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
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Nuveen Select Maturities Municipal Fund
------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(Address of principal executive offices) (Zip code)
Jessica R. Droeger
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(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, 2003
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Date of reporting period: September 30, 2003
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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.
Nuveen
Investments
Municipal Closed-End
Exchange-Traded
Funds
SEMIANNUAL REPORT September 30, 2003
NUVEEN SELECT
MATURITIES
MUNICIPAL FUND
NIM
Photo of: Man holding up child.
Photo of: 2 women and 2 children looking at seashells.
DEPENDABLE,
TAX-FREE INCOME
BECAUSE
IT'S NOT WHAT YOU EARN,
IT'S WHAT YOU KEEP.(R)
Logo: NUVEEN Investments
FASTER INFORMATION
RECEIVE YOUR
NUVEEN FUND REPORT
ELECTRONICALLY
By registering for electronic delivery, you will receive an e-mail as soon as
your Nuveen Fund information is available. Click on the link and you will be
taken directly to the report. Your Fund report can be viewed and saved on your
computer. Your report will arrive faster via e-mail than by traditional mail.
Registering is easy and only takes a few minutes (see instructions at right).
--------------------------------------------------------------------------------
SOME COMMON CONCERNS:
WILL MY E-MAIL ADDRESS BE DISTRIBUTED TO OTHER COMPANIES?
No, your e-mail address is strictly confidential and will not be used for
anything other than notification of shareholder information.
WHAT IF I CHANGE MY MIND AND WANT TO RECEIVE INVESTOR MATERIALS THROUGH REGULAR
MAIL DELIVERY AGAIN?
If you decide you do not like receiving your reports electronically, it's a
simple process to go back to regular mail delivery.
--------------------------------------------------------------------------------
IF YOUR NUVEEN FUND DIVIDENDS AND STATEMENTS
COME FROM YOUR FINANCIAL ADVISOR OR BROKERAGE ACCOUNT,
FOLLOW THE STEPS OUTLINED BELOW:
1 Go to WWW.INVESTORDELIVERY.COM
2 Refer to the address sheet that accompanied this report. Enter the personal
13-CHARACTER ENROLLMENT NUMBER imprinted near your name.
3 You'll be taken to a page with several options. Select the NEW
ENROLLMENT-CREATE screen. Once there, enter your e-mail address (e.g.
yourID@providerID.com), and a personal, 4-digit PIN number of your choice.
(Pick a number that's easy to remember.)
4 Click Submit. Confirm the information you just entered is correct, then
click Submit again.
5 You should get a confirmation e-mail within 24 hours. If you do not, go
back through these steps to make sure all the information is correct.
6 Use this same process if you need to change your registration information
or cancel internet viewing.
IF YOUR NUVEEN FUND DIVIDENDS AND STATEMENTS
COME DIRECTLY TO YOU FROM NUVEEN,
FOLLOW THE STEPS OUTLINED BELOW:
1 Go to WWW.NUVEEN.COM
2 Select ACCESS YOUR ACCOUNT. Select the E-REPORT ENROLLMENT section. Click
on Enrollment Today.
3 You'll be taken to a screen that asks for your Social Security number and
e-mail address. Fill in this information, then click Enroll.
4 You should get a confirmation e-mail within 24 hours. If you do not, go
back through these steps to make sure all the information is correct.
5 Use this same process if you need to change your registration information
or cancel internet viewing.
Logo: NUVEEN Investments
Photo: Timothy R. Schwertfeger
Chairman of the Board
Sidebar text: WE THINK YOUR NUVEEN FUND CAN BE AN IMPORTANT BUILDING BLOCK IN A
PORTFOLIO DESIGNED TO PERFORM WELL THROUGH A VARIETY OF MARKET CONDITIONS.
Dear
SHAREHOLDER
I am very pleased to report that for the six-month period ended September 30,
2003, your Nuveen Fund continued to provide you with attractive monthly tax-
free income.
Your Nuveen Fund is managed with a value investing strategy that puts an
emphasis on finding securities that we think are undervalued or underrated. We
believe that there are always some municipal bonds that the market is not
properly valuing, and that by using a consistent, research-oriented management
approach we have the opportunity to find them for your Fund.
We think this is true even with interest rates at the relatively low levels
we've seen over much of the past year. In this low-rate environment, many have
begun to wonder whether interest rates will soon start to rise, and whether that
possibility should cause them to adjust their holdings of fixed-income
investments. We believe that by constructing a carefully balanced portfolio with
the help of a trusted investment professional you may be able to reduce your
overall investment risk and give yourself a better chance to meet your financial
goals. We think that municipal bond investments like your Nuveen Fund can be
important building blocks in a portfolio designed to perform well through a
variety of market conditions.
Since 1898, Nuveen Investments has offered financial products and solutions that
incorporate careful research, diversification, and the application of
conservative risk-management principles. We are grateful that you have chosen us
as a partner as you pursue your financial goals. We look forward to continuing
to earn your trust in the months and years ahead.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
November 15, 2003
1
Nuveen Select Maturities Municipal Fund
(NIM)
Portfolio Manager's
COMMENTS
Portfolio manager John Miller reviews economic and market conditions, key
investment strategies, and the Fund's recent performance. With nine years of
municipal market experience, John has managed NIM since 2001.
WHAT FACTORS AFFECTED THE U.S. ECONOMY AND MUNICIPAL MARKET DURING THE 12-MONTH
PERIOD ENDED SEPTEMBER 30, 2003?
Over the 12-month period, the two greatest influences on the general economy and
the municipal market continued to be historically low interest rates and the
slow pace of economic improvement. In June 2003, the Federal Reserve cut the fed
funds rate to 1%, the lowest level since 1958. Much of the recent concern about
economic recovery centered on the weak labor market--as of September 2003, U.S.
unemployment was 6.1%, up from 5.7% 12 months earlier. At the same time,
inflation remained dormant, with the 12-month advance in the core rate dropping
to 1.2% in September.
The slow rate of economic recovery, low interest rates, and lack of inflationary
pressures helped many municipal bonds perform well over the majority of this
reporting period. During the summer of 2003, however, stronger-than-expected
economic data temporarily precipitated a spike in bond yields and a
corresponding drop in bond prices that impacted overall results across all
fixed-income markets, for the 12-month period ended September 30, 2003. One
barometer of the recent volatility in the bond markets was the yield on the
benchmark 10-year U.S. Treasury, which jumped almost 150 basis points from a
45-year low of 3.10% in mid-June to a 13-month high of 4.59% in mid-August.
During January-September 2003, municipal supply nationally remained robust, with
$287 billion in new bonds--up 13% over the same period in 2002.
HOW DID NIM PERFORM OVER THIS 12-MONTH PERIOD?
Results for this Fund, as well as relevant benchmarks, are presented in the
accompanying table.
TOTAL RETURN LEHMAN LIPPER
MARKET YIELD ON NAV TOTAL RETURN1 AVERAGE2
------------------------------------------------------------------------
1 YEAR 1 YEAR 1 YEAR
TAXABLE- ENDED ENDED ENDED
9/30/03 EQUIVALENT3 9/30/03 9/30/03 9/30/03
------------------------------------------------------------------------
NIM 5.10% 7.08% 2.40% 4.71% 3.35%
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Past performance is not predictive of future results.
For additional information, see the individual Performance Overview for your
Fund in this report.
For the 12 months ended September 30, 2003, the performance of NIM lagged that
of both the Lehman Brothers 7-Year Municipal Bond Index and the Fund's Lipper
peer group. The majority of the underperformance can be attributed to a few
specific holdings within the Fund.
The price movement of specific sectors and holdings also had a negative impact
on the Fund's
1 The total annual return on common share net asset value (NAV) for NIM is
compared with the total annual return of the Lehman Brothers 7-Year Municipal
Bond Index, an unleveraged, unmanaged index comprising a broad range of
investment-grade municipal bonds with maturities ranging from six to eight
years. Results for the Lehman index do not reflect any expenses.
2 The total return for NIM is compared with the average annualized return of the
nine funds in the Lipper General and Insured Unleveraged Municipal Debt Funds
category. Fund and Lipper returns assume reinvestment of dividends.
3 Taxable-equivalent yield represents the yield that must be earned on a taxable
investment, other than an investment that generates qualified dividend income
that is taxable at the maximum rate of 15%, in order to equal the yield of the
Nuveen Fund on an after-tax basis. It is calculated using the current yield
and a federal income tax rate of 28%.
2
performance during this period. For example, at the beginning of this period,
NIM held $4.5 million par value in bonds issued for a maintenance facility at
Tulsa Municipal Airport and backed by American Airlines. These bonds depreciated
significantly over the past two years as American and most other airlines
struggled with the economic downturn and the aftermath of September 11, 2001.
Although we liquidated NIM's position as of March 2003, the depreciation of the
American bonds cost the Fund approximately 80 basis points in total return
performance over this period.
NIM also held approximately 5% of its portfolio in tobacco bonds. Over the past
year, the prices of tobacco bonds weakened. In July 2003, the credit ratings on
most tobacco bonds were downgraded to BBB, and the sector as a whole produced
negative results for the 12 months ended September 30, 2003, costing NIM
approximately 30 basis points in performance for this period. Recently, however,
these bonds have shown some recovery. Following an in-depth analysis of the
tobacco sector, we believe that ongoing litigation will not affect the long-term
quality and value provided by the tobacco settlement bonds.
Other holdings that impacted NIM's performance over the past 12 months included
$5 million par in bonds issued for CanFibre of Lackawanna in New York and $1.2
million par in bonds issued for Winslow Memorial Hospital in Arizona. Although
we closed out NIMposition in the CanFibre bonds in February 2003, the decline in
those bonds over the previous five months cost the Fund an additional 30 basis
points in performance. The Fund maintained its investment in Winslow Memorial
Hospital, which depreciated in value as the hospital experienced financial and
management difficulties, costing NIM 18 basis points over this reporting period.
With new management in place, Winslow is currently working to resolve problems
and achieve a potential turnaround. NIM's 27% weighting in BBB and non-rated
bonds also contributed to its lag in performance over this period, as higher
quality bonds performed better in the market.
HOW DID THE MARKET ENVIRONMENT AFFECT THE FUND'S DIVIDENDS AND SHARE PRICES?
Due to the sale of distressed credits as previously discussed, as well as a
number of bond calls over the 12 month period, NIM was faced with reinvesting a
substantial amount of proceeds from higher-coupon bonds into a market where
short-term interest rates remained at historically low levels. This led to a
reduction of the Fund's earning power and necessitated a dividend cut in June
2003.
3
NIM's discount to its common share NAV narrowed modestly (see chart on
individual Performance Overview page).
WHAT KEY STRATEGIES WERE USED TO MANAGE NIM DURING THE 12 MONTHS ENDED SEPTEMBER
30, 2003?
Over this 12-month reporting period, we continued to place strong emphasis on
strategies that could diversify the Fund's portfolio and improve call
protection. Our primary area of focus was on enhancing the Fund's credit quality
through purchases of high-quality bonds that would help to extend NIM's duration
and support the Fund's dividend-paying capabilities. We believed that, given the
current geopolitical and economic climate, maintaining strong credit quality
remains a vital requirement.
In general, the heavy issuance in the municipal market over the past year
increased our opportunities to make trades that could benefit the Fund, as we
concentrated on finding value in the intermediate part of the yield curve (bonds
that mature 12 to 15 years).
WHAT IS YOUR OUTLOOK FOR BOND CALLS FOR NIM?
During this reporting period, we continued to work to mitigate the call risk of
NIM. As of September 30, 2003, we had worked through the majority of 2003's
calls, reducing the Fund's call exposure for this period to 3%. In 2004, NIM
faces potential calls on an additional 11% of its portfolio. The number of
actual calls will depend largely on market interest rates in coming months.
Overall, we have been holding bonds until they are actually called from our
portfolio and reinvesting proceeds in higher quality issues at the long end of
the maturity spectrum available to NIM.
4
Nuveen Select Maturities Municipal Fund
Performance
OVERVIEW As of September 30, 2003
NIM
Pie Chart:
CREDIT QUALITY
AAA/U.S. Guaranteed 39%
AA 11%
A 22%
BBB 22%
NR 5%
BB or lower 1%
PORTFOLIO STATISTICS
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Share Price $10.00
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Common Share Net Asset Value $10.29
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Market Yield 5.10%
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Taxable-Equivalent Yield
(Federal Income Tax Rate)1 7.08%
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Net Assets Applicable to
Common Shares ($000) $127,575
--------------------------------------------------
Average Effective Maturity (Years) 11.47
--------------------------------------------------
Average Duration 4.56
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AVERAGE ANNUAL TOTAL RETURN (Inception 9/18/92)
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ON SHARE PRICE ON NAV
--------------------------------------------------
1-Year 3.61% 2.40%
--------------------------------------------------
5-Year 2.81% 2.45%
--------------------------------------------------
10-Year 4.04% 4.18%
--------------------------------------------------
TOP FIVE SECTORS (as a % of total investments)
--------------------------------------------------
Utilities 20%
--------------------------------------------------
Healthcare 20%
--------------------------------------------------
Long-Term Care 8%
--------------------------------------------------
U.S. Guaranteed 8%
--------------------------------------------------
Consumer Staples 7%
--------------------------------------------------
Bar Chart:
2002-2003 MONTHLY TAX-FREE DIVIDENDS PER SHARE2
Oct 0.044
Nov 0.044
Dec 0.044
Jan 0.044
Feb 0.044
Mar 0.044
Apr 0.044
May 0.044
Jun 0.0425
Jul 0.0425
Aug 0.0425
Sep 0.0425
Line Chart:
SHARE PRICE PERFORMANCE
10/1/02 10.35
10.22
9.9
9.78
10.08
10.19
10.04
9.66
9.8
9.8
9.63
9.55
9.61
9.79
9.6
9.65
9.65
9.82
9.91
9.75
9.74
9.89
9.9
9.88
9.77
9.8
9.94
9.87
9.8
9.87
10.08
10.1
10.29
10.41
10.35
10.1
10.05
10.11
10.19
10.02
9.86
9.85
9.91
9.94
9.87
9.93
10
9.92
9/30/03 9.92
Weekly Closing Price
Past performance is not predictive of future results.
1 Taxable-equivalent yield represents the yield that must be earned on a taxable
investment, other than an investment that generates qualified dividend income
that is taxable at the maximum rate of 15%, in order to equal the yield of the
Nuveen Fund on an after-tax basis. It is calculated using the current market
yield and a federal income tax rate of 28%.
2 The fund also paid shareholders a net ordinary income distribution in December
2002 of $0.0004 per share.
5
Shareholder
MEETING REPORT
The Shareholder Meeting was held in Chicago, Illinois on July 28, 2003.
NIM
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APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS:
Common
Shares
================================================================================
William E. Bennett
For 7,637,657
Withhold 174,855
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Total 7,812,512
================================================================================
Robert P. Bremner
For 7,648,815
Withhold 163,697
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
Lawrence H. Brown
For 7,654,145
Withhold 158,367
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
Jack B. Evans
For 7,651,545
Withhold 160,967
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
Anne E. Impellizzeri
For 7,650,245
Withhold 162,267
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
William L. Kissick
For 7,649,145
Withhold 163,367
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
Thomas E. Leafstrand
For 7,651,145
Withhold 161,367
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
Peter R. Sawers
For 7,652,145
Withhold 160,367
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
William J. Schneider
For 7,651,045
Withhold 161,467
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Total 7,812,512
================================================================================
6
NIM
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APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS:
Common
Shares
================================================================================
Timothy R. Schwertfeger
For 7,649,679
Withhold 162,833
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
Judith M. Stockdale
For 7,649,545
Withhold 162,967
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
Sheila W. Wellington
For 7,647,279
Withhold 165,233
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
TO APPROVE A CHANGE TO A FUNDAMENTAL INVESTMENT RESTRICTION
WITH RESPECT TO LENDING
For 5,110,648
Against 433,345
Abstain 208,828
Broker Non-Vote 2,059,691
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
TO APPROVE A CHANGE TO A FUNDAMENTAL INVESTMENT RESTRICTION
WITH RESPECT TO BORROWING
For 5,098,520
Against 444,201
Abstain 210,100
Broker Non-Vote 2,059,691
--------------------------------------------------------------------------------
Total 7,812,512
================================================================================
7
Nuveen Select Maturities Municipal Fund (NIM)
Portfolio of
INVESTMENTS September 30, 2003 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION PROVISIONS* RATINGS** VALUE
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ALABAMA - 1.9%
$ 2,000 Alabama 21st Century Authority, Tobacco Settlement Revenue 12/11 at 101.00 A1 $ 1,938,640
Bonds, Series 2001, 5.750%, 12/01/17
500 Marshall County Health Care Authority, Alabama, Revenue Bonds, 1/12 at 101.00 A- 541,415
Series 2002A, 6.250%, 1/01/22
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ARIZONA - 4.7%
2,470 Arizona Educational Loan Marketing Corporation, Educational 3/04 at 100.00 Aaa 2,478,324
Loan Revenue Bonds, 6.375%, 9/01/05 (Alternative
Minimum Tax)
2,535 Industrial Development Authority of the City of Phoenix, 4/08 at 101.50 AAA 2,686,542
Arizona, Statewide Single Family Mortgage Revenue Bonds,
1998 Series C, 6.650%, 10/01/29 (Alternative Minimum Tax)
1,185 Winslow Industrial Development Authority, Arizona, Hospital No Opt. Call N/R 845,995
Revenue Bonds, Winslow Memorial Hospital Project,
Series 1998, 5.750%, 6/01/08
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ARKANSAS - 3.0%
1,000 City of Fort Smith, Arkansas, Water and Sewer Revenue 10/11 at 100.00 AAA 1,099,470
Bonds, Refunding and Construction, Series 2002A,
5.250%, 10/01/17 - FSA Insured
1,000 Jonesboro, Arkansas, Industrial Development Revenue Bonds, No Opt. Call A+ 1,048,650
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 1,715,878
Series 1992A, 6.500%, 7/01/15 - MBIA Insured
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CALIFORNIA - 1.7%
2,115 Vernon, California, Electric System Revenue Bonds, 4/08 at 100.00 A2 2,167,304
Malburg Generating Station Project, Series 2003C,
5.250%, 4/01/17
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COLORADO - 7.4%
1,500 Colorado Educational and Cultural Facilities Authority, 7/12 at 100.00 BBB 1,459,515
Charter School Revenue Bonds, DCS Montessori Project,
Douglas County School District RE-1, Series 2002A,
6.000%, 7/15/22
975 Colorado Housing and Finance Authority, Single Family Program 4/10 at 105.00 AA 1,001,754
Senior Bonds, 2000 Series D-2, 6.900%, 4/01/29 (Alternative
Minimum Tax)
1,000 Denver Health and Hospital Authority, Colorado, Healthcare 12/11 at 100.00 BBB 1,018,300
Revenue Bonds, Series 2001A, 6.000%, 12/01/23
323 El Paso County, Colorado, Single Family Mortgage Revenue No Opt. Call Aaa 342,159
Tax-Exempt Refunding Bonds, Series 1992A Class A-2,
8.750%, 6/01/11
5,875 Northwest Parkway Public Highway Authority, Colorado, Revenue 6/11 at 38.04 AAA 1,482,909
Bonds, Senior Series 2001B, 0.000%, 6/15/27 -
AMBAC Insured
1,000 Summit County, Colorado, Sports Facilities Refunding Revenue No Opt. Call AAA 1,165,160
Bonds, Keystone Resorts Management, Inc. Project,
Series 1990, 7.750%, 9/01/06
2,845 University of Colorado Hospital Authority, Hospital Revenue 11/11 at 100.00 A3 2,956,695
Bonds, Series 2001A, 5.600%, 11/15/21
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CONNECTICUT - 1.6%
Eastern Connecticut Resource Recovery Authority Solid Waste
Revenue Bonds, Wheelabrator Lisbon Project, Series 1993A:
500 5.500%, 1/01/14 (Alternative Minimum Tax) 1/04 at 101.00 BBB 501,815
1,570 5.500%, 1/01/15 (Alternative Minimum Tax) 1/05 at 100.00 BBB 1,570,047
------------------------------------------------------------------------------------------------------------------------------------
DISTRICT OF COLUMBIA - 4.5%
District of Columbia General Obligation Refunding Bonds,
Series 1993A:
900 6.000%, 6/01/07 - MBIA Insured No Opt. Call AAA 1,009,890
4,105 6.000%, 6/01/07 - MBIA Insured No Opt. Call AAA 4,685,365
------------------------------------------------------------------------------------------------------------------------------------
FLORIDA - 0.7%
865 Escambia County, Florida, Pollution Control Revenue Bonds, 8/04 at 102.00 BBB 901,944
Champion International Corporation Project, Series 1994,
6.900%, 8/01/22 (Alternative Minimum Tax)
8
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
GEORGIA - 0.1%
$ 140 Urban Residential Finance Authority of the City of Atlanta, No Opt. Call N/R*** $ 145,428
Revenue Bonds, Landrum Arms Project, Series 1994,
6.750%, 7/01/04
------------------------------------------------------------------------------------------------------------------------------------
ILLINOIS - 14.5%
2,035 Chicago Metropolitan Housing Development Corporation, 1/04 at 100.00 AAA 2,036,465
Illinois, Housing Development Revenue Refunding Bonds,
FHA-Insured Mortgage Loan Section 8 Assisted Project,
Series 1993B, 5.700%, 1/01/13 - MBIA Insured
970 City of Chicago Tax Increment Allocation Bonds, Irving/Cicero 1/09 at 100.00 N/R 961,833
Redevelopment Project, Series 1998, 7.000%, 1/01/14
155 City of Danville, Vermilion County, Illinois, Single Family 11/03 at 102.00 A1 160,115
Mortgage Revenue Refunding Bonds, Series 1993,
7.300%, 11/01/10
2,000 Illinois Development Finance Authority, Revenue Refunding 4/10 at 102.00 BBB- 2,066,840
Bonds, Olin Corporation Project, Series 1993D,
6.750%, 3/01/16
4,985 Illinois Development Finance Authority, Revenue Bonds, 4/11 at 105.00 Aaa 5,832,001
Greek American Nursing Home Project, Series 2000A,
7.600%, 4/20/40
685 Illinois Development Finance Authority, Child Care Facility 3/04 at 101.00 N/R 693,186
Revenue Bonds, Illinois Facilities Fund Project, Series 1992,
7.400%, 9/01/04
2,000 Illinois Educational Facilities Authority, Revenue Bonds, No Opt. Call A1 2,010,620
The Art Institute of Chicago, Series 2000, 4.450%, 3/01/34
(Mandatory put 3/01/15)
1,000 Illinois Health Facilities Authority, Revenue Refunding 2/04 at 102.00 A+ 1,035,690
Bonds, Edward Hospital Project, Series 1993A,
6.000%, 2/15/19
1,210 Illinois Health Facilities Authority, Revenue Refunding 8/09 at 101.00 A- 1,233,522
Bonds, Silver Cross Hospital and Medical Centers,
Series 1999, 5.500%, 8/15/19
1,335 Illinois Housing Development Authority, Section 8 Elderly 11/03 at 101.00 A 1,364,490
Housing Revenue Bonds, Skyline Towers Apartments,
Series 1992B, 6.625%, 11/01/07
1,000 Illinois Educational Facilities Authority, Student Housing 5/12 at 101.00 Baa2 1,064,110
Revenue Bonds, Educational Advancement Foundation
Fund, University Center Project, Series 2002, 6.625%, 5/01/17
------------------------------------------------------------------------------------------------------------------------------------
INDIANA - 0.9%
1,000 The Indianapolis Local Public Improvement Bond Bank, No Opt. Call AA 1,146,690
Series 1992 D, 6.600%, 2/01/07
------------------------------------------------------------------------------------------------------------------------------------
IOWA - 1.1%
1,800 Tobacco Settlement Authority, Iowa, Tobacco Settlement 6/11 at 101.00 BBB 1,402,020
Asset-Backed Revenue Bonds, Series 2001B, 5.300%, 6/01/25
------------------------------------------------------------------------------------------------------------------------------------
KANSAS - 2.9%
3,500 Wichita, Kansas, Hospital Revenue Refunding and Improvement 11/11 at 101.00 A+ 3,646,265
Bonds, Via Christi Health System, 2001 Series III,
5.500%, 11/15/21
------------------------------------------------------------------------------------------------------------------------------------
MARYLAND - 2.5%
2,000 Anne Arundel County, Maryland, Multifamily Housing No Opt. Call BBB 2,008,480
Revenue Bonds, Woodside Apartments Project, Series 1994,
7.450%, 12/01/24 (Alternative Minimum Tax) (Mandatory
put 12/01/03)
1,100 Maryland Energy Financing Administration Limited Obligation 9/05 at 102.00 N/R 1,117,842
Cogeneration Revenue Bonds, AES Warrior Run Project,
Series 1995, 7.400%, 9/01/19 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
MASSACHUSETTS - 0.8%
1,000 Massachusetts Industrial Finance Agency, Resource Recovery No Opt. Call BBB 1,006,890
Revenue Refunding Bonds, Ogden Haverhill Project,
Series 1992A Remarketing, 4.850%, 12/01/05
------------------------------------------------------------------------------------------------------------------------------------
MICHIGAN - 3.0%
1,000 Cornell Township Economic Development Corporation, 5/12 at 100.00 BBB 1,020,060
Michigan, Environmental Improvement Revenue Refunding
Bonds, MeadWestvaco Corporation - Escanaba Project,
Series 2002, 5.875%, 5/01/18
1,948 Michigan State Hospital Finance Authority, Revenue Bonds, No Opt. Call Baa2 1,962,628
Detroit Medical Center Collateralized Loan, Series 2001,
7.360%, 4/01/07
470 Michigan State Hospital Finance Authority, Revenue Bonds, No Opt. Call Ba3 420,119
Detroit Medical Center, Series 1988A Refunding,
8.125%, 8/15/12
9
Nuveen Select Maturities Municipal Fund (NIM) (continued)
Portfolio of INVESTMENTS September 30, 2003 (Unaudited)
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
MICHIGAN (continued)
$ 600 Michigan State Hospital Finance Authority, Hospital Revenue 1/06 at 102.00 Ba3 $ 463,914
Refunding Bonds, Sinai Hospital, Series 1995, 6.625%, 1/01/16
------------------------------------------------------------------------------------------------------------------------------------
MINNESOTA - 0.9%
1,000 White Earth Band of Chippewa Indians, Minnesota, Revenue No Opt. Call A 1,148,900
Bonds, Series 2000A, 7.000%, 12/01/11 - ACA Insured
------------------------------------------------------------------------------------------------------------------------------------
NEW YORK - 8.8%
1,500 New York State Energy Research and Development Authority, No Opt. Call A1 1,518,330
Facilities Revenue Bonds, Consolidated Edison Company Inc.
Project, Series 2001A, 4.700%, 6/01/36 (Alternative
Minimum Tax) (Mandatory put 10/01/12)
1,585 New York State Medical Care Facilities Finance Agency, 2/06 at 102.00 AA+ 1,750,474
FHA-Insured Mortgage Hospital and Nursing Home Revenue
Bonds, 1995 Series C, 6.100%, 8/15/15
2,130 City of Niagara Falls, Niagara County, New York, General No Opt. Call AAA 2,676,878
Obligation Water Treatment Plant Bonds, Series 1994,
8.500%, 11/01/07 (Alternative Minimum Tax) - MBIA Insured
4,300 Port Authority of New York and New Jersey, Special Project No Opt. Call AAA 5,233,401
Bonds, JFK International Air Terminal LLC Project, Series 6,
7.000%, 12/01/12 (Alternative Minimum Tax) - MBIA Insured
------------------------------------------------------------------------------------------------------------------------------------
NORTH CAROLINA - 1.6%
1,880 Union County, North Carolina, Certificates of Participation, 6/13 at 101.00 AAA 2,022,636
Series 2003, 5.000%, 6/01/18 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
OHIO - 4.1%
2,000 Akron, Bath, and Copley Joint Township Hospital District, 11/03 at 101.00 Baa1 2,043,820
Ohio, Hospital Facilities Revenue Bonds, Summa Health
System Project, Series 1992A, 6.250%, 11/15/07
3,000 County of Hamilton, Ohio, Hospital Facilities Revenue No Opt. Call A*** 3,173,670
Refunding Bonds, Bethesda Hospital, Inc., Series 1992A,
6.250%, 1/01/06
------------------------------------------------------------------------------------------------------------------------------------
OKLAHOMA - 0.8%
1,000 Oklahoma State Industries Authority, Health System Revenue 8/06 at 102.00 AAA 1,059,940
Refunding Bonds, Integris Baptist Medical Center,
Series 1995D, 5.000%, 8/15/14 - AMBAC Insured
------------------------------------------------------------------------------------------------------------------------------------
PENNSYLVANIA - 2.7%
1,500 Pennsylvania Economic Development Financing Authority, 12/04 at 102.00 BBB- 1,556,175
Resource Recovery Revenue Bonds, Colver Project,
Series 1994D, 7.150%, 12/01/18 (Alternative Minimum Tax)
1,475 Pennsylvania Higher Educational Facilities Authority, No Opt. Call Aaa 1,835,534
College Revenue Bonds, Ninth Series 1976, 7.625%, 7/01/15
------------------------------------------------------------------------------------------------------------------------------------
SOUTH CAROLINA - 1.5%
1,250 South Carolina Jobs-Economic Development Authority, No Opt. Call BBB 1,448,450
Hospital Revenue Bonds, Palmetto Health Alliance,
Series 2000A, 7.000%, 12/15/10
500 Tobacco Settlement Revenue Management Authority, 5/11 at 101.00 BBB 444,315
Tobacco Settlement Asset-Backed Bonds, Series 2001B,
6.000%, 5/15/22
------------------------------------------------------------------------------------------------------------------------------------
TENNESSEE - 1.7%
2,000 The Health, Educational, and Housing Facility Board of the 9/12 at 100.00 A- 2,176,180
County of Shelby, Tennessee, Hospital Revenue Bonds,
Methodist Healthcare, Series 2002, 6.000%, 9/01/17
------------------------------------------------------------------------------------------------------------------------------------
TEXAS - 5.0%
475 Austin-Travis County MHMR Center, Texas, Revenue Bonds, 3/05 at 101.00 AAA 510,003
Mental Health and Mental Retardation Center Facilities
Acquisition Program, Series 1995-A, 6.500%, 3/01/15 - C
AP GTY/FSA Insured
280 Galveston Property Finance Authority, Inc., Texas, Single 3/04 at 101.00 A3 283,587
Family Mortgage Revenue Bonds, Series 1991A,
8.500%, 9/01/11
820 Texas Community MHMR Centers, Texas, Revenue Bonds, 3/05 at 101.00 AAA 880,426
Mental Health and Mental Retardation Center Facilities
Acquisition Program, Series 1995C, 6.500%, 3/01/15 -
CAP GTY/FSA Insured
2,500 Navigation District No. 1 of Matagorda County, Texas, No Opt. Call BBB+ 2,591,875
Pollution Control Revenue Bonds, Central Power & Light
Company, Refunding Series 2001A, 4.550%, 11/01/29
(Mandatory put 11/01/06)
10
PRINCIPAL OPTIONAL CALL MARKET
AMOUNT (000) DESCRIPTION PROVISIONS* RATINGS** VALUE
------------------------------------------------------------------------------------------------------------------------------------
TEXAS (continued)
$ 900 Tom Green County Health Facilities Development Corporation, No Opt. Call Baa3 $ 927,819
Texas, Hospital Revenue Bonds, Shannon Health System
Project, Series 2001, 5.600%, 5/15/06
500 Travis County Health Facilities Development Corporation, 11/03 at 102.00 Aaa 512,385
Texas, Hospital Revenue Bonds, Daughters of Charity National
Health System - Daughters of Charity Health Services of
Austin, Series 1993B, 5.900%, 11/15/07
645 Tri-County MHMR Services, Texas, Revenue Bonds, Mental 3/05 at 101.00 AAA 692,530
Health and Mental Retardation Center Facilities Acquisition
Program, Series 1995-E, 6.500%, 3/01/15 - FSA Insured
------------------------------------------------------------------------------------------------------------------------------------
UTAH - 1.6%
2,055 City of Bountiful, Davis County, Utah, Hospital Revenue No Opt. Call N/R 2,057,754
Refunding Bonds, South Davis Community Hospital Project,
Series 1998, 6.000%, 12/15/10
------------------------------------------------------------------------------------------------------------------------------------
VIRGINIA - 1.6%
2,000 Hampton Redevelopment and Housing Authority, Virginia, 1/04 at 101.00 A+ 2,049,300
Multifamily Housing Revenue Refunding Bonds, Series 1994,
Chase Hampton II Apartments, 7.000%, 7/01/24
(Mandatory put 7/01/04)
------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON - 9.4%
Washington Public Power Supply System, Nuclear Project No. 1
Refunding Revenue Bonds, Series 1993A:
160 7.000%, 7/01/07 No Opt. Call Aa1 188,429
1,130 7.000%, 7/01/08 No Opt. Call Aa1*** 1,377,154
1,340 7.000%, 7/01/07 No Opt. Call Aa1*** 1,591,974
1,870 7.000%, 7/01/08 No Opt. Call Aa1 2,248,058
7,000 Washington Public Power Supply System, Nuclear Project No Opt. Call Aa1 6,632,290
No. 3 Refunding Revenue Bonds, Series 1990B,
0.000%, 7/01/06
------------------------------------------------------------------------------------------------------------------------------------
WEST VIRGINIA - 2.4%
2,000 The County Commission of Harrison County, West Virginia, 8/04 at 102.00 AAA 2,129,700
Solid Waste Disposal Revenue Bonds, West Penn Power
Company Project, Series 1994C, 6.750%, 8/01/24 (Alternative
Minimum Tax) - MBIA Insured
1,000 South Charleston, West Virginina, Industrial Development No Opt. Call A- 990,000
Revenue Bonds, Union Carbide Chemicals and Plastic,
Series 1990A, 8.000%, 8/01/20 (Alternative Minimum Tax)
------------------------------------------------------------------------------------------------------------------------------------
WISCONSIN - 2.5%
Badger Tobacco Asset Securitization Corporation, Wisconsin,
Tobacco Settlement Asset-Backed Bonds, Series 2002:
1,000 6.125%, 6/01/27 6/12 at 100.00 BBB 897,820
1,480 6.375%, 6/01/32 6/12 at 100.00 BBB 1,279,295
1,000 Wisconsin Health and Educational Facilities Authority, 7/11 at 100.00 A- 1,038,460
Revenue Bonds, Agnesian Healthcare Inc., Series 2001,
6.000%, 7/01/21
------------------------------------------------------------------------------------------------------------------------------------
$ 120,851 Total Long-Term Investments (cost $117,594,967) - 95.9% 122,384,541
=============-----------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 0.8%
1,000 Nebraska Educational Finance Authority, Revenue Bonds, VMIG-1 1,000,000
Creighton University, Variable Rate Obligations, Series 2003,
1.200%, 3/01/33 - AMBAC Insured+
------------------------------------------------------------------------------------------------------------------------------------
$ 1,000 Total Short-Term Investments (cost $1,000,000) 1,000,000
=============-----------------------------------------------------------------------------------------------------------------------
Total Investments (cost $118,594,967) - 96.7% 123,384,541
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 3.3% 4,190,221
--------------------------------------------------------------------------------------------------------------------
Net Assets - 100% $127,574,762
====================================================================================================================
* 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.
** Ratings: Using the higher of Standard & Poor's or
Moody's rating.
*** Securities are backed by an escrow or trust containing
sufficient U.S. Government or U.S. Government agency
securities which ensures the timely payment of
principal and interest. Such securities are normally
considered to be equivalent to AAA rated securities.
N/R Investment is not rated.
+ Security has a maturity of more than one year, but has
variable rate and demand features which qualify it as a
short-term security. The rate disclosed is that
currently in effect. This rate changes periodically
based on market conditions or a specified market index.
See accompanying notes to financial statements.
11
Statement of
ASSETS AND LIABILITIES September 30, 2003 (Unaudited)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at market value (cost $118,594,967) $123,384,541
Cash 344,084
Receivables:
Interest 2,035,548
Investments sold 1,921,256
Other assets 6,345
------------------------------------------------------------------------------------------------------------------------------------
Total assets 127,691,774
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Accrued expenses:
Management fees 51,732
Other 65,280
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 117,012
------------------------------------------------------------------------------------------------------------------------------------
Net assets $127,574,762
====================================================================================================================================
Shares outstanding 12,394,977
====================================================================================================================================
Net asset value per share outstanding (net assets divided by shares outstanding) $ 10.29
====================================================================================================================================
NET ASSETS CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 123,950
Paid-in surplus 138,316,496
Undistributed (Over-distribution of) net investment income (402,374)
Accumulated net realized gain (loss) from investments (15,252,884)
Net unrealized appreciation of investments 4,789,574
------------------------------------------------------------------------------------------------------------------------------------
Net assets $127,574,762
====================================================================================================================================
See accompanying notes to financial statements.
12
Statement of
OPERATIONS Six Months Ended September 30, 2003 (Unaudited)
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME $3,590,461
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 318,442
Shareholders' servicing agent fees and expenses 8,599
Custodian's fees and expenses 22,117
Trustees' fees and expenses 888
Professional fees 31,234
Shareholders' reports - printing and mailing expenses 24,147
Stock exchange listing fees 7,434
Investor relations expense 12,887
Other expenses 3,498
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit 429,246
Custodian fee credit (4,511)
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 424,735
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 3,165,726
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized gain (loss) from investments (22,056)
Change in net unrealized appreciation (depreciation) of investments (476,728)
------------------------------------------------------------------------------------------------------------------------------------
Net gain (loss) from investments (498,784)
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets from operations $2,666,942
====================================================================================================================================
See accompanying notes to financial statements.
13
Statement of
CHANGES IN NET ASSETS (Unaudited)
FOR THE PERIOD
JUNE 1, 2002
SIX MONTHS ENDED THROUGH YEAR ENDED
9/30/03 MARCH 31, 2003 5/31/02
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 3,165,726 $ 5,351,959 $ 7,070,269
Net realized gain (loss) from investments (22,056) (8,696,173) (6,247,761)
Change in net unrealized appreciation (depreciation) of investments (476,728) 5,950,067 (969,471)
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations 2,666,942 2,605,853 (146,963)
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income (3,197,905) (5,458,748) (7,506,788)
From accumulated net realized gains from investments -- -- (350,621)
------------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (3,197,905) (5,458,748) (7,857,409)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from shares issued to shareholders due to
reinvestment of distributions -- -- 158,873
------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (530,963) (2,852,895) (7,845,499)
Net assets at the beginning of period 128,105,725 130,958,620 138,804,119
------------------------------------------------------------------------------------------------------------------------------------
Net assets at the end of period $127,574,762 $128,105,725 $130,958,620
====================================================================================================================================
Undistributed (Over-distribution of) net investment income at the end of period $ (402,374) $ (370,195) $ (240,437)
====================================================================================================================================
See accompanying notes to financial statements.
14
Notes to
FINANCIAL STATEMENTS (Unaudited)
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The Fund covered in this report and its corresponding Common share 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 having an initial average effective maturity of approximately
ten years. 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 Nuveen
Advisory Corp. (the "Adviser"), a wholly owned subsidiary of Nuveen Investments,
Inc., 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.
On February 20, 2003, the Board of Trustees of the Fund approved a change in the
Fund's fiscal year end from May 31 to March 31.
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements in accordance with
accounting principles generally accepted in the United States.
Securities 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 price quotes
are not readily available (which is usually the case for municipal securities),
the pricing service establishes fair market 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 it is determined that
market prices for a security are unavailable or inappropriate, the Board of
Trustees of the Fund, or its designee, may establish a fair value for the
security. Temporary investments in securities that have variable rate and demand
features qualifying them as short-term securities are valued at amortized cost,
which approximates market value.
Securities Transactions
Securities transactions are recorded on a trade date basis. Realized gains and
losses from such transactions are determined on the specific identification
method. Securities purchased or sold on a when-issued or delayed delivery basis
may have extended settlement periods. The securities 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 and delayed delivery purchase commitments. At September 30, 2003,
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.
Federal Income Taxes
The Fund intends to comply with the requirements of the Internal Revenue Code
applicable to regulated investment companies and to distribute all of its net
investment income to its shareholders. 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 the
shareholders of the Fund.
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.
15
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
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 accounting principles
generally accepted in the United States.
Derivative Financial Instruments
The Fund may 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 make any such
investments during the six months ended September 30, 2003.
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.
Use of Estimates
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States 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
There were no share transactions during the six months ended September 30, 2003.
There were no share transactions during the period June 1, 2002 through March
31, 2003. During the fiscal year ended May 31, 2002, 14,191 shares were issued
to shareholders due to reinvestment of distributions.
3. SECURITIES TRANSACTIONS
Purchases and sales (including maturities) of investments in long-term municipal
securities for the six months ended September 30, 2003, aggregated $12,424,096
and $8,863,561, 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 timing differences in recognizing income on taxable market
discount securities and timing differences in recognizing certain gains and
losses on security transactions.
At September 30, 2003, the cost of investments owned was $118,502,995.
The net unrealized appreciation of investments at September 30, 2003, aggregated
$4,881,546 of which $6,183,553 related to appreciated securities and $1,302,007
related to depreciated securities.
The tax components of undistributed net investment income and net realized gains
at March 31, 2003, the Fund's last fiscal year end, were as follows:
--------------------------------------------------------------------------------
Undistributed net tax-exempt income $76,094
Undistributed net ordinary income * 19,776
Undistributed net long-term capital gains --
================================================================================
* Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
16
The tax character of distributions paid during the fiscal years ended March 31,
2003 and May 31, 2002, was designated for purposes of the dividends paid
deduction as follows:
2003
--------------------------------------------------------------------------------
Distributions from net tax-exempt income $5,478,580
Distributions from net ordinary income * 4,958
Distributions from net long-term capital gains --
================================================================================
2002
--------------------------------------------------------------------------------
Distributions from net tax-exempt income $7,586,610
Distributions from net ordinary income * 349,903
Distributions from net long-term capital gains --
================================================================================
* Net ordinary income consists of taxable market discount income and net
short-term capital gains, if any.
At March 31, 2003, the Fund's last fiscal year end, the Fund had unused capital
loss carryforwards of $6,538,308 available to be applied against future capital
gains, if any. If not applied, $14,922 of the carryforward will expire in the
year 2010 and $6,523,386 will expire in 2011.
At March 31, 2003, the Fund's last fiscal year end, the Fund elected to defer
net realized losses from investments incurred from November 1, 2002 through
March 31, 2003 ("post-October losses") in accordance with Federal income tax
regulations. The post-October losses of $8,692,592 are treated as having arisen
on the first day of the current fiscal year.
5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Under the Fund's investment management agreement with the Adviser, the Fund pays
an annual management fee, payable monthly, at the rates set forth below, which
are based upon the average daily net assets of the Fund as follows:
AVERAGE DAILY NET ASSETS MANAGEMENT FEE
--------------------------------------------------------------------------------
For the first $125 million .5000%
For the next $125 million .4875
For the next $250 million .4750
For the next $500 million .4625
For the next $1 billion .4500
For net assets over $2 billion .4375
================================================================================
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.
6. INVESTMENT COMPOSITION
At September 30, 2003, the revenue sources by municipal purpose, expressed as a
percent of total investments, were as follows:
--------------------------------------------------------------------------------
Consumer Staples 7%
Education and Civic Organizations 5
Healthcare 20
Housing/Multifamily 6
Housing/Single Family 4
Long-Term Care 8
Materials 4
Tax Obligation/General 6
Tax Obligation/Limited 6
Transportation 5
U.S. Guaranteed 8
Utilities 20
Other 1
--------------------------------------------------------------------------------
100%
================================================================================
In addition, 31% of the total investments owned by the Fund are either covered
by insurance issued by several private insurers or are backed by an escrow or
trust containing U.S. Government or U.S. Government agency securities, both of
which ensure the timely payment of principal and interest in the event of
default. Such insurance or escrow, however, does not guarantee the market value
of the municipal securities or the value of the Fund's shares.
For additional information regarding each investment security, refer to the
Portfolio of Investments of the Fund.
7. SUBSEQUENT EVENT - DISTRIBUTIONS TO SHAREHOLDERS
The Fund declared a dividend distribution of $.0425 per share from its
tax-exempt net investment income which was paid on November 3, 2003, to
shareholders of record on October 15, 2003.
17
Financial
HIGHLIGHTS (Unaudited)
Selected data for a share outstanding throughout each period:
Investment Operations Less Distributions
------------------------------------ ----------------------------------
Net
Realized/
Beginning Net Unrealized Net Ending Ending
Net Asset Investment Investment Investment Capital Net Asset Market
Value Income Gain (Loss) Total Income Gains Total Value Value
----------------------------------------------------------------------------------------------------------------------------------
2004(a) $10.34 $.26 $(.05) $.21 $(.26) $ -- $(.26) $10.29 $10.0000
2003(b) 10.57 .43 (.22) .21 (.44) -- (.44) 10.34 9.8500
2002(c) 11.21 .57 (.57) -- (.61) (.03) (.64) 10.57 10.4500
2001(c) 11.16 .62 .06 .68 (.63) -- (.63) 11.21 10.8700
2000(c) 11.84 .63 (.59) .04 (.62) (.10) (.72) 11.16 10.1875
1999(c) 11.95 .61 (.07) .54 (.61) (.04) (.65) 11.84 11.5625
1998(c) 11.70 .61 .29 .90 (.61) (.04) (.65) 11.95 11.4375
==================================================================================================================================
Total Returns Ratios/Supplemental Data
----------------------- ------------------------------------------------------------------------------------
Before Credit After Credit**
--------------------------- -----------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Based on Based on Ending Expenses to Income to Expenses to Income to Portfolio
Market Net Asset Net Assets Average Average Average Average Turnover
Value+ Value+ (000) Net Assets Net Assets Net Assets Net Assets Rate
-----------------------------------------------------------------------------------------------------------------------------------
2004(a) 4.15% 2.04% $127,575 .67%* 4.95%* .66%* 4.95%* 7%
2003(b) (1.48) 2.03 128,106 .65* 4.95* .65* 4.96* 6
2002(c) 1.87 (.06) 130,959 .69 5.23 .68 5.23 48
2001(c) 13.15 6.19 138,804 .64 5.50 .61 5.53 35
2000(c) (5.48) .43 138,149 .61 5.48 .61 5.49 6
1999(c) 6.87 4.64 146,630 .63 5.14 .62 5.15 31
1998(c) 12.60 7.85 147,842 .65 5.17 .65 5.17 13
===================================================================================================================================
* Annualized.
** After custodian fee credit, where applicable.
+ Total Investment Return on Market Value is the combination of reinvested
dividend income, reinvested capital gains distributions, if any, and
changes in stock price per share. Total Return on Net Asset Value is the
combination of reinvested dividend income, reinvested capital gains
distributions, if any, and changes in net asset value per share. Total
returns are not annualized.
(a) For the six months ended September 30, 2003.
(b) For the period June 1, 2002 through March 31, 2003.
(c) For the year ended May 31.
See accompanying notes to financial statements.
18-19 SPREAD
Build Your Wealth
AUTOMATICALLY
Sidebar text: NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET
UP YOUR REINVESTMENT ACCOUNT.
NUVEEN CLOSED-END EXCHANGE-TRADED FUNDS DIVIDEND REINVESTMENT PLAN
Your Nuveen Closed-End Exchange-Traded 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
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. 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
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.
FLEXIBILITY
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.
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.
20
Fund
INFORMATION
BOARD OF TRUSTEES
William E. Bennett
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
Anne E. Impellizzeri
William K. Kissick
Thomas E. Leafstrand
Peter R. Sawers
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Sheila W. Washington
FUND MANAGER
Nuveen Advisory Corp.
333 West Wacker Drive
Chicago, IL 60606
CUSTODIAN
State Street Bank & Trust
Boston, MA
TRANSFER AGENT AND
SHAREHOLDER SERVICES
State Street Bank & Trust
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
LEGAL COUNSEL
Chapman and Cutler LLP
Chicago, IL
INDEPENDENT AUDITORS
Ernst & Young LLP
Chicago, IL
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 (including change in NAV and reinvested dividends) that
would have been necessary on an annual basis to equal the investment's actual
performance over the time period being considered.
Average Duration: Duration is a measure of a bond or bond fund's sensitivity to
changes in interest rates. Generally, the longer a bond or fund's duration, the
more the price of the bond or fund will change as interest rates change.
Average Effective Maturity: The average of all the maturities of the bonds in a
fund's portfolio, computed by weighting each maturity date (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.
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 NAV is calculated by subtracting the liabilities
of 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.
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This 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 ended September 30, 2003. Any future repurchases
will be reported to shareholders in the next annual or semiannual report.
21
Serving Investors
FOR GENERATIONS
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.
Managing $90 billion in assets, 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 four distinct brands: Nuveen,
a leader in tax-free investments; NWQ, a leader in value-style equities;
Rittenhouse, a leader in growth-style equities; and Symphony, a leading
institutional manager of market-neutral alternative investment portfolios.
To learn more about the products and services Nuveen Investments offers and for
a prospectus, where applicable, talk to your financial advisor, or call us at
(800) 257-8787. Please read the information carefully before you invest.
Distributed by
NUVEEN INVESTMENTS, LLC | 333 West Wacker Drive | Chicago, Illinois 60606
| www.nuveen.com
ESA-A-0903D
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable at this time.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable at this time.
ITEM 6. [RESERVED]
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not applicable to this filing.
ITEM 8. [RESERVED]
ITEM 9. 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 registrant's last
fiscal half-year (the registrant's second fiscal half-year in the case
of an annual report) that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 10. 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 posted on registrant's website at www.nuveen.com/etf
(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 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT
Attached hereto.
(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 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/ Jessica R. Droeger
----------------------------------------------
Jessica R. Droeger
Vice President and Secretary
Date: December 9, 2003
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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: December 9, 2003
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By (Signature and Title)* /s/ Stephen D. Foy
----------------------------------------------
Stephen D. Foy
Vice President and Controller
(Principal Financial Officer)
Date: December 9, 2003
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* Print the name and title of each signing officer under his or her signature.