PORTFOLIO OF INVESTMENTS (Unaudited)
NUVEEN SENIOR INCOME FUND (NSL)
October 31, 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 - 154.3% (89.4% OF TOTAL ASSETS)
AEROSPACE/DEFENSE - 11.7% (6.8% OF TOTAL ASSETS)
$ 4,924 DeCrane Aircraft Holdings, Inc., Term Loan D B2 B+ 12/17/06 $ 3,791,603
10,802 The Fairchild Corporation, Term Loan B B1 B+ 04/30/06 10,478,134
4,549 United Defense Industries, Inc., Term Loan B Ba3 BB- 08/13/09 4,556,599
1,145 Vought Aircraft Industries, Inc., Term Loan A NR NR 06/30/06 1,104,139
388 Vought Aircraft Industries, Inc., Term Loan B NR NR 07/26/07 376,491
161 Vought Aircraft Industries, Inc., Term Loan C NR NR 07/26/08 155,752
3,720 Vought Aircraft Industries, Inc., Term Loan X NR NR 12/31/06 3,627,000
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24,089,718
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AUTOMOTIVE - 8.8% (5.1% OF TOTAL ASSETS)
1,224 Federal-Mogul Corporation, Term Loan A (b) NR NR 02/24/04 679,592
5,551 Federal-Mogul Corporation, Term Loan B (b) NR NR 02/24/05 3,062,152
3,250 Metaldyne Company/Metalync Company, LLC, Term Loan D B1 BB- 12/31/09 3,160,625
9,318 MetalForming Technologies, Inc., Term Loan B NR NR 06/30/06 5,590,972
1,014 Tenneco Auto, Inc., Revolver Loan B2 B 11/04/05 554,230
5,381 Tenneco Auto, Inc., Term Loan A B2 B 11/04/05 5,055,109
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18,102,680
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BEVERAGE, FOOD & TOBACCO - 15.0% (8.5% OF TOTAL ASSETS)
2,000 Agrilink Foods Inc., Term Loan B Ba3 B+ 08/20/08 2,005,000
1,576 Cott Corporation, Purchase Money Term Loan NR BB 12/31/06 1,581,617
183 Cott Corporation, Working Capital Term Loan NR BB 12/31/06 183,610
3,990 Dean Foods Company, Term Loan B Ba2 BB+ 07/15/08 3,992,238
7,168 Dr. Pepper/Seven UP Bottling Group, Inc., Term Loan B NR NR 10/07/07 7,175,434
1,897 Eagle Family Foods, Inc., Term Loan B1 B 12/31/05 1,811,432
3,141 Flowers Foods, Inc., Term Loan B Ba2 BBB- 03/26/07 3,155,335
1,975 Interstate Brands Corporation, Term Loan B Ba1 BBB- 07/19/07 1,978,950
3,287 Merisant Company, Term Loan B Ba3 BB- 03/30/07 3,298,641
5,500 Pinnacle Foods Corporation, Term Loan Ba3 BB- 05/22/08 5,510,313
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30,692,570
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BROADCASTING/CABLE - 3.1% (1.8% OF TOTAL ASSETS)
2,000 Century Cable Holdings, LLC, Discretionary Term Loan (b) NR NR 12/31/09 1,367,083
1,640 Century Cable Holdings, LLC, Revolver (b) NR NR 10/25/10 1,089,233
2,000 Century Cable Holdings, LLC, Revolver (b) NR NR 10/25/10 1,328,333
3,317 Charter Communications Operating, LLC, Incremental Term Loan B1 BB 09/18/08 2,644,120
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6,428,769
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BROADCASTING/RADIO - 3.1% (1.8% OF TOTAL ASSETS)
4,667 Citadel Broadcasting Company, Term Loan B NR NR 06/26/09 4,695,833
1,737 Emmis Communications Company, Term Loan B Ba2 B+ 08/31/09 1,743,385
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6,439,218
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BROADCASTING/TELEVISION - 1.0% (0.6% OF TOTAL ASSETS)
2,000 Gray Television, Term Loan B Ba3 B+ 12/31/10 2,010,625
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BUILDINGS & REAL ESTATE - 1.9% (1.1% OF TOTAL ASSETS)
2,000 URS Corporation, Term Loan B Ba3 BB- 08/22/08 1,970,000
1,980 Williams Scotsman, Inc., Term Loan B1 BB- 12/31/06 1,970,925
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3,940,925
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CARGO TRANSPORTATION - 3.9% (2.3% OF TOTAL ASSETS)
8,190 North American Van Lines, Inc., Term Loan B B1 B+ 11/18/07 8,032,717
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CHEMICALS, PLASTICS, & RUBBER - 6.1% (3.6% OF TOTAL ASSETS)
4,942 Buckeye Technologies, Inc., Revolver Loan NR NR 03/31/05 4,654,360
1,366 CP Kelco ApS, Inc., Term Loan B B3 B+ 03/31/08 1,241,324
456 CP Kelco ApS, Inc., Term Loan C B3 B+ 09/30/08 414,443
1,923 Ineos US Finance, LLC, Term Loan C Ba3 BB 06/30/09 1,915,779
1,995 OM Group, Inc., Term Loan C Ba3 BB- 04/01/06 1,556,100
2,893 Resolution Performance Products, LLC, Term Loan B B1 BB- 11/14/08 2,898,281
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12,680,287
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CONSTRUCTION MATERIALS - 2.2% (1.3% OF TOTAL ASSETS)
4,489 Mueller Group, Inc., Term Loan E B1 B+ 06/20/08 4,479,773
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CONTAINERS, PACKAGING & GLASS - 9.9% (5.7% OF TOTAL ASSETS)
3,650 Graham Packaging Company, Term Loan B B2 B 01/31/06 3,620,941
3,024 Graham Packaging Company, Term Loan C B2 B 01/31/07 3,000,212
1,995 Greif Bros. Corporation, Term Loan C Ba3 BB 08/23/09 1,998,242
4,846 Smurfit-Stone Container Corporation, Term Loan B Ba3 NR 06/30/09 4,778,005
2,154 Smurfit-Stone Container Corporation, Term Loan C Ba3 NR 06/30/09 2,125,128
1,835 United States Can Company, Term Loan A B2 B 01/04/06 1,541,333
3,961 United States Can Company, Term Loan B B2 B 10/04/08 3,300,062
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20,363,923
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DIVERSIFIED MANUFACTURING - 9.6% (5.6% OF TOTAL ASSETS)
2,204 Blount, Inc., Term Loan B B3 B 06/30/06 2,167,073
6,049 Dayco Products, LLC, Term Loan B Ba3 BB- 05/31/07 6,038,221
6,505 Flowserve Corporation, Term Loan C Ba3 BB- 06/30/09 6,437,937
2,932 GenTek, Inc., Term Loan C (b) Caa2 NR 10/31/07 1,548,357
5,390 Western Industries Holding, Inc., Term Loan B NR NR 06/23/06 3,638,211
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19,829,799
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ECOLOGICAL - 0.3% (0.2% OF TOTAL ASSETS)
630 Stericycle, Inc., Term Loan B B1 BB- 09/30/07 633,289
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FARMING & AGRICULTURAL - 1.9% (1.1% OF TOTAL ASSETS)
3,908 Shemin Holdings Corporation, Term Loan B NR NR 01/28/07 3,864,464
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HEALTHCARE - 3.1% (1.8% OF TOTAL ASSETS)
4,500 Community Health Systems, Inc., Term Loan B NR NR 07/16/09 4,495,077
1,978 Triad Hospitals, Inc., Term Loan B Ba3 B+ 09/30/08 1,988,320
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6,483,397
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HOTELS, MOTELS, INNS & GAMING - 19.0% (10.9% OF TOTAL ASSETS)
3,980 Alliance Gaming Corporation, LLC, Term Loan B1 B+ 12/31/06 4,009,850
2,937 Ameristar Casino, Inc., Term Loan B Ba3 BB- 12/20/06 2,952,172
1,361 Extended Stay America, Inc., Term Loan B Ba3 BB- 01/15/08 1,353,231
2,988 Las Vegas Sands, Inc., Term Loan B NR B+ 06/04/08 2,998,080
3,200 Mandalay Resort Group, Bond, 6.750% Ba3 BB- 07/15/03 3,236,000
7,000 Mandalay Resort Group, Term Loan NR NR 08/22/06 6,957,710
3,058 MGM Grand, Bond, 6.950% Ba1 BBB- 02/01/05 3,120,661
4,193 Park Place Entertainment, Bond, 7.875% Ba2 BB+ 12/15/05 4,224,448
3,285 Park Place Entertainment, Revolver NR BBB- 12/31/03 3,192,233
7,674 Wyndham International, Inc., Increasing Rate Loan NR B- 06/30/04 5,915,524
1,435 Wyndham International, Inc., Term Loan B NR B- 06/30/06 1,084,306
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39,044,215
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INSURANCE - 4.8% (2.8% OF TOTAL ASSETS)
9,957 Conseco, Inc., Term Loan NR NR 12/31/03 5,807,978
4,800 GAB Robbins North America, Inc., Term Loan B NR NR 12/01/05 4,080,000
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9,887,978
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LEISURE & ENTERTAINMENT - 4.3% (2.5% OF TOTAL ASSETS)
3,156 Fitness Holdings Worldwide, Inc., Term Loan B NR B 11/02/06 3,081,224
6,000 Fitness Holdings Worldwide, Inc., Term Loan C NR B 11/02/07 5,858,666
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8,939,890
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NATURAL RESOURCES/OIL & GAS - 3.2% (1.8% OF TOTAL ASSETS)
4,872 Tesoro Petroleum Corp., Term Loan A Ba3 BB 12/31/06 4,116,955
2,872 Tesoro Petroleum Corp., Term Loan B Ba3 BB 12/31/07 2,451,573
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6,568,528
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NON-DURABLE CONSUMER PRODUCTS - 5.4% (3.2% OF TOTAL ASSETS)
7,655 Norwood Promotional Products, Inc., Term Loan A NR NR 02/01/05 6,621,303
5,207 Norwood Promotional Products, Inc., Term Loan B NR NR 02/01/05 598,836
1,459 Norwood Promotional Products, Inc., Term Loan C NR NR 02/01/05 43,763
3,980 Playtex Products, Inc., Term Loan C Ba3 BB- 05/31/09 3,966,319
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11,230,221
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PAPER & FOREST PRODUCTS - 1.3% (0.8% OF TOTAL ASSETS)
12,683 California Pollution Control Financing Authority, CanFibre
of Riverside Project, Bonds (a)(b)(d) NR NR 07/01/14 1,804,838
6,849 California Pollution Control Financing Authority, CanFibre
of Riverside Project, Bonds (a)(b)(d) NR NR 07/01/19 974,613
7,000 CanFibre of Lackawana, LLC, Construction Loan (a)(b)(c)(e) NR NR 12/01/13 -
1,200 CanFibre of Lackawana, LLC, First Stabilization Fund
Letter of Credit (a)(b)(c)(e) NR NR 12/01/13 -
10,000 CanFibre of Riverside, Inc., Equity Contribution
Letter of Credit (a)(b)(c)(d) NR NR 07/01/09 -
533 CanFibre of Riverside, Inc., Working Capital Loan (a)(b)(c)(d) NR NR 12/31/02 -
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2,779,451
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PERSONAL & MISCELLANEOUS SERVICES - 4.2% (2.4% OF TOTAL ASSETS)
3,970 Adams Outdoor Advertising Limited Partnership, Term Loan B B1 B+ 02/01/08 3,982,406
2,000 Lamar Media Corp., Incremental Loan C Ba2 BB- 02/01/07 2,004,750
1,683 Weight Watchers International, Inc., Term Loan B Ba1 BB- 09/30/06 1,692,541
997 Weight Watchers International, Inc., Term Loan C Ba1 BB- 09/30/06 1,002,987
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8,682,684
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PRINTING & PUBLISHING - 7.3% (4.2% OF TOTAL ASSETS)
6,853 American Media Operations, Inc., Term Loan C Ba3 B+ 04/01/07 6,910,347
5,000 Media News Group, Term Loan NR NR 12/31/06 4,912,500
3,955 PRIMEDIA, Inc., Term Loan B NR B 06/30/09 3,220,051
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15,042,898
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RESTAURANTS & FOOD SERVICE - 2.4% (1.4% OF TOTAL ASSETS)
4,988 Dominos Pizza, Inc., Term Loan B Ba3 BB- 06/30/08 4,999,969
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RETAIL/CATALOG - 1.5% (0.9% OF TOTAL ASSETS)
4,575 Micro Warehouse, Inc., Term Loan B NR NR 01/31/07 3,145,344
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RETAIL/SPECIALTY - 1.9% (1.1% OF TOTAL ASSETS)
3,942 Rite Aid Corporation, Term Loan A B2 BB- 06/27/05 3,882,835
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RETAIL/STORES - 1.4% - (0.8% OF TOTAL ASSETS)
4,605 Kmart Corporation, Revolver (a)(b) NR NR 12/06/02 1,044,963
1,906 SDM Corporation, Term Loan F Ba1 BBB+ 02/04/09 1,910,647
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2,955,610
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TELECOMMUNICATIONS/CELLULAR/PCS - 4.6% (2.7% OF TOTAL ASSETS)
484 Airgate PCS, Inc., Tranche I Loan NR NR 06/06/07 350,692
4,586 Airgate PCS, Inc., Tranche II Loan NR NR 09/30/08 3,206,840
9,250 Centennial Cellular Operating Company, LLC, Term Loan A B1 B+ 11/30/06 6,035,625
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9,593,157
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TELECOMMUNICATIONS/COMPETITIVE LOCAL EXCHANGE CARRIER
(CLEC) - 0.9% (0.5% OF TOTAL ASSETS)
3,743 RCN Corporation, Term Loan B Caa1 CCC+ 06/03/07 1,809,766
5,000 WCI Capital Corporation, Term Loan B (a)(b) NR NR 09/30/07 81,250
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1,891,016
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TELECOMMUNICATIONS/HYBRID - 2.1% (1.2% OF TOTAL ASSETS)
5,000 Nextel Communications, Inc., Term Loan A Ba3 BB- 12/31/07 4,316,668
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TELECOMMUNICATIONS/WIRELESS MESSAGING - 0.4%
(0.3% OF TOTAL ASSETS)
920 Arch Wireless Holding, Inc., Senior Subordinated
Secured Notes NR NR 05/15/07 749,457
578 Arch Wireless Holding, Inc., Subordinated Secured
Compounding Notes (a) NR NR 05/15/09 158,892
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908,349
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TEXTILES & LEATHER - 1.8% (1.0% OF TOTAL ASSETS)
3,639 Norcross Safety Products, LLC, Term Loan NR NR 09/30/04 3,616,057
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TRANSPORTATION/RAIL MANUFACTURING - 1.2% (0.7% OF TOTAL ASSETS)
2,544 Kansas City Southern Railway Company, Term Loan B Ba1 BB+ 12/29/06 2,544,332
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UTILITIES - 5.0% (2.9% OF TOTAL ASSETS)
2,363 AES EDC Funding II, LLC, Term Loan NR NR 07/15/05 1,597,641
3,900 TNP Enterprises, Inc., Term Loan Ba2 BB+ 03/30/06 3,900,000
5,000 Westar Energy, Term Loan B NR NR 01/01/09 4,803,128
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10,300,769
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Total Variable Rate Senior Loan Interests and Interest Bearing Securities (cost $359,739,273) 318,402,125
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MARKET
SHARES (000) DESCRIPTION VALUE
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EQUITIES - 1.6% (0.9% OF TOTAL ASSETS)
BUILDINGS & REAL ESTATE - 1.6% (0.9% OF TOTAL ASSETS)
224 Washington Group International, Inc., Equity Shares (a) 3,023,045
4 Washington Group International, Inc., Warrants, Series A (a) 2,897
4 Washington Group International, Inc., Warrants, Series B (a) 2,455
2 Washington Group International, Inc., Warrants, Series C (a) 1,132
- Washington Group International, Inc., Residual Unsecured Claim (a)(f) 216,651
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3,246,180
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PAPER & FOREST PRODUCTS - 0.0% (0.0% OF TOTAL ASSETS)
CanFibre of Lackawana, LLC, Income Participation Certificates, 13 units (a)(b)(c)(e) -
CanFibre of Riverside, Inc., Income Participation Certificates, 17 units (a)(b)(c)(d) -
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TELECOMMUNICATIONS/COMPETITIVE LOCAL EXCHANGE CARRIER (CLEC) - 0.0% (0.0% OF TOTAL ASSETS)
Teligent, Inc., Equity Shares, 50 shares (a) 52,735
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TELECOMMUNICATIONS/WIRELESS MESSAGING - 0.0% (0.0% OF TOTAL ASSETS)
99 Arch Wireless Holding, Inc., Equity Shares (a) 32,814
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Total Equities (cost $7,995,410) 3,331,729
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PRINCIPAL STATED MARKET
AMOUNT (000) DESCRIPTION MATURITY VALUE
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SHORT-TERM INVESTMENTS - 15.5% (9.0% OF TOTAL ASSETS)
$ 31,906 State Street Repurchase Agreement, 1.74%, dated 10/31/02, 11/01/02 31,905,698
============ repurchase price $31,907,240, collateralized by U.S. Treasury Bond
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Total Short-Term Investments (cost $31,905,698) 31,905,698
----------------------------------------------------------------------------------------------------------------------
Total Investments (cost $399,640,381) - 171.4% (99.3% OF TOTAL ASSETS) 353,639,552
----------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - 0.8% 1,723,525
----------------------------------------------------------------------------------------------------------------------
Borrowings Payable - (49.9)%+ (103,000,000)
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Taxable Auctioned Preferred Shares, at Liquidation Value - (22.3)% (46,000,000)
----------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $ 206,363,077
======================================================================================================================
NR Not rated.
* Bank loans rated below Baa by Moody's Investor
Services, 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 short-term, floating 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 October 31, 2002, this issue was
non-income producing.
(b) At or subsequent to October 31, 2002, this issue was
under the protection of the federal bankruptcy court.
(c) Position has a zero cost basis and was acquired as part
of a workout program.
(d) On January 1, 2002, CFR Holdings, Inc. (an entity
formed by Nuveen for the benefit of the Nuveen Funds
owning various interests in CanFibre of Riverside) took
possession of the CanFibre of Riverside assets on
behalf of the various Nuveen Funds. CFR Holdings, Inc.
has determined that a sale of the facility is in the
best interest of shareholders and is proceeding
accordingly.
(e) In September of 2002, the Erie County Acquisition
Corporation, Inc. (an entity formed by Nuveen for the
benefit of the Nuveen Funds owning various interests in
CanFibre of Lackawanna) took possession of the CanFibre
of Lackawanna assets on behalf of the various Nuveen
Funds. Erie County Acquisition Corporation, Inc. has
determined that a sale of the facility is in the best
interest of shareholders and is proceeding accordingly.
(f) Anticipates future distributions from equities and
warrants.
+ Borrowings payable as a percentage of total assets is
28.9%.
See accompanying notes to financial statements.
Statement of Assets and Liabilities October 31, 2002 (Unaudited)
--------------------------------------------------------------------------------
ASSETS
Investments, at market value (cost $399,640,381) $353,639,552
Receivables:
Interest 1,825,016
Investments sold 546,313
Other assets 65,549
--------------------------------------------------------------------------------
Total assets 356,076,430
--------------------------------------------------------------------------------
LIABILITIES
Borrowings payable 103,000,000
Management fees payable 121,886
Taxable Auctioned Preferred Share dividends payable 31,758
Other liabilities 559,709
--------------------------------------------------------------------------------
Total liabilities 103,713,353
--------------------------------------------------------------------------------
Taxable Auctioned Preferred Shares, at liquidation value 46,000,000
--------------------------------------------------------------------------------
Net assets applicable to Common Shares $206,363,077
================================================================================
Common Shares outstanding 29,746,013
================================================================================
Net asset value per Common Share outstanding (net assets
applicable to Common Shares, divided by Common Shares
outstanding) $ 6.94
================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
--------------------------------------------------------------------------------
Common Shares, $.01 par value per share $ 297,460
Paid-in surplus 282,629,311
Undistributed net investment income 1,225
Accumulated net realized gain (loss) from investments (30,564,090)
Net unrealized appreciation (depreciation) of investments (46,000,829)
--------------------------------------------------------------------------------
Net assets applicable to Common Shares $206,363,077
================================================================================
Authorized shares:
Common Unlimited
Taxable Auctioned Preferred Unlimited
================================================================================
See accompanying notes to financial statements.
Statement of Operations Three Months Ended October 31, 2002 (Unaudited)
--------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 5,513,800
Fees 83,664
--------------------------------------------------------------------------------
Total investment income 5,597,464
--------------------------------------------------------------------------------
EXPENSES
Management fees 776,366
Taxable Auctioned Preferred Shares - auction fees 28,986
Taxable Auctioned Preferred Shares - dividend disbursing
agent fees 1,512
Shareholders' servicing agent fees and expenses 3,262
Interest expense 507,698
Commitment fees 83,241
Custodian's fees and expenses 71,923
Trustees' fees and expenses 10,082
Professional fees 66,909
Shareholders' reports - printing and mailing expenses 20,274
Stock exchange listing fees 4,268
Investor relations expense 15,784
Other expenses 33,539
--------------------------------------------------------------------------------
Total expenses 1,623,844
Custodian fee credit (1,135)
Expense waivers from the Adviser (411,017)
--------------------------------------------------------------------------------
Net expenses 1,211,692
--------------------------------------------------------------------------------
Net investment income 4,385,772
--------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS
Net realized gain (loss) from investments (5,460,497)
Change in net unrealized appreciation (depreciation) of investments (7,549,563)
--------------------------------------------------------------------------------
Net gain (loss) from investments (13,010,060)
--------------------------------------------------------------------------------
DISTRIBUTIONS TO TAXABLE AUCTIONED PREFERRED SHAREHOLDERS
From net investment income (217,122)
From accumulated net realized gains from investments --
--------------------------------------------------------------------------------
Decrease in net assets applicable to Common Shares from
distributions to Taxable Auctioned Preferred Shareholders (217,122)
--------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common Shares
from operations $ (8,841,410)
================================================================================
See accompanying notes to financial statements.
Statement of Changes in Net Assets (Unaudited)
THREE
MONTHS
ENDED YEAR ENDED
10/31/02 7/31/02
--------------------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 4,385,772 $ 20,176,893
Net realized gain (loss) from investments (5,460,497) (7,840,668)
Change in net unrealized appreciation (depreciation) of investments (7,549,563) (13,369,708)
Distributions to Taxable Auctioned Preferred Shareholders:
From net investment income (217,122) (1,058,165)
From accumulated net realized gains from investments -- (5,696)
--------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common Shares from operations (8,841,410) (2,097,344)
--------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (4,254,067) (20,328,659)
From accumulated net realized gains from investments -- (61,397)
--------------------------------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common Shares
from distributions to Common Shareholders (4,254,067) (20,390,056)
--------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common Shares issued to shareholders due to
reinvestment of distributions -- 304,528
--------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common Shares (13,095,477) (22,182,872)
Net assets applicable to Common Shares at the beginning of period 219,458,554 241,641,426
--------------------------------------------------------------------------------------------------------------------------------
Net assets applicable to Common Shares at the end of period $206,363,077 $219,458,554
================================================================================================================================
Undistributed net investment income at the end of period $ 1,225 $ 86,642
================================================================================================================================
See accompanying notes to financial statements.
Statement of Cash Flows Three Months Ended October 31, 2002 (Unaudited)
--------------------------------------------------------------------------------
CHANGE IN NET ASSETS APPLICABLE TO COMMON SHARES
FROM OPERATIONS $ (8,841,410)
--------------------------------------------------------------------------------
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 due to net dispositions and
change in depreciation 14,977,956
Increase in interest receivable (33,281)
Increase in receivable from investments sold (546,313)
Decrease in other assets 78,962
Decrease in management fees payable (4,257)
Increase in Taxable Auctioned Preferred Share
dividends payable 17,776
Increase in other liabilities 56,726
--------------------------------------------------------------------------------
Net cash provided by operating activities 5,706,159
--------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common Shareholders (5,711,235)
--------------------------------------------------------------------------------
NET DECREASE IN CASH (5,076)
Cash at the beginning of period 5,076
--------------------------------------------------------------------------------
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's Common Shares are listed on the New York Stock
Exchange and trade 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 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, bonds and other securities in the Fund's investment
portfolio are generally provided by one or more independent pricing services
approved by the Fund's Board of Trustees. The pricing services typically value
exchange-listed securities at the last sale price on that day; and value senior
loans, bonds and other securities traded in the over-the-counter market at the
mean of the highest bona fide bid and lowest bona fide ask prices when current
quotations are readily available. The pricing services value senior loans, bonds
and other securities for which current quotations are not readily available at
fair value using a wide range of market data and other information and analysis,
including the obligor's credit characteristics considered relevant by such
pricing service to determine valuations. The Board of Trustees of the Fund has
approved procedures which permit Nuveen Institutional Advisory Corp. (the
"Advisor"), a wholly owned subsidiary of The John Nuveen Company, to determine
the fair value of securities for which the applicable pricing service or
services is not providing a price, using market data and other factors such as
the obligor's credit characteristics, and to override the price provided by the
independent pricing service in certain limited circumstances. Short-term
investments which mature within 60 days are valued at amortized cost, which
approximates market value.
The senior loans in which the Fund primarily 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 for senior loans, the value of a senior loan,
determined as described above, may differ significantly from the value that
would have been determined 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, which includes the amortization of premiums and accretion of
discounts, is recorded on an accrual basis. Interest income also includes
paydown gains and losses on mortgage and asset-backed securities. 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 Common Shareholders
The Fund intends to declare and pay monthly income distributions to Common
Shareholders. 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 Common 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.
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 pursuant to a dutch auction
process by the auction agent, and is payable at or near the end of each rate
period.
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 three months ended October 31, 2002.
Repurchase Agreements
In connection with transactions in repurchase agreements, it is the Fund's
policy that its custodian take possession of the underlying collateral
securities, the fair value of which exceeds the principal amount of the
repurchase transaction, including accrued interest, at all times. If the seller
defaults, and the fair value of the collateral declines, realization of the
collateral by the Fund may be delayed or limited.
Custodian Fee Credit
The Fund has an arrangement with the custodian bank whereby certain custodian
fees and expenses are reduced by credits earned on the Fund's cash on deposit
with the bank. Such deposit arrangements are an alternative to overnight
investments.
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.
2. FUND SHARES
There were no Common Share transactions during the three months ended
October 31, 2002.
During the fiscal year ended July 31, 2002, 36,948 Common Shares were issued to
shareholders due to reinvestment of distributions.
3. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments) during the
three months ended October 31, 2002, aggregated $55,847,807 and $48,177,880,
respectively.
4. 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 on mortgage and
asset-backed securities and timing differences in recognizing certain gains and
losses on security transactions.
At October 31, 2002, the cost of investments owned was $399,732,697.
The net unrealized depreciation of investments at October 31, 2002, aggregated
$46,093,145 of which $2,914,996 related to appreciated securities and
$49,008,141 related to depreciated securities.
The tax components of undistributed ordinary income and net realized gains at
July 31, 2002, the Fund's last fiscal year end, were as follows:
--------------------------------------------------------------------------------
Undistributed ordinary income * $1,558,180
Undistributed net long-term capital gains --
================================================================================
The tax character of distributions paid during the fiscal year ended July 31,
2002, the Fund's last fiscal year end, were designated for purposes of the
dividends paid deduction as follows:
--------------------------------------------------------------------------------
Distributions from ordinary income * $22,353,020
Distributions from net long-term capital gains --
================================================================================
* Ordinary income consists of taxable income derived from dividends,
interest, and net short-term capital gains, if any.
At July 31, 2002, the Fund's last fiscal year end, the Fund had an unused
capital loss carryforward of $18,283,863 available to be applied against future
capital gains, if any. If not applied, the carryforward will expire in the year
2010.
The Fund has elected to defer net realized losses from investments incurred from
November 1, 2001 through July 31, 2002 ("post-October losses") in accordance
with Federal income tax regulations. The Fund has $6,727,415 of post-October
losses that are treated as having arisen in the following fiscal year.
5. 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" means 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 Adviser has entered
into a Sub-Advisory Agreement with Symphony Asset Management ("Symphony"), an
indirect wholly owned subsidiary of The John Nuveen Company under which Symphony
manages the investment portfolio of the Fund. Symphony is compensated for its
services to the Fund from the management fee paid to the Adviser.
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 or its affiliates.
6. COMMITMENTS
Pursuant to the terms of certain of the variable rate senior loan agreements,
the Fund had unfunded loan commitments of approximately $5.9 million as of
October 31, 2002. The Fund generally will maintain with its custodian, cash,
liquid securities and/or liquid senior loans having an aggregate value at least
equal to the amount of unfunded loan commitments.
7. 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. At October 31, 2002, the Fund
held participation commitments with Bear, Stearns & Co. Inc. and Morgan Stanley.
At October 31, 2002, the par values of the commitments were $2 million and $1.64
million, respectively, while the market values were $1.3 million and $1.1
million, respectively.
8. 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, LLC, a Delaware limited liability company whose sole
purpose is the issuance of commercial paper. Nuveen Funding, LLC 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 three months ended October 31, 2002, the average daily balance of
borrowings under the commercial paper program agreement was $103 million with an
average interest rate of 1.96%.
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 three months ended October 31, 2002, there were no
borrowings under the revolving credit agreement and, therefore, there was no
outstanding revolving credit balance at October 31, 2002.
Cash paid for interest during the three months ended October 31, 2002, was
$504,926.
9. SUBSEQUENT EVENT - DISTRIBUTIONS TO COMMON SHAREHOLDERS
The Fund declared a dividend distribution of $0.0470 per Common Share from its
net investment income which was paid on December 2, 2002, to shareholders of
record on November 15, 2002.
The Fund also declared a dividend distribution of $.0430 per Common Share from
its net investment income which was paid on December 30, 2002, to shareholders
of record on December 15, 2002.
10 SUBSEQUENT EVENT - ADVISER AND DISTRIBUTOR NAME CHANGE
Effective January 31, 2003, the Fund's Adviser changed its name from The John
Nuveen Company to Nuveen Investments, Inc. At the same time, the Fund's
Distributor changed its name from Nuveen Investments to Nuveen Investments, LLC.
Financial Highlights (Unaudited)
Selected data for a Common Share outstanding throughout each period:
Investment Operations Less Distributions
---------------------------------------------------------- ----------------------------------
Distributions
from Net Distributions From 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:
2003(b) $7.38 $ .15 $ (.44) $(.01) $ -- $(.30) $ (.14) $ -- $ (.14)
2002 8.13 .68 (.71) (.04) -- (.07) (.68) -- (.68)
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:
2003(b) $-- $6.94 $6.4200 (8.92)% (4.06)%
2002 -- 7.38 7.2000 (21.16) (.65)
2001 -- 8.13 9.9600 15.35 (3.30)
2000(a) (.03) 9.47 9.6250 3.21 6.20
=========================================================================================================
Ratios/Supplemental Data
-------------------------------------------------
Before Credit/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:
2003(b) $206,363 3.02%* 7.40%*
2002 219,459 3.12 8.20
2001 241,641 4.32 11.74
2000(a) 280,479 3.81* 9.82*
==============================================================================
Ratios/Supplemental Data
------------------------------------------
After Credit/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:
2003(b) 2.26%* 8.17%* 15%
2002 2.37 8.95 64
2001 3.62 12.44 52
2000(a) 3.21* 10.42* 40
=======================================================================
* Annualized.
** Total Investment Return on Market Values is the combination of reinvested
dividend income, reinvested capital gains 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
gains distributions, if any, and changes in Common Share net asset value
per share. Total returns are not annualized.
*** After custodian fee credit and expense waivers from the investment adviser,
where applicable.
+ 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 as
follows:
Ratio of
Interest
Expense
to Average
Net Assets
Applicable to
Common Shares
------------------
2003(b) .95%*
2002 1.09
2001 2.19
2000(a) 2.04*
(a) For the period October 29, 1999 (commencement of operations) through
July 31, 2000.
(b) For the three months ended October 31, 2002.
See accompanying notes to financial statements.