Edgar Filing: NUVEEN SENIOR INCOME FUND

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)

Kevin J. McCarthy—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: July 31

Date of reporting period: October 31, 2015

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

NSL


Nuveen Senior Income Fund
Portfolio of Investments		October 31, 2015 (Unaudited)


Principal Amount (000)		Description (1)	Coupon (4)		Maturity (2)		Ratings (3)		Value

		LONG-TERM INVESTMENTS – 152.0% (93.1% of Total Investments)

		VARIABLE RATE SENIOR LOAN INTERESTS – 133.3% (81.6% of Total Investments) (4)

		Aerospace & Defense – 2.5% (1.5% of Total Investments)

$	1,829	B/E Aerospace, Inc., Term Loan B, First Lien		4.000%		12/16/21		BB+	$	1,842,605
	3,361	Sequa Corporation, Term Loan B		5.250%		6/19/17		CCC+		2,806,054
	1,990	Transdigm, Inc., Term Loan E, First Lien		3.500%		5/16/22		Ba3		1,956,477
	7,180	Total Aerospace & Defense								6,605,136

		Air Freight & Logistics – 0.6% (0.3% of Total Investments)

	1,500	XPO Logistics, Inc., Term Loan B, (WI/DD)		TBD		TBD		Ba1		1,488,750

		Airlines – 4.1% (2.5% of Total Investments)

	1,466	American Airlines, Inc., Term Loan B, First Lien		3.250%		6/29/20		BB+		1,458,077
	1,980	American Airlines, Inc., Term Loan B, First Lien		3.500%		10/10/21		BB+		1,976,040
	3,885	Delta Air Lines, Inc., Term Loan B1		3.250%		10/18/18		BBB		3,887,541
	973	Delta Air Lines, Inc., Term Loan B2		2.446%		4/18/16		BBB		972,601
	2,450	US Airways, Inc., Term Loan B1		3.500%		5/23/19		BB+		2,442,599
	10,754	Total Airlines								10,736,858

		Automobiles – 2.9% (1.8% of Total Investments)

	3,448	Chrysler Group LLC, Tranche B, Term Loan		3.250%		12/31/18		BB+		3,439,312
	3,341	Formula One Group, Term Loan, First Lien		4.750%		7/30/21		B		3,291,213
	1,000	Formula One Group, Term Loan, Second Lien		7.750%		7/29/22		CCC+		952,500
	7,789	Total Automobiles								7,683,025

		Building Products – 1.1% (0.7% of Total Investments)

	1,584	Gates Global LLC, Term Loan		4.250%		7/06/21		B+		1,494,239
	1,418	Quikrete Holdings, Inc., Term Loan, First Lien		4.000%		9/28/20		BB–		1,416,240
	3,002	Total Building Products								2,910,479

		Capital Markets – 0.6% (0.3% of Total Investments)

	1,470	Guggenheim Partners LLC, Initial Term Loan		4.250%		7/22/20		N/R		1,471,838

		Chemicals – 2.1% (1.3% of Total Investments)

	334	Ineos US Finance LLC, Term Loan B, First Lien		4.250%		3/31/22		BB–		330,324
	1,538	Ineos US Finance LLC, Cash Dollar, Term Loan		3.750%		5/04/18		BB–		1,523,998
	1,595	Mineral Technologies, Inc., Term Loan B2		4.750%		5/07/21		BB		1,600,910
	973	PQ Corporation, Term Loan B		4.000%		8/07/17		B+		971,133
	1,164	Univar, Inc., Term Loan B, First Lien		4.250%		7/01/22		BB–		1,147,758
	5,604	Total Chemicals								5,574,123

		Commercial Services & Supplies – 3.3% (2.0% of Total Investments)

	500	Acosta, Inc., Term Loan B		4.250%		9/26/21		B1		488,106
	1,975	CCS Income Trust, Term Loan, First Lien		6.250%		5/12/18		B–		1,544,472
	130	Education Management LLC, Tranche A, Term Loan		5.500%		7/02/20		N/R		38,135
	228	Education Management LLC, Tranche B, Term Loan		8.500%		7/02/20		N/R		30,816
	2,290	iQor US, Inc., Term Loan, First Lien		6.000%		4/01/21		B		1,854,543
	250	iQor US, Inc., Term Loan, Second Lien		9.750%		4/01/22		CCC+		194,375
	5,883	Millennium Laboratories, Inc., Tranche B, Term Loan, (5)		5.250%		4/16/21		D		2,162,011
	1,500	Protection One, Inc., Term Loan, First Lien		5.000%		7/01/21		B1		1,493,813
	66	Universal Services of America, Delayed Draw, Term Loan, First Lien		4.750%		7/28/22		B		64,441
	934	Universal Services of America, Term Loan, First Lien		4.750%		7/28/22		B		913,891
	13,756	Total Commercial Services & Supplies								8,784,603


Nuveen Investments			1


NSL	Nuveen Senior Income Fund
	Portfolio of Investments (continued)	October 31, 2015 (Unaudited)


Principal Amount (000)		Description (1)	Coupon (4)		Maturity (2)		Ratings (3)		Value

		Communications Equipment – 1.9% (1.1% of Total Investments)

$	3,163	Avaya, Inc., Term Loan B3		4.823%		10/26/17		B1	$	2,609,766
	326	Avaya, Inc., Term Loan B6		6.500%		3/31/18		B1		270,341
	1,083	Commscope, Inc., Term Loan B, First Lien		3.750%		12/29/22		BB		1,083,672
	995	Riverbed Technology, Inc., Term Loan B, First Lien		6.000%		4/25/22		B1		997,488
	5,567	Total Communications Equipment								4,961,267

		Consumer Finance – 2.3% (1.4% of Total Investments)

	1,500	First Data Corporation, Term Loan B		3.947%		7/08/22		BB		1,505,625
	4,500	First Data Corporation, Term Loan		3.697%		3/23/18		BB		4,474,220
	6,000	Total Consumer Finance								5,979,845

		Containers & Packaging – 0.9% (0.5% of Total Investments)

	1,000	Berry Plastics Holding Corporation, Term Loan F		4.000%		10/03/22		BB–		1,003,056
	1,284	BWAY Holding Company, Term Loan B, First Lien		5.500%		8/14/20		B2		1,287,762
	2,284	Total Containers & Packaging								2,290,818

		Diversified Consumer Services – 6.6% (4.1% of Total Investments)

	1,000	AlixPartners LLP, Term Loan B, First Lien		4.500%		7/28/22		B+		1,000,125
	4,839	Cengage Learning Acquisitions, Inc., Exit Term Loan		7.000%		3/31/20		B+		4,817,536
	2,883	Harland Clarke Holdings Corporation, Term Loan B3		7.000%		5/22/18		BB–		2,876,619
	3,626	Hilton Hotels Corporation, Term Loan B2		3.500%		10/25/20		BBB–		3,637,804
	1,496	Houghton Mifflin, Term Loan B, First Lien		4.000%		5/28/21		BB		1,485,028
	108	Laureate Education, Inc., Term Loan B		5.000%		6/15/18		B		93,501
	1,752	New Albertson’s, Inc., Term Loan		4.750%		6/25/21		Ba3		1,745,189
	1,817	ServiceMaster Company, Term Loan		4.250%		7/01/21		BB–		1,820,036
	17,521	Total Diversified Consumer Services								17,475,838

		Diversified Financial Services – 0.7% (0.5% of Total Investments)

	998	MJ Acquisition Corp., Term Loan, First Lien		4.001%		6/01/22		BB–		998,323
	993	Transdigm, Inc., Term Loan, Second Lien		4.750%		11/12/21		N/R		992,506
	1,991	Total Diversified Financial Services								1,990,829

		Diversified Telecommunication Services – 4.4% (2.7% of Total Investments)

	856	Greeneden U.S. Holdings II LLC, Term Loan B		4.000%		2/08/20		B		851,763
	974	Level 3 Financing, Inc., Term Loan B2		3.500%		5/31/22		Ba1		974,261
	1,667	Level 3 Financing, Inc., Term Loan, Tranche B3		4.000%		8/01/19		Ba1		1,672,917
	3,110	WideOpenWest Finance LLC, Term Loan B		4.500%		4/01/19		Ba3		3,071,102
	1,849	Ziggo N.V., Term Loan B1		3.500%		1/15/22		BB–		1,821,635
	1,191	Ziggo N.V., Term Loan B2		3.500%		1/15/22		BB–		1,173,896
	1,960	Ziggo N.V., Term Loan B3, Delayed Draw		3.500%		1/15/22		BB–		1,930,639
	11,607	Total Diversified Telecommunication Services								11,496,213

		Electronic Equipment, Instruments & Components – 1.2% (0.7% of Total Investments)

	1,518	SMART Modular Technologies, Inc., Term Loan B		8.250%		8/31/17		B		1,434,420
	1,773	TTM Technologies, Term Loan B		6.000%		5/31/21		B+		1,658,067
	3,291	Total Electronic Equipment, Instruments & Components								3,092,487

		Energy Equipment & Services – 0.8% (0.5% of Total Investments)

	342	Dynamic Energy Services International LLC, Term Loan		9.500%		3/06/18		B3		316,798
	2,513	Drill Rigs Holdings, Inc., Tranche B1, Term Loan		6.000%		3/31/21		B		1,463,566
	1,388	Offshore Group Investment Limited, Term Loan B, (5)		5.000%		10/25/17		D		402,574
	4,243	Total Energy Equipment & Services								2,182,938

		Food & Staples Retailing – 8.1% (5.0% of Total Investments)

	2,462	Albertson’s LLC, Term Loan B2		5.375%		3/21/19		BB–		2,462,496
	12,905	Albertson’s LLC, Term Loan B4		5.500%		8/25/21		BB–		12,921,745
	2,351	BJ’s Wholesale Club, Inc., Replacement Loan, First Lien		4.500%		9/26/19		B–		2,330,463
	2,000	BJ’s Wholesale Club, Inc., Replacement Loan, Second Lien		8.500%		3/26/20		CCC		1,954,000
	750	Rite Aid Corporation, Tranche 2, Term Loan, Second Lien		4.875%		6/21/21		BB		752,696


	2			Nuveen Investments


Principal Amount (000)		Description (1)	Coupon (4)		Maturity (2)		Ratings (3)		Value
		Food & Staples Retailing (continued)

$	972	Supervalu, Inc., New Term Loan		4.500%		3/21/19		BB	$	971,868
	21,440	Total Food & Staples Retailing								21,393,268

		Food Products – 6.9% (4.2% of Total Investments)

	988	Hearthside Group Holdings, Term Loan, First Lien		4.500%		6/02/21		B1		985,920
	3,890	Jacobs Douwe Egberts, Term Loan B		4.250%		7/02/22		N/R		3,881,499
	2,175	Pinnacle Foods Finance LLC, Term Loan G		3.000%		4/29/20		BB+		2,176,118
	7,964	US Foods, Inc., Incremental Term Loan		4.500%		3/31/19		B2		7,975,787
	3,180	Wilton Products, Inc., Tranche B, Term Loan		8.500%		8/30/18		N/R		3,096,525
	18,197	Total Food Products								18,115,849

		Health Care Equipment & Supplies – 4.0% (2.5% of Total Investments)

	583	Ardent Medical Services, Inc., Term Loan B, First Lien		6.500%		8/04/21		B1		583,415
	990	CareCore National LLC, Term Loan		5.500%		3/05/21		B		890,955
	970	ConvaTec Healthcare, Term Loan B		4.250%		6/15/20		Ba2		970,008
	1,000	Greatbatch, Inc., Term Loan B		5.250%		10/14/22		B+		1,004,375
	2,101	Kinetic Concepts, Inc., Incremental Term Loan E1		4.500%		5/04/18		BB–		2,103,572
	3,346	Onex Carestream Finance LP, Term Loan, First Lien		5.000%		6/07/19		B+		3,195,271
	973	Onex Carestream Finance LP, Term Loan, Second Lien		9.500%		12/09/19		B–		906,990
	1,000	Sterigenics International, Inc., Term Loan B		4.250%		5/16/22		B1		995,000
	10,963	Total Health Care Equipment & Supplies								10,649,586

		Health Care Providers & Services – 4.5% (2.7% of Total Investments)

	526	Community Health Systems, Inc., Term Loan G		3.750%		12/31/19		BB		524,027
	1,052	Community Health Systems, Inc., Term Loan H		4.000%		1/27/21		BB		1,050,172
	6	Community Health Systems, Inc., Term Loan F		3.575%		12/31/18		BB		5,653
	2,296	DaVita HealthCare Partners, Inc., Tranche B, Term Loan		3.500%		6/24/21		Ba1		2,301,083
	2,839	Drumm Investors LLC, Term Loan		6.750%		5/04/18		B		2,854,134
	578	Genesis Healthcare LLC, Term Loan		10.000%		12/04/17		B–		590,977
	992	Healogics, Inc., Term Loan, First Lien		5.250%		7/01/21		B		856,015
	1,717	Heartland Dental Care, Inc., Term Loan, First Lien		5.500%		12/21/18		B1		1,706,320
	500	Heartland Dental Care, Inc., Term Loan, Second Lien		9.750%		6/21/19		CCC		500,625
	801	LHP Operations Co. LLC, Term Loan B		9.000%		7/03/18		B2		772,526
	594	National Mentor Holdings, Inc., Term Loan B		4.250%		1/31/21		B+		585,203
	11,901	Total Health Care Providers & Services								11,746,735

		Health Care Technology – 0.5% (0.3% of Total Investments)

	1,326	Catalent Pharma Solutions, Inc., Term Loan		4.250%		5/20/21		BB		1,325,964

		Hotels, Restaurants & Leisure – 8.2% (5.0% of Total Investments)

	3,562	Burger King Corporation, Term Loan B		3.750%		12/10/21		Ba3		3,567,766
	3,247	CCM Merger, Inc., Term Loan B		4.500%		8/08/21		BB–		3,247,058
	2,955	CityCenter Holdings LLC, Term Loan		4.250%		10/16/20		BB–		2,959,729
	537	Extended Stay America, Inc., Term Loan		5.000%		6/24/19		BB+		544,869
	1,659	Intrawest Resorts Holdings, Inc., Term Loan B, First Lien		4.750%		12/09/20		CCC		1,658,894
	1,496	Life Time Fitness, Inc., Term Loan B		4.250%		6/10/22		BB–		1,489,937
	1,459	MGM Resorts International, Term Loan B		3.500%		12/20/19		BB+		1,458,013
	1,987	Scientific Games Corporation, Term Loan B2		6.000%		10/01/21		BB–		1,946,185
	1,965	Scientific Games Corporation, Term Loan		6.000%		10/18/20		BB–		1,925,087
	909	Seaworld Parks and Entertainment, Inc., Term Loan B2		3.000%		5/14/20		BB		856,859
	1,813	Station Casino LLC, Term Loan B		4.250%		3/02/20		B+		1,814,790
	21,589	Total Hotels, Restaurants & Leisure								21,469,187

		Household Durables – 0.2% (0.1% of Total Investments)

	443	Serta Simmons Holdings LLC, Term Loan		4.250%		10/01/19		BB–		443,493

		Industrial Conglomerates – 0.5% (0.3% of Total Investments)

	1,371	Brand Energy & Infrastructure Services, Inc., Initial Term Loan		4.750%		11/26/20		B1		1,275,598


Nuveen Investments			3


NSL	Nuveen Senior Income Fund
	Portfolio of Investments (continued)	October 31, 2015 (Unaudited)


Principal Amount (000)		Description (1)	Coupon (4)		Maturity (2)		Ratings (3)		Value

		Insurance – 2.3% (1.4% of Total Investments)

$	2,334	Alliant Holdings I LLC, Initial Term Loan B, First Lien		4.500%		8/12/22		B	$	2,312,599
	1,000	AssuredPartners Capital, Inc., Term Loan, First Lien		5.750%		10/16/22		B1		1,003,125
	2,697	Hub International Holdings, Inc., Initial Term Loan		4.000%		10/02/20		B1		2,638,051
	6,031	Total Insurance								5,953,775

		Internet & Catalog Retail – 1.1% (0.7% of Total Investments)

	2,978	Travelport LLC, Term Loan B, First Lien		5.750%		9/02/21		B		2,961,371

		Internet Software & Services – 2.1% (1.3% of Total Investments)

	1,000	Ancestry.com, Inc., Term Loan B		5.000%		8/29/22		Ba3		1,001,667
	729	Sabre Inc., Term Loan		4.000%		2/19/19		Ba3		730,196
	490	Sabre Inc., Term Loan B2		4.000%		2/19/19		Ba3		490,515
	116	Sabre Inc., Term Loan C		3.500%		2/19/18		Ba3		115,884
	3,317	Tibco Software, Inc., Term Loan B		6.500%		12/04/20		B1		3,150,833
	5,652	Total Internet Software & Services								5,489,095

		IT Services – 1.1% (0.7% of Total Investments)

	2,077	EIG Investors Corp., Term Loan		5.000%		11/09/19		B		2,078,105
	284	VFH Parent LLC, New Term Loan		5.250%		11/08/19		N/R		285,167
	551	Zayo Group LLC, Term Loan B		3.750%		5/06/21		BB–		551,099
	2,912	Total IT Services								2,914,371

		Leisure Products – 2.2% (1.4% of Total Investments)

	1,502	24 Hour Fitness Worldwide, Inc., Term Loan B		4.750%		5/28/21		Ba3		1,344,394
	2,235	Academy, Ltd., Term Loan B		5.000%		7/01/22		B		2,231,126
	688	Bombardier Recreational Products, Inc., Term Loan B		3.750%		1/30/19		BB–		688,763
	1,170	Equinox Holdings, Inc., New Initial Term Loan, First Lien		5.000%		1/31/20		B1		1,173,320
	500	Four Seasons Holdings, Inc., Term Loan, Second Lien		6.250%		12/27/20		B–		500,000
	6,095	Total Leisure Products								5,937,603

		Machinery – 0.2% (0.1% of Total Investments)

	497	Rexnord LLC, Term Loan B		4.000%		8/21/20		BB–		491,811

		Media – 14.8% (9.1% of Total Investments)

	1,287	Advantage Sales & Marketing, Inc., Term Loan, First Lien		4.250%		7/25/21		B1		1,257,928
	950	Advantage Sales & Marketing, Inc., Term Loan, Second Lien		7.500%		7/25/22		CCC+		886,469
	639	Affinion Group Holdings, Inc., Initial Term Loan, Second Lien		8.500%		10/31/18		Caa1		586,093
	1,000	Affinion Group Holdings, Inc., Term Loan, First Lien, (WI/DD)		TBD		TBD		B1		962,917
	1,481	Catalina Marketing Corporation, Term Loan, First Lien		4.500%		4/09/21		B1		1,277,578
	1,000	Catalina Marketing Corporation, Term Loan, Second Lien		7.750%		4/11/22		Caa1		662,700
	3,491	Cequel Communications LLC, Extended Term Loan		3.500%		12/14/22		N/R		3,448,194
	3,000	Charter Communications Operating Holdings LLC, Term Loan I		3.500%		1/23/23		BBB–		3,000,939
	2,111	Clear Channel Communications, Inc.,Term Loan E		7.688%		7/30/19		CCC+		1,794,668
	6,705	Cumulus Media, Inc., Term Loan B		4.250%		12/23/20		B2		5,720,393
	1,254	Emerald Expositions Holdings, Inc., Term Loan, First Lien		4.750%		6/17/20		BB–		1,253,825
	445	Gray Television, Inc., Initial Term Loan		3.750%		6/13/21		BB		444,825
	988	IMG Worldwide, Inc., First Lien		5.250%		5/06/21		B1		987,495
	2,222	Interactive Data Corporation, Term Loan B		4.750%		5/02/21		B+		2,224,181
	750	Lions Gate Entertainment Corporation, Term Loan B, Second Lien		5.000%		3/17/22		BB–		752,812
	1,669	McGraw–Hill Education Holdings LLC, Term Loan B		4.750%		3/22/19		B+		1,673,656
	970	Mediacom Broadband LLC, Tranche G, Term Loan		4.000%		1/20/20		BB		970,000
	1,000	Numericable Group S.A., Term Loan, (WI/DD)		TBD		TBD		B+		989,844
	1,596	Numericable Group S.A., Term Loan B1		4.500%		5/21/20		B+		1,578,563
	1,381	Numericable Group S.A., Term Loan B2		4.500%		5/21/20		B+		1,365,672
	1,650	Springer Science & Business Media, Inc., Term Loan B9, First Lien		4.750%		8/14/20		B1		1,635,358
	3,811	Univision Communications, Inc., Replacement Term Loan, First Lien		4.000%		3/01/20		B+		3,787,293
	1,301	WMG Acquisition Corporation, Tranche B, Refinancing Term Loan		3.750%		7/01/20		B1		1,268,509
	220	Yell Group PLC, Term Loan A2		5.319%		3/01/19		N/R		446,266
	20	Yell Group PLC, Term Loan A2, (8)		1.500%		3/03/19		N/R		—
	756	Yell Group PLC, Term Loan B2, PIK, (8)		0.000%		3/03/24		N/R		—
	41,697	Total Media								38,976,178


	4			Nuveen Investments


Principal Amount (000)		Description (1)	Coupon (4)		Maturity (2)		Ratings (3)		Value

		Multiline Retail – 3.1% (1.9% of Total Investments)

$	995	Bass Pro Group LLC, Term Loan B, First Lien		4.000%		6/05/20		BB–	$	989,610
	2,638	Dollar Tree, Inc., Term Loan B1		3.500%		7/06/22		BB+		2,646,160
	830	Dollar Tree, Inc., Term Loan B2		4.250%		7/06/22		BB+		832,378
	1,500	Hudson’s Bay Company, Term Loan B, First Lien		4.750%		9/30/22		BB		1,504,688
	2,222	J.C. Penney Corporation, Inc., Term Loan		5.000%		6/20/19		B		2,214,932
	8,185	Total Multiline Retail								8,187,768

		Oil, Gas & Consumable Fuels – 1.9% (1.1% of Total Investments)

	346	Crestwood Holdings LLC, Term Loan B		7.000%		6/19/19		B2		282,208
	2,192	Energy and Exploration Partners, Term Loan		7.750%		1/22/19		N/R		1,578,125
	916	Fieldwood Energy LLC, Term Loan, Second Lien		8.375%		9/30/20		B–		346,639
	1,399	Harvey Gulf International Marine, Inc., Term Loan B		5.500%		6/18/20		B–		926,677
	1,846	Seadrill Partners LLC, Initial Term Loan		4.000%		2/21/21		B		1,085,480
	183	Southcross Holdings Borrower L.P., Holdco Term Loan		6.000%		8/04/21		B–		138,268
	561	Western Refining, Inc., Term Loan B		4.250%		11/12/20		BB–		551,192
	7,443	Total Oil, Gas & Consumable Fuels								4,908,589

		Pharmaceuticals – 5.2% (3.2% of Total Investments)

	3,000	Endo Health Solutions, Inc., Term Loan B		3.750%		9/26/22		Ba1		2,957,625
	95	Graceway Pharmaceuticals LLC, Term Loan, (5)		0.000%		5/03/12		N/R		95,233
	2,000	Graceway Pharmaceuticals LLC, Second Lien Term Loan, (5)		0.000%		5/03/13		N/R		12,500
	961	Grifols, Inc., Term Loan		3.188%		2/27/21		Ba1		960,062
	988	Patheon, Inc., Term Loan B		4.250%		3/11/21		B1		969,478
	2,792	Pharmaceutical Product Development, Inc., Term Loan B, First Lien		4.250%		8/18/22		B1		2,759,092
	2,322	Pharmaceutical Research Associates, Inc., Term Loan		4.500%		9/23/20		BB–		2,327,697
	1,318	Valeant Pharmaceuticals International, Inc., Term Loan E		3.750%		8/05/20		BB		1,228,837
	2,564	Valeant Pharmaceuticals International, Inc., Term Loan F		4.000%		4/01/22		Ba1		2,389,302
	16,040	Total Pharmaceuticals								13,699,826

		Professional Services – 0.3% (0.2% of Total Investments)

	772	Ceridian Corporation, Term Loan B2		4.500%		9/15/20		Ba3		712,603

		Real Estate Investment Trust – 4.9% (3.0% of Total Investments)

	8,080	Communications Sales & Leasing, Inc., Term Loan B, First Lien		5.000%		10/24/22		BBB–		7,642,094
	2,438	Realogy Corporation, Initial Term Loan B		3.750%		3/05/20		BB		2,438,957
	570	Starwood Property Trust, Inc., Term Loan B		3.500%		4/17/20		BB		565,795
	2,342	Walter Investment Management Corporation, Tranche B, Term Loan, First Lien		4.750%		12/18/20		BB–		2,158,721
	13,430	Total Real Estate Investment Trust								12,805,567

		Real Estate Management & Development – 1.4% (0.9% of Total Investments)

	1,861	Capital Automotive LP, Term Loan, Second Lien		6.000%		4/30/20		B1		1,870,753
	1,850	Capital Automotive LP, Term Loan, Tranche B1		4.000%		4/10/19		Ba2		1,853,158
	3,711	Total Real Estate Management & Development								3,723,911

		Road & Rail – 0.4% (0.2% of Total Investments)

	1,000	Quality Distribution, Term Loan, First Lien		5.750%		8/18/22		B1		980,000

		Semiconductors & Semiconductor Equipment – 3.4% (2.1% of Total Investments)

	3,198	Avago Technologies, Term Loan B		3.750%		5/06/21		BBB		3,201,251
	3,424	Freescale Semiconductor, Inc., Term Loan, Tranche B4		4.250%		2/28/20		N/R		3,425,207
	1,470	Freescale Semiconductor, Inc., Term Loan, Tranche B5		5.000%		1/15/21		N/R		1,471,987
	966	NXP Semiconductor LLC, Term Loan D		3.250%		1/11/20		BBB–		955,731
	9,058	Total Semiconductors & Semiconductor Equipment								9,054,176

		Software – 10.8% (6.6% of Total Investments)

	1,176	Blackboard, Inc., Term Loan B3		4.750%		10/04/18		B+		1,160,523
	2,086	BMC Software, Inc., Initial Term Loan		5.000%		9/10/20		B1		1,884,420
	1,000	Computer Sciences Government Services, Term Loan B, First Lien, (WI/DD)		TBD		TBD		BB+		1,003,750


Nuveen Investments			5


NSL	Nuveen Senior Income Fund
	Portfolio of Investments (continued)	October 31, 2015 (Unaudited)


Principal Amount (000)		Description (1)	Coupon (4)		Maturity (2)		Ratings (3)		Value
		Software (continued)

$	2,688	Compuware Corporation, Tranche B2, Term Loan, First Lien		6.250%		12/15/21		B	$	2,565,637
	1,752	Ellucian, Term Loan B, First Lien		4.750%		9/30/22		B		1,751,567
	1,042	Emdeon Business Services LLC, Term Loan B2		3.750%		11/02/18		Ba3		1,037,398
	5,945	Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B5		3.750%		6/03/20		B+		5,797,599
	1,000	Informatica Corp.,Term Loan B		4.500%		8/05/22		B		990,521
	790	Micro Focus International PLC, Term Loan B		5.250%		11/19/21		BB–		789,900
	1,283	Micro Focus International PLC, Term Loan C		4.500%		11/20/19		BB–		1,282,100
	3,394	Misys PLC, Term Loan B, First Lien		5.000%		12/12/18		B+		3,398,903
	2,348	SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B1		4.000%		7/08/22		BB		2,357,579
	363	SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Term Loan B2		4.000%		7/08/22		BB		364,783
	872	SunGard Data Systems, Inc., Term Loan E		4.000%		3/08/20		BB		872,127
	946	Vertafore, Inc., Term Loan, First Lien		4.250%		10/03/19		B+		947,019
	2,111	Zebra Technologies Corporation, Term Loan B, First Lien		4.750%		10/27/21		BB+		2,128,450
	28,796	Total Software								28,332,276

		Specialty Retail – 2.0% (1.2% of Total Investments)

	1,564	Jo-Ann Stores, Inc., Term Loan, First Lien		4.000%		3/16/18		Ba3		1,525,188
	1,343	Petsmart, Inc., Term Loan B		4.250%		3/11/22		BB–		1,344,624
	245	Pilot Travel Centers LLC, Term Loan B, First Lien, (WI/DD)		TBD		TBD		BB+		246,719
	2,200	Staples, Inc., Term Loan B, First Lien, (WI/DD)		TBD		TBD		BBB		2,192,301
	5,352	Total Specialty Retail								5,308,832

		Technology Hardware, Storage & Peripherals – 3.4% (2.1% of Total Investments)

	8,843	Dell, Inc., Term Loan B2		4.000%		4/29/20		BBB		8,853,524

		Trading Companies & Distributors – 1.7% (1.0% of Total Investments)

	3,706	HD Supply, Inc., Term Loan B		3.750%		8/13/21		BB–		3,699,904
	833	Neff Rental/Neff Finance Closing Date Loan, Second Lien		7.250%		6/09/21		B–		762,235
	4,539	Total Trading Companies & Distributors								4,462,139

		Transportation Infrastructure – 0.4% (0.3% of Total Investments)

	67	Ceva Group PLC, Canadian Term Loan		6.500%		3/19/21		B2		58,759
	386	Ceva Group PLC, Dutch B.V., Term Loan		6.500%		3/19/21		B2		340,804
	371	Ceva Group PLC, Synthetic Letter of Credit Term Loan		6.500%		3/19/21		B2		328,089
	532	Ceva Group PLC, US Term Loan		6.500%		3/19/21		B2		470,074
	1,356	Total Transportation Infrastructure								1,197,726

		Wireless Telecommunication Services – 1.7% (1.1% of Total Investments)

	838	Asurion LLC, Term Loan B1		5.000%		5/24/19		Ba3		802,591
	867	Asurion LLC, Term Loan B4, First Lien		5.000%		8/04/22		Ba3		822,038
	2,965	Fairpoint Communications, Inc., Term Loan B		7.500%		2/14/19		B		2,978,166
	4,670	Total Wireless Telecommunication Services								4,602,795
$	369,846	Total Variable Rate Senior Loan Interests (cost $366,462,829)								350,698,663

Shares		Description (1)							Value

		COMMON STOCKS – 1.7% (1.1% of Total Investments)

		Diversified Consumer Services – 0.5% (0.3% of Total Investments)

	53,514	Cengage Learning Holdings II LP, (6), (7)							$	1,324,472
	1,561,859	Education Management Corporation, (6), (7)								15,619
		Total Diversified Consumer Services								1,340,091

		Hotels, Restaurants & Leisure – 0.7% (0.4% of Total Investments)

	36,577	BLB Worldwide Holdings Inc., (6), (7)								1,773,984

		Media – 0.5% (0.3% of Total Investments)

	3,479	Cumulus Media, Inc., (6)								1,597
	6,268	Metro-Goldwyn-Mayer, (6), (7)								473,234
	18,422	Tribune Media Company								742,959


	6			Nuveen Investments


Shares		Description (1)							Value
		Media (continued)

	14,825	Tribune Media Company, (8)							$	—
	4,605	Tribune Publishing Company								43,471
		Total Media								1,261,261

		Professional Services – 0.0% (0.1% of Total Investments)

	47,152	Vertrue, Inc., (6), (7)								101,377

		Software – 0.0% (0.0% of Total Investments)

	291,294	Eagle Topco LP, (6), (8)								—
		Total Common Stocks (cost $3,762,654)								4,476,713

Shares		Description (1)	Coupon				Ratings (3)		Value

		$25 PAR (OR SIMILAR) RETAIL PREFERRED – 0.0% (0.0% of Total Investments)

		Diversified Consumer Services – 0.0% (0.0% of Total Investments)

	1,738	Education Management Corporation		7.500%				N/R	$	26,070
		Total $25 Par (or similar) Retail Preferred (cost $4,219)								26,070

Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (3)		Value

		CORPORATE BONDS – 17.0% (10.4% of Total Investments)

		Commercial Services & Supplies – 0.4% (0.2% of Total Investments)

$	900	NES Rental Holdings Inc., 144A		7.875%		5/01/18		B–	$	896,625

		Communications Equipment – 0.2% (0.1% of Total Investments)

	1,500	Avaya Inc., 144A		10.500%		3/01/21		CCC+		581,250

		Containers & Packaging – 0.3% (0.2% of Total Investments)

	776	Reynolds Group		9.875%		8/15/19		CCC+		816,740

		Diversified Telecommunication Services – 2.6% (1.6% of Total Investments)

	600	Frontier Communications Corporation, 144A		8.875%		9/15/20		BB		622,872
	1,585	Frontier Communications Corporation		6.250%		9/15/21		BB		1,415,405
	1,350	Frontier Communications Corporation		6.875%		1/15/25		BB		1,166,531
	300	IntelSat Limited		6.750%		6/01/18		CCC+		266,250
	3,050	IntelSat Limited		7.750%		6/01/21		CCC+		1,799,500
	2,650	IntelSat Limited		8.125%		6/01/23		CCC+		1,570,125
	9,535	Total Diversified Telecommunication Services								6,840,683

		Health Care Equipment & Supplies – 3.7% (2.3% of Total Investments)

	2,025	Kinetic Concepts		10.500%		11/01/18		B–		2,138,198
	1,000	Kinetic Concepts		12.500%		11/01/19		CCC+		1,061,250
	3,500	Tenet Healthcare Corporation		6.000%		10/01/20		Ba2		3,780,000
	1,100	Tenet Healthcare Corporation		8.125%		4/01/22		B3		1,163,250
	1,560	Tenet Healthcare Corporation		6.750%		6/15/23		B3		1,548,300
	9,185	Total Health Care Equipment & Supplies								9,690,998

		Health Care Providers & Services – 2.1% (1.3% of Total Investments)

	1,500	Community Health Systems, Inc.		5.125%		8/01/21		BB		1,548,750
	2,400	Community Health Systems, Inc.		6.875%		2/01/22		B+		2,418,000
	600	IASIS Healthcare Capital Corporation		8.375%		5/15/19		CCC+		613,500
	1,000	Truven Health Analytics Inc.		10.625%		6/01/20		CCC+		1,047,500
	5,500	Total Health Care Providers & Services								5,627,750

		Hotels, Restaurants & Leisure – 0.6% (0.4% of Total Investments)

	275	Scientific Games Corporation		8.125%		9/15/18		B–		250,250
	1,550	Scientific Games International Inc.		10.000%		12/01/22		B		1,371,750
	1,825	Total Hotels, Restaurants & Leisure								1,622,000


Nuveen Investments			7


NSL	Nuveen Senior Income Fund
	Portfolio of Investments (continued)	October 31, 2015 (Unaudited)


Principal Amount (000)		Description (1)	Coupon		Maturity		Ratings (3)		Value

		Media – 3.4% (2.1% of Total Investments)

$	100	CCO Safari II LLC, 144A		3.579%		7/23/20		BBB–	$	100,375
	1,524	Clear Channel Communications, Inc.		10.000%		1/15/18		CCC–		807,720
	2,872	Clear Channel Communications, Inc.		9.000%		12/15/19		CCC+		2,430,429
	6,404	Clear Channel Communications, Inc.		14.000%		2/01/21		CCC–		2,625,496
	3,050	Clear Channel Communications, Inc.		9.000%		3/01/21		CCC+		2,508,625
	500	McGraw-Hill Global Education Holdings		9.750%		4/01/21		BB		547,500
	14,450	Total Media								9,020,145

		Real Estate Investment Trust – 0.3% (0.2% of Total Investments)

	750	iStar Inc.		4.000%		11/01/17		B+		733,125

		Semiconductors & Semiconductor Equipment – 0.6% (0.4% of Total Investments)

	1,075	Advanced Micro Devices, Inc.		7.750%		8/01/20		B–		795,500
	1,200	Advanced Micro Devices, Inc.		7.500%		8/15/22		B–		870,000
	2,275	Total Semiconductors & Semiconductor Equipment								1,665,500

		Software – 0.6% (0.3% of Total Investments)

	1,330	BMC Software Finance Inc., 144A		8.125%		7/15/21		CCC+		1,029,088
	700	Boxer Parent Company Inc./BMC Software, 144A		9.000%		10/15/19		CCC+		500,500
	2,030	Total Software								1,529,588

		Wireless Telecommunication Services – 2.2% (1.3% of Total Investments)

	500	FairPoint Communications Inc., 144A		8.750%		8/15/19		B		515,000
	1,000	Sprint Capital Corporation		6.900%		5/01/19		B+		960,000
	500	Sprint Corporation		7.875%		9/15/23		B+		462,500
	2,000	Sprint Corporation		7.125%		6/15/24		B+		1,756,250
	1,750	T-Mobile USA Inc.		6.250%		4/01/21		BB		1,806,700
	75	T-Mobile USA Inc.		6.731%		4/28/22		BB		77,438
	75	T-Mobile USA Inc.		6.836%		4/28/23		BB		77,438
	5,900	Total Wireless Telecommunication Services								5,655,326
$	54,626	Total Corporate Bonds (cost $53,874,004)								44,679,730
		Total Long-Term Investments (cost $424,103,706)								399,881,176

Principal Amount (000)		Description (1)	Coupon		Maturity				Value

		SHORT-TERM INVESTMENTS – 11.4% (6.9% of Total Investments)

		REPURCHASE AGREEMENTS – 11.4% (6.9% of Total Investments)

$	29,820	Repurchase Agreement with Fixed Income Clearing Corporation, dated 10/30/15, repurchase price $29,819,901, collateralized by $29,970,000 U.S. Treasury Notes, 1.375%, due 6/30/18, value $30,418,022		0.000%		11/02/15			$	29,819,901
		Total Short-Term Investments (cost $29,819,901)								29,819,901
		Total Investments (cost $453,923,607) – 163.4%								429,701,077
		Borrowings – (40.1)% (9), (10)								(105,500,000	)
		Variable Rate Term Preferred Shares, at Liquidation Value – (22.1)% (11)								(58,000,000	)
		Other Assets Less Liabilities – (1.2)%								(3,179,035	)
		Net Assets Applicable to Common Shares – 100%							$	263,022,042


	8			Nuveen Investments

Fair Value Measurements

Fair value is defined as the price that would be received upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.


Level 1 –		Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
Level 2 –		Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 –		Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period:


	Level 1		Level 2		Level 3			Total
Long-Term Investments:
Variable Rate Senior Loan Interests	$	—	$	350,698,663	$	—	*	$	350,698,663
Common Stocks		788,027		3,688,686		—	*		4,476,713
$25 Par (or similar) Retail Preferred		—		26,070		—			26,070
Corporate Bonds		—		44,679,730		—			44,679,730

Short-Term Investments:
Repurchase Agreements		—		29,819,901		—			29,819,901
Total	$	788,027	$	428,913,050	$	—	*	$	429,701,077

*	Value equals zero as of the end of the reporting period.

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 investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

As of October 31, 2015, the cost of investments was $453,937,442.

Gross unrealized appreciation and gross unrealized depreciation of investments as of October 31, 2015, were as follows:


Gross unrealized:
Appreciation	$	4,069,359
Depreciation		(28,305,724	)
Net unrealized appreciation (depreciation) of investments	$	(24,236,365	)


Nuveen Investments			9


NSL	Nuveen Senior Income Fund
	Portfolio of Investments (continued)	October 31, 2015 (Unaudited)

For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.

(1)	All percentages shown in the Portfolio of Investments are based on net assets applicable to common shares unless otherwise noted.

(2)

Senior loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments of senior loans may occur. As a result, the actual remaining maturity of senior loans held may be substantially less than the stated maturities shown.

(3)

Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

(4)

Senior loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the agent bank and/or borrower prior to the disposition of a senior loan. The rate shown is the coupon as of the end of the reporting period.

(5)

At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing, in the case of a fixed-income security, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has ceased accruing additional income on the Fund’s records.

(6)	Non-income producing; issuer has not declared a dividend within the past twelve months.

(7)	For fair value measurement disclosure purposes, investment classified as Level 2.

(8)	Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board. For fair value measurement disclosure purposes, investment classified as Level 3.

(9)	Borrowings as a percentage of Total Investments is 24.6%.

(10)	The Fund segregates 100% of its eligible investments (excluding any investments separately pledged as collateral for specific investments in derivatives, when applicable) as collateral for borrowings.

(11)	Variable Rate Term Preferred Shares, at Liquidation Value as a percentage of Total Investments is 13.5%.

(WI/DD)

Purchased on a when-issued or delayed delivery basis.

144A	Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

TBD

Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.


	10			Nuveen Investments

Item 2. Controls and Procedures.

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)).

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

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/ Kevin J. McCarthy
		Kevin J. McCarthy
		Vice President and Secretary

Date: December 30, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.


By (Signature and Title)		/s/ Gifford R. Zimmerman
		Gifford R. Zimmerman
		Chief Administrative Officer (principal executive officer)

Date: December 30, 2015

By (Signature and Title)		/s/ Stephen D. Foy
		Stephen D. Foy
		Vice President and Controller (principal financial officer)

Date: December 30, 2015