Nuveen S&P 500 BuyWrite Income Fund

N-Q 1 d563216dnq.htm NUVEEN S&P 500 BUYWRITE INCOME FUND Nuveen S&P 500 BuyWrite 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: March 31, 2018

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 March 31, 2018

(Unaudited)


Shares		Description (1)	Value

		LONG-TERM INVESTMENTS – 99.5%

		COMMON STOCKS – 99.5% (2)

		Aerospace & Defense – 2.9%

	50,341	Arconic, Inc.	$	1,159,857
	41,239	Boeing Company		13,521,443
	8,874	Huntington Ingalls Industries Inc.		2,287,362
	21,569	Northrop Grumman Corporation		7,530,169
	36,207	Raytheon Company		7,814,195
	63,296	United Technologies Corporation		7,963,903
		Total Aerospace & Defense		40,276,929

		Air Freight & Logistics – 0.5%

	66,528	United Parcel Service, Inc., Class B		6,962,820

		Airlines – 0.4%

	71,888	United Continental Holdings Inc., (3)		4,994,059

		Auto Components – 0.2%

	20,894	Cooper Tire & Rubber Company		612,194
	67,376	Gentex Corporation		1,550,996
		Total Auto Components		2,163,190

		Automobiles – 0.4%

	324,831	Ford Motor Company		3,599,127
	35,947	Harley-Davidson, Inc.		1,541,407
	2,190	Tesla Inc., (3)		582,825
		Total Automobiles		5,723,359

		Banks – 6.8%

	671,300	Bank of America Corporation		20,132,287
	184,023	Citigroup Inc.		12,421,553
	43,122	Comerica Incorporated		4,136,693
	76,490	Fifth Third Bancorp.		2,428,558
	108,513	First Horizon National Corporation		2,043,300
	245,988	JP Morgan Chase & Co.		27,051,300
	20,320	M&T Bank Corporation		3,746,195
	156,274	U.S. Bancorp		7,891,837
	296,470	Wells Fargo & Company		15,537,993
		Total Banks		95,389,716

		Beverages – 2.0%

	266,980	Coca-Cola Company		11,594,941
	51,957	Monster Beverage Corporation, (3)		2,972,460
	117,626	PepsiCo, Inc.		12,838,878
		Total Beverages		27,406,279

		Biotechnology – 3.2%

	118,121	AbbVie Inc.		11,180,153
	3,485	Alnylam Pharmaceuticals, Inc., (3)		415,064
	60,381	Amgen Inc.		10,293,753
	20,370	Biogen Inc., (3)		5,577,713
	11,841	BioMarin Pharmaceutical Inc., (3)		959,950
	74,331	Celgene Corporation, (3)		6,631,069
	105,356	Gilead Sciences, Inc.		7,942,789
	9,661	Seattle Genetics, Inc., (3)		505,657


BXMX		Nuveen S&P 500 Buy-Write Income Fund (continued)
BXMX		Portfolio of Investments March 31, 2018
		(Unaudited)


Shares		Description (1)	Value

		Biotechnology (continued)

	11,117	Shire plc, ADR	$	1,660,769
		Total Biotechnology		45,166,917

		Building Products – 0.4%

	28,365	Allegion PLC		2,419,251
	88,587	Masco Corporation		3,582,458
		Total Building Products		6,001,709

		Capital Markets – 2.5%

	118,312	Charles Schwab Corporation		6,178,253
	31,680	CME Group, Inc.		5,123,923
	28,291	Eaton Vance Corporation		1,574,960
	32,519	Goldman Sachs Group, Inc.		8,190,235
	73,621	Intercontinental Exchange, Inc.		5,338,995
	31,797	Legg Mason, Inc.		1,292,548
	126,664	Morgan Stanley		6,834,789
	17,078	Waddell & Reed Financial, Inc., Class A		345,146
		Total Capital Markets		34,878,849

		Chemicals – 1.9%

	4,418	AdvanSix, Inc., (3)		153,658
	11,094	Chemours Company		540,389
	192,245	DowDuPont, Inc.		12,247,929
	32,774	Eastman Chemical Company		3,460,279
	50,731	Monsanto Company		5,919,800
	25,424	Olin Corporation		772,635
	80,712	RPM International, Inc.		3,847,541
		Total Chemicals		26,942,231

		Commercial Services & Supplies – 0.4%

	14,145	Deluxe Corporation		1,046,871
	26,475	Pitney Bowes Inc.		288,313
	56,182	Waste Management, Inc.		4,726,030
		Total Commercial Services & Supplies		6,061,214

		Communications Equipment – 1.3%

	4,101	ADTRAN, Inc.		63,771
	24,808	Ciena Corporation, (3)		642,527
	328,765	Cisco Systems, Inc.		14,100,731
	5,462	Lumentum Holdings Inc., (3)		348,476
	25,883	Motorola Solutions Inc.		2,725,480
	3,531	Palo Alto Networks, Inc., (3)		640,947
	27,916	Viavi Solutions Inc., (3)		271,344
		Total Communications Equipment		18,793,276

		Consumer Finance – 0.9%

	75,394	American Express Company		7,032,752
	60,037	Discover Financial Services		4,318,461
	35,850	Navient Corporation		470,352
	93,115	SLM Corporation, (3)		1,043,819
		Total Consumer Finance		12,865,384

		Containers & Packaging – 0.3%

	20,788	Avery Dennison Corporation		2,208,725
	21,019	Packaging Corporation of America		2,368,841
	5,718	Sonoco Products Company		277,323
		Total Containers & Packaging		4,854,889

		Distributors – 0.1%

	20,796	Genuine Parts Company		1,868,313


Shares		Description (1)	Value

		Diversified Financial Services – 2.1%

	142,972	Berkshire Hathaway Inc., Class B, (3)	$	28,520,055
	53,398	Leucadia National Corporation		1,213,737
		Total Diversified Financial Services		29,733,792

		Diversified Telecommunication Services – 2.0%

	390,223	AT&T Inc.		13,911,450
	47,582	CenturyLink Inc.		781,772
	269,870	Verizon Communications Inc.		12,905,183
		Total Diversified Telecommunication Services		27,598,405

		Electric Utilities – 1.4%

	76,701	Duke Energy Corporation		5,942,026
	86,762	Great Plains Energy Incorporated		2,758,164
	57,526	OGE Energy Corp.		1,885,127
	76,389	Pinnacle West Capital Corporation		6,095,842
	79,505	Southern Company		3,550,693
		Total Electric Utilities		20,231,852

		Electrical Equipment – 0.8%

	36,128	Eaton Corporation PLC		2,886,988
	59,195	Emerson Electric Company		4,043,019
	11,240	Hubbell Inc.		1,368,807
	19,742	Rockwell Automation, Inc.		3,439,056
		Total Electrical Equipment		11,737,870

		Electronic Equipment, Instruments & Components – 0.3%

	125,399	Corning Incorporated		3,496,124

		Energy Equipment & Services – 0.9%

	13,789	Diamond Offshore Drilling, Inc., (3)		202,147
	99,917	Halliburton Company		4,690,104
	45,801	Patterson-UTI Energy, Inc.		801,976
	113,482	Schlumberger Limited		7,351,364
		Total Energy Equipment & Services		13,045,591

		Equity Real Estate Investment Trusts – 2.2%

	80,655	Apartment Investment & Management Company, Class A		3,286,691
	109,496	Brandywine Realty Trust		1,738,796
	34,687	CBL & Associates Properties Inc.		144,645
	70,636	CubeSmart		1,991,935
	101,090	DCT Industrial Trust Inc.		5,695,411
	125,575	Equity Commonwealth, (3)		3,851,385
	68,970	Healthcare Realty Trust, Inc.		1,911,159
	111,415	Lexington Realty Trust		876,836
	55,742	Liberty Property Trust		2,214,630
	11,918	Sabra Health Care REIT Inc.		210,353
	26,716	Senior Housing Properties Trust		418,373
	49,503	Ventas Inc.		2,451,884
	58,810	Welltower Inc.		3,201,028
	80,210	Weyerhaeuser Company		2,807,350
		Total Equity Real Estate Investment Trusts		30,800,476

		Food & Staples Retailing – 1.2%

	111,846	Kroger Co.		2,677,593
	81,324	Walgreens Boots Alliance Inc.		5,324,282
	101,024	WalMart, Inc.		8,988,105
		Total Food & Staples Retailing		16,989,980

		Food Products – 0.8%

	47,542	Lamb Weston Holdings, Inc.		2,767,895
	185,795	Mondelez International Inc., Class A		7,753,225
		Total Food Products		10,521,120


BXMX		Nuveen S&P 500 Buy-Write Income Fund (continued)
BXMX		Portfolio of Investments March 31, 2018
		(Unaudited)


Shares		Description (1)	Value

		Gas Utilities – 0.2%

	13,073	Atmos Energy Corporation	$	1,101,270
	23,200	National Fuel Gas Company		1,193,640
		Total Gas Utilities		2,294,910

		Health Care Equipment & Supplies – 2.5%

	138,570	Abbott Laboratories		8,303,114
	64,582	Baxter International, Inc.		4,200,413
	13,397	Halyard Health Inc., (3)		617,334
	23,920	Hill-Rom Holdings Inc.		2,081,040
	67,993	Hologic Inc., (3)		2,540,219
	15,051	Intuitive Surgical, Inc., (3)		6,213,504
	130,959	Medtronic, PLC		10,505,531
		Total Health Care Equipment & Supplies		34,461,155

		Health Care Providers & Services – 3.2%

	41,244	Aetna Inc.		6,970,236
	25,973	Anthem Inc.		5,706,268
	25,504	Brookdale Senior Living Inc., (3)		171,132
	86,288	CVS Health Corporation		5,367,976
	61,516	Express Scripts Holding Company, (3)		4,249,525
	44,075	HCA Healthcare Inc.		4,275,275
	47,535	Henry Schein Inc., (3)		3,194,827
	71,270	UnitedHealth Group Incorporated		15,251,780
		Total Health Care Providers & Services		45,187,019

		Health Care Technology – 0.2%

	47,111	Cerner Corporation, (3)		2,732,438

		Hotels, Restaurants & Leisure – 1.7%

	51,356	Carnival Corporation		3,367,927
	5,428	Domino’s Pizza Inc.		1,267,764
	34,368	ILG, Inc.		1,069,188
	3,590	Las Vegas Sands Corp.		258,121
	32,679	Marriott International, Inc., Class A		4,443,690
	76,424	McDonald’s Corporation		11,951,185
	9,084	Wynn Resorts Ltd		1,656,558
		Total Hotels, Restaurants & Leisure		24,014,433

		Household Durables – 0.5%

	13,039	Garmin Limited		768,388
	49,084	KB Home		1,396,440
	54,363	Newell Brands Inc.		1,385,169
	400	NVR Inc., (3)		1,120,000
	15,291	TopBuild Corporation, (3)		1,170,067
	1,285	Tupperware Brands Corporation		62,168
	11,087	Whirlpool Corporation		1,697,531
		Total Household Durables		7,599,763

		Household Products – 1.5%

	101,528	Colgate-Palmolive Company		7,277,527
	181,512	Procter & Gamble Company		14,390,271
		Total Household Products		21,667,798

		Industrial Conglomerates – 1.9%

	47,999	3M Co.		10,536,741
	537,749	General Electric Company		7,248,857
	65,868	Honeywell International Inc.		9,518,585
		Total Industrial Conglomerates		27,304,183

		Insurance – 2.5%

	50,492	Allstate Corporation		4,786,642
	86,956	American International Group, Inc.		4,732,146


Shares		Description (1)	Value

		Insurance (continued)

	47,396	Arthur J. Gallagher & Co.	$	3,257,527
	40,755	CNO Financial Group Inc.		883,161
	29,385	FNF Group		1,175,988
	65,958	Genworth Financial Inc., Class A, (3)		186,661
	74,204	Hartford Financial Services Group, Inc.		3,822,990
	2,764	Kemper Corporation		157,548
	51,264	Lincoln National Corporation		3,745,348
	78,031	Marsh & McLennan Companies, Inc.		6,444,580
	41,425	Travelers Companies, Inc.		5,752,276
		Total Insurance		34,944,867

		Internet and Direct Marketing Retail – 3.8%

	26,053	Amazon.com, Inc., (3)		37,707,549
	3,418	Booking Holdings Inc., (3)		7,110,773
	29,451	Netflix.com Inc., (3)		8,698,353
	11,216	Qurate Retail Inc. QVC Group, (3)		282,307
		Total Internet and Direct Marketing Retail		53,798,982

		Internet Software & Services – 5.6%

	26,791	Akamai Technologies, Inc., (3)		1,901,625
	23,112	Alphabet Inc., Class A, (3)		23,970,380
	17,079	Alphabet Inc., Class C, (3)		17,621,941
	85,625	eBay Inc., (3)		3,445,550
	171,300	Facebook Inc., Class A, (3)		27,372,027
	10,286	IAC/InterActiveCorp, (3)		1,608,525
	26,317	VeriSign, Inc., (3)		3,120,144
		Total Internet Software & Services		79,040,192

		IT Services – 3.4%

	7,370	Alliance Data Systems Corporation		1,568,778
	39,861	Automatic Data Processing, Inc.		4,523,426
	9,010	Black Knight, Inc., (3)		424,371
	21,471	Broadridge Financial Solutions, Inc.		2,355,154
	53,917	Fidelity National Information Services, Inc.		5,192,207
	58,645	International Business Machines Corporation		8,997,902
	91,531	PayPal Holdings, Inc., (3)		6,944,457
	148,696	Visa Inc., Class A		17,787,016
		Total IT Services		47,793,311

		Leisure Products – 0.1%

	50,711	Mattel, Inc.		666,850
	7,753	Polaris Industries Inc.		887,874
		Total Leisure Products		1,554,724

		Machinery – 2.0%

	46,143	Caterpillar Inc.		6,800,555
	20,180	Cummins Inc.		3,270,976
	27,031	Deere & Company		4,198,455
	33,165	Graco Inc.		1,516,304
	21,850	Hillenbrand Inc.		1,002,915
	33,984	Ingersoll-Rand PLC		2,905,972
	16,893	Parker Hannifin Corporation		2,889,210
	10,877	Snap-on Incorporated		1,604,793
	24,818	Stanley Black & Decker Inc.		3,802,118
	10,383	Timken Company		473,465
		Total Machinery		28,464,763

		Media – 2.5%

	51,987	CBS Corporation, Class B		2,671,612
	355,115	Comcast Corporation, Class A		12,134,280
	32,173	DISH Network Corp., Class A, (3)		1,219,035
	61,643	New York Times Company (The), Class A		1,485,596


BXMX		Nuveen S&P 500 Buy-Write Income Fund (continued)
BXMX		Portfolio of Investments March 31, 2018
		(Unaudited)


Shares		Description (1)	Value

		Media (continued)

	90,019	News Corporation, Class A	$	1,422,300
	46,679	Omnicom Group, Inc.		3,392,163
	127,259	Walt Disney Company		12,781,894
		Total Media		35,106,880

		Metals & Mining – 0.3%

	24,264	Barrick Gold Corporation		302,087
	53,920	Newmont Mining Corporation		2,106,654
	27,776	Nucor Corporation		1,696,836
	3,526	Southern Copper Corporation		191,039
		Total Metals & Mining		4,296,616

		Mortgage Real Estate Investment Trusts – 0.0%

	10,398	Annaly Capital Management Inc.		108,451

		Multiline Retail – 0.6%

	28,794	Dollar Tree Inc., (3)		2,732,551
	30,302	Macy’s, Inc.		901,181
	20,068	Nordstrom, Inc.		971,492
	46,125	Target Corporation		3,202,459
		Total Multiline Retail		7,807,683

		Multi-Utilities – 1.5%

	54,853	Ameren Corporation		3,106,325
	57,390	Consolidated Edison, Inc.		4,472,977
	18,999	NorthWestern Corporation		1,022,146
	104,507	Public Service Enterprise Group Incorporated		5,250,432
	103,223	WEC Energy Group, Inc.		6,472,082
		Total Multi-Utilities		20,323,962

		Oil, Gas & Consumable Fuels – 4.9%

	56,617	Cenovus Energy Inc.		483,509
	7,267	Cheniere Energy Inc., (3)		388,421
	130,463	Chevron Corporation		14,878,001
	123,715	ConocoPhillips		7,335,062
	44,565	CNX Resources Corporation, (3)		687,638
	3,556	CONSOL Energy Inc., (3)		103,017
	41,570	Continental Resources Inc., (3)		2,450,552
	130,219	Encana Corporation		1,432,409
	278,131	Exxon Mobil Corporation		20,751,354
	59,476	Hess Corporation		3,010,675
	87,852	Occidental Petroleum Corporation		5,706,866
	31,741	ONEOK, Inc.		1,806,698
	51,688	Phillips 66		4,957,913
	9,755	Suncor Energy, Inc.		336,938
	42,524	Valero Energy Corporation		3,944,952
		Total Oil, Gas & Consumable Fuels		68,274,005

		Pharmaceuticals – 4.7%

	24,807	Allergan PLC		4,174,770
	120,365	Bristol-Myers Squibb Company		7,613,086
	76,503	Eli Lilly and Company		5,919,037
	178,541	Johnson & Johnson		22,880,029
	190,901	Merck & Co. Inc.		10,398,377
	407,766	Pfizer Inc.		14,471,615
		Total Pharmaceuticals		65,456,914

		Professional Services – 0.1%

	9,803	Manpower Group Inc.		1,128,325

		Road & Rail – 0.8%

	9,740	Canadian Pacific Railway Limited		1,719,110


Shares		Description (1)	Value

		Road & Rail (continued)

	49,980	Norfolk Southern Corporation	$	6,786,284
	23,216	Old Dominion Freight Line, Inc.		3,412,056
		Total Road & Rail		11,917,450

		Semiconductors & Semiconductor Equipment – 4.3%

	61,032	Analog Devices, Inc.		5,561,846
	35,346	Broadcom Inc.		8,329,285
	315,944	Intel Corporation		16,454,364
	31,154	Lam Research Corporation		6,329,247
	48,344	Microchip Technology Incorporated		4,416,708
	44,646	NVIDIA Corporation		10,339,567
	12,918	NXP Semiconductors NV, (3)		1,511,406
	45,403	ON Semiconductor Corporation, (3)		1,110,557
	110,361	QUALCOMM, Inc.		6,115,103
		Total Semiconductors & Semiconductor Equipment		60,168,083

		Software – 6.1%

	70,580	Activision Blizzard Inc.		4,761,327
	47,875	Adobe Systems Incorporated, (3)		10,344,830
	26,327	Autodesk, Inc., (3)		3,306,145
	24,616	CDK Global Inc.		1,559,177
	6,526	Dell Technologies Inc., Class V, (3)		477,768
	493,436	Microsoft Corporation		45,035,904
	225,796	Oracle Corporation		10,330,167
	75,074	salesforce.com, inc., (3)		8,731,106
	9,494	ServiceNow Inc., (3)		1,570,782
		Total Software		86,117,206

		Specialty Retail – 2.5%

	32,842	American Eagle Outfitters, Inc.		654,541
	26,472	Best Buy Co., Inc.		1,852,775
	27,160	CarMax, Inc., (3)		1,682,290
	22,213	Gap, Inc.		693,046
	83,604	Home Depot, Inc.		14,901,577
	24,188	L Brands Inc.		924,223
	68,078	Lowe’s Companies, Inc.		5,973,845
	32,953	Ross Stores, Inc.		2,569,675
	17,842	Tiffany & Co.		1,742,450
	46,104	TJX Companies, Inc.		3,760,242
		Total Specialty Retail		34,754,664

		Technology Hardware, Storage & Peripherals – 4.3%

	326,968	Apple, Inc.		54,858,691
	152,670	HP Inc.		3,346,526
	32,286	NetApp, Inc.		1,991,723
		Total Technology Hardware, Storage & Peripherals		60,196,940

		Textiles, Apparel & Luxury Goods – 0.4%

	10,340	lululemon athletica Inc., (3)		921,501
	58,959	VF Corporation		4,370,041
		Total Textiles, Apparel & Luxury Goods		5,291,542

		Thrifts & Mortgage Finance – 0.1%

	64,339	MGIC Investment Corporation, (3)		836,407

		Tobacco – 1.4%

	140,222	Altria Group, Inc.		8,738,635
	105,991	Philip Morris International		10,535,505
	22,323	Vector Group Ltd.		455,166
		Total Tobacco		19,729,306


BXMX		Nuveen S&P 500 Buy-Write Income Fund (continued)
BXMX		Portfolio of Investments March 31, 2018
		(Unaudited)

Shares

Description (1)

Value

Wireless Telecommunication Services – 0.0%

41,446

Sprint Corporation, (3)

202,256

Total Long-Term Investments (cost $713,610,859)

1,397,079,572

Principal
Amount (000)

Description (1)

Coupon

Maturity

Value

SHORT-TERM INVESTMENTS – 3.7%

REPURCHASE AGREEMENTS – 3.7%

51,785

Repurchase Agreement with Fixed Income Clearing Corporation,
dated 3/29/18, repurchase price $51,789,396,
collateralized by: $3,165,000 U.S. Treasury Notes,
2.125%, due 9/30/24, value $3,089,366;
$50,650,000 U.S. Treasury Notes,
2.250%, due 10/31/24, value $49,734,096

0.740%

4/02/18

51,785,138

Total Short-Term Investments (cost $51,785,138)

51,785,138

Total Investments (cost $765,395,997) – 103.2%

1,448,864,710

Other Assets Less Liabilities – (3.2)% (4)

(45,045,984

)

Net Assets – 100%

1,403,818,726

Investments in Derivatives

Options Written


Description (5)	Type		Number of Contracts			Notional Amount (6)			Exercise Price		Expiration Date		Value
S&P 500^® Index		Call		(581	)	$	(155,417,500	)	$	2,675		4/06/18	$	(862,785	)
S&P 500^® Index		Call		(582	)		(157,140,000	)		2,700		4/13/18		(823,530	)
S&P 500^® Index		Call		(1,210	)		(320,650,000	)		2,650		4/20/18		(5,015,450	)
S&P 500^® Index		Call		(571	)		(154,170,000	)		2,700		4/20/18		(1,099,175	)
S&P 500^® Index		Call		(554	)		(146,810,000	)		2,650		5/18/18		(2,704,905	)
S&P 500^® Index		Call		(580	)		(155,150,000	)		2,675		5/18/18		(2,760,800	)
S&P 500^® Index		Call		(567	)		(155,925,000	)		2,750		5/18/18		(1,057,455	)
S&P 500^® Index		Call		(595	)		(166,600,000	)		2,800		5/18/18		(535,500	)
Total Options Written (premiums received $23,081,667)				(5,240	)	$	(1,411,862,500	)					$	(14,859,600	)

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 risk 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	$	1,397,079,572		$	—	$	—	$	1,397,079,572

Short-Term Investments:
Repurchase Agreements		—			51,785,138		—		51,785,138

Investments in Derivatives:
Options Written		(14,859,600	)		—		—		(14,859,600	)
Total	$	1,382,219,972		$	51,785,138	$	—	$	1,434,005,110

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.

The tables below present the cost and unrealized appreciation (depreciation) of the Fund’s investment portfolio, as determined on a federal income tax basis, as of March 31, 2018.

For purposes of this disclosure, derivative tax cost is generally the sum of any upfront fees or premiums exchanged and any amounts unrealized for income statement reporting but realized in income and/or capital gains for tax reporting. If a particular derivative category does not disclose any tax unrealized appreciation or depreciation, the change in value of those derivatives have generally been fully realized for tax purposes.


Tax cost of investments	$	765,930,691
Gross unrealized:
Appreciation	$	711,134,818
Depreciation		(28,200,799	)
Net unrealized appreciation (depreciation) of investments	$	682,934,019

Tax cost of options written	$	(14,859,600	)
Net unrealized appreciation (depreciation) of options written		—

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. Other assets less liabilities also includes the value of options.

(5)	Exchange-traded, unless otherwise noted.

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

ADR	American Depositary Receipt.

Item 2. Controls and Procedures.

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

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

Item 3. Exhibits.

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

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant)		Nuveen S&P 500 Buy-Write Income Fund

By (Signature and Title)		/s/ Gifford R. Zimmerman
		Gifford R. Zimmerman
		Vice President and Secretary

Date: May 30, 2018

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: May 30, 2018

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

Date: May 30, 2018