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:    10/31/2010   
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)
October 31, 2010 (Unaudited)
                                         
          Weighted                    
Principal         Average                    
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
 
       
 
                                
       
Variable Rate Senior Loan Interests – 124.5% (85.1% of Total Investments) (4)
                                
       
 
                                
       
Aerospace & Defense – 1.8% (1.2% of Total Investments)
                                
       
 
                                
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
     4.040 %     7/31/14       B     $ 552,926  
  556    
DAE Aviation Holdings, Inc., Term Loan B2
     4.040 %     7/31/14       B       535,412  
  112    
Hawker Beechcraft, LLC, LC Facility
     2.289 %     3/26/14     CCC+       93,872  
  1,869    
Hawker Beechcraft, LLC, Term Loan
     2.264 %     3/26/14     CCC+       1,570,170  
  1,000    
McKechnie Aerospace Holdings, Inc., Term Loan
     5.260 %     5/11/15       N/R       998,976  
 
  4,111    
Total Aerospace & Defense
                             3,751,356  
 
       
 
                                
       
Airlines – 2.7% (1.8% of Total Investments)
                                
       
 
                                
  463    
Delta Air Lines, Inc., Credit Linked Deposit
     1.961 %     4/30/12     Ba2       455,437  
  1,935    
Delta Air Lines, Inc., Term Loan
     3.539 %     4/30/14       B       1,877,756  
  3,520    
United Air Lines, Inc., Term Loan B
     2.313 %     2/01/14     BB-       3,343,530  
 
  5,918    
Total Airlines
                             5,676,723  
 
       
 
                                
       
Auto Components – 2.9% (2.0% of Total Investments)
                                
       
 
                                
  3,048    
Federal-Mogul Corporation, Tranche B, Term Loan
     2.198 %     12/29/14     Ba3       2,713,345  
  1,556    
Federal-Mogul Corporation, Tranche C, Term Loan
     2.198 %     12/28/15     Ba3       1,384,735  
  2,000    
United Components, Inc., Term Loan
     6.250 %     3/23/17     Ba3       2,021,000  
 
  6,604    
Total Auto Components
                             6,119,080  
 
       
 
                                
       
Automobiles – 0.5% (0.4% of Total Investments)
                                
       
 
                                
  1,097    
Ford Motor Company, Term Loan
     3.038 %      12/15/13     Baa3       1,087,395  
 
       
 
                                
       
Biotechnology – 0.9% (0.6% of Total Investments)
                                
       
 
                                
  1,800    
Grifols, Term Loan, WI/DD
     TBD       TBD     Ba3       1,821,375  
 
       
 
                                
       
Building Products – 2.3% (1.5% of Total Investments)
                                
       
 
                                
  2,667    
Goodman Global Inc., Term Loan, WI/DD
     TBD       TBD       B+       2,706,334  
  2,000    
Goodman Global Inc., Second Lien Term Loan, WI/DD
     TBD       TBD       B-       2,047,500  
 
  4,667    
Total Building Products
                             4,753,834  
 
       
 
                                
       
Chemicals – 3.6% (2.5% of Total Investments)
                                
       
 
                                
  400    
Celanese US Holdings LLC, Credit Linked Deposit
     1.756 %     4/02/14     BB+       395,250  
  118    
Hexion Specialty Chemicals, Inc., Term Loan C1
     2.563 %     5/05/13     Ba3       116,052  
  53    
Hexion Specialty Chemicals, Inc., Term Loan C2
     2.563 %     5/05/13     Ba3       51,658  
  1,405    
Hexion Specialty Chemicals, Inc., Term Loan C4
     2.688 %     5/05/13     Ba3       1,375,769  
  897    
Ineos US Finance LLC, Tranche B2
     7.500 %     12/16/13       B1       918,571  
  897    
Ineos US Finance LLC, Tranche C2
     8.000 %     12/16/14       B1       918,594  
  701    
Styron Corporation, Term Loan
     7.500 %     6/17/16       B+       714,052  
  1,508    
Univar, Inc., Term Loan
     3.255 %     10/10/14       B       1,506,822  
  1,700    
Univar, Inc., Add-on Term Loan, WI/DD
     TBD       TBD       B       1,683,000  
 
  7,679    
Total Chemicals
                             7,679,768  
 
       
 
                                
       
Commercial Banks – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  800    
Fifth Third Processing Solutions LLC, Term Loan, WI/DD
     TBD       TBD     BB-       792,000  
 
       
 
                                
       
Commercial Services & Supplies – 2.3% (1.6% of Total Investments)
                                
       
 
                                
  2,400    
Knology, Inc., Term Loan
     5.500 %     10/17/16       B+       2,411,626  
  134    
ServiceMaster Company, Delayed Term Loan
     2.760 %     7/24/14       B+       127,225  
  1,343    
ServiceMaster Company, Term Loan
     2.769 %     7/24/14       B+       1,277,552  
  990    
Universal City Development Partners, Ltd., Term Loan
     5.500 %     11/06/14     Ba2       999,479  
 
  4,867    
Total Commercial Services & Supplies
                             4,815,882  
 
       
 
                                
       
Communications Equipment – 2.8% (1.9% of Total Investments)
                                
       
 
                                
  5,435    
Avaya, Inc., Term Loan
     3.058 %     10/24/14       B1       4,944,395  
  995    
Telcordia Technologies, Inc., Term Loan
     6.750 %     4/30/16       B+       1,004,484  
 
  6,430    
Total Communications Equipment
                             5,948,879  
 
       
 
                                
       
Containers & Packaging – 1.5% (1.0% of Total Investments)
                                
       
 
                                
  1,333    
Graham Packaging Company LP, Term Loan D
     6.000 %     9/23/16       B+       1,348,750  
  250    
Reynolds Group Holdings, Inc., Term Loan A, WI/DD
     TBD       TBD     Ba3       250,813  
  1,500    
Reynolds Group Holdings, Inc., Term Loan D, WI/DD
     TBD       TBD     Ba3       1,513,325  
 
  3,083    
Total Containers & Packaging
                             3,112,888  
 
       
 
                                
       
Diversified Consumer Services – 1.1% (0.7% of Total Investments)
                                
       
 
                                
  1,200    
Brickman Group Holdings, Inc., Tranche B, Term Loan
     7.250 %     10/14/16       B+       1,214,251  
  1,165    
Cengage Learning Acquisitions, Inc., Term Loan
     2.540 %     7/03/14       B+       1,066,715  
 
  2,365    
Total Diversified Consumer Services
                             2,280,966  
 
       
 
                                
       
Diversified Financial Services – 2.4% (1.7% of Total Investments)
                                
       
 
                                
  1,243    
CIT Group, Inc., Tranche 3, Term Loan
     6.250 %     8/11/15     BB       1,266,562  
  1,732    
Fox Acquisition Sub LLC, Term Loan B
     7.500 %     7/14/15       B       1,718,546  
  2,100    
Pinafore LLC, Term Loan
     6.750 %     9/29/16     BB       2,127,399  
 
  5,075    
Total Diversified Financial Services
                             5,112,507  
 
       
 
                                
       
Diversified Telecommunication Services – 2.7% (1.8% of Total Investments)
                                
       
 
                                
  701    
Cincinnati Bell Inc., Tranche B, Term Loan
     6.500 %     6/11/17     BB       705,835  
  322    
Intelsat, Tranche B2, Term Loan A
     2.790 %     1/03/14     BB-       314,854  
  322    
Intelsat, Tranche B2, Term Loan B
     2.790 %     1/03/14     BB-       314,757  
  322    
Intelsat, Tranche B2, Term Loan C
     2.790 %     1/03/14     BB-       314,757  
  2,000    
Intelsat, Unsecured Term Loan
     2.789 %     2/01/14       B+       1,820,000  
  2,267    
Level 3 Financing, Inc., Term Loan
     2.539 %     3/13/14       B+       2,116,297  
 
  5,934    
Total Diversified Telecommunication Services
                             5,586,500  
 
       
 
                                
       
Electric Utilities – 0.5% (0.3% of Total Investments)
                                
       
 
                                
  556    
Calpine Corporation, Delayed Draw, Term Loan, (5),(6)
     0.500 %      3/29/14       B+       (43,750 ) 
  444    
TXU Corporation, Term Loan B2
     3.923 %     10/10/14       B+       349,508  
  948    
TXU Corporation, Term Loan B3
     3.756 %     10/10/14       B+       746,131  
 
  1,948    
Total Electric Utilities
                             1,051,889  
 
       
 
                                
       
Electrical Equipment – 2.0% (1.4% of Total Investments)
                                
       
 
                                
  4,485    
Allison Transmission Holdings, Inc., Term Loan
     3.028 %     8/07/14       B       4,313,587  
 
       
 
                                
       
Food & Staples Retailing – 2.2% (1.5% of Total Investments)
                                
       
 
                                
  5,193    
U.S. Foodservice, Inc., Term Loan
     2.760 %     7/03/14       B2       4,705,563  
 
       
 
                                
       
Food Products – 3.5% (2.4% of Total Investments)
                                
       
 
                                
  1,949    
BLB Management Services, Inc., Term Loan, WI/DD, (7), (8)
     TBD       TBD       N/R       1,505,553  
  1,696    
Michael Foods Group, Inc., Term Loan B
     6.250 %     6/29/16     BB-       1,721,187  
  1,800    
NBTY, Inc., Term Loan
     6.250 %     10/01/17     BB-       1,825,869  
  2,000    
Pierre Foods, Inc., Term Loan
     7.001 %     9/30/16       B+       1,982,500  
  266    
Pinnacle Foods Finance LLC, Tranche D, Term Loan
     6.000 %     4/02/14     Ba3       269,325  
 
  7,711    
Total Food Products
                             7,304,434  
 
       
 
                                
       
Health Care Equipment & Supplies – 1.2% (0.8% of Total Investments)
                                
       
 
                                
  238    
Fenwal, Inc., Delayed Term Loan
     2.549 %     2/28/14       B       208,337  
  757    
Fenwal, Inc., Term Loan
     2.549 %     2/28/14       B       661,354  
  886    
Symbion, Inc., Term Loan A
     3.505 %     8/23/13       B1       842,808  
  926    
Symbion, Inc., Term Loan B
     3.505 %     8/25/14       B1       880,858  
 
  2,807    
Total Health Care Equipment & Supplies
                             2,593,357  
 
       
 
                                
       
Health Care Providers & Services – 14.3% (9.8% of Total Investments)
                                
       
 
                                
  1,493    
Ardent Medical Services, Inc., Term Loan
     6.500 %     9/15/15       B1       1,483,172  
  170    
Community Health Systems, Inc., Delayed Term Loan
     2.549 %     7/25/14     BB       166,657  
  3,300    
Community Health Systems, Inc., Term Loan
     2.549 %     7/25/14     BB       3,242,136  
  1,313    
Gentiva Health Services, Inc., Term Loan B
     6.750 %     8/17/16     Ba2       1,321,796  
  997    
Health Management Associates, Inc., Term Loan
     2.039 %     2/28/14     BB-       975,708  
  1,600    
Healthspring, Term Loan, WI/DD
     TBD       TBD     Ba3       1,590,000  
  58    
IASIS Healthcare LLC, Letter of Credit
     2.256 %     3/14/14     Ba2       56,898  
  2,141    
IASIS Healthcare LLC, PIK Term Loan
     5.538 %     6/16/14     CCC+       2,081,360  
  214    
IASIS Healthcare LLC, Delayed Term Loan
     2.255 %     3/14/14     Ba2       208,569  
  619    
IASIS Healthcare LLC, Term Loan
     2.255 %     3/14/14     Ba2       602,605  
  4,099    
LifeCare, Term Loan B
     4.540 %     8/10/12       B2       3,914,748  
  1,992    
MultiPlan, Inc., Term Loan
     6.500 %     8/26/17     Ba3       2,003,204  
  1,763    
Rehabcare Group, Inc., Term Loan B
     6.000 %     11/24/15     BB       1,770,701  
  4,731    
Skilled Healthcare Group, Inc., Term Loan
     5.250 %     4/09/16       B+       4,583,965  
  1,520    
Sun Healthcare Group, Inc., Term Loan, WI/DD
     TBD       TBD       B+       1,507,650  
  3,000    
Universal Health Services, Term Loan, WI/DD
     TBD       TBD     BB+       3,034,275  
  1,570    
Vanguard Health Holding Company II LLC, Initial Term Loan
     5.000 %     1/29/16     Ba2       1,573,868  
 
  30,580    
Total Health Care Providers & Services
                             30,117,312  
 
       
 
                                
       
Hotels, Restaurants & Leisure – 15.2% (10.4% of Total Investments)
                                
       
 
                                
  1,995    
24 Hour Fitness Worldwide, Inc., Term Loan
     6.750 %     4/22/16     Ba3       1,909,589  
  2,700    
Burger King Corporation, Term Loan B
     6.250 %     10/19/16     BB-       2,728,013  
  3,343    
CCM Merger, Inc., Term Loan B
     8.500 %     7/13/12     BB-       3,338,518  
  2,500    
DineEquity, Inc., Term Loan, WI/DD
     TBD       TBD     Ba2       2,529,166  
  1,000    
Harrah’s Operating Company, Inc., Term Loan B1
     3.288 %     1/28/15       B       883,875  
  2,000    
Harrah’s Operating Company, Inc., Term Loan B2
     3.288 %     1/28/15       B       1,770,870  
  994    
Harrah’s Operating Company, Inc., Term Loan B3
     3.288 %     1/28/15       B       877,706  
  884    
Isle of Capri Casinos, Inc., Delayed Term Loan A
     5.000 %     11/25/13       B+       867,414  
  675    
Isle of Capri Casinos, Inc., Delayed Term Loan B
     5.000 %     11/25/13       B+       662,238  
  1,342    
Isle of Capri Casinos, Inc., Delayed Term Loan
     5.000 %     11/25/13       B+       1,316,807  
  2,361    
Orbitz Worldwide, Inc., Term Loan
     3.276 %     7/25/14       B+       2,299,669  
  404    
OSI Restaurant Partners LLC, Revolver, DD1
     1.603 %     6/14/13       B+       380,735  
  4,050    
OSI Restaurant Partners LLC, Term Loan, DD1
     2.625 %     6/14/14       B+       3,815,023  
  1,000    
QCE LLC, Term Loan
     6.005 %     11/05/13       N/R       682,500  
  988    
Reynolds Group Holdings, Inc., US Term Loan
     6.750 %     11/05/15     BB-       997,106  
  990    
SW Acquisitions Co., Inc., Term Loan
     5.750 %     6/01/16     BB+       998,521  
  968    
Travelport LLC, Delayed Term Loan
     2.962 %     8/23/13     Ba3       956,119  
  213    
Travelport LLC, Letter of Credit
     2.789 %     8/23/13     Ba3       210,552  
  660    
Travelport LLC, Term Loan
     2.963 %     8/23/13     Ba3       651,922  
  3,661    
Venetian Casino Resort LLC, Tranche B, Term Loan
     3.030 %     11/23/16       B       3,430,152  
  842    
Venetian Casino Resort LLC, Delayed Term Loan
     3.030 %     11/23/16       B       788,186  
 
  33,570    
Total Hotels, Restaurants & Leisure
                             32,094,681  
 
       
 
                                
       
Household Durables – 2.4% (1.7% of Total Investments)
                                
       
 
                                
  3,509    
Spectrum Brands, Inc., Term Loan
     8.000 %     6/16/16       B       3,585,054  
  1,500    
Visant Holding Corporation, Tranche B, Term Loan
     7.000 %     12/22/16     BB-       1,514,687  
 
  5,009    
Total Household Durables
                             5,099,741  
 
       
 
                                
       
Insurance – 0.6% (0.4% of Total Investments)
                                
       
 
                                
  1,165    
Conseco, Inc., Term Loan
     7.500 %     10/10/13       B2       1,150,833  
 
       
 
                                
       
Internet Software & Services – 1.5% (1.1% of Total Investments)
                                
       
 
                                
  1,455    
Open Solutions, Inc., Term Loan B
     2.415 %      1/23/14     BB-       1,238,019  
  1,995    
SkillSoft PLC Term Loan
     6.500 %      5/30/17     BB       2,015,781  
 
  3,450    
Total Internet Software & Services
                             3,253,800  
 
       
 
                                
       
IT Services – 4.7% (3.2% of Total Investments)
                                
       
 
                                
  1,000    
Evertec, Inc., Term Loan B
     7.500 %      9/30/16     BB-       997,500  
  913    
First Data Corporation, Term Loan B1
     3.006 %      9/24/14       B+       822,400  
  2,370    
First Data Corporation, Term Loan B2
     3.006 %      9/24/14       B+       2,134,402  
  122    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, First Lien
     4.010 %      7/28/12       B+       115,323  
  544    
Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Term Loan
     6.010 %      7/28/15       B+       503,661  
  1,029    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan
     6.010 %      9/02/14       B+       373,094  
  2,090    
Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw
     6.505 %      3/02/14     CCC+       1,395,075  
  259    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
     4.010 %      7/28/12       B+       244,677  
  3,610    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien
     6.505 %      3/02/14     CCC+       2,454,800  
  1,035    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
     6.010 %      7/28/15       B+       963,406  
 
  12,972    
Total IT Services
                             10,004,338  
 
       
 
                                
       
Leisure Equipment & Products – 3.1% (2.1% of Total Investments)
                                
       
 
                                
  3,244    
Bombardier Recreational Products, Inc., Term Loan
     3.392 %      6/28/13     Caa1       2,915,114  
  1,467    
Cedar Fair LP, Term Loan
     5.500 %      12/15/16     Ba2       1,487,793  
  1,247    
Herbst Gaming, Inc., Delayed Term Loan, (7)
     0.000 %      12/02/11       N/R       704,842  
  2,585    
Herbst Gaming, Inc., Term Loan, (7)
     0.000 %      12/02/11       N/R       1,461,455  
 
  8,543    
Total Leisure Equipment & Products
                             6,569,204  
 
       
 
                                
       
Media – 11.1% (7.6% of Total Investments)
                                
       
 
                                
  65    
American Media Operations, Inc., Term Loan
     0.000 %      1/30/13       B3       64,544  
  1,618    
Carmike Cinemas, Inc., Term Loan
     5.500 %      1/27/16       B1       1,627,383  
  1,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
     2.755 %      3/06/14     BB+       946,250  
  1,369    
Charter Communications Operating Holdings LLC, Term Loan C
     3.540 %      9/06/16     BB+       1,346,281  
  1,461    
Citadel Broadcasting Corporation, Term Loan, (9)
     11.000 %      6/03/15     BB+       1,548,582  
  998    
Emmis Operating Company, Term Loan
     4.289 %      11/01/13     Caa2       861,591  
  1,535    
Gray Television, Inc., Term Loan B
     3.760 %      12/31/14       B       1,492,539  
  2,394    
Interactive Data Corporation, Term Loan
     6.750 %      1/29/17     Ba3       2,437,631  
  2,860    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (7), (9)
     0.000 %      4/09/12       N/R       1,339,385  
  1,207    
Nielsen Finance LLC, Term Loan B
     4.006 %      5/02/16     BB-       1,195,952  
  1,888    
Philadelphia Newspapers, Term Loan, (7), (8)
     6.500 %      6/29/13       N/R       519,256  
  2,966    
Spanish Broadcasting System, Inc., Term Loan B
     2.040 %      6/11/12       B-       2,849,840  
  1,050    
SuperMedia, Term Loan
     11.000 %      12/31/15       B-       793,899  
  910    
Tribune Company, Term Loan B, (7), (8)
     0.000 %      6/04/14     Ca       606,953  
  4,937    
Univision Communications, Inc., Term Loan
     4.505 %      3/31/17       B2       4,664,983  
  2,000    
Yell Group PLC, Term Loan
     4.005 %      7/31/14       B       1,099,167  
 
  28,258    
Total Media
                             23,394,236  
 
       
 
                                
       
Metals & Mining – 1.1% (0.8% of Total Investments)
                                
       
 
                                
  1,250    
Fairmount Minerals, Ltd., Tranche B, Term Loan
     6.250 %      8/05/16     BB       1,266,146  
  1,131    
John Maneely Company, Term Loan
     3.539 %      12/09/13       B       1,107,050  
 
  2,381    
Total Metals & Mining
                             2,373,196  
 
       
 
                                
       
Multiline Retail – 1.6% (1.1% of Total Investments)
                                
       
 
                                
  3,490    
Neiman Marcus Group, Inc., Term Loan
     2.294 %      4/06/13     BB-       3,410,484  
 
       
 
                                
       
Oil, Gas & Consumable Fuels – 3.6% (2.5% of Total Investments)
                                
       
 
                                
  167    
Alon USA Energy, Inc., Edgington Facility
     2.505 %      8/05/13       B+       123,382  
  1,334    
Alon USA Energy, Inc., Paramount Facility
     2.591 %      8/05/13       B+       986,985  
  861    
Big West Oil LLC, New Term Loan
     12.000 %      7/23/15       B+       876,719  
  295    
Calumet Lubricants Company LP, Credit Linked Deposit
     4.141 %      1/03/15       B1       282,809  
  2,170    
Calumet Lubricants Company LP, Term Loan
     4.376 %      1/03/15       B1       2,083,440  
  2,369    
Venoco, Inc., Term Loan
     4.313 %      5/07/14     BB-       2,244,955  
  991    
Western Refining, Inc., Term Loan
     10.750 %      5/30/14       B       997,893  
 
  8,187    
Total Oil, Gas & Consumable Fuels
                             7,596,183  
 
       
 
                                
       
Paper & Forest Products – 3.0% (2.0% of Total Investments)
                                
       
 
                                
  2,891    
Newark Group, Inc., DIP Term Loan
     12.500 %      3/31/14       N/R       2,919,818  
  3,820    
Wilton Products, Term Loan
     3.560 %      8/01/14       B+       3,380,915  
 
  6,711    
Total Paper & Forest Products
                             6,300,733  
 
       
 
                                
       
Personal Products – 0.9% (0.6% of Total Investments)
                                
       
 
                                
  1,990    
Revlon Consumer Products Corporation, Term Loan
     6.000 %      3/11/15     Ba3       1,996,041  
 
       
 
                                
       
Pharmaceuticals – 3.2% (2.2% of Total Investments)
                                
       
 
                                
  2,000    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, (7), (9)
     8.756 %      5/03/13     Ca       257,500  
  1,971    
Graceway Pharmaceuticals LLC, Term Loan
    5.006 %      5/03/12     Caa2       1,205,742  
  2,000    
Valeant Pharmaceuticals, Tranche B, Term Loan, WI/DD
     TBD       TBD     BB+       2,022,375  
  236    
Warner Chilcott Corporation, Add on Term Loan
     6.250 %      4/30/15     BB       236,766  
  627    
Warner Chilcott Corporation, Term Loan A
     6.000 %      10/30/14     BB       627,336  
  303    
Warner Chilcott Corporation, Term Loan B1
     6.250 %      4/30/15     BB       304,466  
  504    
Warner Chilcott Corporation, Term Loan B2
     6.250 %      4/30/15     BB       506,991  
  1,208    
Warner Chilcott Corporation, Term Loan B3
     6.500 %      2/22/16     BB       1,218,299  
  392    
Warner Chilcott Corporation, Term Loan B4
     6.500 %      2/22/16     BB       394,923  
 
  9,241    
Total Pharmaceuticals
                             6,774,398  
 
       
 
                                
       
Professional Services – 1.3% (0.9% of Total Investments)
                                
       
 
                                
  1,829    
U.S. Investigations Services, Inc., Term Loan B
     7.750 %      2/21/15       B+       1,837,893  
  978    
Vertrue Inc., Term Loan
     3.290 %      8/16/14     Ba3       880,527  
 
  2,807    
Total Professional Services
                             2,718,420  
 
       
 
                                
       
Real Estate Management & Development – 4.1% (2.8% of Total Investments)
                                
       
 
                                
  3,480    
Capital Automotive LP, Tranche C
     2.760 %      12/14/12     Ba3       3,447,705  
  1,729    
LNR Property Corporation, Term Loan B
     3.760 %      7/12/11       B2       1,684,067  
  3,906    
Realogy Corporation, Delayed Term Loan
     3.263 %      10/10/13       B1       3,558,247  
 
  9,115    
Total Real Estate Management & Development
                             8,690,019  
 
       
 
                                
       
Road & Rail – 2.9% (2.0% of Total Investments)
                                
       
 
                                
  390    
Avis Budget Car Rental LLC, Term Loan
     5.750 %      4/19/14     BB       390,190  
  5,716    
Swift Transportation Company, Inc., Term Loan
     8.250 %      5/12/14       B       5,630,233  
 
  6,106    
Total Road & Rail
                             6,020,423  
 
       
 
                                
       
Semiconductors & Equipment – 2.4% (1.6% of Total Investments)
                                
       
 
                                
  1,196    
Freescale Semiconductor, Inc., Term Loan
     4.506 %      12/01/16       B2       1,128,630  
  1,800    
Microsemi Corporation, Term Loan, WI/DD
     TBD       TBD     BB+       1,822,125  
  1,990    
Spansion LLC, Term Loan
     7.500 %      2/09/15     BB-       2,011,559  
 
  4,986    
Total Semiconductors & Equipment
                             4,962,314  
 
       
 
                                
       
Software – 2.8% (1.9% of Total Investments)
                                
       
 
                                
  1,642    
Dealer Computer Services, Inc., New Term Loan
     5.250 %      4/21/17     BB-       1,644,180  
  2,000    
IPC Systems, Inc., Term Loan, Second Lien
     5.539 %      6/01/15     CCC       1,716,665  
  1,414    
IPC Systems, Inc., Term Loan
     2.526 %      6/02/14       B1       1,274,584  
  497    
Reynolds Group Holdings, Inc., Incremental US Term Loan
     6.250 %      5/05/16     BB-       500,600  
  798    
Vertafore, Inc., Term Loan
     6.750 %      7/29/16       B+       802,190  
 
  6,351    
Total Software
                             5,938,219  
 
       
 
                                
       
Specialty Retail – 5.8% (3.9% of Total Investments)
                                
       
 
                                
  5,065    
Burlington Coat Factory Warehouse Corporation, Term Loan
     2.520 %      5/28/13       B-       4,941,946  
  4,483    
Michaels Stores, Inc., Term Loan B1
     2.634 %      10/31/13       B+       4,355,889  
  1,395    
Michaels Stores, Inc., Term Loan B2
     4.884 %      7/31/16       B+       1,387,012  
  1,445    
Toys “R” Us — Delaware, Inc., Term Loan
     6.000 %      9/01/16     BB-       1,456,426  
 
  12,388    
Total Specialty Retail
                             12,141,273  
 
       
 
                                
       
Wireless Telecommunication Services – 1.6% (1.1% of Total Investments)
                                
       
 
                                
  1,980    
Asurion Corporation, Term Loan
     3.277 %      7/03/14       N/R       1,852,785  
  2,000    
Clear Channel Communications, Inc., Tranche B, Term Loan
     3.905 %      11/13/15     Caa1       1,593,250  
 
  3,980    
Total Wireless Telecommunication Services
                             3,446,035  
 
$ 283,854    
Total Variable Rate Senior Loan Interests (cost $268,965,597)
                             262,559,866  
 
       
 
                                
Shares    
Description (1)
                           Value  
 
       
 
                                
       
Common Stocks – 1.9% (1.3% of Total Investments)
                                
       
 
                                
       
Building Products – 1.6% (1.1% of Total Investments)
                                
       
 
                                
  88,501    
Masonite Worldwide Holdings, (10), (12)
                           $ 3,363,038  
 
       
 
                                
       
Media – 0.3% (0.2% of Total Investments)
                                
       
 
                                
  33,484    
Readers Digest Association Inc., (10), (12)
                             698,141  
 
       
Total Common Stocks (cost $4,842,218)
                             4,061,179  
         
       
 
                                
Principal                              
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
 
       
 
                                
       
Convertible Bonds – 0.9% (0.6% of Total Investments)
                                
       
 
                                
       
Communications Equipment – 0.4% (0.3% of Total Investments)
                                
       
 
                                
$ 1,000    
Nortel Networks Corporation, (11)
     1.750 %     4/15/12       D     $ 805,000  
 
       
 
                                
       
Computers & Peripherals – 0.0% (0.0% of Total Investments)
                                
       
 
                                
  46    
Hutchinson Technology Inc.
     3.250 %     1/15/26       B-       35,420  
 
       
 
                                
       
Food & Staples Retailing – 0.5% (0.3% of Total Investments)
                                
       
 
                                
  1,375    
Great Atlantic & Pacific Tea Company Inc.
     5.125 %     6/15/11     Caa3       993,438  
 
$ 2,421    
Total Convertible Bonds (cost $1,971,095)
                             1,833,858  
 
       
 
                                
Principal                              
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
 
       
 
                                
       
Corporate Bonds – 10.5% (7.2% of Total Investments)
                                
       
 
                                
       
Auto Components – 0.2% (0.1% of Total Investments)
                                
       
 
                                
$ 400    
Exide Technologies
     10.500 %     3/15/13       B-     $ 410,500  
 
       
 
                                
       
Automobiles – 1.1% (0.7% of Total Investments)
                                
       
 
                                
  2,500    
General Motors Corporation, (8)
     8.250 %     7/15/23       N/R       887,500  
  4,000    
General Motors Corporation, (8)
     6.750 %     5/01/28       N/R       1,360,000  
 
  6,500    
Total Automobiles
                             2,247,500  
 
       
 
                                
       
Biotechnology – 0.8% (0.6% of Total Investments)
                                
       
 
                                
  2,000    
Angiotech Pharmaceuticals, Inc., Floating Rate Note, 3.750% plus three-month LIBOR
     4.036 %     12/01/13     Caa2       1,680,000  
 
       
 
                                
       
Construction Materials – 1.0% (0.7% of Total Investments)
                                
       
 
                                
  2,000    
Headwaters Inc., 144A
     11.375 %     11/01/14       B+       2,130,000  
 
       
 
                                
       
 
                                
       
Health Care Providers & Services – 1.3% (0.9% of Total Investments)
                                
       
 
                                
  1,750    
Select Medical Corporation
     7.625 %     2/01/15       B-       1,782,813  
  1,000    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
     6.198 %     9/15/15     CCC+       900,000  
 
  2,750    
Total Health Care Providers & Services
                           2,682,813  
 
       
 
                                
       
Health Care Technology – 0.5% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
Merge Healthcare Inc., 144A
     11.750 %     5/01/15       B+       1,052,500  
 
       
 
                                
       
Hotels, Restaurants & Leisure – 0.1% (0.1% of Total Investments)
                                
       
 
                                
  280    
CKE Restaurant Inc., 144A
     11.375 %     7/15/18       B       303,450  
 
       
 
                                
       
Household Durables – 0.3% (0.2% of Total Investments)
                                
       
 
                                
  700    
William Lyon Homes Inc., Unsecured Senior Note
     10.750 %     4/01/13     CC       609,000  
 
       
 
                                
       
Internet Software & Services – 0.7% (0.5% of Total Investments)
                                
       
 
                                
  2,000    
Open Solutions Inc., 144A
     9.750 %     2/01/15     CCC+       1,462,500  
 
       
 
                                
       
Machinery – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
NES Rental Holdings, 144A, WI/DD
     12.250 %     4/15/15     CCC+       805,000  
 
       
 
                                
       
Media – 1.4% (0.9% of Total Investments)
                                
       
 
                                
  550    
Clear Channel Communications, Inc.
     5.000 %     3/15/12     C       531,437  
  1,200    
Clear Channel Communications, Inc.
     5.500 %     9/15/14     C       831,000  
  2,000    
Clear Channel Communications, Inc.
     10.750 %     8/01/16     C       1,555,000  
 
  3,750    
Total Media
                             2,917,437  
 
       
 
                                
       
Multiline Retail – 0.8% (0.5% of Total Investments)
                                
       
 
                                
  1,500    
Spectrum Brands, Inc., 144A
     9.500 %     6/15/18     B       1,667,813  
 
       
 
                                
       
Multi-Utilities – 0.2% (0.2% of Total Investments)
                                
       
 
                                
  500    
Bon-Ton Department Stores Inc.
     10.250 %     3/15/14     CC       512,500  
 
       
 
                                
       
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
     7.786 %     6/15/14     B3       1,127,500  
 
       
 
                                
       
Paper & Forest Products – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
Verso Paper Holdings LLC, Floating Rate Note, 3.750% plus three-month LIBOR
     4.036 %     8/01/14       B       902,500  
 
       
 
                                
       
Pharmaceuticals – 0.3% (0.2% of Total Investments)
                                
       
 
                                
  1,750    
Angiotech Pharmaceuticals Inc., (15)
     7.750 %     4/01/14     C       691,250  
 
       
 
                                
       
Road & Rail – 0.5% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
     2.786 %     5/15/14       B       950,000  
 
       
 
                                
       
Specialty Retail – 0.0% (0.0% of Total Investments)
                                
       
 
                                
  480    
Local Insight Regatta Holdings
     11.000 %     12/01/17     D       93,600  
 
$ 29,710    
Total Corporate Bonds (cost $21,124,085)
                             22,245,863  
 
       
 
                                
Shares    
Description (1)
                           Value  
 
       
 
                                
       
Warrants – 1.1% (0.8% of Total Investments)
                                
       
 
                                
  85,405    
Citadel Broadcasting Corporation
                           $ 2,263,233  
 
       
Total Warrants (cost $2,602,717)
                             2,263,233  
         
       
 
                                
Principal                                
Amount (000)     Description (1)   Coupon     Maturity             Value  
 
       
 
                                
       
Short-Term Investments – 7.3% (5.0% of Total Investments)
                                
       
 
                                
$ 15,506    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 10/29/10, repurchase price $15,505,956, collateralized by $14,565,000 U.S. Treasury Bonds, 4.500%, due 8/15/39, value $15,820,503
     0.020 %     11/01/10             $ 15,505,930  
         
       
Total Short-Term Investments (cost $15,505,930)
                             15,505,930  
         
       
Total Investments (cost $315,011,642) – 146.2%
                             308,469,929  
         
       
Borrowings – (35.1)%, (13), (14)
                             (73,950,000 )
         
       
Other Assets Less Liabilities – (11.1)%
                             (23,552,342 )
         
       
Net Assets Applicable to Common Shares – 100%
                           $ 210,967,587  
         
Fair Value Measurements
In determining the fair value of the Fund’s investments, various inputs are used. These inputs are summarized in the three broad levels listed below:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk,
                etc.).
Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the Fund’s fair value measurements as of October 31, 2010:
                                 
    Level 1     Level 2     Level 3     Total  
 
 
                                
Investments:
                                
Variable Rate Senior Loan Interests
   $ —     $ 262,559,866     $ —     $ 262,559,866  
Common Stocks*
     —       4,061,179       —       4,061,179  
Convertible Bonds
     —       1,833,858       —       1,833,858  
Corporate Bonds
     —       22,245,863       —       22,245,863  
Warrants
     2,263,233       —       —       2,263,233  
Short-Term Investments
     15,505,930       —       —       15,505,930  
 
                                
 
 
                                
Total
   $ 17,769,163     $ 290,700,766     $ —     $ 308,469,929  
 
                                
 
*   Refer to the fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.
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 October 31, 2010, the cost of investments was $315,034,990.
Gross unrealized appreciation and gross unrealized depreciation of investments at October 31, 2010, were as follows:
         
 
 
Gross unrealized:
        
Appreciation
   $ 12,041,953  
Depreciation
      (18,607,014 ) 
 
 
        
Net unrealized appreciation (depreciation) of investments
   $ (6,565,061 ) 
 
     
    For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
 
(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 highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade.
 
(4)   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)   Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at October 31, 2010. At October 31, 2010, the Fund had unfunded Senior Loan Commitments of $555,556.
 
(6)   Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at October 31, 2010.
 
(7)   At or subsequent to October 31, 2010, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
 
(8)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
 
(9)   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.
 
(10)   Non-income producing; issuer has not declared a dividend within the past twelve months.
 
(11)   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 on the Fund’s records.
 
(12)   For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
 
(13)   Borrowings as a percentage of Total Investments is 24.0%.
 
(14)   The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.
 
(15)   Subsequent to the reporting period, 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.
 
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 December 30, 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 December 30, 2010
         
     
By (Signature and Title)  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date December 30, 2010