Nuveen Senior Income Fund

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:            07/31          

Date of reporting period:          10/31/04         

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Schedule of Investments

Portfolio of Investments (Unaudited)
Nuveen Senior Income Fund (NSL)
October 31, 2004


 

Ratings*

Principal


Stated

Market

Amount (000)

Description(1)

Moody's

S&P

Maturity**

Value


VARIABLE RATE SENIOR LOAN INTERESTS(2) - 137.5% (82.9% of total assets)

Aerospace & Defense - 3.5% (2.1% of total assets)

$

1,510

DeCrane Aircraft Holdings, Inc., Term Loan D

B3

B-

12/17/06

$    1,510,003

3,968

United Defense Industries Inc., Term Loan B

Ba2

BB+

08/13/09

4,007,151

224

Vought Aircraft Industries, Inc., Term Loan B

Ba3

B+

06/30/07

226,550

156

Vought Aircraft Industries, Inc., Term Loan C

Ba3

B+

06/30/08

158,183

2,933

Vought Aircraft Industries, Inc., Term Loan X

Ba3

B+

12/31/06

2,958,884


8,860,771


Airlines - 2.4% (1.4% of total assets)

6,000

United Air Lines, Inc., DIP Term Loan (Tranche B)

NR

NR

06/30/05

6,067,500


Auto Components - 13.8% (8.3% of total assets)

4,224

Federal-Mogul Corporation, Term Loan A (b)

NR

NR

02/24/04

3,931,416

5,551

Federal-Mogul Corporation, Term Loan B (b)

NR

NR

02/24/05

5,181,255

1,995

Mark IV Industries, Inc., Term Loan B

B1

BB-

06/23/11

2,027,419

4,488

Meridian Automotive Systems, Inc., Tranche B Term Loan

B2

B+

08/28/10

4,184,594

8,286

Metaldyne Company LLC, Term Loan D

B2

BB-

12/31/09

8,266,706

3,046

MetalForming Technologies, Inc., Term Loan A

NR

NR

09/30/07

2,512,760

1,122

MetalForming Technologies, Inc., Term Loan B (PIK)

NR

NR

09/30/07

532,929

2,448

Plastech Engineered Products, Inc., Term Loan B

Ba3

BB-

03/31/10

2,489,591

3,422

Tenneco Automotive Inc., Term Loan B

B1

B+

12/12/10

3,486,584

1,552

Tenneco Automotive Inc., Term Loan B-1

B1

B+

12/12/10

1,581,465

857

United Components, Inc., Term Loan C

B1

BB-

06/30/10

868,981


35,063,700


Beverages - 2.5% (1.5% of total assets)

6,372

Dr. Pepper/Seven UP Bottling Group, Inc., Term Loan B  

B1

NR

12/19/10

6,464,554


Building Products- 0.8% (0.5% of total assets)

2,000

Nortek, Inc., Term Loan B

B1

B+

08/27/11

2,031,667


Chemicals - 4.2% (2.5% of total assets)

1,657

Buckeye Technologies, Inc., Term Loan B

B1

BB-

03/15/08

1,682,207

2,000

Huntsman International LLC, Term Loan

NR

B

03/31/10

2,031,042

2,000

Rockwood Specialties Group, Inc., Term Loan B

B1

B+

07/30/12

2,022,656

3,387

Shemin Holdings Corporation, Term Loan B

NR

NR

01/28/07

3,336,595

1,500

Wellman, Inc., First Lien Term Loan

B1

B+

02/10/09

1,526,563


10,599,063


Commercial Services & Supplies - 4.9% (2.9% of total assets)

6,384

Allied Waste North America, Inc., Term Loan B

B1

BB

01/15/10

6,457,776

3,990

National Equipment Services, Inc., Term Loan

B3

B

08/17/10

3,994,983

1,940

Williams Scotsman, Inc., Term Loan

B1

B+

12/31/06

1,966,879


12,419,638


Construction & Engineering - 1.2% (0.8% of total assets)

1,955

Anthony Crane Rental, L.P., Revolver (b)

NR

NR

07/22/04

1,573,827

1,982

Anthony Crane Rental, L.P., Term Loan (b)

NR

NR

07/23/04

1,595,313


3,169,140


Containers & Packaging - 10.8% (6.5% of total assets)

2,500

Boise Cascade Holdings, L.L.C., Term Loan B (d)

Ba3

BB

10/29/11

2,545,704

2,500

Boise Cascade Holdings, L.L.C., Term Loan C (d)

Ba3

BB

10/28/10

2,522,768

6,453

Graham Packaging Company, L.P., Term Loan B  

B2

B

10/07/11

6,551,318

2,000

Graham Packaging Company, L.P., Term Loan C  

B2

CCC+

03/15/12

2,049,584

5,000

Smurfit-Stone Container Corporation, New Issue Term Loan B (d)

Ba3

BB-

11/01/11

5,089,063

5,285

Smurfit-Stone Container Corporation, Term Loan B

Ba3

NR

06/30/09

5,315,423

251

Smurfit-Stone Container Corporation, Term Loan C

Ba3

NR

06/30/09

253,180

2,985

United States Can Company, Term Loan B

B2

B

01/15/10

2,988,731


27,315,771


Diversified Telecommunication Services - 2.2% (1.4% of total assets)

5,695

RCN Corporation, Term Loan B

B3

NR

06/03/07

5,678,382

5,000

WCI Capital Corp., Term Loan B (a)(b)

NR

NR

09/30/07

12,500


5,690,882


Electric Utilities - 3.0% (1.8% of total assets)

2,000

Allegheny Energy Supply Company, LLC, Term Loan (d)

B1

B+

03/08/11

2,034,584

5,500

Mirant Corporation, Revolver (b)

NR

NR

07/15/03

3,437,500

2,000

Reliant Energy, Inc., Term Loan B (d)

NR

NR

03/31/07

2,035,833


7,507,917


Electronic Equipment & Instruments - 0.8% (0.5% of total assets)

1,713

Sensus Metering Systems Inc., Term Loan B-1

B2

B+

12/17/10

1,729,817

257

Sensus Metering Systems Inc., Term Loan B-2

B2

B+

12/17/10

259,473


1,989,290


Food Products - 4.1% (2.4% of total assets)

1,863

Birds Eye Foods, Inc., Term Loan B

B1

B+

08/20/08

1,888,646

1,875

Constellation Brands, Inc., Term Loan B

Ba1

BB

11/30/08

1,886,216

3,415

Del Monte Corporation, Term Loan B

Ba3

BB-

12/20/10

3,479,809

2,000

Dole Holding Company, LLC, Term Loan

B3

B

07/22/10

2,031,875

993

Michael Foods, Inc., Term Loan B

B1

B+

11/20/10

1,007,077


10,293,623


Healthcare Equipment & Supplies - 4.0% (2.4% of total assets)

1,636

Advanced Medical Optics, Inc., Term Loan B

B1

BB-

06/25/09

1,660,950

3,063

Kinetic Concepts, Inc., Term Loan B-1

B1

BB-

08/11/10

3,102,264

3,381

Mariner Health Care, Inc., Term Loan

Ba3

BB-

01/02/10

3,393,850

1,980

Quintiles Transnational Corp., Term Loan B

B1

BB-

06/26/08

2,005,988


10,163,052


Healthcare Providers & Services - 6.7% (4.1% of total assets)

5,000

Alpharma Operating Corporation, Term Loan A

B1

B+

10/05/07

4,974,220

5,430

Community Health Systems, Inc., Term Loan

Ba3

BB-

08/19/11

5,453,273

1,995

IASIS Healthcare LLC, Term Loan B

B1

B+

06/22/11

2,024,509

2,616

Triad Hospitals, Inc., Term Loan B

Ba2

BB

09/30/08

2,655,595

2,000

Vanguard Health Holding Company I, LLC, Term Loan B  

B2

B

09/23/11

2,035,626


17,143,223


Hotels, Restaurants & Leisure - 16.4% (9.9% of total assets)

6,948

24 Hour Fitness Worldwide, Inc., Term Loan B

B1

B

07/01/09

7,038,686

4,536

Alliance Gaming Corporation, Term Loan B

Ba3

BB-

09/05/09

4,589,677

2,061

Ameristar Casinos, Inc., Term Loan B-1

Ba3

BB-

12/20/06

2,087,096

2,000

Argosy Gaming Company, Term Loan B

Ba1

BB

07/31/08

2,017,500

1,612

Isle of Capri Casinos, Inc., Term Loan

Ba2

BB-

04/26/08

1,632,464

5,955

Jack in the Box Inc., Term Loan

Ba2

BB

01/09/10

6,040,603

7,990

OpBiz, LLC, Term Loan A

NR

NR

08/31/10

7,730,023

19

OpBiz, LLC, Term Loan B (PIK)

NR

NR

08/31/10

17,965

3,205

Penn National Gaming, Inc., Term Loan D

Ba3

BB-

09/01/07

3,260,224

1,043

Wyndham International, Inc., Term Loan I

NR

NR

06/30/06

1,045,667

6,168

Wyndham International, Inc., Term Loan II

NR

NR

04/01/06

6,190,702


41,650,607


Household Durables - 4.7% (2.8% of total assets)

5,310

Jostens IH Corp., Term Loan B

B1

B+

07/29/10

5,396,638

2,000

Knoll, Inc., Term Loan

Ba3

BB-

09/29/11

2,027,500

4,375

Sealy Mattress Company, Term Loan C  

B2

B+

08/06/12

4,437,891


11,862,029


Household Products - 0.6% (0.3% of total assets)

1,548

Western Industries Holding Inc., Term Loan B

NR

NR

06/23/06

1,455,226


Insurance - 5.7% (3.5% of total assets)

9,975

Conseco, Inc., Term Loan

B2

BB-

06/22/10

10,184,889

4,600

GAB Robbins North America, Inc., Term Loan B

NR

NR

12/01/05

4,370,000


14,554,889


Machinery - 3.2% (2.0% of total assets)

2,000

Dresser-Rand Group Inc., Term Loan (d)

B1

B+

10/10/10

2,031,875

1,904

EaglePicher Incorporated, Term Loan B

B2

B+

08/07/09

1,916,166

2,233

Rexnord Corporation, Replacement Term Loan

B1

B+

11/25/09

2,254,935

2,003

Terex Corporation, Incremental Term Loan C

B1

BB-

12/31/09

2,029,730


8,232,706


Marine - 0.9% (0.6% of total assets)

2,382

American Commercial Lines LLC, Term Loan C

NR

NR

06/30/07

2,383,823


Media - 26.9% (16.3% of total assets)

6,274

American Media Operations, Inc., Term Loan C

Ba3

B+

04/01/07

6,372,321

2,000

Cablevision Systems Corp, Floating Rate Note, 4.500% plus six-month LIBOR

B3

B+

04/01/09

2,120,000

1,506

CanWest Media Inc., Term Loan E

Ba3

B+

06/18/09

1,526,802

4,000

Century Cable Holdings, LLC, Discretionary Term Loan (b)

NR

NR

12/31/09

3,942,918

1,640

Century Cable Holdings, LLC, Revolver (b)

NR

NR

10/25/10

1,610,275

2,000

Century Cable Holdings, LLC, Revolver (b)

NR

NR

10/25/10

1,963,750

4,988

Charter Communications Operating, LLC, Term Loan B

B2

B

04/07/11

4,955,129

2,635

Dex Media East, LLC, Term Loan B

Ba2

BB-

11/10/08

2,673,231

5,081

Dex Media West, LLC, Term Loan B

Ba2

BB-

03/09/10

5,159,938

2,000

Emmis Operating Company, Term Loan

Ba2

B+

11/10/11

2,021,500

2,000

Freedom Communications, Inc., Term Loan B

Ba3

BB

05/18/12

2,033,500

1,995

Gray Television, Inc., Term Loan C

Ba2

B+

12/31/10

2,022,431

2,444

Lamar Media Corp., Tranche D

Ba2

BB-

06/30/10

2,468,508

2,000

Metro-Goldwyn-Mayer Studios, Inc., Term Loan B

NR

NR

04/26/11

2,009,500

2,500

PRIMEDIA Inc., Floating Rate Note, 5.375% plus three-month LIBOR, 144A

B3

B

05/15/10

2,606,250

2,377

PRIMEDIA Inc., Term Loan B

NR

B

06/30/09

2,301,826

2,000

PRIMEDIA Inc., Term Loan C

NR

B

12/31/09

1,970,000

4,988

R.H. Donnelley Inc., Term Loan

Ba3

NR

06/30/11

5,065,951

3,000

Rainbow Media Holdings LLC, Term Loan

Ba2

BB+

03/31/12

3,052,500

7,718

Regal Cinemas Corporation, Term Loan

Ba3

BB-

11/10/10

7,822,379

1,748

Sun Media Corporation, Term Loan B

Ba2

BB

02/07/09

1,761,263

2,985

WMG Acquisition Corp., Term Loan

B1

B+

02/27/11

3,031,108


68,491,080


Metals & Mining - 2.1% (1.2% of total assets)

5,169

Amsted Industries Incorporated, Term Loan B

B1

BB-

10/15/10

5,223,792


Oil & Gas - 2.4% (1.4% of total assets)

2,000

Headwaters Incorporated, Term Loan B

B3

B-

09/01/12

2,048,750

1,995

Pride Offshore, Inc., Term Loan

Ba1

BB+

07/07/11

2,020,768

1,941

Tesoro Petroleum Corporation, Term Loan B

Ba2

BBB-

04/15/08

2,001,879


6,071,397


Personal Products - 5.7% (3.4% of total assets)

7,239

Norwood Promotional Products, Inc., Term Loan A

NR

NR

08/16/09

7,021,480

5,263

Norwood Promotional Products, Inc., Term Loan B

NR

NR

08/16/11

2,486,751

1,990

Prestige Brands, Inc., Term Loan B

B1

B

04/06/11

2,010,314

2,925

Sola International Inc., Term Loan B

Ba3

BB-

12/11/09

2,965,219


14,483,764


Road & Rail - 3.0% (1.8% of total assets)

7,520

Laidlaw Inc., Term Loan B-1

Ba3

BB+

06/19/09

7,645,727


Specialty Retail - 0.0% (0.0% of total assets)

1,363

Micro Warehouse, Inc., Term Loan B (b)

NR

NR

01/30/07

27,260


Wireless Telecommunication Services - 1.0% (0.6% of total assets)

2,481

Nextel Finance Company, Term Loan E

Ba1

BB+

12/15/10

2,491,273


Total Variable Rate Senior Loan Interests (cost $354,513,082)

349,353,364


Ratings*

Principal


Stated

Market

Amount (000)

Description(1)

Moody's

S&P

Maturity

Value


CORPORATE and MUNICIPAL BONDS - 11.0% (6.7% of total assets)

Hotels, Restaurants & Leisure - 4.8% (2.9% of total assets)

$

1,900

Mandalay Resort Group, 6.450%

Ba2

BB+

02/01/06

1,968,875

7,148

MGM Grand, 6.950%

Ba1

BB+

02/01/05

7,255,220

1,500

MGM Grand, 7.250%

Ba1

BB+

10/15/06

1,605,000

1,443

Park Place Entertainment, 7.875%

Ba2

BB-

12/15/05

1,516,954


12,346,049


Household Durables - 1.7% (1.0% of total assets)

1,000

D.R. Horton, Inc., 10.500%

Ba1

BB+

04/01/05

1,041,250

3,000

Standard Pacific Corporation, 6.500%

Ba2

BB

10/01/08

3,157,500


4,198,750


Machinery - 0.9% (0.5% of total assets)

2,000

Navistar International, Series B, 9.375%  

Ba3

BB-

06/01/06

2,170,000


Media - 0.8% (0.5% of total assets)

1,930

AMC Entertainment, 9.875%

B3

CCC+

02/01/12

2,074,750


Oil & Gas - 2.7% (1.7% of total assets)

6,417

Tesoro Petroleum Corporation, 8.000%

Ba2

BBB-

04/15/08

7,010,573


Paper & Forest Products - 0.1% (0.1% of total assets)

656

California Pollution Control Finance Authority, CanFibre of Riverside Project (a)(b)(c)

NR

NR

07/01/19

85,306

1,215

California Pollution Control Finance Authority, CanFibre of Riverside Project (a)(b)(c)

NR

NR

07/01/14

157,974


243,280


Total Corporate and Municipal Bonds (cost $27,557,295)

28,043,402


Market

Shares (000)

Description(1)

Value

 

EQUITIES - 0.1% (0.0% of total assets)

Diversified Telecommunication Services - 0.1% (0.0% of total assets)

7

Arch Wireless Holding Inc. (a)

210,537


Total Equities (cost $34,119)

210,537


Principal

Market

Amount (000)

Description(1)

Value


REPURCHASE AGREEMENTS - 15.4% (9.3% of total assets)

$

15,099

State Street Bank, 1.740%, dated 10/29/04, due 11/01/04, repurchase price

15,098,608

   $15,100,797, collateralized by $13,645,000 U.S. Treasury Notes, 0.000%,

   due 08/15/10, value $15,401,794

24,000

State Street Bank, 1.740%, dated 10/29/04, due 11/01/04, repurchase price

24,000,000

   $24,003,480, collateralized by $24,480,000 U.S. Treasury Notes, 1.625%,

   due 03/31/05, value $24,480,000


Total Repurchase Agreements (cost $39,098,608)

39,098,608


Total Investments (cost $421,203,104) -- 164.0% (98.9% of total assets)

416,705,911


Other Assets Less Liabilities -- (5.4%)

(13,678,721)


Borrowings Payable -- (40.5%)†

(103,000,000)


Taxable Auctioned Preferred Shares, at Liquidation Value -- (18.1%)

(46,000,000)


Net Assets Applicable to Common Shares -- 100%

$254,027,190


(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 a premium. These base

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.

At October 31, 2004, the Fund had unfunded loan commitments of $737,142.

The Fund had the following participation commitments outstanding at October 31, 2004:

Commitment

Market

Counterparty

Amount

Value


Bear, Stearns & Co., Inc.

$2,000,000

$1,963,750

Morgan Stanley

1,640,000

1,610,275


*  

Ratings below Baa by Moody's Investor Service, Inc. or BBB by Standard & Poor's Group

are considered to be below investment grade.

**  

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. The Fund

estimates that the actual average maturity of the Senior Loans held in its portfolio will be

approximately 18-24 months.

(a)  

At or subsequent to October 31, 2004, this issue was non-income producing.

(b)  

At or subsequent to October 31, 2004, this issue was under the protection of the federal

bankruptcy court.

(c)  

On January 1, 2002, CFR Holdings, Inc. (an entity formed by Nuveen for the benefit of the

Nuveen Funds owning various interests in CanFibre of Riverside) took possession of the

CanFibre of Riverside assets on behalf of the various Nuveen Funds. CFR Holdings, Inc.

determined that a sale of the facility was in the best interest of shareholders and proceeded

accordingly.

(d)  

Purchased on a when-issued or delayed delivery basis.

NR  

Not rated.

144A  

144A securities are those which 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.

(PIK)  

In lieu of cash payment, interest accrued on "Payment in Kind" investment increases principal

outstanding.

†  

Borrowings payable as a percentage of total assets is (24.4%).

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

timing differences in recognizing certain gains and losses on security transactions.

At October 31, 2004, the cost of investments was $421,219,854.

Gross unrealized appreciation and gross unrealized depreciation of investments at

October 31, 2004, were as follows:


Gross unrealized:

   Appreciation

$   6,652,941

   Depreciation

(11,166,884)


Net unrealized appreciation (depreciation) of investments

$   (4,513,943)


Item 2. Controls and Procedures.

  1. 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)).
  2. 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 has materially affected, or is 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 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 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--Vice President and Secretary        

Date         12/30/04        

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--Chief Administrative Officer (Principal Executive Officer)        

Date         12/30/04        

By (Signature and Title)*         /s/ Stephen D. Foy--Vice President and Controller (Principal Financial Officer)        

Date         12/30/04        

* Print the name and title of each signing officer under his or her signature.