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:    10/31/2007   
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

Item 1. Schedule of Investments
Item 2. Controls and Procedures
Item 3. Exhibits
SIGNATURES
Certification


Table of Contents

Item 1. Schedule of Investments
Portfolio of Investments (Unaudited)
Nuveen Senior Income Fund (NSL)
October 31, 2007
                             
Principal         Weighted
Average
             
Amount (000)     Description (1)   Coupon   Maturity (2)   Ratings (3)   Value  
 
 
 
                   
 
Variable Rate Senior Loan Interests – 146.4% (89.1% of Total Investments) (4)
 
 
                   
 
Aerospace & Defense – 3.1% (2.0% of Total Investments)
 
 
                   
$ 669    
Dubai Aerospace, Term Loan Asset Sale
  7.803%   7/23/09   BB-   $ 668,638  
  757    
Dubai Aerospace, Term Loan B-1
  8.933%   7/23/14   BB-     757,941  
  573    
Dubai Aerospace, Term Loan B-2
  8.933%   7/23/13   BB-     573,835  
  2,509    
Midwestern Aircraft (Spirit Aerosystems Inc.), Term Loan B
  6.901%   12/30/11   BBB-     2,489,775  
  2,391    
Vought Aircraft Industries, Inc., Term Loan
  7.340%   12/22/11   Ba2     2,370,095  
  545    
Vought Aircraft Industries, Inc., Tranche B, Letter of Credit
  7.624%   12/22/10   Ba2     540,568  
 
  7,444    
Total Aerospace & Defense
                7,400,852  
 
 
 
                   
 
Airlines – 4.2% (2.6% of Total Investments)
 
 
                   
  2,000    
Delta Air Lines, Inc., Synthetic Letter of Credit, WI/DD
  TBD   TBD   Ba2     1,958,000  
  1,995    
Delta Air Lines, Inc., Term Loan
  8.082%   4/30/14   B     1,980,394  
  1,980    
Northwest Airlines Inc., Term Loan
  7.030%   8/01/13   BB     1,909,874  
  4,378    
United Air Lines Inc., Term Loan B
  7.001%   2/01/14   BB-     4,205,312  
 
  10,353    
Total Airlines
                10,053,580  
 
 
 
                   
 
Auto Components – 5.8% (3.5% of Total Investments)
 
 
                   
  4,224    
Federal-Mogul Corporation, Term Loan A, (5)
  6.003%   2/24/04   N/R     4,165,522  
  5,551    
Federal-Mogul Corporation, Term Loan B, (5)
  7.253%   2/24/05   N/R     5,470,933  
  460    
Gen Tek Inc., Term Loan B
  7.080%   2/28/11   BB-     451,716  
  1,712    
Gen Tek Inc., Additional Term Loan B
  7.339%   2/28/11   BB-     1,679,793  
  2,000    
Goodyear Tire & Rubber Company, Second Lien Term Loan
  6.430%   4/30/14   Ba1     1,947,917  
  1,479    
Metalforming Technologies, Inc., Term Loan A, (5) (6)
  0.000%   9/30/07   N/R     281,039  
  575    
Metalforming Technologies, Inc., Term Loan B, (PIK), (5) (6)
  0.000%   9/30/07   N/R     109,299  
 
  16,001    
Total Auto Components
                14,106,219  
 
 
 
                   
 
Building Products – 6.3% (3.8% of Total Investments)
 
 
                   
  879    
Atrium Companies Inc., Term Loan
  8.529%   5/31/12   BB-     816,017  
  2,000    
Building Materials Corporation of America, Second Lien Term Loan
  10.813%   9/15/14   Caa1     1,683,000  
  1,985    
Building Materials Corporation of America Term Loan
  7.937%   2/22/14   BB     1,812,765  
  2,534    
Euramax Domestic, Term Loan
  8.244%   6/29/12   B+     2,360,800  
  1,940    
Nortek, Inc., Term Loan B
  7.055%   8/27/11   Ba2     1,901,200  
  2,435    
Stile Acquisition Corporation, Canadian Term Loan
  7.115%   4/05/13   BB     2,294,218  
  2,440    
Stile Acquisition Corporation, U.S. Term Loan
  7.115%   4/05/13   BB     2,298,127  
  1,980    
TFS Acquisition, Term Loan
  8.698%   8/11/13   B+     1,950,300  
 
  16,193    
Total Building Products
                15,116,427  
 
 
 
                   
 
Capital Markets – 0.6% (0.4% of Total Investments)
 
 
                   
  1,534    
Ameritrade Holdings Corporation, Term Loan B Facility
  6.300%   12/31/12   Ba1     1,518,890  
 
 
 
                   
 
Chemicals – 3.9% (2.4% of Total Investments)
 
 
                   
  1,592    
Celanese Holdings, LLC, Term Loan B
  6.979%   4/02/14   BB     1,566,794  
  400    
Celanese Holdings, LLC, Credit Linked Deposits
  5.124%   4/02/14   BB     393,667  
  2,970    
Hexion Specialty Chemicals, Inc., Term Loan C4
  7.625%   5/05/13   Ba3     2,945,404  
  762    
Huntsman International LLC, Term Loan
  6.643%   4/19/14   BB+     756,921  
  1,995    
ISP Chemco Term Loan
  7.077%   6/04/14   BB-     1,953,105  
  1,950    
Rockwood Specialties Group, Inc., Term Loan E
  6.460%   7/30/12   BB     1,921,847  
 
  9,669    
Total Chemicals
                9,537,738  
 
 
 
                   
 
Commercial Services & Supplies – 2.8% (1.7% of Total Investments)
 
 
                   
  2,370    
Acco Brands, Term Loan B
  7.175%   8/17/12   Ba1     2,337,413  
  730    
Allied Waste North America, New Term Loan B
  6.552%   3/28/14   BBB-     717,725  
  393    
Allied Waste North America, LC Facility
  6.871%   3/28/14   BBB-     386,118  
  796    
Rental Service Corporation, Second Lien Term Loan
  8.750%   11/27/13   B-     777,934  
  2,000    
Williams Scotsman, Inc., Term Loan B
  0.000%   6/28/10   BB+     1,985,000  
  677    
Workflow Holdings Corporation, Term Loan
  9.484%   11/30/11   BB-     589,385  
 
  6,966    
Total Commercial Services & Supplies
                6,793,575  
 
 
 
                   
 
Containers & Packaging – 4.5% (2.7% of Total Investments)
 
 
                   
  455    
Bluegrass Container Company, LLC, Delayed Draw, 1st Lien
  7.288%   6/30/13   BB     452,777  
  1,515    
Bluegrass Container Company, LLC, 2nd Lien
  9.753%   12/31/13   B     1,525,568  
  485    
Bluegrass Container Company, LLC, Delayed Draw, 2nd Lien
  9.753%   12/31/13   B     488,182  
  1,520    
Bluegrass Container Company, LLC, Term Loan B
  7.322%   6/30/13   BB     1,513,229  
  5,494    
Graham Packaging Company, L.P., Term Loan
  7.661%   12/13/11   B+     5,398,891  
  437    
Smurfit-Stone Container Corporation, Deposit-Funded Commitment
  7.124%   11/01/10   Ba2     433,171  
  375    
Smurfit-Stone Container Corporation, Term Loan B
  7.428%   11/01/11   Ba2     372,201  
  473    
Smurfit-Stone Container Corporation, Term Loan C
  7.523%   11/01/11   Ba2     469,613  
  169    
Smurfit-Stone Container Corporation, Term Loan Tranche C-1
  7.188%   11/01/11   Ba2     167,972  
 
  10,923    
Total Containers & Packaging
                10,821,604  
 
 
 
                   
 
Diversified Consumer Services – 2.5% (1.5% of Total Investments)
 
 
                   
  4,000    
Thomson Learning Center, Term Loan
  7.950%   7/05/14   B+     3,877,778  
  2,278    
West Corporation, Term Loan
  7.273%   10/24/13   BB-     2,238,109  
 
  6,278    
Total Diversified Consumer Services
                6,115,887  
 
 
 
                   
 
Diversified Telecommunication Services – 5.9% (3.6% of Total Investments)
 
 
                   
  1,990    
Crown Castle Operating Company, Term Loan
  6.645%   1/26/14   BBB-     1,948,023  
  1,955    
Intelsat Corporation, Term Loan
  7.124%   7/01/13   BB+     1,935,942  
  2,000    
Intelsat Corporation Unsecured Term Loan
  7.859%   2/01/14   B     1,982,500  
  997    
Intelsat, Ltd., Term Loan B
  7.124%   12/03/13   BB+     987,417  
  2,267    
Level 3 Financing, Inc., Term Loan
  7.493%   3/13/14   B+     2,212,991  
  5,000    
Qwest Corporation, Term Loan B
  6.950%   6/30/10   BBB-     5,108,335  
  5,000    
WCI Capital Corporation, Term Loan B, (5) (6)
  0.000%   9/30/07   N/R     70,833  
 
  19,209    
Total Diversified Telecommunication Services
                14,246,041  
 
 
 
                   
 
Electric Utilities – 4.2% (2.5% of Total Investments)
 
 
                   
  705    
Astoria Generating Company, 1st Lien Term Loan
  7.210%   2/23/13   BB-     697,035  
  556    
Calpine Corporation DIP Revolver, (7) (8)
  0.250%   3/29/09   N/R     (26,389 )
  4,422    
Calpine Corporation Dip Term Loan
  7.448%   3/29/09   N/R     4,384,713  
  3,000    
Texas Competitive Electric Holdings, Term Loan, WI/DD
  TBD   TBD   Ba3     3,000,933  
  2,000    
Texas Competitive Electric Holdings, Term Loan B3, WI/DD
  TBD   TBD   Ba3     2,000,000  
 
  10,683    
Total Electric Utilities
                10,056,292  
 
 
 
                   
 
Electrical Equipment – 0.6% (0.4% of Total Investments)
 
 
                   
  1,496    
Sensus Metering Systems Inc., Term Loan B-1
  7.261%   12/17/10   BB     1,473,217  
  97    
Sensus Metering Systems Inc., Term Loan B-2
  7.359%   12/17/10   BB     95,716  
 
  1,593    
Total Electrical Equipment
                1,568,933  
 
 
 
                   
 
Electronic Equipment & Instruments – 0.8% (0.5% of Total Investments)
 
 
                   
  1,975    
Sensata Technologies B.V., U.S. Term Loan
  6.760%   4/27/13   BB     1,926,507  
 
 
 
                   
 
Energy Equipment & Services – 1.0% (0.6% of Total Investments)
 
 
                   
  2,490    
Dresser, Inc., Term Loan
  7.989%   5/04/14   B+     2,444,465  
 
 
 
                   
 
Food Products – 2.3% (1.4% of Total Investments)
 
 
                   
  465    
Dole Foods Company Inc., Deposit-Funded Commitment
  7.290%   4/12/13   BB-     452,487  
  1,031    
Dole Foods Company Inc., Term Loan B
  7.572%   4/12/13   BB-     1,002,825  
  3,436    
Dole Foods Company Inc., Term Loan C
  7.415%   4/12/13   BB-     3,342,749  
  862    
Michael Foods, Inc., Term Loan B
  7.361%   11/21/10   BB-     851,239  
 
  5,794    
Total Food Products
                5,649,300  
 
 
 
                   
 
Gas Utilities – 0.8% (0.5% of Total Investments)
 
 
                   
  2,000    
Energy Transfer Equity LP, Term Loan
  7.106%   2/08/12   BBB-     1,970,625  
 
 
 
                   
 
Health Care Equipment & Supplies – 0.8% (0.5% of Total Investments)
 
 
                   
  1,000    
Symbion Healthcare Term Loan A
  8.210%   8/01/13   Ba3     971,250  
  1,000    
Symbion Healthcare Term Loan B
  8.210%   8/01/14   Ba3     971,250  
 
  2,000    
Total Health Care Equipment & Supplies
                1,942,500  
 
 
 
                   
 
Health Care Providers & Services – 9.5% (5.8% of Total Investments)
 
 
                   
  3,292    
Davita Inc., Term Loan B
  6.754%   10/05/12   BB+     3,229,112  
  1,985    
HCA, Inc. Term Loan
  7.448%   11/18/13   BB     1,942,673  
  1,990    
Health Management Associates, Inc., Term Loan
  6.942%   2/28/14   Ba2     1,905,977  
  859    
HealthSouth Corporation, Term Loan
  7.628%   3/10/13   BB-     842,237  
  464    
IASIS Healthcare, LLC, Delayed Term Loan, (7)
  5.960%   3/14/14   Ba2     322,798  
  124    
IASIS Healthcare, LLC, LC Facility
  4.693%   3/14/14   Ba2     118,238  
  1,351    
IASIS Healthcare, LLC, Term Loan
  7.066%   3/14/14   Ba2     1,291,178  
  3,920    
LifeCare Holdings Inc., Term Loan B
  8.200%   8/11/12   B     3,655,394  
  2,150    
Psychiatric Solutions Inc., Term Loan B
  7.007%   12/03/12   BB-     2,112,507  
  2,925    
Select Medical Corporation, Term Loan
  7.477%   2/24/12   Ba2     2,814,094  
  4,871    
Vanguard Health Holding Company II, LLC, Replacement Term Loan
  7.448%   9/23/11   Ba3     4,775,558  
 
  23,931    
Total Health Care Providers & Services
                23,009,766  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 12.4% (7.5% of Total Investments)
 
 
                   
  4,925    
24 Hour Fitness Worldwide, Inc., Term Loan B
  7.809%   6/08/12   Ba3     4,851,125  
  1,779    
Ameristar Casinos, Inc., Term Loan B
  7.428%   11/10/12   BB+     1,765,757  
  122    
CBRL Group, Inc., Term B-2 Delayed Draw
  7.431%   4/28/13   BB     119,021  
  776    
CBRL Group, Inc., Term Loan B-1
  6.860%   4/28/13   BB     756,363  
  3,910    
CCM Merger, Inc., Term Loan B
  7.300%   7/13/12   BB-     3,826,943  
  1,975    
Cedar Fair LP, Term Loan
  6.753%   8/30/12   BB     1,939,203  
  2,629    
Intrawest Corporation, Term Loan
  8.130%   4/24/08   N/R     2,609,385  
  353    
Isle of Capri Casinos, Inc., Delayed Draw Term Loan A, (7) (8)
  0.375%   7/26/14   BB+     (12,309 )
  1,174    
Isle of Capri Casinos, Inc., Term Loan
  6.741%   7/26/14   BB+     1,132,602  
  469    
Isle of Capri Casinos, Inc., Delayed Draw Term Loan B
  6.643%   7/26/14   BB+     453,041  
  71    
OSI Restaurant Partners, LLC, Revolver
  5.523%   6/14/13   BB-     68,749  
  927    
OSI Restaurant Partners, LLC, Term Loan
  7.063%   6/14/14   BB-     895,008  
  3,920    
Penn National Gaming, Inc., Term Loan B
  6.901%   10/03/12   BBB-     3,900,128  
  1,000    
Quiznos Sub, Second Lien Term Loan C
  10.948%   11/05/13   N/R     962,000  
  130    
Seminole Gaming, Term Loan B-1 Delayed Draw
  6.972%   3/05/14   BBB     128,664  
  437    
Seminole Gaming, Term Loan B-2 Delayed Draw
  7.125%   3/05/14   BBB     434,241  
  433    
Seminole Gaming, Term Loan B-3 Delayed Draw
  6.750%   3/05/14   BBB     430,220  
  1,334    
Travelport, Term Loan
  7.448%   8/23/13   BB-     1,309,812  
  268    
Travelport, LC Facility
  7.448%   8/23/13   BB-     262,815  
  998    
Travelport, Delayed Term Loan
  7.448%   8/23/13   BB-     979,265  
  800    
Venetian Casino Resort, LLC (Las Vegas Sands, Inc) Delayed Term Loan, (7) (8)
  0.750%   5/23/14   BB     (22,039 )
  3,192    
Venetian Casino Resort, LLC, Term Loan
  6.950%   5/23/14   BB     3,104,065  
 
  31,622    
Total Hotels, Restaurants & Leisure
                29,894,059  
 
 
 
                   
 
Household Durables – 2.0% (1.2% of Total Investments)
 
 
                   
  4,455    
Shea Homes Inc., Term Loan
  7.200%   10/27/11   N/R     3,820,163  
  1,001    
William Carter Company, Term Loan B
  6.313%   7/14/12   BBB-     985,871  
 
  5,456    
Total Household Durables
                4,806,034  
 
 
 
                   
 
Household Products – 1.9% (1.1% of Total Investments)
 
 
                   
  1,753    
Prestige Brands, Inc., Term Loan B
  7.731%   4/06/11   BB-     1,743,983  
  2,774    
Solo Cup Company, Term Loan
  8.669%   2/27/11   B1     2,772,793  
 
  4,527    
Total Household Products
                4,516,776  
 
 
 
                   
 
Independent Power Producers & Energy Traders – 1.7% (1.1% of Total Investments)
 
 
                   
  668    
Covanta Energy Corporation, Term Loan B
  6.876%   2/09/14   BB     650,499  
  329    
Covanta Energy Corporation, Synthetic Letter of Credit
  6.729%   2/09/14   BB     320,404  
  800    
NRG Energy Inc., Holdco Term Loan, (7) (8)
  0.500%   2/01/13   BB     (15,571 )
  2,322    
NRG Energy Inc., Term Loan
  6.948%   2/01/13   Ba1     2,277,110  
  966    
NRG Energy Inc., Credit Linked Deposits
  6.848%   2/01/13   Ba1     947,716  
 
  5,085    
Total Independent Power Producers & Energy Traders
                4,180,158  
 
 
 
                   
 
Insurance – 2.4% (1.4% of Total Investments)
 
 
                   
  5,933    
Conseco, Inc., Term Loan
  6.819%   10/10/13   Ba3     5,683,040  
 
 
 
                   
 
Internet Software & Services – 1.2% (0.7% of Total Investments)
 
 
                   
  2,977    
Riverdeep Interactive Learning USA, Inc., Term Loan
  7.948%   12/20/13   B1     2,965,042  
 
 
 
                   
 
IT Services – 3.3% (2.0% of Total Investments)
 
 
                   
  3,000    
First Data Term Loan, Tranche B
  7.960%   9/24/14   BB-     2,892,614  
  5,106    
SunGard Data Systems Inc., Term Loan B
  7.356%   2/28/14   BB+     5,047,669  
 
  8,106    
Total IT Services
                7,940,283  
 
 
 
                   
 
Leisure Equipment & Products – 1.1% (0.7% of Total Investments)
 
 
                   
  2,734    
Bombardier Recreational Products Inc., Term Loan
  7.699%   6/28/13   B+     2,662,405  
 
 
 
                   
 
Machinery – 4.4% (2.6% of Total Investments)
 
 
                   
  1,995    
Maxim Crane Works L.P., Term Loan
  6.799%   6/29/14   BB-     1,895,250  
  3,178    
Navistar International Corporation, Term Loan
  8.234%   1/19/12   BB-     3,129,714  
  1,156    
Navistar International Corporation, Synthetic Letter of Credit
  6.853%   1/19/12   BB-     1,138,078  
  1,975    
Oshkosh Truck Corporation, Term Loan
  7.450%   12/06/13   BBB-     1,946,300  
  557    
Rexnord Corporation, Incremental Term Loan B-2
  7.642%   7/19/13   Ba2     554,611  
  1,869    
Rexnord Corporation, Term Loan B
  7.603%   7/19/13   Ba2     1,860,676  
 
  10,730    
Total Machinery
                10,524,629  
 
 
 
                   
 
Media – 21.6% (13.1% of Total Investments)
 
 
                   
  4,500    
American Media Operations, Inc., Term Loan
  8.800%   1/13/13   B1     4,449,375  
  1,955    
Cablevision Systems Corporation, Incremental Term Loan
  6.875%   3/29/13   BB     1,912,952  
  1,975    
Carmike Cinemas Inc., Delayed Draw Term Loan
  9.230%   5/19/12   B1     1,971,708  
  1,990    
Cequel Communications LLC., Term Loan B
  7.268%   11/05/13   BB-     1,931,295  
  1,000    
Charter Communications Operating, LLC, Holdco Term Loan
  7.698%   3/06/14   B1     961,719  
  1,300    
Charter Communications Operating, LLC, Term Loan
  6.990%   3/06/14   B+     1,251,466  
  2,993    
Discovery Communications Holdings, Term Loan
  7.198%   5/14/14   N/R     2,960,081  
  2,978    
Idearc Inc., Term Loan
  7.200%   11/17/14   BBB-     2,940,126  
  2,948    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B
  8.448%   4/08/12   N/R     2,833,363  
  4,950    
Nielsen Finance LLC, Term Loan B
  7.360%   8/09/13   Ba3     4,826,945  
  1,903    
Philadelphia Newspapers, Term Loan
  8.750%   6/29/13   N/R     1,750,442  
  2,573    
Regal Cinemas Corporation, Term Loan
  6.698%   10/27/13   Ba2     2,519,815  
  1,867    
Tribune Company, Term Loan X
  7.744%   6/04/09   BB     1,847,854  
  6,983    
Tribune Company, Term Loan B
  8.244%   6/04/14   BB     6,500,708  
  483    
Univision Communications, Delayed Term Loan, (7) (8)
  3.668%   9/29/14   B+     (13,591 )
  2,000    
Univision Communications, Second Lien Term Loan
  7.253%   3/29/09   B3     1,987,500  
  7,732    
Univision Communications, Term Loan
  7.210%   9/29/14   Ba3     7,340,134  
  427    
Valassis Communications, Inc., Delayed Draw Term, (7) (8)
  1.000%   3/02/14   BB     (20,000 )
  1,432    
Valassis Communications, Inc., Tranche B Term Loan
  6.950%   3/02/14   BB     1,365,002  
  2,883    
WMG Acquisition Corp., Term Loan
  7.419%   2/28/11   Ba2     2,821,577  
 
  54,872    
Total Media
                52,138,471  
 
 
 
                   
 
Metals & Mining – 4.1% (2.5% of Total Investments)
 
 
                   
  1,985    
Aleris International Inc., Term Loan
  7.063%   12/19/11   BB-     1,896,502  
  1,867    
Amsted Industries Incorporated, Delayed Draw Term Loan
  7.266%   4/08/13   BB     1,826,956  
  2,568    
Amsted Industries Incorporated, Term Loan B
  7.279%   4/08/13   BB     2,527,917  
  1,995    
Edgen Murray II, L.P., Term Loan
  8.115%   5/11/14   B     1,957,594  
  1,841    
John Maneely Company, Term Loan
  8.638%   12/08/11   B+     1,721,364  
 
  10,256    
Total Metals & Mining
                9,930,333  
 
 
 
                   
 
Oil, Gas & Consumable Fuels – 2.8% (1.7% of Total Investments)
 
 
                   
  550    
Big West Oil, LLC, Delayed Draw Term Loan, (7) (8)
  1.500%   5/15/14   BB     (16,500 )
  448    
Big West Oil, LLC, Term Loan
  7.448%   5/15/14   BB     434,075  
  301    
Coffeyville Resources LLC, Letter of Credit
  8.481%   12/28/10   B-     298,813  
  980    
Coffeyville Resources LLC., Term Loan D
  8.481%   12/28/13   B-     974,533  
  1,000    
El Paso Corporation, Letter of Credit
  6.438%   7/31/11   Ba1     988,125  
  774    
Targa Resources Inc., Synthetic Letter of Credit
  7.323%   10/31/12   Ba3     768,581  
  1,388    
Targa Resources Inc., Term Loan B
  7.525%   10/31/12   Ba3     1,377,809  
  2,000    
Venoco Inc, Term Loan
  9.125%   9/20/11   B     1,990,000  
 
  7,441    
Total Oil, Gas & Consumable Fuels
                6,815,436  
 
 
 
                   
 
Paper & Forest Products – 3.0% (1.8% of Total Investments)
 
 
                   
  3,930    
Georgia-Pacific Corporation, Term Loan B
  7.383%   12/20/12   BB+     3,843,330  
  1,547    
Georgia-Pacific Corporation, Term Loan B-2
  7.372%   12/20/12   BB+     1,512,614  
  1,995    
NewPage Corporation, Term Loan B
  7.469%   5/02/11   Ba2     1,979,936  
 
  7,472    
Total Paper & Forest Products
                7,335,880  
 
 
 
                   
 
Pharmaceuticals – 0.8% (0.5% of Total Investments)
 
 
                   
  860    
Stiefel Laboratories Inc, Delayed Draw Term Loan
  7.499%   12/28/13   BB-     844,143  
  1,125    
Stiefel Laboratories Inc, Term Loan
  7.499%   12/28/13   BB-     1,103,638  
 
  1,985    
Total Pharmaceuticals
                1,947,781  
 
 
 
                   
 
Real Estate Investment Trust – 1.5% (0.9% of Total Investments)
 
 
                   
  3,970    
Landsource Community Development LLC, Term Loan
  8.249%   2/27/13   N/R     3,537,552  
 
 
 
                   
 
Real Estate Management & Development – 4.5% (2.7% of Total Investments)
 
 
                   
  3,721    
Capital Automotive LP., Term Loan
  6.880%   12/15/10   BB+     3,682,150  
  3,500    
LNR Property Corporation, Term Loan B
  8.110%   7/12/11   BB     3,421,250  
  4,000    
Realogy Corporation, Term Loan, WI/DD
  TBD   TBD   BB     3,728,000  
 
  11,221    
Total Real Estate Management & Development
                10,831,400  
 
 
 
                   
 
Road & Rail – 3.2% (2.0% of Total Investments)
 
 
                   
  8,837    
Swift Transportation, Term Loan
  8.375%   5/10/14   BB-     7,809,884  
 
 
 
                   
 
Semiconductors & Equipment – 0.8% (0.5% of Total Investments)
 
 
                   
  1,985    
Freescale Semiconductor, Term Loan
  7.330%   11/29/13   Baa3     1,909,703  
 
 
 
                   
 
Software – 1.1% (0.7% of Total Investments)
 
 
                   
  2,805    
Dealer Computer Services, Term Loan
  7.198%   10/26/12   BB     2,744,583  
 
 
 
                   
 
Specialty Retail – 9.0% (5.5% of Total Investments)
 
 
                   
  752    
Blockbuster, Inc., Term Loan A
  9.374%   8/20/09   B     747,791  
  1,246    
Blockbuster, Inc., Term Loan B
  9.623%   8/20/11   B     1,241,254  
  970    
Burlington Coat Factory Warehouse Corporation, Term Loan
  7.760%   5/28/11   B2     912,138  
  990    
CSK Automotive Corporation, Term Loan
  9.000%   7/29/10   Ba3     987,562  
  3,887    
Michaels Stores Inc., Term Loan
  7.619%   10/31/13   B     3,732,709  
  1,122    
Micro Warehouse, Inc., Term Loan B, (5) (6) (9)
  0.000%   1/30/07   N/R     165,826  
  3,914    
Norwood Promotional Products, Term Loan A
  11.875%   8/17/09   N/R     3,915,194  
  5,992    
Norwood Promotional Products, Term Loan B
  6.000%   8/17/11   N/R     5,169,031  
  990    
Sally Holdings LLC, Term Loan
  8.006%   11/16/13   BB-     972,675  
  4,000    
TRU 2005 RE Holding CO I, LLC, Term Loan
  8.129%   12/08/08   B3     3,963,334  
 
  23,863    
Total Specialty Retail
                21,807,514  
 
 
 
                   
 
Textiles, Apparel & Luxury Goods – 0.8% (0.5% of Total Investments)
 
 
                   
  2,001    
Visant Holding Corporation, Term Loan C
  7.198%   7/29/10   Ba1     1,987,107  
 
 
 
                   
 
Trading Companies & Distributors – 1.6% (1.0% of Total Investments)
 
 
                   
  1,980    
Ashtead Group Public Limited Company, Term Loan
  7.125%   8/31/11   BB+     1,945,351  
  393    
Brenntag Holdings, Acquisition Facility
  7.387%   1/20/14   B+     384,955  
  1,606    
Brenntag Holdings, Term Loan B2
  7.387%   1/20/14   B+     1,575,463  
 
  3,979    
Total Trading Companies & Distributors
                3,905,769  
 
 
 
                   
 
Wireless Telecommunication Services – 1.6% (1.0% of Total Investments)
 
 
                   
  4,000    
Asurion Corporation, Term Loan
  8.360%   7/03/14   N/R     3,918,750  
 
$ 376,893    
Total Variable Rate Senior Loan Interests (cost $370,538,270)
                354,071,790  
 
                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity   Ratings (3)   Value  
 
 
 
                   
 
Corporate Bonds – 8.3% (5.0% of Total Investments)
 
 
                   
 
Hotels, Restaurants & Leisure – 1.0% (0.6% of Total Investments)
 
 
                   
$ 2,400    
Park Place Entertainment
  8.875%   9/15/08   Ba1   $ 2,439,000  
 
 
 
                   
 
Media – 0.9% (0.5% of Total Investments)
 
 
                   
  2,000    
Cablevision Systems Corporation, Floating Rate Note, 4.500% plus six-month LIBOR, 144A
  9.306%   4/01/09   B+     2,065,000  
 
 
 
                   
 
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
  8.644%   8/01/14   B+     2,020,000  
 
 
 
                   
 
Semiconductors & Equipment – 2.2% (1.3% of Total Investments)
 
 
                   
  500    
Avago Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus three-month LIBOR
  10.394%   6/01/13   B     512,500  
  5,000    
NXP BV, Floating Rate Note, 2.750% plus three-month LIBOR
  7.644%   10/15/13   BB     4,756,250  
 
  5,500    
Total Semiconductors & Equipment
                5,268,750  
 
 
 
                   
 
Textiles, Apparel & Luxury Goods – 0.9% (0.6% of Total Investments)
 
 
                   
  2,000    
HanesBrands Inc., Floating Rate Note, 3.375% plus six-month LIBOR
  8.181%   12/15/14   B2     2,020,000  
 
 
 
                   
 
Wireless Telecommunication Services – 2.5% (1.5% of Total Investments)
 
 
                   
  6,000    
Dobson Communications Corporation, Floating Rate Note, 4.250% plus three-month LIBOR
  9.144%   10/15/12   Caa1     6,150,000  
 
$ 19,900    
Total Corporate Bonds (cost $19,800,173)
                19,962,750  
 
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Common Stocks – 0.6% (0.4% of Total Investments)
 
 
                   
 
Auto Components – 0.0% (0.0% of Total Investments)
 
 
                   
  511    
Gen Tek Inc., (6)
              $ 17,374  
  279,642    
Metalforming Technologies Inc., (5) (6) (9)
                 
 
 
Total Auto Components
                17,374  
   
 
 
                   
 
Building Products – 0.6% (0.4% of Total Investments)
 
 
                   
  35,644    
Armstrong World Industries Inc., (6)
                1,461,760  
 
 
Total Common Stocks (cost $1,393,369)
                1,479,134  
   
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Warrants – 0.1% (0.0% of Total Investments)
 
 
                   
  545    
Gen Tek Inc., Warrant Class B
              $ 25,986  
  268    
Gen Tek Inc., Warrant Class C
                13,534  
  5,672    
Reliant Energy Inc., Warrant Class A
                120,246  
 
 
Total Warrants (cost $40,254)
                159,766  
   
                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity       Value  
 
 
 
                   
 
Short-Term Investments – 9.1% (5.5% of Total Investments)
 
 
                   
$ 21,969    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 10/31/07, repurchase price $21,971,167, collateralized by $21,880,000 U.S. Treasury Notes, 4.875%, due 5/31/07, value $22,414,791
  4.300%   11/01/07       $ 21,968,543  
   
 
Total Short-Term Investments (cost $21,968,543)
                21,968,543  
   
 
Total Investments (cost $413,740,609) – 164.5%
                397,641,983  
   
 
Borrowings Payable – (42.6)% (10)
                (103,000,000 )
   
 
Other Assets Less Liabilities – (2.9)%
                (6,947,744 )
   
 
Preferred Shares, at Liquidation Value – (19.0)%
                (46,000,000 )
   
 
Net Assets Applicable to Common Shares – 100%
              $ 241,694,239  
   
     
 (1)  
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
   
 
 (2)  
Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
   
 
 (3)  
Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.
   
 
 (4)  
Senior Loans 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.
   
 
 (5)  
At or subsequent to October 31, 2007, this issue was under the protection of the Federal Bankruptcy Court.
   
 
 (6)  
Non-income producing. Non-income producing, in the case of a Senior Loan, generally denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
   
 
 (7)  
Position or portion of position represents an unfunded Senior Loan commitment outstanding at October 31, 2007. At October 31, 2007, the Fund had unfunded Senior Loan commitments of $3,874,216.
   
 
 (8)  
Negative value represents unrealized depreciation on Senior Loan commitment at October 31, 2007.
   
 
 (9)  
Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees.
   
 
 (10)  
Borrowings Payable as a percentage of total investments is (25.9)%.
   
 
N/R  
Not rated.
   
 
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.
   
 
PIK  
In lieu of cash payment, interest accrued on “Payment in Kind” investment increases principal outstanding.
   
 
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.
   
 
WI/DD  
Purchased on a when-issued or delayed delivery basis.
   
 
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 October 31, 2007, the cost of investments was $413,764,805.
Gross unrealized appreciation and gross unrealized depreciation of investments at October 31, 2007, were as follows:
         
 
 
       
Gross unrealized:
       
Appreciation
  $ 2,181,649  
Depreciation
    (18,304,471 )
 
       
 
 
       
Net unrealized appreciation (depreciation) of investments
  $ (16,122,822 )
 
       
 


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 December 28, 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 December 28, 2007
         
     
By (Signature and Title)*  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date December 28, 2007
 
*   Print the name and title of each signing officer under his or her signature.