PORTFOLIO OF INVESTMENTS (UNAUDITED)
NUVEEN SENIOR INCOME FUND (NSL)
April 30, 2002
RATINGS*
PRINCIPAL -------------------- STATED MARKET
AMOUNT (000) DESCRIPTION MOODY'S S&P MATURITY** VALUE
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VARIABLE RATE SENIOR LOAN INTERESTS(1) and INTEREST
BEARING SECURITIES - 149.6%
AEROSPACE/DEFENSE - 7.9% (4.7% OF TOTAL ASSETS)
$ 4,949 DeCrane Aircraft Holdings, Inc., Term Loan D B2 B+ 12/17/06 $ 4,875,198
10,802 The Fairchild Corporation, Term Loan B B1 B+ 04/30/06 9,830,002
2,137 United Defense Industries, Inc., Term Loan B Ba3 BB- 08/13/09 2,151,568
1,145 Vought Aircraft Industries, Inc., Term Loan A NR NR 06/30/06 1,145,285
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18,002,053
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AUTOMOTIVE - 9.7% (5.9% OF TOTAL ASSETS)
1,224 Federal-Mogul Corporation, Term Loan A NR D 02/24/04 829,592
3,551 Federal-Mogul Corporation, Term Loan B NR D 02/24/05 2,420,410
5,649 Metaldyne Company/Metalync Company, LLC, Term Loan B B1 BB- 11/28/08 5,403,747
1,848 Metaldyne Company/Metalync Company, LLC, Term Loan C2 B1 BB- 11/28/08 1,772,917
9,366 MetalForming Technologies, Inc., Term Loan B NR NR 06/30/06 5,619,866
404 Tenneco Auto, Inc., Revolver B2 B 09/30/05 318,345
4,120 Tenneco Auto, Inc., Term Loan A B2 B 09/30/05 3,950,138
997 Tenneco Auto, Inc., Term Loan B B2 B 12/30/07 947,613
997 Tenneco Auto, Inc., Term Loan C B2 B 06/30/08 948,549
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22,211,177
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BEVERAGE, FOOD & TOBACCO - 12.8% (7.7% OF TOTAL ASSETS)
1,717 Cott Corporation, Purchase Money Term Loan NR BB 12/31/06 1,725,137
192 Cott Corporation, Working Capital Term Loan NR BB 12/31/06 192,458
9,168 Dr. Pepper/Seven Up Bottling Group, Inc., Term Loan B NR NR 10/07/07 9,222,025
1,902 Eagle Family Foods, Inc., Term Loan B1 B 12/31/05 1,769,193
3,157 Flowers Foods, Inc., Term Loan B Ba2 BBB- 03/26/07 3,185,713
1,985 Interstate Brands Corporation, Term Loan B Ba1 BBB- 07/19/07 1,996,476
3,464 Merisant Company, Term Loan B Ba3 BB- 03/30/07 3,489,858
5,500 Pinnacle Foods Corporation, Term Loan Ba3 BB- 05/22/08 5,530,938
1,998 Suiza Foods Corporation, Term Loan B Ba2 BB+ 07/15/08 2,008,112
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29,119,910
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BROADCASTING/CABLE - 3.5% (2.1% OF TOTAL ASSETS)
2,000 Century Cable Holdings, LLC, Term Loan B Ba2 B- 12/31/09 1,860,000
3,333 Charter Communications Operating, LLC, Incremental Term Loan Ba3 BBB- 09/18/08 3,200,758
3,000 Charter Communications Operating, LLC, Term Loan B Ba3 BBB- 03/18/08 2,879,501
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7,940,259
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BROADCASTING/RADIO - 2.1% (1.2% OF TOTAL ASSETS)
4,667 Citadel Broadcasting Company, Term Loan B NR NR 06/26/09 4,715,667
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BUILDINGS & REAL ESTATE - 2.0% (1.2% OF TOTAL ASSETS)
3,000 Washington Group International, Inc., Bond (a) NR NR 07/01/10 645,000
4,000 Williams Scotsman, Inc., Term Loan B1 BB- 12/31/06 4,000,000
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4,645,000
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CARGO TRANSPORTATION - 3.5% (2.1% OF TOTAL ASSETS)
8,190 North American Van Lines, Term Loan B B1 B+ 11/18/07 8,002,006
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CHEMICALS, PLASTICS & RUBBER - 5.1% (3.1% OF TOTAL ASSETS)
4,965 Buckeye Technologies, Inc., Revolver NR NR 03/31/05 4,615,116
1,934 Ineos US Finance, LLC, Term Loan C Ba3 BB 06/30/09 1,919,376
1,963 OM Group, Inc., Term Loan B Ba3 BB 04/01/07 1,974,486
3,107 Resolution Performance Products, LLC, Term Loan B B1 BB- 11/14/08 3,134,977
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11,643,955
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CONSTRUCTION MATERIALS - 3.4% (2.0% OF TOTAL ASSETS)
16,667 California Pollution Control Financing Authority,
CanFibre of Riverside Project, Bonds (a)(b)(c) NR NR 07/01/14 1,885,000
9,000 California Pollution Control Financing Authority,
CanFibre of Riverside Project, Bonds (a)(b)(c) NR NR 07/01/19 1,017,900
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 -
856 Mueller Group, Inc., Term Loan B B1 B+ 08/16/06 858,804
3,510 Mueller Group, Inc., Term Loan C B1 B+ 08/16/07 3,518,188
490 Mueller Group, Inc., Term Loan D B1 B+ 08/16/07 492,603
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7,772,495
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CONTAINERS, PACKAGING & GLASS - 9.6% (5.8% OF TOTAL ASSETS)
3,669 Graham Packaging Company, Term Loan B B2 B 01/31/06 3,649,121
3,040 Graham Packaging Company, Term Loan C B2 B 01/31/07 3,023,562
3,547 Greif Bros. Corporation, Term Loan B Ba3 BB 02/28/08 3,572,411
2,346 Stone Container Corporation, Term Loan C Ba3 B+ 10/01/03 2,357,911
2,910 Stone Container Corporation, Term Loan D Ba3 B+ 10/01/03 2,924,607
2,598 Stone Container Corporation, Term Loan E Ba3 B+ 12/31/05 2,610,279
3,972 United States Can Company, Term Loan B B2 B 10/04/08 3,674,277
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21,812,168
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DIVERSIFIED MANUFACTURING - 8.2% (4.9% OF TOTAL ASSETS)
2,358 Blount, Inc., Term Loan B B3 B 06/30/06 2,331,666
3,013 Dayco Products, LLC, Term Loan B Ba3 BB- 05/31/07 3,015,853
2,947 GenTek, Inc., Term Loan C Caa2 B- 10/31/07 2,459,284
7,169 UCAR Finance, Inc., Term Loan B Ba3 NR 12/31/07 7,183,382
5,432 Western Industries Holding, Inc., Term Loan B NR NR 06/23/06 3,666,531
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18,656,716
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ECOLOGICAL - 0.4% (0.2% OF TOTAL ASSETS)
882 Stericycle, Inc., Term Loan B B1 BB- 09/30/07 886,857
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ELECTRONICS/ELECTRONIC SERVICES - 1.7% (1.0% OF TOTAL ASSETS)
3,940 Seagate Technology Holdings, Inc., Term Loan B Ba1 BB+ 11/22/06 3,950,343
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FARMING & AGRICULTURAL - 1.7% (1.0% OF TOTAL ASSETS)
3,908 Shemin Holdings Corporation, Term Loan B NR NR 01/28/07 3,864,464
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FINANCE & BANKING - 0.4% (0.2% OF TOTAL ASSETS)
2,368 Finova Group, Inc., Bond NR NR 11/15/09 840,640
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HEALTHCARE - 3.8% (2.3% OF TOTAL ASSETS)
1,885 Advance PCS, Term Loan B Ba1 BB+ 10/02/07 1,891,898
1,700 Community Health Systems, Inc., Term Loan B NR B+ 12/31/03 1,710,380
1,700 Community Health Systems, Inc., Term Loan C NR B+ 12/31/04 1,711,089
1,250 Community Health Systems, Inc., Term Loan D NR B+ 12/31/05 1,259,447
1,989 Triad Hospitals, Inc., Term Loan B Ba3 B+ 09/30/08 2,013,457
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8,586,271
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HOTELS, MOTELS, INNS & GAMING - 16.0% (9.6% OF TOTAL ASSETS)
4,000 Alliance Gaming Corporation, LLC, Term Loan B1 B+ 12/31/06 4,040,000
2,250 Boyd Gaming Corp., Bond Ba3 BB- 10/01/03 2,328,750
1,928 Extended Stay America, Inc., Term Loan B Ba3 BB- 01/15/08 1,937,684
1,800 Harrahs Entertainment, Inc., Bond Ba1 BB+ 12/15/05 1,869,750
3,000 Isle of Capri Casinos, Inc., Term Loan Ba2 BB- 04/30/08 3,030,470
3,200 Mandalay Resort Group, Bond Ba3 BB- 07/15/03 3,248,000
10,000 Mandalay Resort Group, Term Loan NR NR 08/22/06 9,934,375
2,726 Wyndham International, Inc., Increasing Rate Loan NR NR 06/30/04 2,700,141
7,470 Wyndham International, Inc., Term Loan B NR NR 06/30/06 7,313,883
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36,403,053
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INSURANCE - 5.8% (3.5% OF TOTAL ASSETS)
9,957 Conseco, Inc., Term Loan NR NR 12/31/03 8,537,732
4,850 GAB Robbins North America, Inc., Term Loan B NR NR 12/01/05 4,728,750
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13,266,482
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LEISURE & ENTERTAINMENT - 6.1% (3.7% OF TOTAL ASSETS)
3,385 Fitness Holdings Worldwide, Inc., Term Loan B NR B 11/02/06 3,048,926
6,435 Fitness Holdings Worldwide, Inc., Term Loan C NR B 11/02/07 5,797,254
4,975 Six Flags Theme Parks, Inc., Term Loan B Ba2 BB- 09/30/05 5,018,877
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13,865,057
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NATURAL RESOURCES/OIL & GAS - 3.1% (1.9% OF TOTAL ASSETS)
6,983 Tesoro Petroleum Corp., Term Loan B Ba2 BB+ 12/31/07 7,018,868
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NON-DURABLE CONSUMER PRODUCTS - 2.4% (1.4% OF TOTAL ASSETS)
5,074 Norwood Promotional Products, Inc., Term Loan A NR NR 02/01/05 4,630,419
3,406 Norwood Promotional Products, Inc., Term Loan B NR NR 02/01/05 698,160
972 Norwood Promotional Products, Inc., Term Loan C NR NR 02/01/05 58,297
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5,386,876
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PERSONAL & MISCELLANEOUS SERVICES - 4.0% (2.4% OF TOTAL ASSETS)
3,990 Adams Outdoor Advertising Limited Partnership, Term Loan B B1 B+ 02/01/08 4,028,653
2,000 Lamar Media Corp., Incremental Term Loan C Ba2 BB- 02/01/07 2,015,750
2,958 Weight Watchers International, Inc., Transferable
Loan Certificate Facility Ba1 BB- 09/30/06 2,980,289
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9,024,692
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PRINTING & PUBLISHING - 7.2% (4.4% OF TOTAL ASSETS)
6,930 American Media Operations, Inc., Term Loan B-1 Ba3 B+ 04/01/07 6,997,859
5,000 Media News Group, Term Loan NR NR 12/31/06 4,912,500
4,975 PRIMEDIA, Inc., Term Loan B NR B 06/30/09 4,596,900
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16,507,259
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RESTAURANTS & FOOD SERVICE - 2.8% (1.7% OF TOTAL ASSETS)
3,145 Dominos Pizza, Inc., Term Loan B B1 B+ 12/21/06 3,189,739
3,156 Dominos Pizza, Inc., Term Loan C B1 B+ 12/21/07 3,200,668
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6,390,407
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RETAIL/CATALOG - 1.4% (0.8% OF TOTAL ASSETS)
4,599 Micro Warehouse, Inc., Term Loan B B1 NR 01/31/07 3,207,459
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RETAIL/SPECIALTY - 1.7% (1.0% OF TOTAL ASSETS)
3,985 Rite Aid Corporation, Term Loan B2 BB- 06/27/05 3,935,672
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RETAIL/STORES - 4.0% (2.4% OF TOTAL ASSETS)
2,808 HMV Media Group PLC, Term Loan C B1 B+ 03/28/06 2,800,565
1,935 HMV Media Group PLC, Term Loan D B1 B+ 08/28/06 1,930,119
2,182 SDM Corporation, Term Loan C Ba1 BB 02/04/08 2,197,632
2,182 SDM Corporation, Term Loan E Ba1 BB 02/04/09 2,197,632
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9,125,948
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TELECOMMUNICATIONS/CELLULAR/PCS - 5.4% (3.3% OF TOTAL ASSETS)
484 Airgate PCS, Inc., Tranche I Loan NR NR 06/06/07 476,458
4,121 Airgate PCS, Inc., Tranche II Loan NR NR 09/30/08 4,045,277
9,750 Centennial Cellular Operating Company, LLC, Term Loan A B1 B+ 11/30/06 7,869,059
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12,390,794
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TELECOMMUNICATIONS/COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) - 1.4%
(0.9% OF TOTAL ASSETS)
3,750 RCN Corporation, Term Loan B Caa1 CCC+ 06/03/07 2,994,793
4,688 Teligent, Inc., Delayed Term Loan (a)(b) NR NR 06/30/06 140,625
5,000 WCI Capital Corporation, Term Loan B (a)(b) NR NR 09/30/07 104,165
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3,239,583
------------------------------------------------------------------------------------------------------------------------------------
TELECOMMUNICATIONS/HYBRID - 1.9% (1.1% OF TOTAL ASSETS)
2,500 Nextel Communications, Inc., Term Loan B Ba2 BB- 06/30/08 2,140,521
2,500 Nextel Communications, Inc., Term Loan C Ba2 BB- 12/31/08 2,140,521
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4,281,042
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TELECOMMUNICATIONS/SATELLITE - 0.6% (0.4% OF TOTAL ASSETS)
1,675 Satelites Mexicanos, SA de CV, Loan B1 B+ 06/30/04 1,474,000
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TELECOMMUNICATIONS/WIRELESS MESSAGING - 0.5% (0.3% OF TOTAL ASSETS)
6,896 Arch Wireless Holding, Inc., Term Loan C (a)(b)(d) NR D 06/30/06 1,201,822
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TEXTILES & LEATHER - 1.6% (0.9% OF TOTAL ASSETS)
3,658 Norcross Safety Products, LLC, Term Loan NR NR 09/30/04 3,602,886
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TRANSPORTATION/RAIL MANUFACTURING - 1.7% (1.0% OF TOTAL ASSETS)
3,950 Kansas City Southern Railway Company, Term Loan B Ba1 BB+ 12/29/06 3,978,523
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UTILITIES - 6.2% (3.7% OF TOTAL ASSETS)
7,000 AES EDC Funding II, LLC, Term Loan NR NR 10/06/03 6,566,000
3,920 TNP Enterprises, Inc., Term Loan Ba2 BB+ 03/30/06 3,929,800
3,647 Western Resources, Inc., Term Loan B NR NR 03/17/03 3,638,120
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14,133,920
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Total Variable Rate Senior Loan Interests and Interest Bearing
Securities (cost $374,654,817) 341,084,324
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Market
Shares (000) Description Value
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EQUITIES - 1.9%
BUILDINGS & REAL ESTATE - 1.9% (1.1% OF TOTAL ASSETS)
218 Washington Group International, Inc., Equity Shares (a) 4,252,560
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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) --
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Total Equities (cost $6,115,399) 4,252,560
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PRINCIPAL
AMOUNT/ STATED MARKET
SHARES (000) DESCRIPTION MATURITY VALUE
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SHORT-TERM INVESTMENTS - 13.8%
$ 150 JP Morgan Chase, Commercial Paper, 1.32% 05/01/02 150,030
31,264 JPMorgan Prime Funding Account, Money Market Fund, 1.47% 31,264,265
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Total Short-Term Investments (cost $31,414,295) 31,414,295
---------------------------------------------------------------------------------------------------------------------
Total Investments (cost $412,184,511) - 165.3% 376,751,179
---------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 0.1% 245,286
---------------------------------------------------------------------------------------------------------------------
Borrowings Payable - (45.2)%+ (103,000,000)
---------------------------------------------------------------------------------------------------------------------
Taxable Auctioned Preferred Shares, at Liquidation Value - (20.2)% (46,000,000)
---------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 227,996,465
=====================================================================================================================
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 April 30, 2002, this issue was
non-income producing.
(b) At April 30, 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.
(d) At May 29, 2002, this issue emerged from bankruptcy
proceedings.
+ Borrowings payable as a percentage of total gross
assets is 27.2%.
See accompanying notes to financial statements.
Statement of Assets and Liabilities April 30, 2002 (Unaudited)
--------------------------------------------------------------------------------
ASSETS
Investments, at market value (cost $412,184,511) $376,751,179
Interest receivable 2,347,677
Other assets 226,321
--------------------------------------------------------------------------------
Total assets 379,325,177
--------------------------------------------------------------------------------
LIABILITIES
Borrowings payable 103,000,000
Cash overdraft 150,936
Management fees 123,258
Taxable Auctioned Preferred Share dividends payable 60,945
Common Share dividends payable 1,456,877
Other liabilities 536,696
--------------------------------------------------------------------------------
Total liabilities 105,328,712
--------------------------------------------------------------------------------
Taxable Auctioned Preferred Shares, at liquidation value $ 46,000,000
--------------------------------------------------------------------------------
Net assets applicable to Common Shares $227,996,465
================================================================================
Common Shares outstanding 29,739,802
================================================================================
Net asset value per Common Share outstanding (net assets
applicable to Common Shares, divided by Common Shares
outstanding) $ 7.67
================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
--------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 297,398
Paid-in surplus 282,569,989
Undistributed (over-distribution of) net investment income (368,618)
Accumulated net realized gain (loss) from investment transactions (19,068,972)
Net unrealized appreciation (depreciation) of investments (35,433,332)
--------------------------------------------------------------------------------
Net assets applicable to Common Shares $227,996,465
================================================================================
Authorized shares:
Common Unlimited
Taxable Auctioned Preferred Unlimited
================================================================================
See accompanying notes to financial statements.
Statement of Operations Nine Months Ended April 30, 2002 (Unaudited)
--------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 18,710,133
Fees 315,953
--------------------------------------------------------------------------------
Total investment income 19,026,086
--------------------------------------------------------------------------------
EXPENSES
Management fees 2,380,943
Taxable Auctioned Preferred Shares - auction fees 86,014
Taxable Auctioned Preferred Shares - dividend disbursing
agent fees 7,480
Shareholders' servicing agent fees and expenses 8,985
Interest expense 1,945,613
Custodian's fees and expenses 236,646
Trustees' fees and expenses 26,164
Professional fees 233,765
Shareholders' reports - printing and mailing expenses 31,656
Stock exchange listing fees 23,710
Investor relations expense 45,545
Other expenses 374,981
--------------------------------------------------------------------------------
Total expenses 5,401,502
Expense waivers from the Adviser (1,260,500)
--------------------------------------------------------------------------------
Net expenses 4,141,002
--------------------------------------------------------------------------------
Net investment income 14,885,084
--------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized gain (loss) from investment transactions (1,573,450)
Change in net unrealized appreciation (depreciation) of investments (10,351,775)
--------------------------------------------------------------------------------
Net gain (loss) from investments (11,925,225)
--------------------------------------------------------------------------------
DISTRIBUTIONS TO TAXABLE AUCTIONED PREFERRED SHAREHOLDERS
From and in excess of net investment income (838,346)
From accumulated net realized gains from investment transactions --
--------------------------------------------------------------------------------
Decrease in net assets applicable to Common Shares from
distributions to Taxable Auctioned Preferred Shareholders (838,346)
--------------------------------------------------------------------------------
Net increase in net assets applicable to Common Shares
from operations $ 2,121,513
================================================================================
See accompanying notes to financial statements.
Statement of Changes in Net Assets (Unaudited)
NINE
MONTHS
ENDED YEAR ENDED
4/30/02 7/31/01
--------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 14,885,084 $ 32,357,125
Net realized gain (loss) from investment transactions (1,573,450) (17,495,522)
Change in net unrealized appreciation (depreciation) of investments (10,351,775) (20,933,991)
Distributions to Taxable Auctioned Preferred Shareholders:
From and in excess of net investment income (838,346) (2,582,741)
From accumulated net realized gains from investment transactions -- (14,027)
--------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common Shares from operations 2,121,513 (8,669,156)
--------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From and in excess of net investment income (16,023,392) (30,435,376)
From accumulated net realized gains from investment transactions -- (497,923)
--------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common Shares
from distributions to Common Shareholders (16,023,392) (30,933,299)
--------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common Shares issued to shareholders due to
reinvestment of distributions 256,918 765,230
--------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common Shares (13,644,961) (38,837,225)
Net assets applicable to Common Shares at the beginning of period 241,641,426 280,478,651
--------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common Shares at the end of period $227,996,465 $241,641,426
================================================================================================================================
Undistributed (over-distribution of) net investment income at the end of period $ (368,618) $ 1,596,263
================================================================================================================================
See accompanying notes to financial statements.
Statement of Cash Flows Nine Months Ended April 30, 2002 (Unaudited)
--------------------------------------------------------------------------------
CHANGE IN NET ASSETS APPLICABLE TO COMMON SHARES
FROM OPERATIONS $ 2,121,513
--------------------------------------------------------------------------------
Adjustments to Reconcile the Change in Net Assets applicable to Common Shares
from Operations to Net Cash provided by Operating Activities:
Decrease in investments at value 13,671,941
Decrease in interest receivable 1,033,592
Increase in other assets (153,489)
Decrease in management fees (8,968)
Increase in Taxable Auctioned Perferred Share
dividends payable 37,321
Decrease in other liabilities (207,927)
--------------------------------------------------------------------------------
Net cash provided by operating activities 16,493,983
--------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Increase in cash overdraft 150,936
Cash distributions paid to Common Shareholders (16,656,271)
--------------------------------------------------------------------------------
Net cash used for financing activities (16,505,335)
--------------------------------------------------------------------------------
NET DECREASE IN CASH (11,352)
Cash at the beginning of period 11,352
--------------------------------------------------------------------------------
CASH AT THE END OF PERIOD $ --
================================================================================
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 an independent pricing service approved by the Fund's Board of
Trustees. The pricing service provider typically values 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 nine
months ended April 30, 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 consist
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 have been identified and appropriately
reclassified. During the nine months ended April 30, 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 nine months ended April 30, 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 applicable to Common Shares 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 (the "Guide"). 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 applicable to Common Shares or
the Common Share net asset value of the Fund. Interest income increased by
$54,783 and realized gain/loss decreased by the same amount for the nine months
ended April 30, 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.
Classification and Measurement of Redeemable Securities
Effective August 1, 2001, the Fund adopted the classification requirement of
EITF D-98, Classification and Measurement of Redeemable Securities. EITF D-98
requires that Preferred shares, at liquidation value, be presented separately in
the Statement of Assets and Liabilities. Accordingly, certain reclassifications
have been made to the financial statements and financial highlights for all
prior periods presented. The adoption of EITF D-98 had no impact on the Fund's
Common share net asset value.
2. FUND SHARES
During the nine months ended April 30, 2002, 30,737 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 June 3, 2002, to shareholders of
record on May 15, 2002.
4. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments) during the
nine months ended April 30, 2002, aggregated $116,062,654 and $144,984,067,
respectively.
At April 30, 2002, the cost of investments owned for federal income tax
purposes was $429,747,127.
5. UNREALIZED APPRECIATION (DEPRECIATION)
At April 30, 2002, net unrealized depreciation of investments for federal
income tax purposes aggregated $52,995,948 of which $4,058,959 related to
appreciated investments and $57,054,907 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 approximately $2 million as of April
30, 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 April 30, 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 nine months ended April 30, 2002, the average daily balance of
borrowings under the commercial paper program agreement was approximately $103
million with an average interest rate of 2.52%.
The Fund has entered into a $155 million revolving credit agreement with
Deutsche Bank AG which expires May 2003. 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 nine months ended April 30, 2002, there were no
borrowings under the revolving credit agreement and, therefore, there was no
outstanding revolving credit balance at April 30, 2002.
Cash paid for interest during the nine months ended April 30, 2002, was
$2,112,172.
Financial Highlights (Unaudited)
Selected data for a Common Share outstanding throughout each period:
Investment Operations Less Distributions
---------------------------------------------------------- ----------------------------------
Distributions
from and From and
in Excess in Excess
of Net Distributions of Net
Beginning Net Investment from Investment
Common Realized/ Income Capital Gains Income to Capital Gains
Share Net Unrealized to Preferred to Preferred Common to Common
Net Asset Investment Investment Share- Share- Share- Share-
Value Income Gain (Loss) holders+ holders+ Total holders holders Total
====================================================================================================================================
Year Ended 7/31:
2002(b) $8.13 $ .50 $ (.39) $(.03) $ -- $ .08 $ (.54) $ -- $ (.54)
2001 9.47 1.09 (1.29) (.09) -- (.29) (1.03) (.02) (1.05)
2000(a) 9.55 .75 (.12) (.02) -- .61 (.66) -- (.66)
====================================================================================================================================
Total Returns
-----------------
Ending Based on
Common Common
Share Based Share
Net Ending on Net
Offering Asset Market Market Asset
Costs Value Value Value** Value**
=========================================================================================================
Year Ended 7/31:
2002(b) $-- $7.67 $7.7000 (17.31)% 1.27%
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
-------------------------------------
Ratio of Net
Ratio of Investment
Ending Expenses Income to
Net to Average Average
Assets Net Assets Net Assets
Applicable Applicable Applicable
to Common to Common to Common
Shares (000) Shares++ Shares++
=====================================================================================
Year Ended 7/31:
2002(b) $227,996 3.21%* 8.09%*
2001 241,641 4.32 11.74
2000(a) 280,479 3.81* 9.82*
=====================================================================================
Ratios/Supplemental Data
-------------------------------------------------------
After Waiver***
-------------------------------
Ratio of Net
Ratio of Investment
Expenses Income to
to Average Average
Net Assets Net Assets
Applicable Applicable Portfolio
to Common to Common Turnover
Shares++ Shares++ Rate
====================================================================================
Year Ended 7/31:
2002(b) 2.46%* 8.84%* 33%
2001 3.62 12.44 52
2000(a) 3.21* 10.42* 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 Common Share Net Asset Value is
the combination of reinvested dividend income, reinvested capital gain
distributions, if any, and changes in Common Share 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 applicable to Common Shares and each Ratio of Net
Investment Income to Average Net Assets applicable to Common Shares
includes the effect of the interest expense paid on bank borrowings of:
Ratio of Interest
Expense
to Average
Net Assets
Applicable to
Common Shares
-----------------------
2002(b) 1.15%*
2001 2.19
2000(a) 2.04*
(a) For the period October 29, 1999 (commencement of operations) through July
31, 2000.
(b) For the nine months ended April 30, 2002.
See accompanying notes to financial statements.