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: October 31, 2005
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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 October 31, 2005
(Unaudited)
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
Dear Shareholder:
I am pleased to report that over the three-month period ended October 31, 2005,
the Nuveen Senior Income Fund continued to provide you with attractive monthly
income and the opportunity for enhanced diversification within your investment
portfolio.
As you'll see from the accompanying portfolio managers' comments, we continued
to take steps during this period that we believed would help your Fund perform
well over the long-term. For more than 100 years, Nuveen has specialized in
offering quality investments to those seeking to accumulate and preserve wealth.
Our mission continues to be to assist you and your financial advisor by offering
the investment services and products that can help you secure your financial
objectives. We thank you for choosing Nuveen Investments as a partner as you
work toward that goal.
Sincerely,
TIMOTHY R. SCHWERTFEGER
Chairman of the Board
December 15, 2005
NSL Quarterly Report
For the three months ended 10/31/05
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 strategy and the
performance of the Fund for the period ended October 31, 2005.
WHAT WERE YOUR PRIMARY STRATEGIES AND FOCUSES FOR MANAGING THE FUND DURING THE
3-MONTH REPORTING PERIOD?
We continued to employ a value-oriented investment management strategy for NSL.
Our purchase and sale decisions were based on a range of factors, including an
assessment of each company's credit fundamentals, cash flow and asset quality.
Generally, we continued to use the robust new issue calendar to upgrade the
portfolio and buy companies we believed were defensive in nature. We did not
believe that this three-month period was the appropriate time to be reaching for
yield or become involved with what we considered to be marginal credits.
We also avoided the vast majority of second lien loans as we do not believe the
risk/return profile is currently attractive for most of these loans.
OVER THIS PERIOD, HOW DID THE FUND PERFORM?
Total returns for the Fund, as well as for a comparative index, are presented
in the accompanying table.
TOTAL RETURNS ON NET ASSET VALUE*
For periods ended 10/31/05
3-Mo. 1-Year 5-Year
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NSL 1.22% 6.00% 6.65%
CSFB Leveraged
Loan Index(1) 1.50% 5.87% 5.17%
*Three-month returns are cumulative; 1-yr and 5-yr returns are annualized.
Past performance is not predictive of future results. Current performance may be
higher or lower than the data shown. Returns do not reflect the deduction of
taxes that shareholders may have to pay on Fund distributions or upon the sale
of Fund shares.
Over this three-month period, the Fund modestly underperformed the return of the
CSFB Leveraged Loan Index.
One reason for the difference between the Fund's return and the CSFB Index over
this period is that the Fund does not necessarily hold loans in the same sectors
and in the same proportion as the CSFB index. This means that the Fund should
not be expected to closely track the index over short periods of time. However,
we do believe that a comparison with the CSFB Index does provide some value as a
comparative measure for assessing the Fund's performance over longer time
periods.
In addition to composition differences, the Fund's performance relative to the
index during this three-month period also was affected by the Fund's use of
financial leverage. Leveraging can provide opportunities for additional income
for common shareholders, but the strategy does add volatility to a Fund's net
asset value and share price. During periods of rising interest rates, as was the
case during this three-month period, the extent of the leverage benefit may be
reduced.
The return of NSL over the period benefited from the strong overall performance
of loans issued by Norwood Promotional Products and Federal Mogul. While there
were no holdings that had a material, detrimental impact on the Fund's return
over the three-month period, its holdings of Primedia, Euramax and Movie Gallery
loans all lost value over this period.
WHAT ABOUT DIVIDENDS AND SHARE PRICES?
The Fund uses financial leverage in an effort to enhance the income available to
pay common share dividends. While leveraging exposes the Fund to greater share
price and net asset value volatility, the Fund's managers believe that the
potential benefits of this strategy outweigh the risks. The extent of the
leverage benefit is tied in part to the short-term rates the Fund pays its
Taxable Auction Preferred shareholders. As shorter-term rates rise, the amount
of this benefit tends to be reduced.
Over this three-month period, NSL maintained a steady monthly dividend of $0.51
per share.
The Fund seeks to pay stable dividends at rates that reflect its past results
and projected future performance. During certain periods, the Fund may pay
dividends 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 the Fund has
cumulatively earned more than it has paid in dividends, it holds the excess in
reserve as undistributed net investment income (UNII) as part of the Fund's NAV.
Conversely, if the Fund has cumulatively paid dividends in excess of its
earnings, the excess constitutes negative UNII that is likewise reflected in the
Fund's NAV. The Fund will, over time, pay all of its net investment income as
dividends to shareholders. As of October 31, 2005, NSL had a positive UNII
balance for both financial statement and tax purposes.
As of October 31, 2005, NSL was trading at a -4.74% discount to its net asset
value, compared with an average premium of +0.37% for the entire three-month
reporting period.
(1) The CSFB Leveraged Loan Index, which consists of approximately $150 billion
of tradable term loans with at least one year to maturity and rated BBB or
lower.
Nuveen Senior Income Fund
NSL
Performance
OVERVIEW As of October 31, 2005
PORTFOLIO ALLOCATION
(as a % of total investments)
-----------------------------------
Variable Rate Senior
Loan Interests 85.0%
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Corporate Bonds 10.2%
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Repurchase Agreements 4.8%
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2004-2005 MONTHLY DIVIDENDS PER SHARE
Nov 0.046
Dec 0.048
Jan 0.048
Feb 0.048
Mar 0.051
Apr 0.051
May 0.051
Jun 0.051
Jul 0.051
Aug 0.051
Sep 0.051
Oct 0.051
SHARE PRICE PERFORMANCE
Weekly Closing Price Past
performance is not predictive
of future results.
11/01/04 9.29
9.35
9.37
9.36
9.28
8.82
9.37
9.42
9.25
9.43
9.34
9.50
9.66
9.76
9.75
9.72
9.54
9.51
9.65
9.62
9.53
9.28
9.17
9.24
9.04
9.07
9.16
9.04
8.97
8.82
8.70
8.81
8.80
8.69
8.57
8.83
8.81
8.84
8.92
8.97
8.98
8.87
8.71
8.69
8.67
8.80
8.60
8.24
8.29
8.23
8.06
7.97
8.03
10/31/2005 8.03
Data as of 10/31/05, unless otherwise noted
FUND SNAPSHOT
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Common Share Price $8.03
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Common Share
Net Asset Value $8.43
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Premium/(Discount) to NAV -4.74%
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Latest Dividend $0.0510
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Market Yield 7.62%
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Net Assets Applicable to
Common Shares ($000) $251,383
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AVERAGE ANNUALIZED TOTAL RETURN
(Inception 10/26/99)
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ON SHARE PRICE ON NAV
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3-month
(Cumulative) -8.81% 1.22%
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1-Year -7.37% 6.00%
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5-Year 3.42% 6.65%
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Since Inception 4.42% 6.42%
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INDUSTRIES
(as a % of total investments)
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Media 17.9%
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Hotels, Restaurants & Leisure 15.7%
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Auto Components 6.0%
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Healthcare Providers & Services 5.6%
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Real Estate 3.9%
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Commercial Services & Supplies 3.6%
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Containers & Packaging 3.4%
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Chemicals 3.3%
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Oil, Gas & Consumable Fuels 2.9%
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Household Durables 2.8%
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Specialty Retail 2.8%
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Diversified Telecommunication Services 2.7%
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Building Products 2.5%
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IT Services 2.4%
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Textiles, Apparel & Luxury Goods 2.3%
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Beverages 2.0%
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Aerospace & Defense 1.5%
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Repurchase Agreements 4.8%
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Other 13.9%
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TOP FIVE ISSUERS (EXCLUDING REPURCHASE AGREEMENTS)
(as a % of total investments)
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Century Cable Holdings, LLC 2.4%
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Federal-Mogul Corporation 2.3%
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Graham Packaging Company, L.P. 2.3%
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PRIMEDIA Inc. 2.1%
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OpBiz, LLC 2.0%
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PORTFOLIO OF INVESTMENTS (UNAUDITED)
NUVEEN SENIOR INCOME FUND (NSL)
October 31, 2005
WEIGHTED RATINGS**
PRINCIPAL AVERAGE STATED ----------------
AMOUNT (000) DESCRIPTION(1) COUPON MATURITY* MOODY'S S&P VALUE
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VARIABLE RATE SENIOR LOAN INTERESTS(2) - 136.1% (85.0% OF TOTAL INVESTMENTS)
AEROSPACE & DEFENSE - 2.4% (1.5% OF TOTAL INVESTMENTS)
$ 2,993 Mid-Western Aircraft Systems Inc., Term Loan B 6.409% 6/10/11 B1 BB- $ 3,034,769
2,437 Vought Aircraft Industries, Inc., Term Loan 6.590% 12/22/11 Ba3 B+ 2,464,943
545 Vought Aircraft Industries, Inc., Tranche B, 6.364% 12/22/10 Ba3 B+ 552,358
Letter of Credit
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6,052,070
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AIRLINES - 2.4% (1.5% OF TOTAL INVESTMENTS)
5,925 United Air Lines, Inc., DIP Term Loan (Tranche B) (b) 7.960% 3/31/06 N/R N/R 5,997,272
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AUTO COMPONENTS - 9.6% (6.0% OF TOTAL INVESTMENTS)
2,343 Accuride Corporation, Term Loan 6.177% 1/31/10 B1 B+ 2,361,571
4,224 Federal-Mogul Corporation, Term Loan A (b) 6.330% 2/24/04 N/R N/R 3,979,381
5,551 Federal-Mogul Corporation, Term Loan B (b) 6.580% 2/24/05 N/R N/R 5,235,607
1,914 GenTek Inc, Term Loan B 6.605% 12/31/10 B2 B+ 1,928,840
2,000 Goodyear Tire & Rubber Company, Second Lien Term Loan 7.060% 4/30/10 B2 B+ 2,019,791
1,000 Goodyear Tire & Rubber Company, Term Loan 3.764% 4/30/10 B2 BB 1,008,929
3,046 MetalForming Technologies, Inc., Term Loan A (a)(b) 0.000% 9/30/07 N/R N/R 1,675,173
1,187 MetalForming Technologies, Inc., Term Loan B (PIK) (a)(b) 0.000% 9/30/07 N/R N/R 652,942
3,042 Tenneco Automotive Inc., Term Loan B 6.080% 12/12/10 B1 B+ 3,092,651
1,336 Tenneco Automotive Inc., Term Loan B-1 5.943% 12/12/10 B1 B+ 1,358,547
723 United Components, Inc., Term Loan C 6.260% 6/30/10 B1 BB- 735,088
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24,048,520
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BEVERAGES - 3.1% (2.0% OF TOTAL INVESTMENTS)
1,957 Constellation Brands, Inc., Term Loan 5.659% 11/30/11 Ba2 BB 1,980,549
5,802 Dr. Pepper/Seven UP Bottling Group, Inc., Term Loan B 6.158% 12/19/10 N/R N/R 5,891,247
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7,871,796
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BUILDING PRODUCTS - 4.0% (2.5% OF TOTAL INVESTMENTS)
2,995 Euramax Holdings Inc., Term Loan B (d) TBD TBD B2 B+ 2,973,607
1,980 Nortek, Inc., Term Loan B 5.915% 8/27/11 B2 B 2,003,265
2,485 Stile Acquisition Corporation, Canadian Term Loan 5.666% 3/21/13 B2 BB- 2,479,028
2,490 Stile Acquisition Corporation, Term Loan B 6.203% 5/13/11 B2 BB- 2,483,251
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9,939,151
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CHEMICALS - 5.3% (3.3% OF TOTAL INVESTMENTS)
2,415 Celanese Holdings LLC, Term Loan C 6.313% 4/06/11 B1 B+ 2,453,220
876 Huntsman International LLC, Term Loan 5.720% 8/16/12 Ba3 BB- 881,518
3,980 Mosaic Company, Term Loan 5.232% 2/21/12 Ba2 BB+ 4,027,885
2,488 PQ Corporation, Term Loan 6.063% 2/11/12 B1 B+ 2,507,711
1,990 Rockwood Specialties Group, Inc., Tranche D 6.466% 7/30/12 B1 B+ 2,024,203
1,500 Wellman, Inc., First Lien Term Loan 7.710% 2/10/09 B1 B+ 1,528,750
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13,423,287
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COMMERCIAL SERVICES & SUPPLIES - 5.8% (3.6% OF TOTAL INVESTMENTS)
3,000 Acco Brands, Term Loan B 5.726% 8/17/10 Ba3 BB- 3,037,875
1,472 Allied Waste North America, Inc., Letter of Credit 6.030% 3/21/12 B1 BB 1,481,330
3,895 Allied Waste North America, Inc., Term Loan B 6.038% 3/12/21 B1 BB 3,920,389
3,950 National Equipment Services, Inc., Term Loan 9.710% 8/17/10 B3 B 4,046,281
2,000 Williams Scotsman, Inc., Term Loan B 6.661% 6/28/10 B2 BB 2,026,250
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14,512,125
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CONSTRUCTION & ENGINEERING - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Maxim Crane Works, Term Loan C 9.625% 1/28/12 N/R N/R 2,050,000
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CONTAINERS & PACKAGING - 5.4% (3.4% OF TOTAL INVESTMENTS)
4,963 Graham Packaging Company, L.P., Term Loan B 6.555% 10/07/11 B2 B 5,030,737
4,000 Graham Packaging Company, L.P., Term Loan C 8.250% 3/15/12 B2 CCC+ 4,080,000
437 Smurfit-Stone Container Corporation, Deposit-Funded Commitment2.100% 11/01/11 Ba3 BB- 442,245
1,999 Smurfit-Stone Container Corporation, Term Loan B 5.722% 11/01/11 Ba3 BB- 2,024,741
540 Smurfit-Stone Container Corporation, Term Loan C 5.875% 11/01/11 Ba3 BB- 546,625
1,466 United States Can Company, Term Loan B 7.650% 1/15/10 B3 B 1,473,667
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13,598,015
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DIVERSIFIED TELECOMMUNICATION SERVICES - 4.4% (2.7% OF TOTAL INVESTMENTS)
3,000 Fairpoint Communications, Inc., Term Loan 5.813% 2/15/12 B1 BB- 3,034,125
1,985 Intelsat, Ltd., Term Loan B 5.813% 7/06/11 B1 B 2,005,678
800 Qwest Corporation, Term Loan A 8.530% 6/30/07 Ba3 BB 826,166
5,000 Qwest Corporation, Term Loan B 6.950% 6/30/10 Ba3 BB 5,010,938
5,000 WCI Capital Corp., Term Loan B (a)(b) 0.000% 9/30/07 N/R N/R 75,000
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10,951,907
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ELECTRIC UTILITIES - 1.4% (0.9% OF TOTAL INVESTMENTS)
1,402 Allegheny Energy Supply Company, LLC, Term Loan C 5.788% 3/08/11 Ba2 BB 1,418,569
1,975 Calpine Construction Finance Company, L.P., Term Loan B 9.860% 8/31/09 N/R B 2,087,088
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3,505,657
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ELECTRICAL EQUIPMENT - 2.0% (1.2% OF TOTAL INVESTMENTS)
3,000 Mueller Group, Inc., Term Loan 6.401% 10/02/12 B2 B+ 3,043,661
1,626 Sensus Metering Systems Inc., Term Loan B-1 5.955% 12/17/10 B2 B+ 1,645,397
254 Sensus Metering Systems Inc., Term Loan B-2 5.970% 12/17/10 B2 B+ 256,708
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4,945,766
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FOOD PRODUCTS - 2.4% (1.5% OF TOTAL INVESTMENTS)
5,000 Dole Holding Company, LLC, Term Loan 9.438% 7/22/10 B3 BB 5,156,250
913 Michael Foods, Inc., Term Loan B 5.187% 11/20/10 B1 B+ 928,154
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6,084,404
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HEALTHCARE EQUIPMENT & SUPPLIES - 0.7% (0.5% OF TOTAL INVESTMENTS)
1,849 Kinetic Concepts, Inc., Term Loan B-2 5.780% 8/11/10 Ba3 BB 1,871,565
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HEALTHCARE PROVIDERS & SERVICES - 9.0% (5.6% OF TOTAL INVESTMENTS)
5,376 Community Health Systems, Inc., Term Loan 5.610% 8/19/11 N/R BB- 5,450,175
5,000 Davita Inc., Term Loan B 6.379% 7/01/12 B1 BB- 5,079,860
1,975 IASIS Healthcare LLC, Term Loan B 6.304% 6/22/11 B1 B+ 2,004,420
2,154 Psychiatric Solutions, Term Loan B 5.730% 6/30/12 B1 B+ 2,179,423
2,985 Select Medical Corporation, Term Loan 5.571% 2/24/12 B1 BB- 2,990,389
4,970 Vanguard Health Holding Company I, LLC, Term Loan 6.211% 9/23/11 B2 B 5,041,444
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22,745,711
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HOTELS, RESTAURANTS & LEISURE - 17.6% (11.1% OF TOTAL INVESTMENTS)
5,000 24 Hour Fitness Worldwide, Inc., Term Loan B 6.780% 6/08/12 B2 B 5,084,375
601 Ameristar Casinos, Inc., Incremental Term Loan 6.063% 12/20/06 Ba3 BB+ 604,647
1,768 Ameristar Casinos, Inc., Term Loan B-1 6.063% 12/20/06 Ba3 BB+ 1,779,137
4,988 Burger King Corporation, Term Loan B 5.830% 7/17/12 Ba2 B+ 5,045,392
3,990 CCM Merger, Inc., Term Loan B 5.933% 7/26/12 B1 B+ 4,028,653
1,985 Isle of Capri Casinos, Inc., Term Loan 5.845% 4/26/08 Ba2 BB- 2,008,262
4,406 Jack in the Box Inc., Term Loan 5.569% 1/09/10 Ba2 BB 4,449,050
7,990 OpBiz, LLC, Term Loan A 5.305% 8/31/10 B3 B- 7,993,020
20 OpBiz, LLC, Term Loan B (PIK) 8.055% 8/31/10 B3 B- 19,899
4,000 Penn National Gaming Inc., Term Loan B 6.082% 5/26/12 Ba3 BB- 4,055,002
2,772 Pinnacle Entertainment, Delayed Draw Term Loan 7.044% 12/17/08 B1 BB- 2,807,098
2,210 Pinnacle Entertainment, Term Loan B 7.090% 8/27/10 B1 BB- 2,234,863
1,959 Resorts International, Term Loan B 10.270% 3/03/12 B2 B 1,962,089
427 Venetian Casino Resort, LLC, Delayed Draw Term Loan 5.770% 6/15/11 B1 BB- 431,390
2,073 Venetian Casino Resort, LLC, Term Loan 5.770% 6/15/11 B1 BB- 2,092,243
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44,595,120
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HOUSEHOLD DURABLES - 3.3% (2.1% OF TOTAL INVESTMENTS)
3,674 Sealy Mattress Company, Term Loan D 5.731% 4/06/12 B1 B+ 3,712,038
4,500 Shea Homes, Term Loan (c) TBD TBD N/R N/R 4,547,813
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8,259,851
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HOUSEHOLD PRODUCTS - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,970 Prestige Brands, Inc., Term Loan B 6.316% 4/06/11 B1 B+ 1,997,087
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INDEPENDENT POWER PRODUCERS & ENERGY TRADERS - 0.4% (0.2% OF TOTAL INVESTMENTS)
553 Covanta Energy Corporation, Letter of Credit 3.863% 1/22/07 B1 B+ 560,793
446 Covanta Energy Corporation, Term Loan B 6.961% 5/23/12 B1 B+ 452,448
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1,013,241
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INSURANCE - 2.3% (1.4% OF TOTAL INVESTMENTS)
5,586 Conseco, Inc., Term Loan 5.970% 6/22/10 B2 BB- 5,659,316
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IT SERVICES - 3.8% (2.4% OF TOTAL INVESTMENTS)
4,413 Fidelity National, Term Loan B 5.685% 3/09/13 Ba3 BB 4,432,791
4,988 SunGard Data Systems Inc., Term Loan B 6.280% 1/25/13 B1 B+ 5,037,091
------------------------------------------------------------------------------------------------------------------------------------
9,469,882
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LEISURE EQUIPMENT & PRODUCTS - 0.4% (0.2% OF TOTAL INVESTMENTS)
1,000 Mega Bloks, Term Loan B 5.885% 9/30/10 Ba3 BB- 1,013,438
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MACHINERY - 1.2% (0.7% OF TOTAL INVESTMENTS)
1,099 Dresser-Rand Group Inc., Term Loan 6.047% 10/10/10 B1 B+ 1,117,937
1,830 Rexnord Corporation, Replacement Term Loan 6.151% 12/31/11 B1 B+ 1,854,040
------------------------------------------------------------------------------------------------------------------------------------
2,971,977
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MEDIA - 24.3% (15.2% OF TOTAL INVESTMENTS)
6,209 American Media Operations, Inc., Term Loan C 6.813% 4/01/07 B1 B 6,284,290
6,000 Century Cable Holdings, LLC, Discretionary Term Loan (b) 8.750% 12/31/09 N/R N/R 5,948,250
1,640 Century Cable Holdings, LLC, Revolver (b)(e) 7.750% 10/25/10 N/R N/R 1,613,350
2,000 Century Cable Holdings, LLC, Revolver (b)(e) 7.750% 10/25/10 N/R N/R 1,967,500
4,931 Charter Communications Operating, LLC, Term Loan B 7.500% 4/07/11 B2 B 4,950,066
2,294 Dex Media East, LLC, Term Loan B 5.781% 11/10/08 Ba2 BB 2,307,118
4,420 Dex Media West, LLC, Term Loan B 5.734% 3/09/10 Ba2 BB 4,446,871
1,985 Emmis Operating Company, Term Loan 5.720% 11/10/11 Ba2 B+ 2,001,252
1,044 Gray Television, Inc., Term Loan B 5.350% 12/31/10 Ba2 BB- 1,049,860
5,000 Metro-Goldwyn-Mayer Studios, Inc., Term Loan B 6.270% 4/12/12 N/R N/R 5,048,438
6,000 PRIMEDIA Inc., Term Loan 6.114% 9/30/13 N/R B 5,881,875
4,337 R.H. Donnelley Inc., Tranche D 5.696% 6/30/11 Ba3 BB 4,371,351
2,985 Rainbow Media Holdings LLC, Term Loan 6.438% 3/31/12 B1 BB+ 3,015,783
4,656 Regal Cinemas Corporation, Term Loan 6.020% 11/10/10 Ba3 BB- 4,709,961
1,728 Sun Media Corporation, Term Loan B 6.243% 2/07/09 Ba2 BB 1,747,044
3,000 UPC Financing Partnership, Term Loan H2 6.804% 9/30/12 B1 B 3,029,219
2,953 WMG Acquisition Corp., Term Loan 5.847% 2/27/11 B1 B+ 2,986,093
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61,358,321
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METALS & MINING - 2.0% (1.2% OF TOTAL INVESTMENTS)
4,951 Amsted Industries Incorporated, Term Loan B 6.623% 10/15/10 B1 BB- 5,020,689
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MULTI-UTILITIES - 1.6% (1.0% OF TOTAL INVESTMENTS)
875 NRG Energy, Inc., Credit-Linked Deposit 3.920% 12/24/11 Ba3 BB 881,198
1,117 NRG Energy, Inc., Term Loan 5.895% 12/20/11 Ba3 BB 1,124,471
1,985 Reliant Energy, Inc., Term Loan 6.112% 4/30/10 B1 B+ 1,993,684
------------------------------------------------------------------------------------------------------------------------------------
3,999,353
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OIL, GAS & CONSUMABLE FUELS - 2.0% (1.2% OF TOTAL INVESTMENTS)
800 Coffeyville Resources LLC, Letter of Credit 6.563% 6/24/12 B1 BB- 814,000
1,197 Coffeyville Resources LLC, Term Loan B 6.566% 6/24/12 B1 BB- 1,217,948
1,125 El Paso Corporation, Deposit-Funded Commitment 3.764% 11/23/09 B3 B 1,133,359
1,845 El Paso Corporation, Term Loan 6.813% 11/23/09 B3 B 1,861,016
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5,026,323
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PAPER & FOREST PRODUCTS - 1.7% (1.1% OF TOTAL INVESTMENTS)
1,195 Boise Cascade Holdings, LLC, Term Loan D 5.790% 3/29/11 Ba3 BB 1,213,123
2,993 NewPage Corporation, Term Loan B 6.788% 5/22/11 B1 B 3,022,425
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4,235,548
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PHARMACEUTICALS - 0.8% (0.5% OF TOTAL INVESTMENTS)
1,990 Talecris Biotherapeutics Inc., Term Loan B 7.090% 3/31/10 N/R N/R 1,994,975
------------------------------------------------------------------------------------------------------------------------------------
REAL ESTATE - 6.3% (3.9% OF TOTAL INVESTMENTS)
1,781 General Growth Properties, Inc., Term Loan A 5.610% 10/28/04 Ba2 BB+ 1,790,334
4,968 General Growth Properties, Inc., Term Loan B 6.090% 11/12/08 Ba2 BB+ 5,028,605
937 Lion Gables, Term Loan 5.630% 9/30/06 N/R BB+ 942,407
4,900 LNR Property Corp., Term Loan 6.731% 2/03/08 B2 B+ 4,939,661
3,000 LNR Property Corp., Mezzanine Term Loan B 8.977% 2/03/08 B2 B+ 3,015,938
------------------------------------------------------------------------------------------------------------------------------------
15,716,945
------------------------------------------------------------------------------------------------------------------------------------
SPECIALTY RETAIL - 4.5% (2.8% OF TOTAL INVESTMENTS)
1,363 Micro Warehouse, Inc., Term Loan B (a)(b) 0.000% 1/30/07 N/R N/R 40,889
2,993 Movie Gallery Inc., Term Loan B 7.830% 4/01/11 B2 B 2,932,961
4,060 Norwood Promotional Products, Inc., Term Loan A 10.125% 8/16/09 N/R N/R 4,120,531
5,362 Norwood Promotional Products, Inc., Term Loan B 1.000% 8/16/11 N/R N/R 2,077,921
2,000 TravelCenters of America Inc., Term Loan 5.710% 6/30/11 B1 BB 2,023,750
------------------------------------------------------------------------------------------------------------------------------------
11,196,052
------------------------------------------------------------------------------------------------------------------------------------
TEXTILES, APPAREL & LUXURY GOODS - 3.6% (2.3% OF TOTAL INVESTMENTS)
5,225 Jostens IH Corp., Term Loan C 5.943% 7/29/10 B1 B+ 5,312,357
3,750 William Carter Company, Term Loan B 5.718% 7/17/12 B1 BB 3,800,391
------------------------------------------------------------------------------------------------------------------------------------
9,112,748
------------------------------------------------------------------------------------------------------------------------------------
TRADING COMPANIES & DISTRIBUTORS - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Ashtead Group Public Limited Company, Term Loan 6.063% 11/12/09 N/R BB 2,021,663
------------------------------------------------------------------------------------------------------------------------------------
Total Variable Rate Senior Loan Interests (cost $349,113,423) 342,259,775
---------------------------------------------------------------------------------------------------------------------
RATINGS**
PRINCIPAL STATED ---------------
AMOUNT (000) DESCRIPTION(1) COUPON MATURITY MOODY'S S&P VALUE
------------------------------------------------------------------------------------------------------------------------------------
CORPORATE BONDS - 16.3% (10.2% OF TOTAL INVESTMENTS)
HOTELS, RESTAURANTS & LEISURE - 7.2% (4.6% OF TOTAL INVESTMENTS)
$ 5,350 Mandalay Resort Group 6.450% 2/01/06 Ba2 BB+ 5,390,125
1,500 MGM Grand 7.250% 10/15/06 Ba1 BB+ 1,526,250
7,000 MGM Mirage 9.750% 6/01/07 Ba2 BB- 7,385,000
1,443 Park Place Entertainment 7.875% 12/15/05 Ba2 BB- 1,450,215
2,400 Park Place Entertainment 8.875% 9/15/08 Ba2 BB- 2,586,000
------------------------------------------------------------------------------------------------------------------------------------
18,337,590
------------------------------------------------------------------------------------------------------------------------------------
HOUSEHOLD DURABLES - 1.2% (0.7% OF TOTAL INVESTMENTS)
3,000 Standard Pacific Corporation 6.500% 10/01/08 Ba2 BB 2,955,000
------------------------------------------------------------------------------------------------------------------------------------
MACHINERY - 0.8% (0.5% OF TOTAL INVESTMENTS)
2,000 Navistar International, Series B 9.375% 6/01/06 Ba3 BB- 2,045,000
------------------------------------------------------------------------------------------------------------------------------------
MEDIA - 4.4% (2.7% OF TOTAL INVESTMENTS)
1,930 AMC Entertainment 9.875% 2/01/12 B3 CCC+ 1,852,800
2,000 Cablevision Systems Corp. Floating Rate Note, 8.966% 4/01/09 B3 B+ 2,055,000
4.500% plus six-month LIBOR
4,500 Emmis Operating Company, Floating Rate Note, 10.135% 6/15/12 B3 B- 4,533,750
5.875% plus three-month LIBOR, 144A
2,500 PRIMEDIA Inc., Floating Rate Note, 9.635% 5/15/10 B3 B 2,518,750
5.375% plus three-month LIBOR
------------------------------------------------------------------------------------------------------------------------------------
10,960,300
------------------------------------------------------------------------------------------------------------------------------------
OIL, GAS & CONSUMABLE FUELS - 2.7% (1.7% OF TOTAL INVESTMENTS)
6,417 Tesoro Petroleum Corporation 8.000% 4/15/08 Ba2 BBB- 6,705,765
------------------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds (cost $41,615,512) 41,003,655
---------------------------------------------------------------------------------------------------------------------
SHARES (000) DESCRIPTION(1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
EQUITIES - 0.0% (0.0% OF TOTAL INVESTMENTS)
AUTO COMPONENTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
280 MetalForming Technologies, Inc. (b) (f) --
------------------------------------------------------------------------------------------------------------------------------------
Total Equities (cost $0) --
---------------------------------------------------------------------------------------------------------------------
WARRANTS - 0.0% (0.0% OF TOTAL INVESTMENTS)
MULTI-UTILITIES - 0.0% (0.0% OF TOTAL INVESTMENTS)
6 Reliant Energy, Inc. 46,284
------------------------------------------------------------------------------------------------------------------------------------
Total Warrants (cost $40,254) 46,284
---------------------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT (000) DESCRIPTION(1) VALUE
------------------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS - 7.8% (4.8% TOTAL INVESTMENTS)
State Street Bank, 3.730%, dated 10/31/05, due 11/01/05,
repurchase price $19,506,655 collateralized by $15,965,000
$ 19,505 U.S. Treasury Bonds, 7.250%, due 5/15/16, value $19,896,605 19,504,634
===========-------------------------------------------------------------------------------------------------------------------------
Total Repurchase Agreements (cost $19,504,634) 19,504,634
---------------------------------------------------------------------------------------------------------------------
Total Investments (cost $410,273,823) - 160.2% 402,814,348
---------------------------------------------------------------------------------------------------------------------
Borrowings Payable - (41.0)%+ (103,000,000)
---------------------------------------------------------------------------------------------------------------------
Other Assets Less Liabilities - (0.9)% (2,431,285)
---------------------------------------------------------------------------------------------------------------------
Preferred Shares, at Liquidation Value (18.3)% (46,000,000)
---------------------------------------------------------------------------------------------------------------------
Net Assets Applicable to Common Shares - 100% $251,383,063
=====================================================================================================================
(1) All percentages shown in the Portfolio of Investments are
based on net assets applicable to Common shares unless
otherwise noted.
(2) Senior Loans in which the Fund invests generally pay
interest at rates which are periodically adjusted by
reference to a base short-term, floating lending rate plus
an assigned fixed rate. These floating lending rates are
generally (i) the lending rate referenced by the London
Inter-Bank Offered Rate ("LIBOR"), or (ii) the prime rate
offered by one or more major United States banks.
The Fund did not have any unfunded loan commitments at
October 31, 2005.
Senior Loans may be considered restricted in that the Fund
ordinarily is contractually obligated to receive approval
from the Agent Bank and/or Borrower prior to the disposition
of a Senior Loan.
* Senior Loans in the Fund's portfolio generally are subject
to mandatory and/or optional prepayment. Because of these
mandatory prepayment conditions and because there may be
significant economic incentives for a Borrower to prepay,
prepayments of Senior Loans in the Fund's portfolio may
occur. As a result, the actual remaining maturity of Senior
Loans held in the Fund's portfolio may be substantially less
than the stated maturities shown.
** Ratings below Baa by Moody's Investor Service, Inc. or BBB
by Standard & Poor's Group are considered to be below
investment grade.
(a) At or subsequent to October 31, 2005, this issue was
non-income producing.
(b) At or subsequent to October 31, 2005, this issue was under
the protection of the Federal Bankruptcy Court.
(c) Investment purchased on a when-issued or delayed delivery
basis.
(d) Portion of investment purchased on a when-issued or delayed
delivery basis.
(e) Position represents a participation commitment outstanding
at October 31, 2005. The Fund had the following
participation commitments outstanding at October 31, 2005:
COMMITMENT
COUNTERPARTY AMOUNT VALUE
-----------------------------------------------------------------
Morgan Stanley $1,640,000 $1,613,350
Bear, Stearns & Co., Inc. 2,000,000 1,967,500
-----------------------------------------------------------------
(f) Investment valued at fair value using methods determined in
good faith by, or at the discretion of, the Board of
Trustees.
144A Securities are exempt from registration under Rule 144A of
the Securities Act of 1933, as amended. These securities may
only be resold in transactions exempt from registration
which are normally those transactions with qualified
institutional buyers.
TBD Senior Loan purchased on a when-issued or delayed delivery
basis. Certain details associated with this purchase are not
known prior to the settlement date of the transaction. In
addition, Senior Loans typically trade without accrued
interest and therefore a weighted average coupon rate is not
available prior to settlement. At settlement, if still
unknown, the borrower or counterparty will provide the Fund
with the final weighted average coupon rate and maturity
date.
(PIK) In lieu of cash payment, interest accrued on "Payment in
Kind" investment increases principal outstanding.
N/R Investment is not rated.
+ Borrowings payable as a percentage of total investments is
(25.6%).
STATEMENT of
ASSETS and LIABILITIES October 31, 2005 (Unaudited)
--------------------------------------------------------------------------------
ASSETS
Investments, at value (cost $410,273,823) $ 402,814,348
Cash 221
Receivables:
Interest 2,777,989
Investments sold 1,000,000
Other assets 81,782
--------------------------------------------------------------------------------
Total assets 406,674,340
--------------------------------------------------------------------------------
LIABILITIES
Payables:
Borrowings 103,000,000
Investments purchased 5,522,500
Accrued expenses:
Management fees 166,917
Interest on borrowings 332,603
Other 184,620
Preferred share dividends payable 84,637
--------------------------------------------------------------------------------
Total liabilities 109,291,277
--------------------------------------------------------------------------------
Preferred shares, at liquidation value 46,000,000
--------------------------------------------------------------------------------
Net assets applicable to Common shares $ 251,383,063
================================================================================
Common shares outstanding 29,806,406
================================================================================
Net asset value per Common share outstanding
(net assets applicable to Common shares, divided by
Common shares outstanding) $ 8.43
================================================================================
NET ASSETS APPLICABLE TO COMMON SHARES CONSIST OF:
--------------------------------------------------------------------------------
Common shares, $.01 par value per share $ 298,064
Paid-in surplus 282,980,099
Undistributed net investment income 1,126,147
Accumulated net realized gain (loss) from investments (25,561,772)
Net unrealized appreciation (depreciation) of investments (7,459,475)
--------------------------------------------------------------------------------
Net assets applicable to Common shares $ 251,383,063
================================================================================
Authorized shares:
Common Unlimited
Preferred Unlimited
================================================================================
See accompanying notes to financial statements.
STATEMENT of
OPERATIONS Three Months Ended
October 31, 2005 (Unaudited)
--------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 6,055,189
Fees 132,313
--------------------------------------------------------------------------------
Total investment income 6,187,502
--------------------------------------------------------------------------------
EXPENSES
Management fees 849,587
Preferred shares - auction fees 28,986
Preferred shares - dividend disbursing agent fees 1,512
Shareholders' servicing agent fees and expenses 1,814
Interest expense 962,258
Commitment fees 93,913
Custodian's fees and expenses 41,189
Trustees' fees and expenses 1,260
Professional fees 17,594
Shareholders' reports - printing and mailing expenses 13,497
Stock exchange listing fees 2,918
Investor relations expense 12,464
Other expenses 3,902
--------------------------------------------------------------------------------
Total expenses before custodian fee credit and expense
reimbursement 2,030,894
Custodian fee credit (33)
Expense reimbursement (354,009)
--------------------------------------------------------------------------------
Net expenses 1,676,852
--------------------------------------------------------------------------------
Net investment income 4,510,650
--------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain from investments 59,410
Change in net unrealized appreciation (depreciation)
of investments (854,026)
--------------------------------------------------------------------------------
Net realized and unrealized gain (loss) (794,616)
--------------------------------------------------------------------------------
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS
From net investment income (405,586)
--------------------------------------------------------------------------------
Net increase in net assets applicable to Common shares
from operations $ 3,310,448
================================================================================
See accompanying notes to financial statements.
STATEMENT of
CHANGES in NET ASSETS (Unaudited)
THREE MONTHS ENDED YEAR ENDED
10/31/05 7/31/05
--------------------------------------------------------------------------------
OPERATIONS
Net investment income $ 4,510,650 $ 19,794,415
Net realized gain from investments 59,410 1,525,914
Change in net unrealized appreciation
(depreciation) of investments (854,026) (1,775,441)
Distributions to Preferred Shareholders
from net investment income (405,586) (1,124,957)
--------------------------------------------------------------------------------
Net increase in net assets applicable to
Common shares from operations 3,310,448 18,419,931
--------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS
From net investment income (4,560,275) (17,279,906)
--------------------------------------------------------------------------------
Decrease in net assets applicable
to Common shares from distributions
to Common shareholders (4,560,275) (17,279,906)
--------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Net proceeds from Common shares
issued to shareholders due to
reinvestment of distributions 35,007 179,443
--------------------------------------------------------------------------------
Net increase in net assets applicable
to Common shares from
capital transactions 35,007 179,443
--------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable
to Common shares (1,214,820) 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 $251,383,063 $252,597,883
================================================================================
Undistributed net investment income
at the end of period $ 1,126,147 $ 1,581,358
================================================================================
See accompanying notes to financial statements.
STATEMENT of
CASH FLOWS Three Months Ended
October 31, 2005 (Unaudited)
---------------------------------------------------------------------------------------------------
CASH FLOWS FROM OPERATING ACTIVITIES:
NET INCREASE IN NET ASSETS APPLICABLE TO COMMON SHARES FROM OPERATIONS $ 3,310,448
Adjustments to reconcile the net increase in net assets applicable to Common
shares from operations to net cash provided by operating
activities:
Purchase of investment securities (37,455,337)
Proceeds from disposition of investment securities 40,794,144
Proceeds from disposition of short-term investment securities, net 13,809,811
Amortization/(Accretion) of premiums and discounts of investment securities, net 306,099
Increase in interest receivable (24,293)
Decrease in receivable from investments sold 936,271
Decrease in other assets 4,342
Increase in interest on borrowings 40,549
Decrease in payable for investments purchased (18,020,000)
Decrease in management fees payable (56)
Decrease in other liabilities (25,578)
Increase in Preferred share dividends payable 44,210
Net realized (gain) from investments (59,410)
Net realized (gain) from paydowns 10,263
Change in net unrealized (appreciation) depreciation of investments 854,026
---------------------------------------------------------------------------------------------------
Net cash provided by operating activities 4,525,489
---------------------------------------------------------------------------------------------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Cash distributions paid to Common shareholders (4,525,268)
---------------------------------------------------------------------------------------------------
Net cash used in financing activities (4,525,268)
---------------------------------------------------------------------------------------------------
NET INCREASE IN CASH 221
Cash at the beginning of period --
---------------------------------------------------------------------------------------------------
CASH AT THE END OF PERIOD $ 221
===================================================================================================
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid for interest on bank borrowings during the three months ended
October 31, 2005, was $921,709.
Non-cash financing activities not included herein consist of reinvestments
of Common share distributions of $35,007.
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.
Effective January 1, 2005, Nuveen Institutional Advisory Corp. ("NIAC"), the
Funds' previous Adviser, and its affiliate, Nuveen Advisory Corp. ("NAC"), were
merged into Nuveen Asset Management ("NAM"), each wholly owned subsidiaries of
Nuveen Investments, Inc. ("Nuveen"). As a result of the merger, NAM is now the
Adviser to all funds previously advised by either NIAC or NAC.
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, 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. High-grade 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 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 investment 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 and delayed delivery purchase commitments. At October 31, 2005, the
Fund had outstanding when-issued and delayed delivery purchase commitments of
$5,522,500.
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 consists
Notes to
FINANCIAL STATEMENTS (Unaudited)(continued)
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.
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.
Taxable Auctioned 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:
THREE MONTHS ENDED YEAR ENDED
10/31/05 7/31/05
----------------------------------------------------------
Common shares issued to
shareholders due to
reinvestment of
distributions 4,120 20,084
==========================================================
3. INVESTMENT TRANSACTIONS
Purchases and sales of investments (excluding short-term investments during the
three months ended October 31, 2005, aggregated $37,455,337 and $40,794,144,
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 October 31, 2005, the cost of investments was $410,273,823.
The net unrealized depreciation of investments at October 31, 2005, aggregated
$7,459,475 of which $4,919,445 related to appreciated investments and
$12,378,920 related to depreciated investments.
The tax components of undistributed net ordinary income and net realized gains
at July 31, 2005, the Fund's last fiscal 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 fiscal year ended July 31,
2005, the Fund's last fiscal year end, was designated for purposes of the
dividends paid deduction as follows:
2004
--------------------------------------------------------------------------------
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 fiscal year end, the Fund had unused capital
loss carryforwards of $25,621,182 available for federal income tax purposes to
be applied against future capital gains, if any. If not applied, $14,916,928 of
the carryforward will expire in the year 2010 and $10,704,254 will expire in
2011.
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 the
Adviser, 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, for the Fund is based upon the
average daily Managed Assets 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
================================================================================
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 follows:
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 Fund. Symphony is compensated for its services to
the Fund from the management fee paid to the Adviser.
The Fund pays no compensation directly to those of its Trustees who are
affiliated with the Adviser or to 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.
Notes to
FINANCIAL STATEMENTS (Unaudited)(continued)
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 October 31, 2005, there were no such unfunded senior loan
commitments.
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 October 31,
2005:
COUNTERPARTY COMMITMENT AMOUNT MARKET VALUE
--------------------------------------------------------------------------------
Bear, Stearns & Co., Inc. $2,000,000 $1,967,500
Morgan Stanley 1,640,000 1,613,350
================================================================================
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 three months ended
October 31, 2005, 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 3.71%.
Notes to
FINANCIAL STATEMENTS (Unaudited)(continued)
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 three months ended October 31, 2005.
9. SUBSEQUENT EVENT - DISTRIBUTIONS TO COMMON SHAREHOLDERS
The Fund declared a $.0510 Common share dividend distribution from its net
investment income which was paid on December 1, 2005, to shareholders of record
on November 15, 2005.
Financial
HIGHLIGHTS (Unaudited)
Selected data for a Common share outstanding throughout each period:
Investment Operations
------------------------------------------------------------------
Distributions Distributions
from Net from
Beginning Investment Capital
Common Net Income to Gains to
Share Net Realized/ Preferred Preferred
Net Asset Investment Unrealized Share- Share-
Value Income Gain(Loss) holders+ holders+ Total
======================================================================================================
------------------------------------------------------------------------------------------------------
Three Months
Ended 10/31/05 $8.48 $ .15 $ (.04) $(.01) $-- $ .10
Year Ended 7/31:
2005 8.44 .66 -- (.04) -- .62
2004 7.84 .64 .50 (.02) -- 1.12
2003 7.38 .60 .41 (.02) -- .99
2002 8.13 .68 (.71) (.04) -- (.07)
2001 9.47 1.09 (1.29) (.09) -- (.29)
======================================================================================================
Less Distributions Total Returns
--------------------------------- ---------------------
Based
Net Offering on
Investment Capital Costs Ending Common
Income to Gains to and Preferred Common Based Share
Common Common Share Share Ending on Net
Share- Share- Underwriting Net Asset Market Market Asset
holders holders Total Discounts Value Value Value** Value**
=========================================================================================================================
-------------------------------------------------------------------------------------------------------------------------
Three Months
Ended 10/31/05 $ (.15) $ -- $ (.15) $ -- $8.43 $8.03 (8.81)% 1.22%
Year Ended 7/31:
2005 (.58) -- (.58) -- 8.48 8.97 (3.40) 7.53
2004 (.52) -- (.52) -- 8.44 9.91 24.50 14.61
2003 (.53) -- (.53) -- 7.84 8.43 25.93 14.25
2002 (.68) -- (.68) -- 7.38 7.20 (21.16) (.65)
2001 (1.03) (.02) (1.05) -- 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
===========================================================================================================================
---------------------------------------------------------------------------------------------------------------------------
Three Months
Ended 10/31/05 $251,383 3.19%* 6.54%* 2.64%* 7.09%* 10%
Year Ended 7/31:
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
=============================================================================================================
-------------------------------------------------------------------------------------------------------------
Three Months
Ended 10/31/05 $46,000 $25,000 $161,621 103,000 3,887
Year Ended 7/31:
2005 46,000 25,000 162,281 103,000 3,899
2004 46,000 25,000 161,564 103,000 3,440
2003 46,000 25,000 151,750 103,000 3,264
2002 46,000 25,000 144,271 103,000 3,131
2001 46,000 25,000 156,327 103,000 3,346
=============================================================================================================
* Annualized.
** Total Investment 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.
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
------------------------
Three Months
Ended
10/31/05 1.51%*
Year Ended
7/31:
2005 1.00
2004 .48
2003 .74
2002 1.09
2001 2.19
See accompanying notes to financial statements.
Reinvest Automatically
EASILY AND CONVENIENTLY
NUVEEN MAKES REINVESTING EASY. A PHONE CALL IS ALL IT TAKES TO SET UP YOUR
REINVESTMENT ACCOUNT.
NUVEEN EXCHANGE-TRADED
CLOSED-END FUNDS
DIVIDEND REINVESTMENT PLAN
Your Nuveen Exchange-Traded Closed-End Fund allows you to conveniently reinvest
dividends and/or capital gains distributions in additional fund shares.
By choosing to reinvest, you'll be able to invest money regularly and
automatically, and watch your investment grow through the power of compounding.
It is important to note that an automatic reinvestment plan does not ensure a
profit, nor does it protect you against loss in a declining market.
EASY AND CONVENIENT
To make recordkeeping easy and convenient, each month you'll receive a statement
showing your total dividends and distributions, the date of investment, the
shares acquired and the price per share, and the total number of shares you own.
HOW SHARES ARE PURCHASED
The shares you acquire by reinvesting will either be purchased on the open
market or newly issued by the Fund. If the shares are trading at or above net
asset value at the time of valuation, the Fund will issue new shares at the
greater of the net asset value or 95% of the then-current market price. If the
shares are trading at less than net asset value, shares for your account will be
purchased on the open market. Dividends and distributions received to purchase
shares in the open market will normally be invested shortly after the dividend
payment date. No interest will be paid on dividends and distributions awaiting
reinvestment. Because the market price of the shares may increase before
purchases are completed, the average purchase price per share may exceed the
market price at the time of valuation, resulting in the acquisition of fewer
shares than if the dividend or distribution had been paid in shares issued by
the Fund. A pro rata portion of any applicable brokerage commissions on open
market purchases will be paid by Plan participants. These commissions usually
will be lower than those charged on individual transactions.
FLEXIBLE
You may change your distribution option or withdraw from the Plan at any time,
should your needs or situation change. Should you withdraw, you can receive a
certificate for all whole shares credited to your reinvestment account and cash
payment for fractional shares, or cash payment for all reinvestment account
shares, less brokerage commissions and a $2.50 service fee.
You can reinvest whether your shares are registered in your name, or in the name
of a brokerage firm, bank, or other nominee. Ask your investment advisor if his
or her firm will participate on your behalf. Participants whose shares are
registered in the name of one firm may not be able to transfer the shares to
another firm and continue to participate in the Plan.
The Fund reserves the right to amend or terminate the Plan at any time. Although
the Fund reserves the right to amend the Plan to include a service charge
payable by the participants, there is no direct service charge to participants
in the Plan at this time.
CALL TODAY TO START REINVESTING DIVIDENDS AND/OR DISTRIBUTIONS
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in
or withdraw from the Plan, speak with your financial advisor or call us at (800)
257-8787.
Other Useful
INFORMATION
QUARTERLY PORTFOLIO OF INVESTMENTS AND PROXY VOTING INFORMATION
Each Fund's (i) quarterly portfolio of investments, (ii) information regarding
how the Fund voted proxies relating to portfolio securities held during the
12-month period ended June 30, 2005, and (iii) a description of the policies and
procedures that the Fund used to determine how to vote proxies relating to
portolio securities are available without charge, upon request, by calling
Nuveen Investments toll-free at (800) 257-8787 or on Nuveen's web site at
www.nuveen.com.
You may also obtain this and other Fund information directly from the Securities
and Exchange Commission ("SEC"). The SEC may charge a copying fee for this
information. Visit the SEC on-line at http://www.sec.gov or in person at the
SEC's Public Reference Room in Washington, D.C. Call the SEC at 1-202-942-8090
for room hours and operation. You may also request Fund information by sending
an e-mail request to publicinfo@sec.gov or by writing to the SEC's Public
Reference Section at 450 Fifth Street NW, Washington, D.C. 20549.
CEO CERTIFICATION DISCLOSURE
Each Fund's Chief Executive Officer has submitted to the New York Stock Exchange
the annual CEO certification as required by Section 303A.12(a) of the NYSE
Listed Company Manual.
Each Fund has filed with the Securities and Exchange Commission the
certification of its Chief Executive Officer and Chief Financial Officer
required by Section 302 of the Sarbanes-Oxley Act.
GLOSSARY OF TERMS USED IN THIS REPORT
AVERAGE ANNUAL TOTAL RETURN: This is a commonly used method to express an
investment's performance over a particular, usually multi-year time period. It
expresses the return that would have been necessary each year to equal the
investment's actual cumulative performance (including change in NAV or market
price and reinvested dividends and capital gains distributions, if any) over the
time period being considered.
AVERAGE EFFECTIVE MATURITY: The average of all the maturities of the bonds in a
Fund's portfolio, computed by weighting each maturity date (the date the
security comes due) by the market value of the security. This figure does not
account for the likelihood of prepayments or the exercise of call provisions.
MARKET YIELD (ALSO KNOWN AS DIVIDEND YIELD OR CURRENT YIELD): An investment's
current annualized dividend divided by its current market price.
NET ASSET VALUE (NAV): A Fund's common share NAV per share is calculated by
subtracting the liabilities of the Fund from its total assets and then dividing
the remainder by the number of shares outstanding. Fund NAVs are calculated at
the end of each business day.
BOARD OF TRUSTEES
Robert P. Bremner
Lawrence H. Brown
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Timothy R. Schwertfeger
Judith M. Stockdale
Eugene S. Sunshine
FUND MANAGER
Nuveen Asset Management
333 West Wacker Drive
Chicago, IL 60606
CUSTODIAN
State Street Bank & Trust
Boston, MA
TRANSFER AGENT AND
SHAREHOLDER SERVICES
State Street Bank & Trust
Nuveen Funds
P.O. Box 43071
Providence, RI 02940-3071
(800) 257-8787
LEGAL COUNSEL
Chapman and Cutler LLP
Chicago, IL
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
Chicago, IL
The Fund intends to repurchase shares of its own common or preferred stock in
the future at such times and in such amounts as is deemed advisable. No shares
were repurchased during the period covered by this report. Any future
repurchases will be reported to shareholders in the next annual or semiannual
report.
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 at this time.
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.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's Board implemented after the registrant
last provided disclosure in response to this Item.
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: January 6, 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: January 6, 2006
-------------------------------------------------------------------
By (Signature and Title)* /s/ Stephen D. Foy
----------------------------------------------
Stephen D. Foy
Vice President and Controller
(principal financial officer)
Date: January 6, 2006
-------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.