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 811-21619
Nuveen S&P 500 Buy-Write Income Fund
(Exact name of registrant as specified in charter)
333 West Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Gifford R. Zimmerman—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: December 31
Date of reporting period: September 30, 2016
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
BXMX
Nuveen S&P 500 Buy-Write Income Fund | ||
Portfolio of Investments |
September 30, 2016 (Unaudited) |
Shares | Description (1) | Value | ||||||||||||||
LONG-TERM INVESTMENTS – 99.4% |
||||||||||||||||
COMMON STOCKS – 99.4% (2) |
||||||||||||||||
Aerospace & Defense – 2.0% | ||||||||||||||||
67,004 | Boeing Company |
$ | 8,827,107 | |||||||||||||
8,874 | Huntington Ingalls Industries Inc. |
1,361,449 | ||||||||||||||
28,502 | Northrop Grumman Corporation |
6,098,003 | ||||||||||||||
38,615 | Raytheon Company |
5,256,660 | ||||||||||||||
63,296 | United Technologies Corporation |
6,430,874 | ||||||||||||||
Total Aerospace & Defense |
27,974,093 | |||||||||||||||
Air Freight & Logistics – 0.7% | ||||||||||||||||
89,366 | United Parcel Service, Inc., Class B |
9,773,066 | ||||||||||||||
Airlines – 0.4% | ||||||||||||||||
104,813 | United Continental Holdings Inc., (3) |
5,499,538 | ||||||||||||||
Auto Components – 0.2% | ||||||||||||||||
25,665 | Cooper Tire & Rubber Company |
975,783 | ||||||||||||||
85,832 | Gentex Corporation |
1,507,210 | ||||||||||||||
Total Auto Components |
2,482,993 | |||||||||||||||
Automobiles – 0.5% | ||||||||||||||||
388,012 | Ford Motor Company |
4,683,305 | ||||||||||||||
50,303 | Harley-Davidson, Inc. |
2,645,435 | ||||||||||||||
Total Automobiles |
7,328,740 | |||||||||||||||
Banks – 5.7% | ||||||||||||||||
904,735 | Bank of America Corporation |
14,159,103 | ||||||||||||||
253,540 | Citigroup Inc. |
11,974,694 | ||||||||||||||
33,724 | Comerica Incorporated |
1,595,820 | ||||||||||||||
71,851 | Fifth Third Bancorp. |
1,470,071 | ||||||||||||||
86,613 | First Horizon National Corporation |
1,319,116 | ||||||||||||||
285,763 | JP Morgan Chase & Co. |
19,028,958 | ||||||||||||||
29,619 | Lloyds Banking Group PLC, ADR |
85,007 | ||||||||||||||
17,603 | M&T Bank Corporation |
2,043,708 | ||||||||||||||
234,861 | U.S. Bancorp |
10,073,188 | ||||||||||||||
367,612 | Wells Fargo & Company |
16,277,859 | ||||||||||||||
Total Banks |
78,027,524 | |||||||||||||||
Beverages – 2.4% | ||||||||||||||||
314,873 | Coca-Cola Company |
13,325,425 | ||||||||||||||
24,147 | Monster Beverage Corporation, (3) |
3,545,021 | ||||||||||||||
143,050 | PepsiCo, Inc. |
15,559,549 | ||||||||||||||
Total Beverages |
32,429,995 | |||||||||||||||
Biotechnology – 3.5% | ||||||||||||||||
136,975 | AbbVie Inc. |
8,639,013 | ||||||||||||||
72,495 | Amgen Inc. |
12,092,891 | ||||||||||||||
23,477 | Biogen Inc., (3) |
7,349,005 | ||||||||||||||
88,944 | Celgene Corporation, (3) |
9,297,316 | ||||||||||||||
120,303 | Gilead Sciences, Inc. |
9,518,373 | ||||||||||||||
7,017 | Shire plc, ADR |
1,360,316 | ||||||||||||||
Total Biotechnology |
48,256,914 |
NUVEEN | 1 |
BXMX | Nuveen S&P 500 Buy-Write Income Fund | |||
Portfolio of Investments (continued) | September 30, 2016 (Unaudited) |
Shares | Description (1) | Value | ||||||||||||||
Building Products – 0.3% | ||||||||||||||||
19,320 | Allegion PLC |
$ | 1,331,341 | |||||||||||||
63,323 | Masco Corporation |
2,172,612 | ||||||||||||||
Total Building Products |
3,503,953 | |||||||||||||||
Capital Markets – 2.2% | ||||||||||||||||
201,302 | Charles Schwab Corporation |
6,355,104 | ||||||||||||||
41,332 | CME Group, Inc. |
4,320,021 | ||||||||||||||
28,291 | Eaton Vance Corporation |
1,104,764 | ||||||||||||||
43,223 | Goldman Sachs Group, Inc. |
6,970,573 | ||||||||||||||
13,916 | Intercontinental Exchange, Inc. |
3,748,414 | ||||||||||||||
68,892 | Legg Mason, Inc. |
2,306,504 | ||||||||||||||
150,485 | Morgan Stanley |
4,824,549 | ||||||||||||||
26,522 | Waddell & Reed Financial, Inc., Class A |
481,640 | ||||||||||||||
Total Capital Markets |
30,111,569 | |||||||||||||||
Chemicals – 1.8% | ||||||||||||||||
22,572 | Chemours Company |
361,152 | ||||||||||||||
125,443 | Dow Chemical Company |
6,501,711 | ||||||||||||||
80,623 | E.I. Du Pont de Nemours and Company |
5,399,322 | ||||||||||||||
32,774 | Eastman Chemical Company |
2,218,144 | ||||||||||||||
52,563 | Monsanto Company |
5,371,939 | ||||||||||||||
48,329 | Olin Corporation |
991,711 | ||||||||||||||
80,712 | RPM International, Inc. |
4,335,849 | ||||||||||||||
Total Chemicals |
25,179,828 | |||||||||||||||
Commercial Services & Supplies – 0.4% | ||||||||||||||||
14,145 | Deluxe Corporation |
945,169 | ||||||||||||||
26,475 | Pitney Bowes Inc. |
480,786 | ||||||||||||||
28,908 | R.R. Donnelley & Sons Company |
454,434 | ||||||||||||||
60,369 | Waste Management, Inc. |
3,849,127 | ||||||||||||||
Total Commercial Services & Supplies |
5,729,516 | |||||||||||||||
Communications Equipment – 1.2% | ||||||||||||||||
4,101 | ADTRAN, Inc. |
78,493 | ||||||||||||||
24,808 | Ciena Corporation, (3) |
540,814 | ||||||||||||||
401,182 | Cisco Systems, Inc. |
12,725,493 | ||||||||||||||
2,206 | Lumentum Holdings Inc., (3) |
92,145 | ||||||||||||||
31,543 | Motorola Solutions Inc. |
2,406,100 | ||||||||||||||
11,034 | Viavi Solutions Inc., (3) |
81,541 | ||||||||||||||
Total Communications Equipment |
15,924,586 | |||||||||||||||
Consumer Finance – 0.8% | ||||||||||||||||
89,615 | American Express Company |
5,738,945 | ||||||||||||||
67,273 | Discover Financial Services |
3,804,288 | ||||||||||||||
45,177 | Navient Corporation |
653,711 | ||||||||||||||
132,929 | SLM Corporation, (3) |
992,980 | ||||||||||||||
Total Consumer Finance |
11,189,924 | |||||||||||||||
Containers & Packaging – 0.3% | ||||||||||||||||
8,477 | Avery Dennison Corporation |
659,426 | ||||||||||||||
34,840 | Packaging Corp. of America |
2,831,098 | ||||||||||||||
5,718 | Sonoco Products Company |
302,082 | ||||||||||||||
Total Containers & Packaging |
3,792,606 | |||||||||||||||
Distributors – 0.2% | ||||||||||||||||
23,190 | Genuine Parts Company |
2,329,436 | ||||||||||||||
Diversified Consumer Services – 0.0% | ||||||||||||||||
7,623 | Apollo Education Group, Inc., (3) |
60,603 |
2 | NUVEEN |
Shares | Description (1) | Value | ||||||||||||||
Diversified Financial Services – 1.9% | ||||||||||||||||
177,830 | Berkshire Hathaway Inc., Class B, (3) |
$ | 25,691,099 | |||||||||||||
53,398 | Leucadia National Corporation |
1,016,698 | ||||||||||||||
Total Diversified Financial Services |
26,707,797 | |||||||||||||||
Diversified Telecommunication Services – 2.5% | ||||||||||||||||
431,800 | AT&T Inc. |
17,535,398 | ||||||||||||||
23,019 | CenturyLink Inc. |
631,411 | ||||||||||||||
192,058 | Frontier Communications Corporation |
798,961 | ||||||||||||||
290,257 | Verizon Communications Inc. |
15,087,559 | ||||||||||||||
3,033 | Windstream Holdings Inc. |
30,482 | ||||||||||||||
Total Diversified Telecommunication Services |
34,083,811 | |||||||||||||||
Electric Utilities – 1.6% | ||||||||||||||||
71,565 | Duke Energy Corporation |
5,728,063 | ||||||||||||||
98,619 | Great Plains Energy Incorporated |
2,691,313 | ||||||||||||||
89,635 | OGE Energy Corp. |
2,834,259 | ||||||||||||||
61,214 | Pinnacle West Capital Corporation |
4,651,652 | ||||||||||||||
116,253 | Southern Company |
5,963,779 | ||||||||||||||
Total Electric Utilities |
21,869,066 | |||||||||||||||
Electrical Equipment – 1.0% | ||||||||||||||||
52,322 | Eaton Corporation PLC |
3,438,079 | ||||||||||||||
76,676 | Emerson Electric Co. |
4,179,609 | ||||||||||||||
11,240 | Hubbell Inc. |
1,210,998 | ||||||||||||||
35,453 | Rockwell Automation, Inc. |
4,337,320 | ||||||||||||||
Total Electrical Equipment |
13,166,006 | |||||||||||||||
Electronic Equipment, Instruments & Components – 0.3% | ||||||||||||||||
151,993 | Corning Incorporated |
3,594,634 | ||||||||||||||
Energy Equipment & Services – 1.3% | ||||||||||||||||
8,826 | Diamond Offshore Drilling, Inc. |
155,426 | ||||||||||||||
136,941 | Halliburton Company |
6,145,912 | ||||||||||||||
72,619 | Patterson-UTI Energy, Inc. |
1,624,487 | ||||||||||||||
128,328 | Schlumberger Limited |
10,091,714 | ||||||||||||||
Total Energy Equipment & Services |
18,017,539 | |||||||||||||||
Food & Staples Retailing – 2.1% | ||||||||||||||||
112,231 | CVS Health Corporation |
9,987,437 | ||||||||||||||
154,875 | Kroger Co. |
4,596,690 | ||||||||||||||
105,123 | SUPERVALU INC., (3) |
524,564 | ||||||||||||||
74,151 | Walgreens Boots Alliance Inc. |
5,978,054 | ||||||||||||||
103,755 | Wal-Mart Stores, Inc. |
7,482,811 | ||||||||||||||
Total Food & Staples Retailing |
28,569,556 | |||||||||||||||
Food Products – 0.7% | ||||||||||||||||
222,831 | Mondelez International Inc., Class A |
9,782,281 | ||||||||||||||
Gas Utilities – 0.3% | ||||||||||||||||
33,764 | Atmos Energy Corporation |
2,514,405 | ||||||||||||||
29,951 | National Fuel Gas Company |
1,619,451 | ||||||||||||||
4,901 | ONE Gas Inc. |
303,078 | ||||||||||||||
Total Gas Utilities |
4,436,934 | |||||||||||||||
Health Care Equipment & Supplies – 2.2% | ||||||||||||||||
163,485 | Abbott Laboratories |
6,913,781 | ||||||||||||||
47,152 | Baxter International, Inc. |
2,244,435 | ||||||||||||||
13,397 | Halyard Health Inc., (3) |
464,340 | ||||||||||||||
36,821 | Hill-Rom Holdings Inc. |
2,282,166 | ||||||||||||||
62,936 | Hologic Inc., (3) |
2,443,805 |
NUVEEN | 3 |
BXMX | Nuveen S&P 500 Buy-Write Income Fund | |||
Portfolio of Investments (continued) | September 30, 2016 (Unaudited) |
Shares | Description (1) | Value | ||||||||||||||
Health Care Equipment & Supplies (continued) | ||||||||||||||||
3,873 | Intuitive Surgical, Inc., (3) |
$ | 2,807,267 | |||||||||||||
148,378 | Medtronic, PLC |
12,819,859 | ||||||||||||||
Total Health Care Equipment & Supplies |
29,975,653 | |||||||||||||||
Health Care Providers & Services – 2.8% | ||||||||||||||||
47,337 | Aetna Inc. |
5,465,057 | ||||||||||||||
32,732 | Anthem Inc. |
4,101,647 | ||||||||||||||
69,194 | Brookdale Senior Living Inc., (3) |
1,207,435 | ||||||||||||||
89,014 | Express Scripts Holding Company, (3) |
6,278,157 | ||||||||||||||
45,526 | HCA Holdings Inc., (3) |
3,443,131 | ||||||||||||||
27,123 | Henry Schein Inc., (3) |
4,420,507 | ||||||||||||||
15,942 | Kindred Healthcare Inc. |
162,927 | ||||||||||||||
97,858 | UnitedHealth Group Incorporated |
13,700,120 | ||||||||||||||
Total Health Care Providers & Services |
38,778,981 | |||||||||||||||
Health Care Technology – 0.2% | ||||||||||||||||
47,111 | Cerner Corporation, (3) |
2,909,104 | ||||||||||||||
Hotels, Restaurants & Leisure – 1.4% | ||||||||||||||||
54,924 | Carnival Corporation |
2,681,390 | ||||||||||||||
34,368 | ILG, Inc. |
590,099 | ||||||||||||||
6,469 | Las Vegas Sands Corp. |
372,226 | ||||||||||||||
26,778 | Marriott International, Inc., Class A |
1,802,976 | ||||||||||||||
102,936 | McDonald’s Corporation |
11,874,697 | ||||||||||||||
15,729 | Wynn Resorts Ltd |
1,532,319 | ||||||||||||||
Total Hotels, Restaurants & Leisure |
18,853,707 | |||||||||||||||
Household Durables – 0.7% | ||||||||||||||||
8,957 | Garmin Limited |
430,921 | ||||||||||||||
75,087 | KB Home |
1,210,402 | ||||||||||||||
85,919 | Newell Brands Inc. |
4,524,495 | ||||||||||||||
16,680 | TopBuild Corporation, (3) |
553,776 | ||||||||||||||
1,285 | Tupperware Brands Corporation |
84,000 | ||||||||||||||
19,857 | Whirlpool Corporation |
3,220,011 | ||||||||||||||
Total Household Durables |
10,023,605 | |||||||||||||||
Household Products – 2.1% | ||||||||||||||||
104,090 | Colgate-Palmolive Company |
7,717,233 | ||||||||||||||
34,108 | Kimberly-Clark Corporation |
4,302,383 | ||||||||||||||
188,799 | Procter & Gamble Company |
16,944,710 | ||||||||||||||
Total Household Products |
28,964,326 | |||||||||||||||
Industrial Conglomerates – 3.1% | ||||||||||||||||
56,000 | 3M Co. |
9,868,880 | ||||||||||||||
668,539 | General Electric Company |
19,802,125 | ||||||||||||||
85,468 | Honeywell International Inc. |
9,964,714 | ||||||||||||||
14,006 | Roper Technologies, Inc. |
2,555,675 | ||||||||||||||
Total Industrial Conglomerates |
42,191,394 | |||||||||||||||
Insurance – 2.5% | ||||||||||||||||
75,894 | Allstate Corporation |
5,250,347 | ||||||||||||||
110,455 | American International Group, Inc. |
6,554,400 | ||||||||||||||
34,937 | Arthur J. Gallagher & Co. |
1,777,245 | ||||||||||||||
40,755 | CNO Financial Group Inc. |
622,329 | ||||||||||||||
29,385 | FNF Group |
1,084,600 | ||||||||||||||
65,958 | Genworth Financial Inc., Class A, (3) |
327,152 | ||||||||||||||
74,204 | Hartford Financial Services Group, Inc. |
3,177,415 | ||||||||||||||
2,764 | Kemper Corporation |
108,680 | ||||||||||||||
77,588 | Lincoln National Corporation |
3,645,084 | ||||||||||||||
92,040 | Marsh & McLennan Companies, Inc. |
6,189,690 | ||||||||||||||
43,987 | Travelers Companies, Inc. |
5,038,711 | ||||||||||||||
Total Insurance |
33,775,653 |
4 | NUVEEN |
Shares | Description (1) | Value | ||||||||||||||
Internet & Direct Marketing Retail – 2.7% | ||||||||||||||||
30,653 | Amazon.com, Inc., (3) |
$ | 25,666,062 | |||||||||||||
11,208 | HSN, Inc. |
446,078 | ||||||||||||||
41,884 | Netflix.com Inc., (3) |
4,127,668 | ||||||||||||||
5,011 | Priceline Group, Inc. (The), (3) |
7,373,636 | ||||||||||||||
Total Internet and Direct Marketing Retail |
37,613,444 | |||||||||||||||
Internet Software & Services – 5.3% | ||||||||||||||||
50,540 | Akamai Technologies, Inc., (3) |
2,678,115 | ||||||||||||||
29,721 | Alphabet Inc., Class A, (3) |
23,897,467 | ||||||||||||||
16,407 | Alphabet Inc., Class C, (3) |
12,752,997 | ||||||||||||||
121,240 | eBay Inc., (3) |
3,988,796 | ||||||||||||||
195,319 | Facebook Inc., Class A, (3) |
25,053,568 | ||||||||||||||
17,954 | IAC/InterActiveCorp |
1,121,586 | ||||||||||||||
38,331 | VeriSign, Inc., (3) |
2,999,017 | ||||||||||||||
Total Internet Software & Services |
72,491,546 | |||||||||||||||
IT Services – 3.0% | ||||||||||||||||
9,573 | Alliance Data Systems Corporation, (3) |
2,053,696 | ||||||||||||||
72,671 | Automatic Data Processing, Inc. |
6,409,582 | ||||||||||||||
53,917 | Fidelity National Information Services, Inc. |
4,153,227 | ||||||||||||||
58,645 | International Business Machines Corporation |
9,315,758 | ||||||||||||||
121,830 | PayPal Holdings, Inc., (3) |
4,991,375 | ||||||||||||||
170,320 | Visa Inc., Class A |
14,085,464 | ||||||||||||||
Total IT Services |
41,009,102 | |||||||||||||||
Leisure Products – 0.2% | ||||||||||||||||
30,641 | Mattel, Inc. |
927,809 | ||||||||||||||
18,145 | Polaris Industries Inc. |
1,405,149 | ||||||||||||||
Total Leisure Products |
2,332,958 | |||||||||||||||
Machinery – 2.0% | ||||||||||||||||
72,561 | Caterpillar Inc. |
6,441,240 | ||||||||||||||
30,864 | Cummins Inc. |
3,955,222 | ||||||||||||||
25,751 | Deere & Company |
2,197,848 | ||||||||||||||
27,042 | Graco Inc. |
2,001,108 | ||||||||||||||
35,953 | Hillenbrand Inc. |
1,137,553 | ||||||||||||||
36,751 | Ingersoll-Rand PLC |
2,496,863 | ||||||||||||||
16,893 | Parker Hannifin Corporation |
2,120,578 | ||||||||||||||
10,877 | Snap-on Incorporated |
1,652,869 | ||||||||||||||
38,813 | Stanley Black & Decker Inc. |
4,773,223 | ||||||||||||||
23,456 | Timken Company |
824,244 | ||||||||||||||
Total Machinery |
27,600,748 | |||||||||||||||
Media – 2.8% | ||||||||||||||||
51,987 | CBS Corporation, Class B |
2,845,768 | ||||||||||||||
210,089 | Comcast Corporation, Class A |
13,937,304 | ||||||||||||||
29,164 | DISH Network Corporation, Class A, (3) |
1,597,604 | ||||||||||||||
86,999 | New York Times Company (The), Class A |
1,039,638 | ||||||||||||||
124,653 | News Corporation, Class A |
1,742,649 | ||||||||||||||
46,679 | Omnicom Group, Inc. |
3,967,715 | ||||||||||||||
31,371 | Regal Entertainment Group, Class A |
682,319 | ||||||||||||||
143,677 | Walt Disney Company |
13,341,846 | ||||||||||||||
Total Media |
39,154,843 | |||||||||||||||
Metals & Mining – 0.4% | ||||||||||||||||
217,972 | Arconic, Inc. |
2,210,236 | ||||||||||||||
20,083 | Barrick Gold Corporation |
355,871 | ||||||||||||||
42,637 | Newmont Mining Corporation |
1,675,208 | ||||||||||||||
24,595 | Nucor Corporation |
1,216,223 | ||||||||||||||
24,417 | Southern Copper Corporation |
642,167 | ||||||||||||||
Total Metals & Mining |
6,099,705 |
NUVEEN | 5 |
BXMX | Nuveen S&P 500 Buy-Write Income Fund | |||
Portfolio of Investments (continued) | September 30, 2016 (Unaudited) |
Shares | Description (1) | Value | ||||||||||||||
Multiline Retail – 0.7% | ||||||||||||||||
25,954 | Dollar Tree Inc., (3) |
$ | 2,048,549 | |||||||||||||
48,996 | Macy’s, Inc. |
1,815,302 | ||||||||||||||
41,958 | Nordstrom, Inc. |
2,176,781 | ||||||||||||||
23,907 | Sears Holding Corporation, (3) |
273,974 | ||||||||||||||
56,487 | Target Corporation |
3,879,527 | ||||||||||||||
Total Multiline Retail |
10,194,133 | |||||||||||||||
Multi-Utilities – 1.4% | ||||||||||||||||
54,853 | Ameren Corporation |
2,697,671 | ||||||||||||||
57,390 | Consolidated Edison, Inc. |
4,321,467 | ||||||||||||||
18,999 | NorthWestern Corporation |
1,093,012 | ||||||||||||||
136,142 | Public Service Enterprise Group Incorporated |
5,700,266 | ||||||||||||||
84,686 | WEC Energy Group, Inc. |
5,070,998 | ||||||||||||||
Total Multi-Utilities |
18,883,414 | |||||||||||||||
Oil, Gas & Consumable Fuels – 5.9% | ||||||||||||||||
74,927 | Cenovus Energy Inc. |
1,076,701 | ||||||||||||||
157,422 | Chevron Corporation |
16,201,872 | ||||||||||||||
189,204 | ConocoPhillips |
8,224,698 | ||||||||||||||
28,455 | CONSOL Energy Inc. |
546,336 | ||||||||||||||
49,904 | Continental Resources Inc., (3) |
2,593,012 | ||||||||||||||
181,113 | Encana Corporation |
1,896,253 | ||||||||||||||
314,753 | Exxon Mobil Corporation |
27,471,641 | ||||||||||||||
81,036 | Hess Corporation |
4,345,150 | ||||||||||||||
92,332 | Occidental Petroleum Corporation |
6,732,849 | ||||||||||||||
41,604 | ONEOK, Inc. |
2,138,030 | ||||||||||||||
2,376 | PetroChina Company Limited, ADR |
158,717 | ||||||||||||||
70,808 | Phillips 66 |
5,703,584 | ||||||||||||||
17,453 | Suncor Energy, Inc. |
484,844 | ||||||||||||||
58,070 | Valero Energy Corporation |
3,077,710 | ||||||||||||||
Total Oil, Gas & Consumable Fuels |
80,651,397 | |||||||||||||||
Pharmaceuticals – 5.7% | ||||||||||||||||
21,822 | Allergan PLC, (3) |
5,025,825 | ||||||||||||||
160,216 | Bristol-Myers Squibb Company |
8,638,847 | ||||||||||||||
100,068 | Eli Lilly and Company |
8,031,458 | ||||||||||||||
214,426 | Johnson & Johnson |
25,330,143 | ||||||||||||||
245,816 | Merck & Co. Inc. |
15,341,377 | ||||||||||||||
495,990 | Pfizer Inc. |
16,799,181 | ||||||||||||||
Total Pharmaceuticals |
79,166,831 | |||||||||||||||
Professional Services – 0.1% | ||||||||||||||||
18,195 | Manpowergroup, Inc. |
1,314,771 | ||||||||||||||
Real Estate Investment Trust – 2.5% | ||||||||||||||||
10,398 | Annaly Capital Management Inc. |
109,179 | ||||||||||||||
93,495 | Apartment Investment & Management Company, Class A |
4,292,355 | ||||||||||||||
109,496 | Brandywine Realty Trust |
1,710,328 | ||||||||||||||
10,613 | Care Capital Properties, Inc. |
302,471 | ||||||||||||||
34,687 | CBL & Associates Properties Inc. |
421,100 | ||||||||||||||
151,233 | CubeSmart |
4,122,612 | ||||||||||||||
93,181 | DCT Industrial Trust Inc. |
4,523,938 | ||||||||||||||
93,016 | Equity Commonwealth, (3) |
2,810,944 | ||||||||||||||
68,970 | Healthcare Realty Trust, Inc. |
2,349,118 | ||||||||||||||
111,415 | Lexington Realty Trust |
1,147,575 | ||||||||||||||
55,742 | Liberty Property Trust |
2,249,190 | ||||||||||||||
19,790 | MFA Financial, Inc. |
148,029 | ||||||||||||||
26,716 | Senior Housing Properties Trust |
606,720 | ||||||||||||||
49,503 | Ventas Inc. |
3,496,397 | ||||||||||||||
58,810 | Welltower Inc. |
4,397,224 | ||||||||||||||
66,465 | Weyerhaeuser Company |
2,122,892 | ||||||||||||||
Total Real Estate Investment Trusts |
34,810,072 |
6 | NUVEEN |
Shares | Description (1) | Value | ||||||||||||||
Road & Rail – 0.4% | ||||||||||||||||
62,967 | Norfolk Southern Corporation |
$ | 6,111,577 | |||||||||||||
Semiconductors & Semiconductor Equipment – 3.4% | ||||||||||||||||
77,746 | Analog Devices, Inc. |
5,010,730 | ||||||||||||||
35,713 | Broadcom Limited |
6,161,207 | ||||||||||||||
365,405 | Intel Corporation |
13,794,039 | ||||||||||||||
38,906 | Intersil Corporation, Class A |
853,209 | ||||||||||||||
27,920 | Lam Research Corporation |
2,644,303 | ||||||||||||||
81,111 | Linear Technology Corporation |
4,809,071 | ||||||||||||||
24,776 | Microchip Technology Incorporated |
1,539,581 | ||||||||||||||
58,777 | NVIDIA Corporation |
4,027,400 | ||||||||||||||
117,004 | QUALCOMM, Inc. |
8,014,774 | ||||||||||||||
Total Semiconductors & Semiconductor Equipment |
46,854,314 | |||||||||||||||
Software – 4.8% | ||||||||||||||||
79,151 | Activision Blizzard Inc. |
3,506,389 | ||||||||||||||
73,198 | Adobe Systems Incorporated, (3) |
7,944,911 | ||||||||||||||
48,079 | Autodesk, Inc., (3) |
3,477,554 | ||||||||||||||
24,616 | CDK Global Inc. |
1,411,974 | ||||||||||||||
18,446 | Dell Technologies Incorporated, Class V, (3) |
881,719 | ||||||||||||||
602,406 | Microsoft Corporation |
34,698,585 | ||||||||||||||
260,115 | Oracle Corporation |
10,217,317 | ||||||||||||||
65,868 | Salesforce.com, Inc., (3) |
4,698,364 | ||||||||||||||
Total Software |
66,836,813 | |||||||||||||||
Specialty Retail – 2.7% | ||||||||||||||||
5,637 | Abercrombie & Fitch Co., Class A |
89,572 | ||||||||||||||
32,842 | American Eagle Outfitters, Inc. |
586,558 | ||||||||||||||
46,327 | Best Buy Co., Inc. |
1,768,765 | ||||||||||||||
46,645 | CarMax, Inc., (3) |
2,488,511 | ||||||||||||||
10,049 | CST Brands Inc. |
483,256 | ||||||||||||||
50,159 | Gap, Inc. |
1,115,536 | ||||||||||||||
106,894 | Home Depot, Inc. |
13,755,120 | ||||||||||||||
26,516 | L Brands Inc. |
1,876,537 | ||||||||||||||
103,055 | Lowe’s Companies, Inc. |
7,441,602 | ||||||||||||||
32,953 | Ross Stores, Inc. |
2,118,878 | ||||||||||||||
21,051 | Tiffany & Co. |
1,528,934 | ||||||||||||||
52,140 | TJX Companies, Inc. |
3,899,029 | ||||||||||||||
Total Specialty Retail |
37,152,298 | |||||||||||||||
Technology Hardware, Storage & Peripherals – 3.8% | ||||||||||||||||
409,945 | Apple, Inc. |
46,344,280 | ||||||||||||||
118,686 | Hewlett Packard Enterprise Company |
2,700,107 | ||||||||||||||
118,686 | HP Inc. |
1,843,194 | ||||||||||||||
61,069 | NetApp, Inc. |
2,187,492 | ||||||||||||||
Total Technology Hardware, Storage & Peripherals |
53,075,073 | |||||||||||||||
Textiles, Apparel & Luxury Goods – 0.3% | ||||||||||||||||
83,862 | VF Corporation |
4,700,465 | ||||||||||||||
Thrifts & Mortgage Finance – 0.1% | ||||||||||||||||
116,659 | MGIC Investment Corporation, (3) |
933,272 | ||||||||||||||
Tobacco – 1.9% | ||||||||||||||||
180,267 | Altria Group, Inc. |
11,398,282 | ||||||||||||||
113,783 | Philip Morris International, Inc. |
11,061,983 | ||||||||||||||
81,858 | Reynolds American Inc. |
3,859,605 | ||||||||||||||
11,645 | Vector Group Ltd. |
250,729 | ||||||||||||||
Total Tobacco |
26,570,599 |
NUVEEN | 7 |
BXMX | Nuveen S&P 500 Buy-Write Income Fund | |||
Portfolio of Investments (continued) | September 30, 2016 (Unaudited) |
Shares | Description (1) | Value | ||||||||||||||
Wireless Telecommunication Services – 0.0% | ||||||||||||||||
47,312 | Sprint Corporation, (3) |
$ | 313,679 | |||||||||||||
Total Long-Term Investments (cost $842,530,542) |
1,369,165,985 | |||||||||||||||
Principal Amount (000) |
Description (1) | Coupon | Maturity | Value | ||||||||||||
SHORT-TERM INVESTMENTS – 3.6% | ||||||||||||||||
REPURCHASE AGREEMENTS – 3.6% | ||||||||||||||||
$ | 48,964 | Repurchase Agreement with Fixed Income Clearing
Corporation, |
0.030% | 10/03/16 | $ | 48,963,898 | ||||||||||
Total Short-Term Investments (cost $48,963,898) |
48,963,898 | |||||||||||||||
Total Investments (cost $891,494,440) – 103.0% |
1,418,129,883 | |||||||||||||||
Other Assets Less Liabilities – (3.0)% (4) |
(41,828,373 | ) | ||||||||||||||
Net Assets – 100% |
$ | 1,376,301,510 |
Investments in Derivatives as of September 30, 2016
Call Options Written
Number of Contracts |
Description (5) | Notional Amount (6) |
Expiration Date |
Strike Price |
Value | |||||||||||||||
(681 | ) | S&P 500® Index |
$ | (148,117,500 | ) | 10/07/16 | $ | 2,175 | $ | (578,850 | ) | |||||||||
(654 | ) | S&P 500® Index |
(143,226,000 | ) | 10/14/16 | 2,190 | (441,450 | ) | ||||||||||||
(729 | ) | S&P 500® Index |
(154,912,500 | ) | 10/21/16 | 2,125 | (3,867,345 | ) | ||||||||||||
(1,391 | ) | S&P 500® Index |
(299,065,000 | ) | 10/21/16 | 2,150 | (4,701,580 | ) | ||||||||||||
(682 | ) | S&P 500® Index |
(148,335,000 | ) | 10/21/16 | 2,175 | (1,210,550 | ) | ||||||||||||
(657 | ) | S&P 500® Index |
(144,540,000 | ) | 11/18/16 | 2,200 | (1,254,870 | ) | ||||||||||||
(1,456 | ) | S&P 500® Index |
(313,040,000 | ) | 11/18/16 | 2,150 | (7,047,040 | ) | ||||||||||||
(6,250 | ) |
Total Call Options Written (premiums received $25,071,096) |
$ | (1,351,236,000 | ) | $ | (19,101,685 | ) |
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). |
8 | NUVEEN |
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: |
||||||||||||||||
Common Stocks |
$ | 1,369,165,985 | $ | — | $ | — | $ | 1,369,165,985 | ||||||||
Short-Term Investments: |
||||||||||||||||
Repurchase Agreements |
— | 48,963,898 | — | 48,963,898 | ||||||||||||
Investments in Derivatives: |
||||||||||||||||
Options Written |
(19,101,685 | ) | — | — | (19,101,685 | ) | ||||||||||
Total |
$ | 1,350,064,300 | $ | 48,963,898 | $ | — | $ | 1,399,028,198 |
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 recording income, timing differences in recognizing certain gains and losses on investment transactions and the recognition of unrealized gain or loss for tax (mark-to-market) on options contracts. 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 September 30, 2016, the cost of investments (excluding investments in derivatives) was $891,644,143.
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of September 30, 2016, were as follows:
Gross unrealized: |
||||
Appreciation |
$ | 568,298,888 | ||
Depreciation |
(41,813,148 | ) | ||
Net unrealized appreciation (depreciation) of investments |
$ | 526,485,740 |
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. |
(2) | The Fund may designate up to 100% of its common stock investments to cover outstanding options written. |
(3) | Non-income producing; issuer has not declared a dividend within the past twelve months. |
(4) | Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter (“OTC”) derivatives as well as the OTC-cleared and exchange-traded derivatives, when applicable. |
(5) | Exchange-traded, unless otherwise noted. |
(6) | For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100. |
ADR | American Depositary Receipt |
NUVEEN | 9 |
Item 2. Controls and Procedures.
a. | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
b. | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 3. Exhibits.
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.
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 S&P 500 Buy-Write Income Fund | |||
By (Signature and Title) | /s/ Gifford R. Zimmerman | |||
Gifford R. Zimmerman |
||||
Vice President and Secretary |
Date: November 29, 2016
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/ Cedric H. Antosiewicz | |||
Cedric H. Antosiewicz |
||||
Chief Administrative Officer (principal executive officer) | ||||
Date: November 29, 2016 | ||||
By (Signature and Title) | /s/ Stephen D. Foy | |||
Stephen D. Foy | ||||
Vice President and Controller (principal financial officer) | ||||
Date: November 29, 2016 |