Nuveen Exchange-Traded Funds
Providing tax-free income to help you live your dreams
NUVEEN SELECT MATURITIES MUNICIPAL FUND (NIM)
ANNUAL REPORT/MAY 31, 1996
Photographic image of couple walking on beach.
<PAGE>
CONTENTS
3 Dear shareholder
5 Answering your questions
8 Fund performance
9 Commonly used terms
11 Portfolio of investments
17 Statement of net assets
18 Statement of operations
19 Statement of changes in net assets
20 Notes to financial statements
28 Financial highlights
30 Report to independent auditors
<PAGE>
Dear shareholder
Photographic image of head shot of Chairman and Chief Executive Officer
of Nuveen.
"Municipal bonds continue to play an important role in meeting the investment
goals of conservative investors."
As I begin my duties as the new chairman and chief executive officer of
John Nuveen & Co. Incorporated and chairman of the board of the Nuveen
exchange-traded funds, I am pleased to report to you on the performance of
your fund. My experience with Nuveen over 19 years has reinforced my
commitment to maintaining Nuveen's successful tradition of value investing and
prudent management, helping our shareholders meet their need for tax-free
investment income with a full range of investment choices. Our focus will
continue to be on building shareholder value, providing research-oriented
management, and delivering dependable performance. With this focus, we
anticipate many more years of progress and accomplishment for fund
shareholders and our firm.
Municipal bonds continue to play an important role in meeting the investment
goals of conservative investors. The performance of the Nuveen Select
Maturities Municipal Fund demonstrates how quality investments can provide
attractive tax-free income while delivering the relative stability of an
intermediate-term investment. As of May 31, 1996, the current annualized yield
on share price was 5.82%. To match this yield, investors in the 36% federal
income tax bracket would have had to earn 9.09% on taxable alterna tives.
Without question, taxable yields at this level on investments of comparable
quality can be difficult to achieve in today's markets.
With the strength of the bond market last year, the fund also continued to
produce attractive returns. The change in net asset value, including the
reinvestment of all dividends and capital gains, for the Nuveen Select
Maturities Municipal Fund was 4.76%, equivalent to taxable investments with
total returns of 7.95%.
The years ahead present opportunities as well as challenges for all of
us. I want to thank you for your continued confidence in Nuveen
exchange-traded funds, and I look forward to sharing reports of continued
progress with you.
Sincerely,
Timothy R. Schwertfeger
Chairman of the Board
July 15, 1996
<PAGE>
Answering your questions
Tom Spalding, head of Nuveen's portfolio management team, discusses investment
performance and recent factors affecting the municipal market.
What are the best measures of fund performance?
Fund performance can be gauged in many ways, with each method providing
certain insights. Among these various measures of performance, total return is
generally recognized as one of the more compre hensive. We use the term "total
return" to refer to a share's appreciation plus reinvested dividend income and
capital gains distributions, if applicable. In 1994, total returns for
municipal bond funds--and the entire bond market--declined, in one of the most
difficult period for bonds in decades. This was immediately followed by 1995's
exceptional market recovery, which resulted in a rebound in total returns.
During the first part of 1996, municipal bond funds have continued to provide
solid total returns, although at a slightly lower level than during 1995's
bull market.
The events of these past few years illustrate the importance of considering
risk, or variability of returns, when comparing total returns. Over this time
period, Nuveen's prudent approach to management has protected investors from
wide swings in performance by maintaining a higher level of value than peer
group funds during 1994's bear market and participating only slightly less in
1995's recovery.
Another important measure of fund performance involves assessing whether a
fund has met its stated investment goals. At Nuveen, we continue to empha size
our fund's goals of providing dependable tax-free dividends and adhering to a
value investing approach. In this regard, the steadiness of dividends over the
long term is a good practical measure of success.
<PAGE>
Photographic image of Tom Spalding, Portfolio Manager at Nuveen.
Tom Spalding, head of Nuveen's portfolio management team, answers
investors' questions on develop ments in the municipal market.
What has been Nuveen's investment approach during this period?
Because we believe that a value approach offers investors greater price
stability in uncertain markets, Nuveen continues to pursue value investing as
the optimal way to meet our investors' objectives. We define value investing
as a disciplined approach to security selection and portfolio construction
designed to deliver above-market performance by identifying individual bonds
with current yields, prices, credit quality, and future prospects that are
exceptionally attractive in relation to other bonds in the market. This
approach was rewarded over the past year, as many of our portfolio holdings
were upgraded by the national rating agencies, indicating that our Research
Department's judgments about credit quality were on target.
As opportunity allowed, we moved to protect current income by investing a
larger percentage of our portfolios in non-callable bonds. Because these bonds
cannot be redeemed before maturity, their yield is assured for the long term
even if interest rates decline. As another measure of income protec tion, we
also purchased an increased number of bonds at discounts from their par value.
These bonds, which are yielding slightly below market levels due to their
current coupon, are less likely to be called from our portfolios, assuring
more stable yields for our investors.
<PAGE>
<TABLE>
NUVEEN SELECT MATURITIES MUNICIPAL FUND
NIM
Shareholders enjoyed 12 months of steady dividends, in accordance with the
Fund's goal of providing attractive, dependable tax-free income. Shareholders
also received a capital gains distribution in December.
12 MONTH DIVIDEND HISTORY
<CAPTION>
Date Monthly Dividends Supplemental Dividends Capital Gains
<S> <C> <C> <C>
6/94 $0.0540
7/94 $0.0540
8/94 $0.0540
9/94 $0.0540
10/94 $0.0540
11/94 $0.0540
12/94 $0.0540 $0.0433
1/95 $0.0540
3/95 $0.0540
3/95 $0.0540
5/94 $0.0540
6/95 $0.0540
<CAPTION>
FUND HIGHLIGHTS 5/31/96
<S> <C>
Yield 5.82%
Taxable-equivalent yield 9.09%
Annual total return on NAV 4.76%
Taxable-equivalent total return 7.95%
Share price $11.125
NAV $11.59
The price, net asset value and dividend history used in this chart constitute
past performance and do not necessarily predict the future price, net asset
value or dividends of the Fund or of any other Nuveen Fund.
</TABLE>
<PAGE>
Commonly used terms
Yield
An exchange-traded fund's annualized monthly dividend on a given date (in the
case of this report, May 31, 1996) divided by its closing price per share on
that date.
Taxable equivalent yield
The return an investor subject to a given federal income tax rate would need
to obtain from a fully taxable investment to equal the fund's stated
annualized yield on share price. In this report, this tax rate is assumed to
be 36% for shareholders, based on incomes of $121,300-$263,750 for investors
filing singly, $147,700-$263,750 for those filing jointly.
Net Asset Value (NAV)
The market value of all securities and other assets held by an exchange-traded
fund, minus any liabilities. The NAV per share is the fund's net assets,
divided by its total number of shares outstanding.
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Total return on NAV
The percentage change in a fund's NAV per common share for a given period,
assuming reinvestment of all dividends and capital gains distributions, if
any.
Taxable equivalent total return
The total return an investor subject to a given income tax rate would need to
obtain from a fully taxable investment to equal the fund's stated total return
on NAV.
The Fund intends to repurchase shares of its own common stock in the future at
such times and in such amounts as are deemed advisable. No shares were
repurchased during the 12 months ended May 31, 1996. Any future repurchases
will be reported to shareholders in the next annual or semiannual report.
<PAGE>
<TABLE>
PORTFOLIO OF INVESTMENTS
<CAPTION>
PRINCIPAL OPT. CALL MARKET
AMOUNT DESCRIPTION PROVISIONS* RATINGS** VALUE
<S> <C> <C> <C> <C>
ARIZONA - 1.8%
$ 2,470,000 Arizona Educational Loan Marketing Corporation,
Educational Loan Revenue Bonds, 6.375%, 9/01/05
(Alternative Minimum Tax) 9/02 at 101 Aa $ 2,546,175
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ARKANSAS - 1.1%
1,500,000 Arkansas Student Loan Authority, 6.750%, 6/01/06
(Alternative Minimum Tax) 6/01 at 102 A 1,584,120
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COLORADO - 6.6%
5,500,000 City and County of Denver, Colorado, Airport System
Revenue Bonds, Series 1991A, 8.750%, 11/15/23
(Alternative Minimum Tax) 11/01 at 102 Baa 6,571,180
1,611,133 El Paso County, Colorado, Single Family Mortgage
Revenue Taxable Refunding Bonds, Series 1992A
Class A-2, 8.750%, 6/01/11 No Opt. Call Aaa 1,722,832
1,000,000 Summit County, Colorado, Sports Facilities Refunding
Revenue Bonds (Keystone Resorts Management, Inc.
Project), Series 1990, 7.750%, 9/01/06 No Opt. Call A- 1,164,980
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DISTRICT OF COLUMBIA - 3.9%
5,400,000 District of Columbia (Washington, D.C.), General
Obligation Refunding Bonds, Series 1993A,
6.000%, 6/01/07 No Opt. Call Aaa 5,557,734
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FLORIDA - 4.3%
2,000,000 State of Florida, Faith and Credit, State Board of
Education, Public Education Capital Outlay Bonds,
Series 1986-C, 7.100%, 6/01/07 No Opt. Call Aaa 2,107,740
3,500,000 Hillsborough County Industrial Development
Authority, Pollution Control Revenue Refunding
Bonds (Tampa Electric Company Project),
Series 1992, 8.000%, 5/01/22 5/02 at 103 Aa2 4,098,010
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GEORGIA - 8.8%
2,540,000 Municipal Electric Authority of Georgia, General
Power Revenue Bonds, 1992B Series,
7.500%, 1/01/07 No Opt. Call Aaa 2,941,091
1,800,000 State of Georgia, General Obligation Bonds, 1994-D,
6.700%, 8/01/09 No Opt. Call Aaa 2,021,022
945,000 Urban Residential Finance Authority of the City of
Atlanta, Revenue Bonds (Landrum Arms Project),
Series 1994, 6.750%, 7/01/04 No Opt. Call N/R 976,374
5,755,000 Development Authority of Burke County, Georgia,
Pollution Control Revenue Bonds (Oglethorpe
Power Corporation Vogtle Project) Series 1992,
8.000%, 1/01/15 1/03 at 103 Aaa 6,732,832
<PAGE>
<CAPTION>
PRINCIPAL OPT. CALL MARKET
AMOUNT DESCRIPTION PROVISIONS* RATINGS** VALUE
<S> <C> <C> <C> <C>
ILLINOIS - 11.6%
$ 2,615,000 Illinois Housing Development Authority, Section 8
Elderly Housing Revenue Bonds (Skyline Tower
Apartments), Series 1992B, 6.625%, 11/01/07 11/02 at 102 A $ 2,721,614
4,700,000 The Illinois Development Finance Authority, Child
Care Facility Revenue Bonds (The Illinois Facilities
Fund Project), Series 1992, 7.400%, 9/01/04 9/02 at 102 N/R 4,848,191
1,300,000 General Obligation Lease Certificates, 1992 Series A
(Board of Education of the City of Chicago), Illinois,
6.125%, 1/01/07 No Opt. Call Aaa 1,372,475
2,765,000 Chicago Metropolitan Housing Development
Corporation (Chicago, Illinois), Housing
Development Revenue Refunding Bonds, (FHA-
Insured Mortgage Loan-Section 8 Assisted Project),
Series 1993B, 5.700%, 1/01/13 7/03 at 100 Aaa 2,698,281
3,000,000 City of Chicago, Illinois, Tax Increment Allocation
Revenue and Refunding Bonds (Stockyards
Industrial - Commercial Redevelopment Project),
Series 1994A, 9.250%, 1/01/12 No Opt. Call N/R 3,289,590
745,000 City of Danville, Vermilion County, Illinois, Single
Family Mortgage Revenue Refunding Bonds,
Series 1993, 7.300%, 11/01/10 11/03 at 102 A1 777,475
925,000 City of Rock Island, Illinois, Residential Mortgage
Revenue Refunding Bonds, Series 1992,
7.700%, 9/01/08 9/02 at 102 Aa 985,042
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INDIANA - 5.6%
The Indianapolis Local Public Improvement Bond
Bank, Series 1992 D Bonds:
1,000,000 6.400%, 2/01/05 No Opt. Call A+ 1,066,970
1,000,000 6.600%, 2/01/07 No Opt. Call A+ 1,076,070
2,100,000 The Indianapolis Local Public Improvement Bond
Bank, Transportation Revenue Bonds, Series 1992,
6.000%, 7/01/10 7/03 at 102 Aa 2,153,802
1,540,000 The Trustees of Indiana University, Indiana University
Facility Revenue Bonds, Series 1994A,
6.000%, 11/15/06 No Opt. Call Aaa 1,622,482
2,000,000 Hospital Authority of Elkhart County, Indiana,
Hospital Revenue Bonds, Series 1992 (Elkhart
General Hospital, Inc.), 7.000%, 7/01/08 7/02 at 102 A1 2,137,440
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LOUISIANA - 1.5%
2,000,000 Louisiana Public Facilities Authority, Student Loan
Revenue Bonds, 6.750%, 9/01/06 (Alternative
Minimum Tax) 9/02 at 102 Aaa 2,102,220
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<CAPTION>
PRINCIPAL OPT. CALL MARKET
AMOUNT DESCRIPTION PROVISIONS* RATINGS** VALUE
<S> <C> <C> <C> <C>
MAINE - 1.1%
$ 1,500,000 Maine Educational Loan Marketing Corporation,
Student Loan Revenue Refunding Bonds, Series 1992,
Student Loan Revenue Refunding Bonds,
Subordinate Series 1992A-2, 6.600%, 5/01/05
(Alternative Minimum Tax) 5/02 at 101 A $ 1,558,155
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MARYLAND - 1.5%
2,000,000 Anne Arundel County, Maryland, Multifamily Housing
Revenue Bonds (Woodside Apartments Project), Series
1994, 7.450%, 12/01/24 (Alternative Minimum Tax)
(Mandatory put 12/01/03) No Opt. Call BBB+ 2,089,700
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MASSACHUSETTS - 1.2%
1,760,000 Massachusetts Municipal Wholesale Electric Company,
Power Supply System Revenue Bonds, 1994 Series B,
4.700%, 7/01/06 No Opt. Call Aaa 1,664,168
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MICHIGAN - 2.8%
3,800,000 Greater Detroit Resource Recovery Authority,
Michigan, Resource Revenue Refunding Bonds,
Series 1996-A, 6.250%, 12/13/07 No Opt. Call Aaa 4,020,932
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NEBRASKA - 4.2%
Nebraska Public Gas Agency, Gas Supply System
Revenue Bonds, 1995 Series A:
1,000,000 5.250%, 4/01/02 No Opt. Call Baa1 984,170
1,250,000 5.300%, 4/01/03 No Opt. Call Baa1 1,222,750
1,000,000 5.400%, 4/01/04 No Opt. Call Baa1 975,260
2,400,000 Airport Authority of the City of Omaha (Nebraska),
Airport Facilities Revenue Refund Bonds,
Series 1991, 8.375%, 1/01/14 1/02 at 102 A 2,780,112
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NEW JERSEY - 0.7%
1,000,000 The Essex County Utilities Authority (Essex County,
New Jersey), Solid Waste System Revenue Bonds,
Series 1996A, 5.500%, 4/01/02 No Opt. Call Aaa 1,030,310
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NEW YORK - 10.7%
2,000,000 New York State Medical Care, Facilities Finance
Agency, FHA-Insured Mortgage Project Revenue
Bonds, 1995 Series D, 6.100%, 8/15/15 2/06 at 102 AA+ 2,000,600
4,000,000 The City of New York, General Obligation Bonds,
Fiscal 1991 Series D, 9.500%, 8/01/02 8/01 at 101 1/2 Baa1 4,710,440
2,000,000 The City of New York, General Obligation Bonds,
Fiscal 1996 Series B, 6.750%, 8/15/03 No Opt. Call Baa1 2,121,240
<PAGE>
<CAPTION>
PRINCIPAL OPT. CALL MARKET
AMOUNT DESCRIPTION PROVISIONS* RATINGS** VALUE
<S> <C> <C> <C> <C>
NEW YORK (CONTINUED)
$ 4,000,000 New York City Housing Development Corporation,
Multi-Family Housing Revenue Bonds, 1993
Series A, 5.700%, 11/01/13 5/03 at 102 Aa $ 3,934,760
2,130,000 City of Niagara Falls, Niagara County, New York,
Water Treatment Plant (Serial) Bonds, 1994,
8.500%, 11/01/07 (Alternative Minimum Tax) No Opt. Call Aaa 2,669,401
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NORTH CAROLINA - 1.9%
3,000,000 North Carolina Municipal Power Agency Number 1,
Catawba Electric Revenue Bonds, Series 1993,
4.100%, 1/01/05 No Opt. Call Aaa 2,714,610
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OHIO - 5.4%
2,000,000 Akron, Bath and Copley Joint Township Hospital
District, Ohio, Hospital Facilities Revenue Bonds,
Series 1992, (Summa Health System Project),
6.250%, 11/15/07 11/02 at 102 A 2,040,000
4,500,000 County of Hamilton, Ohio, Hospital Facilities
Revenue, Refunding Bonds, Series 1992A
(Bethesda Hospital, Inc.), 6.250%, 1/01/06 No Opt. Call A1 4,618,710
1,000,000 Oxford Water Supply System Mortgage Revenue,
6.000%, 12/01/14 12/02 at 102 Aaa 1,017,630
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PENNSYLVANIA - 1.6%
1,930,000 Pennsylvania Higher Educational Facilities Authority,
7.625%, 7/01/15 No Opt. Call Aaa 2,261,478
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RHODE ISLAND - 2.1%
3,000,000 Rhode Island Housing and Mortgage Finance
Corporation, Homeownership Opportunity Bonds,
Series 7, 6.500%, 4/01/25, (Alternative
Minimum Tax) 4/02 at 102 AA+ 3,055,620
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SOUTH DAKOTA - 2.6%
3,595,000 South Dakota Student Loan Assistance Corporation,
7.400%, 8/01/99 (Alternative Minimum Tax) No Opt. Call A 3,770,436
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TENNESSEE - 0.7%
1,000,000 Tennessee Housing Development Agency,
Homeownership Program Bonds, Issue WR,
Series 1992, 6.400%, 7/01/06 7/02 at 102 Aa 1,026,550
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TEXAS - 3.9%
625,000 Austin-Travis County Mental Health Centers,
6.500%, 3/01/15 3/05 at 102 Aaa 652,938
<PAGE>
<CAPTION>
PRINCIPAL OPT. CALL MARKET
AMOUNT DESCRIPTION PROVISIONS* RATINGS** VALUE
<S> <C> <C> <C> <C>
TEXAS (CONTINUED)
$ 1,290,000 City of Galveston Property Finance Authority, Inc.,
Single Family Mortgage Revenue Bonds,
Series 1991A, 8.500%, 9/01/11 9/01 at 103 A $ 1,400,656
1,185,000 Texas Community MHMR Centers Revenue Bonds
(Mental Health and Mental Retardation Center
Facilities Acquisition Program), Series 1995 A-E,
6.500%, 3/01/15 3/05 at 102 Aaa 1,238,799
1,400,000 Travis County Health Facilities Development
Corporation (Daughters of Charity Health System),
5.900%, 11/15/07 11/03 at 102 Aa 1,426,236
855,000 Tri-County Mental Health and Retardation Center,
6.500%, 3/01/15 3/05 at 102 Aaa 897,399
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VIRGINIA - 1.5%
2,000,000 Hampton Redevelopment and Housing Authority
Multifamily Housing Revenue Refunding Bonds,
Series 1994 (Chase Hampton II Apartments),
7.000%, 7/01/24 (Mandatory put 7/01/04) 7/02 at 104 Baa3 2,129,120
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WASHINGTON - 10.3%
Washington Health Care Facilities Authority, Revenue Bonds,
Series 1996 (Yakima Valley Memorial Hospital Association,
Yakima):
1,880,000 6.000%, 12/01/09 No Opt. Call AAA 1,921,942
1,500,000 6.000%, 12/01/10 No Opt. Call AAA 1,524,735
Washington Public Power Supply System, Nuclear
Project No. 1 Refunding Revenue Bonds
Series 1993A:
2,500,000 7.000%, 7/01/07 No Opt. Call Aa 2,712,750
3,000,000 7.000%, 7/01/08 No Opt. Call Aa 3,290,250
7,000,000 Washington Public Power Supply System, Nuclear
Project No. 3 Refunding Revenue Bonds,
Series 1990B, 0.000%, 7/01/06 No Opt. Call Aa 3,909,920
1,255,000 Public Utility District No. 1, of Douglas County,
Washington, Wells Hydroelectric Revenue Bonds,
Series of 1990, 7.700%, 9/01/08 (Alternative
Minimum Tax) 9/00 at 102 A+ 1,379,910
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$134,066,133 Total Investments - (cost $135,102,331) - 97.4% 139,627,429
============
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<CAPTION>
PRINCIPAL OPT. CALL MARKET
AMOUNT DESCRIPTION PROVISIONS* RATINGS** VALUE
<S> <C> <C> <C> <C>
TEMPORARY INVESTMENTS IN SHORT-TERM
MUNICIPAL SECURITIES - 1.2%
$ 1,000,000 Clark County, Nevada, Industrial Development
Revenue Bonds, (Nevada Cogeneration
Associates I Project), Series 1990, Variable Rate
Demand Bonds, 3.800%, 11/01/20+
(Alternative Minimum Tax) VMIG-1 $ 1,000,000
700,000 County of Daviess, Kentucky, Solid Waste Disposal
Facilities Revenue Bonds (Scott Paper Company
Project), Variable Rate Demand Bonds,
3.850%, 12/01/23+ (Alternative Minimum Tax) A-1+ 700,000
$ 1,700,000 Total Temporary Investments - 1.2% 1,700,000
===========
Other Assets Less Liabilities - 1.4% 2,036,306
Net Assets - 100% $143,363,735
============
<CAPTION>
NUMBER MARKET MARKET
STANDARD & POOR'S MOODY'S OF ISSUES VALUE PERCENT
<S> <C> <C> <C> <C> <C>
SUMMARY OF AAA Aaa 22 $ 50,493,051 36%
RATINGS** AA+, AA, AA- Aa1, Aa, Aa2, Aa3 12 31,139,715 22
PORTFOLIO OF A+ A1 6 11,056,575 8
INVESTMENTS A, A- A, A2, A3 8 17,020,073 12
(INCLUDING BBB+, BBB, BBB- Baa1, Baa, Baa2, Baa3 8 20,803,860 15
TEMPORARY Non-rated Non-rated 3 9,114,155 7
INVESTMENTS):
TOTAL 59 $139,627,429 100%
<FN>
* Optional Call Provisions (not covered by the report of independent
auditors): 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 (not covered by the report of independent auditors): Using the
higher of Standard & Poor's or Moody's rating.
N/R - Investment is not rated.
+ The 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.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF NET ASSETS
<S> <C>
ASSETS
Investments in municipal securities, at market
value (note 1) $139,627,429
Temporary investments in short-term municipal
securities, at amortized cost (note 1) 1,700,000
Cash 189,275
Receivables:
Interest 2,588,436
Investments sold 20,385
Other assets 47,919
------------
Total assets 144,173,444
------------
LIABILITIES
Accrued expenses:
Management fees (note 6) 60,600
Other 81,095
Dividends payable 668,014
------------
Total liabilities 809,709
------------
Net assets (note 7) $143,363,735
============
Shares outstanding 12,370,635
============
Net asset value per share outstanding (net assets
divided by shares outstanding) $ 11.59
============
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
Year ended May 31, 1996
<S> <C>
INVESTMENT INCOME
Tax-exempt interest income (note 1) $ 8,853,072
-----------
Expenses:
Management fees (note 6) 725,139
Shareholders' servicing agent fees and expenses 24,910
Custodian's fees and expenses 45,637
Trustees' fees and expenses (note 6) 2,466
Professional fees 16,346
Shareholders' reports--printing and mailing expenses 60,338
Stock exchange listing fees 23,347
Investor relations expense 9,629
Other expenses 6,467
-----------
Total expenses 914,279
-----------
Net investment income 7,938,793
-----------
REALIZED AND UNREALIZED GAIN (LOSS)
FROM INVESTMENTS
Net realized gain from investment transactions, net
of taxes (notes 1 and 3) 922,639
Net change in unrealized appreciation (depreciation)
of investments (2,000,905)
-----------
Net gain (loss) from investments (1,078,266)
-----------
Net increase in net assets from operations $ 6,860,527
===========
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
Year ended Year ended
5/31/96 5/31/95
<S> <C> <C>
OPERATIONS
Net investment income $ 7,938,793 $ 7,862,011
Net realized gain from investment transactions, net
of taxes, if applicable 922,639 204,387
Net change in unrealized appreciation (depreciation)
of investments (2,000,905) 4,606,003
------------- -------------
Net increase in net assets from operations 6,860,527 12,672,401
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS (note 1)
From undistributed net investment income (8,031,140) (8,012,616)
From accumulated net realized gains from
investment transactions (517,776) (198,988)
In excess of accumulated net realized gains from
investment transactions -- (75,518)
------------- -------------
Decrease in net assets from distributions
to shareholders (8,548,916) (8,287,122)
------------- -------------
CAPITAL SHARE TRANSACTIONS (note 2)
Net proceeds from shares issued to shareholders due
to reinvestment of distributions 65,320 --
------------- -------------
Net increase in net assets derived from capital
share transactions 65,320 --
------------- -------------
Net increase (decrease) in net assets (1,623,069) 4,385,279
Net assets at beginning of year 144,986,804 140,601,525
------------- -------------
Net assets at end of year $ 143,363,735 $ 144,986,804
============= =============
Balance of undistributed net investment income
at end of year $ 348,240 $ 440,587
============= =============
See accompanying notes to financial statements.
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
At May 31, 1996, the Fund covered in this report and its corresponding New
York Stock Exchange symbol is Nuveen Select Maturities Municipal Fund (NIM).
The Fund has invested in a diversified, investment-grade quality portfolio of
municipal obligations with intermediate characteristics having an initial
average effective maturity of approximately ten years. In assembling and
managing its portfolio, the Fund has purchased municipal obligations having
remaining effective maturities of no more than fifteen years, that in the
opinion of the Fund's investment adviser, represent the best value in terms of
the balance between yield and capital preservation currently available from
the intermediate sector of the municipal market. The Fund's investment
adviser, Nuveen Advisory Corp. (the "Adviser"), a wholly owned subsidiary of
The John Nuveen Company, 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 for the Fund's portfolio of between eight
and twelve years.
The Fund is registered under the Investment Company Act of 1940 as a
closed-end, diversified management investment company.
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements in accordance with
generally accepted accounting principles.
Securities Valuation
Portfolio securities for which market quotations are readily available are
valued at the mean between the quoted bid and asked prices or the yield
equivalent. Portfolio securities for which market quotations are not readily
available are valued at fair value by consistent application of methods
determined in good faith by the Board of Trustees. Temporary investments in
securities that have variable rate and demand features qualifying them as
short-term securities are traded and valued at amortized cost.
<PAGE>
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 be settled a month or more after the transaction date. The
securities so purchased are subject to market fluctuation during this period.
The Fund has instructed the custodian to segregate assets in a separate
account with a current value at least equal to its purchase commitments. At
May 31, 1996, there were no such purchase commitments in the Fund.
Interest Income
Interest income is determined on the basis of interest accrued, adjusted for
amortization of premiums and accretion of discounts on long-term debt
securities when required for federal income tax purposes.
Federal Income Taxes
The Fund intends to comply with the requirements of the Internal Revenue Code
applicable to regulated investment companies by distributing to shareholders
all of its tax-exempt net investment income, in addition to any significant
amounts of net realized capital gains from investments and/or market discount
realized upon the sale of securities. The Fund currently considers significant
net realized capital gains and/or market discount as amounts in excess of
$.001 per share. Furthermore, the Fund intends to satisfy conditions which
will enable interest from municipal securities, which is exempt from regular
federal income tax, to retain such tax-exempt status when distributed to
shareholders of the Fund. All income dividends paid during the year ended May
31, 1996, have been designated Exempt Interest Dividends which are entirely
exempt from federal income taxes.
Dividends and Distributions to Shareholders
Net investment income is declared as a dividend monthly and payment is made or
reinvestment is credited to shareholder accounts after month-end. Net realized
capital gains from securities transactions are distributed to shareholders not
less frequently than annually only to the extent they exceed available capital
loss carryovers.
Distributions to shareholders of net investment income and net realized
capital gains are recorded on the ex-dividend date. The amount and timing of
such distributions are determined in accordance with federal income tax
regulations, which may differ from generally accepted accounting principles.
Accordingly, temporary over-distributions as a result of these differences may
result and will be classified as either distributions in excess of net
investment income or distributions in excess of net realized gains, if
applicable.
<PAGE>
Derivative Financial Instruments
In October 1994, the Financial Accounting Standards Board (FASB) issued
Statement of Financial Accounting Standards No. 119 Disclosure about
Derivative Financial Instruments and Fair Value of Financial Instruments which
prescribes disclosure requirements for transactions 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, the Fund did not make any such investments during the year ended
May 31, 1996.
Use of Estimates
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of increases and decreases in
net assets from operations during the reporting period.
<PAGE>
<TABLE>
2. FUND SHARES
The Fund issued 5,489 shares due to reinvestment of distribution during
the year ended May 31, 1996. There were no share transactions during the year
ended May 31, 1995.
3. SECURITIES TRANSACTIONS
Purchases and sales (including maturities) of investments in municipal
securities and temporary municipal investments during the year ended May 31,
1996, were as follows:
<CAPTION>
<S> <C>
PURCHASES
Investments in municipal securities $36,217,514
Temporary municipal investments 13,800,000
SALES AND MATURITIES
Investments in municipal securities 37,501,986
Temporary municipal investments 12,800,000
==========
At May 31, 1996, the identified cost of investments owned for federal income
tax purposes was the same as the cost for financial reporting purposes.
</TABLE>
<PAGE>
<TABLE>
4. DISTRIBUTIONS TO SHAREHOLDERS
On June 3, 1996, the Fund declared a dividend distribution of $.0540 per share
from its ordinary income which was paid July 1, 1996, to shareholders of
record on June 15, 1996.
5. UNREALIZED APPRECIATION (DEPRECIATION)
Gross unrealized appreciation and gross unrealized depreciation of investments
at May 31, 1996, were as follows:
<CAPTION>
<S> <C>
Gross unrealized:
Appreciation $ 4,982,572
Depreciation (457,474)
-----------
Net unrealized appreciation $ 4,525,098
===========
6. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Under the Fund's investment management agreement with the Adviser, the Fund
pays to the Adviser an annual management fee, payable monthly, at the rates
set forth below, which are based upon the average daily net asset value of the
Fund:
<CAPTION>
<S> <C>
AVERAGE DAILY NET ASSET VALUE MANAGEMENT FEE
For the first $125,000,000 .5 of 1%
For the next $125,000,000 .4875 of 1
For the next $250,000,000 .475 of 1
For the next $500,000,000 .4625 of 1
For the next $1,000,000,000 .45 of 1
For net assets over $2,000,000,000 .4375 of 1
The fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Fund pays no
compensation directly to those Trustees who are affiliated with the Adviser or
to their officers, all of whom receive remuneration for their services to the
Fund from the Adviser.
</TABLE>
<PAGE>
<TABLE>
7. COMPOSITION OF NET ASSETS
At May 31, 1996, net assets consisted of:
<CAPTION>
<S> <C>
Common shares, $.01 par value per share $ 123,706
Paid-in surplus 138,037,346
Balance of undistributed net investment income 348,240
Accumulated net realized gain from
investment transactions 329,345
Net unrealized appreciation of investments 4,525,098
------------
Net assets $143,363,735
============
Authorized shares:
Common Unlimited
============
</TABLE>
<PAGE>
<TABLE>
8. INVESTMENT COMPOSITION
The Fund invests in municipal securities which include general obligation,
escrowed and revenue bonds. At May 31, 1996, the revenue sources by municipal
purpose for these investments, expressed as a percent of total investments,
were as follows:
<CAPTION>
<S> <C>
Revenue Bonds:
Housing Facilities 17%
Electric Utilities 16
Health Care Facilities 13
Pollution Control Facilities 9
Educational Facilities 8
Transportation 8
Lease Rental Facilities 4
Water/Sewer Facilities 1
Other 8
General Obligation Bonds 13
Escrowed Bonds 3
---
100%
===
In addition, 32% of the long-term and intermediate-term investments owned by
the Fund are either backed 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.
All of the temporary investments in short-term municipal securities have
credit enhancements (letters of credit, guarantees or insurance) issued by
third party domestic or foreign banks or other institutions.
For additional information regarding each investment security, refer to the
Portfolio of Investments of the Fund.
</TABLE>
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD IS AS FOLLOWS:
<CAPTION>
Operating performance
Net
realized &
Net asset unrealized Dividends
value Net gain (loss) from net Distributions
beginning investment from investment from net
of period income investments++ income realized gains
<S> <C> <C> <C> <C> <C>
Year Ended 5/31,
1996 $11.730 $.641 $(.090) $(.648) $(.043)
1995 11.370 .643 .387 (.648) (.022)**
1994 11.710 .616 (.275) (.646) (.035)
9/18/92 to
5/31/93 11.300 .392 .455 (.322) --
<PAGE>
<CAPTION>
Total
Per share investment Total
Organization Net asset market return return on
and value end value end on market net asset
offering costsof period of period value+ value+
<S> <C> <C> <C> <C> <C>
Year Ended 5/31,
1996 $ -- $11.590 $11.125 6.14% 4.76%
1995 -- 11.730 11.125 7.67 9.51
1994 -- 11.370 11.000 (1.90) 2.86
9/18/92 to
5/31/93 (.115) 11.710 11.875 1.74 6.54
<PAGE>
<CAPTION>
Ratios/Supplemental data
Ratio of
net
Net assets Ratio of investment
end of expenses income Portfolio
period (in to average to average turnover
thousands) net assets net assets rate
<S> <C> <C> <C> <C>
Year Ended 5/31,
1996 $143,364 .63% 5.45% 25%
1995 144,987 .65 5.64 38
1994 140,602 .72 5.26 11
9/18/92 to
5/31/93 91,599 .75* 5.11* 25
<FN>
* Annualized.
** The amount shown reflects a distribution in excess of net realized gains
from investment transactions of $.006 per share.
+ 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.
++ Net of taxes, if applicable.
</TABLE>
<PAGE>
REPORT OF INDEPENDENT AUDITORS
The Boards of Trustees and Shareholders
Nuveen Select Maturities Municipal Fund
We have audited the accompanying statement of net assets, including the
portfolio of investments, of Nuveen Select Maturities Municipal Fund as of May
31, 1996, and the related statements of operations, changes in net assets and
the financial highlights for the periods indicated therein. These financial
statements and financial highlights are the respon sibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of investments
owned as of May 31, 1996, by correspondence with the custodian. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Nuveen Select Maturities Municipal Fund at May 31, 1996, and the results of
its operations, changes in its net assets and financial highlights for the
periods indicated therein in conformity with generally accepted accounting
principles.
Ernst & Young LLP
Chicago, Illinois
July 12, 1996
<PAGE>
Your investment partners
Photographic image of John Nuveen, Sr., founder of Nuveen.
For nearly 100 years, Nuveen has earned its reputation as a tax-free income
specialist by focusing on municipal bonds.
Since 1898, John Nuveen & Co. Incorporated has worked to bring together the
various participants in the municipal bond industry and build strong
partnerships that benefit all concerned. Investors, financial advisers,
municipal officials, investment bankers--Nuveen believes that forging
relationships within these groups based on trust and value is the key to
successful investing.
As the oldest and largest municipal bond special ist in the United States,
Nuveen's investment bankers work with issuers to understand and meet their
needs in structuring and selling their bond issues.
Nuveen also works closely with financial advisers around the country,
including brokerage firms, banks, insurance companies, and independent
financial planners, to bring the benefits of tax-free investing to you. These
advisers are experts at identifying your needs and recommending the best
solutions for your situation. Together we make a powerful team, helping you
create a successful investment plan that meets your needs today and in the
future.
John Nuveen & Co. Incorporated
333 West Wacker Drive
Chicago, Illinois 60606-1286
ETF1-JULY 96
