UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-09571
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Nuveen Senior Income Fund
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(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(Address of principal executive offices) (Zip code)
Jessica R. Droeger
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
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(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 917-7700
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Date of fiscal year end: July 31
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Date of reporting period: April 30, 2006
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
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 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. SS. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
QUARTERLY REPORT April 30, 2006
Nuveen Investments
Exchange-Traded
Closed-End
Funds
NUVEEN SENIOR
INCOME FUND
NSL
HIGH CURRENT INCOME FROM A PORTFOLIO OF SENIOR CORPORATE LOANS
Chairman's Letter to Shareholders
Dear Shareholder:
I am very pleased to report that over the nine-month period covered by this
report, your Fund continued to provide you with attractive monthly income from a
portfolio primarily composed of senior corporate loans. For more information on
your Fund's performance, please read the Portfolio Managers' Comments, the
Distribution and Share Price Information, and the Performance Overview sections
of this report.
Portfolio diversification is a recognized way to try to reduce some of the risk
that comes with investing. Since one part of your portfolio may be going up when
another is going down, portfolio diversification may help smooth your investment
returns over time. In addition to providing regular monthly income, a senior
loan investment like your Fund may help you achieve and benefit from greater
portfolio diversification. Your financial advisor can explain these advantages
in more detail. I encourage you to contact him or her for more information on
this and other important investment strategies.
At Nuveen Investments, our mission continues to be to assist you and your
financial advisor by offering investment services and products that can help you
to secure your financial objectives. We are grateful that you have chosen us as
a partner as you pursue your financial goals, and we look forward to continuing
to earn your trust in the months and years ahead.
Sincerely,
TIMOTHY R. SCHWERTFEGER
Chairman of the Board
June 12, 2006
PORTFOLIO MANAGERS' COMMENTS
The Fund's investment portfolio is managed by Gunther Stein and Lenny Mason of
Symphony Asset Management, LLC, an affiliate of Nuveen Investments. Gunther and
Lenny have more than 25 years of combined investment management experience, much
of it in evaluating and purchasing senior corporate loans and other high-yield
debt. Here Gunther and Lenny talk about their management strategies and the
performance of the Fund for the nine-month period ended April 30, 2006.
WHAT WAS YOUR OVERALL MANAGEMENT STRATEGY FOR THE NINE MONTH PERIOD ENDED
APRIL 30, 2006?
We continue to view the leveraged loan market favorably but given the current
credit environment we continue to take a defensive stance in positioning our
loan portfolios. The loan market has continued to demonstrate many positive
characteristics that we think make the asset class attractive. Market liquidity
is better than it has ever been, investor appetite has been strong and many high
quality deals have come to market. Strong investor demand, however, has allowed
many deals to be structured with aggressive leverage levels. It is this
environment and market dynamic that leads us to avoid credits we feel are too
aggressively leveraged or do not have a sound credit profile. We do not feel
that now is the appropriate time to be reaching for yield or involved with what
we consider to be marginal credits.
We continued to avoid many small loans that are supporting leveraged buyouts as
we feel that market liquidity could be challenged if the credit experiences any
negative events. We are focused on adding high quality new-issue loans at par as
we do not feel that paying 101 or higher for loans is prudent in the current
environment.
We also continued to avoid the vast majority of second lien loans. At current
trading levels we do not believe that most second lien loans compensate
investors for the risk these credits pose over a credit cycle. We believe when
the economy does weaken - whenever that may be - that second lien loans could
see significant downside from current levels.
HOW DID THE FUNDS PERFORM DURING THE PERIOD?
The performance of NSL as well as the performance of a comparative index, is
shown in the nearby chart:
Total Return on Net Asset Value*
For the Nine-month period ending April 30, 2006
NSL 4.89%
CSFB Leveraged Loan Index(1) 5.01%
* Nine-month returns are cumulative
Past performance does not guarantee future results. Current performance may be
higher or lower than the data shown.
Returns do not reflect the deduction of taxes that a shareholder may have to pay
on Fund distributions or upon the sale of Fund shares.
For more information, please see the individual Performance Overview pages in
this report.
(1) The CSFB Leveraged Loan Index is a representative, unmanaged index of
tradable, senior, U.S. dollar-denominated leveraged loans. It is not possible to
invest directly in an Index.
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Over the nine-month reporting period, NSL slightly underperformed the unmanaged,
unleveraged CSFB Leveraged Loan Index.
Several securities positively impacted the performance of the senior loan
component of the portfolio. However, the Federal Mogul term loan holdings had a
more material positive impact.
The Fund had several holdings that constrained the Fund's performance over this
reporting period. Some issuers that had a negative impact on NSL's portfolio
were Norwood Promotional Products, OpBiz and Armstrong.
DISTRIBUTION AND SHARE PRICE INFORMATION
As noted, this Fund uses financial leverage in an effort to enhance its
distribution paying capabilities. While this strategy adds volatility to a
Fund's net asset value (NAV) and share price, it generally works to enhance the
amount of income the Fund has to distribute to its common shareholders, as long
as the distribution rates the Fund pays to its preferred shareholders are less
than the interest rates the Fund receives from its portfolio of loans.
Since this Fund invests in adjustable rate loans, the income stream can
typically be expected to rise or fall over time to reflect the movement of
shorter-term market interest rates. In March of this period, the Fund increased
its monthly distribution to $0.0535 per share.
NSL seeks to pay stable distributions at rates that reflect the Fund's past
results, and projected future performance. During certain periods, the Fund may
pay distributions at a rate that may be more or less than the amount of net
investment income actually earned by the Fund during the period. If a Fund has
cumulatively earned more than it has paid in distributions, it holds the excess
in reserve as undistributed net investment income (UNII), which is part of the
Fund's NAV. Conversely, if a Fund has cumulatively paid distributions in excess
of its earnings, the excess constitutes negative UNII that is likewise reflected
in the Fund's NAV.
As of April 30, 2006, the Fund was trading at a -4.51% discount to its net asset
value, compared with an average discount of -3.21% for the nine-month reporting
period.
Nuveen Senior Income Fund
NSL
Performance
OVERVIEW As of April 30, 2006
Pie Chart:
PORTFOLIO ALLOCATION
(as a % of total investments)
Variable Rate Senior Loan Interests 91.7%
Corporate Bonds 6.5%
Short-Term Investments 1.5%
Other 0.3%
Bar Chart:
2005-2006 MONTHLY DIVIDENDS PER SHARE
May 0.0510
Jun 0.0510
Jul 0.0510
Aug 0.0510
Sep 0.0510
Oct 0.0510
Nov 0.0510
Dec 0.0510
Jan 0.0510
Feb 0.0510
Mar 0.0535
Apr 0.0535
Line Chart:
SHARE PRICE PERFORMANCE
Weekly Closing Price
Past performance is not predictive of future results.
5/2/2005 9.20
5/6/2005 9.04
5/13/2005 8.97
5/20/2005 8.82
5/27/2005 8.70
6/3/2005 8.81
6/10/2005 8.80
6/17/2005 8.69
6/24/2005 8.57
7/1/2005 8.83
7/8/2005 8.81
7/15/2005 8.84
7/22/2005 8.92
7/29/2005 8.97
8/5/2005 8.98
8/12/2005 8.87
8/19/2005 8.71
8/26/2005 8.69
9/2/2005 8.67
9/9/2005 8.80
9/16/2005 8.60
9/23/2005 8.24
9/30/2005 8.29
10/7/2005 8.23
10/14/2005 8.06
10/21/2005 7.97
10/28/2005 8.03
11/4/2005 8.06
11/11/2005 7.95
11/18/2005 7.85
11/25/2005 7.71
12/2/2005 7.70
12/9/2005 7.75
12/16/2005 7.67
12/23/2005 7.61
12/30/2005 7.74
1/6/2006 7.96
1/13/2006 8.06
1/20/2006 7.96
1/27/2006 8.05
2/3/2006 8.07
2/10/2006 8.09
2/17/2006 8.03
2/24/2006 7.97
3/3/2006 8.01
3/10/2006 8.09
3/17/2006 8.25
3/24/2006 8.46
3/31/2006 8.41
4/7/2006 8.33
4/13/2006 7.99
4/21/2006 8.00
4/28/2006 8.04
FUND SNAPSHOT
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Common Share Price $8.04
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Common Share
Net Asset Value $8.42
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Premium/(Discount) to NAV -4.51%
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Latest Dividend $0.0535
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Market Yield 7.99%
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Net Assets Applicable to
Common Shares ($000) $250,884
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AVERAGE ANNUAL TOTAL RETURN
(Inception 10/26/99)
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ON SHARE PRICE ON NAV
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9-Month
(Cumulative) -5.09% 4.89%
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1-Year -5.37% 6.54%
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5-Year 3.58% 8.44%
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Since Inception 4.72% 6.50%
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INDUSTRIES
(as a % of total investments)
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Media 18.4%
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Hotels, Restaurants & Leisure 13.1%
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Health Care Providers & Services 7.4%
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Auto Components 5.8%
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Commercial Services & Supplies 3.7%
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Real Estate Management &
Development 3.6%
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Chemicals 3.2%
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Oil, Gas & Consumable Fuels 3.1%
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Building Products 3.0%
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Household Durables 2.8%
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Food Products 2.7%
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Containers & Packaging 2.7%
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Paper & Forest Products 2.4%
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Specialty Retail 2.4%
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Textiles Apparel & Luxury Goods 2.2%
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Diversified Telecommunication
Services 2.0%
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Beverages 1.9%
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IT Services 1.8%
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Short-Term Investments 1.5%
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Other 16.3%
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TOP FIVE ISSUERS
(EXCLUDING SHORT-TERM INVESTMENTS)
(as a % of total investments)
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Federal-Mogul Corporation 2.3%
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Century Cable Holdings LLC 2.3%
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Primedia Inc. 2.1%
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Graham Packaging Company, L.P. 1.9%
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OpBiz, LLC 1.9%
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PORTFOLIO OF INVESTMENTS (UNAUDITED)
NUVEEN SENIOR INCOME FUND (NSL)
April 30, 2006
PRINCIPAL WEIGHTED
AMOUNT AVERAGE
(000) DESCRIPTION (1) COUPON MATURITY (3) RATINGS (4) VALUE
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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
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5,949 Total Aerospace & Defense 6,033,160
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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
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6,000 Total Airlines 6,096,000
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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
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25,914 Total Auto Components 23,842,146
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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
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7,759 Total Beverages 7,825,058
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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
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12,473 Total Building Products 12,335,420
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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
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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
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12,850 Total Chemicals 13,003,999
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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
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14,955 Total Commercial Services & Supplies 15,081,391
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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
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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
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10,765 Total Containers & Packaging 10,942,617
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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
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12,775 Total Diversified Telecommunication Services 8,096,238
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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
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2,357 Total Electric Utilities 2,374,562
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ELECTRICAL EQUIPMENT - 1.9% (1.2% OF TOTAL INVESTMENTS)
2,985 Mueller Group, Inc., Term Loan 7.263% 10/03/12 B2 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
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4,778 Total Electrical Equipment 4,841,965
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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
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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
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10,975 Total Food Products 11,154,517
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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
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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
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30,263 Total Health Care Providers & Services 30,320,877
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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
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41,900 Total Hotels, Restaurants & Leisure 42,136,992
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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
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12,807 Total Household Durables 11,467,117
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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
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3,960 Total Household Products 4,001,541
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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
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893 Total Independent Power Producers & Energy Traders 907,147
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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
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INSURANCE - 2.4% (1.5% OF TOTAL INVESTMENTS)
5,989 Conseco, Inc., Term Loan 6.651% 6/22/10 BB- 6,044,357
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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
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7,356 Total IT Services 7,437,192
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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
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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
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2,494 Total Machinery 2,529,199
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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
====================================================================================================================================
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)
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
$ 6,260 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.
(8) Position represents an unfunded Senior Loan commitment outstanding at April 30, 2006.
(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.
See accompanying notes to financial statements.
Statement of
ASSETS AND LIABILITIES April 30, 2006 (Unaudited)
--------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $417,693,190) $ 410,230,680
Receivables:
Interest 3,260,999
Investments sold 4,919,031
Other assets 89,068
--------------------------------------------------------------------------------------------------------
Total assets 418,499,778
--------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Borrowings 103,000,000
Investments purchased 17,786,400
Accrued expenses:
Management fees 193,462
Interest on borrowings 415,301
Other 202,275
Preferred share dividends payable 18,027
--------------------------------------------------------------------------------------------------------
Total liabilities 121,615,465
--------------------------------------------------------------------------------------------------------
Preferred shares, at liquidation value 46,000,000
--------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 250,884,313
========================================================================================================
Common shares outstanding 29,809,917
========================================================================================================
Net asset value per Common share outstanding (net assets applicable
to Common shares, divided by Common shares outstanding) $ 8.42
========================================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
--------------------------------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 298,099
Paid-in surplus 282,966,876
Undistributed (Over-distribution of) net investment income 1,138,113
Accumulated net realized gain (loss) from investments (26,056,265)
Net unrealized appreciation (depreciation) of investments (7,462,510)
--------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares $ 250,884,313
========================================================================================================
Authorized shares:
Common Unlimited
Preferred Unlimited
========================================================================================================
See accompanying notes to financial statements.
Statement of
OPERATIONS Nine Months Ended April 30, 2006 (Unaudited)
--------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Dividends and Interest $ 20,088,067
Fees 277,889
--------------------------------------------------------------------------------------------------------
Total investment income 20,365,956
--------------------------------------------------------------------------------------------------------
EXPENSES
Management fees 2,513,031
Preferred shares - auction fees 85,036
Preferred shares - dividend disbursing agent fees 4,488
Shareholders' servicing agent fees and expenses 4,195
Interest expense 3,281,655
Commitment fees 273,964
Custodian's fees and expenses 107,140
Trustees' fees and expenses 4,232
Professional fees 76,637
Shareholders' reports - printing and mailing expenses 43,679
Stock exchange listing fees 8,659
Investor relations expense 36,410
Other expenses 5,454
--------------------------------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense reimbursement 6,444,580
Custodian fee credit (739)
Expense reimbursement (849,505)
--------------------------------------------------------------------------------------------------------
Net expenses 5,594,336
--------------------------------------------------------------------------------------------------------
Net investment income 14,771,620
--------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from investments (477,871)
Change in net unrealized appreciation (depreciation) of investments (857,061)
--------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (1,334,932)
--------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (1,384,610)
--------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to Common shares
from operations $ 12,052,078
========================================================================================================
See accompanying notes to financial statements.
Statement of
CHANGES IN NET ASSETS (Unaudited)
NINE MONTHS ENDED YEAR ENDED
4/30/06 7/31/05
--------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 14,771,620 $ 19,794,415
Net realized gain (loss) from investments (477,871) 1,525,914
Change in net unrealized appreciation
(depreciation) of investments (857,061) (1,775,441)
Distributions to Preferred Shareholders
from net investment income (1,384,610) (1,124,957)
--------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares from operations 12,052,078 18,419,931
--------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (13,830,255) (17,279,906)
--------------------------------------------------------------------------------------------------------
Decrease in net assets applicable to Common
shares from distributions to Common shareholders (13,830,255) (17,279,906)
--------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from shares issued to Common shareholders
due to reinvestment of distributions 64,607 179,443
--------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares from
capital share transactions 64,607 179,443
--------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets
applicable to Common shares (1,713,570) 1,319,468
Net assets applicable to Common shares
at the beginning of period 252,597,883 251,278,415
--------------------------------------------------------------------------------------------------------
Net assets applicable to Common shares
at the end of period $ 250,884,313 $ 252,597,883
========================================================================================================
Undistributed (Over-distribution of)
net investment income at the
end of period $ 1,138,113 $ 1,581,358
========================================================================================================
See accompanying notes to financial statements.
Statement of
CASH FLOWS Nine Months Ended April 30, 2006 (Unaudited)
--------------------------------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES:
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHARES FROM OPERATIONS $ 12,052,078
Adjustments to reconcile the net increase (decrease) in
net assets applicable to Common shares from operations
to net cash provided by (used in) operating activities:
Purchases of investment securities (168,046,977)
Proceeds from sales of investment securities 149,775,409
Proceeds from (Purchases of) short-term investment securities, net 27,054,499
Amortization/(Accretion) of premiums and discounts, net 784,395
(Increase) Decrease in receivable for interest (507,303)
(Increase) Decrease in receivable for investments sold (2,982,760)
(Increase) Decrease in other assets (2,944)
Increase (Decrease) in payable for investments purchased (5,756,100)
Increase (Decrease) in interest on borrowings 123,247
Increase (Decrease) in accrued management fees 26,489
Increase (Decrease) in accrued other liabilities (7,923)
Increase (Decrease) in Preferred share dividends payable (22,400)
Net realized (gain) loss from investments 477,871
Net realized gain (loss) from paydowns (16,206)
Taxes paid on undistributed capital gains (42,788)
Change in net unrealized (appreciation) depreciation of investments 857,061
--------------------------------------------------------------------------------------------------------
Net cash provided by (used in) operating activities 13,765,648
--------------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common shareholders (13,765,648)
--------------------------------------------------------------------------------------------------------
Net cash provided by (used in) financing activities (13,765,648)
--------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN CASH --
Cash at the beginning of period --
--------------------------------------------------------------------------------------------------------
CASH AT THE END OF PERIOD $ --
========================================================================================================
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION
Cash paid for interest on bank borrowings during the nine months ended April 30,
2006, was $3,158,408.
Non-cash financing activities not included herein consist of reinvestments of
Common share distributions of $64,607.
See accompanying notes to financial statements.
Notes to
FINANCIAL STATEMENTS (Unaudited)
1. GENERAL INFORMATION AND SIGNIFICANT ACCOUNTING POLICIES
The fund (the "Fund") covered in this report and its corresponding Common
share New York Stock Exchange symbol is Nuveen Senior Income Fund (NSL). The
Fund is registered under the Investment Company Act of 1940, as amended, as a
closed-end management investment company.
The Fund seeks to provide a high level of current income by investing primarily
in senior loans whose interest rates float or adjust periodically based on a
benchmark interest rate index.
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements in accordance with U.S.
generally accepted accounting principles.
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 sales 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 asked prices when current
quotations are readily available. The pricing services or, in the absence of a
pricing service for a particular investment, the Board of Trustees of the Fund,
or its designee, may establish fair market value using a wide variety of market
data including yields or prices of investments of comparable quality, type of
issue, coupon, maturity and rating, market quotes or indications of value from
security dealers, evaluations of anticipated cash flows or collateral, general
market conditions and other information and analysis, including the obligor's
credit characteristics considered relevant by the pricing service or the Board
of Trustees' designee. Short-term investments are valued at amortized cost,
which approximates market value.
The senior loans in which the Fund invests are not listed on an organized
exchange and the secondary market for such investments may be less liquid
relative to markets for other fixed income securities. Consequently, the value
of senior loans, 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. Trade date for
senior loans purchased in the "primary market" is considered the date on which
the loan allocations are determined. Trade date for senior loans purchased in
the "secondary market" is the date on which the transaction is entered into.
Realized gains and losses from transactions are determined on the specific
identification method. Investments purchased on a when-issued or delayed
delivery basis may have extended settlement periods. Any investments so
purchased are subject to market fluctuation during this period. The Fund
maintains liquid assets with a current value at least equal to the amount of the
when-issued/delayed delivery purchase commitments. At April 30, 2006, the Fund
had outstanding when-issued/delayed delivery purchase commitments of
$17,786,400.
Investment Income
Interest income, which includes the amortization of premiums and accretion of
discounts for financial reporting purposes, is recorded on an accrual basis.
Interest income also includes paydown gains and losses on senior
loans. Fee income, if any, consists primarily of amendment fees. Amendment
fees are earned as compensation for evaluating and accepting changes to the
original loan agreement and are recognized when received.
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
Federal Income Taxes
The Fund intends to distribute substantially all net investment income and net
capital gains to shareholders and to otherwise comply with the requirements of
Subchapter M of the Internal Revenue Code applicable to regulated investment
companies. Therefore, no federal income tax provision is required.
Dividends and Distributions to Common Shareholders
The Fund declares 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.
Distributions to Common shareholders 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 U.S. generally accepted accounting
principles.
Preferred Shares
The Fund has issued and outstanding 1,840 shares of Series TH, Taxable Auctioned
Preferred shares, $25,000 stated value per share, as a means of effecting
financial leverage. The dividend rate paid by the Fund is determined every 28
days, pursuant to a dutch auction process overseen by the auction agent, and is
payable at the end of each rate period. The Fund has also effected financial
leverage by borrowing, as described in footnote 8.
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 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.
Indemnifications
Under the Fund's organizational documents, its Officers and Trustees are
indemnified against certain liabilities arising out of the performance of their
duties to the Fund. In addition, in the normal course of business, the Fund
enters into contracts that provide general indemnifications to other parties.
The Fund's maximum exposure under these arrangements is unknown as this would
involve future claims that may be made against the Fund that have not yet
occurred. However, the Fund has not had prior claims or losses pursuant to these
contracts and expects the risk of loss to be remote.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally
accepted accounting principles 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
Transactions in Common shares were as follows:
NINE MONTHS
ENDED YEAR ENDED
4/30/06 7/31/05
--------------------------------------------------------------------------------
Common shares issued to shareholders due to
reinvestment of distributions 7,631 20,084
================================================================================
3. INVESTMENT TRANSACTIONS
Purchases and sales (excluding short-term investments) during the nine months
ended April 30, 2006, aggregated $168,046,977 and $149,775,409, respectively.
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
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, 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)
================================================================================
The tax components of undistributed net ordinary income and net realized gains
at July 31, 2005, the Fund's last tax year end, were as follows:
--------------------------------------------------------------------------------
Undistributed net ordinary income * $ 3,141,702
Undistributed net long-term capital gains --
================================================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any. Undistributed net
ordinary income (on a tax basis) has not been reduced for the dividend
declared on July 1, 2005, paid on August 1, 2005.
The tax character of distributions paid during the Fund's last tax year ended
July 31, 2005, was designated for purposes of the dividends paid deduction as
follows:
--------------------------------------------------------------------------------
Distributions from net ordinary income * $ 18,143,299
Distributions from net long-term capital gains --
================================================================================
* Net ordinary income consists of net taxable income derived from dividends,
interest, and net short-term capital gains, if any.
At July 31, 2005, the Fund's last tax year end, the Fund had unused capital loss
carryforwards available for federal income tax purposes to be applied against
future capital gains, if any. If not applied, the carryforwards will expire as
follows:
--------------------------------------------------------------------------------
Expiration year:
2010 $14,916,928
2011 10,704,254
--------------------------------------------------------------------------------
Total $25,621,182
================================================================================
5. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES
The Fund's management fee is separated into two components - a complex-level
component, based on the aggregate amount of all fund assets managed by Nuveen
Asset Management (the "Adviser"), a wholly owned subsidiary of Nuveen
Investments, Inc., and a specific fund-level component, based only on the amount
of assets within the Fund. This pricing structure enables Nuveen fund
shareholders to benefit from growth in the assets within each individual fund as
well as from growth in the amount of complex-wide assets managed by the Adviser.
The annual fund-level fee, payable monthly, is based upon the average daily
Managed Assets of the Fund as follows:
AVERAGE DAILY MANAGED ASSETS FUND-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $1 billion .6500%
For the next $1 billion .6375
For the next $3 billion .6250
For the next $5 billion .6000
For Managed Assets over $10 billion .5750
================================================================================
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
The annual complex-level fee, payable monthly, which is additive to the
fund-level fee, for all Nuveen sponsored funds in the U.S., is based on the
aggregate amount of total fund assets managed as stated in the table below. As
of April 30, 2006, the complex-level fee was .1888%.
COMPLEX-LEVEL ASSETS(1) COMPLEX-LEVEL FEE RATE
--------------------------------------------------------------------------------
For the first $55 billion .2000%
For the next $1 billion .1800
For the next $1 billion .1600
For the next $3 billion .1425
For the next $3 billion .1325
For the next $3 billion .1250
For the next $5 billion .1200
For the next $5 billion .1175
For the next $15 billion .1150
For Managed Assets over $91 billion(2) .1400
================================================================================
(1) The complex-level fee component of the management fee for the funds is
calculated based upon the aggregate Managed Assets ("Managed Assets" means
the average daily net assets of each fund including assets attributable to
all types of leverage used by the Nuveen funds) of Nuveen-sponsored funds
in the U.S.
(2) With respect to the complex-wide Managed Assets over $91 billion, the fee
rate or rates that will apply to such assets will be determined at a later
date. In the unlikely event that complex-wide Managed Assets reach $91
billion prior to a determination of the complex-level fee rate or rates to
be applied to Managed Assets in excess of $91 billion, the complex-level
fee rate for such complex-wide Managed Assets shall be .1400% until such
time as a different rate or rates is determined.
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, LLC ("Symphony"),
an indirect wholly owned subsidiary of Nuveen, under which Symphony manages the
investment portfolio of the Funds. 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 its officers, all of whom receive remuneration
for their services to the Fund from the Adviser or its affiliates. The Board of
Trustees has adopted a deferred compensation plan for independent Trustees that
enables Trustees to elect to defer receipt of all or a portion of the annual
compensation they are entitled to receive from certain Nuveen advised Funds.
Under the plan, deferred amounts are treated as though equal dollar amounts had
been invested in shares of select Nuveen advised Funds.
For the first ten years of the Fund's operations, the Adviser has agreed to
reimburse the Fund, as a percentage of average daily Managed Assets, for fees
and expenses in the amounts and for the time periods set forth below:
YEAR ENDING YEAR ENDING
OCTOBER 31, OCTOBER 31,
--------------------------------------------------------------------------------
1999* .45% 2005 .35%
2000 .45 2006 .25
2001 .45 2007 .15
2002 .45 2008 .10
2003 .45 2009 .05
2004 .45
================================================================================
* From the commencement of operations.
The Adviser has not agreed to reimburse the Fund for any portion of its fees and
expenses beyond October 31, 2009.
6. COMMITMENTS
Pursuant to the terms of certain of the variable rate senior loan agreements,
the Fund may have unfunded senior loan commitments. The Fund 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 senior loan
commitments. At April 30, 2006, the Fund had an unfunded senior loan commitments
of $1,876,069.
7. SENIOR LOAN PARTICIPATION COMMITMENTS
With respect to the senior loans held in the Fund's portfolio, the Fund may: 1)
invest in assignments; 2) act as a participant in primary lending syndicates; or
3) invest in participations. 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, rather than directly
with the Borrower. As such, the Fund not only assumes the credit risk of the
Borrower, but also that of the Selling Participant or other persons
interpositioned between the Fund and the Borrower.
The Fund had the following participation commitments outstanding at April 30,
2006:
COMMITMENT
COUNTERPARTY AMOUNT VALUE
--------------------------------------------------------------------------------
Bear, Stearns & Co., Inc. $ 2,000,000 $ 1,936,667
Morgan Stanley 1,640,000 1,588,067
================================================================================
8. BORROWINGS
In accordance with the Fund's 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.
The Fund has entered into a commercial paper program ($110 million maximum) with
Bank One's conduit financing agency, Falcon Asset Securitization Corp.
("Falcon"), whose sole purpose is the issuance of high grade commercial paper.
Falcon uses the proceeds to make advances to the Fund and to many other
borrowers who comprise Falcon's total borrowing base. For the nine months ended
April 30, 2006, the average daily balance of borrowings under the commercial
paper program agreement was $103 million. The average annualized interest rate
for funding and program usage fees on such borrowings was 4.26%.
The Fund has also entered into a $110 million liquidity facility. If
the facility is utilized, interest on the borrowings would be charged a variable
interest rate. An unused commitment fee of .095% on 102% of the unused portion
of the $110 million facility is charged. There were no borrowings under the
revolving credit agreement during the nine months ended April 30, 2006.
Notes to
FINANCIAL STATEMENTS (Unaudited) (continued)
9. SUBSEQUENT EVENT -- DISTRIBUTIONS TO COMMON SHAREHOLDERS
The Fund declared a $.0535 Common share dividend distribution from its net
investment income which was paid on June 1, 2006, to shareholders of record on
May 15, 2006.
Financial
HIGHLIGHTS (Unaudited)
Selected data for a Common share outstanding throughout each period:
Investment Operations Less Distributions
------------------------------------------------------------ ---------------------------------
Distributions Distributions
from Net from Net
Beginning Investment Capital Investment Capital
Common Net Income to Gains to Income to Gains to
Share Net Realized/ Preferred Preferred Common Common
Net Asset Investment Unrealized Share- Share- Share- Share-
Value Income(a) Gain (Loss) holders+ holders+ Total holders holders Total
====================================================================================================================================
------------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) $8.48 $ .50 $ (.05) $(.05) $ -- $ .40 $ (.46) $ -- $ (.46)
2005 8.44 .66 -- (.04) -- .62 (.58) -- (.58)
2004 7.84 .64 .50 (.02) -- 1.12 (.52) -- (.52)
2003 7.38 .60 .41 (.02) -- .99 (.53) -- (.53)
2002 8.13 .68 (.71) (.04) -- (.07) (.68) -- (.68)
2001 9.47 1.09 (1.29) (.09) -- (.29) (1.03) (.02) (1.05)
====================================================================================================================================
Total Returns
-----------------------
Based
on
Ending Common
Common Based Share
Share Ending on Net
Net Asset Market Market Asset
Value Value Value** Value**
========================================================================================
----------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) $ 8.42 $ 8.04 (5.09)% 4.89%
2005 8.48 8.97 (3.40) 7.53
2004 8.44 9.91 24.50 14.61
2003 7.84 8.43 25.93 14.25
2002 7.38 7.20 (21.16) (.65)
2001 8.13 9.96 15.35 (3.30)
========================================================================================
Ratios/Supplemental Data
------------------------------------------------------------------------------------------------
Before Credit/Reimbursement After Credit/Reimbursement***
------------------------------ -----------------------------
Ratio of Net Ratio of Net
Ratio of Investment Ratio of Investment
Ending Expenses Income to Expenses Income to
Net to Average Average to Average Average
Assets Net Assets Net Assets Net Assets Net Assets
Applicable Applicable Applicable Applicable Applicable Portfolio
to Common to Common to Common to Common to Common Turnover
Shares (000) Shares++ Shares++ Shares++ Shares++ Rate
==================================================================================================================================
----------------------------------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) $250,884 3.43%* 7.41%* 2.98%* 7.86%* 39%
2005 252,598 2.70 7.21 2.10 7.80 100
2004 251,278 2.23 7.10 1.50 7.83 91
2003 233,220 2.66 7.57 1.90 8.33 80
2002 219,459 3.12 8.20 2.37 8.95 64
2001 241,641 4.32 11.74 3.62 12.44 52
==================================================================================================================================
Preferred Stock at End of Period Borrowings at End of Period
------------------------------------------------- ------------------------------
Aggregate Liquidation Asset Aggregate Asset
Amount and Market Coverage Amount Coverage
Outstanding (000) Value Per Share Per Share Outstanding (000) Per $1,000
=========================================================================================================
---------------------------------------------------------------------------------------------------------
Year Ended 7/31:
2006(b) $46,000 $25,000 $161,350 $103,000 $3,882
2005 46,000 25,000 162,281 103,000 3,899
2004 46,000 25,000 161,564 103,000 3,886
2003 46,000 25,000 151,750 103,000 3,711
2002 46,000 25,000 144,271 103,000 3,577
2001 46,000 25,000 156,327 103,000 3,793
=========================================================================================================
* Annualized.
** Total Return on Market Value is the combination of changes in the market
price per share and the effect of reinvested dividend income and reinvested
capital gains distributions, if any, at the average price paid per share at
the time of reinvestment. Total Return on Common Share Net Asset Value is
the combination of changes in Common share net asset value, reinvested
dividend income at net asset value and reinvested capital gains
distributions at net asset value, if any. Total returns are not annualized.
*** After custodian fee credit and expense reimbursement from the Adviser,
where applicable.
+ The amounts shown are based on Common share equivalents.
++ o Ratios do not reflect the effect of dividend payments to Preferred
shareholders.
o Income ratios reflect income earned on assets attributable to
Preferred shares and bank borrowings, where applicable.
o Each ratio 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
--------------------------------------
2006(b) 1.75%*
2005 1.00
2004 .48
2003 .74
2002 1.09
2001 2.19
(a) Per share Net Investment Income is calculated using the average daily
shares method.
(b) For the nine months ended April 30, 2006.
ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
During this reporting period, the registrant's Board of Trustees implemented a
change to the procedures by which shareholders may recommend nominees to the
registrant's board of trustees by amending the registrant's by-laws to include a
provision specifying the date by which shareholder nominations for election as
trustee at a subsequent meeting must be submitted to the registrant.
Shareholders must deliver or mail notice to the registrant not less than
forty-five days nor more than sixty days prior to the first anniversary date of
the date on which the registrant first mailed its proxy materials for the prior
year's annual meeting; provided, however, if and only if the annual meeting is
not scheduled to be held within a period that commences thirty days before the
first anniversary date of the annual meeting for the preceding year and ends
thirty days after such anniversary date (an annual meeting date outside such
period being referred to as an "Other Annual Meeting Date" hereafter), the
shareholder notice must be given no later than the close of business on the date
forty-five days prior to such Other Annual Meeting Date or the tenth business
day following the date such Other Annual Meeting Date is first publicly
announced or disclosed. The shareholder's notice must be in writing and set
forth the name, age, date of birth, business address, residence address and
nationality of the person(s) being nominated and the class or series, number of
all shares of the registrant owned of record or beneficially be each such
person(s), any other information regarding such person required by Item 401 of
Regulation S-K or Item 22 of Rule 14a-101 (Schedule 14A) under the Securities
Exchange Act of 1934, as amended, any other information regarding the person(s)
to be nominated that would be required to be disclosed in a proxy statement or
other filings required to be made in connection with solicitation of proxies for
election of trustees, and whether such shareholder believes any nominee is or
will be an "interested person" (as that term is defined in the Investment
Company Act of 1940, as amended) of the registrant or sufficient information to
enable the registrant to make that determination and the written and signed
consent of the person(s) to be nominated.
ITEM 11. 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 Rules 13a-15(b) or
15d-15(b) under the Securities Exchange Act of 1934, as amended (the
"Exchange Act")(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 second fiscal quarter
of the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrant's
internal control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the
disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit: Not applicable to
this filing.
(a)(2) 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)) in the exact form set forth below: Ex-99.CERT
attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under
the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons: Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act,
provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR
270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR
240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of
the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished
pursuant to this paragraph will not be deemed "filed" for purposes of Section 18
of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of
that section. Such certification will not be deemed to be incorporated by
reference into any filing under the Securities Act of 1933 or the Exchange Act,
except to the extent that the registrant specifically incorporates it by
reference. Ex-99.906 CERT attached hereto.
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: July 7, 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: July 7, 2006
By (Signature and Title)* /s/ Stephen D. Foy
---------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: July 7, 2006
* Print the name and title of each signing officer under his or her signature.