nvq
Table of Contents

 
 
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811 - 09571
Nuveen Senior Income Fund
(Exact name of registrant as specified in charter)
     333 West Wacker Drive, Chicago, Illinois 60606     
(Address of principal executive offices) (Zip code)
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:    4/30/06   
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
 
 

 

TABLE OF CONTENTS

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

Table of Contents

Item 1. Schedule of Investments
     
 
Portfolio of Investments (Unaudited)

Nuveen Senior Income Fund (NSL)
April 30, 2006		  
                                         
            Weighted                  
Principal         Average                  
Amount (000)     Description (1)   Coupon   Maturity (3)     Ratings (4)     Value  
 
       
 
                                
       
Variable Rate Senior Loan Interests - 149.8% (91.7% of Total Investments) (2)
                                
       
 
                                
       
Aerospace & Defense - 2.4% (1.5% of Total Investments)
                                
       
 
                                
$ 2,978    
Mid-Western Aircraft Systems Inc., Term Loan B
     7.318 %     12/31/11       B1     $ 3,029,142  
  2,426    
Vought Aircraft Industries, Inc., Term Loan
     7.500 %     12/22/11       B+       2,451,063  
  545    
Vought Aircraft Industries, Inc., Tranche B, Letter of Credit
     7.329 %     12/22/10       B+       552,955  
 
  5,949    
Total Aerospace & Defense
                             6,033,160  
 
       
 
                                
       
Airlines - 2.4% (1.5% of Total Investments)
                                
       
 
                                
  750    
United Air Lines, Delayed Draw Term Loan, (5)
     8.750 %     2/01/12       B+       762,000  
  5,250    
United Air Lines, Term Loan B, (5)
     8.625 %     2/12/12       B+       5,334,000  
 
  6,000    
Total Airlines
                             6,096,000  
 
       
 
                                
       
Auto Components - 9.5% (5.8% of Total Investments)
                                
       
 
                                
  2,262    
Accuride Corporation, Term Loan
     6.938 %     1/31/12       B+       2,292,688  
  1,000    
Dana Corporation, DIP Term Loan B
     7.220 %   3/30/08       B3       1,009,063  
  4,224    
Federal-Mogul Corporation, Term Loan A, (5)
     7.250 %     2/24/04       N/R       4,157,603  
  5,551    
Federal-Mogul Corporation, Term Loan B, (5)
     7.500 %     2/24/05       N/R       5,477,871  
  1,879    
Gen Tek Inc., Term Loan B
     7.062 %     12/31/10       B2       1,892,309  
  2,000    
Goodyear Tire & Rubber Company, Second Lien Term Loan
     7.954 %     4/30/10       B2       2,030,625  
  1,000    
Goodyear Tire & Rubber Company, Term Loan
     3.764 %     4/30/10       B3       1,010,179  
  2,086    
Metalforming Technologies, Inc., Term Loan A, (5) (6)
     0.000 %     9/30/07       N/R       573,641  
  811    
Metalforming Technologies, Inc., Term Loan B, (PIK) (5) (6)
     0.000 %     9/30/07       N/R       223,096  
  3,042    
Tenneco Automotive Inc., Term Loan B
     6.770 %     12/12/10       B1       3,088,943  
  1,336    
Tenneco Automotive Inc., Term Loan B-1
     6.826 %     12/12/10       B1       1,356,918  
  723    
United Components, Inc., Term Loan C
     7.220 %     6/30/10       B1       729,210  
 
  25,914    
Total Auto Components
                             23,842,146  
 
       
 
                                
       
Beverages - 3.1% (1.9% of Total Investments)
                                
       
 
                                
  1,957    
Constellation Brands, Inc., Term Loan
     6.361 %     11/30/11     BB       1,973,700  
  5,802    
Dr Pepper/Seven Up Bottling Group, Inc., Term Loan B
     6.929 %     12/19/10       N/R       5,851,358  
 
  7,759    
Total Beverages
                             7,825,058  
 
       
 
                                
       
Building Products - 4.9% (3.0% of Total Investments)
                                
       
 
                                
  2,553    
Euramax Holdings Inc., Term Loan B
     7.688 %     6/21/12       B2       2,590,102  
  1,970    
Nortek, Inc., Term Loan B
     6.695 %     8/27/11       B       1,988,161  
  3,000    
Stile Acquisition Corporation, Canadian Bridge Loan, WI/DD
   TBD     TBD       B2       2,835,000  
  2,473    
Stile Acquisition Corporation, Canadian Term Loan
     7.106 %     4/08/13       B2       2,458,984  
  2,477    
Stile Acquisition Corporation, Term Loan B
     7.106 %     4/08/13       B2       2,463,173  
 
  12,473    
Total Building Products
                             12,335,420  
 
       
 
                                
       
Capital Markets - 0.8% (0.5% of Total Investments)
                                
       
 
                                
  2,000    
Ameritrade Holdings Corporation, Term Loan
     6.490 %     12/31/12     BB       2,010,250  
 
       
 
                                
       
Chemicals - 5.2% (3.2% of Total Investments)
                                
       
 
                                
  2,403    
Celanese Holdings LLC, Term Loan C
     6.979 %     4/06/11       B+       2,441,870  
  1,007    
Huntsman International LLC, Term Loan
     6.679 %     8/16/12     BB-       1,013,561  
  2,000    
ISP Chemco Inc., Term Loan
     6.500 %     2/16/13     BB-       2,018,438  
  3,960    
Mosaic Company, Term Loan
     6.193 %     2/21/12     Ba2       4,000,095  
  1,980    
Rockwood Specialties Group, Inc., Term Loan E
     7.126 %     7/30/12       B+       2,007,535  
  1,500    
Wellman Inc., First Lien Term Loan
     8.680 %     2/10/09       B+       1,522,500  
 
  12,850    
Total Chemicals
                             13,003,999  
 
       
 
                                
       
Commercial Services & Supplies - 6.0% (3.7% of Total Investments)
                                
       
 
                                
  2,775    
Acco Brands, Term Loan B
     6.674 %     8/17/12     BB-       2,801,016  
  1,472    
Allied Waste North America, Inc., Letter of Credit
     5.750 %     3/21/12       B1       1,478,390  
  3,790    
Allied Waste North America, Inc., Term Loan B
     6.759 %     1/15/12       B1       3,809,228  
  3,930    
National Equipment Services, Inc., Term Loan
     10.498 %     8/17/10       B3       3,984,038  
  2,000    
Williams Scotsman, Inc., Term Loan B
     7.126 %     6/28/10       B2       2,018,750  
  988    
Workflow Management, Inc., Term Loan
     9.126 %     11/30/11       B2       989,969  
 
  14,955    
Total Commercial Services & Supplies
                             15,081,391  
 
       
 
                                
       
Construction & Engineering - 0.8% (0.5% of Total Investments)
                                
       
 
                                
  1,916    
Maxim Crane Works, Term Loan
     6.936 %     2/23/10       B-       1,944,023  
 
       
 
                                
       
Containers & Packaging - 4.4% (2.7% of Total Investments)
                                
       
 
                                
  4,938    
Graham Packaging Company, L.P., Term Loan B
     7.108 %     10/07/11       B       4,999,732  
  2,857    
Graham Packaging Company, L.P., Term Loan C
     9.250 %     3/15/12     CCC+       2,930,357  
  437    
Smurfit-Stone Container Corporation, Deposit-Funded Commitment
     2.350 %     11/01/11       B+       443,009  
  1,804    
Smurfit-Stone Container Corporation, Term Loan B
     7.193 %     11/01/11       B+       1,829,997  
  537    
Smurfit-Stone Container Corporation, Term Loan C
     7.125 %     11/01/11       B+       544,711  
  192    
Smurfit-Stone Container Corporation, Tranche C-1
     7.125 %     11/01/11       B+       194,811  
 
  10,765    
Total Containers & Packaging
                             10,942,617  
 
       
 
                                
       
Diversified Telecommunication Services - 3.2% (2.0% of Total Investments)
                                
       
 
                                
  1,975    
Intelsat, Ltd., Term Loan B
     6.750 %     7/06/11       B       1,994,134  
  800    
Qwest Corporation, Term Loan A
     9.651 %     6/30/07     Ba3       820,334  
  5,000    
Qwest Corporation, Term Loan B
     6.950 %     6/30/10     Ba3       5,094,270  
  5,000    
WCI Capital Corporation, Term Loan B, (5) (6)
     0.000 %     9/30/07       N/R       187,500  
 
  12,775    
Total Diversified Telecommunication Services
                             8,096,238  
 
       
 
                                
       
Electric Utilities - 0.9% (0.6% of Total Investments)
                                
       
 
                                
  1,357    
Allegheny Energy Supply Company, LLC, Term Loan C
     6.342 %     3/08/11     Ba2       1,361,228  
  178    
Astoria Generating Company, Letter of Credit
     6.940 %     2/23/13       B1       180,034  
  822    
Astoria Generating Company, Term Loan B
     6.940 %     2/23/13       B1       833,300  
 
  2,357    
Total Electric Utilities
                             2,374,562  
 
       
 
                                
       
Electrical Equipment - 1.9% (1.2% of Total Investments)
                                
       
 
                                
  2,985    
Mueller Group, Inc., Term Loan
     7.263 %     10/03/12       B+       3,028,970  
  1,583    
Sensus Metering Systems Inc., Term Loan B-1
     7.429 %     12/17/10       B2       1,600,413  
  210    
Sensus Metering Systems Inc., Term Loan B-2
     7.351 %     12/17/10       B2       212,582  
 
  4,778    
Total Electrical Equipment
                             4,841,965  
 
       
 
                                
       
Electronic Equipment & Instruments - 0.8% (0.5% of Total Investments)
                                
       
 
                                
  2,000    
Sensata Technologies B.V., Term Loan, WI/DD
   TBD     TBD       B1       2,013,438  
 
       
 
                                
       
Food Products - 4.4% (2.7% of Total Investments)
                                
       
 
                                
  465    
Dole Foods Company Inc., Deposit-Funded Commitment
     4.920 %   4/12/13     BB-       465,795  
  1,047    
Dole Foods Company Inc., Term Loan B
     6.808 %   4/12/13     BB-       1,048,038  
  3,488    
Dole Foods Company Inc., Term Loan C
     6.724 %   4/12/13       B+       3,493,460  
  5,000    
Dole Holding Company, LLC, Term Loan
     9.938 %     7/21/10       B3       5,159,375  
  975    
Michael Foods, Inc., Term Loan B
     6.698 %     11/20/10       B+       987,849  
 
  10,975    
Total Food Products
                             11,154,517  
 
       
 
                                
       
Health Care Equipment & Supplies - 0.6% (0.4% of Total Investments)
                                
       
 
                                
  1,541    
Kinetic Concepts, Inc., Term Loan B-2
     6.730 %     8/11/10     Ba3       1,560,468  
 
       
 
                                
       
Health Care Providers & Services - 12.1% (7.4% of Total Investments)
                                
       
 
                                
  5,349    
Community Health Systems, Inc., Term Loan
     6.560 %     8/19/11     BB-       5,405,935  
  4,900    
Davita Inc., Term Loan B
     6.933 %     10/05/12       B1       4,958,951  
  2,000    
Fresenius Medical Care AG & Co. KGaA, Term Loan
     6.384 %     3/31/13     BB       2,004,167  
  2,000    
HealthSouth Corporation, Term Loan
     8.150 %     3/10/13       B2       2,024,464  
  1,965    
IASIS Healthcare LLC, Term Loan B
     7.264 %     6/22/11       B+       1,993,247  
  3,980    
LifeCare Holdings Inc., Term Loan B
     7.070 %     8/11/12       B       3,786,805  
  2,154    
Psychiatric Solutions Inc., Term Loan B
     6.360 %     7/01/12       B+       2,184,808  
  2,970    
Select Medical Corporation, Term Loan
     6.524 %     2/24/12       B1       2,948,549  
  4,945    
Vanguard Health Holding Company, LLC, Replacement Term Loan
     6.950 %     9/23/11       B       5,013,951  
 
  30,263    
Total Health Care Providers & Services
                             30,320,877  
 
       
 
                                
       
Hotels, Restaurants & Leisure - 16.8% (10.3% of Total Investments)
                                
       
 
                                
  5,000    
24 Hour Fitness Worldwide, Inc., Term Loan B
     7.850 %     6/08/12       B       5,070,835  
  1,806    
Ameristar Casinos, Inc., Term Loan B
     6.500 %     10/06/12     Ba3       1,823,195  
  3,970    
CCM Merger, Inc., Term Loan B
     6.924 %     7/26/12       B+       4,002,264  
  2,700    
Hilton Hotels Corporation, Term Loan B
     6.247 %     2/27/13     Ba2       2,714,850  
  1,975    
Isle of Capri Casinos, Inc., Term Loan
     6.764 %     4/26/08     BB-       2,002,403  
  4,384    
Jack in the Box Inc., Term Loan
     6.519 %     1/08/11     BB       4,432,347  
  7,981    
OpBiz, LLC, Term Loan A
     7.990 %     8/31/10       B-       7,820,960  
  21    
OpBiz, LLC, Term Loan B (PIK)
     8.990 %     8/31/10       B-       20,571  
  3,980    
Penn National Gaming, Inc., Term Loan B
     6.662 %     10/03/12     BB       4,036,592  
  2,000    
Pinnacle Entertainment Inc., Term Loan
     6.930 %     12/14/11       B1       2,018,125  
  1,949    
Resorts International Hotel and Casino Inc., Term Loan B
     8.980 %     4/26/12     CCC+       1,973,593  
  3,634    
Resorts International Hotel and Casino Inc., Term Loan C
     15.979 %     3/31/13     CCC-       3,691,764  
  427    
Venetian Casino Resort, LLC, Delayed Draw Term Loan
     6.730 %     6/15/11     BB-       432,392  
  2,073    
Venetian Casino Resort, LLC, Term Loan
     6.730 %     6/15/11     BB-       2,097,101  
 
  41,900    
Total Hotels, Restaurants & Leisure
                             42,136,992  
 
       
 
                                
       
Household Durables - 4.6% (2.8% of Total Investments)
                                
       
 
                                
  5,000    
Armstrong Holdings Inc., Revolver, (5) (6)
     0.000 %     7/31/06       Caa3       3,640,000  
  3,307    
Sealy Mattress Company, Term Loan D
     6.623 %     4/06/12       B+       3,349,617  
  4,500    
Shea Homes Inc., Term Loan
     6.690 %     10/27/11     BB-       4,477,500  
 
  12,807    
Total Household Durables
                             11,467,117  
 
       
 
                                
       
Household Products - 1.6% (1.0% of Total Investments)
                                
       
 
                                
  1,960    
Prestige Brands, Inc., Term Loan B
     7.235 %     4/06/11       B+       1,986,541  
  2,000    
Spectrum Brands, Term Loan, WI/DD
   TBD     TBD       B-       2,015,000  
 
  3,960    
Total Household Products
                             4,001,541  
 
       
 
                                
       
Independent Power Producers & Energy Traders - 0.4% (0.2% of Total Investments)
                          
       
 
                                
  520    
Covanta Energy Corporation, Letter of Credit
     7.960 %     6/24/12       B+       528,455  
  373    
Covanta Energy Corporation, Term Loan B
     7.961 %     6/24/12       B-       378,692  
 
  893    
Total Independent Power Producers & Energy Traders
                             907,147  
 
       
 
                                
       
Industrial Conglomerates - 0.4% (0.2% of Total Investments)
                                
       
 
                                
  971    
Covalence Specialty Materials Corporation, Term Loan B
     6.688 %     2/16/13       B+       982,054  
 
       
 
                                
       
Insurance - 2.4% (1.5% of Total Investments)
                                
       
 
                                
  5,989    
Conseco, Inc., Term Loan
     6.651 %     6/22/10     BB-       6,044,357  
 
       
 
                                
       
IT Services - 3.0% (1.8% of Total Investments)
                                
       
 
                                
  2,393    
Fidelity National Information Services, Term Loan B
     6.602 %     3/09/13     BB+       2,411,331  
  4,963    
SunGard Data Systems Inc., Term Loan B
     7.215 %     2/11/13       B+       5,025,861  
 
  7,356    
Total IT Services
                             7,437,192  
 
       
 
                                
       
Leisure Equipment & Products - 0.4% (0.2% of Total Investments)
                                
       
 
                                
  993    
Mega Bloks, Term Loan B
     6.911 %     7/26/12     BB-       1,001,805  
 
       
 
                                

Table of Contents

                                         
       
Machinery - 1.0% (0.6% of Total Investments)
                                
       
 
                                
  760    
Dresser-Rand Group, Inc., Term Loan
     6.924 %     10/10/10       B+       773,472  
  1,734    
Rexnord Corporation, Replacement Term Loan
     7.108 %     12/31/11       B+       1,755,727  
 
  2,494    
Total Machinery
                             2,529,199  
 
       
 
                                
       
Media - 27.4% (16.8% of Total Investments)
                                
       
 
                                
  4,500    
American Media Operations, Inc., Term Loan
     8.120 %     1/30/13       B       4,557,938  
  1,844    
Blockbuster, Inc., Term Loan B
     8.732 %     8/20/11       B-       1,845,701  
  5,000    
Cablevision Systems Corporation, Incremental Term Loan
     6.664 %     3/24/13     Ba3       5,027,603  
  6,000    
Century Cable Holdings LLC, Discretionary Term Loan, (5)
     8.750 %     12/31/09       N/R       5,862,000  
  1,640    
Century Cable Holdings LLC, Revolver, (5) (7)
     8.750 %     10/25/10       N/R       1,588,067  
  2,000    
Century Cable Holdings LLC, Revolver, (5) (7)
     8.750 %     10/25/10       N/R       1,936,667  
  4,906    
Charter Communications Inc., Term Loan, WI/DD
   TBD     TBD       B       4,932,583  
  2,246    
Dex Media East LLC, Term Loan B
     6.340 %     11/10/08     BB       2,258,356  
  4,172    
Dex Media West, LLC, Term Loan B
     6.415 %     3/09/10     BB       4,196,834  
  863    
Emmis Operating Company, Term Loan
     6.718 %     11/10/11       B+       869,409  
  1,995    
Gray Television, Inc., Term Loan B
     6.490 %     11/22/12     BB-       2,008,716  
  5,000    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B
     7.229 %     4/08/12       B+       5,060,938  
  5,970    
Primedia Inc., Term Loan
     7.090 %     9/30/13       N/R       5,920,249  
  4,315    
R. H. Donnelley Inc., Tranche D
     6.441 %     6/30/11     Ba3       4,338,278  
  2,970    
Rainbow Media Holdings LLC, Term Loan
     7.563 %     3/31/12     Ba3       3,007,434  
  4,632    
Regal Cinemas Corporation, Term Loan
     6.479 %     11/10/10     BB-       4,667,741  
  1,718    
Sun Media Corporation, Term Loan B
     6.418 %     2/07/09     BB       1,735,142  
  1,500    
UPC Broadband Holding BV, Term Loan J2, WI/DD
   TBD     TBD       B       1,513,437  
  1,500    
UPC Broadband Holding BV, Term Loan K2, WI/DD
   TBD     TBD       B       1,513,437  
  3,000    
UPC Financing Partnership, Term Loan H2
     7.330 %     9/30/12       B       3,019,376  
  2,935    
WMG Acquisition Corp., Term Loan
     6.805 %     2/28/11       B+       2,968,615  
 
  68,706    
Total Media
                             68,828,521  
 
       
 
                                
       
Metals & Mining - 1.1% (0.6% of Total Investments)
                                
       
 
                                
  1,876    
Amsted Industries Incorporated, Delayed Draw Term Loan, (8) (9)
     2.000 %   4/05/11     B1       (2,345 )
  2,626    
Amsted Industries Incorporated, Term Loan B
     7.002 %   4/05/13     B1       2,664,253  
 
  4,502    
Total Metals & Mining
                             2,661,908  
 
       
 
                                
       
Multiline Retail - 0.6% (0.4% of Total Investments)
                                
       
 
                                
  1,500    
Sears Canada Inc., Term Loan
     6.712 %     12/15/12     BB+       1,518,750  
 
       
 
                                
       
Multi-Utilities - 1.6% (1.0% of Total Investments)
                                
       
 
                                
  743    
NRG Energy Inc., Credit-Linked Deposit
     6.979 %     2/01/13     BB-       751,587  
  3,257    
NRG Energy Inc., Term Loan
     6.820 %     2/01/13     BB-       3,296,480  
 
  4,000    
Total Multi-Utilities
                             4,048,067  
 
       
 
                                
       
Oil, Gas & Consumable Fuels - 5.1% (3.1% of Total Investments)
                                
       
 
                                
  3,990    
Citgo Petroleum Corporation, Term Loan
     6.213 %     11/15/12     Ba1       4,005,461  
  800    
Coffeyville Resources LLC, Letter of Credit
     7.400 %     7/08/11       B1       812,250  
  1,191    
Coffeyville Resources LLC, Term Loan B
     7.503 %     7/08/12       B1       1,209,260  
  1,125    
El Paso Corporation, Deposit-Funded Commitment
     4.290 %     11/23/09       B3       1,138,125  
  1,643    
El Paso Corporation, Term Loan
     7.750 %     11/23/09       B3       1,663,031  
  774    
Targa Resources Inc., Synthetic Letter of Credit
     7.229 %     10/31/12       B+       784,274  
  3,210    
Targa Resources Inc., Term Loan B
     7.260 %     10/31/12       B+       3,251,471  
 
  12,733    
Total Oil, Gas & Consumable Fuels
                             12,863,872  
 
       
 
                                
       
Paper & Forest Products - 3.9% (2.4% of Total Investments)
                                
       
 
                                
  1,096    
Boise Cascade Holdings, LLC, Term Loan D
     6.750 %     3/29/11     Ba3       1,111,501  
  3,990    
Georgia-Pacific Corporation, Term Loan B
     6.885 %     12/20/12     BB-       4,016,807  
  2,000    
Georgia-Pacific Corporation, Term Loan C
     7.939 %     12/23/13       B+       2,045,769  
  2,568    
NewPage Corporation, Term Loan B
     7.960 %     5/02/11       B       2,577,842  
 
  9,654    
Total Paper & Forest Products
                             9,751,919  
 
       
 
                                
       
Pharmaceuticals - 0.9% (0.5% of Total Investments)
                                
       
 
                                
  1,980    
Talecris Biotherapeutics Inc., Term Loan B
     8.022 %     3/31/10       N/R       1,989,900  
 
       
 
                                
       
Real Estate Management & Development - 5.9% (3.6% of Total Investments)
                                
       
 
                                
  4,000    
Capital Automotive LP., Term Loan
     6.580 %     12/16/10     BB+       4,037,300  
  459    
Lion Gables, Term Loan
     6.590 %     9/30/06     Ba2       461,689  
  4,527    
LNR Property Corporation, Term Loan
     7.831 %     2/03/08       B2       4,569,273  
  2,722    
LNR Property Corporation, Term Loan B
     10.080 %     2/03/08       B2       2,745,973  
  3,000    
Trizec Properties Inc., Term Loan, WI/DD
   TBD     TBD     Ba2       3,003,282  
 
  14,708    
Total Real Estate Management & Development
                             14,817,517  
 
       
 
                                
       
Specialty Retail - 3.9% (2.4% of Total Investments)
                                
       
 
                                
  1,318    
Micro Warehouse, Inc., Term Loan B, (5) (6)
     0.000 %     1/30/07       N/R       39,534  
  3,999    
Norwood Promotional Products, Term Loan A
     11.188 %     8/16/09       N/R       3,974,497  
  5,633    
Norwood Promotional Products, Term Loan B
     6.000 %     8/16/11       N/R       1,675,959  
  2,000    
Toys “R” Us, Inc., Term Loan
     7.826 %     12/09/08       B-       2,003,438  
  1,995    
TravelCenters of America Inc., Term Loan
     6.620 %     12/01/11       B1       2,017,943  
 
  14,945    
Total Specialty Retail
                             9,711,371  
 
       
 
                                
       
Textiles, Apparel & Luxury Goods - 3.8% (2.2% of Total Investments)
                                
       
 
                                
  1,000    
Burlington Coat Factory Warehouse Corporation, Term Loan
     7.160 %     5/28/13       B       998,750  
  5,162    
Visant Holding Corporation, Term Loan C
     7.068 %     7/29/10       B+       5,231,466  
  3,360    
William Carter Company, Term Loan B
     6.705 %     7/14/12       B1       3,394,606  
 
  9,522    
Total Textiles, Apparel & Luxury Goods
                             9,624,822  
 
       
 
                                
       
Trading Companies & Distributors - 1.6% (1.0% of Total Investments)
                                
       
 
                                
  1,980    
Ashtead Group Public Limited Company, Term Loan
     6.500 %     11/12/09     Ba3       2,002,894  
  393    
Brenntag Holdings, Acquisition Facility Term Loan
     7.440 %     1/20/14       B2       398,127  
  1,607    
Brenntag Holdings, Term Loan
     7.440 %     1/20/14       B-       1,633,793  
 
  3,980    
Total Trading Companies & Distributors
                             4,034,814  
 
$ 388,863    
Total Variable Rate Senior Loan Interests (cost $383,551,482)
                             375,834,994  
 

Table of Contents

                                         
Principal                              
Amount (000)     Description (1)   Coupon   Maturity     Ratings (4)     Value  
 
       
 
                                
       
Corporate Bonds - 10.6% (6.5% of Total Investments)
                                
       
 
                                
       
Hotels, Restaurants & Leisure - 4.5% (2.8% of Total Investments)
                                
       
 
                                
$ 7,000    
MGM Mirage Inc.
     9.750 %     6/01/07     Ba3     $ 7,297,500  
  1,500    
Mirage Resorts
     7.250 %     10/15/06     BB       1,515,000  
  2,400    
Park Place Entertainment
     8.875 %     9/15/08     BB+       2,550,000  
 
  10,900    
Total Hotels, Restaurants & Leisure
                             11,362,500  
 
       
 
                                
       
Machinery - 0.8% (0.5% of Total Investments)
                                
       
 
                                
  2,000    
Navistar International Corporation, Series B
     9.375 %     6/01/06     BB-       2,011,250  
 
       
 
                                
       
Media - 2.7% (1.6% of Total Investments)
                                
       
 
                                
  1,930    
AMC Entertainment Inc.
     9.875 %     2/01/12       B3       1,958,950  
  2,000    
Cablevision Systems Corporation, Floating Rate Note, 4.500% plus six-month LIBOR, Series B
     9.720 %     4/01/09       B+       2,125,000  
  2,500    
Primedia Inc., Floating Rate Note, 5.375% plus three-month LIBOR, 144A
     10.505 %     5/15/10       B       2,568,750  
 
  6,430    
Total Media
                             6,652,700  
 
       
 
                                
       
Semiconductors & Equipment - 0.2% (0.1% of Total Investments)
                                
       
 
                                
  500    
Avago Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus three-month LIBOR, 144A
     10.630 %     6/01/13       B       529,375  
 
       
 
                                
       
Wireless Telecommunication Services - 2.4% (1.5% of Total Investments)
                                
       
 
                                
  6,000    
Dobson Communications Corporation, Floating Rate Note, 4.250% plus three-month LIBOR
     9.380 %     10/15/12     CCC       6,120,000  
 
$ 25,830    
Total Corporate Bonds (cost $26,409,179)
                             26,675,825  
 
 
Shares     Description (1)                           Value  
 
       
 
                                
       
Investment Companies - 0.6% (0.3% of Total Investments)
                                
       
 
                                
  205,050    
ING Prime Rate Trust
                           $ 1,423,047  
 
       
Total Investment Companies (cost $1,432,329)
                             1,423,047  
         
 
Shares     Description (1)                           Value  
 
       
 
                                
       
Common Stocks - 0.0% (0.0% of Total Investments)
                                
       
 
                                
       
Auto Components - 0.0% (0.0% of Total Investments)
                                
       
 
                                
  279,642    
Metalforming Technologies Inc., (5) (6) (10)
                           $ —  
 
       
Total Common Stocks (cost $0)
                             —  
         
 
Shares     Description (1)                           Value  
 
       
 
                                
       
Warrants - 0.0% (0.0% of Total Investments)
                                
       
 
                                
  5,672    
Reliant Energy Inc.
                           $ 36,868  
 
       
Total Warrants (cost $40,254)
                             36,868  
         
 
Principal                                
Amount (000)     Description (1)   Coupon     Maturity             Value  
 
       
 
                                
       
Short-Term Investments - 2.5% (1.5% of Total Investments)
                                
       
 
                                
$ 6,260    
Repurchase Agreement with State Street Bank, dated 4/28/06, repurchase price $6,262,267, collateralized by $6,420,000 U.S. Treasury Bills, 0.000%, due 6/08/06, value $6,387,900
     4.450%       5/01/06             $ 6,259,946  
         
       
Total Short-Term Investments (cost $6,259,946)
                             6,259,946  
         
       
Total Investments (cost $417,693,190) – 163.5%
                             410,230,680  
         
       
Borrowing Payable – (41.1)% (11)
                             (103,000,000 )
         
       
Other Assets Less Liabilities – (4.1)%
                             (10,346,367 )
         
       
Preferred Shares, at Liquidation Value – (18.3)%
                             (46,000,000 )
         
       
Net Assets Applicable to Common Shares – 100%
                           $ 250,884,313  
         
             
 
    (1 )   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
 
            
 
    (2 )   Senior Loans in which the Fund invests generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.

Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
 
            
 
    (3 )   Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
 
            
 
    (4 )   Ratings: Using the higher of Standard & Poor’s or Moody’s rating. Ratings below BBB by Standard & Poor’s Group or Baa by Moody’s Investor Service, Inc. are considered to be below investment grade.
 
            
 
    (5 )   At or subsequent to April 30, 2006, this issue was under the protection of the Federal Bankruptcy Court.
 
            
 
    (6 )   Non-income producing. Non-income producing, in the case of a bond, generally denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
 
            
 
    (7 )   Position represents a participation commitment outstanding at April 30, 2006.
                   
      Commitment        
  Counterparty   Amount     Value  
 
 
                
 
Morgan Stanley
   $ 1,640,000     $ 1,588,067  
 
Bear, Stearns & Co., Inc.
     2,000,000       1,936,667  
   
             
 
            
 
    (8 )   Position represents an unfunded Senior Loan commitment outstanding at April 30, 2006. At April 30, 2006, the Fund had unfunded Senior Loan commitments of $1,876,069.
 
            
 
    (9 )   Negative value represents unrealized depreciation on Senior Loan commitment at April 30, 2006.
 
            
 
    (10 )   Valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees.
 
            
 
    (11 )   Borrowings payable as a percentage of total investments is (25.1%).
 
            
 
  WI/DD   Purchased on a when-issued or delayed delivery basis.
 
            
 
    N/R     Not rated.
 
            
 
    144A     Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
 
            
 
  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 lien of cash payment, interest accrued on “Payment in Kind” investment increases principal outstanding.
                   
 
 
    
 
 
    
 
 
    
 
 
    
 
 
    
                  Income Tax Information
 
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, and timing differences in recognizing certain gains and losses on investment transactions.
 
 
    
  At April 30, 2006, the cost of investments was $417,693,190.
 
 
    
  Gross unrealized appreciation and gross unrealized depreciation of investments at April 30, 2006, were as follows:
 
 
    
                   
  Gross unrealized:                
 
Appreciation
           $ 5,527,754  
 
Depreciation
             (12,990,264 )
 
                  
   
 
                  
 
Net unrealized appreciation (depreciation) of investments
           $ (7,462,510 )
 
                  
   

Table of Contents

Item 2. Controls and Procedures.
  a.   The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).
 
  b.   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 3. Exhibits.
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

 

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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Senior Income Fund
         
     
By (Signature and Title)*  /s/ Jessica R. Droeger    
  Jessica R. Droeger   
  Vice President and Secretary   
 
Date June 28, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
     
By (Signature and Title)*  /s/ Gifford R. Zimmerman    
  Gifford R. Zimmerman   
  Chief Administrative Officer (principal executive officer)   
 
Date June 28, 2006
         
     
By (Signature and Title)*  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date June 28, 2006
 
*   Print the name and title of each signing officer under his or her signature.