1 Chronicles 29:29 - 30
ESV - 29 Now the acts of King David, from first to last, are written in the Chronicles of Samuel the seer, and in the Chronicles of Nathan the prophet, and in the Chronicles of Gad the seer. 30 With accounts of all his rule and his might and of the circumstances that came upon him and upon Israel and upon all the kingdoms of the countries.
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My understanding is that the complete versions of the Chronicles of Nathan and Gad referenced in the passage cited in the question were likely lost during the Babylonian captivity of Judah, but that portions of those Chronicles were drawn on and included (by inspiration of the Holy Spirit) in the writing of the canonical books (1 and 2 Samuel, the beginning of 1 Kings, and 1 Chronicles) that recount David's life and actions.
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