nvq
Table of Contents

 
 
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:    4/30/2007   
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.
 
 

 


Table of Contents

Portfolio of Investments (Unaudited)
Nuveen Senior Income Fund (NSL)
April 30, 2007
                             
            Weighted              
Principal         Average              
Amount (000)     Description (1)   Coupon   Maturity (3)   Ratings (4)   Value  
 
 
 
                   
 
Variable Rate Senior Loan Interests – 144.8% (92.5% of Total Investments) (2)
 
 
                   
 
Aerospace & Defense – 2.2% (1.4% of Total Investments)
 
 
                   
$ 2,521    
Mid-Western Aircraft Systems Inc., Term Loan B
  7.105%   12/31/11   BB+   $ 2,535,442  
  2,403    
Vought Aircraft Industries, Inc., Term Loan
  7.830%   12/22/11   Ba2     2,423,589  
  545    
Vought Aircraft Industries, Inc., Tranche B, Letter of Credit
  7.822%   12/22/10   Ba2     549,545  
 
  5,469    
Total Aerospace & Defense
                5,508,576  
 
 
 
                   
 
Airlines – 4.1% (2.6% of Total Investments)
 
 
                   
  2,000    
Delta Airlines Inc., Second Lien Term Loan, WI/DD
  TBD   TBD   B     2,028,750  
  2,000    
Delta Airlines Inc., Term Loan, WI/DD
  TBD   TBD   Ba2     2,010,938  
  2,000    
Northwest Airlines Inc., Term Loan
  7.320%   7/19/08   BBB-     2,009,376  
  4,400    
United Air Lines Inc., Delayed Draw, Term Loan
  7.375%   2/01/14   B+     4,406,875  
 
  10,400    
Total Airlines
                10,455,939  
 
 
 
                   
 
Auto Components – 5.7% (3.6% of Total Investments)
 
 
                   
  4,224    
Federal-Mogul Corporation, Term Loan A, (7)
  7.570%   2/24/04   N/R     4,209,968  
  5,551    
Federal-Mogul Corporation, Term Loan B, (7)
  7.820%   2/24/05   N/R     5,536,271  
  500    
Gen Tek Inc., Term Loan B
  7.340%   2/28/11   Ba3     502,031  
  1,860    
Gen Tek Inc., Term Loan B
  7.356%   12/28/11   Ba3     1,867,092  
  2,000    
Goodyear Tire & Rubber Company, Second Lien Term Loan
  7.100%   4/30/14   Ba2     2,010,315  
  1,479    
Metalforming Technologies, Inc., Term Loan A, (7) (8)
  0.000%   9/30/07   N/R     281,039  
  575    
Metalforming Technologies, Inc., Term Loan B, (PIK), (7) (8)
  0.000%   9/30/07   N/R     109,299  
 
  16,189    
Total Auto Components
                14,516,015  
 
 
 
                   
 
Building Products – 6.3% (4.0% of Total Investments)
 
 
                   
  884    
Atrium Companies Inc., Term Loan
  8.518%   5/31/12   B1     880,931  
  2,000    
Building Materials Corporation of America, Second Lien Term Loan
  11.125%   9/15/14   B     1,983,333  
  1,995    
Building Materials Corporation of America, Term Loan
  8.188%   2/22/14   BB-     1,986,521  
  2,547    
Euramax Holdings Inc., Term Loan B
  8.375%   6/29/12   B1     2,546,916  
  1,950    
Nortek, Inc., Term Loan B
  7.365%   8/27/11   Ba2     1,958,288  
  2,448    
Stile Acquisition Corporation, Canadian Term Loan
  7.350%   4/05/13   BB-     2,399,340  
  2,452    
Stile Acquisition Corporation, Term Loan B
  7.350%   4/05/13   BB-     2,403,427  
  1,990    
TFS Acquisition, Term Loan
  8.850%   8/11/13   B+     2,004,925  
 
  16,266    
Total Building Products
                16,163,681  
 
 
 
                   
 
Capital Markets – 0.7% (0.4% of Total Investments)
 
 
                   
  1,777    
Ameritrade Holdings Corporation, Term Loan B
  6.820%   12/31/12   Ba1     1,782,834  
 
 
 
                   
 
Chemicals – 3.8% (2.4% of Total Investments)
 
 
                   
  1,600    
Celanese Holdings, LLC, Term Loan C
  7.099%   4/02/14   BB-     1,610,250  
  400    
Celanese Holdings, LLC, Credit Linked Deposit
  5.320%   4/02/14   BB-     402,563  
  2,985    
Hexion Specialty Chemicals, Inc., Term Loan C
  7.875%   5/05/13   Ba3     3,010,071  
  762    
Huntsman International LLC, Term Loan
  7.070%   8/16/12   Ba1     764,565  
  1,980    
ISP Chemco Inc., Term Loan
  7.290%   2/16/13   BB-     1,994,319  
  1,960    
Rockwood Specialties Group, Inc., Term Loan E
  7.355%   7/30/12   Ba2     1,978,253  
 
  9,687    
Total Chemicals
                9,760,021  
 
 
 
                   
 
Commercial Services & Supplies – 4.3% (2.7% of Total Investments)
 
 
                   
  2,370    
Acco Brands, Term Loan B
  7.110%   8/17/12   Ba1     2,390,739  
  1,457    
Allied Waste North America, Inc., Letter of Credit
  7.073%   1/15/12   BB     1,465,497  
  3,285    
Allied Waste North America, Inc., Term Loan B
  7.097%   1/15/12   BB     3,303,079  
  1,000    
Rental Services Corporation, Term Loan
  8.857%   11/30/13   B-     1,017,000  
  2,000    
Williams Scotsman, Inc., Term Loan B
  6.820%   6/28/10   BB     1,999,375  
  681    
Workflow Management, Inc., Term Loan
  9.355%   11/30/11   BB-     680,438  
 
  10,793    
Total Commercial Services & Supplies
                10,856,128  
 
 
 
                   
 
Communications Equipment – 0.6% (0.4% of Total Investments)
 
 
                   
  427    
Valassis Communications, Inc., Delayed Draw, Term Loan, (5) (9)
  1.000%   3/02/14   Ba2     (267 )
  1,573    
Valassis Communications, Inc., Term Loan B
  7.100%   3/02/14   Ba2     1,576,939  
 
  2,000    
Total Communications Equipment
                1,576,672  
 
 
 
                   
 
Construction & Engineering – 0.7% (0.4% of Total Investments)
 
 
                   
  1,687    
Maxim Crane Works, Term Loan
  7.326%   1/28/10   N/R     1,689,790  
 
 
 
                   
 
Containers & Packaging – 5.4% (3.4% of Total Investments)
 
 
                   
  457    
Bluegrass Container Company LLC, 1st Lien Term Loan
  7.589%   6/30/13   BB-     462,784  
  1,515    
Bluegrass Container Company, LLC, Delayed Draw, Second Lien
  10.320%   12/31/13   BB-     1,546,212  
  485    
Bluegrass Container Company, LLC, Delayed Draw, Second Lien
  10.320%   12/31/13   B-     494,788  
  1,528    
Bluegrass Container Company, LLC, Term Loan B
  7.591%   6/30/13   BB-     1,546,674  
  7,522    
Graham Packaging Company, L.P., Term Loan B
  7.625%   2/14/10   B1     7,576,633  
  437    
Smurfit-Stone Container Corporation, Deposit-Funded Commitment
  7.748%   11/01/11   Ba2     440,446  
  996    
Smurfit-Stone Container Corporation, Term Loan B
  7.531%   11/01/11   Ba2     1,004,903  
  532    
Smurfit-Stone Container Corporation, Term Loan C
  7.546%   11/01/11   Ba2     536,175  
  190    
Smurfit-Stone Container Corporation, Tranche C-1
  7.375%   11/01/11   Ba2     191,773  
 
  13,662    
Total Containers & Packaging
                13,800,388  
 
 
 
                   
 
Diversified Consumer Services – 0.9% (0.5% of Total Investments)
 
 
                   
  2,163    
West Corporation, Term Loan
  7.750%   10/24/13   B+     2,181,266  
 
 
 
                   
 
Diversified Financial Services – 0.6% (0.4% of Total Investments)
 
 
                   
  1,500    
UPC Financing Partnership, Term Loan K2
  7.370%   12/31/13   Ba3     1,503,214  
 
 
 
                   
 
Diversified Telecommunication Services – 6.1% (3.9% of Total Investments)
 
 
                   
  2,000    
Cequel Communications LLC., Term Loan B
  7.349%   11/05/13   B+     2,000,250  
  2,000    
Crown Castle International Corporation, Term Loan
  6.893%   1/26/14   BB+     2,006,016  
  1,965    
Intelsat Corporation, Term Loan
  7.349%   7/01/13   Ba2     1,981,092  
  2,000    
Intelsat Corporation, Unsecured Term Loan
  7.860%   2/01/14   BB     2,009,643  
  2,267    
Level 3 Communications Incorporated, Term Loan
  7.605%   3/13/14   B1     2,276,938  
  5,000    
Qwest Corporation, Term Loan B
  6.950%   6/30/10   BB     5,151,043  
  5,000    
WCI Capital Corporation, Term Loan B, (7) (8)
  0.000%   9/30/07   N/R     200,000  
 
  20,232    
Total Diversified Telecommunication Services
                15,624,982  
 
 
 
                   
 
Electric Utilities – 2.0% (1.3% of Total Investments)
 
 
                   
  709    
Astoria Generating Company, Term Loan B
  7.340%   2/23/13   BB-     714,246  
  4,444    
Calpine Corporation DIP Term Loan
  7.590%   3/29/09   N/R     4,472,684  
  556    
Calpine Corporation DIP Revolver, (5) (9)
  0.250%   3/29/09   N/R     (8,333 )
 
  5,709    
Total Electric Utilities
                5,178,597  
 
 
 
                   
 
Electrical Equipment – 1.6% (1.0% of Total Investments)
 
 
                   
  2,256    
Mueller Group, Inc., Term Loan
  7.348%   10/03/12   BB-     2,273,770  
  1,539    
Sensus Metering Systems Inc., Term Loan B-1
  7.364%   12/17/10   Ba3     1,546,826  
  167    
Sensus Metering Systems Inc., Term Loan B-2
  7.361%   12/17/10   Ba3     167,573  
 
  3,962    
Total Electrical Equipment
                3,988,169  
 
 
 
                   
 
Electronic Equipment & Instruments – 0.8% (0.5% of Total Investments)
 
 
                   
  1,985    
Sensata Technologies B.V., Term Loan
  7.105%   4/27/13   BB-     1,986,297  
 
 
 
                   
 
Energy Equipment & Services – 1.1% (0.7% of Total Investments)
 
 
                   
  2,885    
Dresser-Rand Group, Inc., Term Loan
  10.000%   10/31/13   B1     2,900,377  
 
 
 
                   
 
Food & Staples Retailing – 0.7% (0.5% of Total Investments)
 
  1,851    
Jean Coutu Group Inc. Term Loan B
  7.875%   7/30/11   BB-     1,855,004  
 
 
 
                   
 
Food Products – 2.3% (1.5% of Total Investments)
 
 
                   
  465    
Dole Foods Company Inc., Deposit-Funded Commitment
  7.356%   4/12/13   Ba3     465,181  
  1,036    
Dole Foods Company Inc., Term Loan B
  7.541%   4/12/13   Ba3     1,036,191  
  3,453    
Dole Foods Company Inc., Term Loan C
  7.456%   4/12/13   Ba3     3,453,968  
  862    
Michael Foods, Inc., Term Loan B
  7.360%   11/21/10   Ba3     865,606  
 
  5,816    
Total Food Products
                5,820,946  
 
 
 
                   
 
Gas Utilities – 0.8% (0.5% of Total Investments)
 
 
                   
  2,000    
Energy Transfer Partners LP, Term Loan
  7.080%   2/08/12   BBB-     2,015,357  
 
 
 
                   
 
Health Care Providers & Services – 12.0% (7.7% of Total Investments)
 
 
                   
  5,294    
Community Health Systems, Inc., Term Loan
  7.100%   8/19/11   BB-     5,313,690  
  3,292    
Davita Inc., Term Loan B
  6.842%   10/05/12   Ba1     3,304,886  
  1,995    
HCA, Inc., Term Loan
  7.600%   11/17/13   BB     2,018,184  
  2,000    
Health Management Associates, Term Loan
  7.100%   2/28/14   Ba2     2,010,208  
  1,985    
HealthSouth Corporation, Term Loan
  7.847%   3/10/13   B+     2,001,128  
  464    
IASIS Healthcare, LLC, Delayed Term Loan, WI/DD
  TBD   TBD   Ba2     465,571  
  124    
IASIS Healthcare, LLC, Letter of Credit, WI/DD
  TBD   TBD   Ba2     124,152  
  1,357    
IASIS Healthcare, LLC, Term Loan, WI/DD
  TBD   TBD   Ba2     1,362,571  
  3,940    
LifeCare Holdings Inc., Term Loan B
  7.600%   8/01/12   B1     3,913,405  
  2,152    
Psychiatric Solutions Inc., Term Loan B
  7.092%   12/01/12   Ba3     2,158,934  
  2,940    
Select Medical Corporation, Term Loan
  7.349%   2/24/12   Ba2     2,935,156  
  4,896    
Vanguard Health Holding Company, LLC, Replacement Term Loan
  7.600%   9/23/11   Ba3     4,933,652  
 
  30,439    
Total Health Care Providers & Services
                30,541,537  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 12.7% (8.3% of Total Investments)
 
 
                   
  4,950    
24 Hour Fitness Worldwide, Inc., Term Loan B
  7.850%   7/01/09   Ba3     4,984,031  
  1,788    
Ameristar Casinos, Inc., Term Loan B
  6.820%   11/10/12   BB+     1,789,495  
  778    
CBRL Group, Inc., Term Loan B-1
  6.860%   4/27/13   BB     779,791  
  122    
CBRL Group, Inc., Term Loan B-2, Delayed Draw, (5) (9)
  0.750%   4/27/13   BB     (51 )
  3,930    
CCM Merger, Inc., Term Loan B
  7.350%   7/13/12   Ba3     3,952,130  
  1,985    
Cedar Fair LP, Term Loan
  7.320%   8/30/12   BB-     2,006,091  
  2,836    
Intrawest Corporation, Term Loan
  9.250%   12/31/07   N/R     2,843,018  
  1,955    
Isle of Capri Casinos, Inc., Term Loan
  7.070%   2/04/11   Ba1     1,970,151  
  3,940    
Penn National Gaming, Inc., Term Loan B
  7.114%   10/03/12   BB     3,972,013  
  2,000    
Pinnacle Entertainment Inc., Term Loan
  7.320%   12/14/11   BB-     2,017,708  
  1,000    
Quiznos Sub, Term Loan C
  11.100%   11/05/13   N/R     1,018,542  
  130    
Seminole Gaming, Term B-1 Delayed Draw, (5)
  2.844%   3/05/14   BBB-     32,470  
  437    
Seminole Gaming, Term B-2 Delayed Draw
  6.875%   3/05/14   BBB-     437,520  
  433    
Seminole Gaming, Term B-3 Delayed Draw
  6.875%   3/05/14   BBB-     433,469  
  2,719    
Travelport, Term Loan
  7.850%   8/23/13   Ba3     2,745,551  
  268    
Travelport, Letter of Credit
  7.850%   8/23/13   Ba3     270,312  
  427    
Venetian Casino Resort, LLC Term Loan B
  7.090%   6/15/11   BB-     429,528  
  2,073    
Venetian Casino Resort, LLC, Term Loan
  7.090%   6/15/11   BB-     2,083,213  
  998    
Worldspan LP, Term Loan
  8.600%   12/07/13   Ba3     1,002,612  
 
  32,769    
Total Hotels, Restaurants & Leisure
                32,767,594  
 
 
 
                   
 
Household Durables – 2.1% (1.4% of Total Investments)
 
 
                   
  4,478    
Shea Homes Inc., Term Loan
  7.320%   10/27/11   N/R     4,432,725  
  1,006    
William Carter Company, Term Loan B
  6.846%   7/14/12   BB     1,006,420  
 
  5,484    
Total Household Durables
                5,439,145  
 
 
 
                   
 
Household Products – 2.3% (1.5% of Total Investments)
 
 
                   
  1,901    
Prestige Brands, Inc., Term Loan B
  7.634%   4/06/11   Ba3     1,912,442  
  3,979    
Solo Cup Company, Term Loan
  8.847%   2/27/11   B1     4,047,262  
 
  5,880    
Total Household Products
                5,959,704  
 
 
 
                   
 
Independent Power Producers & Energy Traders – 0.4% (0.3% of Total Investments)
 
 
                   
  671    
Covanta Energy Corporation, Term Loan B
  6.875%   2/09/14   Ba2     672,363  
  329    
Covanta Energy Corporation, Letter of Credit
  6.775%   2/09/14   Ba2     329,517  
 
  1,000    
Total Independent Power Producers & Energy Traders
                1,001,880  
 
 
 
                   
 
Insurance – 2.4% (1.5% of Total Investments)
 
 
                   
  5,963    
Conseco, Inc., Term Loan
  7.320%   10/10/13   BB-     5,998,046  
 
 
 
                   
 
Internet Software & Services – 1.2% (0.8% of Total Investments)
 
 
                   
  2,992    
Riverdeep Interactive Learning Ltd., Term Loan
  8.100%   12/20/13   B1     3,015,693  
 
 
 
                   
 
IT Services – 3.2% (2.0% of Total Investments)
 
 
                   
  2,985    
Dealer Computer Service, Term Loan
  7.350%   10/26/12   Ba2     3,001,791  
  5,131    
SunGard Data Systems Inc., Term Loan B
  7.360%   2/28/14   Ba3     5,181,547  
 
  8,116    
Total IT Services
                8,183,338  
 
 
 
                   
 
Leisure Equipment & Products – 1.1% (0.7% of Total Investments)
 
 
                   
  2,734    
Bombardier Recreational Products, Term Loan
  7.860%   6/28/13   BB     2,755,539  
 
 
 
                   
 
Machinery – 3.5% (2.2% of Total Investments)
 
 
                   
  3,178    
Navistar International, Term Loan
  8.610%   1/31/12   BB-     3,226,105  
  1,156    
Navistar International Synthetic Letter of Credit
  8.208%   1/19/12   BB-     1,173,129  
  1,995    
Oshkosh Truck Corporation, Term Loan
  7.100%   12/06/13   BB     2,003,417  
  557    
Rexnord Corporation, Incremental Term Loan
  7.580%   7/19/13   Ba2     561,835  
  1,934    
Rexnord Corporation, Term Loan
  7.858%   7/19/13   Ba2     1,951,051  
 
  8,820    
Total Machinery
                8,915,537  
 
 
 
                   
 
Media – 22.6% (14.6% of Total Investments)
 
 
                   
  4,500    
American Media Operations, Inc., Term Loan C
  8.450%   1/30/13   B1     4,532,814  
  1,111    
Blockbuster, Inc., Term Loan A
  8.377%   8/20/09   B1     1,115,601  
  1,663    
Blockbuster, Inc., Term Loan B
  8.631%   8/20/11   B1     1,683,146  
  1,965    
Cablevision Systems Corporation, Incremental Term Loan
  7.084%   3/29/13   BB     1,974,245  
  1,985    
Carmike Cinemas Inc., Term Loan
  8.590%   5/19/12   B1     2,008,394  
  1,000    
Charter Communications Operating, LLC, Term Loan A
  7.850%   9/06/14   B1     1,002,084  
  1,000    
Charter Communications Operating, LLC, Term Loan
  7.350%   9/06/14   B1     999,766  
  3,437    
Dex Media West, LLC, Term Loan B
  6.852%   3/09/10   Ba1     3,443,507  
  2,993    
Idearc Inc., Term Loan
  7.350%   11/17/14   BB+     3,015,800  
  2,963    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B
  8.600%   4/08/12   B+     2,969,257  
  4,975    
Neilsen Finance LLC, Term Loan B
  7.610%   8/09/13   Ba3     5,024,233  
  1,912    
Philadelphia Newspapers, Term Loan
  8.100%   6/29/13   N/R     1,923,841  
  5,910    
Primedia Inc., Term Loan
  7.570%   9/30/13   B     5,914,001  
  2,282    
R. H. Donnelley Inc., Term Loan D-2
  6.851%   6/30/11   Ba1     2,286,164  
  4,586    
Regal Cinemas Corporation, Term Loan
  7.100%   10/27/13   Ba2     4,606,240  
  1,567    
Sun Media Corporation, Term Loan B
  7.105%   2/07/09   Baa3     1,571,582  
  483    
Univision Communications, Delayed Draw, Term Loan, (5) (9)
  1.000%   9/29/14   Ba3     (371 )
  2,000    
Univision Communications, Second Lien Term Loan
  7.820%   3/29/09   B3     2,002,083  
  7,517    
Univision Communications, Term Loan
  7.605%   9/15/14   Ba3     7,511,013  
  1,500    
UPC Broadband Holding BV, Term Loan J2
  7.370%   3/29/13   Ba3     1,503,214  
  2,900    
WMG Acquisition Corp., Term Loan
  7.359%   2/28/11   Ba2     2,915,134  
 
  58,249    
Total Media
                58,001,748  
 
 
 
                   
 
Metals & Mining – 3.7% (2.4% of Total Investments)
 
 
                   
  1,995    
Aleris International, Term Loan
  7.375%   12/19/11   B+     2,002,065  
  1,876    
Amsted Industries Incorporated, Delayed Draw, Term Loan
  7.350%   4/05/11   BB-     1,880,759  
  2,582    
Amsted Industries Incorporated, Term Loan B
  7.350%   4/05/13   BB-     2,591,270  
  1,035    
Freeport McMoran Copper and Gold, Term Loan
  7.070%   3/19/14   Baa3     1,039,452  
  1,979    
John Maneely Company, Term Loan
  8.611%   12/08/11   B+     1,985,622  
 
  9,467    
Total Metals & Mining
                9,499,168  
 
 
 
                   
 
Multi-Utilities – 1.6% (1.0% of Total Investments)
 
  2,860    
NRG Energy Inc., Term Loan
  7.350%   2/01/13   Ba1     2,885,472  
  1,183    
NRG Energy Inc., Credit-Linked Deposit
  7.350%   2/01/13   Ba1     1,192,754  
 
  4,043    
Total Multi-Utilities
                4,078,226  
 
 
 
                   
 
Oil, Gas & Consumable Fuels – 3.5% (2.2% of Total Investments)
 
 
                   
  301    
Coffeyville Resources LLC, Letter of Credit
  8.249%   5/10/10   B+     304,981  
  1,549    
Coffeyville Resources LLC., Term Loan
  8.350%   12/28/13   B+     1,570,507  
  1,000    
El Paso Corporation, Letter of Credit
  7.320%   7/31/11   Ba1     1,006,094  
  774    
Targa Resources Inc., Synthetic Letter of Credit
  7.475%   10/31/12   B+     780,423  
  3,177    
Targa Resources Inc., Term Loan B
  7.356%   10/31/12   B+     3,202,988  
  2,000    
Venoco Inc, Term Loan
  9.875%   3/30/11   B-     2,021,250  
 
  8,801    
Total Oil, Gas & Consumable Fuels
                8,886,243  
 
 
 
                   
 
Paper & Forest Products – 3.4% (2.2% of Total Investments)
 
 
                   
  1,013    
Boise Cascade Corporation, Term Loan D
  7.070%   3/29/11   BB     1,017,632  
  1,555    
Georgia-Pacific Corporation, Term Loan B-2
  7.090%   12/20/12   Ba2     1,564,448  
  3,950    
Georgia-Pacific Corporation, Term Loan B
  7.091%   12/20/10   Ba2     3,973,961  
  2,086    
NewPage Corporation, Term Loan B
  7.625%   5/02/11   Ba2     2,106,726  
 
  8,604    
Total Paper & Forest Products
                8,662,767  
 
 
 
                   
 
Pharmaceuticals – 1.2% (0.8% of Total Investments)
 
 
                   
  865    
Stiefel Laboratories Inc, Delayed Draw, Term Loan
  7.605%   12/28/13   Ba3     873,253  
  1,000    
Stiefel Laboratories Inc, Second Lien Term Loan
  10.355%   6/15/13   B-     1,023,750  
  1,130    
Stiefel Laboratories Inc, Term Loan
  7.605%   12/28/13   Ba3     1,141,697  
 
  2,995    
Total Pharmaceuticals
                3,038,700  
 
 
 
                   
 
Real Estate Investment Trust – 1.6% (1.0% of Total Investments)
 
 
                   
  3,990    
Landsource Community Development, Term Loan
  8.070%   2/27/13   BB+     4,018,991  
 
 
 
                   
 
Real Estate Management & Development – 2.9% (1.8% of Total Investments)
 
 
                   
  3,721    
Capital Automotive LP., Term Loan
  7.070%   12/16/10   BB+     3,757,628  
  3,500    
LNR Property Corporation, Term Loan B
  8.110%   7/12/11   B+     3,524,374  
 
  7,221    
Total Real Estate Management & Development
                7,282,002  
 
 
 
                   
 
Semiconductors & Equipment – 1.3% (0.8% of Total Investments)
 
 
                   
  1,358    
Advanced Micro Devices, Term Loan B
  7.340%   12/31/13   BB-     1,361,961  
  1,995    
Freescale Semiconductor, Term Loan
  7.110%   3/30/14   Baa3     2,000,663  
 
  3,353    
Total Semiconductors & Equipment
                3,362,624  
 
 
 
                   
 
Specialty Retail – 8.0% (5.1% of Total Investments)
 
 
                   
  983    
Burlington Coat Factory Warehouse Corporation, Term Loan
  7.610%   5/28/11   B     978,386  
  995    
CSK Automotive Corporation, Term Loan
  8.353%   6/30/12   Ba3     1,010,553  
  3,897    
Michaels Stores Inc., Term Loan
  8.125%   10/31/13   B2     3,932,605  
  1,318    
Micro Warehouse, Inc., Term Loan B, (7) (8) (10)
  0.000%   1/30/07   N/R     39,534  
  3,979    
Norwood Promotional Products, Term Loan A
  11.625%   8/16/09   N/R     4,128,514  
  5,993    
Norwood Promotional Products, Term Loan B
  6.000%   8/16/11   N/R     5,363,806  
  995    
Sally Beauty, Term Loan
  7.860%   11/16/13   BB-     1,004,052  
  4,000    
TRU 2005 RE Holding Co. I, Inc., Term Loan
  8.320%   12/09/08   B3     4,036,876  
 
  22,160    
Total Specialty Retail
                20,494,326  
 
 
 
                   
 
Textiles Apparel & Luxury Goods – 1.8% (1.1% of Total Investments)
 
 
                   
  4,530    
Visant Holding Corporation, Term Loan C
  7.330%   7/29/10   B+     4,557,908  
 
 
 
                   
 
Trading Companies & Distributors – 1.6% (1.0% of Total Investments)
 
 
                   
  2,000    
Ashtead Group Public Limited Company, Term Loan B
  7.125%   8/31/11   BB     2,000,000  
  393    
Brenntag Holdings, Acquisition Facility
  7.887%   1/20/14   B1     395,182  
  1,607    
Brenntag Holdings, Term Loan B2
  7.887%   1/20/14   B1     1,626,108  
 
  4,000    
Total Trading Companies & Distributors
                4,021,290  
 
$ 377,643    
Total Variable Rate Senior Loan Interests (cost $374,487,916)
                369,646,259  
 
                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity   Ratings (4)   Value  
 
 
 
                   
 
Corporate Bonds – 9.1% (5.8% of Total Investments)
 
 
                   
 
Electronic Equipment & Instruments – 2.0% (1.3% of Total Investments)
 
 
                   
$ 5,000    
NXP BV, Floating Rate Note, 2.750% plus three-month LIBOR, 144A
  8.105%   10/15/13   BB+   $ 5,187,500  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 1.0% (0.6% of Total Investments)
 
  2,400    
Park Place Entertainment
  8.875%   9/15/08   Ba1     2,499,000  
 
 
 
                   
 
Media – 1.8% (1.2% of Total Investments)
 
 
                   
  2,000    
Cablevision Systems Corporation, Floating Rate Note, 4.500% plus six-month LIBOR, Series B 144A
  9.860%   4/01/09   B+     2,130,000  
  2,500    
Primedia Inc., Floating Rate Note, 5.375% plus three-month LIBOR, 144A
  10.730%   5/15/10   B     2,590,625  
 
  4,500    
Total Media
                4,720,625  
 
 
 
                   
 
Paper & Forest Products – 0.8% (0.5% of Total Investments)
 
 
                   
  2,000    
Verso Paper Holdings LLC., Floating Rate Note, 3.750% plus three-month LIBOR, 144A
  9.105%   8/01/14   B     2,070,000  
 
 
 
                   
 
Semiconductors & Equipment – 0.2% (0.1% of Total Investments)
 
 
                   
  500    
Avago Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus three-month LIBOR, 144A
  10.855%   6/01/13   B     525,000  
 
 
 
                   
 
Textiles Apparel & Luxury Goods – 0.8% (0.5% of Total Investments)
 
 
                   
  2,000    
HanesBrands Inc., Floating Rate Note, 3.375% plus six-month LIBOR, 144A
  8.735%   12/15/14   B2     2,065,000  
 
 
 
                   
 
Wireless Telecommunication Services – 2.5% (1.6% of Total Investments)
 
 
                   
  6,000    
Dobson Communications Corporation, Floating Rate Note, 4.250% plus three-month LIBOR
  9.605%   10/15/12   Caa1     6,210,000  
 
$ 22,400    
Total Corporate Bonds (cost $22,281,573)
                23,277,125  
 
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Common Stocks – 0.7% (0.4% of Total Investments)
 
 
                   
 
Auto Components – 0.0% (0.0% of Total Investments)
 
 
                   
  511    
Gen Tek Inc.,
              $ 16,740  
  279,642    
Metalforming Technologies Inc., (7) (8) (10)
               
 
 
Total Auto Components
                16,740  
   
 
 
                   
 
Building Products – 0.7% (0.4% of Total Investments)
 
 
                   
  34,834    
Armstrong World Industries Inc.,
                1,776,545  
 
 
Total Common Stocks (cost $1,393,369)
                1,793,285  
   
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Warrants – 0.1% (0.0% of Total Investments)
 
 
                   
  545    
Gen Tek Inc., Warrant
              $ 25,750  
  268    
Gen Tek Inc., Warrant
                11,859  
  5,672    
Reliant Energy Inc.
                91,886  
 
 
Total Warrants (cost $40,254)
                129,495  
   
                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity       Value  
 
 
 
Short-Term Investments – 2.0% (1.3% of Total Investments)
 
 
                   
$ 5,213    
Repurchase Agreement with Fixed Income Clearing
  4.900%   5/01/07       $ 5,213,359  
 
Corporation, dated 4/30/07, repurchase price $5,214,069,
                   
 
collateralized by $3,915,000, U.S. Treasury Bonds,
                   
 
8.000%, due 11/15/21, value $5,324,400
                   
   
 
Total Short-Term Investments (cost $5,213,359)
                5,213,359  
   
 
Total Investments (cost $403,416,471) – 156.7%
                400,059,523  
   
 
Borrowings Payable – (40.4)% (6)
                (103,000,000 )
   
 
Other Assets Less Liabilities – 1.7%
                4,164,976  
   
 
Preferred Shares, at Liquidation Value – (18.0)%
                (46,000,000 )
   
 
Net Assets Applicable to Common Shares – 100%
              $ 255,224,499  
   
     
 (1)  
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
   
 
 (2)  
Senior Loans in which the Fund invests generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus 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.
   
 
 (3)  
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.
   
 
 (4)  
Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below BBB by Standard & Poor’s Group or Baa by Moody’s Investor Service, Inc. are considered to be below investment grade.
   
 
 (5)  
Position or portion of position represents an unfunded Senior Loan commitment outstanding at April 30, 2007. At April 30, 2007, the Fund had unfunded Senior Loan commitments of $1,684,679.
   
 
 (6)  
Borrowings Payable as a percentage of total investments is (25.7)%.
   
 
 (7)  
At or subsequent to April 30, 2007, this issue was under the protection of the Federal Bankruptcy Court.
   
 
 (8)  
Non-income producing. Non-income producing, in the case of a loan, generally denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
   
 
 (9)  
Negative value represents unrealized depreciation on Senior Loan commitment at April 30, 2007.
   
 
 (10)  
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees.
   
 
N/R  
Not rated.
   
 
WI/DD  
Purchased on a when-issued or delayed delivery basis.
   
 
144A  
Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
   
 
TBD  
Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
   
 
(PIK)  
In lieu of cash payment, interest accrued on “Payment in Kind” investment increases principal outstanding.
   
 
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.
At April 30, 2007, the cost of investments was $403,416,471.
Gross unrealized appreciation and gross unrealized depreciation of investments at April 30, 2007, were as follows:
         
 
 
       
Gross unrealized:
       
Appreciation
  $ 5,308,617  
Depreciation
    (8,665,565 )
 
       
 
 
       
Net unrealized appreciation (depreciation) of investments
  $ (3,356,948 )
 
       
 


TABLE OF CONTENTS

Item 2. Controls and Procedures
Item 3. Exhibits
SIGNATURES
Certification


Table of Contents

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.

 


Table of Contents

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, 2007
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, 2007
         
     
By (Signature and Title)*  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date June 29, 2007
 
*   Print the name and title of each signing officer under his or her signature.