LOGO: NUVEEN Investments
Closed-End Exchange-Traded Funds
Nuveen Senior Income Fund
High current income from a
portfolio of senior, secured
corporate loans
NSL
JANUARY 31, 2002
SEMIANNUAL REPORT
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Photo of: Timothy R. Schwertfeger
Chairman of the Board
Dear Shareholder
In the aftermath of September 11, the financial markets have reacted with
volatility and uncertainty as investors attempt to better understand how the
U.S. and world economies are likely to perform in the months ahead. It's been a
difficult period for all senior loan funds, and it's too soon to tell what the
long-term impact will be on the senior loan market or your Fund. However, one
thing is increasingly clear to us - a diversified portfolio that includes a
variety of asset classes can leave you well positioned to reduce overall
investment volatility under any market conditions.
In our last report, we noted there was going to be a change in the management
team of your Fund. I am pleased to say that this transition has been
accomplished successfully, and your Fund is now in the very capable and
experienced hands of a team from Symphony Asset Management, a unit of Nuveen
Investments. There is more on their background and capabilities in the Portfolio
Managers' Comments section of this report, and I urge you to take the time to
read it and get to know them better.
I also would urge you to consider receiving future Fund reports and other
information electronically via the Internet and e-mail rather than in hard copy.
Not only will you be able to receive the information faster, but this may also
help lower Fund expenses. Sign up is quick and easy - see the inside front cover
of this report for detailed instructions.
For more than 100 years, Nuveen has specialized in offering quality investments
to those seeking to accumulate and preserve wealth. We thank you for continuing
to choose Nuveen Investments as your partner as you work toward these goals.
Sincerely,
/s/ Timothy R. Schwertfeger
Timothy R. Schwertfeger
Chairman of the Board
March 15, 2002
Sidebar text: "I urge you to consider receiving future Fund reports and other
information electronically... See the inside front cover of this report for
details."
Nuveen Senior Income Fund (NSL)
Managers' Perspective
In October 2001, a team of four portfolio managers from Symphony Asset
Management, a Nuveen Investments subsidiary, assumed management responsibility
for the Nuveen Senior Income Fund. The team, consisting of Gunther Stein,
Geoffrey Gwin, Lenny Mason and Deepak Gulrajani, has more than 30 years of
combined investment management experience, much of it in evaluating and
purchasing senior corporate loans and other high yield debt. Here the team from
Symphony reviews their qualifications, the prevailing economic conditions and
performance of NSL for the period ended January 31, 2002.
HOW HAS YOUR EXPERIENCE AT SYMPHONY PREPARED YOU TO MANAGE THE NUVEEN SENIOR
INCOME FUND?
We currently manage approximately $1 billion in high yield bonds. Working with
high yield bonds is a lot like working with senior loans - except that,
historically, high yield debt has been more volatile than senior loans. The
single most critical factor is focusing on credit fundamentals. Every day we
re-assess our holdings, using quantitative and qualitative data gathered from
the entire investment team at Symphony - including fixed-income specialists and
equity portfolio managers, who provide valuable perspectives on companies from
their respective markets - as well as from outside analysts and news reports.
The Fund's management team has extensive senior loan industry experience that
helps us thoroughly understand this highly complex market. Gunther Stein started
his career as a member of the Wells Fargo loan syndication team, working daily
with the same type of loans that are in the Fund. Lenny Mason was a managing
director at Fleet Bank on the bank-loan side, where he led the structuring and
advisory team for the technology and telecom group. Geoffry Gwin was a leveraged
lender at the German bank BHF Bank, a position in which he evaluated the
creditworthiness of companies seeking loans. Deepak Gulrajani was the Director
of Fixed Income Strategies at Barclays Global Investors where he was responsible
for more than $30 billion of U.S. and global fixed income assets.
WHAT HAS BEEN THE GENERAL MARKET ENVIRONMENT OVER THE PAST TWELVE MONTHS?
The two major forces at work during the twelve months ended January 31, 2002,
were the continued slowdown in economic growth and the Federal Reserve's
aggressive approach to easing short-term interest rates. While the period of Fed
rate easing may be over, inflation remains in check and we see some signs of a
building economic recovery. In addition to these factors, the tragic events of
September 11 and their aftermath also had a profound short-term effect on the
economy and the markets. It is still unclear what the long-term effects, if any,
may be.
HOW DID THE SENIOR LOAN MARKET PERFORM?
Like many other asset classes, the senior loan market has been sensitive to the
generally declining economic fundamentals and these effects have been
exacerbated to some extent by the events of September 11th. For example, in
September 2001 the leveraged loan asset class, as measured by the Credit Suisse
First Boston Leveraged Loan index, produced its third lowest monthly return
since January 1992.
However, by mid-November the leveraged loan market began to benefit from a more
positive economic outlook and strong insti-tutional demand, primarily from
Collateralized Debt Obligations (CDOs). This strong demand was further
compounded by a lack of new issue supply, driving pricing of many better quality
credits above par. As the supply of many of the higher quality loans
disappeared, demand for discounted loans, primarily in the industrial sectors,
picked up.
The opening of the high yield bond market for many credits has further enhanced
the performance of many loans as some companies have taken the opportunity to
improve tight liquidity positions and/or refinance their bank debt. Given our
view that credit trends for many companies will continue to improve as we get
past the September shock, and that the high yield markets will remain attractive
over the near term, we think the asset class should perform well in the months
ahead.
We are optimistic about the prospects for an improvement in the underlying
fundamentals of the senior loan market, particularly if the economy continues to
recover and default risks subside. Furthermore, if interest rates begin to
climb, we foresee incremental demand for the asset class.
WHAT STRATEGIES HAVE YOU EMPLOYED TO MANAGE THE FUND?
Since we took over management of the Fund in October, our primary focus has been
to review the portfolio's credits in detail and obtain a solid understanding of
the companies prior to taking any action. We've been doing this by utilizing a
bottom-up approach, which involves a company-by-company analysis. As we review
credits, we are attempting to quantify the upside and downside of each company's
loan price.
Although industry exposure is being closely monitored, our primary objective is
to own loans which we perceive have solid underlying collateral values. For
example, some industry sectors that we think have strong asset pro tection
include food and beverage/consumer products, industrials, and gaming and
lodging. Some sectors that we are cautious about include retail, non-cellular
telecom, finance and energy.
HOW HAS THE FUND PERFORMED?
All senior loan funds have been under pressure for the past year, and this Fund
is no exception. For the one-year period ended January 31, 2002, the Nuveen
Senior Income Fund produced a total return on net asset value (NAV) of -4.60%.
Dividends have been affected by the Federal Reserve Bank's decision to combat
the general economic declines by lowering short-term interest rates. As
short-term interest rates (including, most importantly, LIBOR) declined, reset
rates for senior loans were lowered. The result was that the Fund's portfolio
generated less income, which in turn resulted in a dividend reduction for Fund
shareholders. This has been true for all listed, traded senior loan funds.
WHAT IS YOUR STRATEGY GOING FORWARD?
Our overall strategy is to focus on principal preservation. We want to run a
portfolio of loans that we feel comfortable owning, but we also want to enhance
the yield without taking on undue risk. We believe this philosophy is consistent
with Nuveen's commitment to a quality, disciplined, long-term investment
philosophy. In general, we want to buy senior
loans that can ultimately be sold at reasonable levels. Our ideal loan would be
one issued by a company offering strong collateral protection to secure the
debt.
We can also take advantage of the current volatility in the senior loan market
by looking to buy senior loans in sectors that we believe are trading at
reasonable discounts. As we look to uncover these opportunities, we will stick
to buying debt in companies whose business we fully understand. By focusing on
our investment strengths, we hope to increase our odds of success.
DO YOU EXPECT TO SIGNIFICANTLY ALTER THE CURRENT PORTFOLIO HOLDINGS?
We are making adjustments incrementally. We clearly want to optimize the
portfolio to reflect our focus on high-quality companies and good risk
management. We are examining each loan currently in the portfolio, especially
those trading at discounts to par. If we feel there is still significant
downside potential, we may sell some of those loans. We will do this on a
case-by-case basis. At this time, we are not planning on selling off a
significant portion of the portfolio.
WHAT IS YOUR OUTLOOK FOR THE SENIOR LOAN MARKET?
Absolute yields today are significantly lower than a year ago. Corporate default
rates have increased, while recovery rates have decreased. Despite these trends,
we believe there's still quite a bit of opportunity in this market. For example,
floating rate funds could benefit should LIBOR rates increase from current
levels that are at or close to historical lows. In addition, increased merger
and acquisition activity and access to capital markets may help some companies'
prospects and perhaps increase the Fund's NAVs. Finally, we're seeing a number
of new loans that are being priced and structured much more attractively than
previously. Banks are still creating and selling syndicated loans in this
economy because they need to diversify their risk. The banks are essentially
motivated sellers, who may or may not be acting rationally - which means that,
as buyers, we may be able to pick up some bargains.
NUVEEN SENIOR INCOME FUND
Performance
Overview As of January 31, 2002
NSL
PORTFOLIO STATISTICS
==================================================
Share Price $7.43
--------------------------------------------------
Net Asset Value $7.56
--------------------------------------------------
Fund Net Assets ($000) $270,683
--------------------------------------------------
% OF TOTAL
TOP 10 ISSUERS INVESTMENTS
==================================================
NRT, Inc. 2.87%
--------------------------------------------------
The Fairchild Corporation 2.54%
--------------------------------------------------
Dr. Pepper/Seven Up Bottling
Group, Inc. 2.47%
--------------------------------------------------
Norcross Safety Products, LLC 2.46%
--------------------------------------------------
Wyndham International, Inc. 2.39%
--------------------------------------------------
Centennial Cellular Operating
Company, LLC 2.38%
--------------------------------------------------
Stone Container Corporation 2.33%
--------------------------------------------------
North American Van Lines 2.25%
--------------------------------------------------
Fitness Holdings Worldwide, Inc. 2.22%
--------------------------------------------------
Mandalay Resort Group 2.19%
--------------------------------------------------
% OF TOTAL
TOP 10 INDUSTRIES INVESTMENTS
==================================================
Beverage, Food & Tobacco 7.79%
--------------------------------------------------
Hotels, Motels, Inns & Gaming 7.72%
--------------------------------------------------
Containers, Packaging & Glass 6.44%
--------------------------------------------------
Aerospace/Defense 4.77%
--------------------------------------------------
Buildings & Real Estate 4.75%
--------------------------------------------------
Automotive 4.72%
--------------------------------------------------
Leisure & Entertainment 4.61%
--------------------------------------------------
Diversified Manufacturing 4.30%
--------------------------------------------------
Utilities 3.80%
--------------------------------------------------
Telecommunications/Cellular/PCS 3.48%
--------------------------------------------------
ANNUALIZED TOTAL RETURN
Inception Date 10/99
==================================================
Market NAV
--------------------------------------------------
1-Year -17.84% -4.60%
--------------------------------------------------
Since Inception -3.06% 0.24%
--------------------------------------------------
Bar Chart:
2001-2002 Monthly Dividends Per Share
2/01 0.09
3/01 0.087
4/01 0.087
5/01 0.083
6/01 0.079
7/01 0.079
8/01 0.079
9/01 0.075
10/01 0.067
11/01 0.067
12/01 0.055
1/02 0.049
SHARE PRICE PERFORMANCE
Line Chart:
Weekly Closing Price
Past performance is not predictive of future results.
2/1/01 10.06
10.16
10.16
10.2
10.15
10.14
10.02
10.04
9.18
9.2
9.45
9.79
9.75
9.9
9.93
9.95
10.05
10.12
10.05
10.08
9.68
9.83
9.9
9.9
9.99
10.06
10.12
9.97
10.07
10.05
9.82
9.77
8.26
9.14
9.24
8.92
8.6
8.55
8.75
8.23
7.94
7.64
7.88
7.3
7.06
7.37
7.63
7.8
7.65
7.38
1/31/02 7.44
Shareholder
Meeting Report
The Shareholder Meeting was held December 19, 2001, in Chicago at Nuveen's
headquarters.
NSL
--------------------------------------------------------------------------------
APPROVAL OF THE BOARD MEMBERS WAS REACHED AS FOLLOWS:
Preferred
Common Shares
Shares Series-TH
================================================================================
James E. Bacon
For 28,897,237 1,468
Withhold 216,409 --
--------------------------------------------------------------------------------
Total 29,113,646 1,468
================================================================================
William E. Bennett
For 28,897,331 1,468
Withhold 216,315 --
--------------------------------------------------------------------------------
Total 29,113,646 1,468
================================================================================
Jack B. Evans
For 28,897,237 1,468
Withhold 216,409 --
--------------------------------------------------------------------------------
Total 29,113,646 1,468
================================================================================
Thomas E. Leafstrand
For 28,903,731 1,468
Withhold 209,915 --
--------------------------------------------------------------------------------
Total 29,113,646 1,468
================================================================================
Sheila W. Wellington
For 28,895,237 1,468
Withhold 218,409 --
--------------------------------------------------------------------------------
Total 29,113,646 1,468
================================================================================
William L. Kissick
For -- 1,468
Withhold -- --
--------------------------------------------------------------------------------
Total -- 1,468
================================================================================
Timothy R. Schwertfeger
For -- 1,468
Withhold -- --
--------------------------------------------------------------------------------
Total -- 1,468
================================================================================
Nuveen Senior Income Fund (NSL)
Portfolio of
Investments January 31, 2002 (Unaudited)
RATINGS*
------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION MOODY'S S&P MATURITY** VALUE
-----------------------------------------------------------------------------------------------------------------------------------
VARIABLE RATE SENIOR LOAN INTERESTS(1) AND INTEREST
BEARING SECURITIES - 124.7%
AEROSPACE/DEFENSE - 6.6% (4.7% OF TOTAL ASSETS)
$ 4,962 DeCrane Aircraft Holdings, Inc., Term Loan D B2 B+ 12/17/06 $ 4,881,446
10,975 The Fairchild Corporation, Term Loan B B1 BB- 04/30/06 9,465,941
2,137 United Defense Industries, Inc., Term Loan B B1 BB- 08/13/09 2,146,628
1,377 Vought Aircraft Industries, Inc., Term Loan A NR NR 06/30/06 1,306,250
-----------------------------------------------------------------------------------------------------------------------------------
17,800,265
-----------------------------------------------------------------------------------------------------------------------------------
AUTOMOTIVE - 6.5% (4.7% OF TOTAL ASSETS)
1,224 Federal-Mogul Corporation, Term Loan A NR D 02/24/04 716,735
3,551 Federal-Mogul Corporation, Term Loan B NR D 02/24/05 2,092,814
5,649 Metaldyne Company/Metalync Company, LLC, Term Loan B Ba3 BB- 11/28/08 5,344,909
1,848 Metaldyne Company/Metalync Company, LLC, Term Loan C2 Ba3 BB- 11/28/08 1,755,973
9,391 MetalForming Technologies, Inc., Term Loan B NR NR 06/30/06 6,573,365
1,423 Tenneco Auto, Inc. B2 B+ 09/30/05 1,129,775
-----------------------------------------------------------------------------------------------------------------------------------
17,613,571
-----------------------------------------------------------------------------------------------------------------------------------
BEVERAGE, FOOD & TOBACCO - 10.7% (7.7% OF TOTAL ASSETS)
1,730 Cott Corporation, Purchase Money Term Loan NR BB 12/31/06 1,740,813
200 Cott Corporation, Working Capital Term Loan NR BB 12/31/06 201,250
9,168 Dr. Pepper/Seven Up Bottling Group, Inc., Term Loan B NR NR 10/07/07 9,207,701
1,911 Eagle Family Foods, Inc., Term Loan B1 B 12/31/05 1,700,536
3,164 Flowers Foods, Inc., Term Loan B Ba2 BBB- 03/26/07 3,185,035
1,990 Interstate Brands Corporation, Term Loan B Ba1 BBB- 07/19/07 2,004,096
3,521 Merisant Company, Term Loan B Ba3 BB- 03/30/07 3,523,764
5,500 Pinnacle Foods Corporation, Term Loan Ba3 BB- 05/22/08 5,510,313
2,000 Suiza Foods Corporation, Term Loan B Ba2 BB+ 07/15/08 2,016,429
-----------------------------------------------------------------------------------------------------------------------------------
29,089,937
-----------------------------------------------------------------------------------------------------------------------------------
BROADCASTING/CABLE - 3.0% (2.2% OF TOTAL ASSETS)
2,000 Century Cable Holdings, LLC, Term Loan B Ba3 BB 12/31/09 1,987,375
3,333 Charter Communications Operating, LLC, Incremental Term Loan Ba3 BBB- 09/18/08 3,290,208
3,000 Charter Communications Operating, LLC, Term Loan B Ba3 BBB- 03/18/08 2,966,875
-----------------------------------------------------------------------------------------------------------------------------------
8,244,458
-----------------------------------------------------------------------------------------------------------------------------------
BROADCASTING/RADIO - 1.7% (1.2% OF TOTAL ASSETS)
4,667 Citadel Broadcasting Company, Term Loan B NR NR 06/26/09 4,665,939
-----------------------------------------------------------------------------------------------------------------------------------
BUILDINGS & REAL ESTATE - 4.2% (3.0% OF TOTAL ASSETS)
10,845 NRT, Inc., Term Loan Ba3 NR 07/31/04 10,718,377
3,000 Washington Group International, Bond (a) C D 07/01/10 630,000
-----------------------------------------------------------------------------------------------------------------------------------
11,348,377
-----------------------------------------------------------------------------------------------------------------------------------
CARGO TRANSPORTATION - 3.1% (2.2% OF TOTAL ASSETS)
8,820 North American Van Lines, Term Loan B B1 B+ 11/18/07 8,393,701
-----------------------------------------------------------------------------------------------------------------------------------
CHEMICALS, PLASTICS & RUBBER - 2.7% (1.9% OF TOTAL ASSETS)
1,989 Ineos US Finance, LLC, Term Loan C Ba3 BB 06/30/09 1,968,912
1,968 OM Group, Inc., Term Loan B Ba3 BB 04/01/07 1,977,787
3,214 Resolution Performance Products, LLC, Term Loan B B1 BB- 11/14/08 3,229,856
-----------------------------------------------------------------------------------------------------------------------------------
7,176,555
-----------------------------------------------------------------------------------------------------------------------------------
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of Investments January 31, 2002 (Unaudited)
RATINGS*
------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION MOODY'S S&P MATURITY** VALUE
-----------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS - 2.7% (1.9% OF TOTAL ASSETS)
$ 16,667 California Pollution Control Financing Authority, CanFibre of
Riverside Project, Bonds (a)(b)(c) NR NR 07/01/14 $ 1,500,000
9,000 California Pollution Control Financing Authority, CanFibre of
Riverside Project, Bonds (a)(b)(c) NR NR 07/01/19 810,000
7,000 CanFibre of Lackawana, LLC, Construction Loan (a)(b)(c)) NR NR 12/01/13 --
1,200 CanFibre of Lackawana, LLC, Letter of Credit (a)(b)(c) NR NR 12/01/13 --
10,000 CanFibre of Riverside, Inc., Letter of Credit (a)(b)(c) NR NR 07/01/09 --
533 CanFibre of Riverside, Inc., Working Capital Loan (a)(b)(c) NR NR 12/31/01 --
858 Mueller Group, Inc., Term Loan B B1 B+ 08/16/06 857,928
3,519 Mueller Group, Inc., Term Loan C B1 B+ 08/16/07 3,518,764
491 Mueller Group, Inc., Term Loan D B1 B+ 08/16/07 493,092
-----------------------------------------------------------------------------------------------------------------------------------
7,179,784
-----------------------------------------------------------------------------------------------------------------------------------
CONTAINERS, PACKAGING & GLASS - 8.9% (6.4% OF TOTAL ASSETS)
2,585 Graham Packaging Company, Term Loan B B2 B 01/31/06 2,508,732
2,142 Graham Packaging Company, Term Loan C B2 B 01/31/07 2,078,663
3,556 Greif Bros. Corporation, Term Loan B Ba3 BB 02/28/08 3,557,540
3,162 Stone Container Corporation, Term Loan C Ba3 B+ 10/01/03 3,169,486
2,910 Stone Container Corporation, Term Loan D Ba3 B+ 10/01/03 2,917,345
2,598 Stone Container Corporation, Term Loan E Ba3 B+ 12/31/05 2,604,410
3,940 Tekni-Plex, Inc., Term Loan B B1 B+ 06/21/08 3,877,617
3,978 United States Can Company, Term Loan B B2 B 10/04/08 3,317,163
-----------------------------------------------------------------------------------------------------------------------------------
24,030,956
-----------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED MANUFACTURING - 5.9% (4.3% OF TOTAL ASSETS)
2,382 Blount, Inc., Term Loan B B3 B 06/30/06 2,343,749
3,013 Dayco Products, LLC, Term Loan B Ba3 BB- 05/31/07 3,000,661
2,963 GenTek, Inc., Term Loan C B1 BB- 10/31/07 2,592,188
4,462 UCAR Finance, Inc., Term Loan B Ba3 NR 12/31/07 4,435,511
5,449 Western Industries Holding, Inc., Term Loan B NR NR 06/23/06 3,678,331
-----------------------------------------------------------------------------------------------------------------------------------
16,050,440
-----------------------------------------------------------------------------------------------------------------------------------
ECOLOGICAL - 0.4% (0.3% OF TOTAL ASSETS)
1,000 Stericycle, Inc., Term Loan B B1 BB- 09/30/07 1,007,735
-----------------------------------------------------------------------------------------------------------------------------------
ELECTRONICS/ELECTRONIC SERVICES - 1.5% (1.1% OF TOTAL ASSETS)
3,960 Seagate Technology Holdings, Inc., Term Loan B NR BB+ 11/22/06 3,972,788
-----------------------------------------------------------------------------------------------------------------------------------
FARMING & AGRICULTURAL - 1.6% (1.2% OF TOTAL ASSETS)
4,429 Shemin Holdings Corporation, Term Loan B NR NR 01/28/07 4,379,631
-----------------------------------------------------------------------------------------------------------------------------------
FINANCE & BANKING - 0.3% (0.2% OF TOTAL ASSETS)
2,368 Finova Group, Inc., Bond NR NR 11/15/09 923,520
-----------------------------------------------------------------------------------------------------------------------------------
HEALTHCARE - 3.2% (2.3% OF TOTAL ASSETS)
1,890 Advance PCS, Term Loan B Ba3 BB 10/02/07 1,901,793
1,707 Community Health Systems, Inc., Term Loan B NR B+ 12/31/03 1,721,557
1,707 Community Health Systems, Inc., Term Loan C NR B+ 12/31/04 1,721,824
1,257 Community Health Systems, Inc., Term Loan D NR B+ 12/31/05 1,269,733
1,995 Triad Hospitals, Inc., Term Loan B Ba3 B+ 09/30/08 2,021,534
-----------------------------------------------------------------------------------------------------------------------------------
8,636,441
-----------------------------------------------------------------------------------------------------------------------------------
RATINGS*
------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION MOODY'S S&P MATURITY** VALUE
-----------------------------------------------------------------------------------------------------------------------------------
HOTELS, MOTELS, INNS & GAMING - 10.6% (7.7% OF TOTAL ASSETS)
$ 4,000 Alliance Gaming Corporation, LLC, Term Loan B1 B+ 12/31/06 $ 4,030,000
2,000 Extended Stay America, Inc., Term Loan B Ba3 BB- 01/15/08 2,000,178
3,061 Isle of Capri Casinos, Inc., Term Loan B Ba2 BB- 03/02/06 3,034,294
2,678 Isle of Capri Casinos, Inc., Term Loan C Ba2 BB- 03/02/07 2,653,333
3,200 Mandalay Resort Group, Bond Ba3 BB- 01/01/03 3,184,000
5,000 Mandalay Resort Group, Term Loan NR NR 08/18/06 4,989,063
2,726 Wyndham International, Inc., Increasing Rate Loan NR NR 06/30/04 2,404,933
7,470 Wyndham International, Inc., Term Loan B NR NR 06/30/06 6,528,206
-----------------------------------------------------------------------------------------------------------------------------------
28,824,007
-----------------------------------------------------------------------------------------------------------------------------------
INSURANCE - 4.7% (3.4% OF TOTAL ASSETS)
9,957 Conseco, Inc., Term Loan NR NR 12/31/03 8,100,751
4,875 GAB Robbins North America, Inc., Term Loan B NR NR 12/01/05 4,753,125
-----------------------------------------------------------------------------------------------------------------------------------
12,853,876
-----------------------------------------------------------------------------------------------------------------------------------
LEISURE & ENTERTAINMENT - 6.4% (4.6% OF TOTAL ASSETS)
3,899 Bally Total Fitness Holding Corporation, Term Loan Ba3 B+ 11/10/04 3,909,181
3,391 Fitness Holdings Worldwide, Inc., Term Loan B NR B 11/02/06 2,854,476
6,449 Fitness Holdings Worldwide, Inc., Term Loan C NR B 11/02/07 5,427,525
4,988 Six Flags Theme Parks, Inc., Term Loan B Ba2 BB- 09/30/05 5,008,697
-----------------------------------------------------------------------------------------------------------------------------------
17,199,879
-----------------------------------------------------------------------------------------------------------------------------------
NATURAL RESOURCES/OIL & GAS - 2.6% (1.9% OF TOTAL ASSETS)
7,000 Tesoro Petroleum Corp., Term Loan B Ba2 BBB- 12/31/07 7,020,416
-----------------------------------------------------------------------------------------------------------------------------------
NON-DURABLE CONSUMER PRODUCTS - 1.4% (1.0% OF TOTAL ASSETS)
5,061 Norwood Promotional Products, Inc., Term Loan B NR NR 05/31/06 2,049,873
4,527 Norwood Promotional Products, Inc., Term Loan C NR NR 11/30/06 1,833,239
-----------------------------------------------------------------------------------------------------------------------------------
3,883,112
-----------------------------------------------------------------------------------------------------------------------------------
PERSONAL & MISCELLANEOUS SERVICES - 3.3% (2.4% OF TOTAL ASSETS)
4,000 Adams Outdoor Advertising Limited Partnership, Term Loan B B1 B+ 02/01/08 4,036,250
2,000 Lamar Media Corp., Incremental Term Loan C Ba2 BB- 02/01/07 2,012,917
2,966 Weight Watchers International, Inc., Transferable Loan
Certificate Facility Ba1 BB- 09/30/06 2,991,465
-----------------------------------------------------------------------------------------------------------------------------------
9,040,632
-----------------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING - 4.3% (3.1% OF TOTAL ASSETS)
6,948 American Media Operations, Inc., Term Loan B-1 Ba3 B+ 04/01/07 7,010,462
4,975 PRIMEDIA, Inc., Term Loan B NR BB- 06/30/09 4,685,828
-----------------------------------------------------------------------------------------------------------------------------------
11,696,290
-----------------------------------------------------------------------------------------------------------------------------------
RESTAURANTS & FOOD SERVICE - 2.4% (1.7% OF TOTAL ASSETS)
3,149 Dominos Pizza, Inc., Term Loan B B1 B+ 12/21/06 3,194,139
3,159 Dominos Pizza, Inc., Term Loan C B1 B+ 12/21/07 3,204,229
-----------------------------------------------------------------------------------------------------------------------------------
6,398,368
-----------------------------------------------------------------------------------------------------------------------------------
RETAIL/CATALOG - 1.3% (0.9% OF TOTAL ASSETS)
4,610 Micro Warehouse, Inc., Term Loan B B1 B- 01/31/07 3,549,884
-----------------------------------------------------------------------------------------------------------------------------------
RETAIL/SPECIALTY - 1.5% (1.0% OF TOTAL ASSETS)
4,000 Rite Aid Corporation, Term Loan B1 BB- 06/27/05 3,942,667
-----------------------------------------------------------------------------------------------------------------------------------
Nuveen Senior Income Fund (NSL) (continued)
Portfolio of Investments January 31, 2002 (Unaudited)
RATINGS*
------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION MOODY'S S&P MATURITY** VALUE
-----------------------------------------------------------------------------------------------------------------------------------
RETAIL/STORES - 3.4% (2.4% OF TOTAL ASSETS)
$ 2,837 HMV Media Group PLC, Term Loan C B2 B+ 03/28/06 $ 2,815,553
1,955 HMV Media Group PLC, Term Loan D B2 B+ 08/28/06 1,940,449
2,182 SDM Corporation, Term Loan C Ba3 BB 02/04/08 2,193,768
2,182 SDM Corporation, Term Loan E Ba3 BB 02/04/09 2,193,768
-----------------------------------------------------------------------------------------------------------------------------------
9,143,538
-----------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/CELLULAR/PCS - 4.8% (3.5% OF TOTAL ASSETS)
484 Airgate PCS, Inc., Tranche I Loan NR NR 06/06/07 480,086
3,648 Airgate PCS, Inc., Tranche II Loan NR NR 09/30/08 3,609,935
10,000 Centennial Cellular Operating Company, LLC, Term Loan A B1 B+ 11/30/06 8,891,668
-----------------------------------------------------------------------------------------------------------------------------------
12,981,689
-----------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) - 1.5% (1.1% OF TOTAL ASSETS)
5,000 RCN Corporation, Term Loan B B2 B+ 06/03/07 3,763,750
4,750 Teligent, Inc., Delayed Term Loan (a)(b) NR NR 06/30/06 211,111
5,000 WCI Capital Corporation, Term Loan B (a)(b) NR NR 09/30/07 40,000
-----------------------------------------------------------------------------------------------------------------------------------
4,014,861
-----------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/HYBRID - 2.3% (1.7% OF TOTAL ASSETS)
2,500 Nextel Communications, Inc., Term Loan B Ba2 BB- 06/30/08 2,214,792
2,500 Nextel Communications, Inc., Term Loan C Ba2 BB- 12/31/08 2,214,792
2,000 Nextel Partners Operating Company, Term Loan B B1 B- 01/29/08 1,900,000
-----------------------------------------------------------------------------------------------------------------------------------
6,329,584
-----------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/SATELLITE - 0.6% (0.4% OF TOTAL ASSETS)
1,822 Satelites Mexicanos, SA de CV, Loan B1 B+ 06/30/04 1,643,216
-----------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/WIRELESS MESSAGING - 0.5% (0.3% OF TOTAL ASSETS)
7,154 Arch Wireless Holding, Inc., Term Loan C (a)(b) NR D 06/30/06 1,288,137
-----------------------------------------------------------------------------------------------------------------------------------
TEXTILES & LEATHER - 3.4% (2.4% OF TOTAL ASSETS)
9,675 Norcross Safety Products, LLC, Term Loan NR NR 09/30/04 9,167,063
-----------------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION/RAIL MANUFACTURING - 1.5% (1.1% OF TOTAL ASSETS)
3,960 Kansas City Southern Railway Company, Term Loan B Ba1 BB+ 12/29/06 3,983,191
-----------------------------------------------------------------------------------------------------------------------------------
UTILITIES - 5.2% (3.8% OF TOTAL ASSETS)
7,000 AES EDC Funding II, LLC, Term Loan NR NR 10/06/03 6,588,750
3,930 TNP Enterprises, Inc., Term Loan Ba2 BB+ 03/30/06 3,934,910
3,647 Western Resources, Inc., Term Loan B NR NR 03/17/03 3,652,740
-----------------------------------------------------------------------------------------------------------------------------------
14,176,400
-----------------------------------------------------------------------------------------------------------------------------------
Total Variable Rate Senior Loan Interests and Interest Bearing Securities
(cost $376,414,373) 337,650,908
-------------------------------------------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT (000) DESCRIPTION VALUE
-----------------------------------------------------------------------------------------------------------------------------------
EQUITIES - 2.4%
BUILDINGS & REAL ESTATE - 2.4% (1.7% OF TOTAL ASSETS)
278 Washington Group International, Inc., Equity Shares (a) $ 6,395,515
-----------------------------------------------------------------------------------------------------------------------------------
CONSTRUCTION MATERIALS - 0.0% (0.0% OF TOTAL ASSETS)
CanFibre of Lackawana, LLC, Income Participation Certificates, 13 units (a)(b)(c) --
CanFibre of Riverside, Inc., Income Participation Certificates, 17 units (a)(b)(c) --
-----------------------------------------------------------------------------------------------------------------------------------
Total Equities (cost $7,679,783) 6,395,515
-------------------------------------------------------------------------------------------------------------------
RATINGS*
------------------
PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION MOODY'S S&P MATURITY** VALUE
-----------------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 10.8%
$ 116 JPMorgan Chase, Commercial Paper, 1.35% P1 A1 02/01/02 116,144
29,049 JPMorgan Prime Funding Account, Money Market Fund, 1.49% P1 A1 02/01/02 29,049,111
-----------------------------------------------------------------------------------------------------------------------------------
Total Short-Term Investments (cost $29,165,255) 29,165,255
-------------------------------------------------------------------------------------------------------------------
Total Investments (cost $413,259,411) - 137.9% 373,211,678
-------------------------------------------------------------------------------------------------------------------
Borrowings Payable - (38.1)%+ (103,000,000)
-------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 0.2% 471,175
-------------------------------------------------------------------------------------------------------------------
Net Assets - 100% $270,682,853
===================================================================================================================
NR Not rated.
* Bank loans rated below Baa by Moody's Investor Service,
Inc. or BBB by Standard & Poor's Group are considered
to be below investment grade.
** Senior Loans in the Fund's portfolio generally are
subject to mandatory and/or optional prepayment.
Because of these mandatory prepayment conditions and
because there may be significant economic incentives
for a Borrower to prepay, prepayments of Senior Loans
in the Fund's portfolio may occur. As a result, the
actual remaining maturity of Senior Loans held in the
Fund's portfolio may be substantially less than the
stated maturities shown. The Fund estimates that the
actual average maturity of the Senior Loans held in its
portfolio will be approximately 18-24 months.
(1) Senior Loans in which the Fund invests generally pay
interest at rates which are periodically redetermined
by reference to a base lending rate plus a premium.
These base lending rates are generally (i) the lending
rate offered by one or more major European banks, such
as the London Inter-Bank Offered Rate ("LIBOR"), (ii)
the prime rate offered by one or more major United
States banks, and (iii) the certificate of deposit
rate. Senior loans are generally considered to be
restricted in that the Fund ordinarily is contractually
obligated to receive approval from the Agent Bank
and/or borrower prior to the disposition of a Senior
Loan.
(a) At or subsequent to January 31, 2002, this issue was
non-incoming producing.
(b) At or subsequent to January 31, 2002, this issue was
under the protection of the federal bankruptcy court.
(c) Position has a zero cost basis and was acquired as part
of a workout program.
+ Borrowings payable as a percentage of total gross
assets is 27.4%.
See accompanying notes to financial statements.
Statement of
Net Assets January 31, 2002 (Unaudited)
----------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at market value (cost $413,259,411) $373,211,678
Cash 88,197
Interest receivable 2,577,162
Other assets 70,214
----------------------------------------------------------------------------------------------------------------
Total assets 375,947,251
----------------------------------------------------------------------------------------------------------------
LIABILITIES
Borrowings payable 103,000,000
Management fees 126,146
Taxable Auctioned Preferred Share dividends payable 48,438
Common Share dividends payable 1,498,613
Other liabilities 591,201
----------------------------------------------------------------------------------------------------------------
Total liabilities 105,264,398
----------------------------------------------------------------------------------------------------------------
Net assets $270,682,853
================================================================================================================
Taxable Auctioned Preferred Shares, at liquidation value $ 46,000,000
================================================================================================================
Taxable Auctioned Preferred Shares outstanding 1,840
================================================================================================================
Common Shares outstanding 29,737,748
================================================================================================================
Netasset value per Common Share outstanding (net assets
less Preferred Shares at liquidation value, divided by
Common Shares outstanding) $ 7.56
================================================================================================================
NET ASSETS CONSIST OF:
----------------------------------------------------------------------------------------------------------------
Taxable Auctioned Preferred Shares, $25,000 stated value per share,
at liquidation value $ 46,000,000
Common Shares, $.01 par value per share 297,377
Paid-in surplus 282,554,543
Balance of undistributed net investment income 210,164
Accumulated net realized gain (loss) from
investment transactions (18,331,498)
Net unrealized appreciation (depreciation) of investments (40,047,733)
================================================================================================================
Net assets $270,682,853
================================================================================================================
Authorized shares:
Common Unlimited
Preferred Unlimited
================================================================================================================
See accompanying notes to financial statements.
Statement of
Operations Six Months Ended January 31, 2002 (Unaudited)
----------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 13,586,930
Fees 241,281
----------------------------------------------------------------------------------------------------------------
Total investment income 13,828,211
----------------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 1,609,529
Taxable Auctioned Preferred Shares - auction fees 57,973
Taxable Auctioned Preferred Shares - dividend disbursing agent fees 5,042
Shareholders' servicing agent fees and expenses 6,059
Interest expense 1,454,225
Custodian's fees and expenses 158,930
Trustees' fees and expenses 17,629
Professional fees 158,848
Shareholders' reports - printing and mailing expenses 21,361
Stock exchange listing fees 15,897
Investor relations expense 30,507
Other expenses 256,474
----------------------------------------------------------------------------------------------------------------
Total expenses 3,792,474
Expense waivers from the Adviser (852,105)
----------------------------------------------------------------------------------------------------------------
Net expenses 2,940,369
----------------------------------------------------------------------------------------------------------------
Net investment income 10,887,842
----------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized gain (loss) from investment transactions (835,976)
Change in net unrealized appreciation (depreciation) of investments (14,966,176)
----------------------------------------------------------------------------------------------------------------
Net gain (loss) from investments (15,802,152)
----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations $ (4,914,310)
================================================================================================================
See accompanying notes to financial statements.
Statement of
Changes in Net Assets (Unaudited)
SIX MONTHS YEAR ENDED
ENDED 1/31/02 7/31/01
----------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 10,887,842 $ 32,357,125
Net realized gain (loss) from investment transactions (835,976) (17,495,522)
Change in net unrealized appreciation (depreciation) of investments (14,966,176) (20,933,991)
----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from operations (4,914,310) (6,072,388)
----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
From undistributed net investment income:
Common Shareholders (11,651,842) (30,435,376)
Taxable Auctioned Preferred Shareholders (633,872) (2,582,741)
From accumulated net realized gains from investment transactions:
Common Shareholders -- (497,923)
Taxable Auctioned Preferred Shareholders -- (14,027)
----------------------------------------------------------------------------------------------------------------
Decrease in net assets from distributions to shareholders (12,285,714) (33,530,067)
----------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common Shares issued to shareholders due to
reinvestment of distributions 241,451 765,230
----------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets (16,958,573) (38,837,225)
Net assets at the beginning of period 287,641,426 326,478,651
----------------------------------------------------------------------------------------------------------------
Net assets at the end of period $270,682,853 $287,641,426
================================================================================================================
Balance of undistributed net investment income at the end of period $ 210,164 $ 1,596,263
================================================================================================================
Statement of
Cash Flows Six Months Ended January 31, 2002 (Unaudited)
----------------------------------------------------------------------------------------------------------------
CHANGE IN NET ASSETS FROM OPERATIONS $ (4,914,310)
----------------------------------------------------------------------------------------------------------------
Adjustments to Reconcile the Change in Net Assets from Operations to
Net Cash provided by Operating Activities:
Decrease in investments at value 17,211,442
Decrease in interest receivable 804,107
Decrease in other assets 2,618
Decrease in management fees (6,080)
Decrease in other liabilities (153,422)
----------------------------------------------------------------------------------------------------------------
Net cash provided by operating activities 12,944,355
----------------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common Shareholders (12,258,452)
Cash distributions paid to Taxable Auctioned Preferred Shareholders (609,058)
----------------------------------------------------------------------------------------------------------------
Net cash used for financing activities (12,867,510)
----------------------------------------------------------------------------------------------------------------
NET INCREASE IN CASH 76,845
Cash at the beginning of period 11,352
----------------------------------------------------------------------------------------------------------------
CASH AT THE END OF PERIOD $ 88,197
================================================================================================================
See accompanying notes to financial statements.
Notes to
Financial Statements (Unaudited)
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
Nuveen Senior Income Fund (the "Fund") is a non-diversified, closed-end
management investment company registered under the Investment Company Act of
1940, as amended. The Fund is listed on the New York Stock Exchange and trades
under the ticker symbol "NSL". The Fund was organized as a Massachusetts
business trust on August 13, 1999.
The Fund seeks to provide a high level of current income, consistent with
preservation of capital by investing primarily in senior secured loans whose
interest rates float or adjust periodically based on a benchmark interest rate
index. The Fund seeks to increase the income available for distribution to
Common Shareholders by utilizing financial leverage.
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements in accordance with
accounting principles generally accepted in the United States.
Investment Valuation
The prices of senior loans and bonds in the Fund's investment portfolio are
provided by independent pricing services approved by the Fund's Board of
Trustees. The pricing service providers typically value senior loans and bonds
at the mean of the highest bona fide bid and lowest bona fide ask prices when
current quotations are readily available. Senior loans and bonds for which
current quotations are not readily available are valued at fair value using a
wide range of market data and other information and analysis, including credit
characteristics considered relevant by such pricing service providers to
determine valuations. The Board of Trustees of the Fund has approved procedures
which permit Nuveen Senior Loan Asset Management Inc. (the "Adviser"), a wholly
owned subsidiary of The John Nuveen Company, to override the price provided by
the independent pricing service. There were no price overrides during the six
months ended January 31, 2002. Short-term investments which mature within 60
days are valued at amortized cost, which approximates market value.
The senior loans in which the Fund invests are generally not listed on any
exchange and the secondary market for those senior loans is comparatively
illiquid relative to markets for other fixed income securities. Because of the
comparatively illiquid markets, the value of a senior loan may differ
significantly from the value that would have been used had there been an active
market for that senior loan.
Investment Transactions
Investment transactions are recorded on a trade date basis.
Investment Income
Interest income is determined on the basis of interest accrued, adjusted for
amortization of premiums and accretion of discounts. Facility fees on senior
loans purchased are treated as market discounts. Market premiums and discounts
are amortized over the expected life of each respective borrowing. Fees consists
primarily of amendment fees. Amendment fees are earned as compensation for
evaluating and accepting changes to the original credit agreement.
Income Taxes
The Fund intends to comply with the requirements of the Internal Revenue Code
applicable to regulated investment companies and to distribute substantially all
of its net investment income to its shareholders. Therefore, no federal income
tax provision is required.
Dividends and Distributions to Shareholders
The Fund intends to declare and pay monthly distributions to Common
Shareholders. Generally payment is made or reinvestment is credited to
shareholder accounts on the first business day after month-end. Net realized
capital gains from investment transactions, if any, are distributed to
shareholders not less frequently than annually. Furthermore, capital gains are
distributed only to the extent they exceed available capital loss carryforwards.
Notes to
Financial Statements (Unaudited) (continued)
Distributions to shareholders of net investment income, and net realized capital
gains are recorded on the ex-dividend date. The amount and timing of
distributions are determined in accordance with federal income tax regulations,
which may differ from accounting principles generally accepted in the United
States. Accordingly, temporary over-distributions as a result of these
differences may occur and will be classified as either distributions in excess
of net investment income and/or distributions in excess of net realized gains
from investment transactions, where applicable. Permanent differences between
financial and tax basis reporting for the fiscal period have been identified and
appropriately reclassified. During the six months ended January 31, 2002,
permanent differences relating to expenses which are not deductible for tax
purposes totaling $11,773 were reclassified from undistributed net investment
income to capital.
Taxable Auctioned Preferred Shares
The Fund has issued and outstanding 1,840 Series Th $25,000 stated value Taxable
Auctioned Preferred Shares. The dividend rate paid on the Taxable Auctioned
Preferred Shares may change every 28 days, as set by the auction agent.
Derivative Financial Instruments
The Fund may invest in certain derivative financial instruments including
futures, forward, swap and option contracts, and other financial instruments
with similar characteristics. Although the Fund is authorized to invest in such
financial instruments, and may do so in the future, it did not make any such
investments during the six months ended January 31, 2002.
Use of Estimates
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities at
the date of the financial statements and the reported amounts of increases and
decreases in net assets from operations during the reporting period. Actual
results may differ from those estimates.
Change in Accounting Policy
Effective August 1, 2001, the Fund adopted the provisions of the new AICPA Audit
and Accounting Guide for Investment Companies. As required by the guide, the
Fund began presenting paydown gains and losses on mortgage and asset-backed
securities as interest income. Prior to adopting the new guide, the Fund
presented paydown gains and losses on mortgage and asset-backed securities
together with realized gain/loss from investment transactions. This change in
accounting has no effect on the total net assets or net asset value of the Fund.
Interest income increased by $50,201 and realized gain/loss decreased by the
same amount for the six months ended January 31, 2002.
The Statement of Changes in Net Assets and Financial Highlights for the prior
periods have not been restated to reflect this change in presentation.
2. FUND SHARES
During the six months ended January 31, 2002, 28,683 Common Shares were issued
to shareholders due to reinvestment of distributions.
During the fiscal year ended July 31, 2001, 81,022 Common Shares were issued to
shareholders due to reinvestment of distributions.
3. DISTRIBUTIONS TO COMMON SHAREHOLDERS
The Fund declared a dividend distribution of $.0490 per Common Share from its
net investment income which was paid on March 1, 2002, to shareholders of record
on February 15, 2002.
4. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments) during the
six months ended January 31, 2002, aggregated $63,848,947 and $89,576,488,
respectively.
At January 31, 2002, the cost of investments owned for federal income tax
purposes was $430,822,027.
5. UNREALIZED APPRECIATION (DEPRECIATION)
At January 31, 2002, net unrealized depreciation of investments for federal
income tax purposes aggregated $57,610,349 of which $2,848,896 related to
appreciated investments and $60,459,245 related to depreciated investments.
6. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
Under the Fund's investment management agreement with the Adviser, the Fund pays
an annual management fee, payable monthly, of .8500 of 1%, which is based upon
the average daily managed assets of the Fund. "Managed assets" shall mean the
average daily gross asset value of the Fund, minus the sum of the Fund's accrued
and unpaid dividends on any outstanding Taxable Auctioned Preferred Shares and
accrued liabilities (other than the principal amount of any borrowings incurred,
commercial paper or notes issued by the Fund and the liquidation preference of
any outstanding Taxable Auctioned Preferred Shares).
The Adviser has agreed to waive part of its management fees or reimburse certain
expenses of the Fund in an amount equal to .45% of the average daily managed
assets for the period October 29, 1999 (commencement of operations) through
October 31, 2004, .35% of the average daily managed assets for the year ended
October 31, 2005, .25% of the average daily managed assets for the year ended
October 31, 2006, .15% of the average daily managed assets for the year ended
October 31, 2007, .10% of the average daily managed assets for the year ended
October 31, 2008, and .05% of the average daily managed assets for the year
ended October 31, 2009. The Adviser has not agreed to reimburse the Fund for any
portion of its fees and expenses beyond October 31, 2009.
The management fee compensates the Adviser for overall investment advisory and
administrative services and general office facilities. The Fund pays no
compensation directly to those of its Trustees who are affiliated with the
Adviser or to their officers, all of whom receive remuneration for their
services to the Fund from the Adviser.
7. COMMITMENTS
Pursuant to the terms of certain of the Variable Rate Senior Loan agreements,
the Fund had unfunded loan commitments of $2.8 million as of January 31, 2002.
The Fund generally will maintain with its custodian short-term investments
and/or cash having an aggregate value at least equal to the amount of unfunded
loan commitments.
8. SENIOR LOAN PARTICIPATION COMMITMENTS
The Fund invests primarily in assignments, participations, or acts as a party to
the primary lending syndicate of a Variable Rate Senior Loan interest to
corporations, partnerships, and other entities. If the Fund purchases a
participation of a Senior Loan Interest, the Fund would typically enter into a
contractual agreement with the lender or other third party selling the
participation, but not with the borrower directly. As such, the Fund assumes the
credit risk of the Borrower, Selling Participant or other persons
interpositioned between the Fund and the Borrower. There were no such
participation commitments as of January 31, 2002.
9. BORROWINGS
In accordance with its current investment policies, the Fund may utilize
financial leverage for investment purposes in an amount currently anticipated to
represent approximately 40% of the Fund's total assets, and in no event
exceeding 50% of the Fund's total assets.
On May 23, 2000, the Fund entered into a $150 million commercial paper program
with Nuveen Funding, L.L.C., a Delaware limited liability company whose sole
purpose is the issuance of commercial paper. Nuveen Funding, L.L.C. has the
authority to issue a maximum of $150 million of commercial paper, at a discount,
with maturities of up to 180 days, the proceeds of which are used to make
advances to the Fund. This line of credit is secured by the assets of the Fund.
For the six months ended January 31, 2002, the average daily balance of
borrowings under the commercial paper program agreement was $103 million with an
average interest rate of 2.80%.
The Fund has entered into a $155 million revolving credit agreement with
Deutsche Bank AG which expires May 2002. Interest on borrowings is charged at a
rate of either the Fed Funds rate plus .50%, LIBOR plus .50% or the Prime Rate.
An unused commitment fee of .125% is charged on the unused portion of the
facility. During the six months ended January 31, 2002, there were no borrowings
under the revolving credit agreement and, therefore, there was no outstanding
revolving credit balance at January 31, 2002.
Cash paid for interest during the six months ended January 31, 2002, was
$1,612,320.
Financial
Highlights (Unaudited)
Selected data for a Common Share outstanding throughout each period:
Investment Operations Less Distributions
----------------------------------- -----------------------------------------------------------
Net Net
Net Investment Investment Capital Capital
Realized/ Income to Income to Gains to Gains to
Beginning Net Unrealized Common Preferred Common Preferred
Net Asset Investment Investment Share- Share- Share- Share-
Value Income Gain (Loss) Total holders holders+ holders holders+ Total
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2002(b) $8.13 $ .37 $ (.53) $(.16) $ (.39) $(.02) $ -- $-- $ (.41)
2001 9.47 1.09 (1.29) (.20) (1.03) (.09) (.02) -- (1.14)
2000(a) 9.55 .75 (.12) .63 (.66) (.02) -- -- (.68)
------------------------------------------------------------------------------------------------------------------------------------
Total Returns
---------------------
Based
Ending Based on
Net Ending on Net
Offering Asset Market Market Asset
Costs Value Value Value** Value**
--------------------------------------------------------------------------------
Year Ended 7/31:
2002(b) $-- $7.56 $7.4300 (21.75)% (2.10)%
2001 -- 8.13 9.9600 15.35 (3.30)
2000(a) (.03) 9.47 9.6250 3.21 6.20
--------------------------------------------------------------------------------
Ratios/Supplemental Data
------------------------------------------------------------------------------------------------------------------------
Before Waiver After Waiver***
-------------------------------------------------- -------------------------------------------------
Ratio of Net Ratio of Net Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment Ratio of Investment Ratio of Investment
Expenses Income to Expenses Income to Expenses Income to Expenses Income to
to Average Average to Average Average to Average Average to Average Average
Ending Net Assets Net Assets Total Total Net Assets Net Assets Total Total
Net Applicable Applicable Net Assets Net Assets Applicable Applicable Net Assets Net Assets Portfolio
Assets to Common to Common Including Including to Common to Common Including Including Turnover
(000) Shares++ Shares++ Preferred++ Preferred++ Shares++ Shares++ Preferred++ Preferred++ Rate
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2002(b) $270,683 3.33%* 8.80%* 2.76%* 7.31%* 2.58%* 9.55%* 2.14%* 7.94%* 18%
2001 287,641 4.32 11.74 3.67 9.98 3.62 12.44 3.08 10.57 52
2000(a) 326,479 3.81* 9.82* 3.67* 9.47* 3.21* 10.42* 3.10* 10.04* 40
------------------------------------------------------------------------------------------------------------------------------------
* Annualized.
** Total Investment Return on Market Value is the combination of reinvested
dividend income, reinvested capital gain distributions, if any,
and changes in stock price per share. Total Return on Net Asset Value is
the combination of reinvested dividend income, reinvested capital gain
distributions, if any, and changes in net asset value per share. Total
returns are not annualized.
*** After expense waivers from the investment adviser.
+ The amounts shown are based on Common Share equivalents.
++ Ratios do not reflect the effect of dividend payments to Taxable Auctioned
Preferred Shareholders; income ratios reflect income earned on assets
attributable to Taxable Auctioned Preferred Shares. Each Ratio of Expenses
to Average Net Assets and each Ratio of Net Investment Income to Average
Net Assets includes the effect of the interest expense paid on bank
borrowings of:
Ratio of Interest Ratio of Interest
Expense Expense to
to Average Average Total
Net Assets Net Assets
Applicable to Including
Common Shares Preferred
--------------------------------------
2002(b) 1.28%* 1.06%*
2001 2.19 1.86
2000(a) 2.04* 1.96*
(a) For the period October 29, 1999 (commencement of operations) through July 31, 2000.
(b) For the six months ended January 31, 2002.
See accompanying notes to financial statements.
Build Your Wealth
Automatically
Sidebar text: Nuveen makes reinvesting easy. A phone call is all it takes to set
up your reinvestment account.
Nuveen Exchange-Traded Funds Dividend Reinvestment Plan
Your Nuveen Exchange-Traded Fund allows you to conveniently reinvest dividends
and/or capital gains distributions in additional fund shares.
By choosing to reinvest, you'll be able to invest money regularly and
automatically, and watch your investment grow through the power of compounding.
It is important to note that an automatic reinvestment plan does not ensure a
profit, nor does it protect you against loss in a declining market.
Easy and convenient
To make recordkeeping easy and convenient, each month you'll receive a statement
showing your total dividends and distributions, the date of investment, the
shares acquired and the price per share, and the total number of shares you own.
How shares are purchased
The shares you acquire by reinvesting will either be purchased on the open
market or newly issued by the Fund. If the shares are trading at or above net
asset value at the time of valuation, the Fund will issue new shares at the
then-current market price. If the shares are trading at less than net asset
value, shares for your account will be purchased on the open market. Dividends
and distributions received to purchase shares in the open market will normally
be invested shortly after the dividend payment date. No interest will be paid on
dividends and distributions awaiting reinvestment. Because the market price of
shares may increase before purchases are completed, the average purchase price
per share may exceed the market price at the time of valuation, resulting in the
acquisition of fewer shares than if the dividend or distribution had been paid
in shares issued by the Fund. A pro rata portion of any applicable brokerage
commissions on open market purchases will be paid by Plan participants. These
commissions usually will be lower than those charged on individual transactions.
Flexibility
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
You can reinvest whether your shares are registered in your name, or in the name
of a brokerage firm, bank, or other nominee. Ask your investment advisor if his
or her firm will participate on your behalf. Participants whose shares are
registered in the name of one firm may not be able to transfer the shares to
another firm and continue to participate in the Plan.
The Fund reserves the right to amend or terminate the Plan at any time. Although
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants, there is no direct service charge to participants
in the Plan at this time.
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in
or withdraw from the Plan, speak with your financial advisor or call us at (800)
257-8787.
Fund
Information
Board of Trustees
James E. Bacon
William E. Bennett
Jack B. Evans
William T. Kissick
Thomas E. Leafstrand
Timothy R. Schwertfeger
Sheila W. Wellington
Fund Manager
Nuveen Senior Loan Asset Management Inc.
333 West Wacker Drive
Chicago, IL 60606
Custodian
Chase Bank of Texas
600 Travis Street
Houston, TX 77002
Transfer Agent and
Shareholder Services
JPMorgan Chase Bank
4 New York Plaza
New York, NY 10004-2413
(800) 257-8787
Legal Counsel
Chapman and Cutler
Chicago, IL
Independent Auditors
KPMG LLP
Chicago, IL
The Fund intends to repurchase shares of its own common or preferred stock in
the future at such times and in such amounts as is deemed advisable. No shares
were repurchased during the six-month period ended January 31, 2002. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
Serving Investors
for Generations
Photo of: John Nuveen, Sr.
For over a century, generations of Americans have relied on Nuveen Investments
to help them grow and keep the money they've earned. Financial advisors,
investors and their families have associated Nuveen Investments with quality,
expertise and dependability since 1898. That is why financial advisors have
entrusted the assets of more than 1.3 million investors to Nuveen.
With the know-how that comes from a century of experience, Nuveen continues to
build upon its reputation for quality. Now, financial advisors and investors can
count on Nuveen Investments to help them design customized solutions that meet
the far-reaching financial goals unique to family wealth strategies - solutions
that can translate into legacies.
To find out more about how Nuveen Investments' products and services can help
you preserve your financial security, talk with your financial advisor, or call
us at (800) 257-8787 for more information, including a prospectus where
applicable. Please read that information carefully before you invest.
Logo: NUVEEN Investments
Nuveen Investments o 333 West Wacker Drive
Chicago, IL 60606 o www.nuveen.com FSA-2-1-02