nvq
 
 
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 811-09571
NUVEEN SENIOR INCOME FUND
(Exact name of registrant as specified in charter)
     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:        7/31      
Date of reporting period:    4/30/2010   
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
Nuveen Senior Income Fund (NSL)
April 30, 2010 (Unaudited)
                                                    
                  Weighted                  
Principal                 Average                  
Amount (000)     Description (1)           Coupon    Maturity (2)     Ratings (3)     Value  
 
 
        Variable Rate Senior Loan Interests – 116.4% (83.8% of Total Investments) (4)                            
       
 
                                
       
Aerospace & Defense – 1.7% (1.3% of Total Investments)
                                
 
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
     4.090 %     7/31/14       B     $ 550,532  
  559    
DAE Aviation Holdings, Inc., Term Loan B2
     4.090 %     7/31/14       B       535,842  
  112    
Hawker Beechcraft, LLC, LC Facility, DD1
     2.290 %     3/26/14     CCC+       96,212  
  1,879    
Hawker Beechcraft, LLC, Term Loan, DD1
     2.278 %     3/26/14     CCC+       1,617,638  
  1,000    
McKechnie Aerospace Holdings, Inc., Term Loan, WI/DD
     TBD       TBD       N/R       927,323  
 
  4,124    
Total Aerospace & Defense
                             3,727,547  
 
       
 
                                
       
Airlines – 3.3% (2.4% of Total Investments)
                                
       
 
                                
  1,940    
Delta Air Lines, Inc., Credit Linked Deposit
     2.298 %     4/30/12     Ba2       1,899,988  
  1,945    
Delta Air Lines, Inc., Term Loan
     3.548 %     4/30/14       B       1,824,896  
  3,546    
United Air Lines, Inc., Term Loan B
     2.357 %     2/01/14       B+       3,274,526  
 
  7,431    
Total Airlines
                             6,999,410  
 
       
 
                                
       
Auto Components – 2.4% (1.7% of Total Investments)
                                
       
 
                                
  3,726    
Federal-Mogul Corporation, Tranche B, Term Loan
     2.189 %     12/29/14     Ba3       3,415,502  
  1,901    
Federal-Mogul Corporation, Tranche C, Term Loan
     2.196 %     12/28/15     Ba3       1,742,991  
 
  5,627    
Total Auto Components
                             5,158,493  
 
       
 
                                
       
Automobiles – 2.2% (1.6% of Total Investments)
                                
       
 
                                
  4,950    
Ford Motor Company, Term Loan
     3.284 %     12/15/13     Ba2       4,788,605  
 
       
 
                                
       
Building Products – 6.2% (4.5% of Total Investments)
                                
       
 
                                
  848    
Atrium Companies, Inc., Term Loan
     11.750 %     5/31/12       D       784,784  
  5,837    
Building Materials Corporation of America, Term Loan
     3.063 %     2/22/14     BBB-       5,771,417  
  1,319    
Euramax Holdings, Inc., PIK Term Loan
     14.000 %     6/29/13       B-       1,164,062  
  1,288    
Euramax Holdings, Inc., Term Loan
     10.000 %     6/22/13       B-       1,136,359  
  4,533    
TFS Acquisition, Term Loan
     10.000 %     8/11/13     CCC+       4,408,764  
 
  13,825    
Total Building Products
                             13,265,386  
 
       
 
                                
       
Chemicals – 3.3% (2.4% of Total Investments)
                                
       
 
                                
  400    
Celanese US Holdings LLC, Credit Linked Deposit
     1.999 %     4/02/14     BB+       392,250  
  543    
Hercules Offshore, Inc., Term Loan
     6.000 %     7/11/13       B       528,448  
  120    
Hexion Specialty Chemicals, Inc., Term Loan C1
     2.563 %     5/05/13     Ba3       115,698  
  53    
Hexion Specialty Chemicals, Inc., Term Loan C2
     2.563 %     5/05/13     Ba3       51,249  
  1,420    
Hexion Specialty Chemicals, Inc., Term Loan C4
     2.500 %     5/05/13     Ba3       1,355,703  
  644    
Huntsman International LLC, Term Loan
     2.056 %     4/19/14     Ba2       621,101  
  897    
Ineos US Finance LLC, Tranche B2
     1.000 %   12/16/13     CCC+       897,176  
  897    
Ineos US Finance LLC, Tranche C2
     5.250 %   12/16/14     CCC+       897,199  
  12    
LyondellBasell Finance Company, Dutch Revolving Line of Credit, (5)
     3.500 %     12/20/13       N/R       7,334  
  27    
LyondellBasell Finance Company, Dutch Tranche A, Term Loan, (5)
     3.500 %     12/20/13       N/R       16,142  
  35    
LyondellBasell Finance Company, German Tranche B1, Euro Term Loan, (5)
     3.750 %     12/22/14       N/R       21,055  
  35    
LyondellBasell Finance Company, German Tranche B2, Euro Term Loan, (5)
     3.750 %     12/20/14       N/R       21,055  
  35    
LyondellBasell Finance Company, German Tranche B3, Euro Term Loan, (5)
     3.750 %     12/22/14       N/R       21,055  
  45    
LyondellBasell Finance Company, Revolving Line of Credit, (5)
     3.500 %     12/20/13       N/R       27,502  
  87    
LyondellBasell Finance Company, US Tranche A, Term Loan, (5)
     3.500 %     12/20/13       N/R       52,398  
  151    
LyondellBasell Finance Company, US Tranche B1, Term Loan, (5)
     3.750 %     12/22/14       N/R       91,361  
  151    
LyondellBasell Finance Company, US Tranche B2, Term Loan, (5)
     3.750 %     12/22/14       N/R       91,361  
  151    
LyondellBasell Finance Company, US Tranche B3, Term Loan, (5)
     3.750 %     12/22/14       N/R       91,361  
  1,686    
Univar, Inc., Term Loan
     3.273 %     10/10/14       B+       1,659,174  
 
  7,389    
Total Chemicals
                             6,958,622  
 
       
 
                                
       
Commercial Services & Supplies – 2.8% (2.0% of Total Investments)
                            
       
 
                                
  1,438    
Rental Services Corporation, Term Loan
     3.800 %     11/27/13       B-       1,400,800  
  134    
ServiceMaster Company, Delayed Term Loan
     2.780 %     7/24/14       B+       130,242  
  1,350    
ServiceMaster Company, Term Loan
     2.764 %     7/24/14       B+       1,307,849  
  998    
Universal City Development Partners, Ltd., Term Loan B, WI/DD
     TBD       TBD     Ba2       992,513  
  1,002    
Universal City Development Partners, Ltd., Term Loan
     6.500 %     11/06/14     Ba2       1,009,371  
  733    
West Corporation, Term Loan B4
     4.140 %     6/30/16     BB-       730,318  
  443    
Workflow Holdings Corporation, Term Loan
     8.000 %     11/30/11     Caa1       365,876  
 
  6,098    
Total Commercial Services & Supplies
                             5,936,969  
 
       
 
                                
       
Communications Equipment – 2.8% (2.0% of Total Investments)
                                
       
 
                                
  5,463    
Avaya, Inc., Term Loan
     3.002 %     10/26/14       B1       5,016,430  
  1,000    
Telcordia Technologies, Inc., New Term Loan, WI/DD
     TBD       TBD       B+       1,004,375  
 
  6,463    
Total Communications Equipment
                             6,020,805  
 
       
 
                                
       
Containers & Packaging – 0.0% (0.0% of Total Investments)
                                
       
 
                                
  35    
Graham Packaging Company LP, Term Loan B
     2.504 %     10/07/11       B+       34,356  
 
       
 
                                
       
Diversified Consumer Services – 1.2% (0.9% of Total Investments)
                                
       
 
                                
  2,943    
Cengage Learning Acquisitions, Inc., Term Loan, DD1
     2.790 %     7/05/14       B+       2,639,075  
 
       
 
                                
       
Diversified Financial Services – 1.8% (1.3% of Total Investments)
                                
       
 
                                
  700    
CIT Group, Inc., Tranche A1, Term Loan
     13.000 %     1/18/12     BB       722,925  
  1,400    
CIT Group, Inc., Tranche B1, Term Loan
     13.000 %     1/18/12     BB       1,434,125  
  1,750    
Fox Acquisition Sub LLC, Term Loan B
     7.500 %     7/14/15       B       1,743,240  
 
  3,850    
Total Diversified Financial Services
                             3,900,290  
 
       
 
                                
       
Diversified Telecommunication Services – 2.3% (1.7% of Total Investments)
                                
       
 
                                
  324    
Intelsat, Tranche B2, Term Loan A
     2.792 %     1/03/14     BB-       318,415  
  324    
Intelsat, Tranche B2, Term Loan B
     2.792 %     1/03/14     BB-       318,317  
  324    
Intelsat, Tranche B2, Term Loan C
     2.792 %     1/03/14     BB-       318,317  
  2,000    
Intelsat, Unsecured Term Loan
     2.804 %     2/01/14       B+       1,800,000  
  2,267    
Level 3 Financing, Inc., Term Loan
     2.548 %     3/13/14       B+       2,127,126  
  5,000    
WCI Capital Corporation, Term Loan B, (5), (6)
     3.500 %     9/30/07       N/R       45,000  
 
  10,239    
Total Diversified Telecommunication Services
                             4,927,175  
 
       
 
                                
       
Electric Utilities – 0.8% (0.6% of Total Investments)
                                
       
 
                                
  661    
Calpine Corporation, DIP Term Loan
     3.165 %     3/29/14       B+       638,458  
  556    
Calpine Corporation Revolver, (12), (13)
     0.100 %     3/31/14       B+       (51,736 )
  447    
TXU Corporation, Term Loan B2
     3.752 %     10/10/14       B+       367,273  
  953    
TXU Corporation, Term Loan B3
     3.752 %     10/10/14       B+       778,583  
 
  2,617    
Total Electric Utilities
                             1,732,578  
 
       
 
                                
       
Electrical Equipment – 1.3% (0.9% of Total Investments)
                                
       
 
                                
  2,870    
Allison Transmission Holdings, Inc., Term Loan
     3.014 %     8/07/14       B       2,750,428  
 
       
 
                                
       
Electronic Equipment & Instruments – 0.9% (0.6% of Total Investments)
                                
       
 
                                
  1,925    
Sensata Technologies B.V., Term Loan
     2.078 %     4/27/13     BB-       1,862,037  
 
       
 
                                
       
Energy Equipment & Services – 0.2% (0.1% of Total Investments)
                                
       
 
                                
  442    
Dresser-Rand Group, Inc., Term Loan
     2.500 %     5/04/14       B+       431,152  
 
       
 
                                
       
Food & Staples Retailing – 2.2% (1.6% of Total Investments)
                                
       
 
                                
  500    
Rite Aid Corporation, Tranche 4, Term Loan
     9.500 %     6/10/15       B+       522,917  
  4,468    
U.S. Foodservice, Inc., Term Loan
     2.768 %     7/03/14       B2       4,075,788  
 
  4,968    
Total Food & Staples Retailing
                             4,598,705  
 
       
 
                                
       
Food Products – 0.2% (0.2% of Total Investments)
                                
       
 
                                
  492    
Pinnacle Foods Finance LLC, Tranche C, Term Loan
     7.500 %     4/02/14       B       496,305  
 
       
 
                                
       
Health Care Equipment & Supplies – 1.2% (0.9% of Total Investments)
                              
       
 
                                
  240    
Fenwal, Inc., Delayed Term Loan
     2.502 %     2/28/14       B       212,580  
  760    
Fenwal, Inc., Term Loan
     2.502 %     2/28/14       B       674,920  
  911    
Symbion, Inc., Term Loan A
     3.523 %     8/23/13     Ba3       854,063  
  931    
Symbion, Inc., Term Loan B
     3.523 %     8/25/14     Ba3       872,813  
 
  2,842    
Total Health Care Equipment & Supplies
                             2,614,376  
 
       
 
                                
       
Health Care Providers & Services – 10.3% (7.4% of Total Investments)
                              
       
 
                                
  1,500    
Ardent Medical Services, Inc., Term Loan
     6.500 %     9/15/15       B1       1,484,625  
  218    
Community Health Systems, Inc., Delayed Term Loan
     2.502 %     7/25/14     BB       212,539  
  4,264    
Community Health Systems, Inc., Term Loan
     2.502 %     7/25/14     BB       4,150,449  
  2,436    
HCA, Inc., Tranche B2, Term Loan
     1.000 %   11/18/13     BB       2,423,004  
  1,016    
HCA, Inc., Tranche B1, Term Loan
    5.250 %   11/18/13     BB+       989,670  
  456    
IASIS Healthcare LLC, Delayed Term Loan
     2.273 %     3/14/14     Ba2       443,752  
  124    
IASIS Healthcare LLC, Letter of Credit
     2.280 %     3/14/14     Ba2       120,442  
  2,081    
IASIS Healthcare LLC, PIK Term Loan
     5.588 %     6/15/14     CCC+       1,991,442  
  1,317    
IASIS Healthcare LLC, Term Loan
     2.273 %     3/14/14     Ba2       1,282,191  
  3,820    
LifeCare, Term Loan B
     4.590 %     8/10/12       B2       3,552,600  
  1,995    
Rehabcare Group, Inc., Term Loan B
     6.000 %     11/24/15     BB       2,007,469  
  1,712    
Select Medical Corporation, Term Loan
     2.251 %     2/24/12     Ba2       1,660,408  
  1,578    
Vanguard Health Holding Company II LLC, Initial Term Loan
     5.000 %     1/29/16     Ba2       1,586,204  
 
  22,517    
Total Health Care Providers & Services
                             21,904,795  
 
       
 
                                
       
Hotels, Restaurants & Leisure – 13.7% (9.9% of Total Investments)
                              
       
 
                                
  2,000    
24 Hour Fitness Worldwide, Inc., New Term Loan, WI/DD
     TBD       TBD     Ba2       1,960,000  
  3,393    
CCM Merger, Inc., Term Loan B
     8.500 %     7/13/12     BB-       3,366,615  
  1,474    
Cedar Fair LP, Extended US Term Loan
     4.273 %     8/30/14     BB-       1,474,090  
  1,765    
Cedar Fair LP, Term Loan
     2.273 %     8/30/12     BB-       1,753,903  
  2,000    
Harrah’s Operating Company, Inc., Term Loan B2, WI/DD
     TBD       TBD       B       1,764,306  
  391    
Isle of Capri Casinos, Inc., Delayed Term Loan A
     5.000 %     11/25/13       B+       382,545  
  507    
Isle of Capri Casinos, Inc., Delayed Term Loan B
     5.000 %     11/25/13       B+       496,376  
  1,267    
Isle of Capri Casinos, Inc., Delayed Term Loan
     5.000 %     11/25/13       B+       1,240,940  
  2,361    
Orbitz Worldwide, Inc., Term Loan
     3.284 %     7/25/14       B+       2,291,012  
  229    
OSI Restaurant Partners LLC, Revolver
     0.767 %     6/14/13       B+       208,215  
  2,137    
OSI Restaurant Partners LLC, Term Loan
     2.625 %     6/14/14       B+       1,941,822  
  491    
Pinnacle Foods Finance LLC, Term Loan
     2.999 %     4/02/14       B       478,728  
  1,000    
QCE LLC, Term Loan
     6.040 %     11/05/13       N/R       744,000  
  994    
Reynolds Group Holdings, Inc., US Term Loan
     6.250 %     11/05/15     BB-       1,000,209  
  979    
Sagittarius Restaurants LLC, Term Loan
     9.500 %     3/29/13       B2       981,423  
  1,995    
SW Acquisitions Co., Inc., Term Loan
     5.750 %     6/01/16     BB+       2,011,209  
  973    
Travelport LLC, Delayed Term Loan
     2.790 %     8/23/13     Ba3       948,552  
  268    
Travelport LLC, Letter of Credit
     2.790 %     8/23/13     Ba3       260,573  
  1,334    
Travelport LLC, Term Loan
     2.790 %     8/23/13     Ba3       1,298,640  
  953    
Venetian Casino Resort LLC, Delayed Term Loan
     2.050 %     5/23/14       B-       902,892  
  3,940    
Venetian Casino Resort LLC, Term Loan
     2.050 %     5/23/14       B-       3,731,598  
 
  30,451    
Total Hotels, Restaurants & Leisure
                             29,237,648  
 
       
 
                                
       
Household Products – 2.1% (1.5% of Total Investments)
                                
       
 
                                
  220    
Spectrum Brands, Inc., Synthetic Letter of Credit
     8.000 %     6/30/12       B-       219,837  
  4,252    
Spectrum Brands, Inc., Term Loan
     8.000 %     6/30/12       B-       4,252,716  
 
  4,472    
Total Household Products
                             4,472,553  
 
       
 
                                
       
Industrial Conglomerates – 0.6% (0.4% of Total Investments)
                                
       
 
                                
  1,200    
CF Industries, Inc., Term Loan
     5.250 %     4/05/15     BBB       1,209,300  
 
       
 
                                
       
Insurance – 1.0% (0.7% of Total Investments)
                                
       
 
                                
  2,165    
Conseco, Inc., Term Loan
     7.500 %     10/10/13       B-       2,113,613  
 
       
 
                                
       
Internet Software & Services – 0.6% (0.4% of Total Investments)
                                
       
 
                                
  1,462    
Open Solutions, Inc., Term Loan B
     2.445 %     1/23/14     BB-       1,321,570  
 
       
 
                                
       
IT Services – 5.0% (3.6% of Total Investments)
                                
       
 
                                
  1,983    
Ceridian Corporation, US Term Loan
     3.263 %     11/09/14       B1       1,874,757  
  955    
First Data Corporation, Term Loan B1
     3.014 %     9/24/14       B+       861,263  
  2,480    
First Data Corporation, Term Loan B2
     3.032 %     9/24/14       B+       2,231,955  
  680    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, DD1
     6.250 %   7/28/12       N/R       660,314  
  1,650    
Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw
     6.523 %     3/02/14     CCC+       1,340,625  
  2,850    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien
     6.523 %     3/02/14     CCC+       2,372,625  
  1,304    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, DD1
     6.030 %     7/28/15       B+       1,265,603  
 
  11,902    
Total IT Services
                             10,607,142  
 
       
 
                                
       
Leisure Equipment & Products – 2.5% (1.8% of Total Investments)
                            
       
 
                                
  3,244    
Bombardier Recreational Products, Inc., Term Loan
     3.254 %     6/28/13     Caa1       2,879,977  
  1,274    
Herbst Gaming, Inc., Delayed Term Loan, (5), (6)
     0.000 %     12/02/11       N/R       806,587  
  2,642    
Herbst Gaming, Inc., Term Loan, (5), (6)
     0.000 %     12/02/11       N/R       1,672,417  
 
  7,160    
Total Leisure Equipment & Products
                             5,358,981  
 
       
 
                                
       
Machinery – 1.1% (0.8% of Total Investments)
                                
       
 
                                
  546    
Rexnord Corporation, Incremental Term Loan
     2.563 %     7/19/13     BB-       527,176  
  1,869    
Rexnord Corporation, Term Loan
     2.813 %     7/19/13     Ba2       1,829,139  
 
  2,415    
Total Machinery
                             2,356,315  
 
       
 
                                
       
Media – 14.6% (10.5% of Total Investments)
                                
       
 
                                
  62    
American Media Operations, Inc., Term Loan
     10.000 %     1/30/13       B3       60,297  
  1,695    
Carmike Cinemas, Inc., Term Loan
     5.500 %     1/27/16       B1       1,696,583  
  829    
Cequel Communications LLC, Term Loan B
     2.292 %     11/05/13     BB-       815,237  
  1,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
     6.750 %     3/06/14     BB+       930,833  
  4,391    
Charter Communications Operating Holdings LLC, Term Loan C
     3.550 %     9/06/16     BB+       4,205,321  
  541    
Charter Communications Operating Holdings LLC, Term Loan
     2.300 %     3/06/14     BB+       514,256  
  4,119    
Citadel Broadcasting Corporation, Term Loan, (7)
     1.750 %     6/12/14       D       4,012,475  
  1,543    
Gray Television, Inc., Term Loan B, DD1
     3.801 %     12/31/14       B2       1,518,494  
  3,860    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (6), (7)
     18.250 %     4/08/12       N/R       1,792,439  
  1,213    
Nielsen Finance LLC, Term Loan B
     4.001 %     5/02/16     Ba3       1,201,499  
  1,888    
Philadelphia Newspapers, Term Loan, (5), (6)
     5.500 %     6/29/13       N/R       533,418  
  2,982    
Spanish Broadcasting System, Inc., Term Loan B
     2.050 %     6/10/12     CCC+       2,772,983  
  1,134    
SuperMedia, Term Loan
     8.000 %     12/31/15       B-       1,064,899  
  4,910    
Tribune Company, Term Loan B, (5), (6)
     3.000 %     6/04/14     Ca       3,303,711  
  683    
Tribune Company, Term Loan X, (5), (6)
     2.750 %     6/04/09     Ca       449,280  
  5,000    
Univision Communications, Inc., Term Loan
     2.540 %     9/29/14       B2       4,567,501  
  2,000    
Yell Group PLC, Term Loan, WI/DD
     TBD       TBD       N/R       1,667,500  
 
  37,850    
Total Media
                             31,106,726  
 
       
 
                                
       
Metals & Mining – 1.0% (0.7% of Total Investments)
                                
       
 
                                
  2,143    
John Maneely Company, Term Loan
     3.552 %     12/08/13       B       2,065,196  
 
       
 
                                
       
Multiline Retail – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  984    
Neiman Marcus Group, Inc., Term Loan
     2.252 %     4/06/13     BB-       944,611  
 
       
 
                                
       
Oil, Gas & Consumable Fuels – 4.3% (3.1% of Total Investments)
                            
 
  168    
Alon USA Energy, Inc., Edgington Facility, WI/DD
     TBD       TBD     BB-       138,273  
  1,341    
Alon USA Energy, Inc., Paramount Facility, WI/DD
     TBD       TBD     BB-       1,106,101  
  1,238    
Big West Oil LLC, Delayed Term Loan, (5)
     4.500 %     5/15/14       B2       1,230,565  
  1,000    
Big West Oil LLC, New Term Loan, WI/DD
     TBD       TBD       B2       1,012,917  
  984    
Big West Oil LLC, Term Loan, (5)
     4.500 %     5/15/14       B2       978,859  
  295    
Calumet Lubricants Company LP, Credit Linked Deposit
     4.142 %     1/03/15       B1       281,520  
  2,182    
Calumet Lubricants Company LP, Term Loan
     4.250 %     1/03/15       B1       2,084,784  
  2,478    
Venoco, Inc., Term Loan
     4.313 %     5/07/14     BB-       2,381,922  
 
  9,686    
Total Oil, Gas & Consumable Fuels
                             9,214,941  
 
 
       
Paper & Forest Products – 1.4% (1.0% of Total Investments)
                              
       
 
                                
  3,840    
Wilton Products, Term Loan
     3.500 %     11/16/14       B+       3,014,591  
 
       
 
                                
       
Personal Products – 0.9% (0.7% of Total Investments)
                                
       
 
                                
  2,000    
Revlon Consumer Products Corporation, Term Loan
     6.000 %     3/11/15     Ba3       1,993,564  
 
       
 
                                
       
Pharmaceuticals – 2.7% (1.9% of Total Investments)
                                
       
 
                                
  2,000    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, DD1
     6.773 %     5/03/13     CCC       1,145,000  
  2,228    
Graceway Pharmaceuticals LLC, Term Loan, DD1
     3.021 %     5/03/12       B-       1,901,229  
  1,000    
Mylan Laboratories, Inc., Term Loan
     3.563 %     10/02/14     BB+       1,000,344  
  237    
Warner Chilcott Corporation, Add on Term Loan
     5.750 %     4/30/15     BB+       237,335  
  661    
Warner Chilcott Corporation, Term Loan A
     5.500 %     10/30/14     BB+       662,771  
  304    
Warner Chilcott Corporation, Term Loan B1
     5.750 %     4/30/15     BB+       305,156  
  507    
Warner Chilcott Corporation, Term Loan B2
     5.750 %     4/30/15     BB+       508,140  
 
  6,937    
Total Pharmaceuticals
                             5,759,975  
 
       
 
                                
       
Professional Services – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  978    
Vertrue Inc., Term Loan
     3.300 %     8/16/14     Ba3       834,054  
 
       
 
                                
       
Real Estate Investment Trust – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  775    
Tishman Speyer Real Estate, Liquidation Facility, (6)
     15.000 %     12/01/09       N/R       806,404  
 
       
 
                                
       
Real Estate Management & Development – 4.0% (2.9% of Total Investments)
                            
       
 
                                
  3,552    
Capital Automotive LP, Tranche C
     2.750 %     12/14/12     Ba3       3,320,750  
  3,605    
LNR Property Corporation, Term Loan B
     3.500 %     7/12/11     CCC       3,424,475  
  1,921    
Realogy Corporation, Delayed Term Loan
     3.293 %     10/10/13     Caa1       1,745,570  
 
  9,078    
Total Real Estate Management & Development
                             8,490,795  
 
       
 
                                
       
Road & Rail – 2.8% (2.0% of Total Investments)
                                
       
 
                                
  393    
Avis Budget Car Rental LLC, Term Loan
     5.750 %     4/19/14     Ba2       392,703  
  5,716    
Swift Transportation Company, Inc., Term Loan
     8.250 %     5/10/14       B-       5,577,093  
 
  6,109    
Total Road & Rail
                             5,969,796  
 
       
 
                                
       
Semiconductors & Equipment – 1.5% (1.1% of Total Investments)
                            
       
 
                                
  1,204    
Freescale Semiconductor, Inc., Term Loan
     4.499 %     12/01/16       B2       1,159,414  
  2,000    
Spansion LLC, Term Loan
     5.500 %     3/15/15     BB-       2,027,500  
 
  3,204    
Total Semiconductors & Equipment
                             3,186,914  
 
       
 
                                
       
Software – 2.6% (1.8% of Total Investments)
                                
       
 
                                
  2,904    
Dealer Computer Services, Inc., New Term Loan
     5.250 %     4/01/17     BB-       2,903,582  
  2,000    
IPC Systems, Inc., Term Loan, Second Lien
     5.540 %     5/31/15     CCC       1,725,000  
  914    
IPC Systems, Inc., Term Loan
     2.533 %     5/31/14       B1       833,419  
 
  5,818    
Total Software
                             5,462,001  
 
       
 
                                
       
Specialty Retail – 4.4% (3.1% of Total Investments)
                                
       
 
                                
  4,066    
Burlington Coat Factory Warehouse Corporation, Term Loan, DD1
     2.548 %     5/28/13       B-       3,898,031  
  1,983    
Michaels Stores, Inc., Term Loan B1
     2.538 %     10/31/13       B       1,905,149  
  1,396    
Michaels Stores, Inc., Term Loan B2
     4.788 %     7/31/16       B       1,379,255  
  1,042    
Micro Warehouse, Inc., Term Loan B, (5), (6), (8)
     0.000 %     1/30/07       N/R       108,608  
  2,000    
Toys “R” Us – Delaware, Inc., Term Loan B
     4.513 %     7/19/12     BB-       2,001,478  
 
  10,487    
Total Specialty Retail
                             9,292,521  
 
       
 
                                
       
Wireless Telecommunication Services – 1.3% (0.9% of Total Investments)
                            
       
 
                                
  1,990    
Asurion Corporation, Term Loan
     3.250 %     7/03/14       N/R       1,970,237  
  1,000    
Clear Channel Communications, Inc., Tranche B, Term Loan
     3.923 %     11/13/15     Caa1       837,188  
 
  2,990    
Total Wireless Telecommunication Services
                             2,807,425  
 
$ 275,753    
Total Variable Rate Senior Loan Interests (cost $253,108,950)
                         248,373,745  
 
 
Shares     Description (1)                                   Value  
 
 
       
Common Stocks – 2.6% (1.9% of Total Investments)
                                
       
 
                                
       
Building Products – 1.8% (1.3% of Total Investments)
                                
 
  88,501    
Masonite Worldwide Holdings, (9), (10)
                           $ 3,894,044  
 
       
 
                                
       
Chemicals – 0.2% (0.2% of Total Investments)
                                
       
 
                                
  18,371    
Lyondell Chemical Company, DD1, (10)
                             391,532  
 
       
 
                                
       
Media – 0.6% (0.4% of Total Investments)
                                
       
 
                                
  33,484    
Readers Digest Association Inc., (10)
                             954,294  
  5,365    
SuperMedia Inc., (9)
                             240,889  
 
       
Total Media
                             1,195,183  
         
       
Total Common Stocks (cost $5,037,134)
                             5,480,759  
         
 
Principal                                      
Amount (000)     Description (1)           Coupon   Maturity     Ratings (3)     Value  
 
 
       
Convertible Bonds – 2.9% (2.1% of Total Investments)
                                
       
 
                                
       
Computers & Peripherals – 0.8% (0.6% of Total Investments)
                                
       
 
                                
$ 2,000    
Hutchinson Technology Inc.
     3.250 %     1/15/26       B-     $ 1,750,000  
 
       
 
                                
       
Food & Staples Retailing – 1.4% (1.0% of Total Investments)
                                
       
 
                                
  3,000    
Great Atlantic & Pacific Tea Company Inc.
     5.125 %     6/15/11     CCC       2,955,000  
 
       
 
                                
       
Real Estate Investment Trust – 0.7% (0.5% of Total Investments)
                                
       
 
                                
  1,500    
MPT Operating Partnership Limited Partnership, 144A
     6.125 %     11/15/11     N/A       1,548,750  
 
$ 6,500    
Total Convertible Bonds (cost $4,939,541)
                             6,253,750  
 
 
Principal                                    
Amount (000)     Description (1)         Coupon   Maturity     Ratings (3)     Value  
 
 
       
Corporate Bonds – 10.4% (7.5% of Total Investments)
                                
       
 
                                
       
Auto Components – 0.2% (0.1% of Total Investments)
                                
       
 
                                
$ 400    
Exide Technologies
     10.500 %     3/15/13       B-     $ 411,500  
 
       
 
                                
       
Automobiles – 2.1% (1.5% of Total Investments)
                                
       
 
                                
  8,000    
General Motors Corporation
     8.250 %     7/15/23       N/R       3,000,000  
  4,000    
General Motors Corporation
     6.750 %     5/01/28       N/R       1,440,000  
 
  12,000    
Total Automobiles
                             4,440,000  
 
       
 
                                
       
Biotechnology – 0.8% (0.6% of Total Investments)
                                
       
 
                                
  2,000    
Angiotech Pharmaceuticals, Inc., Floating Rate Note, 3.750% plus three-month LIBOR
     4.097 %     12/01/13     CCC       1,642,500  
 
       
 
                                
       
Building Products – 0.1% (0.1% of Total Investments)
                                
       
 
                                
  250    
Ply Gem Industries Inc.
     11.750 %     6/15/13     CCC+       267,188  
 
       
 
                                
       
Construction Materials – 1.0% (0.7% of Total Investments)
                                
       
 
                                
  2,000    
Headwaters Inc.
     11.375 %     11/01/14       B+       2,125,000  
 
       
 
                                
       
Health Care Providers & Services – 0.9% (0.6% of Total Investments)
                                
       
 
                                
  1,000    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
     6.281 %     9/15/15     CCC+       907,500  
  1,031    
US Oncology Holdings Inc., Floating Rate Note, 5.000% plus six-month LIBOR
     5.531 %     3/15/12     Caa1       989,760  
 
  2,031    
Total Health Care Providers & Services
                             1,897,260  
 
       
 
                                
       
Health Care Technology – 0.5% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
Merge Healthcare Inc., 144A
     11.750 %     5/01/15       B+       990,000  
 
       
 
                                
       
Household Durables – 0.3% (0.2% of Total Investments)
                                
       
 
                                
  700    
William Lyon Homes Inc., Unsecured Senior Note
     10.750 %     4/01/13     Caa3       637,000  
 
       
 
                                
       
Internet Software & Services – 0.8% (0.6% of Total Investments)
                                
       
 
                                
  2,000    
Open Solutions Inc., 144A
     9.750 %     2/01/15     CCC+       1,700,000  
 
       
 
                                
       
IT Services – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
First Data Corporation
     11.250 %     3/31/16     CCC+       840,000  
 
       
 
                                
       
Oil, Gas & Consumable Fuels – 0.5% (0.4% of Total Investments)
                                
  1,100    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR, 144A
     7.847 %     6/15/14     B3       1,039,500  
 
       
 
                                
       
Paper & Forest Products – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
Verso Paper Holdings LLC., Series B
     4.097 %     8/01/14       B       915,000  
 
       
 
                                
       
Pharmaceuticals – 0.3% (0.2% of Total Investments)
                                
       
 
                                
  1,000    
Angiotech Pharmaceuticals Inc.
     7.750 %     4/01/14     CC       630,000  
 
       
 
                                
       
Road & Rail – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
     2.847 %     5/15/14       B       930,000  
 
       
 
                                
       
Semiconductors & Equipment – 0.5% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
Spansion LLC, Floating Rate Note, 3.125% plus three-month LIBOR, 144A, (11)
     3.472 %     6/01/13       N/R       1,012,500  
 
       
 
                                
       
Specialty Retail – 0.3% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
Local Insight Regatta Holdings
     11.000 %     12/01/17     CCC-       725,000  
 
       
 
                                
       
Textiles, Apparel & Luxury Goods – 0.9% (0.7% of Total Investments)
                                
       
 
                                
  2,000    
Hanes Brands Inc., Series B, Floating Rate Note, 3.375% plus six-month LIBOR
     3.906 %     12/15/14       B+       1,940,000  
 
$ 31,481    
Total Corporate Bonds (cost $19,306,079)
                             22,142,448  
 
 
Principal                                
Amount (000)     Description (1)           Coupon   Maturity     Value  
 
       
 
                                
       
Short-Term Investments – 6.6% (4.7% of Total Investments)
                              
       
 
                                
$ 13,983    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 4/30/10, repurchase price $13,983,510, collateralized by $14,420,000 U.S. Treasury Notes, 3.375%, due 11/15/19, value $14,267,725
     0.010 %     5/03/10             $ 13,983,498  
   
       
Total Short-Term Investments (cost $13,983,498)
                             13,983,498  
   
       
Total Investments (cost $296,375,202) – 138.9%
                             296,234,200  
   
       
Borrowings – (34.7)% (14)
                             (73,950,000 )
   
       
Other Assets Less Liabilities – (4.2)%
                             (8,979,788 )
   
       
Net Assets Applicable to Common Shares – 100%
                           $  213,304,412  
   
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 methodology 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 April 30, 2010:
                                 
    Level 1     Level 2     Level 3     Total  
 
 
                                
Investments:
                                
Common Stocks
  $ 240,889     $ 5,239,870     $ —     $ 5,480,759  
Variable Rate Senior Loan Interests
     —       248,265,137       108,608       248,373,745  
Convertible Bonds
     —       6,253,750       —       6,253,750  
Corporate Bonds
     —       22,142,448       —       22,142,448  
Short-Term Investments
     13,983,498       —       —       13,983,498  
 
                                
 
 
                                
Total
   $ 14,224,387     $ 281,901,205     $ 108,608     $ 296,234,200  
 
                                
 
The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the measurement period:
         
    Level 3  
    Variable Rate
Senior Loan Interests		  
 
 
        
Balance at the beginning of period
        
Gains (losses):
   $ 89,569  
Net realized gains (losses)
     (6,219,946 )
Net change in unrealized appreciation (depreciation)
     7,422,088  
Net purchases at cost (sales at proceeds)
     (1,183,103 )
Net discounts (premiums)
     —  
Net transfers in to (out of) at end of period fair value
     —  
 
 
        
Balance at the end of period
   $ 108,608  
 
        
 
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 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 April 30, 2010, the cost of investments was $296,433,103.
Gross unrealized appreciation and gross unrealized depreciation of investments at April 30, 2010, were as follows:
         
 
 
Gross unrealized:
        
Appreciation
   $ 17,678,459  
Depreciation
      (17,877,362 ) 
 
 
        
Net unrealized appreciation (depreciation) of investments
   $ (198,903 ) 
 
 
(1)   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
 
(2)   Senior Loans 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 may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
 
(3)   Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.
 
(4)   Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
 
    Senior Loans may be considered 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.
 
(5)   At or subsequent to April 30, 2010, this issue was under the protection of the Federal Bankruptcy Court.
 
(6)   Non-income producing security; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
 
(7)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
 
(8)   Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Directors. For fair value measurement disclosure purposes, investment categorized as Level 3.
 
(9)   Non-income producing; issuer has not declared a dividend within the past twelve months.
 
(10)   For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
 
(11)   This issue is under protection of the Federal Bankruptcy Court (the “Bankruptcy Court”). As a result, the Fund’s Adviser concluded that the issuer was not likely to meet its future interest payment obligations and directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records. On July 1, 2009, the Fund received its June 1, 2009, interest payment and subsequently received its September 1, 2009 interest payment as directed by the Bankruptcy Court’s Final Order. During this period, the Fund resumed accruing additional income on this issue. On September 2, 2009, the Fund ceased accruing additional income on this issue. On December 8, 2009, the Fund received its December 1, 2009, interest payment. As a result, the Fund’s Adviser concluded that the issuer was likely to meet its future interest payment obligations and resumed accruing interest on this issue.
 
(12)   Investment or portion of investment, represents an unfunded Senior Loan commitment outstanding at April 30, 2010. At April 30, 2010, the Fund had unfunded Senior Loan commitments of $555,556.
 
(13)   Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at April 30, 2010.
 
(14)   Borrowings as a percentage of Total Investments is 25.0%.
 
N/A   Not applicable/not available.
 
N/R   Not rated.
 
DD1   Investment or portion of investment purchased on a delayed delivery basis.
 
WI/DD   Purchased on a when-issued or delayed delivery basis.
 
144A   Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
 
TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
 
 

 

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: 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.
NUVEEN SENIOR INCOME FUND
         
     
By (Signature and Title)  /s/ Kevin J. McCarthy    
  Kevin J. McCarthy  
  Vice President and Secretary   
 
Date June 29, 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 June 29, 2010
         
     
By (Signature and Title)  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date June 29, 2010