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 811-09571
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Nuveen Senior Income Fund
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(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: July 31
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Date of reporting period: January 31
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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
Closed-End
Exchange-Traded
Funds
SEMIANNUAL REPORT January 31, 2004
NUVEEN SENIOR INCOME FUND
NSL
Photo of: Man holding up small boy.
Photo of: 2 women with 2 girls looking at seashells.
HIGH CURRENT INCOME
FROM A PORTFOLIO OF
SENIOR CORPORATE LOANS
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 and follow the simple instructions, using
the address sheet that accompanied this report as a guide.
2 You'll be taken to a page with several options. Select the NEW
ENROLLMENT-CREATE screen and follow the simple instructions.
3 Click Submit. Confirm the information you just entered is correct, then
click Submit again.
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.
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 of: Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
Sidebar text: We remain convinced that maintaining a well-balanced portfolio is
an important way to help you reduce overall investment risk.
Dear SHAREHOLDER
I am pleased to report that over the period ended January 31, 2004, the Nuveen
Senior Income Fund continued to provide you with attractive monthly income,
strong total return, and the opportunity for enhanced diversification within
your investment portfolio. For more specific information about the performance
of the Fund, please see the Portfolio Managers' Perspective and Performance
Overview sections of this report.
In the current environment, we remain convinced that a well-balanced portfolio,
structured and monitored with the help of an investment professional, can be an
important tool in helping to reduce overall investment risk and position
yourself to achieve your long-term financial goals. In this context, the senior
loans in your Nuveen Fund can represent an important element of diversification
within an overall portfolio crafted to perform well through a variety of market
conditions.
As in past letters, I'd also like to direct your attention to the inside front
cover of this report, which explains the quick and easy process to begin
receiving Fund reports like this via e-mail and the internet. Thousands of
Nuveen Fund shareholders already have signed-up, and they are getting their Fund
information faster and more conveniently than ever. I urge you to consider
joining them.
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
March 15, 2004
1
NUVEEN SENIOR INCOME FUND (NSL)
Managers' PERSPECTIVE
The Nuveen Senior Income Fund is managed by Gunther Stein and Lenny Mason of
Symphony Asset Management, an indirect wholly owned subsidiary of Nuveen
Investments, Inc. Gunther and Lenny have more than 25 years of combined
investment management experience, much of it in evaluating and purchasing senior
corporate loans and other high-yield debt. Here they review the prevailing
economic conditions and performance of NSL for the period ended January 31,
2004.
WHAT HAS BEEN THE GENERAL MARKET ENVIRONMENT FOR SENIOR CORPORATE LOANS OVER THE
PERIOD ENDED JANUARY 31, 2004?
During most of 2003, the senior loan market - sometimes called the leveraged
loan market - was one of the strongest in ten years, as many companies benefited
from signs of an economic recovery, improved access to capital and increased M&A
lending activity. The CSFB Leveraged Loan Index1 returned 2.26% in the fourth
quarter 2003, and 11.01% for the calendar year - the highest yearly return since
1993. The index posted a gain during each month of 2003 and the first month of
2004, and all industry sectors within the index had positive returns for the
fourth quarter and full year 2003. The improving economy and company
fundamentals helped the leveraged loan default rate in 2003 to decline to 2.3%,
down from 4.5% in 2002. The syndicated leveraged loan market in 2003 had $166
billion of new issuance, up from $139 billion in 2002. Secondary market loan
trading volume rose to $138 billion for 2003 from the previous record $117
billion in 2001.
IN THIS ENVIRONMENT, HOW DID NSL PERFORM?
For the twelve months ended January 31, 2004, the Nuveen Senior Income Fund
produced a total return on net asset value (NAV) of 21.80%. Over the same
period, the unmanaged, unleveraged CSFB Leverage Loan Index posted a total
return of 10.67%.
The Fund's total return performance for this period benefited from the strong
overall performance of the leveraged loan market. As noted, rising prices were
prevalent across nearly all industry sectors and ratings classes. The Fund's
performance relative to the index also benefited from the Fund's use of
leverage. Leveraging can add volatility to a Fund's net asset value and share
price. However, this strategy also can provide opportunities for net asset value
appreciation and enhanced income for common shareholders.
1 The CSFB Leveraged Loan Index consists of approximately $150 billion of
tradable term loans with at least one year to maturity and rated BBB or
lower.
2
The solid performance of several Fund holdings, including Washington Group,
Conseco, Airgate, RCN, Centennial Cellular and Wyndham, also helped enhance
overall total return performance during the period.
WHAT STRATEGIES DID YOU EMPLOY IN MANAGING THE FUND?
We continued to follow a value-oriented management strategy. That includes a
review of a company's fundamentals, cash flow and asset quality. Since the
new-issue market was robust over most of the period, we put an emphasis on
purchasing high-quality new issue loans with what we judged to be strong asset
coverage, solid business fundamentals and above average London Interbank Offered
Rate (LIBOR) spreads. We also continued to evaluate the entire portfolio on a
regular basis in an attempt to eliminate positions which we thought had the
potential for credit problems, general weakness, limited upside potential or
significant downside risk.
3
NUVEEN SENIOR INCOME FUND
Performance
OVERVIEW As of January 31, 2004
NSL
PORTFOLIO STATISTICS
==================================================
Share Price $9.32
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Common Share Net Asset Value $8.29
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Premium/Discount 12.42%
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Latest Dividend $.0430
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Market Yield 5.54%
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Net Assets Applicable to
Common Shares ($000) $246,715
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% OF TOTAL
TOP FIVE ISSUERS(1) INVESTMENTS
==================================================
Conseco, Inc. 2.8%
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Fort James Corporation 2.5%
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D.R. Horton, Inc. 2.4%
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MGM Grand 2.3%
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Charter Communications Operating, LLC 2.3%
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% OF TOTAL
TOP FIVE INDUSTRIES INVESTMENTS
==================================================
Hotels, Motels, Inns & Gaming 10.7%
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Printing & Publishing 7.6%
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Healthcare 7.1%
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Beverage, Food & Tobacco 7.0%
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Automotive 6.9%
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ANNUALIZED TOTAL RETURN
INCEPTION DATE 10/26/99
==================================================
ON SHARE PRICE ON NAV
--------------------------------------------------
1-Year 32.14% 21.80%
--------------------------------------------------
Since Inception 7.23% 5.81%
--------------------------------------------------
Bar Chart:
2003-2004 MONTHLY DIVIDENDS PER SHARE
Feb 0.043
Mar 0.043
Apr 0.043
May 0.043
Jun 0.043
Jul 0.043
Aug 0.043
Sep 0.043
Oct 0.043
Nov 0.043
Dec 0.043
Jan 0.043
Line Chart:
SHARE PRICE PERFORMANCE
1/31/03 7.51
7.58
7.58
7.62
7.8
7.83
7.75
7.78
8.04
8
8.08
8.03
7.96
8.11
8.25
8.36
8.48
8.25
8.1
8.38
8.42
8.32
8.41
8.55
8.65
8.75
8.77
8.89
8.97
8.78
8.45
8.77
8.76
8.9
8.87
8.86
8.89
8.8
8.74
8.84
8.95
8.98
9.38
9.28
9.27
9.26
1/31/04 9.32
Weekly Closing Price
Past performance is not predictive of future results.
(1) Top 5 Issuers excluding short-term investments.
4
Shareholder
MEETING REPORT
The Shareholder Meeting was held on October 22, 2003, in Chicago at Nuveen's
headquarters.
NSL
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APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS:
Common and Preferred
Preferred shares shares voting
voting together together
as a class as a class
====================================================================================================================================
William E. Bennett
For 27,011,123 --
Withhold 528,537 --
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Total 27,539,660 --
====================================================================================================================================
Robert P. Bremner
For 27,009,723 --
Withhold 529,937 --
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Total 27,539,660 --
====================================================================================================================================
Lawrence H. Brown
For 27,009,490 --
Withhold 530,170 --
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Total 27,539,660 --
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Jack B. Evans
For 27,011,123 --
Withhold 528,537 --
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Total 27,539,660 --
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Anne E. Impellizzeri
For 27,006,490 --
Withhold 533,170 --
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Total 27,539,660 --
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William L. Kissick
For 27,011,123 --
Withhold 528,537 --
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Total 27,539,660 --
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Thomas E. Leafstrand
For 27,010,123 --
Withhold 529,537 --
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Total 27,539,660 --
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Peter R. Sawers
For 27,008,490 --
Withhold 531,170 --
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Total 27,539,660 --
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5
Shareholder
MEETING REPORT (continued)
NSL
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APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS: (CONTINUED)
Common and Preferred
Preferred shares shares voting
voting together together
as a class as a class
====================================================================================================================================
William J. Schneider
For -- 1,836
Withhold -- --
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Total -- 1,836
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Timothy R. Schwertfeger
For -- 1,836
Withhold -- --
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Total -- 1,836
====================================================================================================================================
Judith M. Stockdale
For 27,009,123 --
Withhold 530,537 --
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Total 27,539,660 --
====================================================================================================================================
Sheila W. Wellington
For 27,009,123 --
Withhold 530,537 --
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Total 27,539,660 --
====================================================================================================================================
6
Nuveen Senior Income Fund (NSL)
Portfolio of
INVESTMENTS January 31, 2004 (Unaudited)
RATINGS*
-----------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
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VARIABLE RATE SENIOR LOAN INTERESTS(2) AND INTEREST
BEARING SECURITIES - 152.7% (95.1% OF TOTAL ASSETS)
AEROSPACE/DEFENSE - 3.6% (2.2% OF TOTAL ASSETS)
$ 1,510 DeCrane Aircraft Holdings, Inc., Term Loan D B3 B- 12/17/06 $ 1,400,528
4,138 United Defense Industries, Inc., Term Loan B Ba2 BB 08/13/09 4,165,984
224 Vought Aircraft Industries, Inc., Term Loan B Ba3 B+ 06/30/07 224,559
156 Vought Aircraft Industries, Inc., Term Loan C Ba3 B+ 06/30/08 156,796
2,933 Vought Aircraft Industries, Inc., Term Loan X Ba3 B+ 12/31/06 2,938,718
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8,886,585
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AUTOMOTIVE - 10.9% (6.8% OF TOTAL ASSETS)
1,224 Federal-Mogul Corporation, Term Loan A (b) NR NR 02/24/04 1,118,367
5,551 Federal-Mogul Corporation, Term Loan B (b) NR NR 02/24/05 5,028,032
4,480 Meridian Automotive Systems, Term Loan A NR NR 06/30/06 4,418,384
6,796 Metaldyne Company/Metalync Company, LLC, Term Loan D B2 BB- 12/31/09 6,820,173
3,046 MetalForming Technologies, Inc., Term Loan A NR NR 09/30/07 2,893,481
1,070 MetalForming Technologies, Inc., Term Loan B (PIK) NR NR 09/30/07 642,231
3,448 Tenneco Inc, Term Loan B B1 B 12/12/10 3,505,747
1,552 Tenneco Inc, Term Loan B-1 B1 B 12/12/10 1,577,586
990 United Components, Inc., Term Loan C B1 BB- 06/30/10 1,002,375
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27,006,376
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BEVERAGE, FOOD & Tobacco - 11.2% (7.0% OF TOTAL ASSETS)
1,878 Birds Eye Foods, Inc., Term Loan B Ba3 B+ 08/20/08 1,898,572
1,875 Constellation Brands, Inc., Term Loan B Ba1 BB 11/30/08 1,898,828
1,860 Dean Foods Company, Term Loan B Ba1 BB+ 07/15/08 1,883,418
4,950 Del Monte Corporation, Term Loan B Ba3 BB- 12/20/10 5,015,588
7,000 Dr. Pepper/Seven UP Bottling Group, Inc., Term Loan B-2 B1 NR 12/19/10 7,099,166
1,000 DS Waters Enterprises, LP, Term Loan B1 B+ 11/07/09 1,015,625
1,378 Eagle Family Foods, Inc., Term Loan B2 B 12/31/05 1,352,929
4,000 Jack in the Box Inc., Term Loan B Ba2 BB 01/09/10 4,042,500
1,000 Michael Foods, Inc., Term Loan B B1 B+ 11/20/10 1,014,792
988 Nellson Nutraceutical, Inc., Term Loan B1 B+ 10/04/09 994,906
333 Reddy Ice Group, Inc., Supplemental Term Loan B1 B+ 08/15/09 336,171
998 Reddy Ice Group, Inc., Term Loan B1 B+ 08/17/09 1,008,514
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27,561,009
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BROADCASTING/CABLE - 6.7% (4.2% OF TOTAL ASSETS)
4,000 Century Cable Holdings, LLC, Discretionary Term Loan (b) Caa1 NR 12/31/09 3,961,500
1,640 Century Cable Holdings, LLC, Revolver (b) Caa1 NR 10/25/10 1,599,000
2,000 Century Cable Holdings, LLC, Revolver (b) Caa1 NR 10/25/10 1,950,000
5,265 Charter Communications Operating, LLC, Incremental Term Loan B2 B 09/18/08 5,187,364
2,000 Charter Communications Operating, LLC, Term Loan A B2 B 09/18/07 1,948,250
1,980 Charter Communications Operating, LLC, Term Loan B B2 B 03/18/08 1,954,001
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16,600,115
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BROADCASTING/RADIO - 0.7% (0.4% OF TOTAL ASSETS)
1,733 Emmis Communications Corporation, Term Loan B Ba2 B+ 08/31/09 1,755,513
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BROADCASTING/TELEVISION - 0.8% (0.5% OF TOTAL ASSETS)
2,000 Gray Television, Term Loan C Ba2 B+ 12/31/10 2,020,250
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7
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS January 31, 2004 (Unaudited)
RATINGS*
-----------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
BUILDINGS & Real Estate - 6.2% (3.9% OF TOTAL ASSETS)
$ 3,000 D.R. Horton, Inc., Bond, 10.500% Ba1 BB 04/01/05 $ 3,247,500
6,000 D.R. Horton, Inc., Bond, 8.375% Ba1 BB 06/15/04 6,150,000
2,000 Kaufman & Broad Home Corporation, Bond, 7.750% Ba1 BB+ 10/15/04 2,075,000
1,973 Lennar Corporation, Term Loan C Baa3 NR 12/15/08 1,982,953
1,955 Williams Scotsman, Inc., Term Loan B1 BB- 12/31/06 1,961,846
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15,417,299
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CHEMICALS, PLASTICS & Rubber - 3.4% (2.1% OF TOTAL ASSETS)
1,995 Buckeye Technologies, Inc., Term Loan B B1 BB- 03/15/08 2,007,469
899 CP Kelco ApS, Inc., Term Loan B B3 B 03/31/08 905,866
294 CP Kelco ApS, Inc., Term Loan C B3 B 09/30/08 296,138
1,404 Ethyl Corporation, Term Loan Ba3 B+ 04/30/09 1,415,348
1,735 Polymer Group, Inc., Term Loan NR NR 12/31/06 1,748,968
1,990 Rockwood Specialties Group, Inc., Term Loan C B1 B+ 12/08/10 2,001,194
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8,374,983
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CONTAINERS, PACKAGING & Glass - 7.4% (4.6% OF TOTAL ASSETS)
1,900 Crown Cork & Seal, Term Loan B-1 Ba3 NR 02/26/08 1,926,125
6,975 Graham Packaging Company, Term Loan B (Tranche 1) B2 B 02/14/10 7,060,016
5,387 Smurfit-Stone Container Corporation, Term Loan B B2 NR 06/30/09 5,434,604
330 Smurfit-Stone Container Corporation, Term Loan C B2 NR 06/30/09 333,277
1,044 United States Can Company, Term Loan A B2 B 01/04/06 1,047,314
2,455 United States Can Company, Term Loan B B2 B 01/04/06 2,463,588
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18,264,924
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DIVERSIFIED MANUFACTURING - 5.4% (3.3% OF TOTAL ASSETS)
2,985 Amsted Industries Incorporated, Term Loan B B1 BB- 10/15/10 3,004,123
1,990 Eaglepicher Incorporated, Term Loan B B2 B+ 08/07/09 2,012,388
4,563 GenTek Inc., Term Loan NR NR 11/10/08 4,587,372
5,426 Western Industries Holding Inc., Term Loan B NR NR 06/23/06 3,662,819
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13,266,702
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DURABLE CONSUMER PRODUCTS - 1.6% (1.0% OF TOTAL ASSETS)
3,791 Jostens, Inc., Term Loan B Ba3 B+ 07/29/10 3,830,436
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ECOLOGICAL - 2.7% (1.7% OF TOTAL ASSETS)
6,489 Allied Waste North America, Inc., Term Loan B Ba3 BB 01/15/10 6,595,548
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ELECTRONICS & ELECTRONIC SERVICES - 2.3% (1.4% OF TOTAL ASSETS)
5,500 Xerox Corporation, Bond, 5.875% B1 B+ 05/15/04 5,568,750
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FARMING & AGRICULTURAL - 2.3% (1.4% OF TOTAL ASSETS)
1,414 Seminis Vegetable Seeds, Inc., Term Loan B Ba3 BB- 09/29/09 1,418,853
3,387 Shemin Holdings Corporation, Term Loan B NR NR 01/28/07 3,150,287
1,000 The Scotts Company, Term Loan Ba1 BB 09/30/10 1,013,661
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5,582,801
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HEALTHCARE - 11.3% (7.1% OF TOTAL ASSETS)
2,191 Alaris Medical Systems, Inc., Term Loan B1 BB 06/30/09 2,217,196
881 Alderwoods Group, Inc., Term Loan B B1 BB- 09/29/08 894,168
998 Community Health Systems, Inc., Incremental Term Loan Ba3 BB- 01/16/11 1,007,787
4,444 Community Health Systems, Inc., Term Loan B Ba3 BB- 07/16/09 4,512,073
2,032 Fisher Scientific International Inc., Term Loan C Ba3 BB+ 03/31/10 2,046,813
1,995 Hanger Orthopedic, Term Loan B B1 B+ 09/30/09 2,015,573
3,000 HCA Inc, 6.910% - 06/2005 Ba1 BBB- 06/15/05 3,161,763
3,980 Kinetic Concepts, Inc., Term Loan B B1 BB- 08/11/10 4,039,702
3,500 Mariner Health Care, Inc., Term Loan Ba3 BB- 01/02/10 3,535,000
8
RATINGS*
-----------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE (continued)
$ 1,995 Quintiles Transnational Corp., Term Loan B B1 BB- 06/26/08 $ 2,037,394
2,643 Triad Hospitals, Inc., Term Loan B Ba3 BB 09/30/08 2,673,740
------------------------------------------------------------------------------------------------------------------------------------
28,141,209
------------------------------------------------------------------------------------------------------------------------------------
HOTELS, MOTELS, INNS & GAMING - 17.1% (10.7% OF TOTAL ASSETS)
5,000 Aladdin Gaming, LLC, Term Loan C Caa1 NR 02/26/08 4,525,000
5,000 Alliance Gaming Corporation, Term Loan B B1 BB- 09/05/09 5,052,083
2,402 Ameristar Casino, Inc., Term Loan B Ba3 BB- 12/20/06 2,416,277
2,370 Argosy Gaming Company, Term Loan B Ba2 BB 07/31/06 2,382,949
875 International Game Technology, Bond, 7.875% Baa3 BBB 05/15/04 889,348
1,920 Isle of Capri Casinos, Inc., Term Loan Ba2 BB- 04/26/08 1,937,215
2,000 Mandalay Resort Group, Bond, 6.450% Ba2 BB+ 02/01/06 2,100,000
8,798 MGM Grand, Bond, 6.95% Ba1 BB+ 02/01/05 9,193,910
1,443 Park Place Entertainment, Bond, 7.875% Ba2 BB- 12/15/05 1,547,618
4,002 Penn National Gaming, Term Loan D B1 BB- 09/01/07 4,045,651
1,190 Wyndham International, Inc., Term Loan 1 NR NR 06/30/06 1,155,490
7,039 Wyndham International, Inc., Term Loan 2 NR NR 04/01/06 6,890,851
------------------------------------------------------------------------------------------------------------------------------------
42,136,392
------------------------------------------------------------------------------------------------------------------------------------
INSURANCE 4.5% (2.8% OF TOTAL ASSETS)
5,030 Conseco, Inc., Tranche A-1 Caa1 B- 09/10/09 5,067,382
1,509 Conseco, Inc., Tranche B-1 Caa1 B- 09/10/10 1,523,987
4,675 GAB Robbins North America, Inc., Term Loan B NR NR 12/01/05 4,441,250
------------------------------------------------------------------------------------------------------------------------------------
11,032,619
------------------------------------------------------------------------------------------------------------------------------------
LEISURE & ENTERTAINMENT - 2.9% (1.8% OF TOTAL ASSETS)
7,000 Fitness Holdings Worldwide, Inc., Term Loan B B1 B 07/01/09 7,087,500
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 2.2% (1.4% OF TOTAL ASSETS)
2,339 Rexnord, Term Loan B1 B+ 11/25/09 2,356,492
2,992 Terex Corporation, Incremental Term Loan B1 BB- 12/31/09 2,995,810
------------------------------------------------------------------------------------------------------------------------------------
5,352,302
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 4.1% (2.5% OF TOTAL ASSETS)
1,990 CanWest Media Inc., Term Loan D NR B+ 05/15/09 2,011,092
3,491 Rainbow Media Holdings, LLC, Term Loan C Ba2 BB+ 03/31/09 3,524,337
2,435 Regal Cinemas Corporation, Term Loan D Ba2 BB- 06/30/09 2,466,434
2,000 Vivendi Universal Entertainment, Term Loan B Ba2 BB+ 06/30/08 2,018,125
------------------------------------------------------------------------------------------------------------------------------------
10,019,988
------------------------------------------------------------------------------------------------------------------------------------
MINING, STEEL, IRON, AND NON-PRECIOUS METALS - 2.4% (1.5% OF TOTAL ASSETS)
2,000 Ispat Inland LP, Term Loan B Caa1 B- 07/16/05 1,941,666
2,000 Ispat Inland LP, Term Loan C Caa1 B- 07/16/06 1,941,666
1,985 Peabody Energy Corporation, Term Loan B Ba1 BB+ 03/19/10 2,010,846
------------------------------------------------------------------------------------------------------------------------------------
5,894,178
------------------------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES/OIL & GAS - 1.7% (1.0% OF TOTAL ASSETS)
3,972 Tesoro Petroleum Corp., Term Loan B Ba3 NR 04/15/08 4,103,248
------------------------------------------------------------------------------------------------------------------------------------
NON-DURABLE CONSUMER PRODUCTS - 2.9% (1.8% OF TOTAL ASSETS)
6,767 Norwood Promotional Products, Inc., Term Loan A NR NR 02/01/05 6,327,387
6,025 Norwood Promotional Products, Inc., Term Loan B NR NR 02/01/05 813,423
1,459 Norwood Promotional Products, Inc., Term Loan C NR NR 02/01/05 43,763
------------------------------------------------------------------------------------------------------------------------------------
7,184,573
------------------------------------------------------------------------------------------------------------------------------------
9
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS January 31, 2004 (Unaudited)
RATINGS*
-----------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS - 4.2% (2.6% OF TOTAL ASSETS)
$ 1,072 California Pollution Control Financing Authority, CanFibre of NR NR 07/01/19 $ 192,943
Riverside Project, Bonds (a)(b)(c)
1,985 California Pollution Control Financing Authority, CanFibre of NR NR 07/01/14 357,301
Riverside Project, Bonds (a)(b)(c)
9,500 Fort James Corporation, Bond, 6.625% Ba2 BB+ 09/15/04 9,761,250
------------------------------------------------------------------------------------------------------------------------------------
10,311,494
------------------------------------------------------------------------------------------------------------------------------------
PERSONAL & MISCELLANEOUS SERVICES - 4.9% (3.0% OF TOTAL ASSETS)
4,401 Adams Outdoor Advertising Limited Partnership, Term Loan B B1 B+ 02/01/08 4,426,007
3,000 Lamar Media Corp., Term Loan B Ba2 BB- 06/30/10 3,031,250
3,000 Sola International Inc., Term Loan B Ba3 BB- 12/11/09 3,045,000
1,504 Weight Watchers International, Inc., Term Loan Ba1 BB 03/31/10 1,515,820
------------------------------------------------------------------------------------------------------------------------------------
12,018,077
------------------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 12.1% (7.7% OF TOTAL ASSETS)
6,766 American Media Operations, Inc., Term Loan C Ba3 B+ 04/01/07 6,850,983
2,975 Dex Media East, LLC, Term Loan B B1 BB- 11/10/08 3,011,933
5,661 Dex Media West, LLC, Term Loan B B1 BB- 03/09/10 5,748,151
4,500 Media News Group, Term Loan Ba3 BB 12/30/10 4,550,625
3,505 PRIMEDIA, Inc., Term Loan B NR B 06/30/09 3,466,740
4,455 R.H. Donnelley , Term Loan B-2 Ba3 NR 06/30/10 4,513,890
1,910 Sun Media Corporation, Term Loan B Ba2 BB 02/07/09 1,920,585
------------------------------------------------------------------------------------------------------------------------------------
30,062,907
------------------------------------------------------------------------------------------------------------------------------------
RESTAURANTS & FOOD SERVICE - 1.8% (1.1% OF TOTAL ASSETS)
4,353 Domino's, Inc., Term Loan B1 B+ 06/25/10 4,424,381
------------------------------------------------------------------------------------------------------------------------------------
RETAIL/CATALOG - 0.2% (0.1% OF TOTAL ASSETS)
742 Micro Warehouse, Inc., Term Loan A NR NR 01/30/07 378,636
2,165 Micro Warehouse, Inc., Term Loan B NR NR 01/30/07 43,301
------------------------------------------------------------------------------------------------------------------------------------
421,937
------------------------------------------------------------------------------------------------------------------------------------
RETAIL/SPECIALTY - 0.8% (0.5% OF TOTAL ASSETS)
2,000 Rite Aid Corporation, Term Loan Ba3 BB 04/30/08 2,044,000
------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/CELLULAR/PCS - 5.6% (3.5% OF TOTAL ASSETS)
393 Airgate PCS, Inc., Tranche I Loan B2 NR 06/06/07 385,157
5,016 Airgate PCS, Inc., Tranche II Loan B2 NR 09/30/08 4,915,961
8,434 Centennial Cellular Operating Company, LLC, Term Loan A B2 B 11/30/06 8,410,828
------------------------------------------------------------------------------------------------------------------------------------
13,711,946
------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) - 2.6% (1.6% OF TOTAL ASSETS)
6,613 RCN Corporation, Term Loan B Caa3 NR 06/03/07 6,436,492
5,000 WCI Capital Corporation, Term Loan B (a)(b) NR NR 09/30/07 12,500
------------------------------------------------------------------------------------------------------------------------------------
6,448,992
------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/HYBRID - 1.7% (1.1% OF TOTAL ASSETS)
1,750 Nextel Communications Inc., Term Loan A Ba2 BB 12/31/07 1,741,051
2,500 Nextel Finance Company, Term Loan E Ba2 BB 12/15/10 2,533,009
------------------------------------------------------------------------------------------------------------------------------------
4,274,060
------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/WIRELESS MESSAGING - 0.2% (0.1% OF TOTAL ASSETS)
458 Arch Wireless Holding, Inc., Subordinated Secured Compounding Notes (PIK) NR NR 05/15/09 528,779
------------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION/RAIL MANUFACTURING - 3.2% (2.0% OF TOTAL ASSETS)
7,760 Laidlaw Inc., Term Loan B-1 Ba3 BB+ 06/19/09 7,861,850
------------------------------------------------------------------------------------------------------------------------------------
10
RATINGS*
-----------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MOODY'S S&P MATURITY** VALUE
------------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 1.1% (0.7% OF TOTAL ASSETS)
$ 1,739 Sensus Metering Systems, Inc., Term Loan B-1 B2 B+ 12/17/10 $ 1,756,520
261 Sensus Metering Systems, Inc., Term Loan B-2 B2 B+ 12/17/10 263,473
780 Westar Energy, Term Loan B Ba1 NR 01/01/09 784,370
------------------------------------------------------------------------------------------------------------------------------------
2,804,363
------------------------------------------------------------------------------------------------------------------------------------
Total Variable Rate Senior Loan Interests and Interest Bearing
Securities (cost $384,165,161) 376,596,086
--------------------------------------------------------------------------------------------------------------------
MARKET
SHARES (000) DESCRIPTION(1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
EQUITIES - 4.3% (2.7% OF TOTAL ASSETS)
AUTOMOTIVE - 0.0% (0.0% OF TOTAL ASSETS)
280 MetalForming Technologies, Inc., Equity Shares, 279,642 shares (a) --
------------------------------------------------------------------------------------------------------------------------------------
BUILDINGS & REAL ESTATE - 1.4% (0.9% OF TOTAL ASSETS)
72 Washington Group International, Inc., Equity Shares (a) 2,675,547
5 Washington Group International, Inc., Warrants, Series A (a) 58,244
6 Washington Group International, Inc., Warrants, Series B (a) 55,210
3 Washington Group International, Inc., Warrants, Series C (a) 25,459
-- Washington Group International, Inc., Residual Unsecured Claim (a)(d) 628,497
------------------------------------------------------------------------------------------------------------------------------------
3,442,957
------------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED MANUFACTURING - 0.9% (0.6% OF TOTAL ASSETS)
59 GenTek Inc, Equity Shares, 58,724 shares (a) 2,293,172
-- GenTek Inc, Warrant Class A, 112 Shares (a) 373
-- GenTek Inc, Warrant Class B, 59 Shares (a) 324
-- GenTek Inc, Warrant Class C, 29 Shares (a) 213
------------------------------------------------------------------------------------------------------------------------------------
2,294,082
------------------------------------------------------------------------------------------------------------------------------------
INSURANCE 1.9% (1.2% OF TOTAL ASSETS)
175 Conseco, Inc., Preferred Equity Shares, 174,820 shares (a) 4,589,025
------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) - 0.0% (0.0% OF TOTAL ASSETS)
-- Teligent, Inc., Equity Shares, 50 Shares (a) 105,000
------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/WIRELESS MESSAGING - 0.1% (0.0% OF TOTAL ASSETS)
7 Arch Wireless Holding, Inc., Equity Shares (a) 149,254
------------------------------------------------------------------------------------------------------------------------------------
Total Equities (cost $9,502,617) 10,580,318
--------------------------------------------------------------------------------------------------------------------
11
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of INVESTMENTS January 31, 2004 (Unaudited)
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION(1) MATURITY VALUE
------------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 2.6% (1.6% OF TOTAL ASSETS)
$ 6,471 State Street Repurchase Agreement, 0.92%, dated 1/30/04, due 2/02/04, 02/02/04 $ 6,470,972
============ repurchase price $6,471,468, collateralized by U.S. Treasury Bonds
--------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (cost $6,470,972) 6,470,972
--------------------------------------------------------------------------------------------------------------------
Total Investments (cost $400,138,750) - 159.6% (99.4% of total assets) 393,647,376
--------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 0.7% 2,067,344
--------------------------------------------------------------------------------------------------------------------
Borrowings Payable - (41.7)%+ (103,000,000)
--------------------------------------------------------------------------------------------------------------------
Taxable Auctioned Preferred Shares, at Liquidation Value - (18.6)% (46,000,000)
--------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $246,714,720
====================================================================================================================
NR Not rated.
* Bank loans rated below Baa by Moody's Investor Service,
Inc. or BBB by Standard & Poor's Group are considered
to be below investment grade.
** Senior Loans in the Fund's portfolio generally are
subject to mandatory and/or optional prepayment.
Because of these mandatory prepayment conditions and
because there may be significant economic incentives
for a Borrower to prepay, prepayments of Senior Loans
in the Fund's portfolio may occur. As a result, the
actual remaining maturity of Senior Loans held in the
Fund's portfolio may be substantially less than the
stated maturities shown. The Fund estimates that the
actual average maturity of the Senior Loans held in its
portfolio will be approximately 18-24 months.
(1) All percentages shown in the Portfolio of Investments
are based on net assets applicable to Common shares
unless otherwise noted.
(2) Senior Loans in which the Fund invests generally pay
interest at rates which are periodically adjusted by
reference to a base short-term, floating lending rate
plus a premium. These base lending rates are generally
(i) the lending rate offered by one or more major
European banks, such as the London Inter-Bank Offered
Rate ("LIBOR"), (ii) the prime rate offered by one or
more major United States banks, or (iii) the
certificate of deposit rate.
Senior loans are generally considered to be restricted
in that the Fund ordinarily is contractually obligated
to receive approval from the Agent Bank and/or borrower
prior to the disposition of a Senior Loan.
(a) At or subsequent to January 31, 2004, this issue was
non-income producing.
(b) At or subsequent to January 31, 2004, this issue was
under the protection of the federal bankruptcy court.
(c) On January 1, 2002, CFRHoldings, Inc. (an entity formed
by Nuveen for the benefit of the Nuveen Funds owning
various interests in CanFibre of Riverside) took
possession of the CanFibre of Riverside assets on
behalf of the various Nuveen Funds. CFR Holdings, Inc.
determined that a sale of the facility was in the best
interest of shareholders and proceeded accordingly.
(d) Anticipates future distributions from equities and
warrants.
(PIK) In lieu of cash payment, interest accrued on "Payment
in Kind" security increases principal outstanding.
+ Borrowings payable as a percentage of total assets is
26.0%.
See accompanying notes to financial statements.
12
Statement of
ASSETS AND LIABILITIES January 31, 2004 (Unaudited)
------------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at market value (cost $400,138,750) $393,647,376
Receivables:
Interest 2,347,072
Investments sold 106,964
Other assets 78,123
------------------------------------------------------------------------------------------------------------------------------------
Total assets 396,179,535
------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Borrowings payable 103,000,000
Management fees payable 133,276
Taxable Auctioned Preferred share dividends payable 34,778
Other liabilities 296,761
------------------------------------------------------------------------------------------------------------------------------------
Total liabilities 103,464,815
------------------------------------------------------------------------------------------------------------------------------------
Taxable Auctioned Preferred shares, at liquidation value 46,000,000
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $246,714,720
====================================================================================================================================
Common shares outstanding 29,771,512
====================================================================================================================================
Net asset value per Common share outstanding (net assets applicable
to Common shares, divided by Common shares outstanding) $ 8.29
====================================================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
------------------------------------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 297,715
Paid-in surplus 282,832,210
Undistributed net investment income 2,808,697
Accumulated net realized gain (loss) from investments (32,732,528)
Net unrealized appreciation (depreciation) of investments (6,491,374)
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $246,714,720
====================================================================================================================================
Authorized shares:
Common Unlimited
Taxable Auctioned Preferred Unlimited
====================================================================================================================================
See accompanying notes to financial statements.
13
Statement of
OPERATIONS Six Months Ended January 31, 2004 (Unaudited)
------------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $11,317,341
Fees 576,039
------------------------------------------------------------------------------------------------------------------------------------
Total investment income 11,893,380
------------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 1,657,659
Taxable Auctioned Preferred Shares - auction fees 54,150
Taxable Auctioned Preferred Shares - dividend disbursing agent fees 3,025
Shareholders' servicing agent fees and expenses 3,472
Interest expense 583,446
Commitment fees 169,997
Custodian's fees and expenses 77,948
Trustees' fees and expenses 829
Professional fees 135,139
Shareholders' reports - printing and mailing expenses 33,234
Stock exchange listing fees 7,842
Investor relations expense 5,941
Other expenses 22,333
------------------------------------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense waivers 2,755,015
Custodian fee credit (656)
Expense waivers from the Adviser (878,372)
------------------------------------------------------------------------------------------------------------------------------------
Net expenses 1,875,987
------------------------------------------------------------------------------------------------------------------------------------
Net investment income 10,017,393
------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized gain (loss) from investments (3,709,310)
Change in net unrealized appreciation (depreciation) of investments 15,029,872
------------------------------------------------------------------------------------------------------------------------------------
Net gain from investments 11,320,562
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO TAXABLE AUCTIONED PREFERRED SHAREHOLDERS
From net investment income (259,359)
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets applicable to Common shares from operations $21,078,596
====================================================================================================================================
See accompanying notes to financial statements.
14
Statement of
CHANGES IN NET ASSETS (Unaudited)
SIX MONTHS YEAR
ENDED ENDED
1/31/04 7/31/03
------------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 10,017,393 $ 18,134,957
Net realized gain (loss) from investments (3,709,310) (4,858,554)
Change in net unrealized appreciation (depreciation) of investments 15,029,872 16,930,021
Distributions to Taxable Auctioned Preferred Shareholders from net investment income (259,359) (664,859)
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets applicable to Common shares from operations 21,078,596 29,541,565
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (7,679,846) (15,887,301)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common shares issued to shareholders due to reinvestment of distributions 96,447 106,705
------------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets applicable to Common shares 13,495,197 13,760,969
Net assets applicable to Common shares at the beginning of period 233,219,523 219,458,554
------------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares at the end of period $246,714,720 $233,219,523
====================================================================================================================================
Undistributed net investment income at the end of period $ 2,808,697 $ 730,509
====================================================================================================================================
See accompanying notes to financial statements.
15
Statement of
CASH FLOWS Six Months Ended January 31, 2004 (Unaudited)
------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHARES FROM OPERATIONS $ 21,078,596
Adjustments to Reconcile the Net Increase in Net Assets Applicable to Common Shares from Operations
to Net Cash provided by Operating Activities:
Purchase of investment securities (232,181,352)
Short-term investment securities, net 21,199,589
Proceeds from disposition of investment securities 203,876,379
Accretion/Amortization of bond discounts and premiums, net (547,184)
Increase in interest receivable (133,928)
Decrease in receivable from investments sold 6,116,820
Decrease in other assets 14,190
Increase in management fees payable 3,706
Increase in Taxable Auctioned Preferred share dividends payable 25,532
Decrease in other liabilities (143,025)
Net unrealized appreciation of investments (15,029,872)
Net realized loss from investments 3,709,310
Net realized gain from paydowns (405,362)
------------------------------------------------------------------------------------------------------------------------------------
Net cash provided by operating activities 7,583,399
------------------------------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common shareholders (7,583,399)
------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN CASH --
Cash at the beginning of period --
------------------------------------------------------------------------------------------------------------------------------------
CASH AT THE END OF PERIOD $ --
====================================================================================================================================
See accompanying notes to financial statements.
16
Notes to
FINANCIAL STATEMENTS (Unaudited)
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
Nuveen Senior Income Fund (the "Fund") is a non-diversified, closed-end
management investment company registered under the Investment Company Act of
1940, as amended. The Fund's Common shares are listed on the New York Stock
Exchange and trade under the ticker symbol "NSL". The Fund was organized as a
Massachusetts business trust on August 13, 1999.
The Fund seeks to provide a high level of current income by investing primarily
in senior secured loans whose interest rates float or adjust periodically based
on a benchmark interest rate index. The Fund seeks to increase the income
available for distribution to Common shareholders by utilizing financial
leverage.
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.
Investment Valuation
The prices of senior loans, bonds and other securities in the Fund's investment
portfolio are generally provided by one or more independent pricing services
approved by the Fund's Board of Trustees. The pricing services typically value
exchange-listed securities at the last sale price on that day; and value senior
loans, bonds and other securities traded in the over-the-counter market at the
mean of the highest bona fide bid and lowest bona fide ask prices when current
quotations are readily available. The pricing services value senior loans, bonds
and other securities for which current quotations are not readily available at
fair value using a wide range of market data and other information and analysis,
including the obligor's credit characteristics considered relevant by such
pricing service to determine valuations. The Board of Trustees of the Fund has
approved procedures which permit Nuveen Institutional Advisory Corp. (the
"Adviser"), a wholly owned subsidiary of Nuveen Investments, Inc., to determine
the fair value of securities for which the applicable pricing service or
services is not providing a price, using market data and other factors such as
the obligor's credit characteristics, and to override the price provided by the
independent pricing service in certain limited circumstances. Short-term
investments which mature within 60 days are valued at amortized cost, which
approximates market value.
The senior loans in which the Fund primarily invests are not listed on an
organized exchange and the secondary market for such investments is less liquid
relative to markets for other fixed income securities. Consequently, the value
of a senior loan, determined as described above, may differ significantly from
the value that would have been determined had there been an active market for
that senior loan.
Investment Transactions
Investment transactions are recorded on a trade date basis. Trade date for
senior loans purchased in the primary market is considered the date on which the
loan allocations are determined. Realized gains and losses from investment
transactions are determined on the specific identification method. Investments
purchased on a when-issued or delayed delivery basis may have extended
settlement periods. Any investments 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 January 31, 2004, the
Fund had no such outstanding purchase commitments.
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts, is recorded on an accrual basis. Interest income also includes
paydown gains and losses on senior loans. Facility fees on senior loans
purchased are treated as market discounts. Market premiums and discounts are
amortized over the expected life of each respective borrowing. Fees consists
primarily of amendment fees. Amendment fees are earned as compensation for
evaluating and accepting changes to the original credit agreement.
Income Taxes
The Fund intends to comply with the requirements of the Internal Revenue Code
applicable to regulated investment companies and to distribute substantially all
of its net investment income to its shareholders. Therefore, no federal income
tax provision is required.
17
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
Dividends and Distributions to Common Shareholders
The Fund intends to declare monthly income distributions to Common shareholders.
Net realized capital gains 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.
Distributions to Common shareholders of net investment income and net realized
capital gains, 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.
Taxable Auctioned Preferred Shares
The Fund has issued and outstanding 1,840 Series Th, $25,000 stated value
Taxable Auctioned Preferred shares. The dividend rate paid on the Taxable
Auctioned Preferred shares may change every 28 days, as set pursuant to a dutch
auction process by the auction agent, and is payable at or near the end of each
rate period.
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 January 31, 2004.
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Fund's
policy that its custodian take possession of the underlying collateral
securities, the fair value of which exceeds the principal amount of the
repurchase transaction, including accrued interest, at all times. If the seller
defaults, and the fair value of the collateral declines, realization of the
collateral may be delayed or limited.
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 applicable to Common shares from operations during the
reporting period. Actual results may differ from those estimates.
2. FUND SHARES
During the six months ended January 31, 2004, 11,358 Common shares were issued
to shareholders due to reinvestment of distributions.
During the fiscal year ended July 31, 2003, 14,141 Common shares were issued to
shareholders due to reinvestment of distributions.
3. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments) during the
six months ended January 31, 2004, aggregated $232,181,352 and $203,876,379,
respectively.
18
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 the treatment of paydown gains and losses on investments and
timing differences in recognizing certain gains and losses on investment
transactions.
At January 31, 2004, the cost of investments owned was $400,173,850.
The net unrealized depreciation of investments at January 31, 2004, aggregated
$6,526,474 of which $8,294,668 related to appreciated securities and $14,821,142
related to depreciated securities.
The tax components of undistributed net ordinary income and net realized gains
at July 31, 2003, the Fund's last fiscal year end, were as follows:
--------------------------------------------------------------------------------
Undistributed net ordinary income * $2,019,827
Undistributed net long-term capital gains --
================================================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest and net short-term capital gains, if any.
The tax character of distributions paid during the fiscal year ended July 31,
2003, the Fund's last fiscal year end, was designated for purposes of the
dividends paid deduction as follows:
--------------------------------------------------------------------------------
Distributions from net ordinary income * $16,734,378
Distributions from net long-term capital gains --
================================================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest and net short-term capital gains, if any.
At July 31, 2003, the Fund's last fiscal year end, the Fund had an unused
capital loss carryforward of $28,988,118 available to be applied against future
capital gains, if any. If not applied, $18,283,863 of the carryforward will
expire in 2010 and $10,704,255 will expire in 2011.
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, of .8500%, which is based upon the
average daily managed assets of the Fund. "Managed Assets" means the average
daily gross asset value of the Fund, minus the sum of the Fund's accrued and
unpaid dividends on any outstanding Taxable Auctioned Preferred shares and
accrued liabilities (other than the principal amount of any borrowings incurred,
commercial paper or notes issued by the Fund and the liquidation preference of
any outstanding Taxable Auctioned Preferred shares).
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Adviser has entered
into a Sub-Advisory Agreement with Symphony Asset Management ("Symphony"), an
indirect wholly owned subsidiary of Nuveen Investments, Inc., under which
Symphony manages the investment portfolio of the Fund. Symphony is compensated
for its services to the Fund from the management fee paid to the Adviser.
The Fund pays no compensation directly to those of its 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 or its affiliates.
The Adviser has agreed to waive part of its management fees or reimburse certain
expenses of the Fund in an amount equal to .45% of the average daily Managed
Assets for the period October 29, 1999 (commencement of operations) through
October 31, 2004, .35% of the average daily Managed Assets for the year ended
October 31, 2005, .25% of the average daily Managed Assets for the year ended
October 31, 2006, .15% of the average daily Managed Assets for the year ended
October 31, 2007, .10% of the average daily Managed Assets for the year ended
October 31, 2008, and .05% of the average daily Managed Assets for the year
ended October 31, 2009. The Adviser has not agreed to reimburse the Fund for any
portion of its fees and expenses beyond October 31, 2009.
19
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
6. COMMITMENTS
Pursuant to the terms of certain of the variable rate senior loan agreements,
the Fund may have unfunded senior loan commitments. The Fund will maintain with
its custodian, cash, liquid securities and/or liquid senior loans having an
aggregate value at least equal to the amount of unfunded senior loan
commitments. At January 31, 2004, there were no such unfunded senior loan
commitments.
7. SENIOR LOAN PARTICIPATION COMMITMENTS
The Fund invests primarily in assignments, participations, or acts as a party to
the primary lending syndicate of a variable rate senior loan interest to
corporations, partnerships, and other entities. If the Fund purchases a
participation of a senior loan interest, the Fund would typically enter into a
contractual agreement with the lender or other third party selling the
participation, but not with the borrower directly. As such, the Fund assumes the
credit risk of the Borrower, Selling Participant or other persons
interpositioned between the Fund and the Borrower. At January 31, 2004, the Fund
held senior loan participation commitments with Bear, Stearns &Co. Inc. and
Morgan Stanley Emerging Markets Inc. At January 31, 2004, the par values of the
commitments were $2 million and $1.64 million, respectively, while the market
values were approximately $1.95 million and $1.6 million, respectively.
8. BORROWINGS
In accordance with its current investment policies, the Fund may utilize
financial leverage for investment purposes in an amount currently anticipated to
represent approximately 40% of the Fund's total assets, and in no event
exceeding 50% of the Fund's total assets.
Through June 19, 2003, the Fund entered into a $150 million commercial paper
program with Nuveen Funding, LLC, a Delaware limited liability company whose
sole purpose was the issuance of commercial paper. On June 20th, 2003, the
commercial paper program with Nuveen Funding, LLC, was terminated. On June 20,
2003, the Fund entered into a commercial paper program with Bank One's conduit
financing agency, Falcon Asset Securitization Corp. ("Falcon"), whose sole
purpose is the issuance of high grade commercial paper. Falcon uses the proceeds
to make advances to the Fund and to many other borrowers who comprise Falcon's
total borrowing base. For the six months ended January 31, 2004, the average
daily balance of borrowings under the commercial paper program agreement was
$103 million with an average interest rate of 1.12%.
The Fund has also entered into a $110 million liquidity facility. If the
facility is utilized, interest on the borrowings would be charged a variable
interest rate. An unused commitment fee of .095% on 102% of the unused portion
of the $110 million facility is charged. There were no borrowings under the
revolving credit agreement during the six months ending January 31, 2004.
Cash paid for interest during the six months ended January 31, 2004, was
$619,905.
9. SUBSEQUENT EVENT - DISTRIBUTIONS TO COMMON SHAREHOLDERS
The Fund declared a dividend distribution of $.0430 per Common share from its
net investment income which was paid on March 1, 2004, to shareholders of record
on February 15, 2004.
20
Financial
HIGHLIGHTS (Unaudited)
21
Financial
HIGHLIGHTS (Unaudited)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
------------------------------------------------------------------- ---------------------------------
Distributions Distributions
from Net from Net
Beginning Net Investment Capital Investment Capital
Common Realized/ Income to Gains to Income to Gains to
Share Net Unrealized Preferred Preferred Common Common
Net Asset Investment Investment Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
===================================================================================================================================
Year Ended 7/31:
2004(b) $7.84 $ .34 $ .38 $(.01) $-- $ .71 $ (.26) $-- $ (.26)
2003 7.38 .60 .41 (.02) -- .99 (.53) -- (.53)
2002 8.13 .68 (.71) (.04) -- (.07) (.68) -- (.68)
2001 9.47 1.09 (1.29) (.09) -- (.29) (1.03) (.02) (1.05)
2000(a) 9.55 .75 (.12) (.02) -- .61 (.66) -- (.66)
===================================================================================================================================
Total Returns
-----------------
Based
on
Ending Common
Common Based Share
Share Ending on Net
Offering Net Asset Market Market Asset
Costs Value Value Value** Value**
================================================================================
Year Ended 7/31:
2004(b) $ -- $8.29 $9.3200 13.88% 9.16%
2003 -- 7.84 8.4300 25.93 14.25
2002 -- 7.38 7.2000 (21.16) (.65)
2001 -- 8.13 9.9600 15.35 (3.30)
2000(a) (.03) 9.47 9.6250 3.21 6.20
================================================================================
Ratios/Supplemental Data
----------------------------------------------------------------------------------------------
Before Credit/Waiver After Credit/Waiver***
---------------------------- ----------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Ending Expenses Income to Expenses Income to
Net to Average Average to Average Average
Assets Net Assets Net Assets Net Assets Net Assets
Applicable Applicable Applicable Applicable Applicable Portfolio
to Common to Common to Common to Common to Common Turnover
Shares (000) Shares++ Shares++ Shares++ Shares++ Rate
====================================================================================================================
Year Ended 7/31:
2004(b) $246,715 2.29%* 7.59%* 1.56%* 8.31%* 56%
2003 233,220 2.66 7.57 1.90 8.33 80
2002 219,459 3.12 8.20 2.37 8.95 64
2001 241,641 4.32 11.74 3.62 12.44 52
2000(a) 280,479 3.81* 9.82* 3.21* 10.42* 40
====================================================================================================================
* Annualized.
** 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 Common Share Net Asset
Value is the combination of reinvested dividend income at net asset value,
reinvested capital gains distributions at net asset value, if any, and
changes in Common net asset value per share. Total returns are not
annualized.
*** After custodian fee credit and expense waivers from the investment adviser,
where applicable.
+ The amounts shown are based on Common share equivalents.
++ Ratios do not reflect the effect of dividend payments to Taxable Auctioned
Preferred shareholders; income ratios reflect income earned on assets
attributable to Taxable Auctioned Preferred shares. Each Ratio of Expenses
to Average Net Assets Applicable to Common Shares and each Ratio of Net
Investment Income to Average Net Assets Applicable to Common Shares
includes the effect of the interest expense paid on bank borrowings as
follows:
Ratio of Interest
Expense
to Average
Net Assets
Applicable to
Common Shares
-----------------
2004(b) .48%*
2003 .74
2002 1.09
2001 2.19
2000(a) 2.04*
(a) For the period October 29, 1999 (commencement of operations) through July
31, 2000.
(b) For the six months ended January 31, 2004.
See accompanying notes to financial statements.
22-23 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 compounding.
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
greater of the net asset value or 95% of 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.
24
Fund
INFORMATION
BOARD OF TRUSTEES
William E. Bennett
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
Anne E. Impellizzeri
William L. Kissick
Thomas E. Leafstrand
Peter R. Sawers
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Sheila W. Wellington
FUND MANAGER
Nuveen Institutional
Advisory Corp.
333 West Wacker Drive
Chicago, IL 60606
FUND SUB-ADVISER
Symphony Asset
Management
555 California St.
Suite 2975
San Francisco, CA 94104
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.
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.
--------
The Fund intends to repurchase shares of its own common or preferred stock in
the future at such times and in such amounts as is deemed advisable. No shares
were repurchased during the period ended January 31, 2004. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
25
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-C-0104D
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 to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS
Not applicable at this time.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not applicable to this filing.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS
Not applicable at this time.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There were no material changes by which shareholders may recommend nominees to
the registrant's Board of Trustees implemented after the registrant last
provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of
Schedule 14A (17 CFR 240.14a-101) or this Item.
ITEM 10. 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 11. EXHIBITS.
File the exhibits listed below as part of this Form.
(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 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT
attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons: Not applicable
at this time.
(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 1940 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 Senior Income Fund
-----------------------------------------------------------
By (Signature and Title)* /s/ Jessica R. Droeger
----------------------------------------------
Jessica R. Droeger
Vice President and Secretary
Date: April 8, 2004
-------------------------------------------------------------------
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: April 8, 2004
-------------------------------------------------------------------
By (Signature and Title)* /s/ Stephen D. Foy
----------------------------------------------
Stephen D. Foy
Vice President and Controller
(Principal Financial Officer)
Date: April 8, 2004
-------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.