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:    4/30/2011   
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, 2011 (Unaudited)              
                                         
            Weighted                    
Principal         Average                    
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
 
       
 
                                
       
Variable Rate Senior Loan Interests – 112.5% (83.0% of Total Investments) (4)
                    
       
 
                                
       
Aerospace & Defense – 2.3% (1.7% of Total Investments)
                                
       
 
                                
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
     5.280 %     7/31/14       B     $ 580,931  
  553    
DAE Aviation Holdings, Inc., Term Loan B2
     5.280 %     7/31/14       B       559,631  
  225    
Hawker Beechcraft, LLC, LC Facility
     2.307 %     3/26/14       CCC+       198,540  
  3,636    
Hawker Beechcraft, LLC, Term Loan
     2.238 %     3/26/14       CCC+       3,210,662  
  637    
Transdigm, Inc., Term Loan
     4.000 %     6/30/17       Ba2       644,510  
 
  5,625    
Total Aerospace & Defense
                             5,194,274  
 
       
 
                                
       
Airlines – 1.0% (0.7% of Total Investments)
                                
       
 
                                
  2,000    
Delta Air Lines, Inc., Revolving Loan, Delayed Draw
     0.750 %     3/28/13       Ba2       (68,125 )
  2,502    
United Air Lines, Inc., Term Loan B
     2.313 %     2/01/14       BB-       2,445,091  
 
  4,502    
Total Airlines
                             2,376,966  
 
       
 
                                
       
Auto Components – 1.9% (1.4% of Total Investments)
                                
       
 
                                
  3,032    
Federal-Mogul Corporation, Tranche B, Term Loan
     2.173 %     12/29/14       Ba3       2,962,841  
  1,548    
Federal-Mogul Corporation, Tranche C, Term Loan
     2.151 %     12/28/15       Ba3       1,512,063  
 
  4,580    
Total Auto Components
                             4,474,904  
 
       
 
                                
       
Biotechnology – 0.8% (0.6% of Total Investments)
                                
       
 
                                
  1,800    
Grifols, Term Loan, WI/DD
     0.000 %     11/01/16       BB       1,819,958  
 
       
 
                                
       
Building Products – 2.1% (1.5% of Total Investments)
                                
       
 
                                
  2,000    
Goodman Global Inc., Second Lien Term Loan
     9.000 %     10/28/17       B-       2,075,834  
  2,653    
Goodman Global Inc., Term Loan
     5.750 %     10/28/16       B+       2,680,687  
 
  4,653    
Total Building Products
                             4,756,521  
 
       
 
                                
       
Capital Markets – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  295    
BNY Convergex Group LLC, Incremental Term Loan
     5.250 %     12/19/16       B+       297,530  
  703    
BNY Convergex Group LLC, Term Loan
     5.250 %     12/19/16       B+       709,072  
 
  998    
Total Capital Markets
                             1,006,602  
 
       
 
                                
       
Chemicals – 2.6% (1.9% of Total Investments)
                                
       
 
                                
  831    
Ineos US Finance LLC, Tranche B2
     7.500 %     12/16/13       B1       862,153  
  832    
Ineos US Finance LLC, Tranche C2
     8.000 %     12/16/14       B1       862,705  
  708    
Styron S.a.r.l. Corporation,Term Loan
     6.000 %     8/02/17       B+       716,411  
  3,491    
Univar, Inc., Term Loan
     5.000 %     6/30/17       B       3,522,109  
 
  5,862    
Total Chemicals
                             5,963,378  
 
       
 
                                
       
Commercial Banks – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  798    
Fifth Third Processing Solutions LLC, Term Loan
     5.500 %     11/03/16       BB-       806,279  
 
       
 
                                
       
Commercial Services & Supplies – 0.6% (0.5% of Total Investments)
                  
       
 
                                
  133    
ServiceMaster Company, Delayed Term Loan
     2.720 %     7/24/14       B+       131,167  
  1,336    
ServiceMaster Company, Term Loan
     2.763 %     7/24/14       B+       1,317,137  
 
  1,469    
Total Commercial Services & Supplies
                             1,448,304  
 
       
 
                                
       
Communications Equipment – 4.6% (3.4% of Total Investments)
                    
       
 
                                
  250    
CommScope Inc., Term Loan
     5.000 %     1/14/18       BB       252,864  
  3,033    
Intelsat, Term Loan
     5.250 %     4/02/18       BB-       3,067,221  
  3,126    
Avaya, Inc., Term Loan B3
     4.811 %     10/26/17       B1       3,032,835  
  3,278    
Avaya, Inc., Term Loan
     3.061 %     10/27/14       B1       3,211,536  
  965    
Telcordia Technologies, Inc., New Term Loan
     6.750 %     4/30/16       B+       967,971  
 
  10,652    
Total Communications Equipment
                             10,532,427  
 
       
 
                                
       
Diversified Consumer Services – 2.3% (1.7% of Total Investments)
                    
       
 
                                
  1,159    
Cengage Learning Acquisitions, Inc., Term Loan
     2.460 %     7/03/14       B+       1,117,917  
  2,993    
Advantage Sales and Marketing, Inc., Term Loan, First Lien
     5.250 %     12/17/17       B+       3,011,814  
  1,197    
Brickman Group Holdings, Inc., Tranche B, Term Loan
     7.250 %     10/14/16       B+       1,223,433  
 
  5,349    
Total Diversified Consumer Services
                             5,353,164  
 
       
 
                                
       
Diversified Financial Services – 2.6% (1.9% of Total Investments)
                    
       
 
                                
  1,243    
CIT Group, Inc., Tranche 3, Term Loan
     6.250 %     8/11/15       BB       1,263,875  
  1,723    
FoxCo Acquisition Sub LLC, Term Loan
     4.768 %     7/14/15       B+       1,731,143  
  1,000    
Nexeo Solutions LLC, Term Loan
     5.000 %     2/16/17       B1       1,006,667  
  2,067    
Pinafore LLC, Term Loan
     4.250 %     9/29/16       BB       2,088,932  
 
  6,033    
Total Diversified Financial Services
                             6,090,617  
 
       
 
                                
       
Diversified Telecommunication Services – 2.2% (1.6% of Total Investments)
                    
       
 
                                
  2,000    
Intelsat, Unsecured Term Loan
     2.776 %     2/01/14       B       1,961,562  
  2,267    
Level 3 Financing, Inc., Term Loan
     2.533 %     3/13/14       B+       2,237,447  
  994    
WideOpenWest Finance LLC, Term Loan, First Lien
     2.721 %     6/30/14       B1       962,258  
 
  5,261    
Total Diversified Telecommunication Services
                             5,161,267  
 
       
 
                                
       
Electric Utilities – 0.1% (0.1% of Total Investments)
                                
       
 
                                
  355    
TXU Corporation, 2014 Term Loan
     3.736 %     10/10/14       B2       307,130  
 
       
 
                                
       
Electronic Equipment & Instruments – 0.9% (0.6% of Total Investments)
                    
       
 
                                
  2,000    
NDS Group, Ltd., Term Loan
     4.000 %     3/12/18       Ba2       2,008,750  
 
       
 
                                
       
Food & Staples Retailing – 2.6% (1.9% of Total Investments)
                    
       
 
                                
  6,161    
U.S. Foodservice, Inc., Term Loan
     2.710 %     7/03/14       B2       5,973,826  
 
       
 
                                
       
Food Products – 2.8% (2.1% of Total Investments)
                                
       
 
                                
  72    
Darling International, Inc., Term Loan
     5.000 %     12/17/16       BBB-       72,630  
  1,400    
Del Monte Foods Company, Term Loan
     4.500 %     3/08/18       Ba3       1,407,762  
  1,000    
Great Atlantic and Pacific Tea Company, Inc., Term Loan
     8.750 %     6/14/12       BB-       1,016,225  
  1,802    
Michael Foods Group, Inc., Term Loan
     4.250 %     2/25/18       B+       1,819,916  
  1,990    
Pierre Foods, Inc., Term Loan
     7.000 %     9/30/16       B+       2,007,826  
  222    
Pinnacle Foods Finance LLC, Tranche D, Term Loan
     6.000 %     4/02/14       Ba3       224,941  
 
  6,486    
Total Food Products
                             6,549,300  
 
       
 
                                
       
Health Care Equipment & Supplies – 1.1% (0.8% of Total Investments)
                    
       
 
                                
  235    
Fenwal, Inc., Delayed Term Loan
     2.561 %     2/28/14       B       222,152  
  747    
Fenwal, Inc., Term Loan
     2.561 %     2/28/14       B       705,108  
  811    
Symbion, Inc., Term Loan A
     3.461 %     8/23/13       B1       786,670  
  921    
Symbion, Inc., Term Loan B
     3.461 %     8/25/14       B1       893,370  
 
  2,714    
Total Health Care Equipment & Supplies
                             2,607,300  
 
       
 
                                
       
Health Care Providers & Services – 14.5% (10.7% of Total Investments)
                    
       
 
                                
  1,485    
Ardent Medical Services, Inc., Term Loan
     6.500 %     9/15/15       B1       1,493,662  
  122    
Community Health Systems, Inc., Extended Term Loan
     3.811 %     1/25/17       BB       120,458  
  1,500    
Emergency Medical Services, Term Loan, WI/DD
     5.250 %     4/27/18       B+       1,511,062  
  1,296    
Gentiva Health Services, Inc., Term Loan B
     4.750 %     8/17/16       Ba2       1,312,295  
  5,000    
Golden Living, Term Loan, WI/DD
     5.000 %     4/28/18       B1       4,917,190  
  1,133    
Healthspring, Term Loan
     6.000 %     10/21/16       Ba3       1,136,260  
  2,201    
IASIS Healthcare LLC, PIK Term Loan
     5.554 %     6/16/14       CCC+       2,224,640  
  1,833    
Kindred Healthcare, Term Loan, WI/DD
     6.500 %     3/28/18       Ba3       1,830,469  
  4,009    
LifeCare, Term Loan
     8.063 %     2/01/16       Ba2       4,058,662  
  923    
MultiPlan, Inc., Term Loan B
     4.750 %     8/26/17       Ba3       929,077  
  1,500    
National Mentor Holdings, Inc., Tranche B
     7.000 %     2/09/17       B+       1,485,000  
  1,531    
Rehabcare Group, Inc., Term Loan B
     6.000 %     11/24/15       BB       1,540,760  
  449    
Renal Advantage, Inc., Tranche B, Term Loan
     5.750 %     12/17/16       Ba3       454,346  
  4,707    
Skilled Healthcare Group, Inc., Term Loan
     5.250 %     4/09/16       B+       4,697,038  
  1,486    
Sun Healthcare Group, Inc., Term Loan
     7.500 %     10/18/16       Ba2       1,488,080  
  2,762    
Universal Health Services, Inc., Term Loan B
     4.000 %     11/15/16       BB+       2,780,277  
  1,562    
Vanguard Health Holding Company II LLC, Initial Term Loan
     5.000 %     1/29/16       Ba2       1,570,077  
 
  33,499    
Total Health Care Providers & Services
                             33,549,353  
 
       
 
                                
       
Hotels, Restaurants & Leisure – 12.3% (9.1% of Total Investments)
                    
       
 
                                
  1,985    
24 Hour Fitness Worldwide, Inc., New Term Loan
     6.750 %     4/22/16       Ba3       1,982,088  
  500    
Ameristar Casinos, Inc., Term Loan B
     4.000 %     4/16/18       BB+       505,223  
  2,693    
Burger King Corporation, Tranche B
     4.500 %     10/19/16       BB-       2,695,165  
  1,400    
Caesars Octavius LLC, Term Loan, WI/DD
     9.250 %     4/25/17       B       1,404,364  
  3,573    
CCM Merger, Inc., Term Loan
     7.000 %     3/01/17       B+       3,626,734  
  1,000    
Harrah’s Operating Company, Inc., Term Loan B1
     3.274 %     1/28/15       B       939,650  
  1,000    
Harrah’s Operating Company, Inc., Term Loan B2
     3.255 %     1/28/15       B       939,167  
  987    
Harrah’s Operating Company, Inc., Term Loan B3
     3.274 %     1/28/15       B       927,861  
  1,619    
Herbst Gaming, LLC, Term Loan
     10.000 %     12/31/15       B+       1,687,135  
  1,786    
Orbitz Worldwide, Inc., Term Loan
     3.253 %     7/25/14       B+       1,700,922  
  404    
OSI Restaurant Partners LLC, Revolver
     0.099 %     6/14/13       B+       397,145  
  3,798    
OSI Restaurant Partners LLC, Term Loan
     2.500 %     6/14/14       B+       3,731,865  
  1,000    
QCE LLC, Term Loan
     5.961 %     11/05/13       N/R       802,500  
  707    
Reynolds Group Holdings, Inc., US Term Loan
     4.250 %     2/09/18       BB       712,248  
  1,029    
Seaworld Parks and Entertainment, Inc., Term Loan B
     4.000 %     8/17/17       BB+       1,037,820  
  1,100    
Six Flags Theme Parks, Inc., Tranche B, Term Loan
     5.250 %     6/30/16       BB       1,110,771  
  963    
Travelport LLC, Delayed Term Loan
     4.744 %     8/21/15       Ba3       944,678  
  213    
Travelport LLC, Letter of Credit
     4.807 %     8/21/15       Ba3       209,113  
  660    
Travelport LLC, Term Loan
     4.744 %     8/21/15       Ba3       647,467  
  504    
Venetian Casino Resort LLC, Delayed Term Loan
     3.000 %     11/23/16       BB-       496,575  
  1,982    
Venetian Casino Resort LLC, Tranche B, Term Loan
     3.000 %     11/23/16       BB-       1,952,120  
 
  28,903    
Total Hotels, Restaurants & Leisure
                             28,450,611  
 
       
 
                                
       
Household Products – 2.5% (1.9% of Total Investments)
                                
       
 
                                
  2,828    
Spectrum Brands, Inc., Term Loan
     5.010 %     6/17/16       B2       2,864,026  
  2,993    
Visant Corporation, Term Loan
     5.250 %     12/22/16       BB-       3,010,814  
 
  5,821    
Total Household Products
                             5,874,840  
 
       
 
                                
       
Industrial Conglomerates – 0.8% (0.6% of Total Investments)
                    
       
 
                                
  995    
Evertec, Inc., Term Loan
     5.500 %     9/30/16       BB-       1,002,462  
  800    
Presidio, Inc., Term Loan
     7.250 %     3/31/17       Ba3       802,000  
 
  1,795    
Total Industrial Conglomerates
                             1,804,462  
 
       
 
                                
       
Internet Software & Services – 1.4% (1.1% of Total Investments)
                    
       
 
                                
  1,447    
Open Solutions, Inc., Term Loan B
     2.395 %     1/23/14       BB-       1,297,094  
  1,957    
SkillSoft Corporation, Term Loan
     6.500 %     5/26/17       BB       1,991,016  
 
  3,404    
Total Internet Software & Services
                             3,288,110  
 
       
 
                                
       
IT Services – 6.3% (4.6% of Total Investments)
                                
       
 
                                
  82    
First Data Corporation, Term Loan B1
     2.963 %     9/24/14       B+       78,427  
  122    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan
     3.970 %     7/28/12       B+       121,039  
  541    
Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Draw Term Loan
     5.970 %     7/28/15       B+       530,113  
  1,000    
Attachmate Corporation, Term Loan
     6.500 %     4/27/17       BB-       1,002,500  
  3,633    
First Data Corporation, Extended Term Loan
     4.213 %     3/24/18       B+       3,452,738  
  124    
First Data Corporation, Term Loan B2
     2.963 %     9/24/14       B+       117,659  
  181    
First Data Corporation, Term Loan B3
     2.963 %     9/24/14       B+       171,795  
  1,073    
Infor Global Solutions Intermediate Holdings, Ltd., Holdco PIK Term Loan
     8.200 %     9/02/14       N/R       892,358  
  2,365    
Infor Global Solutions Intermediate Holdings, Ltd., Second Lien Delayed Draw, DD1
     6.461 %     3/02/14       CCC+       2,163,975  
  259    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
     3.970 %     7/28/12       B+       256,803  
  4,085    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien, DD1
     6.461 %     3/02/14       CCC+       3,756,925  
  1,030    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
     5.970 %     7/28/15       B+       1,024,195  
  898    
Syniverse Holdings, Inc., Term Loan
     5.250 %     12/21/17       BB-       908,036  
 
  15,393    
Total IT Services
                             14,476,563  
 
       
 
                                
       
Leisure Equipment & Products – 2.9% (2.1% of Total Investments)
                    
       
 
                                
  2,012    
BLB Management Services, Inc., Term Loan
     8.500 %     11/05/15       BB-       2,027,913  
  3,229    
Bombardier Recreational Products, Inc., Term Loan
     2.786 %     6/28/13       B-       3,208,582  
  1,444    
Cedar Fair LP, Term Loan
     4.000 %     12/15/17       Ba2       1,459,665  
 
  6,685    
Total Leisure Equipment & Products
                             6,696,160  
 
       
 
                                
       
Media – 9.9% (7.3% of Total Investments)
                                
       
 
                                
  1,508    
Carmike Cinemas, Inc., Term Loan
     5.500 %     1/27/16       B1       1,519,360  
  1,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
     2.711 %     3/06/14       BB+       989,063  
  956    
Emmis Operating Company, Term Loan
     4.308 %     11/01/13       Caa2       892,975  
  1,470    
Gray Television, Inc., Term Loan B
     3.750 %     12/31/14       B       1,463,522  
  2,602    
Interactive Data Corporation, Term Loan B
     4.750 %     2/11/18       Ba3       2,623,007  
  694    
Miramax Film, LLC, Term Loan
     7.750 %     7/01/16       Ba2       702,519  
  2,950    
Spanish Broadcasting System, Inc., Term Loan B
     2.060 %     6/11/12       B-       2,879,326  
  1,022    
SuperMedia, Term Loan
     11.000 %     12/31/15       B-       689,261  
  7,910    
Tribune Company, Term Loan B, (5)
     0.000 %     6/04/14       Ca       5,522,697  
  4,890    
Univision Communications, Inc., Term Loan
     4.461 %     3/31/17       B       4,791,189  
  1,876    
Yell Group PLC, Term Loan
     3.961 %     7/31/14       N/R       757,707  
 
  26,878    
Total Media
                             22,830,626  
 
       
 
                                
       
Metals & Mining – 1.9% (1.4% of Total Investments)
                                
       
 
                                
  1,500    
Fairmount Minerals, Ltd., Tranche B, Term Loan
     5.250 %     3/15/17       BB-       1,510,078  
  1,496    
Novelis, Inc., Term Loan
     4.000 %     3/10/17       BB-       1,513,551  
  1,333    
Walter Energy, Term Loan
     4.000 %     4/02/18       BB-       1,346,584  
 
  4,329    
Total Metals & Mining
                             4,370,213  
 
       
 
                                
       
Multiline Retail – 1.1% (0.8% of Total Investments)
                                
       
 
                                
  2,490    
Neiman Marcus Group, Inc., Term Loan
     4.310 %     4/06/16       BB-       2,498,331  
 
       
 
                                
       
Oil, Gas & Consumable Fuels – 2.0% (1.5% of Total Investments)
                    
       
 
                                
  332    
Alon USA Energy, Inc., Edgington Facility
     2.561 %     8/05/13       B+       295,562  
  2,657    
Alon USA Energy, Inc., Paramount Facility
     2.527 %     8/05/13       B+       2,364,411  
  842    
Big West Oil LLC, Term Loan
     7.000 %     3/31/16       B2       854,737  
  1,133    
Western Refining, Inc., Term Loan
     7.500 %     3/15/17       B       1,150,029  
 
  4,964    
Total Oil, Gas & Consumable Fuels
                             4,664,739  
 
       
 
                                
       
Paper & Forest Products – 2.8% (2.1% of Total Investments)
                    
       
 
                                
  2,824    
Newark Group, Inc., DIP Term Loan
     12.500 %     3/31/14       N/R       2,923,307  
  3,667    
Wilton Products, Term Loan
     3.570 %     8/01/14       N/R       3,520,098  
 
  6,491    
Total Paper & Forest Products
                             6,443,405  
 
       
 
                                
       
Personal Products – 1.7% (1.2% of Total Investments)
                                
       
 
                                
  1,866    
NBTY, Inc., Term Loan B1
     4.250 %     10/01/17       BB-       1,882,038  
  1,980    
Revlon Consumer Products Corporation, Term Loan
     6.000 %     3/11/15       BB-       1,993,767  
 
  3,846    
Total Personal Products
                             3,875,805  
 
       
 
                                
       
Pharmaceuticals – 1.3% (1.0% of Total Investments)
                                
       
 
                                
  1,117    
ConvaTec Healthcare, Term Loan
     5.750 %     12/30/16       Ba3       1,122,960  
  2,000    
Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)
     4.941 %     5/03/13       Ca       113,334  
  1,894    
Graceway Pharmaceuticals LLC, Term Loan, (5)
     4.961 %     5/03/12       Caa2       1,145,638  
  287    
Warner Chilcott Corporation, Term Loan B1
     4.250 %     3/17/18       BBB-       289,512  
  143    
Warner Chilcott Corporation, Term Loan B2
     4.250 %     3/17/18       BBB-       144,756  
  197    
Warner Chilcott Corporation, Term Loan B3
     4.250 %     3/17/18       BBB-       199,040  
 
  5,638    
Total Pharmaceuticals
                             3,015,240  
 
       
 
                                
       
Professional Services – 1.0% (0.8% of Total Investments)
                                
       
 
                                
  1,820    
U.S. Investigations Services, Inc., Term Loan
     7.750 %     2/21/15       B+       1,834,367  
  629    
Vertrue Inc., Term Loan
     5.310 %     8/16/14       B1       565,941  
 
  2,449    
Total Professional Services
                             2,400,308  
 
       
 
                                
       
Real Estate Investment Trust – 1.2% (0.9% of Total Investments)
                    
       
 
                                
  2,859    
iStar Financial, Inc., Tranche A1
     5.000 %     6/28/13       B1       2,842,432  
 
       
 
                                
       
Real Estate Management & Development – 3.6% (2.6% of Total Investments)
                    
       
 
                                
  3,972    
Capital Automotive LP, Tranche B
     5.000 %     3/11/17       Ba3       3,962,004  
  1,750    
LNR Property Corporation, Term Loan, WI/DD
     4.750 %     4/26/16       Ba2       1,763,125  
  2,722    
Realogy Corporation, Delayed Term Loan
     4.562 %     10/10/16       B1       2,563,149  
 
  8,444    
Total Real Estate Management & Development
                             8,288,278  
 
       
 
                                
       
Road & Rail – 1.9% (1.4% of Total Investments)
                                
       
 
                                
  388    
Avis Budget Car Rental LLC, Term Loan
     5.750 %     4/19/14       Ba1       390,374  
  3,891    
Swift Transportation Company, Inc., Term Loan
     6.000 %     12/21/16       BB-       3,940,786  
 
  4,279    
Total Road & Rail
                             4,331,160  
 
       
 
                                
       
Semiconductors & Equipment – 2.7% (2.0% of Total Investments)
                    
       
 
                                
  1,189    
Freescale Semiconductor, Inc., Term Loan
     4.493 %     12/01/16       B1       1,190,746  
  1,796    
Microsemi Corporation, Term Loan
     4.000 %     11/02/17       BB+       1,808,966  
  2,000    
NXP Semiconductor LLC, Term Loan
     4.500 %     3/04/17       B-       2,023,750  
  1,113    
Spansion LLC, Term Loan
     6.250 %     2/09/15       BB-       1,122,543  
 
  6,098    
Total Semiconductors & Equipment
                             6,146,005  
 
       
 
                                
       
Software – 2.2% (1.6% of Total Investments)
                                
       
 
                                
  695    
Dealer Computer Services, Inc., Term Loan
     3.750 %     4/21/18       BB+       701,883  
  2,000    
IPC Systems, Inc., Term Loan, Second Lien
     5.557 %     6/01/15       CCC       1,955,000  
  1,359    
IPC Systems, Inc., Term Loan
     2.517 %     6/02/14       B1       1,341,838  
  998    
Vertafore, Inc., Term Loan
     5.250 %     7/29/16       B+       1,004,670  
 
  5,052    
Total Software
                             5,003,391  
 
       
 
                                
       
Specialty Retail – 4.5% (3.3% of Total Investments)
                                
       
 
                                
  1,995    
Burlington Coat Factory Warehouse Corporation, Term Loan B
     6.250 %     2/23/17       B-       1,995,555  
  412    
Claire’s Stores, Inc., Term Loan B
     3.051 %     5/29/14       B       391,748  
  748    
Gymboree Corporation, Term Loan
     5.000 %     2/23/18       B+       751,086  
  1,500    
J Crew Group, Term Loan
     4.750 %     3/07/18       B1       1,499,192  
  2,750    
Jo-Ann Stores, Inc., Term Loan
     4.750 %     3/16/18       B+       2,753,438  
  1,405    
Michaels Stores, Inc., Term Loan B1
     2.584 %     10/31/13       B+       1,395,096  
  1,439    
Toys “R” Us — Delaware, Inc., Term Loan
    6.000 %     9/01/16       BB-       1,452,337  
 
  10,249    
Total Specialty Retail
                             10,238,452  
 
       
 
                                
       
Wireless Telecommunication Services – 2.7% (2.0% of Total Investments)
                    
       
 
                                
  1,938    
Asurion Corporation, Term Loan
     3.248 %     7/03/14       B+       1,932,451  
  4,820    
Clear Channel Communications, Inc., Tranche B, Term Loan
     3.861 %     11/13/15       CCC+       4,302,966  
 
  6,758    
Total Wireless Telecommunication Services
                             6,235,417  
 
$ 271,622    
Total Variable Rate Senior Loan Interests (cost $259,245,482)
                 259,754,868  
 
 
Shares     Description (1)                           Value  
 
       
 
                                
       
Common Stocks – 4.6% (3.4% of Total Investments)
                                
       
 
                                
       
Building Products – 1.4% (1.1% of Total Investments)
                                
       
 
                                
  88,501    
Masonite Worldwide Holdings, (6),(7)
                           $ 3,363,038  
 
       
 
                                
       
Hotels, Restaurants & Leisure – 0.7% (0.5% of Total Investments)
                    
       
 
                                
  40,968    
BLB Worldwide Holdings Inc., DDI,(7)
                             430,164  
  92,505    
Herbst Gaming Inc.,(7)
                             1,110,068  
 
       
Total Hotels, Restaurants & Leisure
                             1,540,232  
         
       
 
                                
       
Media – 2.5% (1.8% of Total Investments)
                                
       
 
                                
  85,405    
Citadel Broadcasting Corporation, (6)
                             2,911,457  
  51,773    
Metro-Goldwyn-Mayer,(7)
                             1,169,205  
  5,339    
Philadelphia Newspapers LLC,(7)
                             544,578  
  33,484    
Readers Digest Association Inc., (6),(7)
                             1,096,600  
 
       
Total Media
                             5,721,840  
         
       
Total Common Stocks (cost $12,324,001)
                             10,625,110  
         
 
Principal                              
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
 
       
 
                                
       
Convertible Bonds – 0.6% (0.4% of Total Investments)
                                
       
 
                                
       
Communications Equipment – 0.6% (0.4% of Total Investments)
                    
       
 
                                
$ 1,500    
Nortel Networks Corporation, (5)
     1.750 %     4/15/12       N/R     $ 1,305,000  
 
$  1,500    
Total Convertible Bonds (cost $1,217,500)
                             1,305,000  
 
 
Principal                              
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
 
       
 
                                
       
Corporate Bonds – 7.9% (5.9% of Total Investments)
                                
       
 
                                
       
Biotechnology – 0.8% (0.6% of Total Investments)
                                
       
 
                                
$ 2,000    
Angiotech Pharmaceuticals, Inc.
     4.060 %     12/01/13       N/R     $ 1,785,000  
 
       
 
                                
       
Construction Materials – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
Headwaters Inc., 144A
     7.625 %     4/01/19       B+       1,017,500  
 
       
 
                                
       
Health Care Equipment & Supplies – 0.5% (0.4% of Total Investments)
                    
       
 
                                
  1,000    
Merge Healthcare Inc.
     11.750 %     5/01/15       B+       1,080,000  
 
       
 
                                
       
Health Care Providers & Services – 0.4% (0.3% of Total Investments)
                    
       
 
                                
  1,000    
Select Medical Corporation
     6.211 %     9/15/15       CCC+       977,500  
 
       
 
                                
       
IT Services – 1.3% (1.0% of Total Investments)
                                
       
 
                                
  3,000    
First Data Corporation, 144A
     7.375 %     6/15/19       B+       3,056,250  
 
       
 
                                
       
Machinery – 0.9% (0.6% of Total Investments)
                                
       
 
                                
  2,000    
NES Rental Holdings Inc., 144A
     12.250 %     4/15/15       CCC+       2,002,500  
 
       
 
                                
       
Media – 1.4% (1.1% of Total Investments)
                                
       
 
                                
  1,000    
Clear Channel Communications, Inc.
     10.750 %     8/01/16       CCC-       972,500  
  3,200    
Clear Channel Communications, Inc.
     6.875 %     6/15/18       CCC-       2,312,000  
 
  4,200    
Total Media
                             3,284,500  
 
       
 
                                
       
Multiline Retail – 0.7% (0.5% of Total Investments)
                                
       
 
                                
  1,500    
Spectrum Brands Inc., 144A
     9.500 %     6/15/18       B1       1,676,250  
 
       
 
                                
       
Oil, Gas & Consumable Fuels – 0.5% (0.4% of Total Investments)
                    
       
 
                                
  1,100    
Western Refining Inc., 144A
     10.750 %     6/15/14       B       1,188,000  
 
       
 
                                
       
Paper & Forest Products – 0.6% (0.4% of Total Investments)
                                
       
 
                                
  500    
Catalyst Paper Co.
     7.375 %     3/1/14       Caa2       347,500  
  1,000    
Verso Paper Holdings LLC
     4.023 %     8/01/14       B       970,000  
 
  1,500    
Total Paper & Forest Products
                             1,317,500  
 
       
 
                                
       
Road & Rail – 0.4% (0.3% of Total Investments)
                                
       
 
                                
  1,000    
Avis Budget Car Rental
     2.813 %     5/15/14       B       972,500  
 
       
 
                                
       
Specialty Retail – 0.0% (0.0% of Total Investments)
                                
       
 
                                
  480    
Local Insight Regatta Holdings
     11.000 %     12/01/17       Caa3       3,600  
 
$ 19,780    
Total Corporate Bonds (cost $17,669,096)
                             18,361,100  
 
 
Principal                                
Amount (000)     Description (1)   Coupon     Maturity             Value  
 
       
 
                                
       
Short-Term Investments – 9.9% (7.3% of Total Investments)
                                
       
 
                                
$ 22,862    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 4/29/11, repurchase price $22,861,947, collateralized by $22,975,000 U.S. Treasury Notes, 1.125%, due 12/15/12, value $23,319,625
    0.010 %     5/02/11             $ 22,861,928  
   
       
Total Short–Term Investments (cost $22,861,928)
                             22,861,928  
         
       
Total Investments (cost $313,318,007) - 135.5%
                             312,908,006  
         
       
Borrowings — (32.0)% (8), (9)
                             (73,950,000 )
         
       
Other Assets Less Liabilities — (3.5)% (10)
                             (7,968,212 )
         
       
Net Assets Applicable to Common Shares – 100%
                           $ 230,989,794  
         
Investments in Derivatives
Swaps outstanding at April 30, 2011:
                                                                 
            Fund                     Fixed Rate                     Unrealized  
    Notional     Pay/Receive     Floating Rate   Fixed Rate     Payment     Effective     Termination     Appreciation  
Counterparty   Amount     Floating Rate     Index   (Annualized)     Frequency     Date (11)     Date     (Depreciation)  
 
Goldman Sachs
   $ 18,487,500     Receive     1-Month USD-LIBOR     1.300 %   Monthly       4/20/11       4/20/14     $ (64,728 )
Goldman Sachs
     18,487,500     Receive     1-Month USD-LIBOR     0.344     Monthly       4/20/11       4/20/12       (7,405 )
Morgan Stanley
     18,487,500     Receive     1-Month USD-LIBOR     2.201     Monthly       4/20/11       4/20/16       (115,422 )
 
 
                                                           $ (187,555 )
 
Fair Value Measurements
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is 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 April 30, 2011:
                                 
    Level 1     Level 2     Level 3     Total  
 
Investments:
                                
Variable Rate Senior Loan Interests
   $ —     $ 259,754,868     $ —     $ 259,754,868  
Common Stocks*
     2,911,457       7,713,653       —       10,625,110  
Convertible Bonds
     —       1,305,000       —       1,305,000  
Corporate Bonds
     —       18,361,100       —       18,361,100  
Short-Term Investments
     —       22,861,928       —       22,861,928  
Derivatives:
                                
Interest Rate Swaps**
     —       (187,555 )     —       (187,555 )
 
Total
   $ 2,911,457     $ 309,808,994     $ —     $ 312,720,451  
 
*    Refer to the Fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.
**   Represents net unrealized appreciation (depreciation).
During the period ended April 30, 2011, the Fund recognized no significant transfers to/from Level 1, Level 2 or Level 3.
Derivative Instruments and Hedging Activities
The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
The following table presents the fair value of all derivative instruments held by the Fund as of April 30, 2011, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.
                                         
            Location on the Statement of Assets and Liabilities  
Underlying   Derivative     Asset Derivatives     Liability Derivatives  
Risk Exposure   Instrument     Location     Value     Location     Value  
 
Interest Rate
   Swaps   Unrealized appreciation on swaps*   $ —     Unrealized depreciation on swaps*   $ 187,555  
 
*    Represents cumulative gross unrealized appreciation (depreciation) of swap contracts as reported in the Portfolios of Investments.
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, 2011, the cost of investments, as determined on a federal income tax basis, was $313,348,188.
Gross unrealized appreciation and gross unrealized depreciation of investments, as determined on a federal income tax basis, at April 30, 2011, were as follows:
         
 
Gross unrealized:
        
Appreciation
   $ 12,700,360  
Depreciation
     (13,140,542 )
 
 
        
Net unrealized appreciation (depreciation) of investments
   $ (440,182 )
 
 
    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. Holdings designated N/R are not rated by any of these national rating agencies.
 
(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 the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the 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.
 
(6)   Non-income producing; issuer has not declared a dividend within the past twelve months.
 
(7)   For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
 
(8)   Borrowings as a percentage of Total Investments is 23.6%.
 
(9)   The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings.
 
(10)   Other Assets Less Liabilities includes the Value and/or Unrealized Appreciation (Depreciation) of derivative instruments as noted in Investments in Derivatives.
 
(11)   Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals on each forward swap contract.
 
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.
 
USD-LIBOR   United States Dollar-London Inter-Bank Offered Rate.
 
 

 

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.
(Registrant) Nuveen Senior Income Fund
         
     
By (Signature and Title)  /s/ Kevin J. McCarthy    
  Kevin J. McCarthy  
  Vice President and Secretary   
 
Date June 29, 2011
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, 2011
         
     
By (Signature and Title)  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date June 29, 2011