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)
Jessica R. Droeger—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: 10/31/05
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.
Item 1. Schedule of Investments
| Portfolio of Investments
(Unaudited) Nuveen Senior Income Fund (NSL) October 31, 2005 |
| Weighted Average Coupon |
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| Principal Amount (000) |
Stated Maturity* |
Ratings** | |||||||
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| Description(1) | Moody's | S&P | Value | ||||||
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| |||||||||
| VARIABLE RATE SENIOR LOAN INTERESTS(2) - 136.1% (85.0% of total investments) | |||||||||
| Aerospace & Defense - 2.4% (1.5% of total investments) | |||||||||
| $ | 2,993 | Mid-Western Aircraft Systems Inc., Term Loan B | 6.409 | % | 6/10/11 | B1 | BB- | $ | 3,034,769 |
| 2,437 | Vought Aircraft Industries, Inc., Term Loan | 6.590 | % | 12/22/11 | Ba3 | B+ | 2,464,943 | ||
| 545 | Vought Aircraft Industries, Inc., Tranche B, Letter of Credit | 6.364 | % | 12/22/10 | Ba3 | B+ | 552,358 | ||
|
| |||||||||
| 6,052,070 | |||||||||
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| |||||||||
| Airlines - 2.4% (1.5% of total investments) | |||||||||
| 5,925 | United Air Lines, Inc., DIP Term Loan (Tranche B) (b) | 7.960 | % | 3/31/06 | N/R | N/R | 5,997,272 | ||
|
| |||||||||
| Auto Components - 9.6% (6.0% of total investments) | |||||||||
| 2,343 | Accuride Corporation, Term Loan | 6.177 | % | 1/31/10 | B1 | B+ | 2,361,571 | ||
| 4,224 | Federal-Mogul Corporation, Term Loan A (b) | 6.330 | % | 2/24/04 | N/R | N/R | 3,979,381 | ||
| 5,551 | Federal-Mogul Corporation, Term Loan B (b) | 6.580 | % | 2/24/05 | N/R | N/R | 5,235,607 | ||
| 1,914 | GenTek Inc, Term Loan B | 6.605 | % | 12/31/10 | B2 | B+ | 1,928,840 | ||
| 2,000 | Goodyear Tire & Rubber Company, Second Lien Term Loan | 7.060 | % | 4/30/10 | B2 | B+ | 2,019,791 | ||
| 1,000 | Goodyear Tire & Rubber Company, Term Loan | 3.764 | % | 4/30/10 | B2 | BB | 1,008,929 | ||
| 3,046 | MetalForming Technologies, Inc., Term Loan A (a)(b) | 0.000 | % | 9/30/07 | N/R | N/R | 1,675,173 | ||
| 1,187 | MetalForming Technologies, Inc., Term Loan B (PIK) (a)(b) | 0.000 | % | 9/30/07 | N/R | N/R | 652,942 | ||
| 3,042 | Tenneco Automotive Inc., Term Loan B | 6.080 | % | 12/12/10 | B1 | B+ | 3,092,651 | ||
| 1,336 | Tenneco Automotive Inc., Term Loan B-1 | 5.943 | % | 12/12/10 | B1 | B+ | 1,358,547 | ||
| 723 | United Components, Inc., Term Loan C | 6.260 | % | 6/30/10 | B1 | BB- | 735,088 | ||
|
| |||||||||
| 24,048,520 | |||||||||
|
| |||||||||
| Beverages - 3.1% (2.0% of total investments) | |||||||||
| 1,957 | Constellation Brands, Inc., Term Loan | 5.659 | % | 11/30/11 | Ba2 | BB | 1,980,549 | ||
| 5,802 | Dr. Pepper/Seven UP Bottling Group, Inc., Term Loan B | 6.158 | % | 12/19/10 | N/R | N/R | 5,891,247 | ||
|
| |||||||||
| 7,871,796 | |||||||||
|
| |||||||||
| Building Products - 4.0% (2.5% of total investments) | |||||||||
| 2,995 | Euramax Holdings Inc., Term Loan B (d) | TBD | TBD | B2 | B+ | 2,973,607 | |||
| 1,980 | Nortek, Inc., Term Loan B | 5.915 | % | 8/27/11 | B2 | B | 2,003,265 | ||
| 2,485 | Stile Acquisition Corporation, Canadian Term Loan | 5.666 | % | 3/21/13 | B2 | BB- | 2,479,028 | ||
| 2,490 | Stile Acquisition Corporation, Term Loan B | 6.203 | % | 5/13/11 | B2 | BB- | 2,483,251 | ||
|
| |||||||||
| 9,939,151 | |||||||||
|
| |||||||||
| Chemicals - 5.3% (3.3% of total investments) | |||||||||
| 2,415 | Celanese Holdings LLC, Term Loan C | 6.313 | % | 4/06/11 | B1 | B+ | 2,453,220 | ||
| 876 | Huntsman International LLC, Term Loan | 5.720 | % | 8/16/12 | Ba3 | BB- | 881,518 | ||
| 3,980 | Mosaic Company, Term Loan | 5.232 | % | 2/21/12 | Ba2 | BB+ | 4,027,885 | ||
| 2,488 | PQ Corporation, Term Loan | 6.063 | % | 2/11/12 | B1 | B+ | 2,507,711 | ||
| 1,990 | Rockwood Specialties Group, Inc., Tranche D | 6.466 | % | 7/30/12 | B1 | B+ | 2,024,203 | ||
| 1,500 | Wellman, Inc., First Lien Term Loan | 7.710 | % | 2/10/09 | B1 | B+ | 1,528,750 | ||
|
| |||||||||
| 13,423,287 | |||||||||
|
| |||||||||
| Commercial Services & Supplies - 5.8% (3.6% of total investments) | |||||||||
| 3,000 | Acco Brands, Term Loan B | 5.726 | % | 8/17/10 | Ba3 | BB- | 3,037,875 | ||
| 1,472 | Allied Waste North America, Inc., Letter of Credit | 6.030 | % | 3/21/12 | B1 | BB | 1,481,330 | ||
| 3,895 | Allied Waste North America, Inc., Term Loan B | 6.038 | % | 3/12/21 | B1 | BB | 3,920,389 | ||
| 3,950 | National Equipment Services, Inc., Term Loan | 9.710 | % | 8/17/10 | B3 | B | 4,046,281 | ||
| 2,000 | Williams Scotsman, Inc., Term Loan B | 6.661 | % | 6/28/10 | B2 | BB | 2,026,250 | ||
| 14,512,125 | |||||||||
|
| |||||||||
| Construction & Engineering - 0.8% (0.5% of total investments) | |||||||||
| 2,000 | Maxim Crane Works, Term Loan C | 9.625 | % | 1/28/12 | N/R | N/R | 2,050,000 | ||
|
| |||||||||
| Containers & Packaging - 5.4% (3.4% of total investments) | |||||||||
| 4,963 | Graham Packaging Company, L.P., Term Loan B | 6.555 | % | 10/07/11 | B2 | B | 5,030,737 | ||
| 4,000 | Graham Packaging Company, L.P., Term Loan C | 8.250 | % | 3/15/12 | B2 | CCC+ | 4,080,000 | ||
| 437 | Smurfit-Stone Container Corporation, Deposit-Funded Commitment | 2.100 | % | 11/01/11 | Ba3 | BB- | 442,245 | ||
| 1,999 | Smurfit-Stone Container Corporation, Term Loan B | 5.722 | % | 11/01/11 | Ba3 | BB- | 2,024,741 | ||
| 540 | Smurfit-Stone Container Corporation, Term Loan C | 5.875 | % | 11/01/11 | Ba3 | BB- | 546,625 | ||
| 1,466 | United States Can Company, Term Loan B | 7.650 | % | 1/15/10 | B3 | B | 1,473,667 | ||
|
| |||||||||
| 13,598,015 | |||||||||
|
| |||||||||
| Diversified Telecommunication Services - 4.4% (2.7% of total investments) | |||||||||
| 3,000 | Fairpoint Communications, Inc., Term Loan | 5.813 | % | 2/15/12 | B1 | BB- | 3,034,125 | ||
| 1,985 | Intelsat, Ltd., Term Loan B | 5.813 | % | 7/06/11 | B1 | B | 2,005,678 | ||
| 800 | Qwest Corporation, Term Loan A | 8.530 | % | 6/30/07 | Ba3 | BB | 826,166 | ||
| 5,000 | Qwest Corporation, Term Loan B | 6.950 | % | 6/30/10 | Ba3 | BB | 5,010,938 | ||
| 5,000 | WCI Capital Corp., Term Loan B (a)(b) | 0.000 | % | 9/30/07 | N/R | N/R | 75,000 | ||
|
| |||||||||
| 10,951,907 | |||||||||
|
| |||||||||
| Electric Utilities - 1.4% (0.9% of total investments) | |||||||||
| 1,402 | Allegheny Energy Supply Company, LLC, Term Loan C | 5.788 | % | 3/08/11 | Ba2 | BB | 1,418,569 | ||
| 1,975 | Calpine Construction Finance Company, L.P., Term Loan B | 9.860 | % | 8/31/09 | N/R | B | 2,087,088 | ||
|
| |||||||||
| 3,505,657 | |||||||||
|
| |||||||||
| Electrical Equipment - 2.0% (1.2% of total investments) | |||||||||
| 3,000 | Mueller Group, Inc., Term Loan | 6.401 | % | 10/02/12 | B2 | B+ | 3,043,661 | ||
| 1,626 | Sensus Metering Systems Inc., Term Loan B-1 | 5.955 | % | 12/17/10 | B2 | B+ | 1,645,397 | ||
| 254 | Sensus Metering Systems Inc., Term Loan B-2 | 5.970 | % | 12/17/10 | B2 | B+ | 256,708 | ||
|
| |||||||||
| 4,945,766 | |||||||||
|
| |||||||||
| Food Products - 2.4% (1.5% of total investments) | |||||||||
| 5,000 | Dole Holding Company, LLC, Term Loan | 9.438 | % | 7/22/10 | B3 | BB | 5,156,250 | ||
| 913 | Michael Foods, Inc., Term Loan B | 5.187 | % | 11/20/10 | B1 | B+ | 928,154 | ||
|
| |||||||||
| 6,084,404 | |||||||||
|
| |||||||||
| Healthcare Equipment & Supplies - 0.7% (0.5% of total investments) | |||||||||
| 1,849 | Kinetic Concepts, Inc., Term Loan B-2 | 5.780 | % | 8/11/10 | Ba3 | BB | 1,871,565 | ||
|
| |||||||||
| Healthcare Providers & Services - 9.0% (5.6% of total investments) | |||||||||
| 5,376 | Community Health Systems, Inc., Term Loan | 5.610 | % | 8/19/11 | N/R | BB- | 5,450,175 | ||
| 5,000 | Davita Inc., Term Loan B | 6.379 | % | 7/01/12 | B1 | BB- | 5,079,860 | ||
| 1,975 | IASIS Healthcare LLC, Term Loan B | 6.304 | % | 6/22/11 | B1 | B+ | 2,004,420 | ||
| 2,154 | Psychiatric Solutions, Term Loan B | 5.730 | % | 6/30/12 | B1 | B+ | 2,179,423 | ||
| 2,985 | Select Medical Corporation, Term Loan | 5.571 | % | 2/24/12 | B1 | BB- | 2,990,389 | ||
| 4,970 | Vanguard Health Holding Company I, LLC, Term Loan | 6.211 | % | 9/23/11 | B2 | B | 5,041,444 | ||
|
| |||||||||
| 22,745,711 | |||||||||
|
| |||||||||
| Hotels, Restaurants & Leisure - 17.6% (11.1% of total investments) | |||||||||
| 5,000 | 24 Hour Fitness Worldwide, Inc., Term Loan B | 6.780 | % | 6/08/12 | B2 | B | 5,084,375 | ||
| 601 | Ameristar Casinos, Inc., Incremental Term Loan | 6.063 | % | 12/20/06 | Ba3 | BB+ | 604,647 | ||
| 1,768 | Ameristar Casinos, Inc., Term Loan B-1 | 6.063 | % | 12/20/06 | Ba3 | BB+ | 1,779,137 | ||
| 4,988 | Burger King Corporation, Term Loan B | 5.830 | % | 7/17/12 | Ba2 | B+ | 5,045,392 | ||
| 3,990 | CCM Merger, Inc., Term Loan B | 5.933 | % | 7/26/12 | B1 | B+ | 4,028,653 | ||
| 1,985 | Isle of Capri Casinos, Inc., Term Loan | 5.845 | % | 4/26/08 | Ba2 | BB- | 2,008,262 | ||
| 4,406 | Jack in the Box Inc., Term Loan | 5.569 | % | 1/09/10 | Ba2 | BB | 4,449,050 | ||
| 7,990 | OpBiz, LLC, Term Loan A | 5.305 | % | 8/31/10 | B3 | B- | 7,993,020 | ||
| 20 | OpBiz, LLC, Term Loan B (PIK) | 8.055 | % | 8/31/10 | B3 | B- | 19,899 | ||
| 4,000 | Penn National Gaming Inc., Term Loan B | 6.082 | % | 5/26/12 | Ba3 | BB- | 4,055,002 | ||
| 2,772 | Pinnacle Entertainment, Delayed Draw Term Loan | 7.044 | % | 12/17/08 | B1 | BB- | 2,807,098 | ||
| 2,210 | Pinnacle Entertainment, Term Loan B | 7.090 | % | 8/27/10 | B1 | BB- | 2,234,863 | ||
| 1,959 | Resorts International, Term Loan B | 10.270 | % | 3/03/12 | B2 | B | 1,962,089 | ||
| 427 | Venetian Casino Resort, LLC, Delayed Draw Term Loan | 5.770 | % | 6/15/11 | B1 | BB- | 431,390 | ||
| 2,073 | Venetian Casino Resort, LLC, Term Loan | 5.770 | % | 6/15/11 | B1 | BB- | 2,092,243 | ||
|
| |||||||||
| 44,595,120 | |||||||||
|
| |||||||||
| Household Durables - 3.3% (2.1% of total investments) | |||||||||
| 3,674 | Sealy Mattress Company, Term Loan D | 5.731 | % | 4/06/12 | B1 | B+ | 3,712,038 | ||
| 4,500 | Shea Homes, Term Loan (c) | TBD | TBD | N/R | N/R | 4,547,813 | |||
|
| |||||||||
| 8,259,851 | |||||||||
|
| |||||||||
| Household Products - 0.8% (0.5% of total investments) | |||||||||
| 1,970 | Prestige Brands, Inc., Term Loan B | 6.316 | % | 4/06/11 | B1 | B+ | 1,997,087 | ||
|
| |||||||||
| Independent Power Producers & Energy Traders - 0.4% (0.2% of total investments) | |||||||||
| 553 | Covanta Energy Corporation, Letter of Credit | 3.863 | % | 1/22/07 | B1 | B+ | 560,793 | ||
| 446 | Covanta Energy Corporation, Term Loan B | 6.961 | % | 5/23/12 | B1 | B+ | 452,448 | ||
|
| |||||||||
| 1,013,241 | |||||||||
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| |||||||||
| Insurance - 2.3% (1.4% of total investments) | |||||||||
| 5,586 | Conseco, Inc., Term Loan | 5.970 | % | 6/22/10 | B2 | BB- | 5,659,316 | ||
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| |||||||||
| IT Services - 3.8% (2.4% of total investments) | |||||||||
| 4,413 | Fidelity National, Term Loan B | 5.685 | % | 3/09/13 | Ba3 | BB | 4,432,791 | ||
| 4,988 | SunGard Data Systems Inc., Term Loan B | 6.280 | % | 1/25/13 | B1 | B+ | 5,037,091 | ||
|
| |||||||||
| 9,469,882 | |||||||||
|
| |||||||||
| Leisure Equipment & Products - 0.4% (0.2% of total investments) | |||||||||
| 1,000 | Mega Bloks, Term Loan B | 5.885 | % | 9/30/10 | Ba3 | BB- | 1,013,438 | ||
|
| |||||||||
| Machinery - 1.2% (0.7% of total investments) | |||||||||
| 1,099 | Dresser-Rand Group Inc., Term Loan | 6.047 | % | 10/10/10 | B1 | B+ | 1,117,937 | ||
| 1,830 | Rexnord Corporation, Replacement Term Loan | 6.151 | % | 12/31/11 | B1 | B+ | 1,854,040 | ||
|
| |||||||||
| 2,971,977 | |||||||||
|
| |||||||||
| Media - 24.3% (15.2% of total investments) | |||||||||
| 6,209 | American Media Operations, Inc., Term Loan C | 6.813 | % | 4/01/07 | B1 | B | 6,284,290 | ||
| 6,000 | Century Cable Holdings, LLC, Discretionary Term Loan (b) | 8.750 | % | 12/31/09 | N/R | N/R | 5,948,250 | ||
| 1,640 | Century Cable Holdings, LLC, Revolver (b)(e) | 7.750 | % | 10/25/10 | N/R | N/R | 1,613,350 | ||
| 2,000 | Century Cable Holdings, LLC, Revolver (b)(e) | 7.750 | % | 10/25/10 | N/R | N/R | 1,967,500 | ||
| 4,931 | Charter Communications Operating, LLC, Term Loan B | 7.500 | % | 4/07/11 | B2 | B | 4,950,066 | ||
| 2,294 | Dex Media East, LLC, Term Loan B | 5.781 | % | 11/10/08 | Ba2 | BB | 2,307,118 | ||
| 4,420 | Dex Media West, LLC, Term Loan B | 5.734 | % | 3/09/10 | Ba2 | BB | 4,446,871 | ||
| 1,985 | Emmis Operating Company, Term Loan | 5.720 | % | 11/10/11 | Ba2 | B+ | 2,001,252 | ||
| 1,044 | Gray Television, Inc., Term Loan B | 5.350 | % | 12/31/10 | Ba2 | BB- | 1,049,860 | ||
| 5,000 | Metro-Goldwyn-Mayer Studios, Inc., Term Loan B | 6.270 | % | 4/12/12 | N/R | N/R | 5,048,438 | ||
| 6,000 | PRIMEDIA Inc., Term Loan | 6.114 | % | 9/30/13 | N/R | B | 5,881,875 | ||
| 4,337 | R.H. Donnelley Inc., Tranche D | 5.696 | % | 6/30/11 | Ba3 | BB | 4,371,351 | ||
| 2,985 | Rainbow Media Holdings LLC, Term Loan | 6.438 | % | 3/31/12 | B1 | BB+ | 3,015,783 | ||
| 4,656 | Regal Cinemas Corporation, Term Loan | 6.020 | % | 11/10/10 | Ba3 | BB- | 4,709,961 | ||
| 1,728 | Sun Media Corporation, Term Loan B | 6.243 | % | 2/07/09 | Ba2 | BB | 1,747,044 | ||
| 3,000 | UPC Financing Partnership, Term Loan H2 | 6.804 | % | 9/30/12 | B1 | B | 3,029,219 | ||
| 2,953 | WMG Acquisition Corp., Term Loan | 5.847 | % | 2/27/11 | B1 | B+ | 2,986,093 | ||
|
| |||||||||
| 61,358,321 | |||||||||
|
| |||||||||
| Metals & Mining - 2.0% (1.2% of total investments) | |||||||||
| 4,951 | Amsted Industries Incorporated, Term Loan B | 6.623 | % | 10/15/10 | B1 | BB- | 5,020,689 | ||
|
| |||||||||
| Multi-Utilities - 1.6% (1.0% of total investments) | |||||||||
| 875 | NRG Energy, Inc., Credit-Linked Deposit | 3.920 | % | 12/24/11 | Ba3 | BB | 881,198 | ||
| 1,117 | NRG Energy, Inc., Term Loan | 5.895 | % | 12/20/11 | Ba3 | BB | 1,124,471 | ||
| 1,985 | Reliant Energy, Inc., Term Loan | 6.112 | % | 4/30/10 | B1 | B+ | 1,993,684 | ||
|
| |||||||||
| 3,999,353 | |||||||||
|
| |||||||||
| Oil, Gas & Consumable Fuels - 2.0% (1.2% of total investments) | |||||||||
| 800 | Coffeyville Resources LLC, Letter of Credit | 6.563 | % | 6/24/12 | B1 | BB- | 814,000 | ||
| 1,197 | Coffeyville Resources LLC, Term Loan B | 6.566 | % | 6/24/12 | B1 | BB- | 1,217,948 | ||
| 1,125 | El Paso Corporation, Deposit-Funded Commitment | 3.764 | % | 11/23/09 | B3 | B | 1,133,359 | ||
| 1,845 | El Paso Corporation, Term Loan | 6.813 | % | 11/23/09 | B3 | B | 1,861,016 | ||
|
| |||||||||
| 5,026,323 | |||||||||
|
| |||||||||
| Paper & Forest Products - 1.7% (1.1% of total investments) | |||||||||
| 1,195 | Boise Cascade Holdings, LLC, Term Loan D | 5.790 | % | 3/29/11 | Ba3 | BB | 1,213,123 | ||
| 2,993 | NewPage Corporation, Term Loan B | 6.788 | % | 5/22/11 | B1 | B | 3,022,425 | ||
|
| |||||||||
| 4,235,548 | |||||||||
|
| |||||||||
| Pharmaceuticals - 0.8% (0.5% of total investments) | |||||||||
| 1,990 | Talecris Biotherapeutics Inc., Term Loan B | 7.090 | % | 3/31/10 | N/R | N/R | 1,994,975 | ||
|
| |||||||||
| Real Estate - 6.3% (3.9% of total investments) | |||||||||
| 1,781 | General Growth Properties, Inc., Term Loan A | 5.610 | % | 10/28/04 | Ba2 | BB+ | 1,790,334 | ||
| 4,968 | General Growth Properties, Inc., Term Loan B | 6.090 | % | 11/12/08 | Ba2 | BB+ | 5,028,605 | ||
| 937 | Lion Gables, Term Loan | 5.630 | % | 9/30/06 | N/R | BB+ | 942,407 | ||
| 4,900 | LNR Property Corp., Term Loan | 6.731 | % | 2/03/08 | B2 | B+ | 4,939,661 | ||
| 3,000 | LNR Property Corp., Mezzanine Term Loan B | 8.977 | % | 2/03/08 | B2 | B+ | 3,015,938 | ||
|
| |||||||||
| 15,716,945 | |||||||||
|
| |||||||||
| Specialty Retail - 4.5% (2.8% of total investments) | |||||||||
| 1,363 | Micro Warehouse, Inc., Term Loan B (a)(b) | 0.000 | % | 1/30/07 | N/R | N/R | 40,889 | ||
| 2,993 | Movie Gallery Inc., Term Loan B | 7.830 | % | 4/01/11 | B2 | B | 2,932,961 | ||
| 4,060 | Norwood Promotional Products, Inc., Term Loan A | 10.125 | % | 8/16/09 | N/R | N/R | 4,120,531 | ||
| 5,362 | Norwood Promotional Products, Inc., Term Loan B | 1.000 | % | 8/16/11 | N/R | N/R | 2,077,921 | ||
| 2,000 | TravelCenters of America Inc., Term Loan | 5.710 | % | 6/30/11 | B1 | BB | 2,023,750 | ||
|
| |||||||||
| 11,196,052 | |||||||||
|
| |||||||||
| Textiles, Apparel & Luxury Goods - 3.6% (2.3% of total investments) | |||||||||
| 5,225 | Jostens IH Corp., Term Loan C | 5.943 | % | 7/29/10 | B1 | B+ | 5,312,357 | ||
| 3,750 | William Carter Company, Term Loan B | 5.718 | % | 7/17/12 | B1 | BB | 3,800,391 | ||
|
| |||||||||
| 9,112,748 | |||||||||
|
| |||||||||
| Trading Companies & Distributors - 0.8% (0.5% of total investments) | |||||||||
| 2,000 | Ashtead Group Public Limited Company, Term Loan | 6.063 | % | 11/12/09 | N/R | BB | 2,021,663 | ||
|
| |||||||||
| Total Variable Rate Senior Loan Interests (cost $349,113,423) | 342,259,775 | ||||||||
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| Principal Amount (000) |
Stated Maturity |
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| Ratings** | |||||||||
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| Description(1) | Coupon | Moody's | S&P | Value | |||||
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| |||||||||
| CORPORATE BONDS - 16.3% (10.2% of total investments) | |||||||||
| Hotels, Restaurants & Leisure - 7.2% (4.6% of total investments) | |||||||||
| $ | 5,350 | Mandalay Resort Group | 6.450 | % | 2/01/06 | Ba2 | BB+ | 5,390,125 | |
| 1,500 | MGM Grand | 7.250 | % | 10/15/06 | Ba1 | BB+ | 1,526,250 | ||
| 7,000 | MGM Mirage | 9.750 | % | 6/01/07 | Ba2 | BB- | 7,385,000 | ||
| 1,443 | Park Place Entertainment | 7.875 | % | 12/15/05 | Ba2 | BB- | 1,450,215 | ||
| 2,400 | Park Place Entertainment | 8.875 | % | 9/15/08 | Ba2 | BB- | 2,586,000 | ||
|
| |||||||||
| 18,337,590 | |||||||||
|
| |||||||||
| Household Durables - 1.2% (0.7% of total investments) | |||||||||
| 3,000 | Standard Pacific Corporation | 6.500 | % | 10/01/08 | Ba2 | BB | 2,955,000 | ||
|
| |||||||||
| Machinery - 0.8% (0.5% of total investments) | |||||||||
| 2,000 | Navistar International, Series B | 9.375 | % | 6/01/06 | Ba3 | BB- | 2,045,000 | ||
|
| |||||||||
| Media - 4.4% (2.7% of total investments) | |||||||||
| 1,930 | AMC Entertainment | 9.875 | % | 2/01/12 | B3 | CCC+ | 1,852,800 | ||
| 2,000 | Cablevision Systems Corp. Floating Rate Note, 4.500% plus six-month LIBOR | 8.966 | % | 4/01/09 | B3 | B+ | 2,055,000 | ||
| 4,500 | Emmis Operating Company, Floating Rate Note, 5.875% plus three-month LIBOR, 144A | 10.135 | % | 6/15/12 | B3 | B- | 4,533,750 | ||
| 2,500 | PRIMEDIA Inc., Floating Rate Note, 5.375% plus three-month LIBOR | 9.635 | % | 5/15/10 | B3 | B | 2,518,750 | ||
|
| |||||||||
| 10,960,300 | |||||||||
|
| |||||||||
| Oil, Gas & Consumable Fuels - 2.7% (1.7% of total investments) | |||||||||
| 6,417 | Tesoro Petroleum Corporation | 8.000 | % | 4/15/08 | Ba2 | BBB- | 6,705,765 | ||
|
| |||||||||
| Total Corporate Bonds (cost $41,615,512) | 41,003,655 | ||||||||
|
| |||||||||
| Shares (000) | Description(1) | Value | |||||||
|
| |||||||||
| EQUITIES - 0.0% (0.0% of total investments) | |||||||||
| Auto Components - 0.0% (0.0% of total investments) | |||||||||
| 280 | MetalForming Technologies, Inc. (b) (f) | — | |||||||
|
| |||||||||
| Total Equities (cost $0) | — | ||||||||
|
| |||||||||
| WARRANTS - 0.0% (0.0% of total investments) | |||||||||
| Multi-Utilities - 0.0% (0.0% of total investments) | |||||||||
| 6 | Reliant Energy, Inc. | 46,284 | |||||||
|
| |||||||||
| Total Warrants (cost $40,254) | 46,284 | ||||||||
|
| |||||||||
| Principal Amount (000) |
|||||||||
| Description(1) | Value | ||||||||
|
| |||||||||
| REPURCHASE AGREEMENTS - 7.8% (4.8% total investments) | |||||||||
| State Street Bank, 3.730%, dated 10/31/05, due 11/01/05, repurchase price $19,506,655 | |||||||||
| $ | 19,505 | collateralized by $15,965,000 U.S. Treasury Bonds, 7.250%, due 5/15/16, value $19,896,605 | 19,504,634 | ||||||
|
|
| ||||||||
| Total Repurchase Agreements (cost $19,504,634) | 19,504,634 | ||||||||
|
| |||||||||
| Total Investments (cost $410,273,823) - 160.2% | 402,814,348 | ||||||||
|
| |||||||||
| Borrowings Payable - (41.0)%† | (103,000,000) | ||||||||
|
| |||||||||
| Other Assets Less Liabilities - (0.9)% | (2,431,285) | ||||||||
|
| |||||||||
| Preferred Shares, at Liquidation Value (18.3)% | (46,000,000) | ||||||||
|
| |||||||||
| Net Assets Applicable to Common Shares - 100% | $ | 251,383,063 | |||||||
|
|
|
| |||||||
| (1 | ) | All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares |
| unless otherwise noted. | ||
| (2 | ) | Senior Loans in which the Fund invests generally pay interest at rates which are periodically adjusted by |
| reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates | ||
| are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate ("LIBOR"), or (ii) the | ||
| prime rate offered by one or more major United States banks. | ||
| The Fund did not have any unfunded loan commitments at October 31, 2005. | ||
| 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. | ||
| * | 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. | ||
| ** | Ratings below Baa by Moody’s Investor Service, Inc. or BBB by Standard & Poor’s Group are considered to | |
| be below investment grade. | ||
| (a) | At or subsequent to October 31, 2005, this issue was non-income producing. | |
| (b) | At or subsequent to October 31, 2005, this issue was under the protection of the Federal Bankruptcy Court. | |
| (c) | Investment purchased on a when-issued or delayed delivery basis. | |
| (d) | Portion of investment purchased on a when-issued or delayed delivery basis. | |
| (e) | Position represents a participation commitment outstanding at October 31, 2005. The Fund had | |
| the following participation commitments outstanding at October 31, 2005: |
| Commitment | ||||
| Counterparty | Amount | Value | ||
|
| ||||
| Morgan Stanley | $ | 1,640,000 | $ | 1,613,350 |
| Bear, Stearns & Co., Inc. | 2,000,000 | 1,967,500 | ||
|
| ||||
| (f) | Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board | |
| of Trustees. | ||
| 144 | A | Securities are exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These |
| securities may only be resold in transactions exempt from registration which are normally those transactions | ||
| with qualified institutional buyers. | ||
| TBD | Senior Loan purchased on a when-issued or delayed delivery basis. Certain details associated with this | |
| purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically | ||
| trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. | ||
| At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final weighted | ||
| average coupon rate and maturity date. | ||
| (PIK) | In lieu of cash payment, interest accrued on “Payment in Kind” investment increases principal outstanding. | |
| N/R | Investment is not rated. | |
| † | Borrowings payable as a percentage of total investments is (25.6%). |
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 timing differences in recognizing certain gains and losses on investment transactions.
At October 31, 2005, the cost of investments was $410,273,823.
Gross unrealized appreciation and gross unrealized depreciation of investments at October 31, 2005, were as follows:
|
|
|
|
|
| Gross unrealized: | |||
| Appreciation | $ | 4,919,445 | |
| Depreciation | (12,378,920 | ) | |
|
| |||
| Net unrealized appreciation (depreciation) of investments | $ | (7,459,475 | ) |
|
|
|
|
|
Item 2. Controls and Procedures.
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.
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/ Jessica R. Droeger
Jessica R. Droeger
Vice President and Secretary
Date 12/29/05
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 12/29/05
By (Signature and Title)* /s/ Stephen D. Foy
Stephen D. Foy
Vice President and Controller (principal financial
officer)
Date 12/29/05
* Print the name and title of each signing officer under his or her signature.