N-Q 1 d261122dnq.htm NUVEEN S&P 500 BUY-WRITE INCOME FUND Nuveen S&P 500 Buy-Write 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 811-21619

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,
dated 9/30/16, repurchase price $48,964,020,
collateralized by $42,780,000 U.S. Treasury Bonds,
3.000%, due 11/15/45, value $49,945,650

    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