nq2.htm



 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 
Investment Company Act file number 811-07056
 
Nuveen Select Maturities Municipal Fund
(Exact name of registrant as specified in charter)
 
Nuveen Investments
        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)
 

Kevin J. McCarthy
Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)
 
Registrant's telephone number, including area code:         312-917-7700        
 
Date of fiscal year end:            3/31          
 
Date of reporting period:         12/31/14         
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 
 
 
 
 
Item 1. Schedule of Investments
 
           
   
Portfolio of Investments (Unaudited)
      
           
   
Nuveen Select Maturities Municipal Fund (NIM)
      
   
December 31, 2014
      
 
 
Principal
    
Optional Call
    
Amount (000)
  
Description (1)
Provisions (2)
Ratings (3)
Value
   
LONG-TERM INVESTMENTS – 99.5%
      
           
   
MUNICIPAL BONDS – 99.5%
      
           
   
Alabama – 0.1%
      
$ 180
  
Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health
11/15 at 100.00
Baa2
$ 181,336
   
System Inc., Series 2005A, 5.000%, 11/15/30
      
   
Alaska – 0.1%
      
155
  
Alaska State, Sport Fishing Revenue Bonds, Refunding Series 2011, 5.000%, 4/01/21
4/20 at 100.00
A1
176,055
   
Arizona – 2.6%
      
   
Arizona Health Facilities Authority, Hospital System Revenue Bonds, Phoenix Children’s
      
   
Hospital, Refunding Series 2012A:
      
60
  
5.000%, 2/01/20
No Opt. Call
BBB+
68,957
290
  
5.000%, 2/01/27
2/22 at 100.00
BBB+
324,794
55
  
Arizona Health Facilities Authority, Revenue Bonds, Scottsdale Lincoln Hospitals Project,
No Opt. Call
A2
65,966
   
Series 2014A, 5.000%, 12/01/24
      
   
Arizona Sports and Tourism Authority, Tax Revenue Bonds, Multipurpose Stadium Facility
      
   
Project, Refunding Senior Series 2012A:
      
425
  
5.000%, 7/01/25
7/22 at 100.00
A1
471,767
685
  
5.000%, 7/01/26
7/22 at 100.00
A1
757,980
685
  
5.000%, 7/01/27
7/22 at 100.00
A1
756,309
100
  
Pima County Industrial Development Authority, Arizona, Revenue Bonds, Tucson Electric Power
3/23 at 100.00
BBB+
103,377
   
Company Project, Series 2013A, 4.000%, 9/01/29
      
   
Salt Verde Financial Corporation, Arizona, Senior Gas Revenue Bonds, Citigroup Energy Inc
      
   
Prepay Contract Obligations, Series 2007:
      
150
  
5.000%, 12/01/17
No Opt. Call
A–
164,623
100
  
5.250%, 12/01/19
No Opt. Call
A–
114,650
35
  
5.000%, 12/01/32
No Opt. Call
A–
40,520
480
  
5.000%, 12/01/37
No Opt. Call
A–
556,310
3,065
  
Total Arizona
    
3,425,253
   
Arkansas – 0.6%
      
500
  
Independence County, Arkansas, Pollution Control Revenue Bonds, Arkansas Power and Light
No Opt. Call
A–
511,085
   
Company Project, Series 2013, 2.375%, 1/01/21
      
315
  
North Little Rock, Arkansas, Electric Revenue Refunding Bonds, Series 1992A, 6.500%, 7/01/15 –
No Opt. Call
AA– (4)
324,954
   
NPFG Insured (ETM)
      
815
  
Total Arkansas
    
836,039
   
California – 5.9%
      
300
  
Alameda Corridor Transportation Authority, California, Senior Lien Revenue Refunding Bonds,
No Opt. Call
A
365,784
   
Series 2013A, 5.000%, 10/01/23
      
245
  
California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West,
7/15 at 100.00
A
251,059
   
Series 2008H, 5.125%, 7/01/22
      
125
  
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard
No Opt. Call
AA
127,264
   
Children’s Hospital, Series 2008A, 1.450%, 8/15/33 (Mandatory put 3/15/17)
      
160
  
California Health Facilities Financing Authority, Revenue Bonds, Lucile Salter Packard
No Opt. Call
AA
162,898
   
Children’s Hospital, Series 2012C, 1.450%, 8/15/23 (Mandatory put 3/15/17)
      
500
  
California Health Facilities Financing Authority, Revenue Bonds, Saint Joseph Health System,
No Opt. Call
AA–
591,650
   
Series 2013D, 5.000%, 7/01/43 (Mandatory put 10/15/20)
      
525
  
California State, General Obligation Bonds, Various Purpose Series 2010, 5.500%, 3/01/40
3/20 at 100.00
Aa3
606,522
125
  
California Statewide Communities Development Authority, California, Revenue Bonds, Loma Linda
12/24 at 100.00
BBB
140,736
   
University Medical Center, Series 2014A, 5.250%, 12/01/29
      
210
  
California Statewide Communities Development Authority, Revenue Bonds, Kaiser Permanente,
No Opt. Call
A+
231,628
   
Series 2009E-1, 5.000%, 4/01/44 (Mandatory put 5/01/17)
      
250
  
Delano, California, Certificates of Participation, Delano Regional Medical Center, Series 2012,
No Opt. Call
BBB–
275,420
   
5.000%, 1/01/24
      
560
  
Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed
6/17 at 100.00
B
531,821
   
Bonds, Series 2007A-1, 4.500%, 6/01/27
      
100
  
Lake Elsinore Public Financing Authority, California, Local Agency Revenue Bonds, Canyon Hills
9/24 at 100.00
N/R
112,323
   
Improvement Area A & C, Series 2014C, 5.000%, 9/01/32
      
365
  
Lake Elsinore Redevelopment Agency, California, Special Tax Bonds, Community Facilities
10/17 at 100.00
AA
383,053
   
District 90-2, Series 2007A, 4.500%, 10/01/24 – AGM Insured
      
   
Moulton Niguel Water District, California, Certificates of Participation, Refunding Series 2003:
      
250
  
5.000%, 9/01/21 – AMBAC Insured
9/16 at 100.00
AAA
267,795
250
  
5.000%, 9/01/22 – AMBAC Insured
9/16 at 100.00
AAA
267,795
500
  
5.000%, 9/01/23 – AMBAC Insured
9/16 at 100.00
AAA
535,590
295
  
Mount San Antonio Community College District, Los Angeles County, California, General
2/28 at 100.00
AA
238,814
   
Obligation Bonds, Election of 2008, Series 2013A, 0.000%, 8/01/28
      
2,000
  
Palomar Pomerado Health, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/25 –
No Opt. Call
AA
1,390,860
   
AGC Insured
      
35
  
Riverside County Transportation Commission, California, Toll Revenue Senior Lien Bonds, Series
6/23 at 100.00
BBB–
40,243
   
2013A, 5.750%, 6/01/44
      
2,000
  
San Diego Community College District, California, General Obligation Bonds, Refunding Series
No Opt. Call
AA+
801,560
   
2011, 0.000%, 8/01/37
      
415
  
San Joaquin Hills Transportation Corridor Agency, Orange County, California, Toll Road Revenue
1/25 at 100.00
BBB–
469,560
   
Bonds, Refunding Senior Lien Series 2014A, 5.000%, 1/15/29
      
9,210
  
Total California
    
7,792,375
   
Colorado – 0.9%
      
   
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2000B:
      
75
  
0.000%, 9/01/29 – NPFG Insured
No Opt. Call
AA–
44,442
75
  
0.000%, 9/01/33 – NPFG Insured
No Opt. Call
AA–
35,418
10
  
E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2007A-1, 5.250%,
No Opt. Call
AA–
11,247
   
9/01/18 – NPFG Insured
      
1,000
  
E-470 Public Highway Authority, Colorado, Toll Revenue Bonds, Series 2004B, 0.000%, 3/01/36 –
9/20 at 41.72
AA–
322,610
   
NPFG Insured
      
500
  
Plaza Metropolitan District 1, Lakewood, Colorado, Tax Increment Revenue Bonds, Refunding
No Opt. Call
N/R
538,710
   
Series 2013, 5.000%, 12/01/20
      
200
  
Regional Transportation District, Colorado, Denver Transit Partners Eagle P3 Project Private
7/20 at 100.00
Baa3
225,188
   
Activity Bonds, Series 2010, 6.000%, 1/15/41
      
1,860
  
Total Colorado
    
1,177,615
   
Connecticut – 1.9%
      
950
  
Connecticut Health and Educational Facilities Authority, Revenue Bonds, Yale University,
No Opt. Call
AAA
948,338
   
Series 2010A-3, 0.875%, 7/01/49 (Mandatory put 2/08/18)
      
1,570
  
Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator
No Opt. Call
A–
1,596,219
   
Lisbon Project, Series 1993A, 5.500%, 1/01/15 (Alternative Minimum Tax)
      
2,520
  
Total Connecticut
    
2,544,557
   
Delaware – 0.1%
      
170
  
Delaware Health Facilities Authority, Revenue Bonds, Nanticoke Memorial Hospital, Series 2013,
7/23 at 100.00
BBB–
182,148
   
5.000%, 7/01/28
      
   
District of Columbia – 0.2%
      
120
  
District of Columbia Student Dormitory Revenue Bonds, Provident Group – Howard Properties LLC
10/22 at 100.00
BBB–
127,402
   
Issue, Series 2013, 5.000%, 10/01/30
      
150
  
District of Columbia Tobacco Settlement Corporation, Tobacco Settlement Asset-Backed Bonds,
No Opt. Call
Baa1
183,703
   
Series 2001, 6.500%, 5/15/33
      
270
  
Total District of Columbia
    
311,105
   
Florida – 7.0%
      
100
  
Citizens Property Insurance Corporation, Florida, High Risk Assessment Revenue, Senior Secured
No Opt. Call
A+
106,865
   
Bonds, Series 2009A-1, 5.375%, 6/01/16
      
160
  
Citizens Property Insurance Corporation, Florida, High-Risk Account Revenue Bonds, Coastal
No Opt. Call
A+
178,837
   
Account Senior Secured Series 2011A-1, 5.000%, 6/01/18
      
370
  
Collier County Educational Facilities Authority, Florida, Revenue Bonds, Hodges University,
11/23 at 100.00
BBB–
414,167
   
Series 2013, 6.000%, 11/01/33
      
   
Florida Citizens Property Insurance Corporation, High Risk Account Revenue Bonds, Series 2007A:
      
1,215
  
5.000%, 3/01/15 – NPFG Insured
No Opt. Call
AA–
1,224,842
550
  
5.000%, 3/01/16 – NPFG Insured
No Opt. Call
AA–
579,920
   
Florida Citizens Property Insurance Corporation, Personal and Commercial Lines Account Bonds,
      
   
Senior Secured Series 2012A-1:
      
50
  
5.000%, 6/01/18
No Opt. Call
A+
55,887
455
  
5.000%, 6/01/20
No Opt. Call
A+
526,044
600
  
Florida Department of Environmental Protection, Florida Forever Revenue Bonds, Series 2007B,
7/17 at 101.00
AA–
668,496
   
5.000%, 7/01/19 – NPFG Insured
      
520
  
Halifax Hospital Medical Center, Florida, Revenue Bonds, Series 2006, 5.250%, 6/01/26
6/16 at 100.00
BBB+
544,861
   
Miami-Dade County, Florida, Public Facilities Revenue Bonds, Jackson Health System, Series 2009:
      
10
  
5.500%, 6/01/29 – AGM Insured
6/19 at 100.00
AA
11,240
10
  
5.625%, 6/01/34 – AGC Insured
6/19 at 100.00
AA
11,212
750
  
North Sumter County Utility Dependent District, Florida, Utility Revenue Bonds, Series 2010,
No Opt. Call
A
848,100
   
5.000%, 10/01/20
      
270
  
Orange County School Board, Florida, Certificates of Participation, Series 2005B, 5.000%,
8/15 at 100.00
AA
277,317
   
8/01/25 – AMBAC Insured
      
2,000
  
Orange County, Florida, Tourist Development Tax Revenue Bonds, Series 2005, 5.000%, 10/01/22 –
10/15 at 100.00
AA–
2,070,040
   
AMBAC Insured
      
65
  
Palm Beach County Health Facilities Authority, Florida, Hospital Revenue Bonds, BRCH
12/24 at 100.00
BBB
73,632
   
Corporation Obligated Group, Refunding Series 2014, 5.000%, 12/01/31
      
90
  
Port Everglades Authority, Florida, Port Facilities Revenue Bonds, Series 1986, 7.125%,
No Opt. Call
Aaa
97,616
   
11/01/16 (ETM)
      
720
  
South Miami Health Facilities Authority, Florida, Hospital Revenue, Baptist Health System
8/17 at 100.00
AA
790,920
   
Obligation Group, Series 2007, 5.000%, 8/15/27
      
   
Tampa, Florida, Cigarette Tax Allocation Bonds, H. Lee Moffitt Cancer Center Project,
      
   
Refunding & Capital Improvement Series 2012A:
      
120
  
5.000%, 9/01/22
No Opt. Call
A+
141,556
350
  
5.000%, 9/01/23
9/22 at 100.00
A+
407,988
185
  
5.000%, 9/01/25
9/22 at 100.00
A+
212,739
8,590
  
Total Florida
    
9,242,279
   
Georgia – 1.0%
      
270
  
Cherokee County Water and Sewerage Authority, Georgia, Revenue Bonds, Series 1995, 5.200%,
8/22 at 100.00
AA– (4)
307,735
   
8/01/25 (Pre-refunded 8/01/22) – NPFG Insured
      
900
  
Private Colleges and Universities Authority, Georgia, Revenue Bonds, Mercer University
10/22 at 100.00
Baa2
1,044,459
   
Project, Refunding Series 2012C, 5.250%, 10/01/23
      
1,170
  
Total Georgia
    
1,352,194
   
Guam – 0.1%
      
140
  
Guam Waterworks Authority, Water and Wastewater System Revenue Bonds, Series 2013,
7/23 at 100.00
A–
161,713
   
5.500%, 7/01/43
      
   
Hawaii – 0.2%
      
200
  
Hawaii Department of Budget and Finance, Special Purpose Revenue Bonds, Hawaii Pacific
7/23 at 100.00
BB+
223,000
   
University, Series 2013A, 6.250%, 7/01/27
      
   
Idaho – 0.1%
      
100
  
Madison County, Idaho, Hospital Revenue Certificates of Participation, Madison Memorial
9/16 at 100.00
BB+
101,329
   
Hospital, Series 2006, 5.250%, 9/01/37
      
   
Illinois – 13.7%
      
1,500
  
Cook County Township High School District 208, Illinois, General Obligation Bonds, Series
12/15 at 100.00
Aa3
1,561,935
   
2006, 5.000%, 12/01/21 – NPFG Insured
      
325
  
Cook County, Illinois, General Obligation Bonds, Refunding Series 2012C, 5.000%, 11/15/21
No Opt. Call
AA
375,590
2,000
  
Huntley, Illinois, Special Service Area 9, Special Tax Bonds, Series 2007, 5.100%, 3/01/28 –
3/17 at 100.00
AA
2,165,660
   
AGC Insured
      
455
  
Illinois Finance Authority, Revenue Bonds, Centegra Health System, Series 2012, 5.000%, 9/01/27
9/22 at 100.00
BBB
493,202
215
  
Illinois Finance Authority, Revenue Bonds, Northwest Community Hospital, Series 2008A,
7/18 at 100.00
A+
234,864
   
5.500%, 7/01/38
      
640
  
Illinois Finance Authority, Revenue Bonds, OSF Healthcare System, Series 2007A, 5.750%, 11/15/37
11/17 at 100.00
A
706,746
250
  
Illinois Finance Authority, Revenue Bonds, Roosevelt University, Series 2007, 5.250%, 4/01/22
4/17 at 100.00
BBB
259,070
700
  
Illinois Health Facilities Authority, Revenue Bonds, Silver Cross Hospital and Medical
2/15 at 100.00
BBB–
702,653
   
Centers, Series 1999, 5.500%, 8/15/19
      
   
Illinois State, General Obligation Bonds, February Series 2014:
      
370
  
5.000%, 2/01/25
2/24 at 100.00
A–
414,740
325
  
5.000%, 2/01/26
2/24 at 100.00
A–
361,640
110
  
Illinois State, General Obligation Bonds, Refunding Series 2006, 5.000%, 1/01/15
No Opt. Call
A–
110,000
290
  
Illinois State, General Obligation Bonds, Refunding Series 2007B, 5.000%, 1/01/16
No Opt. Call
A–
302,450
425
  
Illinois State, General Obligation Bonds, Refunding Series 2008, 4.250%, 4/01/16
No Opt. Call
A–
443,114
   
Illinois State, General Obligation Bonds, Refunding Series 2012:
      
390
  
5.000%, 8/01/20
No Opt. Call
A–
439,912
325
  
5.000%, 8/01/21
No Opt. Call
A–
366,600
1,000
  
5.000%, 8/01/22
No Opt. Call
A–
1,125,590
275
  
5.000%, 8/01/23
No Opt. Call
A–
310,753
   
Illinois State, General Obligation Bonds, Series 2006A:
      
15
  
5.000%, 6/01/24
12/16 at 100.00
A–
15,788
10
  
5.000%, 6/01/27
12/16 at 100.00
A–
10,393
230
  
Illinois State, General Obligation Bonds, Series 2006, 5.000%, 1/01/17
1/16 at 100.00
A–
238,510
25
  
Illinois State, General Obligation Bonds, Series 2007A, 5.500%, 6/01/15
No Opt. Call
A–
25,521
300
  
Illinois State, General Obligation Bonds, Series 2012A, 4.000%, 1/01/20
No Opt. Call
A–
321,393
   
Illinois State, General Obligation Bonds, Series 2013:
      
280
  
5.500%, 7/01/25
7/23 at 100.00
A–
321,868
240
  
5.500%, 7/01/26
7/23 at 100.00
A–
274,082
1,380
  
Kane & DeKalb Counties Community Unit School District 301, Illinois, General Obligation Bonds,
No Opt. Call
Aa3
1,279,315
   
Series 2006, 0.000%, 12/01/18 – NPFG Insured
      
1,000
  
Peoria Public Building Commission, Illinois, School District Facility Revenue Bonds, Peoria
12/18 at 79.62
AA
728,980
   
County School District 150 Project, Series 2009A, 0.000%, 12/01/22 – AGC Insured
      
   
Railsplitter Tobacco Settlement Authority, Illinois, Tobacco Settlement Revenue Bonds, Series 2010:
      
705
  
5.000%, 6/01/19
No Opt. Call
A
800,302
1,000
  
5.250%, 6/01/21
No Opt. Call
A
1,181,210
60
  
6.250%, 6/01/24
6/16 at 100.00
A–
64,715
700
  
Regional Transportation Authority, Cook, DuPage, Kane, Lake, McHenry and Will Counties,
No Opt. Call
AA
806,442
   
Illinois, General Obligation Bonds, Series 1994D, 7.750%, 6/01/19 – FGIC Insured
      
500
  
Sterling, Whiteside County, Illinois, General Obligation Bonds, Alternate Revenue Source,
No Opt. Call
A+
552,595
   
Series 2012, 4.000%, 11/01/22
      
355
  
Will, Grundy, Kendall, LaSalle, Kankakee, Livingston and Cook Counties Community College
6/18 at 100.00
AA
397,991
   
District 525 Joliet Junior College, Illinois, General Obligation Bond, Series 2008,
      
   
5.750%, 6/01/28
      
570
  
Williamson & Johnson Counties Community Unit School District 2, Marion, Illinois, Limited Tax
10/19 at 103.00
BBB
639,403
   
General Obligation Lease Certificates, Series 2011, 7.000%, 10/15/22
      
16,965
  
Total Illinois
    
18,033,027
   
Indiana – 2.5%
      
190
  
Indiana Finance Authority, Educational Facilities Revenue Bonds, Drexel Foundation For
10/19 at 100.00
BB–
194,100
   
Educational Excellence, Inc., Series 2009A, 6.000%, 10/01/21
      
180
  
Indiana Finance Authority, Private Activity Bonds, Ohio River Bridges East End Crossing
1/17 at 100.00
BBB
193,588
   
Project, Series 2013B, 5.000%, 1/01/19 (Alternative Minimum Tax)
      
175
  
Indiana Finance Authority, Tax-Exempt Private Activity Revenue Bonds, I-69 Section 5 Project,
9/24 at 100.00
BBB
195,209
   
Series 2014, 5.250%, 9/01/34 (Alternative Minimum Tax)
      
1,000
  
Indiana Health Facility Financing Authority, Revenue Bonds, Community Hospitals of Indiana,
5/15 at 100.00
N/R (4)
1,016,230
   
Series 2005A, 5.000%, 5/01/35 (Pre-refunded 5/01/15) – AMBAC Insured
      
140
  
Indianapolis, Indiana, Thermal Energy System Revenue Bonds, Refunding First Lien Series 2014A,
10/24 at 100.00
A
162,037
   
5.000%, 10/01/31
      
255
  
Jasper County, Indiana, Pollution Control Revenue Refunding Bonds, Northern Indiana Public
No Opt. Call
AA–
288,374
   
Service Company Project, Series 1994A Remarketed, 5.850%, 4/01/19 – NPFG Insured
      
250
  
Lake County Building Corporation, Indiana, First Mortgage Bonds, Series 2012, 4.750%, 2/01/21
No Opt. Call
N/R
260,858
250
  
Vanderburgh County, Indiana, Redevelopment District Tax Increment Revenue bonds, Refunding
8/24 at 100.00
A
289,002
   
Series 2014, 5.000%, 2/01/29
      
695
  
Whiting, Indiana, Environmental Facilities Revenue Bonds, BP Products North America Inc.
No Opt. Call
A
693,791
   
Project, Series 2008, 1.850%, 6/01/44 (Mandatory put 10/01/19)
      
3,135
  
Total Indiana
    
3,293,189
   
Iowa – 0.7%
      
500
  
Ames, Iowa, Hospital Revenue Bonds, Mary Greeley Medical Center, Series 2011, 5.250%, 6/15/27
6/20 at 100.00
A2
558,890
335
  
Iowa Finance Authority, Iowa, Midwestern Disaster Area Revenue Bonds, Iowa Fertilizer Company
No Opt. Call
BB–
356,105
   
Project, Series 2013, 5.000%, 12/01/19
      
835
  
Total Iowa
    
914,995
   
Kansas – 0.2%
      
100
  
Wyandotte County/Kansas City Unified Government Board of Public Utilities, Kansas, Utility
No Opt. Call
A+
118,040
   
System Revenue Bonds, Refunding & Improvement Series 2014A, 5.000%, 9/01/22
      
145
  
Wyandotte County-Kansas City Unified Government, Kansas, Sales Tax Special Obligation Capital
No Opt. Call
A–
103,792
   
Appreciation Revenue Bonds Redevelopment Project Area B – Major Multi-Sport Athletic Complex
      
   
Project, Subordinate Lien Series 2010B, 0.000%, 6/01/21
      
245
  
Total Kansas
    
221,832
   
Kentucky – 1.3%
      
350
  
Kentucky Economic Development Finance Authority, Louisville Arena Project Revenue Bonds,
6/18 at 100.00
AA
378,483
   
Louisville Arena Authority, Inc., Series 2008-A1, 5.750%, 12/01/28 – AGC Insured
      
385
  
Kentucky Public Transportation Infrastructure Authority, First Tier Toll Revenue Bonds,
No Opt. Call
Baa3
421,575
   
Downtown Crossing Project, Series 2013A, 5.000%, 7/01/17
      
340
  
Lexington-Fayette Urban County Government Public Facilities Corporation, Kentucky State Lease
6/21 at 100.00
Aa3
388,498
   
Revenue Bonds, Eastern State Hospital Project, Series 2011A, 5.250%, 6/01/29
      
150
  
Louisville-Jefferson County Metropolitan Government, Kentucky, Environmental Facilities
No Opt. Call
A–
151,736
   
Revenue, Louisville Gas & Electric Company Project, Series 2007B, 1.600%, 6/01/33
      
   
(Mandatory put 6/01/17)
      
320
  
Louisville-Jefferson County Metropolitan Government, Kentucky, Pollution Control Revenue
No Opt. Call
A1
324,259
   
Bonds, Louisville Gas and Electric Company Project, Series 2003A, 1.650%, 10/01/33
      
   
(Mandatory put 4/03/17)
      
1,545
  
Total Kentucky
    
1,664,551
   
Louisiana – 0.9%
      
210
  
De Soto Parrish, Louisiana, Pollution Control Revenue Bonds, Southwestern Electric Power
No Opt. Call
BBB
208,732
   
Company Project, Refunding Series 2010, 1.600%, 1/01/19 (WI/DD, Settling 1/02/15)
      
55
  
Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006B,
6/16 at 100.00
A–
58,075
   
5.000%, 6/01/23 – AMBAC Insured
      
   
Louisiana Citizens Property Insurance Corporation, Assessment Revenue Bonds, Series 2006-C1:
      
155
  
5.875%, 6/01/23
6/18 at 100.00
AA
177,805
10
  
6.000%, 6/01/24
6/18 at 100.00
AA
11,513
260
  
Louisiana Public Facilities Authority, Revenue Bonds, Ochsner Clinic Foundation Project,
5/17 at 100.00
Baa1
272,925
   
Series 2007A, 5.250%, 5/15/38
      
385
  
Saint Charles Parish, Louisiana, Gulf Opportunity Zone Revenue Bonds, Valero Project, Series
No Opt. Call
BBB
419,130
   
2010, 4.000%, 12/01/40 (Mandatory put 6/01/22)
      
1,075
  
Total Louisiana
    
1,148,180
   
Maine – 0.0%
      
35
  
Portland, Maine, General Airport Revenue Bonds, Refunding Series 2013, 5.000%, 7/01/22
No Opt. Call
BBB+
40,331
   
Massachusetts – 1.7%
      
500
  
Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,
10/17 at 100.00
N/R
524,430
   
5.000%, 10/01/19
      
225
  
Massachusetts Development Finance Agency, Revenue Bonds, Roxbury Latin School, Series 2014A,
7/25 at 100.00
AA–
220,934
   
3.250%, 7/01/33
      
250
  
Massachusetts Development Finance Authority, Revenue Bonds, 100 Cambridge Street
3/15 at 100.00
AA–
250,280
   
Redevelopment, M/SRBC Project, Series 2002A, 5.125%, 2/01/34 – NPFG Insured
      
   
Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc., Series 2001A:
      
100
  
5.200%, 1/01/20 – AMBAC Insured (Alternative Minimum Tax)
1/15 at 100.00
N/R
100,139
470
  
5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)
1/15 at 100.00
N/R
470,061
550
  
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2005A,
8/15 at 100.00
AA (4)
566,533
   
5.000%, 8/15/30 (Pre-refunded 8/15/15)
      
   
Massachusetts School Building Authority, Dedicated Sales Tax Revenue Bonds, Series 2007A:
      
100
  
5.000%, 8/15/18 – AMBAC Insured
8/17 at 100.00
AA+
111,653
25
  
5.000%, 8/15/20 – AMBAC Insured
8/17 at 100.00
AA+
27,897
2,220
  
Total Massachusetts
    
2,271,927
   
Michigan – 2.8%
      
400
  
Detroit Downtown Development Authority, Michigan, Tax Increment Refunding Bonds, Development
No Opt. Call
BB
230,520
   
Area 1 Projects, Series 1996B, 0.000%, 7/01/23
      
155
  
Detroit, Michigan, General Obligation Bonds, Series 2001A-1, 5.375%, 4/01/18
10/15 at 100.00
A3
155,105
50
  
Detroit, Michigan, Second Lien Sewerage Disposal System Revenue Bonds, Series 2005A, 5.000%,
7/15 at 100.00
AA–
50,499
   
7/01/35 – NPFG Insured
      
150
  
Detroit, Michigan, Senior Lien Sewerage Disposal System Revenue Bonds, Series 2001B, 5.500%,
No Opt. Call
AA–
177,397
   
7/01/29 – FGIC Insured
      
845
  
Michigan Finance Authority, Detroit, Michigan, Local Government Loan Program, Unlimited Tax
10/15 at 100.00
A–
845,575
   
General Obligation Bonds, Series 2014G-2A, 5.375%, 4/01/18
      
100
  
Michigan Finance Authority, Local Government Loan Program Revenue Bonds, Detroit Water &
7/24 at 100.00
AA–
111,478
   
Sewerage Department Water Supply System Local Project, Series 2014C-7, 5.000%, 7/01/32 –
      
   
NPFG Insured
      
280
  
Michigan Finance Authority, Revenue Bonds, Detroit City School District, Series 2012,
No Opt. Call
A+
310,327
   
5.000%, 6/01/18
      
200
  
Michigan Finance Authority, Unemployment Obligation Assessment Revenue Bonds, Series 2012B,
7/16 at 100.00
AAA
213,576
   
5.000%, 7/01/22
      
1,000
  
Michigan Hospital Finance Authority, Revenue Bonds, Ascension Health Senior Credit Group,
No Opt. Call
AA+
1,016,030
   
Refunding and Project Series 2010F-5, 1.500%, 11/15/47 (Mandatory put 3/15/17)
      
500
  
Wayne County Airport Authority, Michigan, Revenue Bonds, Detroit Metropolitan Airport,
No Opt. Call
A
540,005
   
Refunding Series 2010C, 5.000%, 12/01/16
      
3,680
  
Total Michigan
    
3,650,512
   
Minnesota – 0.2%
      
260
  
Northern Municipal Power Agency, Minnesota, Electric System Revenue Bonds, Refunding Series
No Opt. Call
AA
260,000
   
2009A, 5.000%, 1/01/15 – AGC Insured
      
   
Mississippi – 0.5%
      
   
Mississippi Hospital Equipment and Facilities Authority, Revenue Bonds, Baptist Memorial
      
   
Healthcare, Series 2004B-1:
      
70
  
5.000%, 9/01/16
3/15 at 100.00
A
70,258
300
  
5.000%, 9/01/24
3/15 at 100.00
A
301,146
250
  
Warren County, Mississippi, Gulf Opportunity Zone Revenue Bonds, International Paper Company,
2/15 at 100.00
BBB
250,235
   
Series 2006A, 4.800%, 8/01/30
      
620
  
Total Mississippi
    
621,639
   
Missouri – 2.2%
      
   
Jackson County, Missouri, Special Obligation Bonds, Harry S. Truman Sports Complex, Series 2006:
      
170
  
4.500%, 12/01/25 (Pre-refunded 12/01/16) – AMBAC Insured
12/16 at 100.00
Aa3 (4)
182,784
90
  
5.000%, 12/01/26 (Pre-refunded 12/01/16) – AMBAC Insured
12/16 at 100.00
Aa3 (4)
97,625
160
  
5.000%, 12/01/27 (Pre-refunded 12/01/16) – AMBAC Insured
12/16 at 100.00
Aa3 (4)
173,555
210
  
5.000%, 12/01/28 (Pre-refunded 12/01/16) – AMBAC Insured
12/16 at 100.00
Aa3 (4)
228,001
405
  
4.500%, 12/01/31 (Pre-refunded 12/01/16) – AMBAC Insured
12/16 at 100.00
Aa3 (4)
435,456
25
  
Missouri Development Finance Board, Infrastructure Facilities Revenue Bonds, Branson Landing
6/15 at 100.00
A
25,389
   
Project, Series 2005A, 4.750%, 6/01/25
      
100
  
Missouri Health and Educational Facilities Authority, Educational Facilities Revenue Bonds,
5/23 at 100.00
BBB+
111,212
   
Saint Louis College of Pharmacy, Series 2013, 5.250%, 5/01/33
      
275
  
St. Louis County, Missouri, GNMA Collateralized Mortgage Revenue Bonds, Series 1989A, 8.125%,
3/20 at 100.00
AA+
321,854
   
8/01/20 (Alternative Minimum Tax)
      
1,070
  
St. Louis, Missouri, Airport Revenue Bonds, Lambert-St. Louis International Airport, Series
No Opt. Call
AA–
1,241,146
   
2005, 5.500%, 7/01/19 – NPFG Insured
      
2,505
  
Total Missouri
    
2,817,022
   
Montana – 0.3%
      
260
  
Billings, Montana, Tax Increment Urban Renewal Revenue Bonds, Expanded North 27th Street,
1/23 at 100.00
N/R
268,018
   
Series 2013A, 5.000%, 7/01/33
      
150
  
University of Montana, Revenue Bonds, Series 1996D, 5.375%, 5/15/19 – NPFG Insured (ETM)
3/15 at 100.00
AA– (4)
167,778
410
  
Total Montana
    
435,796
   
Nebraska – 0.1%
      
35
  
Douglas County Hospital Authority 2, Nebraska, Hospital Revenue Bonds, Madonna Rehabilitation
5/24 at 100.00
BBB+
35,741
   
Hospital Project, Series 2014, 4.000%, 5/15/33
      
100
  
Douglas County School District 10 Elkhorn, Nebraska, General Obligation Bonds, Public Schools
6/22 at 100.00
AA–
111,881
   
Series 2012, 4.000%, 6/15/23
      
135
  
Total Nebraska
    
147,622
   
Nevada – 2.1%
      
1,325
  
Clark County, Nevada, Airport Revenue Bonds, Subordinate Lien Series 2010B, 5.750%, 7/01/42
1/20 at 100.00
A+
1,555,139
250
  
Las Vegas Redevelopment Agency, Nevada, Tax Increment Revenue Bonds, Series 2009A,
6/19 at 100.00
BBB–
288,385
   
8.000%, 6/15/30
      
50
  
Las Vegas, Nevada, Special Improvement District 607 Providence, Local Improvement Refunding
No Opt. Call
N/R
54,174
   
Bonds, Series 2013, 5.000%, 6/01/22
      
775
  
Washoe County, Nevada, General Obligation Bonds, Reno-Sparks Convention & Visitors Authority,
7/21 at 100.00
AA
890,336
   
Refunding Series 2011, 5.000%, 7/01/23
      
2,400
  
Total Nevada
    
2,788,034
   
New Hampshire – 0.5%
      
600
  
New Hampshire Health and Education Facilities Authority, Hospital Revenue Bonds, Speare
7/15 at 100.00
N/R (4)
616,020
   
Memorial Hospital, Series 2004, 5.500%, 7/01/25 (Pre-refunded 7/01/15)
      
   
New Jersey – 5.5%
      
130
  
Bayonne Redevelopment Agency, New Jersey, Revenue Bonds, Royal Caribbean Cruises Project,
No Opt. Call
BB
131,219
   
Series 2006A, 4.750%, 11/01/16 (Alternative Minimum Tax)
      
   
New Jersey Economic Development Authority, Cigarette Tax Revenue Bonds, Series 2004:
      
70
  
5.375%, 6/15/15 – RAAI Insured (ETM)
No Opt. Call
Aaa
71,686
120
  
5.500%, 6/15/16 – RAAI Insured (ETM)
No Opt. Call
Aaa
128,972
   
New Jersey Economic Development Authority, Cigarette Tax Revenue Refunding Bonds, Series 2012:
      
150
  
4.000%, 6/15/19
No Opt. Call
BBB+
160,908
280
  
5.000%, 6/15/20
No Opt. Call
BBB+
315,787
300
  
5.000%, 6/15/21
No Opt. Call
BBB+
341,034
335
  
5.000%, 6/15/22
No Opt. Call
BBB+
383,652
350
  
5.000%, 6/15/23
6/22 at 100.00
BBB+
398,307
210
  
5.000%, 6/15/24
6/22 at 100.00
BBB+
236,964
500
  
5.000%, 6/15/25
6/22 at 100.00
BBB+
560,090
150
  
5.000%, 6/15/26
6/22 at 100.00
BBB+
167,154
100
  
4.250%, 6/15/27
6/22 at 100.00
BBB+
104,661
300
  
5.000%, 6/15/28
No Opt. Call
BBB+
332,937
220
  
New Jersey Economic Development Authority, Private Activity Bonds, The Goethals Bridge
1/24 at 100.00
BBB–
246,371
   
Replacement Project, Series 2013, 5.000%, 1/01/28 (Alternative Minimum Tax)
      
50
  
New Jersey Health Care Facilities Financing Authority, State Contract Bonds, Hospital Asset
10/18 at 100.00
A2
53,684
   
Transformation Program, Series 2008A, 5.250%, 10/01/38
      
1,730
  
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital
No Opt. Call
A2
722,483
   
Appreciation Series 2010A, 0.000%, 12/15/33
      
1,515
  
New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Series 2010D,
No Opt. Call
A2
1,737,114
   
5.000%, 12/15/23
      
320
  
New Jersey Turnpike Authority, Revenue Bonds, Series 2012B, 5.000%, 1/01/19
No Opt. Call
A+
365,398
170
  
Salem County Pollution Control Financing Authority, New Jersey, Pollution Control Revenue
No Opt. Call
BBB
192,035
   
Bonds, Chambers Project, Refunding Series 2014A, 5.000%, 12/01/23 (Alternative Minimum Tax)
      
250
  
South Jersey Port Corporation, New Jersey, Marine Terminal Revenue Refunding Bonds, Series
No Opt. Call
A2
258,063
   
2012Q, 3.000%, 1/01/22
      
   
Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,
      
   
Series 2007-1A:
      
200
  
4.500%, 6/01/23
6/17 at 100.00
BB
200,180
100
  
4.625%, 6/01/26
6/17 at 100.00
B+
92,931
7,550
  
Total New Jersey
    
7,201,630
   
New Mexico – 0.4%
      
490
  
New Mexico Municipal Energy Acquisition Authority, Gas Supply Revenue Bonds, Refunding
08/19 at 100.00
Aa3
561,148
   
Sub-Series 2014A, 5.000%, 11/01/39 (Mandatory put 8/01/19)
      
   
New York – 6.1%
      
220
  
Brooklyn Arena Local Development Corporation, New York, Payment in Lieu of Taxes Revenue
1/20 at 100.00
BBB–
256,579
   
Bonds, Barclays Center Project, Series 2009, 6.000%, 7/15/30
      
770
  
Dormitory Authority of the State of New York, Third General Resolution Revenue Bonds, State
5/22 at 100.00
AA
915,561
   
University Educational Facilities Issue, Series 2012A, 5.000%, 5/15/25
      
415
  
Hudson Yards Infrastructure Corporation, New York, Revenue Bonds, Senior Fiscal 2012 Series
2/21 at 100.00
A
480,313
   
2011A, 5.750%, 2/15/47
      
   
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2000A:
      
185
  
0.000%, 6/01/22 – AGM Insured
No Opt. Call
AA
157,559
55
  
0.000%, 6/01/24 – AGM Insured
No Opt. Call
AA
43,041
   
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006A:
      
145
  
4.000%, 12/01/16 – AGM Insured
No Opt. Call
AA
151,616
220
  
5.000%, 12/01/26 – SYNCORA GTY Insured
6/16 at 100.00
A–
232,008
   
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006B:
      
25
  
5.000%, 12/01/35 – AGM Insured
6/16 at 100.00
AA
26,360
190
  
5.000%, 12/01/35
6/16 at 100.00
A–
200,085
400
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006C,
9/16 at 100.00
A–
424,508
   
5.000%, 9/01/35
      
405
  
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006D,
9/16 at 100.00
AA–
430,033
   
5.000%, 9/01/25 – NPFG Insured
      
   
Long Island Power Authority, New York, Electric System General Revenue Bonds, Series 2006E:
      
205
  
5.000%, 12/01/17 – FGIC Insured
12/16 at 100.00
AA–
221,773
435
  
5.000%, 12/01/18 – NPFG Insured
12/16 at 100.00
AA–
470,157
10
  
4.000%, 12/01/18 – NPFG Insured
No Opt. Call
AA–
10,452
210
  
5.000%, 12/01/21 – FGIC Insured
12/16 at 100.00
AA–
226,218
220
  
5.000%, 12/01/22 – FGIC Insured
12/16 at 100.00
AA–
236,423
190
  
Long Island Power Authority, New York, Electric System Revenue Bonds, Series 2006F, 5.000%,
11/16 at 100.00
AA–
204,573
   
5/01/19 – NPFG Insured
      
1,000
  
New York State Thruway Authority, General Revenue Junior Indebtedness Obligations, Series
No Opt. Call
A–
1,149,110
   
2013A, 5.000%, 5/01/19
      
   
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and
      
   
State Contingency Contract-Backed Bonds, Series 2011B:
      
360
  
5.000%, 6/01/17
No Opt. Call
AA
396,889
565
  
5.000%, 6/01/18
No Opt. Call
AA
639,088
   
New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and
      
   
State Contingency Contract-Backed Bonds, Series 2013B:
      
100
  
5.000%, 6/01/20
6/15 at 100.00
AA
101,947
260
  
5.000%, 6/01/21
6/16 at 100.00
AA
276,429
220
  
5.000%, 6/01/22
6/17 at 100.00
AA
240,711
400
  
Triborough Bridge and Tunnel Authority, New York, General Purpose Revenue Bonds, Refunding
No Opt. Call
AA–
483,648
   
Series 2013B, 5.000%, 11/15/21
      
7,205
  
Total New York
    
7,975,081
   
North Dakota – 0.7%
      
   
Burleigh County, North Dakota, Health Care Revenue Bonds, Saint Alexius Medical Center
      
   
Project, Series 2014A:
      
200
  
5.000%, 7/01/29
7/21 at 100.00
BBB+
220,236
650
  
5.000%, 7/01/31
7/21 at 100.00
BBB+
713,375
850
  
Total North Dakota
    
933,611
   
Ohio – 4.0%
      
45
  
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
No Opt. Call
A1
48,482
   
Bonds, Senior Lien, Series 2007A-1, 5.000%, 6/01/17
      
1,325
  
Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue
6/17 at 100.00
B–
1,120,738
   
Bonds, Senior Lien, Series 2007A-2, 5.125%, 6/01/24
      
480
  
Fairfield County, Ohio, Hospital Facilities Revenue Bonds, Fairfield Medical Center Project,
6/23 at 100.00
Baa2
517,354
   
Series 2013, 5.000%, 6/15/43
      
250
  
Lake County, Ohio, Hospital Facilities Revenue Bonds, Lake Hospital System, Inc., Refunding
8/18 at 100.00
A3
277,945
   
Series 2008C, 5.500%, 8/15/24
      
   
New Albany Community Authority, Ohio, Community Facilities Revenue Refunding Bonds,
      
   
Series 2012C:
      
25
  
4.000%, 10/01/18
No Opt. Call
A1
27,037
30
  
4.000%, 10/01/19
No Opt. Call
A1
32,712
40
  
4.000%, 10/01/20
No Opt. Call
A1
43,839
45
  
5.000%, 10/01/21
No Opt. Call
A1
52,181
35
  
5.000%, 10/01/22
No Opt. Call
A1
40,954
175
  
Ohio Air Quality Development Authority, Ohio, Pollution Control Revenue Refunding Bonds,
No Opt. Call
BBB–
185,374
   
FirstEnergy Generation Corp. Project, Series 2006A, 3.750%, 12/01/23 (Mandatory put 12/03/18)
      
100
  
Ohio Air Quality Development Authority, Ohio, Pollution Control Revenue Refunding Bonds,
No Opt. Call
BBB–
102,618
   
FirstEnergy Generation Corp. Project, Series 2009B, 3.100%, 3/01/23 (Mandatory put 3/01/19)
      
2,000
  
Ohio Turnpike Commission, Turnpike Revenue Bonds, Infrastructure Projects, Junior Lien
2/31 at 100.00
A+
1,667,680
   
Convertible Series 2013A-3, 0.000%, 2/15/34
      
150
  
Rocky River City School District, Ohio, General Obligation School Improvement Bonds, Refunding
12/23 at 100.00
Aa2
145,899
   
Series 2014, 3.250%, 12/01/35
      
1,000
  
Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004B,
No Opt. Call
A
1,032,210
   
4.500%, 12/01/15
      
5,700
  
Total Ohio
    
5,295,023
   
Oklahoma – 0.8%
      
1,000
  
Oklahoma Capitol Improvement Authority, State Facilities Revenue Bonds, Series 2005F, 5.000%,
7/15 at 100.00
AA (4)
1,024,310
   
7/01/27 (Pre-refunded 7/01/15) – AMBAC Insured
      
   
Pennsylvania – 8.1%
      
935
  
Beaver County Industrial Development Authority, Pennsylvania, Pollution Control Revenue
No Opt. Call
BBB–
953,298
   
Refunding Bonds, FirstEnergy Nuclear Generation Project, Series 2006B, 2.500%, 12/01/41
      
   
(Mandatory put 6/01/17)
      
100
  
Cumberland County Municipal Authority, Pennsylvania, Revenue Bonds, Presbyterian Homes Inc.,
No Opt. Call
BBB+
102,995
   
Refunding Series 2005A, 5.000%, 12/01/15 – RAAI Insured
      
200
  
Luzerne County Industrial Development Authority, Pennsylvania, Guaranteed Lease Revenue Bonds,
12/19 at 100.00
N/R
208,118
   
Series 2009, 7.750%, 12/15/27
      
10
  
Montgomery County Higher Education and Health Authority, Pennsylvania, Hospital Revenue Bonds,
No Opt. Call
A
10,946
   
Abington Memorial Hospital Obligated Group, Series 2009A, 5.000%, 6/01/17
      
205
  
Pennsylvania Economic Development Financing Authority, Health System Revenue Bonds , Albert
10/19 at 100.00
BBB+
239,395
   
Einstein Healthcare, Series 2009A, 6.250%, 10/15/23
      
500
  
Pennsylvania Economic Development Financing Authority, Parking System Revenue Bonds, Capitol
1/24 at 100.00
AA
606,525
   
Region Parking System, Junior Guaranteed Series 2013B, 5.500%, 1/01/27
      
250
  
Pennsylvania Economic Development Financing Authority, Parking System Revenue Bonds, Capitol
1/24 at 100.00
AA
305,040
   
Region Parking System, Junior Insured Series 2013C, 5.500%, 1/01/26 – AGM Insured
      
225
  
Pennsylvania Economic Development Financing Authority, Unemployment Compensation Revenue
7/17 at 100.00
Aaa
248,742
   
Bonds, Series 2012B, 5.000%, 1/01/22
      
180
  
Pennsylvania Higher Educational Facilities Authority, College Revenue Bonds, Ninth Series
No Opt. Call
Aaa
186,700
   
1976, 7.625%, 7/01/15 (ETM)
      
225
  
Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, University of the Arts,
3/15 at 100.00
N/R (4)
249,748
   
Series 1999, 5.150%, 3/15/20 – RAAI Insured (ETM)
      
125
  
Pennsylvania Public School Building Authority, Lease Revenue Bonds, School District of
12/16 at 100.00
AA
129,185
   
Philadelphia, Series 2006B, 4.500%, 6/01/32 – AGM Insured
      
580
  
Pennsylvania Turnpike Commission, Motor License Fund-Enhanced Subordinate Special Revenue
12/20 at 100.00
AA–
616,122
   
Bonds, Series 2010A, 0.000%, 12/01/34
      
4,120
  
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Eighteenth Series 2004, 5.000%, 8/01/15 –
3/15 at 100.00
A–
4,135,368
   
AMBAC Insured
      
1,020
  
Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Twelfth Series 1990B, 7.000%, 5/15/20 –
No Opt. Call
AA– (4)
1,191,554
   
NPFG Insured (ETM)
      
885
  
St. Mary Hospital Authority, Pennsylvania, Health System Revenue Bonds, Catholic Health East,
5/19 at 100.00
Aa2
1,030,591
   
Series 2009D, 6.250%, 11/15/34
      
330
  
Union County Hospital Authority, Pennsylvania, Hospital Revenue Bonds, Evangelical Community
No Opt. Call
BBB+
375,444
   
Hospital Project, Refunding and Improvement Series 2011, 5.750%, 8/01/21
      
9,890
  
Total Pennsylvania
    
10,589,771
   
Puerto Rico – 0.4%
      
20
  
Puerto Rico Highway and Transportation Authority, Highway Revenue Bonds, Series 2007N, 0.000%,
No Opt. Call
Caa1
15,798
   
7/01/19 – AMBAC Insured
      
500
  
Puerto Rico Industrial, Tourist, Educational, Medical and Environmental Control Facilities
No Opt. Call
BBB–
432,690
   
Financing Authority, Higher Education Revenue Bonds, Ana G. Mendez University System Project,
      
   
Refunding Series 2012, 5.000%, 4/01/27
      
520
  
Total Puerto Rico
    
448,488
   
Rhode Island – 1.3%
      
200
  
Rhode Island Health and Educational Building Corporation, Revenue Bonds, Care New England
9/23 at 100.00
BBB
221,470
   
Health System, Series 2013A, 5.500%, 9/01/28
      
   
Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds,
      
   
Series 2002A:
      
430
  
6.125%, 6/01/32
3/15 at 100.00
BBB+
431,719
1,025
  
6.250%, 6/01/42
3/15 at 100.00
BBB–
1,027,552
1,655
  
Total Rhode Island
    
1,680,741
   
South Carolina – 4.6%
      
515
  
Greenville County School District, South Carolina, Installment Purchase Revenue Bonds, Series
12/16 at 100.00
AA
556,622
   
2006, 5.000%, 12/01/24
      
1,540
  
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,
No Opt. Call
A3 (4)
1,873,841
   
1/01/19 – FGIC Insured (ETM)
      
3,035
  
Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,
No Opt. Call
A3
3,639,268
   
1/01/19 – FGIC Insured
      
5,090
  
Total South Carolina
    
6,069,731
   
South Dakota – 0.8%
      
1,000
  
South Dakota Health and Educational Facilities Authority, Revenue Bonds, Sanford Health,
5/17 at 100.00
A+
1,054,310
   
Series 2007, 5.000%, 11/01/27
      
   
Tennessee – 0.3%
      
   
Knox County Health, Educational and Housing Facility Board, Tennessee, Hospital Revenue
      
   
Refunding Bonds, Covenant Health, Series 2012A:
      
100
  
4.000%, 1/01/22
No Opt. Call
A
110,593
180
  
5.000%, 1/01/23
No Opt. Call
A
212,589
280
  
Total Tennessee
    
323,182
   
Texas – 9.6%
      
550
  
Bexar County Housing Finance Corporation, Texas, FNMA Guaranteed Multifamily Housing Revenue
No Opt. Call
N/R
559,455
   
Bonds, Villas Sonterra Apartments Project, Series 2007A, 4.700%, 10/01/15 (Alternative
      
   
Minimum Tax)
      
   
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding
      
   
Series 2007:
      
130
  
5.000%, 5/01/23 – SYNCORA GTY Insured
5/17 at 100.00
A+
142,233
15
  
5.000%, 5/01/24 – SYNCORA GTY Insured
5/17 at 100.00
A+
16,401
40
  
5.000%, 5/01/25 – SYNCORA GTY Insured
5/17 at 100.00
A+
43,657
10
  
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Refunding Series
5/20 at 100.00
A+
11,591
   
2010, 5.875%, 5/01/40
      
135
  
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Bonds, Series 2006,
5/16 at 100.00
AA–
141,485
   
4.500%, 5/01/25 – NPFG Insured
      
   
Bexar Metropolitan Water District, Texas, Waterworks System Revenue Refunding Bonds,
      
   
Series 2009:
      
35
  
5.000%, 5/01/29
5/19 at 100.00
A+
38,345
115
  
5.000%, 5/01/39
5/19 at 100.00
A+
124,456
25
  
Brazos River Authority, Texas, Collateralized Pollution Control Revenue Bonds, Texas Utilities
3/15 at 100.00
C
1,250
   
Electric Company, Series 2003D, 5.400%, 10/01/29 (Mandatory put 10/01/15) (5)
      
525
  
Central Texas Regional Mobility Authority, Revenue Bonds, Senior Lien Series 2011,
1/21 at 100.00
BBB
613,657
   
6.250%, 1/01/46
      
1,875
  
Denton Independent School District, Denton County, Texas, General Obligation Bonds, Series
8/16 at 100.00
AAA
2,015,044
   
2006, 5.000%, 8/15/20 (Pre-refunded 8/15/16)
      
155
  
Harris County-Houston Sports Authority, Texas, Revenue Bonds, Refunding Second Lien Series
No Opt. Call
A3
180,129
   
2014C, 5.000%, 11/15/24
      
395
  
Harris County-Houston Sports Authority, Texas, Revenue Bonds, Refunding Senior Lien Series
11/24 at 100.00
AA
468,510
   
2014A, 5.000%, 11/15/26 – AGM Insured
      
35
  
Houston, Texas, Airport System Special Facilities Revenue Bonds, United Airlines, Inc.
7/24 at 100.00
B
37,486
   
Terminal E Project, Refunding Series 2014, 5.000%, 7/01/29 (Alternative Minimum Tax)
      
1,000
  
Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment
9/16 at 100.00
A2
1,069,280
   
Facilities Department, Refunding Series 2011B, 5.250%, 9/01/25
      
500
  
Houston, Texas, Hotel Occupancy Tax and Special Revenue Bonds, Convention and Entertainment
No Opt. Call
A2
367,320
   
Project, Series 2001B, 0.000%, 9/01/23 – AMBAC Insured
      
300
  
Kerrville Health Facilities Development Corporation, Texas, Revenue Bonds, Sid Peterson
2/16 at 100.00
BBB
304,632
   
Memorial Hospital Project, Series 2005, 5.125%, 8/15/26
      
200
  
Love Field Airport Modernization Corporation, Texas, Special Facilities Revenue Bonds,
11/20 at 100.00
BBB
215,904
   
Southwest Airlines Company, Series 2010, 5.250%, 11/01/40
      
   
McCamey County Hospital District, Texas, General Obligation Bonds, Series 2013:
      
100
  
5.000%, 12/01/25
No Opt. Call
Baa2
108,966
100
  
5.250%, 12/01/28
12/25 at 100.00
Baa2
111,434
   
North Central Texas Health Facilities Development Corporation, Texas, Revenue Bonds,
      
   
Children’s Medical Center Dallas Project, Series 2012:
      
400
  
5.000%, 8/15/24
8/22 at 100.00
Aa2
466,660
380
  
5.000%, 8/15/25
8/22 at 100.00
Aa2
440,652
750
  
North Texas Tollway Authority, Special Projects System Revenue Bonds, Current Interest Series
9/21 at 100.00
AA+
895,170
   
2011D, 5.000%, 9/01/24
      
   
North Texas Tollway Authority, Special Projects System Revenue Bonds, Series 2011A:
      
100
  
0.000%, 9/01/43
9/31 at 100.00
AA+
92,397
490
  
0.000%, 9/01/45
9/31 at 100.00
AA+
496,796
455
  
North Texas Tollway Authority, System Revenue Bonds, Refunding First Tier, Series 2014A,
No Opt. Call
A2
544,485
   
5.000%, 1/01/23
      
2,155
  
North Texas Tollway Authority, System Revenue Bonds, Refunding Second Tier, Series 2008F,
1/18 at 100.00
A3
2,381,534
   
5.750%, 1/01/38
      
665
  
Texas Municipal Gas Acquisition and Supply Corporation I, Gas Supply Revenue Bonds, Series
3/15 at 100.00
A–
663,909
   
2006B, 0.710%, 12/15/17
      
100
  
Texas Municipal Gas Acquisition and Supply Corporation III, Gas Supply Revenue Bonds, Series
No Opt. Call
A3
109,319
   
2012, 5.000%, 12/15/32
      
11,735
  
Total Texas
    
12,662,157
   
Virgin Islands – 0.4%
      
525
  
Virgin Islands Public Finance Authority, Matching Fund Loan Notes Revenue Bonds, Senior Lien
10/20 at 100.00
BBB
577,580
   
Series 2010A, 5.000%, 10/01/29
      
   
Virginia – 0.6%
      
250
  
Virginia College Building Authority, Educational Facilities Revenue Refunding Bonds, Marymount
1/15 at 100.00
N/R
250,678
   
University, Series 1998, 5.100%, 7/01/18 – RAAI Insured
      
500
  
Virginia Small Business Financing Authority, Senior Lien Revenue Bonds, Elizabeth River
7/22 at 100.00
BBB–
546,830
   
Crossing, Opco LLC Project, Series 2012, 5.500%, 1/01/42 (Alternative Minimum Tax)
      
750
  
Total Virginia
    
797,508
   
Washington – 1.7%
      
1,050
  
Washington Health Care Facilities Authority, Revenue Bonds, Fred Hutchinson Cancer Research
1/21 at 100.00
A
1,146,810
   
Center, Series 2011A, 5.375%, 1/01/31
      
390
  
Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series
No Opt. Call
Aa1
429,090
   
1989B, 7.125%, 7/01/16 – NPFG Insured
      
585
  
Whidbey Island Public Hospital District, Island County, Washington, General Obligation Bonds,
12/22 at 100.00
A2
673,569
   
Whidbey General Series 2013, 5.500%, 12/01/33
      
2,025
  
Total Washington
    
2,249,469
   
Wisconsin – 3.7%
      
   
University of Wisconsin Hospitals and Clinics Authority, Revenue Bonds, Refunding Series 2013A:
      
755
  
4.000%, 4/01/20
No Opt. Call
Aa3
850,349
15
  
5.000%, 4/01/22
No Opt. Call
Aa3
17,850
25
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
4/15 at 100.00
A
25,209
   
Inc., Series 2010A, 5.625%, 4/15/33
      
325
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
No Opt. Call
A
367,474
   
Inc., Series 2010B, 5.000%, 7/15/20
      
675
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care,
7/21 at 100.00
A
754,717
   
Inc., Series 2012A, 5.000%, 7/15/25
      
30
  
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Ministry Health Care,
No Opt. Call
AA
33,207
   
Inc., Refunding 2012C, 5.000%, 8/15/17
      
   
Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan
      
   
Healthcare System, Series 2006A:
      
500
  
5.250%, 8/15/18
8/16 at 100.00
A–
534,290
180
  
5.250%, 8/15/34
8/16 at 100.00
A–
187,276
1,500
  
Wisconsin Health and Educational Facilities Authority, Wisconsin, Revenue Bonds, ThedaCare
12/24 at 100.00
AA–
1,768,275
   
Inc, Series 2015, 5.000%, 12/15/26 (WI/DD, Settling 1/07/15)
      
   
Wisconsin State, General Fund Annual Appropriation Revenue Bonds, Refunding Series 2009A:
      
35
  
5.000%, 5/01/21
5/19 at 100.00
AA–
40,419
35
  
5.375%, 5/01/25
5/19 at 100.00
AA–
40,729
40
  
5.625%, 5/01/28
5/19 at 100.00
AA–
47,158
125
  
6.000%, 5/01/33
5/19 at 100.00
AA–
149,065
4,240
  
Total Wisconsin
    
4,816,018
$ 125,615
  
Total Municipal Bonds (cost $123,059,828)
    
130,891,433
             
Principal
            
Amount (000)
  
Description (1)
Coupon
Maturity
Ratings (3)
Value
   
CORPORATE BONDS – 0.0%
        
             
   
Transportation – 0.0%
        
$ 16
  
Las Vegas Monorail Company, Senior Interest Bonds (6), (7)
5.500%
7/15/19
N/R
$ 2,945
5
  
Las Vegas Monorail Company, Senior Interest Bonds (6), (7)
3.000%
7/15/55
N/R
590
$ 21
  
Total Corporate Bonds (cost $1,655)
      
3,535
   
Total Long-Term Investments (cost $123,061,483)
      
130,894,968
           
Principal
    
Optional Call
    
Amount (000)
  
Description (1)
Provisions (2)
Ratings (3)
Value
   
SHORT-TERM INVESTMENTS – 0.2%
      
           
   
MUNICIPAL BONDS – 0.2%
      
           
   
California – 0.2%
      
$ 100
  
California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity
No Opt. Call
N/R
$ 101,254
   
Health System, Series 2014A, 6.000%, 7/10/15 (6)
      
100
  
California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity
No Opt. Call
N/R
101,254
   
Health System, Series 2014B, 6.000%, 7/10/15 (6)
      
100
  
California Statewide Community Development Authority, Revenue Bonds, Daughters of Charity
No Opt. Call
N/R
101,254
   
Health System, Series 2014C, 6.000%, 7/10/15 (6)
      
$ 300
  
Total Short-Term Investments (cost $300,000)
    
303,762
   
Total Investments (cost $123,361,483) – 99.7%
    
131,198,730
   
Other Assets Less Liabilities – 0.3%
    
337,339
   
Net Assets – 100%
    
$ 131,536,069
 
 
 
 
 
 
 
Fair Value Measurements
 
Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
 
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
 
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
Level 3 – Prices are determined using significant unobservable inputs (including management's assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund's fair value measurements as of the end of the reporting period:
         
 
Level 1
Level 2
Level 3
Total
Long-Term Investments:
        
Municipal Bonds
$ —
$130,891,433
$ —
$130,891,433
Corporate Bonds
—
—
3,535
3,535
Short-Term Investments
        
Municipal Bonds
—
—
303,762
303,762
Total
$ —
$130,891,433
$307,297
$131,198,730
 
Income Tax Information
 
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
 
As of December 31, 2014, the cost of investments was $123,134,206.
 
Gross unrealized appreciation and gross unrealized depreciation of investments as of December 31, 2014, were as follows:
   
Gross unrealized:
  
Appreciation
$8,263,364
Depreciation
(198,840)
Net unrealized appreciation (depreciation) of investments
$8,064,524
     
(1)
  
All percentages shown in the Portfolio of Investments are based on net assets.
(2)
  
Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption.
   
There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities
   
may be subject to periodic principal paydowns.
(3)
  
Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service,
   
Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or
   
BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any
   
of these national rating agencies.
(4)
  
Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities,
   
which ensure the timely payment of principal and interest. Certain bonds backed by U.S. Government or
   
agency securities are regarded as having an implied rating equal to the rating of such securities.
(5)
  
At or subsequent to the end of the reporting period, this security is non-income producing. Non-income
   
producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the
   
payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the
   
Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and
   
has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(6)
  
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the
   
Board. For fair value measurement disclosure purposes, investment classified as Level 3.
(7)
  
During January 2010, Las Vegas Monorail Company (“Las Vegas Monorail”) filed for federal bankruptcy
   
protection. During March 2012, Las Vegas Monorail emerged from federal bankruptcy with the acceptance
   
of a reorganization plan assigned by the Federal Bankruptcy Court. Under the reorganization plan, the
   
Fund surrendered its Las Vegas Monorail Project Revenue Bonds, First Tier, Series 2000 and in turn
   
received two senior interest corporate bonds: the first with an annual coupon rate of 5.500% maturing on
   
July 15, 2019 and the second with an annual coupon rate of 3.000% (5.500% after December 31, 2015)
   
maturing on July 15, 2055. The Fund’s custodian is not accruing income on the Fund’s records for either
   
senior interest corporate bond.
WI/DD
  
Investment, or portion of investment, purchased on a when-issued or delayed delivery basis.
(ETM)
  
Escrowed to maturity.
 
 
 
 
 
 
Item 2. Controls and Procedures.

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

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

 
 
 
 
 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
(Registrant)  Nuveen Select Maturities Municipal Fund 
 
By (Signature and Title)     /s/ Kevin J. McCarthy                    
                                                   Kevin J. McCarthy
                                                   Vice President and Secretary
 
Date:         February 27, 2015        
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
By (Signature and Title)     /s/ Gifford R. Zimmerman                    
                                                    Gifford R. Zimmerman
                                                  Chief Administrative Officer (principal executive officer) 
 
Date:         February 27, 2015        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date:         February 27, 2015