Nuveen S&P 500 Buy-Write Income Fund

0001193125-18-337866.txt : 20181129 0001193125-18-337866.hdr.sgml : 20181129 20181129145606 ACCESSION NUMBER: 0001193125-18-337866 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20180930 FILED AS OF DATE: 20181129 DATE AS OF CHANGE: 20181129 EFFECTIVENESS DATE: 20181129 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Nuveen S&P 500 BuyWrite Income Fund CENTRAL INDEX KEY: 0001298699 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-21619 FILM NUMBER: 181208178 BUSINESS ADDRESS: STREET 1: 333 WEST WACKER DRIVE CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 312-917-8146 MAIL ADDRESS: STREET 1: 333 WEST WACKER DRIVE CITY: CHICAGO STATE: IL ZIP: 60606 FORMER COMPANY: FORMER CONFORMED NAME: Nuveen Equity Premium Income Fund DATE OF NAME CHANGE: 20040903 FORMER COMPANY: FORMER CONFORMED NAME: Nuveen Premium Income Strategy Fund DATE OF NAME CHANGE: 20040727 N-Q 1 d622756dnq.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, 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 September 30, 2018

(Unaudited)


Shares		Description (1)	Value

		LONG-TERM INVESTMENTS – 99.8%

		COMMON STOCKS – 99.8% (2)

		Aerospace & Defense – 2.7%

	50,341	Arconic, Inc.	$	1,108,005
	38,494	Boeing Company		14,315,919
	8,874	Huntington Ingalls Industries Inc.		2,272,454
	18,432	Northrop Grumman Corporation		5,849,764
	35,177	Raytheon Company		7,269,679
	62,472	United Technologies Corporation		8,734,210
		Total Aerospace & Defense		39,550,031

		Air Freight & Logistics – 0.5%

	64,481	United Parcel Service, Inc., Class B		7,528,157

		Airlines – 0.4%

	59,291	United Continental Holdings Inc., (3)		5,280,456

		Auto Components – 0.1%

	18,135	Cooper Tire & Rubber Company		513,221
	67,376	Gentex Corporation		1,445,889
		Total Auto Components		1,959,110

		Automobiles – 0.4%

	324,831	Ford Motor Company		3,004,687
	35,947	Harley-Davidson Inc.		1,628,399
	2,190	Tesla Inc., (3)		579,846
		Total Automobiles		5,212,932

		Banks – 6.3%

	663,170	Bank of America Corporation		19,536,988
	173,016	Citigroup Inc.		12,412,168
	43,122	Comerica Incorporated		3,889,604
	76,490	Fifth Third Bancorp.		2,135,601
	108,513	First Horizon National Corporation		1,872,934
	241,294	JPMorgan Chase & Co		27,227,615
	20,320	M&T Bank Corporation		3,343,453
	156,274	U.S. Bancorp.		8,252,830
	279,478	Wells Fargo & Company		14,689,364
		Total Banks		93,360,557

		Beverages – 1.8%

	241,673	Coca-Cola Company		11,162,876
	51,957	Monster Beverage Corporation, (3)		3,028,054
	111,813	PepsiCo, Inc.		12,500,693
		Total Beverages		26,691,623

		Biotechnology – 3.2%

	107,018	AbbVie Inc.		10,121,762
	3,485	Alnylam Pharmaceuticals, Inc., (3)		305,007
	59,071	Amgen Inc.		12,244,828
	19,760	Biogen Inc., (3)		6,981,406
	11,841	BioMarin Pharmaceutical Inc., (3)		1,148,222
	67,745	Celgene Corporation, (3)		6,062,500
	105,356	Gilead Sciences Inc.		8,134,537
	9,661	Seattle Genetics Inc., (3)		745,056
	5,986	Shire PLC, ADR		1,085,082
		Total Biotechnology		46,828,400


BXMX		Nuveen S&P 500 Buy-Write Income Fund (continued)
BXMX		Portfolio of Investments September 30, 2018
		(Unaudited)


Shares		Description (1)	Value

		Building Products – 0.4%

	28,365	Allegion PLC	$	2,569,018
	88,587	Masco Corporation		3,242,284
		Total Building Products		5,811,302

		Capital Markets – 2.2%

	118,312	Charles Schwab Corporation		5,815,035
	31,680	CME Group Inc.		5,392,253
	28,291	Eaton Vance Corporation		1,486,975
	32,519	Goldman Sachs Group Inc.		7,292,061
	73,621	Intercontinental Exchange Inc.		5,513,477
	31,797	Legg Mason Inc.		993,020
	126,664	Morgan Stanley		5,898,742
	17,078	Waddell & Reed Financial Inc., Class A		361,712
		Total Capital Markets		32,753,275

		Chemicals – 1.4%

	4,418	AdvanSix, Inc., (3)		149,991
	11,094	Chemours Company		437,547
	192,245	DowDuPont Inc.		12,363,276
	32,774	Eastman Chemical Company		3,137,127
	25,424	Olin Corporation		652,888
	51,453	RPM International Inc.		3,341,358
		Total Chemicals		20,082,187

		Commercial Services & Supplies – 0.4%

	14,145	Deluxe Corporation		805,416
	26,475	Pitney Bowes Inc.		187,443
	56,182	Waste Management Inc.		5,076,606
		Total Commercial Services & Supplies		6,069,465

		Communications Equipment – 1.4%

	24,808	Ciena Corporation, (3)		775,002
	308,109	Cisco Systems Inc.		14,989,503
	5,462	Lumentum Holdings Inc., (3)		327,447
	21,003	Motorola Solutions Inc.		2,733,330
	3,531	Palo Alto Networks Inc., (3)		795,393
	27,916	Viavi Solutions Inc., (3)		316,567
		Total Communications Equipment		19,937,242

		Consumer Finance – 0.4%

	60,037	Discover Financial Services		4,589,829
	35,850	Navient Corporation		483,258
	93,115	SLM Corporation, (3)		1,038,232
		Total Consumer Finance		6,111,319

		Containers & Packaging – 0.3%

	20,788	Avery Dennison Corporation		2,252,380
	21,019	Packaging Corporation of America		2,305,574
	5,718	Sonoco Products Company		317,349
		Total Containers & Packaging		4,875,303

		Distributors – 0.1%

	20,796	Genuine Parts Company		2,067,122

		Diversified Financial Services – 2.0%

	135,041	Berkshire Hathaway Inc., Class B, (3)		28,913,629
	53,398	Jefferies Financial Group Inc.		1,172,620
		Total Diversified Financial Services		30,086,249

		Diversified Telecommunication Services – 1.9%

	390,223	AT&T Inc.		13,103,688


Shares		Description (1)	Value

		Diversified Telecommunication Services (continued)

	47,582	CenturyLink Inc.	$	1,008,738
	269,870	Verizon Communications Inc.		14,408,359
		Total Diversified Telecommunication Services		28,520,785

		Electric Utilities – 1.4%

	72,631	Duke Energy Corporation		5,811,933
	48,432	Evergy Inc.		2,659,885
	57,526	OGE Energy Corporation		2,089,344
	76,389	Pinnacle West Capital Corporation		6,048,481
	79,367	Southern Company		3,460,401
		Total Electric Utilities		20,070,044

		Electrical Equipment – 0.9%

	36,128	Eaton Corporation PLC		3,133,381
	57,064	Emerson Electric Company		4,369,961
	10,024	Hubbell Inc.		1,338,906
	19,742	Rockwell Automation Inc.		3,702,020
		Total Electrical Equipment		12,544,268

		Electronic Equipment, Instruments & Components – 0.3%

	109,648	Coming Inc.		3,870,574

		Energy Equipment & Services – 0.8%

	13,789	Diamond Offshore Drilling Inc., (3)		275,780
	99,917	Halliburton Company		4,049,636
	45,801	Patterson-UTI Energy Inc.		783,655
	113,482	Schlumberger Ltd		6,913,323
		Total Energy Equipment & Services		12,022,394

		Entertainment – 2.0%

	67,588	Activision Blizzard Inc.		5,622,646
	28,618	Netflix Inc., (3)		10,706,852
	111,160	Walt Disney Company		12,999,050
		Total Entertainment		29,328,548

		Equity Real Estate Investment Trusts – 2.2%

	80,655	Apartment Investment & Management Company, Class A		3,559,305
	109,496	Brandywine Realty Trust		1,721,277
	34,687	CBL & Associates Properties Inc.		138,401
	70,636	CubeSmart		2,015,245
	117,785	Equity Commonwealth, (3)		3,779,721
	68,970	Healthcare Realty Trust Inc.		2,018,062
	111,415	Lexington Realty Trust		924,745
	55,742	Liberty Property Trust		2,355,100
	82,529	Prologis Inc.		5,594,641
	11,918	Sabra Health Care REIT Inc.		275,544
	26,716	Senior Housing Properties Trust		469,133
	49,503	Ventas Inc.		2,691,973
	58,810	Welltower Inc.		3,782,659
	80,210	Weyerhaeuser Company		2,588,377
		Total Equity Real Estate Investment Trusts		31,914,183

		Food & Staples Retailing – 1.3%

	106,836	Kroger Company		3,109,996
	81,324	Walgreens Boots Alliance Inc.		5,928,520
	101,024	Walmart Inc.		9,487,164
		Total Food & Staples Retailing		18,525,680

		Food Products – 0.7%

	40,442	Lamb Weston Holdings Inc.		2,693,437
	185,795	Mondelez International Inc., Class A		7,981,753
		Total Food Products		10,675,190


BXMX		Nuveen S&P 500 Buy-Write Income Fund (continued)
BXMX		Portfolio of Investments September 30, 2018
		(Unaudited)


Shares		Description (1)	Value

		Gas Utilities – 0.2%

	13,073	Atmos Energy Corporation	$	1,227,685
	23,200	National Fuel Gas Company		1,300,592
		Total Gas Utilities		2,528,277

		Health Care Equipment & Supplies – 2.8%

	138,570	Abbott Laboratories		10,165,495
	13,397	Avanos Medical Inc., (3)		917,695
	64,582	Baxter International Inc.		4,978,626
	23,920	Hill-Rom Holdings Inc.		2,258,048
	67,993	Hologic Inc., (3)		2,786,353
	14,040	Intuitive Surgical Inc., (3)		8,058,960
	130,959	Medtronic PLC		12,882,437
		Total Health Care Equipment & Supplies		42,047,614

		Health Care Providers & Services – 3.5%

	37,494	Aetna Inc.		7,605,658
	25,973	Anthem Inc.		7,117,901
	80,368	CVS Health Corporation		6,326,569
	50,516	Express Scripts Holding Company, (3)		4,799,525
	31,458	HCA Healthcare Inc.		4,376,437
	35,558	Henry Schein Inc., (3)		3,023,497
	71,270	UnitedHealth Group Inc.		18,960,671
		Total Health Care Providers & Services		52,210,258

		Health Care Technology – 0.2%

	47,111	Cerner Corporation, (3)		3,034,420

		Hotels, Restaurants & Leisure – 1.6%

	51,356	Carnival Corporation		3,274,972
	5,428	Domino’s Pizza Inc.		1,600,174
	3,590	Las Vegas Sands Corporation		212,995
	32,679	Marriott International Inc., Class A		4,314,608
	5,669	Marriott Vacations Worldwide Corporation		633,542
	71,144	McDonald’s Corporation		11,901,680
	9,084	Wynn Resorts Ltd		1,154,213
		Total Hotels, Restaurants & Leisure		23,092,184

		Household Durables – 0.4%

	13,039	Garmin Ltd		913,382
	49,084	KB Home		1,173,598
	54,363	Newell Brands Inc.		1,103,569
	400	NVR Inc., (3)		988,320
	15,291	TopBuild Corporation, (3)		868,835
	11,087	Whirlpool Corporation		1,316,581
		Total Household Durables		6,364,285

		Household Products – 1.4%

	101,528	Colgate-Palmolive Company		6,797,300
	173,832	Procter & Gamble Company		14,468,037
		Total Household Products		21,265,337

		Industrial Conglomerates – 1.8%

	47,999	3M Company		10,113,869
	537,749	General Electric Company		6,071,186
	65,868	Honeywell International Inc.		10,960,435
		Total Industrial Conglomerates		27,145,490

		Insurance – 2.2%

	48,752	Allstate Corporation		4,811,822
	86,956	American International Group Inc.		4,629,537
	47,396	Arthur J Gallagher & Company		3,528,158


Shares		Description (1)	Value

		Insurance (continued)

	40,755	CNO Financial Group Inc.	$	864,821
	26,175	Fidelity National Financial Inc.		1,029,986
	65,958	Genworth Financial Inc., (3)		275,045
	74,204	Hartford Financial Services Group Inc.		3,707,232
	2,764	Kemper Corporation		222,364
	51,264	Lincoln National Corporation		3,468,522
	64,456	Marsh & McLennan Companies, Inc.		5,331,800
	38,705	Travelers Companies, Inc.		5,020,426
		Total Insurance		32,889,713

		Interactive Media & Services – 5.2%

	22,494	Alphabet Inc., Class A, (3)		27,152,058
	17,079	Alphabet Inc., Class C, (3)		20,383,274
	165,785	Facebook Inc., Class A, (3)		27,265,001
	6,092	IAC/InterActiveCorp, (3)		1,320,258
		Total Interactive Media & Services		76,120,591

		Internet & Direct Marketing Retail – 4.2%

	25,648	Amazon.com Inc., (3)		51,372,944
	3,418	Booking Holdings Inc., (3)		6,781,312
	83,385	eBay Inc., (3)		2,753,373
	11,216	Qurate Retail Inc., (3)		249,107
		Total Internet & Direct Marketing Retail		61,156,736

		IT Services – 4.2%

	26,791	Akamai Technologies Inc., (3)		1,959,762
	7,370	Alliance Data Systems Corporation		1,740,499
	38,161	Automatic Data Processing Inc.		5,749,336
	9,010	Black Knight Inc., (3)		468,070
	21,471	Broadridge Financial Solutions Inc.		2,833,098
	46,407	Fidelity National Information Services Inc.		5,061,611
	58,645	International Business Machines Corporation		8,867,710
	91,531	PayPal Holdings Inc., (3)		8,040,083
	26,317	VeriSign Inc., (3)		4,213,878
	148,696	Visa Inc., Class A		22,317,783
		Total IT Services		61,251,830

		Leisure Products – 0.1%

	40,361	Mattel Inc., (3)		633,668
	7,753	Polaris Industries Inc.		782,665
		Total Leisure Products		1,416,333

		Machinery – 1.9%

	46,143	Caterpillar Inc.		7,036,346
	18,648	Cummins Inc.		2,723,913
	27,031	Deere & Company		4,063,570
	33,165	Graco Inc.		1,536,866
	21,850	Hillenbrand Inc.		1,142,755
	27,203	Ingersoll-Rand PLC		2,782,867
	16,893	Parker-Hannifin Corporation		3,107,129
	10,877	Snap-on Inc.		1,997,017
	23,686	Stanley Black & Decker Inc.		3,468,578
	10,383	Timken Company		517,593
		Total Machinery		28,376,634

		Media – 1.4%

	51,987	CBS Corporation, Class B		2,986,653
	331,662	Comcast Corporation, Class A		11,744,151
	32,173	DISH Network Corporation, Class A, (3)		1,150,506
	50,485	New York Times Company, Class A		1,168,728
	90,019	News Corporation, Class A		1,187,351
	36,559	Omnicom Group Inc.		2,486,743
		Total Media		20,724,132


BXMX		Nuveen S&P 500 Buy-Write Income Fund (continued)
BXMX		Portfolio of Investments September 30, 2018
		(Unaudited)


Shares		Description (1)	Value

		Metals & Mining – 0.3%

	24,264	Barrick Gold Corporation	$	268,845
	53,920	Newmont Mining Corporation		1,628,384
	27,776	Nucor Corporation		1,762,387
	3,526	Southern Copper Corporation		152,112
		Total Metals & Mining		3,811,728

		Mortgage Real Estate Investment Trusts – 0.0%

	10,398	Annaly Capital Management Inc.		106,372

		Multiline Retail – 0.6%

	27,153	Dollar Tree Inc., (3)		2,214,327
	30,302	Macy’s Inc.		1,052,388
	20,068	Nordstrom Inc.		1,200,267
	41,746	Target Corporation		3,682,415
		Total Multiline Retail		8,149,397

		Multi-Utilities – 1.4%

	54,853	Ameren Corporation		3,467,807
	57,390	Consolidated Edison Inc.		4,372,544
	17,519	NorthWestern Corporation		1,027,665
	87,538	Public Service Enterprise Group Inc.		4,621,131
	103,223	WEC Energy Group Inc.		6,891,167
		Total Multi-Utilities		20,380,314

		Oil, Gas & Consumable Fuels – 5.2%

	56,617	Cenovus. Energy Inc.		567,869
	7,267	Cheniere Energy Inc., (3)		504,984
	127,433	Chevron Corporation		15,582,507
	44,565	CNX Resources Corporation, (3)		637,725
	116,452	ConocoPhillips		9,013,385
	3,556	CONSOL Energy Inc., (3)		145,120
	39,040	Continental Resources Inc., (3)		2,665,651
	130,219	Encana Corporation		1,707,171
	267,169	Exxon Mobil Corporation		22,714,708
	53,324	Hess Corporation		3,816,932
	80,979	Occidental Petroleum Corporation		6,654,044
	31,741	ONEOK Inc.		2,151,722
	51,298	Phillips 66		5,782,311
	5,635	Suncor Energy Inc.		218,018
	42,524	Valero Energy Corporation		4,837,105
		Total Oil, Gas & Consumable Fuels		76,999,252

		Pharmaceuticals – 4.9%

	24,807	Allergan PLC		4,725,237
	111,928	Bristol-Myers Squibb Company		6,948,490
	74,038	Eli Lilly & Company		7,945,018
	174,205	Johnson & Johnson		24,069,905
	171,963	Merck & Company Inc.		12,199,055
	381,619	Pfizer Inc.		16,817,949
		Total Pharmaceuticals		72,705,654

		Professional Services – 0.1%

	9,803	ManpowerGroup Inc.		842,666

		Road & Rail – 0.9%

	9,740	Canadian Pacific Railway Ltd		2,064,296
	43,887	Norfolk Southern Corporation		7,921,604
	23,216	Old Dominion Freight Line Inc.		3,743,812
		Total Road & Rail		13,729,712

		Semiconductors & Semiconductor Equipment – 3.8%

	56,912	Analog Devices Inc.		5,262,084


Shares		Description (1)	Value

		Semiconductors & Semiconductor Equipment (continued)

	30,081	Broadcom Inc.	$	7,421,885
	310,518	Intel Corporation		14,684,396
	31,154	Lam Research Corporation		4,726,062
	45,874	Microchip Technology Inc.		3,619,917
	42,649	NVIDIA Corporation		11,985,222
	12,918	NXP Semiconductors NV		1,104,489
	45,403	ON Semiconductor Corporation, (3)		836,777
	96,248	QUALCOM, Inc.		6,932,743
		Total Semiconductors & Semiconductor Equipment		56,573,575

		Software – 6.7%

	46,391	Adobe Systems Inc., (3)		12,523,250
	26,327	Autodesk Inc., (3)		4,109,908
	24,616	CDK Global Inc.		1,539,977
	6,526	Dell Technologies Inc. Class V, (3)		633,805
	484,269	Microsoft Corporation		55,385,846
	204,039	Oracle Corporation		10,520,251
	73,974	salesforce.com, inc., (3)		11,764,085
	9,494	ServiceNow Inc., (3)		1,857,311
		Total Software		98,334,433

		Specialty Retail – 2.8%

	32,842	American Eagle Outfitters Inc.		815,467
	26,472	Best Buy Company Inc.		2,100,818
	26,110	CarMax Inc., (3)		1,949,634
	22,213	Gap Inc.		640,845
	83,604	Home Depot Inc.		17,318,569
	22,988	L Brands Inc.		696,536
	62,100	Lowe’s Companies, Inc.		7,130,322
	32,953	Ross Stores Inc.		3,265,642
	16,022	Tiffany & Company		2,066,357
	44,364	TJX Companies, Inc.		4,969,655
		Total Specialty Retail		40,953,845

		Technology Hardware, Storage & Peripherals – 4.9%

	290,412	Apple Inc.		65,557,605
	146,131	HP Inc.		3,765,796
	32,286	NetApp Inc.		2,773,045
		Total Technology Hardware, Storage & Peripherals		72,096,446

		Textiles, Apparel & Luxury Goods – 0.4%

	10,340	lululemon athletica inc., (3)		1,680,147
	50,725	VF Corporation		4,740,251
		Total Textiles, Apparel & Luxury Goods		6,420,398

		Thrifts & Mortgage Finance – 0.1%

	64,339	MGIC Investment Corporation, (3)		856,352

		Tobacco – 1.1%

	126,802	Altria Group Inc.		7,647,429
	105,991	Philip Morris International Inc.		8,642,506
	23,439	Vector Group Ltd		322,991
		Total Tobacco		16,612,926

		Wireless Telecommunication Services – 0.0%

	41,446	Sprint Corporation, (3)		271,065
		Total Long-Term Investments (cost $668,221,717)		1,470,144,365


BXMX		Nuveen S&P 500 Buy-Write Income Fund (continued)
BXMX		Portfolio of Investments September 30, 2018
		(Unaudited)

Principal
Amount (000)

Description (1)

Coupon

Maturity

Value

SHORT-TERM INVESTMENTS – 2.4%

REPURCHASE AGREEMENTS – 2.4%

35,138

Repurchase Agreement with Fixed Income Clearing Corporation,
dated 9/28/18, repurchase price $35,140,938,
collateralized by $33,165,000 U.S. Treasury Bonds,
3.625%, due 2/15/44, value $35,841,614

1.050%

10/01/18

35,137,863

Total Short-Term Investments (cost $35,137,863)

35,137,863

Total Investments (cost $703,359,580) – 102.2%

1,505,282,228

Other Assets Less Liabilities – (2.2)% (4)

(32,655,531

)

Net Assets – 100%

1,472,626,697

Investments in Derivatives

Options Written


Description (5)	Type		Number of Contracts			Notional Amount (6)			Exercise Price		Expiration Date		Value
S&P 500^® Index		Call		(572	)	$	(166,166,000	)	$	2,905		10/05/18	$	(1,112,540	)
S&P 500^® Index		Call		(581	)		(169,942,500	)		2,925		10/12/18		(758,205	)
S&P 500^® Index		Call		(544	)		(157,760,000	)		2,900		10/19/18		(1,825,120	)
S&P 500^® Index		Call		(548	)		(160,290,000	)		2,925		10/19/18		(961,740	)
S&P 500^® Index		Call		(561	)		(164,653,500	)		2,935		10/19/18		(715,275	)
S&P 500^® Index		Call		(582	)		(165,870,000	)		2,850		11/16/18		(5,246,730	)
S&P 500^® Index		Call		(539	)		(156,310,000	)		2,900		11/16/18		(2,816,275	)
S&P 500^® Index		Call		(547	)		(159,997,500	)		2,925		11/16/18		(1,977,405	)
S&P 500^® Index		Call		(522	)		(153,990,000	)		2,950		12/21/18		(2,184,570	)
Total Options Written (premiums received $19,201,432)				(4,996	)	$	(1,454,979,500	)					$	(17,597,860	)

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	$	1,470,144,365		$	—	$	—	$	1,470,144,365

Short-Term Investments:
Repurchase Agreements		—			35,137,863		—		35,137,863

Investments in Derivatives:
Options Written		(17,597,860	)		—		—		(17,597,860	)
Total	$	1,452,546,505		$	35,137,863	$	—	$	1,487,684,368

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 September 30, 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	$	703,894,274
Gross unrealized:
Appreciation	$	829,922,694
Depreciation		(28,534,740	)
Net unrealized appreciation (depreciation) of investments	$	801,387,954

Tax cost of options written	$	(17,597,860	)
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 call 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: November 29, 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: November 29, 2018

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

Date: November 29, 2018

EX-99.CERT 2 d622756dex99cert.htm CERTIFICATIONS Certifications

Exhibit 99.CERT

CERTIFICATIONS

I, Cedric H. Antosiewicz, certify that:

I have reviewed this report on Form N-Q of Nuveen S&P 500 Buy-Write Income Fund;

Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;

The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and

Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 29, 2018


		/s/ Cedric H. Antosiewicz
		Cedric H. Antosiewicz
		Chief Administrative Officer
		(principal executive officer)

CERTIFICATIONS

I, Stephen D. Foy, certify that:

I have reviewed this report on Form N-Q of Nuveen S&P 500 Buy-Write Income Fund;

Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: November 29, 2018


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