nq2.htm



 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
 
Investment Company Act file number 811-7056
 
Nuveen Select Maturities Municipal Fund
(Exact name of registrant as specified in charter)
 
Nuveen Investments
        333 West Wacker Drive, Chicago, Illinois 60606         
(Address of principal executive offices) (Zip code)
 

Kevin J. McCarthy
Vice President and Secretary
        333 West Wacker Drive, Chicago, Illinois 60606         
(Name and address of agent for service)
 
Registrant's telephone number, including area code:         312-917-7700        
 
Date of fiscal year end:            3/31          
 
Date of reporting period:         6/30/10         
 
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
 
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 
Item 1. Schedule of Investments
 

  Portfolio of Investments (Unaudited)      
  Nuveen Select Maturities Municipal Fund (NIM)      
      June 30, 2010      
Principal   Optional Call    
Amount (000) Description (1) Provisions (2) Ratings (3) Value
  Alabama – 2.5%      
$    2,000  Alabama 21st Century Authority, Tobacco Settlement Revenue Bonds, Series 2001, 5.750%, 12/01/17  12/11 at 101.00  A–  $   2,037,200 
180  Birmingham Special Care Facilities Financing Authority, Alabama, Revenue Bonds, Baptist Health  11/15 at 100.00  Baa2  158,598 
  System Inc., Series 2005A, 5.000%, 11/15/30       
500  Jefferson County, Alabama, Sewer Revenue Refunding Warrants, Series 2003B, 5.250%, 2/01/12 –  8/10 at 100.00  AAA  486,085 
  AGM Insured       
500  Marshall County Healthcare Authority, Alabama, Revenue Bonds, Series 2002A, 6.250%, 1/01/22  1/12 at 101.00  A–  513,000 
3,180  Total Alabama      3,194,883 
  Arizona – 1.0%      
  Salt Verde Financial Corporation, Arizona, Senior Gas Revenue Bonds, Citigroup Energy Inc       
  Prepay Contract Obligations, Series 2007:       
100  5.000%, 12/01/17  No Opt. Call  A  101,494 
85  5.250%, 12/01/19  No Opt. Call  A  86,405 
35  5.000%, 12/01/32  No Opt. Call  A  31,551 
380  5.000%, 12/01/37  No Opt. Call  A  331,926 
750  Surprise Municipal Property Corporation, Arizona, Wastewater System Revenue Bonds, Series  4/11 at 100.00  N/R  726,593 
  2007, 4.500%, 4/01/17       
1,350  Total Arizona      1,277,969 
  Arkansas – 3.2%      
1,500  Jefferson County, Arkansas, Pollution Control Revenue Bonds, Entergy Arkansas Inc. Project,  6/11 at 100.00  A–  1,513,335 
  Series 2006, 4.600%, 10/01/17       
1,000  Jonesboro, Arkansas, Industrial Development Revenue Bonds, Anheuser Busch Inc. Project, Series  No Opt. Call  BBB+  1,074,800 
  2002, 4.600%, 11/15/12       
1,380  North Little Rock, Arkansas, Electric Revenue Refunding Bonds, Series 1992A, 6.500%, 7/01/15 –  No Opt. Call  A  1,536,078 
  NPFG Insured       
3,880  Total Arkansas      4,124,213 
  California – 1.8%      
400  California Health Facilities Financing Authority, Revenue Bonds, Catholic Healthcare West,  7/15 at 100.00  A  418,340 
  Series 2008H, 5.125%, 7/01/22       
500  California State, General Obligation Bonds, Various Purpose Series 2010, 5.500%, 3/01/40  3/20 at 100.00  A1  508,205 
1,000  Ceres Unified School District, Stanislaus County, California, General Obligation Bonds, Series  8/12 at 32.87  A+  246,640 
  2002B, 0.000%, 8/01/31 – FGIC Insured       
255  Golden State Tobacco Securitization Corporation, California, Tobacco Settlement Asset-Backed  6/17 at 100.00  BBB  218,081 
  Bonds, Series 2007A-1, 4.500%, 6/01/27       
2,000  Palomar Pomerado Health, California, General Obligation Bonds, Series 2009A, 0.000%, 8/01/25 –  No Opt. Call  AAA  851,640 
  AGC Insured       
4,155  Total California      2,242,906 
  Colorado – 11.8%      
2,895  Centennial Downs Metropolitan District, Colorado, General Obligation Bonds, Series 1999,  12/14 at 100.00  N/R  2,924,934 
  5.000%, 12/01/20 – AMBAC Insured       
1,140  Colorado Educational and Cultural Facilities Authority, Charter School Revenue Bonds, Douglas  7/12 at 100.00  BBB  1,146,908 
  County School District RE-1 – DCS Montessori School, Series 2002A, 6.000%, 7/15/22       
1,175  Colorado Educational and Cultural Facilities Authority, Revenue Bonds, Classical Academy  12/13 at 100.00  A  1,190,945 
  Charter School, Series 2003, 4.500%, 12/01/18 – SYNCORA GTY Insured       
190  Colorado Housing Finance Authority, Single Family Program Senior Bonds, Series 2000D-2,  10/10 at 105.00  AA  203,933 
  6.900%, 4/01/29 (Alternative Minimum Tax)       
1,025  Denver Health and Hospitals Authority, Colorado, Healthcare Revenue Bonds, Series 2001A,  12/11 at 100.00  N/R (4)  1,104,755 
  6.000%, 12/01/23 (Pre-refunded 12/01/11)       
1,465  Denver West Metropolitan District, Colorado, General Obligation Refunding and Improvement  12/13 at 100.00  N/R  1,368,207 
  Bonds, Series 2003, 4.500%, 12/01/18 – RAAI Insured       
1,500  E-470 Public Highway Authority, Colorado, Senior Revenue Bonds, Series 2007C-2, 5.000%,  No Opt. Call  A  1,600,110 
  9/01/39 (Mandatory put 9/01/13) – NPFG Insured       
1,000  E-470 Public Highway Authority, Colorado, Toll Revenue Bonds, Series 2004B, 0.000%, 3/01/36 –  9/20 at 100.00  A  176,730 
  NPFG Insured       
70  Northwest Parkway Public Highway Authority, Colorado, Revenue Bonds, Senior Series 2001A,  6/11 at 102.00  AAA  74,670 
  5.250%, 6/15/41 (Pre-refunded 6/15/11) – AGM Insured       
5,875  Northwest Parkway Public Highway Authority, Colorado, Senior Lien Revenue Bonds, Series 2001B,  No Opt. Call  N/R (4)  2,184,854 
  0.000%, 6/15/27 (Pre-refunded 6/15/11) – AMBAC Insured       
2,845  University of Colorado Hospital Authority, Revenue Bonds, Series 2001A, 5.600%, 11/15/21  11/11 at 100.00  A3 (4)  3,050,722 
  (Pre-refunded 11/15/11)       
19,180  Total Colorado      15,026,768 
  Connecticut – 1.5%      
  Eastern Connecticut Resource Recovery Authority, Solid Waste Revenue Bonds, Wheelabrator       
  Lisbon Project, Series 1993A:       
335  5.500%, 1/01/14 (Alternative Minimum Tax)  7/10 at 100.00  BBB  336,025 
1,570  5.500%, 1/01/15 (Alternative Minimum Tax)  7/10 at 100.00  BBB  1,572,214 
1,905  Total Connecticut      1,908,239 
  Florida – 5.6%      
2,400  Deltona, Florida, Utility Systems Water and Sewer Revenue Bonds, Series 2003, 5.250%,  10/13 at 100.00  A1  2,504,784 
  10/01/17 – NPFG Insured       
1,000  Florida Citizens Property Insurance Corporation, High Risk Account Revenue Bonds, Series  No Opt. Call  A+  1,051,240 
  2007A, 5.000%, 3/01/15 – NPFG Insured       
600  Florida Deparmtent of Environmental Protection, Florida Forever Revenue Bonds, Series 2007B,  7/17 at 101.00  AA–  663,720 
  5.000%, 7/01/19 – NPFG Insured       
30  JEA, Florida, Electric Revenue Certificates, Series 1973-2, 6.800%, 7/01/12 (ETM)  No Opt. Call  AAA  31,802 
2,000  Orange County, Florida, Tourist Development Tax Revenue Bonds, Series 2005, 5.000%, 10/01/22 –  10/15 at 100.00  A+  2,114,960 
  AMBAC Insured       
265  Port Everglades Authority, Florida, Port Facilities Revenue Bonds, Series 1986, 7.125%,  No Opt. Call  AAA  311,380 
  11/01/16 (ETM)       
500  South Miami Health Facilities Authority, Florida, Hospital Revenue, Baptist Health System  8/17 at 100.00  AA–  509,575 
  Obligation Group, Series 2007, 5.000%, 8/15/27       
6,795  Total Florida      7,187,461 
  Georgia – 0.4%      
405  Cherokee County Water and Sewerage Authority, Georgia, Revenue Bonds, Series 1995, 5.200%,  8/22 at 100.00  A (4)  459,444 
  8/01/25 (Pre-refunded 8/01/22) – MBIA Insured       
  Idaho – 0.1%      
100  Madison County, Idaho, Hospital Revenue Certificates of Participation, Madison Memorial  9/16 at 100.00  BBB–  86,414 
  Hospital, Series 2006, 5.250%, 9/01/37       
  Illinois – 15.0%      
550  Chicago, Illinois, Tax Increment Allocation Bonds, Irving/Cicero Redevelopment Project, Series  7/10 at 100.00  N/R  550,556 
  1998, 7.000%, 1/01/14       
1,500  Cook County Township High School District 208, Illinois, General Obligation Bonds, Series  12/15 at 100.00  Aa2  1,616,445 
  2006, 5.000%, 12/01/21 – NPFG Insured       
2,000  Huntley, Illinois, Special Service Area 9, Special Tax Bonds, Series 2007, 5.100%, 3/01/28 –  3/17 at 100.00  AAA  2,074,180 
  AGC Insured       
4,780  Illinois Development Finance Authority, GNMA Collateralized Mortgage Revenue Bonds, Greek  4/11 at 105.00  Aaa  5,453,261 
  American Nursing Home Committee, Series 2000A, 7.600%, 4/20/40       
2,000  Illinois Development Finance Authority, Revenue Refunding Bonds, Olin Corporation, Series  4/14 at 100.00  Ba1  1,996,600 
  1993D, 6.750%, 3/01/16       
2,000  Illinois Educational Facilities Authority, Revenue Bonds, Art Institute of Chicago, Series  3/14 at 102.00  A+  2,158,360 
  2000, 4.450%, 3/01/34 (Mandatory put 3/01/15)       
1,000  Illinois Educational Facilities Authority, Student Housing Revenue Bonds, Educational  5/12 at 101.00  Aaa  1,121,470 
  Advancement Foundation Fund, University Center Project, Series 2002, 6.625%, 5/01/17       
  (Pre-refunded 5/01/12)       
250  Illinois Finance Authority, Revenue Bonds, Roosevelt University, Series 2007, 5.250%, 4/01/22  4/17 at 100.00  Baa2  249,978 
20  Illinois Health Facilities Authority, Revenue Bonds, Condell Medical Center, Series 2002,  No Opt. Call  Aaa  21,725 
  5.250%, 5/15/12 (ETM)       
50  Illinois Health Facilities Authority, Revenue Bonds, Lutheran General Health System, Series  No Opt. Call  AAA  53,000 
  1993A, 6.125%, 4/01/12 – AGM Insured (ETM)       
695  Illinois Health Facilities Authority, Revenue Bonds, Silver Cross Hospital and Medical  8/10 at 100.50  BBB  697,968 
  Centers, Series 1999, 5.500%, 8/15/19       
1,125  Illinois State, General Obligation Refunding Bonds, Series 2010, 5.000%, 1/01/19  No Opt. Call  A+  1,216,361 
1,355  Kane & DeKalb Counties, Illinois, Community United School District 301, General Obligation  No Opt. Call  A1  948,622 
  Bonds, Series 2006, 0.000%, 12/01/18 – NPFG Insured       
700  Regional Transportation Authority, Cook, DuPage, Kane, Lake, McHenry and Will Counties,  No Opt. Call  AA  902,454 
  Illinois, General Obligation Bonds, Series 1994D, 7.750%, 6/01/19 – FGIC Insured       
18,025  Total Illinois      19,060,980 
  Indiana – 0.4%      
250  Indiana Finance Authority, Educational Facilities Revenue Bonds, Drexel Foundation For  10/19 at 100.00  BBB–  259,680 
  Educational Excellence, Inc., Series 2009A, 6.000%, 10/01/21       
250  Jasper County, Indiana, Pollution Control Revenue Refunding Bonds, Northern Indiana Public  No Opt. Call  A  275,908 
  Service Company Project, Series 1994A Remarketed, 5.850%, 4/01/19 – MBIA Insured       
500  Total Indiana      535,588 
  Iowa – 1.2%      
1,520  Iowa Tobacco Settlement Authority, Tobacco Settlement Asset-Backed Revenue Bonds, Series  6/11 at 101.00  AAA  1,593,902 
  2001B, 5.300%, 6/01/25 (Pre-refunded 6/01/11)       
  Kansas – 3.2%      
3,500  Wichita, Kansas, Hospital Facilities Revenue Refunding and Improvement Bonds, Via Christi  11/11 at 101.00  A+  3,575,424 
  Health System Inc., Series 2001-III, 5.500%, 11/15/21       
250  Wyandotte County-Kansas City Unified Government, Kansas, Sales Tax Special Obligation Bonds,  12/15 at 100.00  N/R  255,460 
  Redevelopment Project Area B, Series 2005, 5.000%, 12/01/20       
370  Wyandotte County-Kansas City Unified Government, Kansas, Sales Tax Special Obligation Capital  No Opt. Call  BBB  197,595 
  Appreciation Revenue Bonds Redevelopment Project Area B – Major Multi-Sport Athletic       
  Complex Project, Subordinate Lien Series 2010B, 0.000%, 6/01/21       
4,120  Total Kansas      4,028,479 
  Kentucky – 1.0%      
325  Kentucky Economic Development Finance Authority, Louisville Arena Project Revenue Bonds,  6/18 at 100.00  AAA  353,379 
  Louisville Arena Authority, Inc., Series 2008-A1, 5.750%, 12/01/28 – AGC Insured       
920  Kentucky Housing Corporation, Housing Revenue Bonds, Series 2005G, 5.000%, 7/01/30  1/15 at 100.60  AAA  946,533 
  (Alternative Minimum Tax)       
1,245  Total Kentucky      1,299,912 
  Louisiana – 1.4%      
1,010  Louisiana Public Facilities Authority, Revenue Bonds, Baton Rouge General Hospital, Series  7/14 at 100.00  A  1,032,271 
  2004, 5.250%, 7/01/24 – NPFG Insured       
  Tobacco Settlement Financing Corporation, Louisiana, Tobacco Settlement Asset-Backed Bonds,       
  Series 2001B:       
510  5.500%, 5/15/30  5/11 at 101.00  BBB  503,895 
245  5.875%, 5/15/39  5/11 at 101.00  BBB  240,472 
1,765  Total Louisiana      1,776,638 
  Maryland – 0.9%      
1,100  Maryland Energy Financing Administration, Revenue Bonds, AES Warrior Run Project, Series 1995,  9/10 at 100.00  N/R  1,100,440 
  7.400%, 9/01/19 (Alternative Minimum Tax)       
  Massachusetts – 1.9%      
500  Massachusetts Development Finance Agency, Revenue Bonds, Orchard Cove, Series 2007,  10/17 at 100.00  N/R  436,695 
  5.000%, 10/01/19       
1,505  Massachusetts Housing Finance Agency, Rental Housing Mortgage Revenue Bonds, Series 2000H,  7/10 at 100.00  A  1,506,731 
  6.650%, 7/01/41 – NPFG Insured (Alternative Minimum Tax)       
  Massachusetts Port Authority, Special Facilities Revenue Bonds, Delta Air Lines Inc.,       
  Series 2001A:       
100  5.200%, 1/01/20 – AMBAC Insured (Alternative Minimum Tax)  1/11 at 101.00  N/R  89,840 
435  5.000%, 1/01/27 – AMBAC Insured (Alternative Minimum Tax)  1/11 at 101.00  N/R  343,093 
2,540  Total Massachusetts      2,376,359 
  Michigan – 1.2%      
1,000  Cornell Township Economic Development Corporation, Michigan, Environmental Improvement Revenue  5/12 at 100.00  AAA  1,093,420 
  Refunding Bonds, MeadWestvaco Corporation-Escanaba Project, Series 2002, 5.875%, 5/01/18       
  (Pre-refunded 5/01/12)       
445  Michigan State Hospital Finance Authority, Hospital Revenue Refunding Bonds, Sinai Hospital,  7/10 at 100.00  BB  445,049 
  Series 1995, 6.625%, 1/01/16       
1,445  Total Michigan      1,538,469 
  Minnesota – 1.6%      
1,100  Becker, Minnesota, Pollution Control Revenue Bonds, Northern States Power Company, Series  8/12 at 101.00  A1  1,258,818 
  1993A, 8.500%, 9/01/19       
250  Northern Municipal Power Agency, Minnesota, Electric System Revenue Bonds, Refunding Series  No Opt. Call  AAA  281,108 
  2009A, 5.000%, 1/01/15 – AGC Insured       
440  White Earth Band of Chippewa Indians, Minnesota, Revenue Bonds, Series 2000A, 7.000%,  No Opt. Call  N/R  451,898 
  12/01/11 – ACA Insured       
1,790  Total Minnesota      1,991,824 
  Mississippi – 0.6%      
  Mississippi Hospital Equipment and Facilities Authority, Revenue Bonds, Baptist Memorial       
  Healthcare, Series 2004B-1:       
280  5.000%, 9/01/16  No Opt. Call  AA  300,194 
300  5.000%, 9/01/24  9/14 at 100.00  AA  307,689 
250  Warren County, Mississippi, Gulf Opportunity Zone Revenue Bonds, International Paper Company,  8/11 at 100.00  BBB  225,828 
  Series 2006A, 4.800%, 8/01/30       
830  Total Mississippi      833,711 
  Montana – 0.1%      
70  University of Montana, Revenue Bonds, Series 1996D, 5.375%, 5/15/19 – MBIA Insured (ETM)  11/10 at 100.00  A (4)  81,515 
  Nebraska – 0.9%      
1,000  Dodge County School District 1, Nebraska, Fremont Public Schools, General Obligation Bonds,  12/14 at 100.00  Aa3  1,101,730 
  Series 2004, 5.000%, 12/15/19 – AGM Insured       
  Nevada – 1.2%      
1,000  Clark County, Nevada, Airport Revenue Bonds, Subordinte Lien Series 2010B, 5.750%, 7/01/42  1/20 at 100.00  Aa3  1,061,620 
  Director of Nevada State Department of Business and Industry, Revenue Bonds, Las Vegas       
  Monorail Project, First Tier, Series 2000:       
800  0.000%, 1/01/15 – AMBAC Insured  No Opt. Call  N/R  169,432 
35  0.000%, 1/01/16 – AMBAC Insured  No Opt. Call  N/R  6,949 
120  0.000%, 1/01/18 – AMBAC Insured  No Opt. Call  N/R  21,263 
50  0.000%, 1/01/20 – AMBAC Insured  No Opt. Call  N/R  7,856 
250  Las Vegas Redevelopment Agency, Nevada, Tax Increment Revenue Bonds, Series 2009A,  6/19 at 100.00  A  289,135 
  8.000%, 6/15/30       
2,255  Total Nevada      1,556,255 
  New Jersey – 0.9%      
410  Bayonne Redevelopment Agency, New Jersey, Revenue Bonds, Royal Caribbean Cruises Project,  No Opt. Call  BB–  381,439 
  Series 2006A, 4.750%, 11/01/16 (Alternative Minimum Tax)       
1,730  New Jersey Transportation Trust Fund Authority, Transportation System Bonds, Capital  No Opt. Call  AA–  440,233 
  Appreciation Series 2010A, 0.000%, 12/15/33       
425  Tobacco Settlement Financing Corporation, New Jersey, Tobacco Settlement Asset-Backed Bonds,  6/17 at 100.00  BBB  383,852 
  Series 2007-1A, 4.500%, 6/01/23       
2,565  Total New Jersey      1,205,524 
  New York – 6.3%      
220  Brooklyn Areba Local Development Corporation, New York, Payment in Lieu of Taxes Revenue  1/20 at 100.00  BBB–  226,921 
  Bonds, Barclays Center Project, Series 2009, 6.000%, 7/15/30       
1,000  Dormitory Authority of the State of New York, Revenue Bonds, Brooklyn Law School, Series  7/13 at 100.00  BBB+  1,070,680 
  2003A, 5.500%, 7/01/15 – RAAI Insured       
170  New York City Industrial Development Agency, New York, Civic Facility Revenue Bonds, Special  No Opt. Call  N/R  167,839 
  Needs Facilities Pooled Program, Series 2008A-1, 5.700%, 7/01/13       
1,500  New York State Energy Research and Development Authority, Facilities Revenue Bonds,  10/10 at 100.00  A–  1,501,815 
  Consolidated Edison Company Inc., Series 2001A, 4.700%, 6/01/36 (Mandatory put 10/01/12)       
  (Alternative Minimum Tax)       
  New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and       
  State Contingency Contract-Backed Bonds, Series 2003A-1:       
20  5.500%, 6/01/14  12/10 at 100.00  AA–  20,071 
195  5.250%, 6/01/20 – AMBAC Insured  6/13 at 100.00  AA–  208,695 
125  5.250%, 6/01/22 – AMBAC Insured  6/13 at 100.00  AA–  132,260 
65  New York State Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed and  6/13 at 100.00  AA–  70,191 
  State Contingency Contract-Backed Bonds, Series 2003B-1C, 5.500%, 6/01/22       
4,300  Port Authority of New York and New Jersey, Special Project Bonds, JFK International Air  No Opt. Call  A  4,584,272 
  Terminal LLC, Sixth Series 1997, 7.000%, 12/01/12 – NPFG Insured (Alternative Minimum Tax)       
7,595  Total New York      7,982,744 
  North Carolina – 1.6%      
1,880  Union County, North Carolina, Certificates of Participation, Series 2003, 5.000%, 6/01/18 –  6/13 at 101.00  Aa2  2,033,295 
  AMBAC Insured       
  Ohio – 1.3%      
770  Buckeye Tobacco Settlement Financing Authority, Ohio, Tobacco Settlement Asset-Backed Revenue  6/17 at 100.00  BBB  651,366 
  Bonds, Senior Lien, Series 2007A-2, 5.125%, 6/01/24       
1,000  Toledo-Lucas County Port Authority, Ohio, Port Revenue Bonds, Cargill Inc., Series 2004B,  No Opt. Call  A  1,062,650 
  4.500%, 12/01/15       
1,770  Total Ohio      1,714,016 
  Pennsylvania – 7.3%      
200  Luzerne County Industrial Development Authority, Pennsylvania, Guaranteed Lease Revenue Bonds,  12/19 at 100.00  N/R  200,958 
  Series 2009, 7.750%, 12/15/27       
400  Pennsylvania Economic Development Financing Authority, Pollution Control Revenue Bonds, PPL  No Opt. Call  A–  402,160 
  Electric Utilities Corporation, Refunding Series 2008, 4.850%, 10/01/23 (Mandatory       
  put 10/01/10)       
770  Pennsylvania Higher Educational Facilities Authority, College Revenue Bonds, Ninth Series  No Opt. Call  Aaa  882,320 
  1976, 7.625%, 7/01/15 (ETM)       
225  Pennsylvania Higher Educational Facilities Authority, Revenue Bonds, University of the Arts,  9/10 at 100.00  N/R (4)  251,354 
  Series 1999, 5.150%, 3/15/20 – RAAI Insured (ETM)       
4,120  Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Eighteenth Series 2004, 5.000%, 8/01/15 –  9/10 at 100.00  Baa2  4,328,100 
  AMBAC Insured       
1,435  Philadelphia Gas Works, Pennsylvania, Revenue Bonds, Twelfth Series 1990B, 7.000%, 5/15/20 –  No Opt. Call  Aaa  1,781,151 
  MBIA Insured (ETM)       
250  Philadelphia Hospitals and Higher Education Facilities Authority, Pennsylvania, Hospital  4/17 at 100.00  BBB  249,975 
  Revenue Bonds, Temple University Hospital, Series 1993A, 6.625%, 11/15/23       
1,085  Pittsburgh School District, Allegheny County, Pennsylvania, General Obligation Bonds, Series  No Opt. Call  Aa3  1,177,648 
  2006B, 5.000%, 9/01/12 – AMBAC Insured       
8,485  Total Pennsylvania      9,273,666 
  Puerto Rico – 0.6%      
1,000  Puerto Rico Sales Tax Financing Corporation, Sales Tax Revenue Bonds, First Subordinate Series  8/26 at 100.00  A+  810,470 
  2009A, 0.000%, 8/01/32       
  Rhode Island – 0.7%      
  Rhode Island Tobacco Settlement Financing Corporation, Tobacco Settlement Asset-Backed Bonds,       
  Series 2002A:       
255  6.125%, 6/01/32  6/12 at 100.00  BBB  247,949 
725  6.250%, 6/01/42  6/12 at 100.00  BBB  690,418 
980  Total Rhode Island      938,367 
  South Carolina – 5.4%      
750  Berkeley County School District, South Carolina, Installment Purchase Revenue Bonds, Securing  12/13 at 100.00  A1  787,290 
  Assets for Education, Series 2003, 5.250%, 12/01/19       
1,540  Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,  No Opt. Call  Baa1 (4)  1,981,934 
  1/01/19 – FGIC Insured (ETM)       
2,835  Piedmont Municipal Power Agency, South Carolina, Electric Revenue Bonds, Series 1991, 6.750%,  No Opt. Call  Baa1  3,433,241 
  1/01/19 – FGIC Insured       
5  South Carolina JOBS Economic Development Authority, Economic Development Revenue Bonds, Bon  11/12 at 100.00  A3 (4)  5,578 
  Secours Health System Inc., Series 2002A, 5.625%, 11/15/30 (Pre-refunded 11/15/12)       
20  South Carolina JOBS Economic Development Authority, Economic Development Revenue Bonds, Bon  11/12 at 100.00  A–  20,040 
  Secours Health System Inc., Series 2002B, 5.625%, 11/15/30       
450  South Carolina JOBS Economic Development Authority, Hospital Revenue Bonds, Palmetto Health  No Opt. Call  Baa2 (4)  462,047 
  Alliance, Series 2000A, 7.000%, 12/15/10 (ETM)       
195  Tobacco Settlement Revenue Management Authority, South Carolina, Tobacco Settlement  5/12 at 100.00  BBB (4)  202,999 
  Asset-Backed Bonds, Series 2001B, 6.000%, 5/15/22 (Pre-refunded 5/15/12)       
5,795  Total South Carolina      6,893,129 
  South Dakota – 0.8%      
1,000  South Dakota Health and Educational Facilities Authority, Revenue Bonds, Sanford Health,  5/17 at 100.00  AA–  997,630 
  Series 2007, 5.000%, 11/01/27       
  Tennessee – 2.1%      
  Shelby County Health, Educational and Housing Facilities Board, Tennessee, Hospital Revenue       
  Bonds, Methodist Healthcare, Series 2002:       
750  6.000%, 9/01/17 (Pre-refunded 9/01/12)  9/12 at 100.00  AAA  837,638 
1,250  6.000%, 9/01/17 (Pre-refunded 9/01/12)  9/12 at 100.00  AAA  1,396,063 
400  The Tennessee Energy Acquisition Corporation, Gas Revenue Bonds, Series 2006A, 5.000%, 9/01/13  No Opt. Call  BB+  421,224 
2,400  Total Tennessee      2,654,925 
  Texas – 6.8%      
1,055  Austin, Texas, General Obligation Bonds, Series 2004, 5.000%, 9/01/20 – NPFG Insured  9/14 at 100.00  AAA  1,164,108 
565  Bexar County Housing Finance Corporation, Texas, FNMA Guaranteed Multifamily Housing Revenue  No Opt. Call  AAA  598,499 
  Bonds, Villas Sonterra Apartments Project, Series 2007A, 4.700%, 10/01/15 (Alternative       
  Minimum Tax)       
25  Brazos River Authority, Texas, Collateralized Pollution Control Revenue Bonds, Texas Utilities  No Opt. Call  CCC  17,575 
  Electric Company, Series 2003D, 5.400%, 10/01/29 (Mandatory put 10/01/14)       
2,000  Brazos River Authority, Texas, Collateralized Revenue Refunding Bonds, CenterPoint Energy  6/14 at 100.00  BBB+  2,008,120 
  Inc., Series 2004B, 4.250%, 12/01/17 – FGIC Insured       
500  Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Electric  No Opt. Call  CCC  478,565 
  Company, Series 2001C, 5.750%, 5/01/36 (Mandatory put 11/01/11) (Alternative Minimum Tax)       
15  Brazos River Authority, Texas, Pollution Control Revenue Refunding Bonds, TXU Energy Company  No Opt. Call  CCC  12,041 
  LLC, Series 2003A, 6.750%, 4/01/38 (Mandatory put 4/01/13) (Alternative Minimum Tax)       
1,875  Denton Independent School District, Denton County, Texas, General Obligation Bonds, Series  8/16 at 100.00  AAA  2,090,888 
  2006, 5.000%, 8/15/20       
5  Galveston Property Finance Authority Inc., Texas, Single Family Mortgage Revenue Bonds, Series  9/10 at 100.00  Caa1  4,924 
  1991A, 8.500%, 9/01/11       
300  Kerrville Health Facilities Development Corporation, Texas, Revenue Bonds, Sid Peterson  No Opt. Call  BBB–  275,652 
  Memorial Hospital Project, Series 2005, 5.125%, 8/15/26       
325  North Texas Thruway Authority, Second Tier System Revenue Refunding Bonds, Series 2008,  1/18 at 100.00  A3  339,680 
  5.750%, 1/01/38       
25  Sabine River Authority, Texas, Pollution Control Revenue Bonds, TXU Energy Company LLC  No Opt. Call  CCC  23,975 
  Project, Series 2001B, 5.750%, 5/01/30 (Mandatory put 11/01/11) (Alternative Minimum Tax)       
1,500  Texas Municipal Gas Acquisition and Supply Corporation I, Gas Supply Revenue Bonds, Series  7/10 at 100.00  A  1,263,750 
  2006B, 0.910%, 12/15/17       
215  Tri-County Mental Health and Retardation Center, Texas, Revenue Bonds, Facilities Acquisition  9/10 at 100.00  AAA  216,716 
  Program, Series 1995E, 6.500%, 3/01/15 – AGM Insured       
145  Weslaco Health Facilities Development Corporation, Texas, Hospital Revenue Bonds, Knapp  6/12 at 100.00  N/R (4)  155,117 
  Medical Center, Series 2002, 6.000%, 6/01/17 (Pre-refunded 6/01/12)       
8,550  Total Texas      8,649,610 
  Utah – 0.2%      
235  Bountiful, Davis County, Utah, Hospital Revenue Refunding Bonds, South Davis Community  No Opt. Call  N/R  235,038 
  Hospital Project, Series 1998, 6.000%, 12/15/10       
  Virginia – 0.2%      
250  Virginia College Building Authority, Educational Facilities Revenue Refunding Bonds, Marymount  7/10 at 100.00  N/R  250,138 
  University, Series 1998, 5.100%, 7/01/18 – RAAI Insured       
  Washington – 0.7%      
295  Washington Public Power Supply System, Revenue Refunding Bonds, Nuclear Project 3, Series  No Opt. Call  Aaa  372,305 
  1989B, 7.125%, 7/01/16 – NPFG Insured       
520  Washington State Tobacco Settlement Authority, Tobacco Settlement Asset-Backed Revenue Bonds,  6/13 at 100.00  BBB  531,908 
  Series 2002, 6.500%, 6/01/26       
815  Total Washington      904,213 
  Wisconsin – 3.7%      
  Badger Tobacco Asset Securitization Corporation, Wisconsin, Tobacco Settlement Asset-Backed       
  Bonds, Series 2002:       
465  6.125%, 6/01/27 (Pre-refunded 6/01/12)  6/12 at 100.00  AAA  501,628 
1,480  6.375%, 6/01/32 (Pre-refunded 6/01/12)  6/12 at 100.00  AAA  1,638,404 
1,000  Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Agnesian Healthcare  7/11 at 100.00  A–  1,008,790 
  Inc., Series 2001, 6.000%, 7/01/21       
1,150  Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Aurora Health Care Inc.,  8/10 at 100.00  A3  1,150,138 
  Series 1999A, 5.500%, 2/15/20 – ACA Insured       
  Wisconsin Health and Educational Facilities Authority, Revenue Bonds, Wheaton Franciscan       
  Healthcare System, Series 2006:       
200  5.250%, 8/15/18  8/16 at 100.00  BBB+  203,548 
180  5.250%, 8/15/34  8/16 at 100.00  BBB+  164,601 
4,475  Total Wisconsin      4,667,109 
$     126,950  Total Long-Term Investments (cost $119,722,319) – 97.1%      123,593,973 
 
  Short-Term Investments – 1.0%      
$         1,307  State Street Bank Euro Dollar Time Deposit, 0.010%, 7/01/10  N/A  N/A  1,307,032 
  Total Short-Term Investments (cost $1,307,032)      1,307,032 
  Total Investments (cost $121,029,351) – 98.1%      124,901,005 
  Other Assets Less Liabilities – 1.9%      2,376,564 
  Net Assets – 100%      $ 127,277,569 

Fair Value Measurements
 
In determining the value of the Fund’s investments, various inputs are used. These inputs are summarized in the three broad levels listed below:
 
  Level 1 – Quoted prices in active markets for identical securities.
 
  Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
  Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of June 30, 2010:
 
  Level 1 Level 2 Level 3 Total
Investments:         
Municipal Bonds  $             —  $123,593,973  $ —  $123,593,973 
Short-Term Investments  1,307,032  —  —  1,307,032 
Total  $1,307,032  $123,593,973  $ —  $124,901,005 

Income Tax Information
 
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to timing differences in recognizing taxable market discount and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
 
At June 30, 2010, the cost of investments was $120,915,820.
 
Gross unrealized appreciation and gross unrealized depreciation of investments at June 30, 2010, were as follows:
 
Gross unrealized:   
   Appreciation  $ 5,386,749 
   Depreciation  (1,401,564)
Net unrealized appreciation (depreciation) of investments  $ 3,985,185 

(1)  All percentages shown in the Portfolio of Investments are based on net assets. 
(2)  Optional Call Provisions: Dates (month and year) and prices of the earliest optional call or redemption. 
  There may be other call provisions at varying prices at later dates. Certain mortgage-backed securities 
  may be subject to periodic principal paydowns. 
(3)  Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, 
  Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or 
  BBB by Fitch are considered to be below investment grade. 
(4)  Backed by an escrow or trust containing sufficient U.S. Government or U.S. Government agency securities, 
  which ensure the timely payment of principal and interest. Such investments are normally considered to 
  be equivalent to AAA rated securities. 
N/A  Not applicable. 
N/R  Not rated. 
(ETM)  Escrowed to maturity. 
 
Item 2. Controls and Procedures.

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

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

 
SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
 
(Registrant)  Nuveen Select Maturities Municipal Fund 
 
By (Signature and Title)     /s/ Kevin J. McCarthy                    
                                                   Kevin J. McCarthy
                                                   Vice President and Secretary
 
Date         August 27, 2010        
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
 
By (Signature and Title)     /s/ Gifford R. Zimmerman                    
                                                    Gifford R. Zimmerman
                                                  Chief Administrative Officer (principal executive officer) 
 
Date         August 27, 2010        
 
By (Signature and Title)     /s/ Stephen D. Foy                              
                                                   Stephen D. Foy
                                                  Vice President and Controller (principal financial officer) 
 
Date         August 27, 2010