED PRINCIPAL OCCUPATION(S) INCLUDING OVERSEEN BY
AND ADDRESS FUNDS AND CLASS(2) OTHER DIRECTORSHIPS DURING PAST 5 YEARS BOARD MEMBER
------------------------------------------------------------------------------------------------------------------------------------
BOARD MEMBERS WHO ARE NOT INTERESTED PERSONS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
William J. Schneider Board member 1997 Chairman of Miller-Valentine Partners Ltd., a real estate 174
9/24/44 Class III investment company; formerly, Senior Partner and Chief
333 W. Wacker Drive Operating Officer (retired, 2004) of Miller-Valentine Group;
Chicago, IL 60606 formerly, Vice President, Miller-Valentine Realty; Board
Member, Chair of the Finance Committee and member of the
Audit Committee of Premier Health Partners, the not-for-
profit company of Miami Valley Hospital; Vice President,
Dayton Philharmonic Orchestra Association; Board Member,
Regional Leaders Forum, which promotes cooperation on
economic development issues; Director, Dayton Development
Coalition; formerly, Member, Community Advisory Board,
National City Bank, Dayton, Ohio and Business Advisory
Council, Cleveland Federal Reserve Bank.
------------------------------------------------------------------------------------------------------------------------------------
Judith M. Stockdale Board member 1997 Executive Director, Gaylord and Dorothy Donnelley 174
12/29/47 Class I Foundation (since 1994); prior thereto, Executive Director,
333 W. Wacker Drive Great Lakes Protection Fund (from 1990 to 1994).
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Carole E. Stone Board member 2007 Director, Chicago Board Options Exchange (since 2006); Chair 174
6/28/47 Class I New York Racing Association Oversight Board (since 2005);
333 West Wacker Drive Commissioner, New York State Commission on Public
Chicago, IL 60606 Authority Reform (since 2005); formerly Director, New York
State Division of the Budget (2000-2004), Chair, Public
Authorities Control Board (2000-2004) and Director, Local
Government Assistance Corporation (2000-2004).
------------------------------------------------------------------------------------------------------------------------------------
Eugene S. Sunshine Board member 2005 Senior Vice President for Business and Finance, 174
1/22/50 Class II Northwestern University (since 1997); Director (since 2003),
333 W. Wacker Drive Chicago Board Options Exchange; Chairman (since 1997),
Chicago, IL 60606 Board of Directors, Rubicon, a pure captive insurance
company owned by Northwestern University; Director (since
1997), Evanston Chamber of Commerce and Evanston
Inventure, a business development organization; Director
(since 2006), Pathways, a provider of therapy and related
information for physically disabled infants and young
children; formerly, Director (2003-2006), National Mentor
Holdings, a privately-held, national provider of home and
community-based services.
27
Board Members
AND OFFICERS (CONTINUED)
NUMBER OF
POSITION(S) YEAR FIRST PORTFOLIOS IN
HELD ELECTED FUND COMPLEX
NAME, BIRTHDATE WITH THE OR PRINCIPAL OCCUPATION(S) OVERSEEN BY
AND ADDRESS FUNDS APPOINTED(4) DURING PAST 5 YEARS OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUND:
------------------------------------------------------------------------------------------------------------------------------------
Gifford R. Zimmerman Chief 1988 Managing Director (since 2002), Assistant Secretary and 174
9/9/56 Administrative Associate General Counsel, formerly, Vice President and
333 W. Wacker Drive Officer Assistant General Counsel, of Nuveen Investments, LLC;
Chicago, IL 60606 Managing Director (2002-2004), General Counsel (1998-2004)
and Assistant Secretary, formerly, Vice President of Nuveen
Advisory Corp. and Nuveen Institutional Advisory Corp.(3);
Managing Director (since 2002) and Assistant Secretary
and Associate General Counsel, formerly, Vice President
(since 1997), of Nuveen Asset Management; Managing Director
(since 2004) and Assistant Secretary (since 1994) of Nuveen
Investments, Inc.; Assistant Secretary of NWQ Investment
Management Company, LLC. (since 2002); Vice President and
Assistant Secretary of Nuveen Investments Advisers Inc.
(since 2002); Managing Director, Associate General Counsel
and Assistant Secretary of Rittenhouse Asset Management,
Inc., Symphony Asset Management LLC (since 2003),
Tradewinds Global Investors, LLC and Santa Barbara
Asset Management, LLC; (since 2006); Chartered
Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
Julia L. Antonatos Vice President 2004 Managing Director (since 2005), formerly Vice President 174
9/22/63 (since 2002) of Nuveen Investments, LLC; Chartered
333 W. Wacker Drive Financial Analyst.
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Michael T. Atkinson Vice President 2000 Vice President (since 2002) of Nuveen Investments, LLC. 174
2/3/66 and Assistant
333 W. Wacker Drive Secretary
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Peter H. D'Arrigo Vice President 1999 Vice President and Treasurer of Nuveen Investments, LLC and 174
11/28/67 of Nuveen Investments, Inc. (since 1999); Vice President and
333 W. Wacker Drive Treasurer of Nuveen Asset Management (since 2002) and of
Chicago, IL 60606 Nuveen Investments Advisers Inc. (since 2002); Assistant
Treasurer of NWQ Investment Management Company, LLC.
(since 2002); Vice President and Treasurer of Nuveen
Rittenhouse Asset Management, Inc. (since 2003); Treasurer
of Symphony Asset Management LLC (since 2003) and Santa
Barbara Asset Management, LLC (since 2006); Assistant
Treasurer, Tradewinds Global Investors, LLC (since 2006);
formerly, Vice President and Treasurer (1999-2004) of
Nuveen Advisory Corp. and Nuveen Institutional Advisory
Corp.(3); Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
John N. Desmond Vice President 2005 Vice President, Director of Investment Operations, Nuveen 174
8/24/61 Investments, LLC (since January 2005); formerly, Director,
333 W. Wacker Drive Business Manager, Deutsche Asset Management (2003-
Chicago, IL 60606 2004), Director, Business Development and Transformation,
Deutsche Trust Bank Japan (2002-2003); previously, Senior
Vice President, Head of Investment Operations and Systems,
Scudder Investments Japan, (2000-2002), Senior Vice
President, Head of Plan Administration and Participant
Services, Scudder Investments (1995-2002).
28
NUMBER OF
POSITION(S) YEAR FIRST PORTFOLIOS IN
HELD ELECTED FUND COMPLEX
NAME, BIRTHDATE WITH THE OR PRINCIPAL OCCUPATION(S) OVERSEEN BY
AND ADDRESS FUNDS APPOINTED(4) DURING PAST 5 YEARS OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
Lorna C. Ferguson Vice President 1998 Managing Director (since 2004), formerly, Vice President of 174
10/24/45 Nuveen Investments, LLC, Managing Director (2004) formerly,
333 W. Wacker Drive Vice President (1998-2004) of Nuveen Advisory Corp. and
Chicago, IL 60606 Nuveen Institutional Advisory Corp.(3); Managing Director
(since 2005) of Nuveen Asset Management.
------------------------------------------------------------------------------------------------------------------------------------
William M. Fitzgerald Vice President 1995 Managing Director (since 2002), formerly, Vice President of 174
3/2/64 Nuveen Investments, LLC; Managing Director (1997-2004) of
333 W. Wacker Drive Nuveen Advisory Corp. and Nuveen Institutional Advisory
Chicago, IL 60606 Corp.(3); Managing Director (since 2001) of Nuveen Asset
Management; Vice President (since 2002) of Nuveen
Investments Advisers Inc.; Chartered Financial Analyst.
------------------------------------------------------------------------------------------------------------------------------------
Stephen D. Foy Vice President 1998 Vice President (since 1993) and Funds Controller (since 1998) 174
5/31/54 and Controller of Nuveen Investments, LLC; formerly, Vice President and
333 W. Wacker Drive Funds Controller (1998-2004) of Nuveen Investments, Inc.;
Chicago, IL 60606 Certified Public Accountant.
------------------------------------------------------------------------------------------------------------------------------------
Walter M. Kelly Chief Compliance 2003 Assistant Vice President and Assistant Secretary of the Nuveen 174
2/24/70 Officer and Funds (2003-2006); Assistant Vice President and Assistant
333 West Wacker Drive Vice President General Counsel (since 2003) of Nuveen Investments, LLC;
Chicago, IL 60606 previously, Associate (2001-2003) at the law firm of
Vedder, Price, Kaufman & Kammholz.
------------------------------------------------------------------------------------------------------------------------------------
David J. Lamb Vice President 2000 Vice President (since 2000) of Nuveen Investments, 174
3/22/63 LLC; Certified Public Accountant.
333 W. Wacker Drive
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
Tina M. Lazar Vice President 2002 Vice President of Nuveen Investments, LLC (since 1999). 174
8/27/61
333 W. Wacker Drive
Chicago, IL 60606
29
Board Members
AND OFFICERS (CONTINUED)
NUMBER OF
POSITION(S) YEAR FIRST PORTFOLIOS IN
HELD ELECTED FUND COMPLEX
NAME, BIRTHDATE WITH THE OR PRINCIPAL OCCUPATION(S) OVERSEEN BY
AND ADDRESS FUNDS APPOINTED(4) DURING PAST 5 YEARS OFFICER
------------------------------------------------------------------------------------------------------------------------------------
OFFICERS OF THE FUNDS (CONTINUED):
------------------------------------------------------------------------------------------------------------------------------------
Larry W. Martin Vice President 1988 Vice President, Assistant Secretary and Assistant General 174
7/27/51 and Assistant Counsel of Nuveen Investments, LLC; formerly, Vice President
333 W. Wacker Drive Secretary and Assistant Secretary of Nuveen Advisory Corp. and
Chicago, IL 60606 Nuveen Institutional Advisory Corp.(3); Vice President
(since 2005) and Assistant Secretary of Nuveen Investments,
Inc.; Vice President (since 2005) and Assistant Secretary
(since 1997) of Nuveen Asset Management; Vice President
(since 2000), Assistant Secretary and Assistant General
Counsel (since 1998) of Rittenhouse Asset Management, Inc.;
Vice President and Assistant Secretary of Nuveen Investments
Advisers Inc. (since 2002); Assistant Secretary of NWQ
Investment Management Company, LLC (since 2002), Symphony
Asset Management LLC (since 2003) and Tradewinds Global
Investors, LLC and Santa Barbara Asset Management, LLC
(since 2006).
------------------------------------------------------------------------------------------------------------------------------------
Kevin J. McCarthy Vice President 2007 Vice President and Assistant General Counsel, Nuveen 174
3/26/66 and Secretary Investments, LLC (since 2007); prior thereto, Partner, Bell,
333 W. Wacker Drive Boyd & Lloyd LLP (1997-2007)
Chicago, IL 60606
------------------------------------------------------------------------------------------------------------------------------------
John V. Miller Vice President 2007 Managing Director (since 2007), formerly, Vice President 174
4/10/67 (2002-2007) of Nuveen Investments, LLC; Chartered
333 W. Wacker Drive Financial Analyst.
Chicago, IL 60606
(1) Mr. Schwertfeger is an "interested person" of the Funds, as defined in the
Investment Company Act of 1940, because he is an officer and board member
of the Adviser.
(2) Board members serve three year terms. The Board of Trustees is divided into
three classes, Class I, Class II, and Class III, with each class being
elected to serve until the third succeeding annual shareholders meeting
subsequent to its election or thereafter in each case when its respective
successors are duly elected or appointed. The year first elected or
appointed represents the year in which the board member was first elected
or appointed to any fund in the Nuveen Complex.
(3) Nuveen Advisory Corp. and Nuveen Institutional Advisory Corp. were
reorganized into Nuveen Asset Management, effective January 1, 2005.
(4) Officers serve one year terms through July of each year. The year first
elected or appointed represents the year in which the Officer was first
elected or appointed to any fund in the Nuveen Complex.
30
Notes
31
Reinvest Automatically
EASILY AND CONVENIENTLY
Sidebar text: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET
UP YOUR REINVESTMENT ACCOUNT.
NUVEEN CLOSED-END FUNDS
DIVIDEND REINVESTMENT PLAN
Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or
capital gains distributions in additional Fund shares.
By choosing to reinvest, you'll be able to invest money regularly and
automatically, and watch your investment grow through the power of tax-free
compounding. Just like dividends or distributions in cash, there may be times
when income or capital gains taxes may be payable on dividends or distributions
that are reinvested.
It is important to note that an automatic reinvestment plan does not ensure a
profit, nor does it protect you against loss in a declining market.
EASY AND CONVENIENT
To make recordkeeping easy and convenient, each month you'll receive a statement
showing your total dividends and distributions, the date of investment, the
shares acquired and the price per share, and the total number of shares you own.
HOW SHARES ARE PURCHASED
The shares you acquire by reinvesting will either be purchased on the open
market or newly issued by the Fund. If the shares are trading at or above net
asset value at the time of valuation, the Fund will issue new shares at the
greater of the net asset value or 95% of the then-current market price. If the
shares are trading at less than net asset value, shares for your account will be
purchased on the open market. If the Plan Agent begins purchasing Fund shares on
the open market while shares are trading below net asset value, but the Fund's
shares subsequently trade at or above their net asset value before the Plan
Agent is able to complete its purchases, the Plan Agent may cease open-market
purchases and may invest the uninvested portion of the distribution in
newly-issued Fund shares at a price equal to the greater of the shares' net
asset value or 95% of the shares' market value on the last business day
immediately prior to the purchase date. Dividends and distributions received to
purchase shares in the open market will normally be invested shortly after the
dividend payment date. No interest will be paid on dividends and distributions
awaiting reinvestment. Because the market price of the shares may increase
before purchases are completed, the average purchase price per share may exceed
the market price at the time of valuation, resulting in the acquisition of fewer
shares than if the dividend or distribution had been paid in shares issued by
the Fund. A pro rata portion of any applicable brokerage commissions on open
market purchases will be paid by Plan participants. These commissions usually
will be lower than those charged on individual transactions.
32
FLEXIBLE
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
You can reinvest whether your shares are registered in your name, or in the name
of a brokerage firm, bank, or other nominee. Ask your investment advisor if his
or her firm will participate on your behalf. Participants whose shares are
registered in the name of one firm may not be able to transfer the shares to
another firm and continue to participate in the Plan.
The Fund reserves the right to amend or terminate the Plan at any time. Although
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants, there is no direct service charge to participants
in the Plan at this time.
CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in
or withdraw from the Plan, speak with your financial advisor or call us at (800)
257-8787.
33
Glossary of
TERMS USED IN THIS REPORT
AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period. It
expresses the return that would have been necessary each year to equal the
investment's actual cumulative performance (including change in NAV or market
price and reinvested dividends and capital gains distributions, if any) over the
time period being considered.
AVERAGE EFFECTIVE MATURITY: The average of the number of years to maturity of
the bonds in a Fund's portfolio, computed by weighting each bond's time to
maturity (the date the security comes due) by the market value of the security.
This figure does not account for the likelihood of prepayments or the exercise
of call provisions unless an escrow account has been established to redeem the
bond before maturity.
LEVERAGE-ADJUSTED DURATION: Duration is a measure of the expected period over
which a bond's principal and interest will be paid, and consequently is a
measure of the sensitivity of a bond's or bond Fund's value to changes when
market interest rates change. Generally, the longer a bond's or Fund's duration,
the more the price of the bond or Fund will change as interest rates change.
Leverage-adjusted duration takes into account the leveraging process for a Fund
and therefore is longer than the duration of the Fund's portfolio of bonds.
MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An investment's
current annualized dividend divided by its current market price.
NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by
subtracting the liabilities of the Fund (including any MuniPreferred shares
issued in order to leverage the Fund) from its total assets and then dividing
the remainder by the number of shares outstanding. Fund NAVs are calculated at
the end of each business day.
TAXABLE-EQUIVALENT YIELD: The yield necessary from a fully taxable investment to
equal, on an after-tax basis, the yield of a municipal bond investment.
34
Other Useful
INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
The Fund's (i) quarterly portfolio of investments, (ii) information regarding
how the Fund voted proxies relating to portfolio securities held during the
12-month period ended June 30, 2006, and (iii) a description of the policies and
procedures that the Fund used to determine how to vote proxies relating to
portfolio securities are available without charge, upon request, by calling
Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's website at
www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities
and Exchange Commission ("SEC"). The SEC may charge a copying fee for this
information. Visit the SEC on-line at http://www.sec.gov or in person at the
SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090
for room hours and operation. You may also request Fund information by sending
an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public
References Section at 450 Fifth Street NW, Washington, D.C. 20549.
CEO CERTIFICATION DISCLOSURE
The Fund's Chief Executive Officer has submitted to the Exchange the annual CEO
certification as required by Section 303A.12(a) of the NYSE Listed Company
Manual.
The Fund has filed with the Securities and Exchange Commission the certification
of its Chief Executive Officer and Chief Financial Officer required by Section
302 of the Sarbanes-Oxley Act.
BOARD OF TRUSTEES
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Carol E. Stone
Eugene S. Sunshine
FUND MANAGER
Nuveen Asset Management
333 West Wacker Drive
Chicago, IL 60606
CUSTODIAN
State Street Bank & Trust Company
Boston, MA
TRANSFER AGENT AND
SHAREHOLDER SERVICES
State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
LEGAL COUNSEL
Chapman and Cutler LLP
Chicago, IL
INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
Chicago, IL
The Fund intends to repurchase shares of its own common stock in the future at
such times and in such amounts as is deemed advisable. No shares were
repurchased during the period covered by this report. Any future repurchases
will be reported to shareholders in the next annual or semiannual report.
35
Nuveen Investments:
SERVING Investors
For GENERATIONS
Photo of: 2 women looking at a photo album.
Since 1898, financial advisors and their clients have relied on Nuveen
Investments to provide dependable investment solutions. For the past century,
Nuveen Investments has adhered to the belief that the best approach to investing
is to apply conservative risk-management principles to help minimize volatility.
Building on this tradition, we today offer a range of high quality equity and
fixed-income solutions that are integral to a well-diversified core portfolio.
Our clients have come to appreciate this diversity, as well as our continued
adherence to proven, long-term investing principles.
WE OFFER MANY DIFFERENT INVESTING SOLUTIONS FOR OUR CLIENTS' DIFFERENT NEEDS.
Managing $166 billion in assets, as of March 31, 2007, Nuveen Investments offers
access to a number of different asset classes and investing solutions through a
variety of products. Nuveen Investments markets its capabilities under six
distinct brands: NWQ, specializing in value-style equities; Nuveen, managing
fixed-income investments; Santa Barbara, committed to growth equities;
Tradewinds, specializing in global value equities; Rittenhouse, focused on
"blue-chip" growth equities; and Symphony, with expertise in alternative
investments as well as equity and income portfolios.
FIND OUT HOW WE CAN HELP YOU REACH YOUR FINANCIAL GOALS.
To learn more about the products and services Nuveen Investments offers, talk to
your financial advisor, or call us at (800) 257-8787. Please read the
information provided carefully before you invest.
Be sure to obtain a prospectus, where applicable. Investors should consider the
investment objective and policies, risk considerations, charges and expenses of
the Fund carefully before investing. The prospectus contains this and other
information relevant to an investment in the Fund. For a prospectus, please
contact your securities representative or Nuveen Investments, 333 W. Wacker Dr.,
Chicago, IL 60606. Please read the prospectus carefully before you invest or
send money.
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EAN-A-0307D
ITEM 2. CODE OF ETHICS.
As of the end of the period covered by this report, the registrant has adopted a
code of ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions. There were no amendments to or waivers
from the Code during the period covered by this report. The registrant has
posted the code of ethics on its website at www.nuveen.com/etf. (To view the
code, click on the Investor Resources drop down menu box, click on Fund
Governance and then click on Code of Conduct.)
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Directors or Trustees determined that the registrant
has at least one "audit committee financial expert" (as defined in Item 3 of
Form N-CSR) serving on its Audit Committee. The registrant's audit committee
financial expert is Jack B. Evans, Chairman of the Audit Committee, who is
"independent" for purposes of Item 3 of Form N-CSR.
Mr. Evans was formerly President and Chief Operating Officer of SCI Financial
Group, Inc., a full service registered broker-dealer and registered investment
adviser ("SCI"). As part of his role as President and Chief Operating Officer,
Mr. Evans actively supervised the Chief Financial Officer (the "CFO") and
actively supervised the CFO's preparation of financial statements and other
filings with various regulatory authorities. In such capacity, Mr. Evans was
actively involved in the preparation of SCI's financial statements and the
resolution of issues raised in connection therewith. Mr. Evans has also served
on the audit committee of various reporting companies. At such companies, Mr.
Evans was involved in the oversight of audits, audit plans, and the preparation
of financial statements. Mr. Evans also formerly chaired the audit committee of
the Federal Reserve Bank of Chicago.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Nuveen Select Maturities Municipal Fund
The following tables show the amount of fees that Ernst & Young LLP, the Fund's
auditor, billed to the Fund during the Fund's last two full fiscal years. For
engagements with Ernst & Young LLP the Audit Committee approved in advance all
audit services and non-audit services that Ernst & Young LLP provided to the
Fund, except for those non-audit services that were subject to the pre-approval
exception under Rule 2-01 of Regulation S-X (the "pre-approval exception"). The
pre-approval exception for services provided directly to the Fund waives the
pre-approval requirement for services other than audit, review or attest
services if: (A) the aggregate amount of all such services provided constitutes
no more than 5% of the total amount of revenues paid by the Fund to its
accountant during the fiscal year in which the services are provided; (B) the
Fund did not recognize the services as non-audit services at the time of the
engagement; and (C) the services are promptly brought to the Audit Committee's
attention, and the Committee (or its delegate) approves the services before the
audit is completed.
The Audit Committee has delegated certain pre-approval responsibilities to its
Chairman (or, in his absence, any other member of the Audit Committee).
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE FUND
AUDIT FEES BILLED AUDIT-RELATED FEES TAX FEES ALL OTHER FEES
FISCAL YEAR ENDED TO FUND (1) BILLED TO FUND (2) BILLED TO FUND (3) BILLED TO FUND (4)
-------------------------------------------------------------------------------------------------------------------------
March 31, 2007 $ 9,674 $ 0 $ 0 $ 0
-------------------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0% 0%
pursuant to
pre-approval
exception
-------------------------------------------------------------------------------------------------------------------------
March 31, 2006 $ 9,192 $ 0 $ 405 $ 0
-------------------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0% 0%
pursuant to
pre-approval
exception
-------------------------------------------------------------------------------------------------------------------------
(1) "Audit Fees" are the aggregate fees billed for professional services for
the audit of the Fund's annual financial statements and services provided
in connection with statutory and regulatory filings or engagements.
(2) "Audit Related Fees" are the aggregate fees billed for assurance and
related services reasonably related to the performance of the audit or
review of financial statements and are not reported under "Audit Fees".
(3) "Tax Fees" are the aggregate fees billed for professional services for tax
advice, tax compliance, and tax planning.
(4) "All Other Fees" are the aggregate fees billed for products and services
other than "Audit Fees", "Audit Related Fees", and "Tax Fees".
SERVICES THAT THE FUND'S AUDITOR BILLED TO THE
ADVISER AND AFFILIATED FUND SERVICE PROVIDERS
The following tables show the amount of fees billed by Ernst & Young LLP to
Nuveen Asset Management ("NAM" or the "Adviser"), and any entity controlling,
controlled by or under common control with NAM ("Control Affiliate") that
provides ongoing services to the Fund ("Affiliated Fund Service Provider"), for
engagements directly related to the Fund's operations and financial reporting,
during the Fund's last two full fiscal years.
The tables also show the percentage of fees subject to the pre-approval
exception. The pre-approval exception for services provided to the Adviser and
any Affiliated Fund Service Provider (other than audit, review or attest
services) waives the pre-approval requirement if: (A) the aggregate amount of
all such services provided constitutes no more than 5% of the total amount of
revenues paid to Ernst & Young LLP by the Fund, the Adviser and Affiliated Fund
Service Providers during the fiscal year in which the services are provided that
would have to be pre-approved by the Audit Committee; (B) the Fund did not
recognize the services as non-audit services at the time of the engagement; and
(C) the services are promptly brought to the Audit Committee's attention, and
the Committee (or its delegate) approves the services before the Fund's audit is
completed.
FISCAL YEAR ENDED AUDIT-RELATED FEES TAX FEES BILLED TO ALL OTHER FEES
BILLED TO ADVISER AND ADVISER AND BILLED TO ADVISER
AFFILIATED FUND AFFILIATED FUND AND AFFILIATED FUND
SERVICE PROVIDERS SERVICE PROVIDERS (1) SERVICE PROVIDERS
--------------------------------------------------------------------------------------------------------------
March 31, 2007 $ 0 $ 0 $ 0
--------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0%
pursuant to
pre-approval
exception
--------------------------------------------------------------------------------------------------------------
March 31, 2006 $ 0 $ 2,400 $ 0
--------------------------------------------------------------------------------------------------------------
Percentage approved 0% 0% 0%
pursuant to
pre-approval
exception
--------------------------------------------------------------------------------------------------------------
(1) The amounts reported for the Fund under the column heading "Tax Fees"
represents amounts billed to the Adviser exclusively for the preparation
for the Fund's tax return, the cost of which is borne by the Adviser. In
the aggregate, for all Nuveen funds for which Ernst & Young LLP serves as
independent registered public accounting firm, these fees amounted to
$161,400 in 2006. Beginning with fund fiscal years ending August 31, 2006,
Ernst & Young LLP will no longer prepare the fund tax returns.
NON-AUDIT SERVICES
The following table shows the amount of fees that Ernst & Young LLP billed
during the Fund's last two full fiscal years for non-audit services. The Audit
Committee is required to pre-approve non-audit services that Ernst & Young LLP
provides to the Adviser and any Affiliated Fund Services Provider, if the
engagement related directly to the Fund's operations and financial reporting
(except for those subject to the de minimis exception described above). The
Audit Committee requested and received information from Ernst & Young LLP about
any non-audit services that Ernst & Young LLP rendered during the Fund's last
fiscal year to the Adviser and any Affiliated Fund Service Provider. The
Committee considered this information in evaluating Ernst & Young LLP's
independence.
FISCAL YEAR ENDED TOTAL NON-AUDIT FEES
BILLED TO ADVISER AND
AFFILIATED FUND SERVICE TOTAL NON-AUDIT FEES
PROVIDERS (ENGAGEMENTS BILLED TO ADVISER AND
RELATED DIRECTLY TO THE AFFILIATED FUND SERVICE
TOTAL NON-AUDIT FEES OPERATIONS AND FINANCIAL PROVIDERS (ALL OTHER
BILLED TO FUND REPORTING OF THE FUND) ENGAGEMENTS) TOTAL
------------------------------------------------------------------------------------------------------------------
March 31, 2007 $ 0 $ 0 $ 0 $ 0
March 31, 2006 $ 405 $ 2,400 $ 0 $ 2,805
"Non-Audit Fees billed to Adviser" for both fiscal year ends represent "Tax
Fees" billed to Adviser in their respective amounts from the previous table.
Audit Committee Pre-Approval Policies and Procedures. Generally, the Audit
Committee must approve (i) all non-audit services to be performed for the Fund
by the Fund's independent accountants and (ii) all audit and non-audit services
to be performed by the Fund's independent accountants for the Affiliated Fund
Service Providers with respect to operations and financial reporting of the
Fund. Regarding tax and research projects conducted by the independent
accountants for the Fund and Affiliated Fund Service Providers (with respect to
operations and financial reports of the Fund) such engagements will be (i)
pre-approved by the Audit Committee if they are expected to be for amounts
greater than $10,000; (ii) reported to the Audit Committee chairman for his
verbal approval prior to engagement if they are expected to be for amounts under
$10,000 but greater than $5,000; and (iii) reported to the Audit Committee at
the next Audit Committee meeting if they are expected to be for an amount under
$5,000.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant's Board of Directors or Trustees has a separately designated
Audit Committee established in accordance with Section 3(a)(58)(A) of the
Securities Exchange Act of 1934, as amended (15 U.S.C. 78c(a)(58)(A)). The
members of the audit committee are Robert P. Bremner, Lawrence H. Brown, Jack B.
Evans, William J. Schneider, Eugene S. Sunshine and effective January 1, 2007,
David J. Kundert.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
The registrant invests its assets primarily in municipal bonds and cash
management securities. On rare occasions the registrant may acquire, directly or
through a special purpose vehicle, equity securities of a municipal bond issuer
whose bonds the registrant already owns when such bonds have deteriorated or are
expected shortly to deteriorate significantly in credit quality. The purpose of
acquiring equity securities generally will be to acquire control of the
municipal bond issuer and to seek to prevent the credit deterioration or
facilitate the liquidation or other workout of the distressed issuer's credit
problem. In the course of exercising control of a distressed municipal issuer,
NAM may pursue the registrant's interests in a variety of ways, which may entail
negotiating and executing consents, agreements and other arrangements, and
otherwise influencing the management of the issuer. NAM does not consider such
activities proxy voting for purposes of Rule 206(4)-6 under the 1940 Act, but
nevertheless provides reports to the registrant's Board of Trustees on its
control activities on a quarterly basis.
In the rare event that a municipal issuer were to issue a proxy or that the
registrant were to receive a proxy issued by a cash management security, NAM
would either engage an independent third party to determine how the proxy should
be voted or vote the proxy with the consent, or based on the instructions, of
the registrant's Board of Trustees or its representative. A member of NAM's
legal department would oversee the administration of the voting, and ensure that
records were maintained in accordance with Rule 206(4)-6, reports were filed
with the SEC on Form N-PX, and the results provided to the registrant's Board of
Trustees and made available to shareholders as required by applicable rules.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
PORTFOLIO MANAGER
The following individual has primary responsibility for the day-to-day
implementation of the registrant's investment strategies:
NAME FUND
Paul Brennan Nuveen Select Maturities Municipal Fund
Other Accounts Managed. In addition to managing the registrant, the portfolio
manager is also primarily responsible for the day-to-day portfolio management of
the following accounts:
TYPE OF ACCOUNT NUMBER OF
PORTFOLIO MANAGER MANAGED ACCOUNTS ASSETS
--------------------------------------------------------------------------------
Paul Brennan Registered Investment Company 14 $12,334 million
Other Pooled Investment Vehicles 0 $ 0 million
Other Accounts 1 $0.7 million
* Assets are as of March 31, 2007. None of the assets in these accounts are
subject to an advisory fee based on performance.
Compensation. Each portfolio manager's compensation consists of three basic
elements--base salary, cash bonus and long-term incentive compensation. The
compensation strategy is to annually compare overall compensation, including
these three elements, to the market in order to create a compensation structure
that is competitive and consistent with similar financial services companies. As
discussed below, several factors are considered in determining each portfolio
manager's total compensation. In any year these factors may include, among
others, the effectiveness of the investment strategies recommended by the
portfolio manager's investment team, the investment performance of the accounts
managed by the portfolio manager, and the overall performance of Nuveen
Investments, Inc. (the parent company of the NAM). Although investment
performance is a factor in determining the portfolio manager's compensation, it
is not necessarily a decisive factor. The portfolio manager's performance is
evaluated in part by comparing manager's performance against a specified
investment benchmark. This fund-specific benchmark is a customized subset
(limited to bonds in each Fund's specific state and with certain maturity
parameters) of the S&P/Investortools Municipal Bond index, an index comprised of
bonds held by managed municipal bond fund customers of Standard & Poor's
Securities Pricing, Inc. that are priced daily and whose fund holdings aggregate
at least $2 million. As of April 30, 2007, the S&P/Investortools Municipal Bond
index was comprised of 50,300 securities with an aggregate current market value
of $ 985,620.
Base salary. Each portfolio manager is paid a base salary that is set at a level
determined by NAM in accordance with its overall compensation strategy discussed
above. NAM is not under any current contractual obligation to increase a
portfolio manager's base salary.
Cash bonus. Each portfolio manager is also eligible to receive an annual cash
bonus. The level of this bonus is based upon evaluations and determinations made
by each portfolio manager's supervisors, along with reviews submitted by his
peers. These reviews and evaluations often take into account a number of
factors, including the effectiveness of the investment strategies recommended to
the NAM's investment team, the performance of the accounts for which he serves
as portfolio manager relative to any benchmarks established for those accounts,
his effectiveness in communicating investment performance to stockholders and
their representatives, and his contribution to the NAM's investment process and
to the execution of investment strategies. The cash bonus component is also
impacted by the overall performance of Nuveen Investments, Inc. in achieving its
business objectives.
Long-term incentive compensation. Each portfolio manager is eligible to receive
bonus compensation in the form of equity-based awards issued in securities
issued by Nuveen Investments, Inc. The amount of such compensation is dependent
upon the same factors articulated for cash bonus awards but also factors in his
long-term potential with the firm.
Material Conflicts of Interest. Each portfolio manager's simultaneous management
of the Registrant and the other accounts noted above may present actual or
apparent conflicts of interest with respect to the allocation and aggregation of
securities orders placed on behalf of the registrant and the other account. NAM,
however, believes that such potential conflicts are mitigated by the fact that
the NAM has adopted several policies that address potential conflicts of
interest, including best execution and trade allocation policies that are
designed to ensure (1) that portfolio management is seeking the best price for
portfolio securities under the circumstances, (2) fair and equitable allocation
of investment opportunities among accounts over time and (3) compliance with
applicable regulatory requirements. All accounts are to be treated in a
non-preferential manner, such that allocations are not based upon account
performance, fee structure or preference of the portfolio manager. In addition,
NAM has adopted a Code of Conduct that sets forth policies regarding conflicts
of interest.
Beneficial Ownership of Securities. As of the March 31, 2007, the portfolio
manager beneficially owned the following dollar range of equity securities
issued by the Registrant and other Nuveen Funds managed by NAM's municipal
investment team.
----------------------------------------------------------------------------------------------------------------------
DOLLAR RANGE OF EQUITY
DOLLAR RANGE OF SECURITIES BENEFICIALLY OWNED
EQUITY SECURITIES IN THE REMAINDER OF NUVEEN
BENEFICIALLY OWNED FUNDS MANAGED BY NAM'S
NAME OF PORTFOLIO MANAGER FUND IN FUND MUNICIPAL INVESTMENT TEAM
----------------------------------------------------------------------------------------------------------------------
Paul Brennan Nuveen Select Maturities Municipal Fund $0 $50,001-$100,000
----------------------------------------------------------------------------------------------------------------------
PORTFOLIO MANAGER BIO:
Paul Brennan, CFA, CPA, became a portfolio manager of Flagship Financial Inc. in
1994, and subsequently became an Assistant Vice President of NAM upon the
acquisition of Flagship Resources Inc. by Nuveen in 1997. He became Vice
President of NAM in 2002. He currently manages investments for 15
Nuveen-sponsored investment companies.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrants Board implemented after the registrant
last provided disclosure in response to this item.
ITEM 11. 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 Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (the "Exchange Act")
(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 second fiscal quarter
of the period covered by this report that has materially affected, or
is reasonably likely to materially affect, the registrant's internal
control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form. Letter or number the
exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable
because the code is posted on registrant's website at www.nuveen.com/etf and
there were no amendments during the period covered by this report. (To view the
code, click on the Investor Resources drop down menu box, click on Fund
Governance and then Code of Conduct.)
(a)(2) 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)) in the exact form set forth below: Ex-99.CERT
Attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons. Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference. Ex-99.906 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: June 8, 2007
-------------------------------------------------------------------
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: June 8, 2007
-------------------------------------------------------------------
By (Signature and Title)* /s/ Stephen D. Foy
----------------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: June 8, 2007
-------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.