N-Q 1 d26378dnq.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)

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:       December 31      

Date of reporting period:  September 30, 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

 

 


BXMX

 

Nuveen S&P 500 Buy-Write Income Fund

Portfolio of Investments

   September 30, 2015 (Unaudited)

 

Shares     Description (1)             Value  
 

LONG-TERM INVESTMENTS – 98.0%

     
 

COMMON STOCKS – 98.0% (5)

     
      Aerospace & Defense – 2.5%              
  67,004     

Boeing Company

      $ 8,774,174   
  85,468     

Honeywell International Inc.

        8,092,965   
  8,874     

Huntington Ingalls Industries Inc.

        950,849   
  28,502     

Northrop Grumman Corporation

        4,729,907   
  54,744     

Raytheon Company

        5,981,329   
  63,296     

United Technologies Corporation

            5,632,711   
 

Total Aerospace & Defense

            34,161,935   
      Air Freight & Logistics – 0.8%              
  104,952     

United Parcel Service, Inc., Class B

            10,357,713   
      Airlines – 0.4%              
  103,293     

United Continental Holdings Inc., (2)

            5,479,694   
      Auto Components – 0.2%              
  22,233     

Cooper Tire & Rubber Company

        878,426   
  85,832     

Gentex Corporation

            1,330,396   
 

Total Auto Components

            2,208,822   
      Automobiles – 0.6%              
  388,012     

Ford Motor Company

        5,265,323   
  50,303     

Harley-Davidson, Inc.

            2,761,635   
 

Total Automobiles

            8,026,958   
      Banks – 5.9%              
  914,632     

Bank of America Corporation

        14,249,967   
  262,997     

Citigroup Inc.

        13,047,281   
  33,724     

Comerica Incorporated

        1,386,056   
  71,851     

Fifth Third Bancorp

        1,358,702   
  86,613     

First Horizon National Corporation

        1,228,172   
  289,842     

JP Morgan Chase & Co.

        17,671,667   
  29,619     

Lloyds Banking PLC, ADR

        136,247   
  234,861     

U.S. Bancorp

        9,631,650   
  408,071     

Wells Fargo & Company

            20,954,446   
 

Total Banks

            79,664,188   
      Beverages – 2.4%              
  317,900     

Coca-Cola Company

        12,754,148   
  33,462     

Monster Beverage Corporation, (2)

        4,522,055   
  153,014     

PepsiCo, Inc.

            14,429,220   
 

Total Beverages

            31,705,423   
      Biotechnology – 4.2%              
  161,773     

AbbVie Inc.

        8,802,069   
  74,396     

Amgen Inc.

        10,290,455   
  40,852     

Baxalta Inc.

        1,287,247   
  15,948     

Biogen Inc., (2)

        4,653,786   
  124,804     

Celgene Corporation, (2)

        13,500,049   
  173,101     

Gilead Sciences, Inc.

            16,996,787   
 

Total Biotechnology

            55,530,393   

 

Nuveen Investments     1   


BXMX    Nuveen S&P 500 Buy-Write Income Fund
   Portfolio of Investments (continued)    September 30, 2015 (Unaudited)

 

Shares     Description (1)             Value  
      Building Products – 0.1%              
  4,369     

Allegion PLC

      $ 251,917   
  42,748     

Masco Corporation

            1,076,395   
 

Total Building Products

            1,328,312   
      Capital Markets – 2.0%              
  201,302     

Charles Schwab Corporation

        5,749,185   
  28,291     

Eaton Vance Corporation

        945,485   
  57,390     

Goldman Sachs Group, Inc.

        9,972,086   
  78,237     

Legg Mason, Inc.

        3,255,442   
  150,485     

Morgan Stanley

        4,740,278   
  47,635     

Waddell & Reed Financial, Inc., Class A

            1,656,269   
 

Total Capital Markets

            26,318,745   
      Chemicals – 1.9%              
  22,572     

Chemours Company

        146,041   
  128,057     

Dow Chemical Company

        5,429,617   
  112,864     

E.I. Du Pont de Nemours and Company

        5,440,045   
  76,574     

Eastman Chemical Company

        4,955,869   
  65,907     

Monsanto Company

        5,624,503   
  48,329     

Olin Corporation

        812,410   
  19,983     

Potash Corporation of Saskatchewan Inc.

        410,651   
  80,712     

RPM International, Inc.

            3,381,026   
 

Total Chemicals

            26,200,162   
      Commercial Services & Supplies – 0.4%              
  14,145     

Deluxe Corporation

        788,442   
  26,475     

Pitney Bowes Inc.

        525,529   
  28,908     

R.R. Donnelley & Sons Company

        420,900   
  60,369     

Waste Management, Inc.

            3,006,980   
 

Total Commercial Services & Supplies

            4,741,851   
      Communications Equipment – 1.4%              
  9,698     

ADTRAN, Inc.

        141,591   
  3,408     

Ciena Corporation, (2)

        70,614   
  371,982     

Cisco Systems, Inc.

        9,764,528   
  2,206     

Lumentum Holdings Inc., (2)

        37,392   
  36,243     

Motorola Solutions Inc.

        2,478,296   
  117,004     

QUALCOMM, Inc.

        6,286,625   
  11,034     

Viavi Solutions Inc., (2)

            59,253   
 

Total Communications Equipment

            18,838,299   
      Consumer Finance – 0.9%              
  89,615     

American Express Company

        6,643,160   
  84,491     

Discover Financial Services

        4,392,687   
  77,393     

Navient Corporation

        869,897   
  77,393     

SLM Corporation, (2)

            572,708   
 

Total Consumer Finance

            12,478,452   
      Containers & Packaging – 0.3%              
  3,177     

Avery Dennison Corporation

        179,723   
  69,728     

Packaging Corp. of America

        4,194,836   
  5,718     

Sonoco Products Company

            215,797   
 

Total Containers & Packaging

            4,590,356   
      Distributors – 0.1%              
  23,190     

Genuine Parts Company

            1,922,219   

 

  2      Nuveen Investments


Shares     Description (1)             Value  
      Diversified Consumer Services – 0.0%              
  7,623     

Apollo Education Group, Inc., (2)

          $ 84,310   
      Diversified Financial Services – 2.4%              
  193,497     

Berkshire Hathaway Inc., Class B, (2)

        25,232,009   
  41,332     

CME Group, Inc.

        3,833,130   
  9,793     

FNFV Group, (2)

        114,774   
  12,616     

Intercontinental Exchange, Inc.

        2,964,634   
  39,312     

Leucadia National Corporation

            796,461   
 

Total Diversified Financial Services

            32,941,008   
      Diversified Telecommunication Services – 2.1%              
  431,692     

AT&T Inc.

        14,064,525   
  20,819     

CenturyLink Inc.

        522,973   
  192,058     

Frontier Communications Corporation

        912,276   
  285,057     

Verizon Communications Inc.

        12,402,830   
  3,033     

Windstream Holdings Inc.

            18,623   
 

Total Diversified Telecommunication Services

            27,921,227   
      Electric Utilities – 1.4%              
  57,289     

Companhia Energetica de Minas Gerais, Sponsored ADR

        101,974   
  55,671     

Duke Energy Corporation

        4,004,972   
  98,619     

Great Plains Energy Incorporated

        2,664,685   
  89,635     

OGE Energy Corp.

        2,452,414   
  64,913     

Pepco Holdings, Inc.

        1,572,193   
  11,931     

Pinnacle West Capital Corporation

        765,254   
  162,938     

Southern Company

            7,283,329   
 

Total Electric Utilities

            18,844,821   
      Electrical Equipment – 0.9%              
  52,322     

Eaton Corporation PLC

        2,684,119   
  76,676     

Emerson Electric Company

        3,386,779   
  11,240     

Hubbell Incorporated, Class B

        954,838   
  44,800     

Rockwell Automation, Inc.

            4,545,856   
 

Total Electrical Equipment

            11,571,592   
      Electronic Equipment, Instruments & Components – 0.2%              
  151,993     

Corning Incorporated

            2,602,120   
      Energy Equipment & Services – 1.2%              
  8,826     

Diamond Offshore Drilling, Inc.

        152,690   
  26,944     

Ensco PLC, Class A

        379,372   
  139,879     

Halliburton Company

        4,944,723   
  72,619     

Patterson-UTI Energy, Inc.

        954,214   
  138,938     

Schlumberger Limited

        9,582,554   
  78     

Tidewater Inc.

            1,025   
 

Total Energy Equipment & Services

            16,014,578   
      Food & Staples Retailing – 2.3%              
  126,797     

CVS Health Corporation

        12,233,375   
  231,116     

Kroger Co.

        8,336,354   
  69,240     

SUPERVALU INC., (2)

        497,143   
  74,151     

Walgreens Boots Alliance Inc.

        6,161,948   
  68,690     

Wal-Mart Stores, Inc.

            4,453,860   
 

Total Food & Staples Retailing

            31,682,680   
      Food Products – 0.8%              
  252,157     

Mondelez International Inc., Class A

            10,557,814   

 

Nuveen Investments     3   


BXMX    Nuveen S&P 500 Buy-Write Income Fund
   Portfolio of Investments (continued)    September 30, 2015 (Unaudited)

 

Shares     Description (1)             Value  
      Gas Utilities – 0.5%              
  21,816     

AGL Resources Inc.

      $ 1,331,649   
  46,601     

Atmos Energy Corporation

        2,711,246   
  44,518     

National Fuel Gas Company

        2,225,010   
  4,901     

ONE Gas Inc.

            222,162   
 

Total Gas Utilities

            6,490,067   
      Health Care Equipment & Supplies – 1.7%              
  163,485     

Abbott Laboratories

        6,575,367   
  40,852     

Baxter International, Inc.

        1,341,988   
  1,463     

Halyard Health Inc., (2)

        41,608   
  36,821     

Hill-Rom Holdings Inc.

        1,914,324   
  62,936     

Hologic Inc., (2)

        2,462,686   
  2,456     

Intuitive Surgical, Inc., (2)

        1,128,728   
  148,378     

Medtronic, PLC

            9,932,423   
 

Total Health Care Equipment & Supplies

            23,397,124   
      Health Care Providers & Services – 3.1%              
  47,337     

Aetna Inc.

        5,179,141   
  52,620     

Anthem Inc.

        7,366,800   
  69,194     

Brookdale Senior Living Inc., (2)

        1,588,694   
  89,014     

Express Scripts Holding Company, (2)

        7,206,573   
  42,009     

HCA Holdings Inc., (2)

        3,249,816   
  39,774     

Henry Schein Inc., (2)

        5,278,805   
  15,942     

Kindred Healthcare Inc.

        251,087   
  101,713     

UnitedHealth Group Incorporated

            11,799,725   
 

Total Health Care Providers & Services

            41,920,641   
      Health Care Technology – 0.2%              
  38,826     

Cerner Corporation, (2)

            2,328,007   
      Hotels, Restaurants & Leisure – 1.2%              
  54,924     

Carnival Corporation

        2,729,723   
  2,272     

Interval Leisure Group Inc.

        41,714   
  1,691     

J Alexanders Holdings Inc., (2)

        16,864   
  4,969     

Las Vegas Sands Corp.

        188,673   
  116,737     

McDonald’s Corporation

        11,502,097   
  21,179     

Starwood Hotels & Resorts Worldwide, Inc.

        1,407,980   
  15,729     

Wynn Resorts Ltd

            835,524   
 

Total Hotels, Restaurants & Leisure

            16,722,575   
      Household Durables – 0.7%              
  2,893     

Garmin Limited

        103,801   
  50,944     

KB Home

        690,291   
  112,138     

Newell Rubbermaid Inc.

        4,453,000   
  11,162     

TopBuild Corporation, (2)

        345,687   
  1,285     

Tupperware Brands Corporation

        63,595   
  28,733     

Whirlpool Corporation

            4,231,222   
 

Total Household Durables

            9,887,596   
      Household Products – 1.9%              
  112,988     

Colgate-Palmolive Company

        7,170,218   
  34,108     

Kimberly-Clark Corporation

        3,719,136   
  209,355     

Procter & Gamble Company

            15,060,999   
 

Total Household Products

            25,950,353   
      Industrial Conglomerates – 2.3%              
  68,629     

3M Co.

        9,729,533   
  692,030     

General Electric Company

        17,452,997   
  24,839     

Roper Technologies, Inc.

            3,892,271   
 

Total Industrial Conglomerates

            31,074,801   

 

  4      Nuveen Investments


Shares     Description (1)             Value  
      Insurance – 2.5%              
  107,121     

Allstate Corporation

      $ 6,238,727   
  92,845     

American International Group, Inc.

        5,275,453   
  34,937     

Arthur J. Gallagher & Co.

        1,442,199   
  40,755     

CNO Financial Group Inc.

        766,602   
  29,385     

FNF Group

        1,042,286   
  65,958     

Genworth Financial Inc., Class A, (2)

        304,726   
  74,204     

Hartford Financial Services Group, Inc.

        3,397,059   
  2,764     

Kemper Corporation

        97,763   
  77,588     

Lincoln National Corporation

        3,682,326   
  161,940     

Marsh & McLennan Companies, Inc.

        8,456,507   
  35,787     

Travelers Companies, Inc.

            3,561,880   
 

Total Insurance

            34,265,528   
      Internet & Catalog Retail – 2.6%              
  38,228     

Amazon.com, Inc., (2)

        19,568,531   
  30,273     

HSN, Inc.

        1,732,827   
  49,380     

Netflix Inc., (2)

        5,098,979   
  7,208     

Priceline Group, Inc. (The), (2)

            8,915,287   
 

Total Internet & Catalog Retail

            35,315,624   
      Internet Software & Services – 4.7%              
  50,540     

Akamai Technologies, Inc., (2)

        3,490,292   
  32,276     

Alphabet Inc., Class A, (2)

        20,604,030   
  20,310     

Alphabet Inc., Class C, (2)

        12,357,010   
  150,929     

eBay Inc., (2)

        3,688,705   
  203,647     

Facebook Inc., Class A Shares, (2)

        18,307,865   
  20,261     

IAC/InterActiveCorp

        1,322,435   
  55,336     

VeriSign, Inc., (2)

            3,904,508   
 

Total Internet Software & Services

            63,674,845   
      IT Services – 3.0%              
  4,939     

Alliance Data Systems Corporation, (2)

        1,279,102   
  115,333     

Automatic Data Processing, Inc.

        9,268,160   
  83,491     

Fidelity National Information Services, Inc.

        5,600,576   
  56,245     

International Business Machines Corporation

        8,153,838   
  150,929     

PayPal Holdings, Inc., (2)

        4,684,836   
  170,320     

Visa Inc., Class A

            11,864,491   
 

Total IT Services

            40,851,003   
      Leisure Products – 0.2%              
  29,141     

Mattel, Inc.

        613,709   
  18,145     

Polaris Industries Inc.

            2,175,041   
 

Total Leisure Products

            2,788,750   
      Machinery – 2.0%              
  91,577     

Caterpillar Inc.

        5,985,473   
  36,891     

Cummins Inc.

        4,005,625   
  21,151     

Deere & Company

        1,565,174   
  39,621     

Graco Inc.

        2,655,796   
  35,953     

Hillenbrand Inc.

        935,138   
  36,751     

Ingersoll-Rand PLC

        1,865,848   
  12,886     

Joy Global Inc.

        192,388   
  16,893     

Parker Hannifin Corporation

        1,643,689   
  10,877     

Snap-on Incorporated

        1,641,774   
  22,230     

SPX Corporation

        264,982   
  22,230     

SPX Flow Inc., (2)

        765,379   
  47,536     

Stanley Black & Decker Inc.

        4,610,041   
  57,774     

Timken Company

            1,588,207   
 

Total Machinery

            27,719,514   

 

Nuveen Investments     5   


BXMX    Nuveen S&P 500 Buy-Write Income Fund
   Portfolio of Investments (continued)    September 30, 2015 (Unaudited)

 

Shares     Description (1)             Value  
      Media – 3.4%              
  37,547     

CBS Corporation, Class B

      $ 1,498,125   
  222,231     

Comcast Corporation, Class A

        12,640,499   
  6,400     

DISH Network Corporation, Class A, (2)

        373,376   
  86,999     

New York Times Company (The), Class A

        1,027,458   
  186,868     

News Corporation, Class A Shares

        2,358,274   
  2,025     

News Corporation Class B Shares

        25,961   
  92,661     

Omnicom Group, Inc.

        6,106,360   
  31,371     

Regal Entertainment Group, Class A

        586,324   
  207,442     

Walt Disney Company

            21,200,572   
 

Total Media

            45,816,949   
      Metals & Mining – 0.5%              
  253,192     

Alcoa Inc.

        2,445,835   
  20,083     

Barrick Gold Corporation

        127,728   
  62,035     

Freeport-McMoRan, Inc.

        601,119   
  148,596     

Hecla Mining Company

        292,734   
  38,316     

Newmont Mining Corporation

        615,738   
  24,595     

Nucor Corporation

        923,542   
  41,917     

Southern Copper Corporation

        1,120,022   
  156     

TimkenSteel Corporation

            1,579   
 

Total Metals & Mining

            6,128,297   
      Multiline Retail – 1.0%              
  993     

Dollar Tree Inc., (2)

        66,193   
  80,174     

Macy’s, Inc.

        4,114,530   
  67,816     

Nordstrom, Inc.

        4,863,085   
  14,738     

Sears Holdings Corporation, (2)

        333,079   
  59,302     

Target Corporation

            4,664,695   
 

Total Multiline Retail

            14,041,582   
      Multi-Utilities – 1.4%              
  102,253     

Ameren Corporation

        4,322,234   
  57,390     

Consolidated Edison, Inc.

        3,836,522   
  18,999     

NorthWestern Corporation

        1,022,716   
  157,390     

Public Service Enterprise Group Incorporated

        6,635,562   
  62,665     

WEC Energy Group, Inc.

            3,272,366   
 

Total Multi-Utilities

            19,089,400   
      Oil, Gas & Consumable Fuels – 5.5%              
  118,053     

California Resources Corporation

        306,938   
  9,051     

Cenovus Energy Inc.

        137,213   
  184,150     

Chevron Corporation

        14,525,752   
  159,197     

ConocoPhillips

        7,635,088   
  53,708     

CONSOL Energy Inc.

        526,338   
  66,781     

Continental Resources Inc., (2)

        1,934,646   
  181,113     

Encana Corporation

        1,166,368   
  335,043     

Exxon Mobil Corporation

        24,910,447   
  83,636     

Hess Corporation

        4,186,818   
  81,683     

Occidental Petroleum Corporation

        5,403,330   
  62,632     

ONEOK, Inc.

        2,016,750   
  2,376     

PetroChina Company Limited, ADR

        165,607   
  93,255     

Phillips 66

        7,165,714   
  23,753     

Suncor Energy, Inc.

        634,680   
  58,070     

Valero Energy Corporation

            3,490,007   
 

Total Oil, Gas & Consumable Fuels

            74,205,696   
      Pharmaceuticals – 5.3%              
  171,532     

Bristol-Myers Squibb Company

        10,154,694   
  116,215     

Eli Lilly and Company

        9,726,033   
  244,236     

Johnson & Johnson

        22,799,431   
  251,757     

Merck & Company Inc.

        12,434,278   
  525,734     

Pfizer Inc.

            16,513,305   
 

Total Pharmaceuticals

            71,627,741   

 

  6      Nuveen Investments


Shares     Description (1)             Value  
      Professional Services – 0.1%              
  18,195     

Manpowergroup Inc.

          $ 1,489,989   
      Real Estate Investment Trust – 2.0%              
  32,859     

Annaly Capital Management Inc.

        324,318   
  69,995     

Apartment Investment & Management Company, Class A

        2,591,215   
  109,496     

Brandywine Realty Trust

        1,348,991   
  10,613     

Care Capital Properties, Inc.

        349,486   
  34,687     

CBL & Associates Properties Inc.

        476,946   
  3,639     

Communications Sales & Leasing, Inc.

        65,138   
  185,124     

CubeSmart

        5,037,224   
  66,098     

DCT Industrial Trust Inc.

        2,224,859   
  36,770     

Equity Commonwealth, (2)

        1,001,615   
  42,070     

Healthcare Realty Trust, Inc.

        1,045,440   
  25,724     

Hospitality Properties Trust

        658,020   
  168,278     

Lexington Realty Trust

        1,363,052   
  55,742     

Liberty Property Trust

        1,756,430   
  17,263     

Medical Properties Trust Inc.

        190,930   
  19,790     

MFA Financial, Inc.

        134,770   
  26,716     

Senior Housing Properties Trust

        432,799   
  42,454     

Ventas Inc.

        2,379,971   
  58,810     

Welltower Inc.

        3,982,613   
  37,228     

Weyerhaeuser Company

            1,017,814   
 

Total Real Estate Investment Trust

            26,381,631   
      Road & Rail – 0.4%              
  69,592     

Norfolk Southern Corporation

            5,316,829   
      Semiconductors & Semiconductor Equipment – 2.7%              
  98,918     

Altera Corporation

        4,953,813   
  89,419     

Analog Devices, Inc.

        5,044,126   
  122,324     

Broadcom Corporation, Class A

        6,291,123   
  464,914     

Intel Corporation

        14,012,508   
  38,906     

Intersil Corporation, Class A

        455,200   
  15,324     

Lam Research Corporation

        1,001,117   
  81,111     

Linear Technology Corporation

        3,272,830   
  24,776     

Microchip Technology Incorporated

        1,067,598   
  27,856     

NVIDIA Corporation

            686,650   
 

Total Semiconductors & Semiconductor Equipment

            36,784,965   
      Software – 4.1%              
  103,298     

Activision Blizzard Inc.

        3,190,875   
  93,084     

Adobe Systems Incorporated, (2)

        7,653,366   
  61,718     

Autodesk, Inc., (2)

        2,724,233   
  28,116     

CDK Global Inc.

        1,343,382   
  621,537     

Microsoft Corporation

        27,509,228   
  260,115     

Oracle Corporation

        9,395,354   
  55,570     

Salesforce.com, Inc., (2)

            3,858,225   
 

Total Software

            55,674,663   
      Specialty Retail – 2.8%              
  8,222     

Abercrombie & Fitch Co., Class A

        174,224   
  32,842     

American Eagle Outfitters, Inc.

        513,320   
  68,470     

Best Buy Co., Inc.

        2,541,606   
  46,645     

CarMax, Inc., (2)

        2,766,981   
  7,749     

CST Brands Inc.

        260,831   
  50,159     

Gap, Inc.

        1,429,532   
  106,894     

Home Depot, Inc.

        12,345,188   
  50,590     

L Brands Inc.

        4,559,677   
  130,011     

Lowe’s Companies, Inc.

        8,960,358   
  14,496     

Ross Stores, Inc.

        702,621   
  13,465     

Tiffany & Co.

        1,039,767   
  28,637     

TJX Companies, Inc.

            2,045,255   
 

Total Specialty Retail

            37,339,360   

 

Nuveen Investments     7   


BXMX    Nuveen S&P 500 Buy-Write Income Fund
   Portfolio of Investments (continued)    September 30, 2015 (Unaudited)

 

Shares     Description (1)                 Value  
      Technology Hardware, Storage & Peripherals – 4.5%                  
  455,176     

Apple, Inc.

      $ 50,205,913   
  239,417     

EMC Corporation

        5,784,315   
  118,686     

HP Inc.

        3,039,548   
  65,269     

NetApp, Inc.

                    1,931,962   
 

Total Technology, Hardware, Storage & Peripherals

                    60,961,738   
      Textiles, Apparel & Luxury Goods – 0.4%                  
  70,297     

VF Corporation

                    4,794,958   
      Thrifts & Mortgage Finance – 0.1%                  
  50,725     

Hudson City Bancorp, Inc.

        515,873   
  40,800     

MGIC Investment Corporation, (2)

                    377,808   
 

Total Thrifts & Mortgage Finance

                    893,681   
      Tobacco – 1.8%                  
  197,076     

Altria Group, Inc.

        10,720,934   
  99,883     

Philip Morris International Inc.

        7,923,718   
  107,356     

Reynolds American Inc.

        4,752,650   
  11,091     

Vector Group Ltd.

                    250,771   
 

Total Tobacco

                    23,648,073   
      Wireless Telecommunication Services – 0.0%                  
  116,407     

Sprint Corporation, (2)

                    447,003   
 

Total Long-Term Investments (cost $866,667,991)

                    1,322,802,655   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Value  
      SHORT-TERM INVESTMENTS – 5.6%                  
      REPURCHASE AGREEMENTS – 5.6%                  
$ 28,126     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/15,
repurchase price $28,126,383, collateralized by $27,890,000 U.S. Treasury Notes,
2.125%, due 6/30/22, Value $28,691,838

    0.000%        10/01/15      $ 28,126,383   
  47,148     

Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/15,
repurchase price $47,148,021, collateralized by $40,885,000 U.S. Treasury Bonds,
3.750%, due 8/15/41, Value $48,090,981

    0.000%        10/01/15        47,148,021   
$ 75,274     

Total Short-Term Investments (cost $75,274,404)

                    75,274,404   
 

Total Investments (cost $941,942,395) – 103.6%

                    1,398,077,059   
 

Other Assets Less Liabilities – (3.6)% (3)

                    (48,677,712
 

Net Assets – 100%

                  $ 1,349,399,347   

Investments in Derivatives as of September 30, 2015

Options Written outstanding:

 

Number of
Contracts
       Description      Notional
Amount (4)
       Expiration
Date
       Strike
Price
       Value  
  (702     

S&P 500® Index

     $ (135,486,000        10/02/15         $ 1,930         $ (614,250
  (768     

S&P 500® Index

       (149,760,000        10/09/15           1,950           (944,640
  (759     

S&P 500® Index

       (144,210,000        10/16/15           1,900           (3,388,935
  (759     

S&P 500® Index

       (146,107,500        10/16/15           1,925           (2,231,460
  (811     

S&P 500® Index

       (158,145,000        10/16/15           1,950           (1,467,910
  (736     

S&P 500® Index

       (145,360,000        10/16/15           1,975           (658,720
  (741     

S&P 500® Index

       (140,790,000        11/20/15           1,900           (4,786,860
  (780     

S&P 500® Index

       (150,150,000        11/20/15           1,925           (3,900,000
  (773     

S&P 500® Index

       (154,600,000        11/20/15           2,000           (1,287,045
  (6,829 )     

Total Options Written (premium received $29,770,704)

     $ (1,324,608,500 )                            $ (19,279,820

 

  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:

           

Common Stocks

   $ 1,322,802,655       $       $       $ 1,322,802,655   

Short-Term Investments:

           

Repurchase Agreements

             75,274,404                 75,274,404   

Investments in Derivatives:

           

Options Written

     (19,279,820                      (19,279,820

Total

   $ 1,303,522,835       $ 75,274,404       $       $ 1,378,797,239   

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 (mart-to-market) on option 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, 2015, the cost of investments (excluding investments in derivatives) was $942,625,790.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of September 30, 2015, were as follows:

 

Gross unrealized:

          

Appreciation

     $ 515,336,688   

Depreciation

       (59,885,419

Net unrealized appreciation (depreciation) of investments

     $ 455,451,269   

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

 

(3) Other assets less liabilities includes the unrealized appreciation (depreciation) of certain over-the-counter derivatives as well as the exchange-cleared and exchange-traded derivatives, when applicable. Other assets less liabilities also includes the value of options.

 

(4) For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.

 

(5) The Fund may designate up to 100% of its common stock investments to cover outstanding option written.

 

ADR American Depositary Receipt

 

.

 

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

Date: November 27, 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: November 27, 2015      
By (Signature and Title)    /s/ Stephen D. Foy                                                                    
   Stephen D. Foy   
   Vice President and Controller (principal financial officer)   
Date: November 27, 2015