N-Q 1 d55232dnq.htm NUVEEN DOW 30SM DYNAMIC OVERWRITE FUND Nuveen DOW 30SM Dynamic Overwrite 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 811-22970

Nuveen Dow 30SM Dynamic Overwrite 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

 

 


DIAX

 

Nuveen Dow 30SM Dynamic Overwrite Fund

Portfolio of Investments

   September 30, 2015 (Unaudited)

 

Shares     Description (1)                  Value  
 

LONG-TERM INVESTMENTS – 99.6%

       
 

COMMON STOCKS – 93.8%

       
      Aerospace & Defense – 8.5%                  
  210,000     

Boeing Company, (4)

        $ 27,499,500   
  210,000     

United Technologies Corporation

                18,687,900   
 

Total Aerospace & Defense

                46,187,400   
      Banks – 2.3%                  
  210,000     

JP Morgan Chase & Co.

                12,803,700   
      Beverages – 1.5%                  
  210,000     

Coca-Cola Company

                8,425,200   
      Capital Markets – 6.7%                  
  210,000     

Goldman Sachs Group, Inc., (4)

                36,489,600   
      Chemicals – 1.9%                  
  42,000     

Chemours Company

          271,740   
  210,000     

E.I. Du Pont de Nemours and Company, (4)

                10,122,000   
 

Total Chemicals

                10,393,740   
      Communications Equipment – 1.0%                  
  210,000     

Cisco Systems, Inc., (4)

                5,512,500   
      Consumer Finance – 2.9%                  
  210,000     

American Express Company, (4)

                15,567,300   
      Diversified Telecommunication Services – 1.7%                  
  210,000     

Verizon Communications Inc.

                9,137,100   
      Food & Staples Retailing – 2.5%                  
  210,000     

Wal-Mart Stores, Inc., (4)

                13,616,400   
      Health Care Providers & Services – 4.5%                  
  210,000     

UnitedHealth Group Incorporated

                24,362,100   
      Hotels, Restaurants & Leisure – 3.8%                  
  210,000     

McDonald’s Corporation

                20,691,300   
      Household Products – 2.8%                  
  210,000     

Procter & Gamble Company, (4)

          15,107,400   
  5,000     

Spectrum Brands Inc.

                457,550   
 

Total Household Products

                15,564,950   
      Industrial Conglomerates – 6.4%                  
  210,000     

3M Co., (4)

          29,771,700   
  210,000     

General Electric Company, (4)

                5,296,200   
 

Total Industrial Conglomerates

                35,067,900   
      Insurance – 3.8%                  
  210,000     

Travelers Companies, Inc.

                20,901,300   
      IT Services – 8.3%                  
  210,000     

International Business Machines Corporation, (4)

          30,443,700   
  210,000     

Visa Inc., Class A

                14,628,600   
 

Total IT Services

                45,072,300   

 

Nuveen Investments     1   


DIAX    Nuveen Dow 30SM Dynamic Overwrite Fund
   Portfolio of Investments (continued)    September 30, 2015 (Unaudited)

 

Shares     Description (1)                        Value  
      Machinery – 2.5%                        
  210,000     

Caterpillar Inc., (4)

                          $ 13,725,600   
      Media – 3.9%                        
  210,000     

Walt Disney Company

                            21,462,000   
      Oil, Gas & Consumable Fuels – 5.9%                        
  210,000     

Chevron Corporation, (4)

          16,564,800   
  210,000     

Exxon Mobil Corporation, (4)

                            15,613,500   
 

Total Oil, Gas & Consumable Fuels

                            32,178,300   
      Pharmaceuticals – 6.7%                        
  210,000     

Johnson & Johnson

          19,603,500   
  210,000     

Merck & Company Inc.

          10,371,900   
  210,000     

Pfizer Inc.

                            6,596,100   
 

Total Pharmaceuticals

                            36,571,500   
      Semiconductors & Semiconductor Equipment – 1.2%                        
  210,000     

Intel Corporation

                            6,329,400   
      Software – 1.7%                        
  210,000     

Microsoft Corporation

                            9,294,600   
      Specialty Retail – 4.4%                        
  210,000     

Home Depot, Inc.

                            24,252,900   
      Technology, Hardware, Storage & Peripherals – 4.2%                        
  210,000     

Apple, Inc.

                            23,163,000   
      Textiles, Apparel & Luxury Goods – 4.7%                        
  210,000     

Nike, Inc., Class B

                            25,823,700   
 

Total Common Stocks (cost $367,959,851)

                            512,593,790   
Shares     Description (1),(2)                        Value  
      EXCHANGE-TRADED FUNDS – 5.8%                        
  160,000     

SPDR® Dow Jones® Industrial Average ETF Trust

        $ 26,019,200   
  30,000     

SPDR® S&P 500® ETF

                            5,748,900   
 

Total Exchange-Traded Funds (cost $35,076,091)

                            31,768,100   
 

Total Long-Term Investments (cost $403,035,942)

                            544,361,890   
Principal
Amount (000)
    Description (1)   Coupon     Maturity     Ratings (3)     Value  
      SHORT-TERM INVESTMENTS – 2.3%                        
      REPURCHASE AGREEMENTS – 1.4%                        
$ 7,468     

Repurchase Agreement with Fixed Income Clearing Corporation, date 9/30/15, repurchase price $7,468,254, collateralized by $7,285,000 U.S. Treasury Notes, 2.500%, due 8/15/23, value $7,621,931

    0.000%        10/01/15        N/A      $ 7,468,254   
      U.S. GOVERNMENT AND AGENCY OBLIGATIONS – 0.9%                        
  5,000     

U.S. Treasury Bills

    0.000%        11/12/15        AAA        5,000,075   
 

Total Short-Term Investments (cost $12,467,544)

                            12,468,329   
 

Total Investments (cost $415,503,486) – 101.9%

                            556,830,219   
 

Other Assets Less Liabilities – (1.9)% (5)

                            (10,203,576
 

Net Assets – 100%

                          $ 546,626,643   

 

  2      Nuveen Investments


Investments in Derivatives as of September 30, 2015

Options Written outstanding:

 

Number of
Contracts
    Description   Exchange-Traded/
Over-the-Counter
  Counterparty   Notional
Amount
    Expiration
Date
    Strike
Price
    Value  
  (110  

3M Co.

  Over-the-Counter   JPMorgan Chase   $ (1,816,111 ) (6)      10/01/15      $ 165.1010      $   
  (110  

American Express Company

  Over-the-Counter   HSBC     (914,760 ) (6)      10/01/15        83.1600          
  (110  

Apple, Inc.

  Over-the-Counter   HSBC     (1,476,255 ) (6)      10/01/15        134.2050          
  (110  

Boeing Company

  Over-the-Counter   HSBC     (1,632,730 ) (6)      10/01/15        148.4300          
  (110  

Caterpillar Inc.

  Over-the-Counter   HSBC     (998,327 ) (6)      10/01/15        90.7570          
  (250  

CBOE SPX Volatility Index

  Exchange-Traded       (750,000 ) (6)      10/21/15        30.0000        (21,250
  (250  

CBOE SPX Volatility Index

  Exchange-Traded       (625,000 ) (6)      10/21/15        25.0000        (43,125
  (100,623  

Custom Basket1*

  Over-the-Counter   BNP Paribas     (10,062,300 ) (7)      10/15/15        103.0000        (43,660
  (110  

Chevron Corporation

  Over-the-Counter   HSBC     (1,135,453 ) (6)      10/01/15        103.2230          
  (110  

Cisco Systems, Inc.

  Over-the-Counter   HSBC     (323,202 ) (6)      10/01/15        29.3820          
  (110  

Coca-Cola Company

  Over-the-Counter   HSBC     (461,736 ) (6)      10/01/15        41.9760          
  (110  

E.I. Du Pont de Nemours and Company

  Over-the-Counter   JPMorgan Chase     (752,692 ) (6)      10/01/15        68.4265          
  (110  

Exxon Mobil Corporation

  Over-the-Counter   UBS     (979,264 ) (6)      10/01/15        89.0240          
  (110  

General Electric Company

  Over-the-Counter   HSBC     (312,730 ) (6)      10/01/15        28.4300          
  (110  

Goldman Sachs Group, Inc.

  Over-the-Counter   JPMorgan Chase     (2,457,458 ) (6)      10/01/15        223.4053          
  (110  

Home Depot, Inc.

  Over-the-Counter   HSBC     (1,307,999 ) (6)      10/01/15        118.9090        (54
  (110  

Intel Corporation

  Over-the-Counter   HSBC     (357,984 ) (6)      10/01/15        32.5440          
  (110  

International Business Machines Corporation

  Over-the-Counter   JPMorgan Chase     (1,914,508 ) (6)      10/01/15        174.0462          
  (110  

Johnson & Johnson

  Over-the-Counter   HSBC     (1,147,102 ) (6)      10/01/15        104.2820          
  (110  

JPMorgan Chase & Co.

  Over-the-Counter   HSBC     (797,533 ) (6)      10/01/15        72.5030          
  (110  

McDonald’s Corporation

  Over-the-Counter   HSBC     (1,118,975 ) (6)      10/01/15        101.7250        (2
  (110  

Merck & Company Inc.

  Over-the-Counter   UBS     (670,066 ) (6)      10/01/15        60.9151          
  (110  

Microsoft Corporation

  Over-the-Counter   HSBC     (519,651 ) (6)      10/01/15        47.2410          
  (65  

NASDAQ 100® Index

  Exchange-Traded       (28,275,000 ) (6)      11/20/15        4,350.0000        (325,650
  (110  

Nike, Inc.

  Over-the-Counter   JPMorgan Chase     (1,271,395 ) (6)      10/01/15        115.5814        (81,283
  (110  

Pfizer Inc.

  Over-the-Counter   UBS     (394,648 ) (6)      10/01/15        35.8771          
  (110  

Procter & Gamble Company

  Over-the-Counter   UBS     (920,885 ) (6)      10/01/15        83.7168          
  (70  

Russell 2000® Index

  Exchange-Traded       (8,190,000 ) (6)      11/20/15        1,170.0000        (53,550
  (120  

Russell 2000® Index

  Exchange-Traded       (13,920,000 ) (6)      11/20/15        1,160.0000        (123,600
  (220  

Russell 2000® Index

  Exchange-Traded       (25,300,000 ) (6)      11/20/15        1,150.0000        (293,700
  (90  

S&P 400® Index

  Over-the-Counter   Deutsche Bank     (13,050,000 ) (6)      10/14/15        1,450.0000        (8,359
  (575  

S&P 500® Index

  Exchange-Traded       (113,562,500 ) (6)      10/16/15        1,975.0000        (514,625
  (285  

S&P 500® Index

  Exchange-Traded       (56,430,000 ) (6)      10/16/15        1,980.0000        (190,950
  (290  

S&P 500® Index

  Exchange-Traded       (57,710,000 ) (6)      10/16/15        1,990.0000        (168,200
  (140  

S&P 500® Index

  Exchange-Traded       (28,000,000 ) (6)      11/20/15        2,000.0000        (233,100
  (100  

SPDR Dow Jones Industrial

  Exchange-Traded       (1,650,000 ) (6)      10/16/15        165.0000        (12,600
  (110  

Travelers Companies, Inc.

  Over-the-Counter   UBS     (1,137,688 ) (6)      10/01/15        103.4262          
  (110  

United Technologies Corporation

  Over-the-Counter   HSBC     (1,305,645 ) (6)      10/01/15        118.6950          
  (110  

UnitedHealth Group Incorporated

  Over-the-Counter   JPMorgan Chase     (1,435,940 ) (6)      10/01/15        130.5400          
  (110  

Verizon Communications Inc.

  Over-the-Counter   UBS     (548,600 ) (6)      10/01/15        49.8727          
  (110  

Visa Inc.

  Over-the-Counter   Deutsche Bank     (790,350 ) (6)      10/01/15        71.8500        (15
  (110  

Wal-Mart Stores, Inc.

  Over-the-Counter   HSBC     (834,845 ) (6)      10/01/15        75.8950          
  (110  

Walt Disney Company

  Over-the-Counter   HSBC     (1,343,430 ) (6)      10/01/15        122.1300          
  (106,378 )  

Total Options Written (premiums received $3,852,936)

  $ (388,602,762                   $ (2,113,723
* The following table represents the individual common stock holdings comprising the Custom Basket 1 Options Written as of September 30, 2015.

 

Shares     Description   Value  
  15,250     

Anadarko Petroleum Corporation

  $ (4,350
  8,750     

Apple, Inc.

    (4,416
  13,250     

Chevron Corporation

    (4,438
  21,000     

Conocophillips

    (4,309
  13,000     

EOG Resources, Inc.

    (4,348
  13,750     

Exxon Mobil Corporation

    (4,348
  73,000     

Ford Motor Company

    (4,534
  27,000     

Halliburton Company

    (4,337
  36,500     

Twitter, Inc.

    (4,303
  31,750      Yahoo!, Inc.     (4,277
            $ (43,660

 

Nuveen Investments     3   


DIAX    Nuveen Dow 30SM Dynamic Overwrite Fund
   Portfolio of Investments (continued)    September 30, 2015 (Unaudited)

 

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

   $ 512,593,790       $       $       $ 512,593,790   

Exchange-Trade Funds

     31,768,100                         31,768,100   

Short-Term Investments:

           

Repurchase Agreements

             7,468,254                 7,468,254   

U.S. Government and Agency Obligations

             5,000,075                 5,000,075   

Investments in Derivatives:

           

Options Written

     (1,980,350      (133,373              (2,113,723

Total

   $ 542,381,540       $ 12,334,956       $       $ 554,716,496   

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 $415,712,425.

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

 

Gross unrealized:

          

Appreciation

     $ 151,958,175   

Depreciation

       (10,840,381

Net unrealized appreciation (depreciation) of investments

     $ 141,117,794   

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 in the Portfolio of Investments are based on net assets.

 

(2) A copy of the most recent financial statements for these exchange-traded funds can be obtained directly from the Securities and Exchange Commission on its website at http:// www.sec.gov.

 

(3) Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.

 

(4) Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.

 

(5) 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.

 

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

 

(7) For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by $100.

 

ETF Exchange-Traded Fund

 

N/A Not applicable

 

  4      Nuveen Investments


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 Dow 30SM Dynamic Overwrite 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