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:    10/31/2006   
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)
October 31, 2006
                             
          Weighted              
Principal         Average              
Amount (000)     Description (1)   Coupon   Maturity (3)   Ratings (4)   Value  
 
 
 
                   
 
Variable Rate Senior Loan Interests – 142.2% (87.9% of Total Investments) (2)
 
 
                   
 
Aerospace & Defense – 2.4% (1.5% of Total Investments)
 
 
                   
2,963    
Mid-Western Aircraft Systems Inc., Term Loan B
  7.570%   12/31/11   N/R   $ 2,988,886  
  2,414    
Vought Aircraft Industries, Inc., Term Loan
  7.880%   12/22/11   B-     2,430,464  
  545    
Vought Aircraft Industries, Inc., Tranche B, Letter of Credit
  7.822%   12/22/10   B-     548,693  
 
  5,922    
Total Aerospace & Defense
                5,968,043  
 
 
 
                   
 
Airlines – 3.2% (2.0% of Total Investments)
 
 
                   
  2,000    
Northwest Airlines Inc., Term Loan
  2.500%   7/19/08   N/R     2,008,751  
  5,224    
United Air Lines Inc., Term Loan B
  9.250%   2/01/12   B+     5,315,166  
  746    
United Air Lines Inc., Delayed Draw Term Loan
  9.125%   2/01/12   B+     759,309  
 
  7,970    
Total Airlines
                8,083,226  
 
 
 
                   
 
Auto Components – 7.7% (4.8% of Total Investments)
 
 
                   
  4,224    
Federal Mogul Corporation, Term Loan A, (5)
  7.570%   2/24/04   N/R     4,116,237  
  5,551    
Federal-Mogul Corporation, Term Loan B, (5)
  7.820%   2/24/05   N/R     5,422,364  
  1,869    
Gen Tek Inc., Term Loan B
  7.373%   12/31/10   B+     1,879,539  
  2,000    
Goodyear Tire & Rubber Company, Second Lien Term Loan
  8.140%   4/30/10   B+     2,018,572  
  1,000    
Goodyear Tire & Rubber Company, Term Loan
  7.072%   4/30/10   BB     1,003,214  
  1,479    
Metalforming Technologies, Inc., Term Loan A, (5) (6)
  0.000%   9/30/07   N/R     281,039  
  575    
Metalforming Technologies, Inc., Term Loan B, (PIK), (5) (6)
  0.000%   9/30/07   N/R     109,299  
  3,042    
Tenneco Automotive Inc., Term Loan B
  7.400%   12/12/10   BB-     3,059,382  
  1,336    
Tenneco Automotive Inc., Term Loan B-1
  7.323%   12/12/10   BB-     1,343,932  
 
  21,076    
Total Auto Components
                19,233,578  
 
 
 
                   
 
Building Products – 4.9% (3.0% of Total Investments)
 
 
                   
  888    
Atrium Companies Inc. Term Loan
  8.126%   5/31/12   B     877,249  
  2,553    
Euramax Holdings Inc., Term Loan B
  8.188%   6/21/12   B     2,569,355  
  1,960    
Nortek, Inc., Term Loan B
  7.325%   11/21/10   B     1,957,550  
  2,460    
Stile Acquisition Corporation, Canadian Term Loan
  7.380%   4/05/13   BB-     2,409,081  
  2,465    
Stile Acquisition Corporation, Term Loan
  7.380%   4/05/13   BB-     2,413,186  
  2,000    
TFS Acquisition, Term Loan
  8.921%   8/01/13   B+     2,015,000  
 
  12,326    
Total Building Products
                12,241,421  
 
 
 
                   
 
Capital Markets – 0.7% (0.4% of Total Investments)
 
 
                   
  1,777    
Ameritrade Holdings Corporation, Term Loan B
  6.820%   12/31/12   N/R     1,778,114  
 
 
 
                   
 
Chemicals – 5.1% (3.1% of Total Investments)
 
 
                   
  2,245    
Celanese Corporation, Term Loan C
  7.117%   4/06/11   N/R     2,259,996  
  983    
Huntsman International LLC, Term Loan
  7.070%   8/16/12   BB-     983,901  
  1,990    
ISP Chemco Inc., Term Loan
  7.449%   2/16/13   BB-     1,998,884  
  3,940    
Mosaic Company, Term Loan
  6.987%   2/21/12   BB+     3,942,955  
  1,970    
Rockwood Specialties Group, Inc., Term Loan E
  7.376%   7/30/12   B+     1,981,574  
  1,500    
Wellman Inc., First Lien Term Loan
  9.489%   2/10/09   B+     1,507,970  
 
  12,628    
Total Chemicals
                12,675,280  
 
 
 
                   
 
Commercial Services & Supplies – 4.1% (2.6% of Total Investments)
 
 
                   
  2,393    
Acco Brands, Term Loan B
  7.138%   8/17/12   BB-     2,402,968  
  1,457    
Allied Waste North America, Inc., Letter of Credit
  7.073%   1/15/12   Ba3     1,459,261  
  3,671    
Allied Waste North America, Inc., Term Loan B
  7.153%   1/15/12   Ba3     3,676,833  
  2,000    
Williams Scotsman, Inc., Term Loan B
  6.820%   6/28/10   B2     1,995,000  
  774    
Workflow Management, Inc., Term Loan
  9.376%   11/30/11   B2     779,596  
 
  10,295    
Total Commercial Services & Supplies
                10,313,658  
 
 
 
                   
 
Construction & Engineering – 0.7% (0.4% of Total Investments)
 
 
                   
  1,695    
Maxim Crane Works, Term Loan
  7.326%   2/23/10   N/R     1,701,524  
 
 
 
                   
 
Containers & Packaging – 4.1% (2.5% of Total Investments)
 
 
                   
  4,913    
Graham Packaging Company, L.P., Term Loan B
  7.725%   10/07/11   B     4,941,447  
  2,857    
Graham Packaging Company, L.P., Term Loan C
  9.688%   3/15/12   CCC+     2,884,821  
  437    
Smurfit-Stone Container Corporation, Deposit-Funded Commitment
  7.572%   11/01/11   B+     439,900  
  1,191    
Smurfit-Stone Container Corporation, Term Loan B
  7.658%   11/01/11   B+     1,199,941  
  534    
Smurfit-Stone Container Corporation, Term Loan C
  7.667%   11/01/11   B+     538,249  
  191    
Smurfit-Stone Container Corporation, Tranche C-1
  7.625%   11/01/11   B+     192,507  
 
  10,123    
Total Containers & Packaging
                10,196,865  
 
 
 
Diversified Consumer Services – 0.8% (0.5% of Total Investments)
 
 
                   
  2,000    
West Corporation, Term Loan, WI/DD
  TBD   TBD   B+     2,001,964  
 
 
 
                   
 
Diversified Telecommunication Services – 4.5% (2.8% of Total Investments)
 
 
                   
  2,000    
Cebridge III LLC., Term Loan B
  7.620%   11/01/14   B+     1,998,750  
  1,975    
Intelsat Limited
  7.622%   7/01/13   N/R     1,990,122  
  2,000    
Level 3 Communications Incorporated, Term Loan
  8.398%   12/01/11   B-     2,022,916  
  5,000    
Qwest Corporation, Term Loan B
  6.950%   6/30/10   BB     5,080,000  
  5,000    
WCI Capital Corporation, Term Loan B, (5) (6)
  0.000%   9/30/07   N/R     122,918  
 
  15,975    
Total Diversified Telecommunication Services
                11,214,706  
 
 
 
                   
 
Electric Utilities – 0.3% (0.2% of Total Investments)
 
 
                   
  148    
Astoria Generating Company, Letter of Credit
  7.320%   2/23/11   B     149,222  
  751    
Astoria Generating Company, Term Loan B
  7.390%   2/23/13   B1     757,218  
 
  899    
Total Electric Utilities
                906,440  
 
 
 
                   
 
Electrical Equipment – 1.6% (1.0% of Total Investments)
 
 
                   
  2,268    
Mueller Group, Inc., Term Loan
  7.388%   10/03/12   B+     2,283,188  
  1,583    
Sensus Metering Systems Inc., Term Loan B-1
  6.449%   12/17/10   B+     1,582,609  
  210    
Sensus Metering Systems Inc., Term Loan B-2
  7.086%   12/17/10   B+     210,217  
 
  4,061    
Total Electrical Equipment
                4,076,014  
 
 
 
 
                   
 
Electronic Equipment & Instruments – 0.8% (0.5% of Total Investments)
 
 
                   
  1,995    
Sensata Technologies B.V., Term Loan
  7.130%   4/27/13   BB-     1,985,337  
 
 
 
                   
 
Food & Staples Retailing – 0.8% (0.5% of Total Investments)
 
 
                   
  1,994    
Jean Coutu Group Inc.
  7.937%   7/30/2011   BB-     2,003,471  
 
 
 
                   
 
Food Products – 2.4% (1.5% of Total Investments)
 
 
                   
  465    
Dole Foods Company Inc., Deposit-Funded Commitment
  7.374%   4/12/13   BB-     462,209  
  1,041    
Dole Foods Company Inc., Term Loan B
  7.550%   4/12/13   BB-     1,034,771  
  3,471    
Dole Foods Company Inc., Term Loan C
  7.480%   4/12/13   B+     3,449,236  
  973    
Michael Foods, Inc., Term Loan B
  7.541%   11/21/10   B+     975,043  
 
  5,950    
Total Food Products
                5,921,259  
 
 
 
                   
 
Health Care Providers & Services – 11.8% (7.3% of Total Investments)
 
 
                   
  5,321    
Community Health Systems, Inc., Term Loan
  7.150%   8/19/11   BB-     5,330,428  
  4,451    
Davita Inc., Term Loan B
  7.425%   10/05/12   BB-     4,477,986  
  1,990    
Fresenius Medical Care AG & Co., (KGaA), Term Loan
  6.752%   3/31/13   Ba2     1,980,188  
  1,995    
HealthSouth Corporation, Term Loan
  8.620%   3/10/13   B2     2,005,529  
  1,955    
IASIS Healthcare LLC, Term Loan B
  7.729%   6/22/11   B+     1,967,219  
  3,960    
LifeCare Holdings Inc., Term Loan B
  7.570%   8/11/12   B     3,658,050  
  2,154    
Psychiatric Solutions Inc., Term Loan B
  7.160%   7/01/12   B+     2,157,885  
  2,955    
Select Medical Corporation, Term Loan
  7.151%   2/24/12   BB-     2,903,842  
  4,920    
Vanguard Health Holding Company, LLC, Replacement Term Loan
  7.868%   9/23/11   B     4,931,252  
 
  29,701    
Total Health Care Providers & Services
                29,412,379  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 16.2% (10.0% of Total Investments)
 
 
                   
  4,975    
24 Hour Fitness Worldwide, Inc., Term Loan B
  7.994%   7/17/12   B     5,012,313  
  1,797    
Ameristar Casinos, Inc., Term Loan B
  6.900%   11/10/12   Ba3     1,799,454  
  3,950    
CCM Merger, Inc., Term Loan B
  7.375%   7/13/12   B     3,951,990  
  1,995    
Cedar Fair LP, Term Loan
  7.867%   6/13/12   BB-     2,019,158  
  122    
Cracker Barrel, Term B-2 Delayed Draw, (8) (9)
  0.750%   4/27/13   BB     (648 )
  873    
Cracker Barrel, Term Loan B-1
  6.932%   4/28/13   BB     871,778  
  1,965    
Isle of Capri Casinos, Inc., Term Loan
  7.184%   2/04/11   BB-     1,972,369  
  4,362    
Jack in the Box Inc., Term Loan B
  6.882%   1/08/11   BB     4,379,234  
  7,946    
OpBiz, LLC, Term Loan A
  8.372%   8/31/10   B-     7,773,516  
  22    
OpBiz, LLC, Term Loan B (PIK)
  9.537%   8/31/10   CCC+     21,197  
  3,960    
Penn National Gaming, Inc., Term Loan B
  7.129%   10/03/12   BB     3,985,740  
  2,000    
Pinnacle Entertainment Inc., Term Loan
  7.320%   12/14/11   B1     2,007,750  
  1,000    
Quiznos Sub, Term Loan C
  11.117%   11/05/13   N/R     1,016,500  
  2,732    
Travelport, Term Loan
  8.367%   8/09/13   B+     2,744,045  
  268    
Travelport, Letter of Credit
  8.367%   8/09/13   B+     268,813  
  427    
Venetian Casino Resort, LLC Term Loan B
  7.120%   6/15/11   BB-     428,886  
  2,073    
Venetian Casino Resort, LLC, Term Loan
  7.120%   6/15/11   BB-     2,080,098  
 
  40,467    
Total Hotels, Restaurants & Leisure
                40,332,193  
 
 
 
                   
 
Household Durables – 1.7% (1.1% of Total Investments)
 
 
                   
  4,500    
Shea Homes Inc., Term Loan
  7.350%   10/27/11   N/R     4,365,000  
 
 
 
                   
 
Household Products – 3.2% (2.0% of Total Investments)
 
 
                   
  1,950    
Prestige Brands, Inc., Term Loan B
  7.715%   4/06/11   B+     1,961,781  
  4,000    
Solo Cup Company, Term Loan
  8.608%   2/27/11   CCC+     4,025,314  
  2,000    
Spectrum Brands, Term Loan
  8.387%   2/07/12   B-     2,008,214  
 
  7,950    
Total Household Products
                7,995,309  
 
 
 
                   
 
Independent Power Producers & Energy Traders – 0.4% (0.2% of Total Investments)
 
 
                   
  520    
Covanta Energy Corporation, Letter of Credit
  7.621%   5/31/12   B+     525,311  
  372    
Covanta Energy Corporation, Term Loan B
  7.615%   5/13/12   B-     375,498  
 
  892    
Total Independent Power Producers & Energy Traders
                900,809  
 
 
 
                   
 
Insurance – 2.4% (1.5% of Total Investments)
 
 
                   
  5,993    
Conseco, Inc., Term Loan
  7.320%   10/10/13   BB-     6,015,078  
 
 
 
                   
 
IT Services – 2.9% (1.8% of Total Investments)
 
 
                   
  2,359    
Fidelity National Information Services, Term Loan B
  7.070%   3/09/13   BB+     2,367,283  
  4,938    
SunGard Data Systems Inc., Term Loan B
  7.999%   2/11/13   B+     4,989,756  
 
  7,297    
Total IT Services
                7,357,039  
 
 
 
                   
 
Leisure Equipment & Products – 1.2% (0.7% of Total Investments)
 
 
                   
  3,000    
Bombardier Recreational Products, Term Loan
  8.130%   6/07/13   B1     3,000,000  
 
 
 
Machinery – 4.2% (2.6% of Total Investments)
 
 
                   
  421    
Dresser-Rand Group, Inc., Term Loan
  7.485%   10/29/07   BB-     423,895  
  3,000    
Dresser-Rand Group, Inc., Term Loan, WI/DD
  TBD   TBD   B     3,000,000  
  5,000    
Navistar International Corporation, Series B
  10.355%   1/22/09   N/R     5,070,833  
  2,000    
Rexnord Corporation, Term Loan
  7.876%   7/19/13   B+     2,013,750  
 
  10,421    
Total Machinery
                10,508,478  
 
 
 
                   
 
Media – 25.4% (15.7% of Total Investments)
 
 
                   
  4,500    
American Media Operations, Inc., Term Loan C
  8.340%   1/30/13   B-     4,533,282  
  1,343    
Blockbuster, Inc., Term Loan A
  8.631%   8/20/09   B-     1,340,251  
  1,834    
Blockbuster, Inc., Term Loan B
  8.972%   8/20/11   B-     1,834,032  
  4,975    
Cablevision Systems Corporation, Incremental Term Loan
  7.148%   3/23/13   BB     4,977,000  
  1,995    
Carmike Cinemas Inc., Term Loan
  8.640%   5/19/12   B-     2,018,275  
  1,640    
Century Cable Holdings, LLC, Revolver, (5) (7)
  9.250%   10/25/10   N/R     1,587,725  
  2,000    
Century Cable Holdings, LLC, Revolver, (5) (7)
  9.250%   10/25/10   N/R     1,936,250  
  6,000    
Century Cable Holdings, LLC, Term Loan, (5)
  10.250%   12/31/09   N/R     5,865,000  
  4,906    
Charter Communications Inc., Term Loan B
  8.005%   4/28/13   B     4,954,237  
  3,899    
Dex Media West, LLC, Term Loan B
  6.886%   3/09/10   BB     3,889,332  
  2,978    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B
  8.617%   3/15/12   N/R     2,944,276  
  5,000    
Neilsen Finance LLC, Term Loan B
  8.190%   8/01/13   B+     5,023,830  
  1,995    
Philadelphia Newspapers, Term Loan
  8.120%   6/29/13   N/R     1,987,519  
  5,940    
Primedia Inc., Term Loan
  7.570%   9/30/13   N/R     5,923,665  
  2,293    
R. H. Donnelley Inc., Tranche D
  6.886%   6/30/11   Ba3     2,286,926  
  4,609    
Regal Cinemas Corporation, Term Loan
  7.117%   11/10/10   BB-     4,607,986  
  1,708    
Sun Media Corporation, Term Loan B
  7.126%   2/07/09   BB     1,711,523  
  1,500    
UPC Broadband Holding BV, Term Loan J2
  7.640%   3/29/13   B     1,501,808  
  1,500    
UPC Broadband Holding BV, Term Loan K2
  7.640%   12/31/13   B     1,501,541  
  2,918    
WMG Acquisition Corp., Term Loan
  7.369%   2/28/11   BB-     2,932,110  
 
  63,533    
Total Media
                63,356,568  
 
 
 
                   
 
Metals & Mining – 1.0% (0.6% of Total Investments)
 
 
                   
  1,876    
Amsted Industries Incorporated, Delayed Draw Term Loan, (8) (9)
  0.500%   4/05/11   BB-     (23,451 )
  2,600    
Amsted Industries Incorporated, Term Loan B
  7.373%   4/05/13   BB-     2,611,502  
 
  4,476    
Total Metals & Mining
                2,588,051  
 
 
 
                   
 
Multi-Utilities – 1.6% (1.0% of Total Investments)
 
 
                   
  3,241    
NRG Energy Inc., Term Loan
  7.367%   2/01/13   BB-     3,261,993  
  743    
NRG Energy Inc., Credit-Linked Deposit
  7.367%   2/01/13   BB-     747,041  
 
  3,984    
Total Multi-Utilities
                4,009,034  
 
 
 
                   
 
Oil, Gas & Consumable Fuels – 2.8% (1.8% of Total Investments)
 
 
                   
  800    
Coffeyville Resources LLC, Letter of Credit
  7.625%   6/30/11   BB-     805,899  
  1,185    
Coffeyville Resources LLC, Term Loan B
  7.627%   6/30/12   BB-     1,193,814  
  1,000    
El Paso Corporation, Letter of Credit
  7.320%   7/31/11   B+     1,007,947  
  774    
Targa Resources Inc., Synthetic Letter of Credit
  7.624%   10/31/12   B+     779,032  
  3,194    
Targa Resources Inc., Term Loan B
  7.632%   10/31/12   B+     3,213,508  
 
  6,953    
Total Oil, Gas & Consumable Fuels
                7,000,200  
 
 
 
                   
 
Paper & Forest Products – 5.4% (3.3% of Total Investments)
 
 
                   
  459    
Bluegrass Container Company LLC, Delayed Draw 1st Lien
  7.601%   7/31/13   BB-     464,265  
  1,515    
Bluegrass Container Company, LLC, 2nd Lien Term Loan
  10.323%   12/31/13   B3     1,535,748  
  485    
Bluegrass Container Company, LLC, Delayed Draw, 2nd Lien
  10.320%   12/31/13   B-     491,440  
  1,536    
Bluegrass Container Company, LLC, Term Loan B
  7.604%   6/30/13   BB-     1,551,621  
  1,013    
Boise Cascade Corporation, Term Loan D
  7.108%   3/29/11   BB     1,018,731  
  3,970    
Georgia-Pacific Corporation, Term Loan B
  7.385%   12/20/12   BB-     3,995,086  
  2,000    
Georgia-Pacific Corporation, Term Loan C
  8.390%   2/13/14   B+     2,028,047  
  2,316    
NewPage Corporation, Term Loan B
  8.365%   5/02/11   B     2,345,438  
 
  13,294    
Total Paper & Forest Products
                13,430,376  
 
 
 
                   
 
Pharmaceuticals – 0.8% (0.5% of Total Investments)
 
 
                   
  1,970    
Talecris Biotherapeutics Inc., Term Loan B
  8.641%   4/01/11   B2     1,970,000  
 
 
 
                   
 
Real Estate Management & Development – 3.0% (1.9% of Total Investments)
 
 
                   
  3,907    
Capital Automotive LP., Term Loan
  7.080%   12/16/10   BB+     3,929,276  
  57    
Lion Gables, Term Loan
  7.070%   3/30/07   Ba2     56,955  
  3,500    
LNR Property Corporation, Term Loan B
  8.220%   7/12/11   B2     3,517,134  
 
  7,464    
Total Real Estate Management & Development
                7,503,365  
 
 
 
                   
 
Semiconductors & Equipment – 0.8% (0.5% of Total Investments)
 
 
                   
  2,000    
Advanced Micro Devices, Term Loan B
  7.570%   12/13/13   BB-     2,010,357  
 
 
 
Software – 1.2% (0.7% of Total Investments)
 
 
                   
  3,000    
Reynolds and Reynolds Company, WI/DD
  TBD   TBD   B3     3,022,500  
 
 
 
                   
 
Specialty Retail – 7.0% (4.3% of Total Investments)
 
 
                   
  1,000    
CSK Automotive Corporation, Term Loan
  8.376%   6/30/12   B+     1,015,625  
  4,000    
Michaels Stores Inc., Term Loan, WI/DD
  TBD   TBD   B-     4,020,000  
  1,318    
Micro Warehouse, Inc., Term Loan B, (5) (6) (10)
  0.000%   1/30/07   N/R     39,534  
  3,939    
Norwood Promotional Products, Term Loan A
  11.688%   8/16/09   N/R     4,018,139  
  5,777    
Norwood Promotional Products, Term Loan B
  6.000%   8/16/11   N/R     2,325,225  
  4,000    
Toys “R” Us, Inc., Term Loan
  8.323%   12/09/08   N/R     4,012,500  
  1,985    
TravelCenters of America Inc., Term Loan
  7.112%   12/01/11   B1     1,987,792  
 
  22,019    
Total Specialty Retail
                17,418,815  
 
 
 
                   
 
Textiles, Apparel & Luxury Goods – 3.5% (2.1% of Total Investments)
 
 
                   
  995    
Burlington Coat Factory Warehouse Corporation, Term Loan
  7.530%   4/13/13   B     982,330  
  2,000    
HanesBrands Inc., Loan
  9.648%   8/15/14   B2     2,002,500  
  4,530    
Visant Holding Corporation, Term Loan C
  7.122%   7/29/10   B+     4,556,963  
  1,148    
William Carter Company, Term Loan B
  6.867%   7/14/12   Ba3     1,147,703  
 
  8,673    
Total Textiles, Apparel & Luxury Goods
                8,689,496  
 
 
 
                   
 
Trading Companies & Distributors – 1.6% (1.0% of Total Investments)
 
 
                   
  2,000    
Ashtead Group Public Limited Company, Term Loan B
  1.750%   8/01/11   B3     2,000,000  
  393    
Brenntag Holding GmbH and Company KG, Acquisition Facility Term Loan
  8.080%   1/20/14   B     395,427  
  1,607    
Brenntag Holdings, Term Loan B2
  8.080%   1/20/14   B     1,623,334  
 
  4,000    
Total Trading Companies & Distributors
                4,018,761  
 
$ 368,273    
Total Variable Rate Senior Loan Interests (cost $364,165,213)
                355,204,708  
 


Table of Contents

                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity   Ratings (4)   Value  
 
 
 
                   
 
Corporate Bonds – 13.1% (8.1% of Total Investments)
 
 
                   
 
Building Products – 1.8% (1.1% of Total Investments)
 
 
                   
$ 5,000    
Stile Acquisition Corporation, 144A
  11.000%   4/06/15   N/R   $ 4,525,000  
 
 
 
                   
 
Chemicals – 0.8% (0.5% of Total Investments)
 
 
                   
  2,000    
OM Group Inc.
  9.250%   12/15/11   B-     2,095,000  
 
 
 
                   
 
Diversified Telecommunication Services – 1.2% (0.8% of Total Investments)
 
 
                   
  3,000    
Intelsat Subsidiary Holding Company Limited, Floating Rate Note, 4.875% plus six-month LIBOR
  10.263%   1/15/12   B+     3,056,250  
 
 
 
                   
 
Electronic Equipment & Instruments – 2.0% (1.3% of Total Investments)
 
 
                   
  5,000    
NXP BV, Floating Rate Note, 2.750% plus three-month LIBOR, 144A
  8.121%   10/15/13   BB+     5,068,750  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 1.0% (0.6% of Total Investments)
 
 
                   
  2,400    
Park Place Entertainment
  8.875%   9/15/08   Ba1     2,505,000  
 
 
 
                   
 
Media – 2.7% (1.7% of Total Investments)
 
 
                   
  1,930    
AMC Entertainment Inc.
  9.875%   2/01/12   B3     2,004,788  
  2,000    
Cablevision Systems Corporation, Floating Rate Note, 4.500% plus six-month LIBOR
  9.888%   4/01/09   B+     2,105,000  
  2,500    
Primedia Inc., Floating Rate Note, 5.375% plus three-month LIBOR
  10.746%   5/15/10   B     2,600,000  
 
  6,430    
Total Media
                6,709,788  
 
 
 
                   
 
Paper & Forest Products – 0.8% (0.5% of Total Investments)
 
 
                   
  2,000    
Verso Paper Holdings LLC., Floating Rate Note, 3.750% plus three-month LIBOR, 144A
  9.121%   8/01/14   B+     2,030,000  
 
 
Semiconductors & Equipment – 0.3% (0.1% of Total Investments)
 
 
                   
  500    
Avago Technologies Finance Pte. Ltd., Floating Rate Note, 5.500% plus three-month LIBOR, 144A
  10.871%   6/01/13   B     525,000  
 
 
 
                   
 
Wireless Telecommunication Services – 2.5% (1.5% of Total Investments)
 
 
                   
  6,000    
Dobson Communications Corporation, Floating Rate Note, 4.250% plus three-month LIBOR
  9.621%   10/15/12   CCC     6,120,000  
 
$ 32,330    
Total Corporate Bonds (cost $32,319,695)
                32,634,788  
 
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Investment Companies – 0.6% (0.4% of Total Investments)
 
 
                   
  205,050    
ING Prime Rate Trust
              $ 1,464,057  
 
 
Total Investment Companies (cost $1,432,329)
                1,464,057  
         
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Common Stocks – 0.5% (0.3% of Total Investments)
 
 
                   
 
Auto Components – 0.0% (0.0% of Total Investments)
 
 
                   
  511    
Gen Tek Inc., (6)
              $ 16,556  
  279,642    
Metalforming Technologies Inc., (5) (6) (10)
                 
 
 
Total Auto Components
                16,556  
   
 
 
                   
 
Building Products – 0.5% (0.3% of Total Investments)
 
 
                   
  34,834    
Armstrong World Industries Inc.
                1,292,350  
 
 
Total Common Stocks (cost $1,393,369)
                1,308,906  
   
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Warrants – 0.0% (0.0% of Total Investments)
 
 
                   
  545    
Gen Tek Inc., Warrant Class B
              $ 24,062  
  268    
Gen Tek Inc., Warrant Class C
                11,256  
  5,672    
Reliant Energy Inc.
                41,122  
 
 
Total Warrants (cost $40,254)
                76,440  
   


Table of Contents

                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity       Value  
 
 
 
                   
 
Short-Term Investments – 5.4% (3.3% of Total Investments)
 
 
                   
$ 13,499    
Repurchase Agreement with State Street Bank, dated 10/31/06, repurchase price $13,500,784, collateralized by $13,735,000, U.S. Treasury Notes,
  5.050%   11/01/06       $ 13,498,890  
 
4.875%, due 10/31/08, value $13,769,338
                   
   
 
Total Short-Term Investments (cost $13,498,890)
                13,498,890  
   
 
Total Investments (cost $412,849,750) – 161.8%
                404,187,789  
   
 
Borrowings Payable – (41.2)% (11)
                (103,000,000 )
   
 
Other Assets Less Liabilities – (2.2)%
                (5,457,500 )
   
 
Preferred Shares, at Liquidation Value – (18.4)%
                (46,000,000 )
   
 
Net Assets Applicable to Common Shares – 100%
              $ 249,730,289  
   
     
 (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 October 31, 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 October 31, 2006.
   
 
                         
            Commitment        
Counterparty           Amount     Value  
 
 
Bear, Stearns & Co., Inc.
          $ 2,000,000     $ 1,936,250  
Morgan Stanley
            1,640,000       1,587,725  
 
 
     
 (8)  
Position represents an unfunded Senior Loan commitment outstanding at October 31, 2006. At October 31, 2006, the Fund had unfunded Senior Loan commitments of $1,998,138.
   
 
 (9)  
Negative value represents unrealized depreciation on Senior Loan commitment at October 31, 2006.
   
 
 (10)  
Investment 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 (25.5%).
   
 
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 lieu 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 October 31, 2006, the cost of investments was $412,849,750.
Gross unrealized appreciation and gross unrealized depreciation of investments at October 31, 2006, were as follows:
         
 
 
       
Gross unrealized:
       
Appreciation
  $ 3,653,367  
Depreciation
    (12,315,328 )
 
       
 
 
       
Net unrealized appreciation (depreciation) of investments
  $ (8,661,961 )
 
       
 


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.

 


Table of Contents

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 December 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 December 28, 2006
         
     
By (Signature and Title)*  /s/ Stephen D. Foy    
  Stephen D. Foy   
  Vice President and Controller (principal financial officer)   
 
Date December 28, 2006
 
*   Print the name and title of each signing officer under his or her signature.