UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21787

Name of Fund: Enhanced S&P 500 ® Covered Call Fund Inc. (BEO)

Fund Address: 4 World Financial Center, 6th Floor, New York, New York 10080.

Name and address of agent for service: Justin C. Ferri, Chief Executive Officer, Enhanced S&P 500 ® Covered Call

    Fund Inc., 4 World Financial Center, 6 th Floor, New York, New York 10080.

Registrant’s telephone number, including area code: (877) 449-4742

Date of fiscal year end: 12/31/2009

Date of reporting period: 9/30/2009

Item 1 – Schedule of Investments

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

 

Common Stocks

 

  

Shares
Held

 

  

Value

 

Aerospace & Defense - 2.5%

  Boeing Co.    5,301    $ 287,049
  General Dynamics Corp.    2,810      181,526
  Goodrich Corp.    908      49,341
  Honeywell International, Inc.    5,488      203,879
  ITT Corp.    1,334      69,568
  L-3 Communications Holdings, Inc.    854      68,593
  Lockheed Martin Corp.    2,356      183,956
  Northrop Grumman Corp.    2,321      120,112
  Precision Castparts Corp.    1,026      104,519
  Raytheon Co.    2,842      136,331
  Rockwell Collins, Inc.    1,150      58,420
  United Technologies Corp.    6,869      418,528
           
         

 

    1,881,822

 

 

Air Freight & Logistics - 0.9%

  C.H. Robinson Worldwide, Inc.    1,229      70,975
  Expeditors International Washington, Inc.    1,548      54,412
  FedEx Corp.    2,279      171,426
  United Parcel Service, Inc. Class B    7,257      409,803
           
       

 

 

 

706,616

 

Airlines - 0.1%

 

 

Southwest Airlines Co.

 

   5,411

 

    

 

51,946

 

 

Auto Components - 0.2%

  The Goodyear Tire & Rubber Co. (a)    1,765      30,058
  Johnson Controls, Inc.    4,345      111,058
           
         

 

141,116

 

 

Automobiles - 0.3%

  Ford Motor Co. (a)    23,508      169,493
  Harley-Davidson, Inc.    1,714      39,422
           
         

 

208,915

 

 

Beverages - 2.4%

  Brown-Forman Corp. Class B    811      39,106
  The Coca-Cola Co.    16,912      908,174
  Coca-Cola Enterprises, Inc.    2,315      49,564
  Constellation Brands, Inc. Class A (a)    1,450      21,968
  Dr. Pepper Snapple Group, Inc. (a)    1,854      53,303
  Molson Coors Brewing Co. Class B    1,144      55,690
  Pepsi Bottling Group, Inc.    1,051      38,298
  PepsiCo, Inc.    11,369      666,906
           
         

 

1,833,009

 

 

Biotechnology - 1.6%

  Amgen, Inc. (a)    7,411      446,364
  Biogen Idec, Inc. (a)    2,108      106,496
  Celgene Corp. (a)    3,347      187,097
  Cephalon, Inc. (a)    541      31,508
  Genzyme Corp. (a)    1,977      112,155
  Gilead Sciences, Inc. (a)    6,599      307,381
           
          1,191,001
 

Building Products - 0.0%

 

 

Masco Corp.

 

   2,621

 

  

 

 

 

 

33,863

 

 

Capital Markets - 2.8%

  Ameriprise Financial, Inc.    1,861      67,610
  The Bank of New York Mellon Corp.    8,778      254,474
  The Charles Schwab Corp.    6,947      133,035

 

1

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

 

Common Stocks

 

  

Shares
Held

 

  

Value

 

  E*Trade Financial Corp. (a)    6,765    $ 11,839
  Federated Investors, Inc. Class B    646      17,035
  Franklin Resources, Inc.    1,093      109,956
  The Goldman Sachs Group, Inc.    3,731      687,810
  Invesco Ltd. (b)    3,036      69,099
  Janus Capital Group, Inc.    1,329      18,845
  Legg Mason, Inc.    1,185      36,771
  Morgan Stanley    9,919      306,299
  Northern Trust Corp.    1,765      102,652
  State Street Corp.    3,609      189,833
  T. Rowe Price Group, Inc.    1,872      85,550
           
         

 

    2,090,808

 

 

Chemicals - 1.8%

  Air Products & Chemicals, Inc.    1,533      118,930
  Airgas, Inc.    598      28,925
  CF Industries Holdings, Inc.    354      30,525
  The Dow Chemical Co.    8,346      217,580
  E.I. du Pont de Nemours & Co.    6,594      211,931
  Eastman Chemical Co.    528      28,269
  Ecolab, Inc.    1,728      79,885
  FMC Corp.    532      29,925
  International Flavors & Fragrances, Inc.    577      21,886
  Monsanto Co.    3,984      308,362
  PPG Industries, Inc.    1,201      69,910
  Praxair, Inc.    2,239      182,904
  Sigma-Aldrich Corp.    889      47,988
           
         

 

1,377,020

 

 

Commercial Banks - 2.6%

  BB&T Corp.    4,974      135,492
  Comerica, Inc.    1,103      32,726
  Fifth Third Bancorp    5,804      58,795
  First Horizon National Corp. (a)    1,596      21,115
  Huntington Bancshares, Inc.    4,153      19,561
  KeyCorp    6,411      41,672
  M&T Bank Corp.    600      37,392
  Marshall & Ilsley Corp.    2,686      21,676
  The PNC Financial Services Group, Inc.    3,367      163,603
  Regions Financial Corp.    8,671      53,847
  SunTrust Banks, Inc.    3,640      82,082
  U.S. Bancorp    13,953      305,013
  Wells Fargo & Co.    34,092      960,713
  Zions Bancorporation    923      16,586
           
       

 

 

 

1,950,273

 

Commercial Services & Supplies - 0.5%

  Avery Dennison Corp.    827      29,780
  Cintas Corp.    963      29,189
  Iron Mountain, Inc. (a)    1,317      35,111
  Pitney Bowes, Inc.    1,514      37,623
  R.R. Donnelley & Sons Co.    1,498      31,847

 

2

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

 

Common Stocks

 

  

Shares
Held

 

  

Value

 

  Republic Services, Inc. Class A    2,352    $ 62,493
  Stericycle, Inc. (a)    622      30,136
  Waste Management, Inc.    3,596      107,233
           
         

 

363,412

 

 

Communications Equipment - 2.5%

  Ciena Corp. (a)    665      10,826
  Cisco Systems, Inc. (a)    42,092      990,846
  Harris Corp.    957      35,983
  JDS Uniphase Corp. (a)    1,584      11,262
  Juniper Networks, Inc. (a)    3,826      103,379
  Motorola, Inc.    16,751      143,891
  QUALCOMM, Inc.    12,131      545,652
  Tellabs, Inc. (a)    2,891      20,006
           
         

 

    1,861,845

 

 

Computers & Peripherals - 5.2%

  Apple, Inc. (a)    6,534      1,211,207
  Dell, Inc. (a)    12,559      191,650
  EMC Corp. (a)    14,756      251,442
  Hewlett-Packard Co.    17,303      816,875
  International Business Machines Corp.    9,566      1,144,189
  Lexmark International, Inc. Class A (a)    571      12,299
  NetApp, Inc. (a)    2,455      65,499
  QLogic Corp. (a)    862      14,826
  SanDisk Corp. (a)    1,659      36,000
  Sun Microsystems, Inc. (a)    5,498      49,977
  Teradata Corp. (a)    1,254      34,510
  Western Digital Corp. (a)    1,640      59,909
           
         

 

3,888,383

 

 

Construction & Engineering - 0.2%

  Fluor Corp.    1,313      66,766
  Jacobs Engineering Group, Inc. (a)    903      41,493
  Quanta Services, Inc. (a)    1,447      32,022
           
         

 

140,281

 

 

Construction Materials - 0.1%

 

 

Vulcan Materials Co.

 

   912

 

    

 

49,312

 

 

Consumer Finance - 0.7%

  American Express Co.    8,678      294,184
  Capital One Financial Corp.    3,320      118,624
  Discover Financial Services, Inc.    3,909      63,443
  SLM Corp. (a)    3,412      29,753
           
         

 

506,004

 

 

Containers & Packaging - 0.2%

  Ball Corp.    688      33,849
  Bemis Co.    789      20,443
  Owens-Illinois, Inc. (a)    1,233      45,498
  Pactiv Corp. (a)    967      25,190
  Sealed Air Corp.    1,159      22,751
           
         

 

147,731

 

 

Distributors - 0.1%

 

 

Genuine Parts Co.

 

   1,166

 

    

 

44,378

 

 

 

3

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

  

Common Stocks

 

  

Shares
Held

 

  

Value

 

Diversified Consumer Services - 0.2%    Apollo Group, Inc. Class A (a)    931    $ 68,587
   DeVry, Inc.    452      25,005
   H&R Block, Inc.    2,447      44,976
            
          

 

 

138,568

 

 

 
Diversified Financial Services - 4.1%    Bank of America Corp. (c)    63,142      1,068,362
   CME Group, Inc.    486      149,780
   Citigroup, Inc.    95,183      460,686
   IntercontinentalExchange, Inc. (a)    533      51,802
   JPMorgan Chase & Co.    28,699      1,257,590
   Leucadia National Corp.    1,387      34,287
   Moody’s Corp.    1,431      29,278
   The NASDAQ Stock Market, Inc. (a)    1,036      21,808
   NYSE Euronext    1,901      54,920
            
          

 

 

    3,128,513

 

 

 
Diversified Telecommunication    AT&T Inc.    43,057      1,162,969
Services - 2.6%    CenturyTel, Inc.    2,173      73,013
   Frontier Communications Corp.    2,280      17,191
   Qwest Communications International Inc.    10,819      41,220
   Verizon Communications, Inc.    20,730      627,497
   Windstream Corp.    3,187      32,284
            
          

 

 

1,954,174

 

 

 
Electric Utilities - 1.9%    Allegheny Energy, Inc.    1,237      32,805
   American Electric Power Co., Inc.    3,479      107,814
   Duke Energy Corp.    9,463      148,948
   Edison International    2,378      79,853
   Entergy Corp.    1,429      114,120
   Exelon Corp.    4,810      238,672
   FPL Group, Inc.    3,003      165,856
   FirstEnergy Corp.    2,225      101,727
   Northeast Utilities Inc.    1,283      30,458
   PPL Corp.    2,748      83,374
   Pepco Holdings, Inc.    1,608      23,927
   Pinnacle West Capital Corp.    741      24,320
   Progress Energy, Inc.    2,038      79,604
   The Southern Co.    5,809      183,971
            
          

 

 

1,415,449

 

 

 
Electrical Equipment - 0.3%    Emerson Electric Co.    5,485      219,839
   Rockwell Automation, Inc.    1,040      44,304
            
          

 

 

264,143

 

 

 
Electronic Equipment, Instruments &    Agilent Technologies, Inc. (a)    2,516      70,020
Components - 0.5%    Amphenol Corp. Class A    1,251      47,137
   Corning, Inc.    11,345      173,692

 

4

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

  

Common Stocks

 

  

Shares
Held

 

  

Value

 

   Flir Systems, Inc. (a)    1,101    $ 30,795
   Jabil Circuit, Inc.    1,346      18,050
   Molex, Inc.    992      20,713
            
          

 

 

360,407

 

 

 
Energy Equipment & Services - 1.7%    BJ Services Co.    2,132      41,425
   Baker Hughes, Inc.    2,261      96,454
   Cameron International Corp. (a)    1,604      60,663
   Diamond Offshore Drilling, Inc.    509      48,620
   ENSCO International, Inc.    1,038      44,157
   FMC Technologies, Inc. (a)    894      46,703
   Halliburton Co.    6,580      178,450
   Nabors Industries Ltd. (a)    2,076      43,388
   National Oilwell Varco, Inc. (a)    3,052      131,633
   Rowan Cos., Inc.    829      19,125
   Schlumberger Ltd.    8,741      520,964
   Smith International, Inc.    1,609      46,178
            
          

 

    1,277,760

 

 
Food & Staples Retailing - 2.5%    CVS Caremark Corp.    10,532      376,414
   Costco Wholesale Corp.    3,174      179,204
   The Kroger Co.    4,754      98,123
   SUPERVALU, Inc.    1,547      23,298
   SYSCO Corp.    4,313      107,178
   Safeway, Inc.    3,040      59,949
   Wal-Mart Stores, Inc.    15,762      773,757
   Walgreen Co.    7,242      271,358
   Whole Foods Market, Inc. (a)    1,027      31,313
            
          

 

1,920,594

 

 
Food Products - 1.5%    Archer-Daniels-Midland Co.    4,685      136,896
   Campbell Soup Co.    1,406      45,864
   ConAgra Foods, Inc.    3,226      69,940
   Dean Foods Co. (a)    1,316      23,412
   General Mills, Inc.    2,375      152,903
   H.J. Heinz Co.    2,300      91,425
   The Hershey Co.    1,213      47,137
   Hormel Foods Corp.    513      18,222
   The J.M. Smucker Co.    866      45,907
   Kellogg Co.    1,872      92,159
   Kraft Foods, Inc.    10,764      282,770
   McCormick & Co., Inc.    951      32,277
   Sara Lee Corp.    5,077      56,558
   Tyson Foods, Inc. Class A    2,228      28,140
            
          

 

1,123,610

 

 
Gas Utilities - 0.1%    EQT Corp    958      40,811
   Nicor, Inc.    329      12,038
   Questar Corp.    1,274      47,851
            
          

 

100,700

 

 

 

5

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

  

Common Stocks

 

  

Shares
Held

 

  

Value

 

Health Care Equipment & Supplies -    Baxter International, Inc.    4,398    $ 250,730
1.8%    Becton Dickinson & Co.    1,747      121,853
   Boston Scientific Corp. (a)    11,001      116,500
   C.R. Bard, Inc.    712      55,970
   CareFusion Corp. (a)    1,314      28,645
   Dentsply International, Inc.    1,084      37,441
   Hospira, Inc. (a)    1,176      52,450
   Intuitive Surgical, Inc. (a)    277      72,643
   Medtronic, Inc.    8,077      297,234
   St. Jude Medical, Inc. (a)    2,539      99,046
   Stryker Corp.    2,060      93,586
   Varian Medical Systems, Inc. (a)    919      38,717
   Zimmer Holdings, Inc. (a)    1,564      83,596
            
          

 

    1,348,411

 

 
Health Care Providers & Services -    Aetna, Inc.    3,185      88,638
1.8%    AmerisourceBergen Corp.    2,169      48,542
   Cardinal Health, Inc.    2,625      70,350
   Cigna Corp.    1,990      55,899
   Coventry Health Care, Inc. (a)    1,091      21,776
   DaVita, Inc. (a)    759      42,990
   Express Scripts, Inc. (a)    2,003      155,393
   Humana, Inc. (a)    1,239      46,215
   Laboratory Corp. of America Holdings (a)    790      51,903
   McKesson Corp.    1,942      115,646
   Medco Health Solutions, Inc. (a)    3,457      191,207
   Patterson Cos., Inc. (a)    678      18,476
   Quest Diagnostics, Inc.    1,139      59,444
   Tenet Healthcare Corp. (a)    3,160      18,581
   UnitedHealth Group, Inc.    8,483      212,414
   WellPoint, Inc. (a)    3,467      164,197
            
          

 

1,361,671

 

 

Health Care Technology - 0.0%

 

  

IMS Health, Inc.

 

   1,331

 

    

 

20,431

 

 
Hotels, Restaurants & Leisure - 1.3%    Carnival Corp.    3,198      106,429
   Darden Restaurants, Inc.    1,018      34,744
   International Game Technology    2,162      46,440
   Marriott International, Inc. Class A    1,834      50,600
   McDonald’s Corp.    7,964      454,505
   Starbucks Corp. (a)    5,379      111,076
   Starwood Hotels & Resorts Worldwide, Inc.    1,363      45,020
   Wyndham Worldwide Corp.    1,302      21,249
   Wynn Resorts Ltd. (a)    503      35,658
   Yum! Brands, Inc.    3,405      114,953
            
          

 

1,020,674

 

 

 

6

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

  

Common Stocks

 

  

Shares
Held

 

  

Value

 

Household Durables - 0.4%

   Black & Decker Corp.    437    $ 20,229
   D.R. Horton, Inc.    2,013      22,968
   Fortune Brands, Inc.    1,096      47,106
   Harman International Industries, Inc.    508      17,211
   KB Home    542      9,003
   Leggett & Platt, Inc.    1,139      22,097
   Lennar Corp. Class A    1,125      16,031
   Newell Rubbermaid, Inc.    2,027      31,804
   Pulte Homes, Inc.    2,311      25,398
   Snap-On, Inc.    422      14,669
   The Stanley Works    576      24,589
   Whirlpool Corp.    538      37,638
            
          

 

      288,743

 

 

Household Products - 2.3%

   Clorox Co.    1,020      59,996
   Colgate-Palmolive Co.    3,637      277,430
   Kimberly-Clark Corp.    3,025      178,415
   The Procter & Gamble Co.    21,301      1,233,754
            
          

 

    1,749,595

 

 

IT Services - 1.0%

   Affiliated Computer Services, Inc. Class A (a)    713      38,623
   Automatic Data Processing, Inc.    3,665      144,034
   Cognizant Technology Solutions Corp. (a)    2,141      82,771
   Computer Sciences Corp. (a)    1,108      58,403
   Convergys Corp. (a)    899      8,936
   Fidelity National Information Services, Inc.    1,401      35,740
   Fiserv, Inc. (a)    1,127      54,321
   MasterCard, Inc. Class A    700      141,505
   Paychex, Inc.    2,345      68,122
   Total System Services, Inc.    1,439      23,182
   The Western Union Co.    5,120      96,870
            
          

 

752,507

 

 

Independent Power Producers &

   The AES Corp.(a)    4,868      72,144

Energy Traders - 0.2%

   Constellation Energy Group, Inc.    1,464      47,390
   Dynegy, Inc. Class A (a)    3,700      9,435
            
          

 

128,969

 

 

Industrial Conglomerates - 2.2%

   3M Co.    5,096      376,085
   General Electric Co.    77,558      1,273,502
   Textron, Inc.    1,969      37,372
            
          

 

1,686,959

 

 

Insurance - 2.4%

   AON Corp.    2,003      81,502
   Aflac, Inc.    3,412      145,829
   The Allstate Corp.    3,914      119,846
   American International Group, Inc. (a)    985      43,448
   Assurant, Inc.    863      27,668
   Chubb Corp.    2,553      128,697
   Cincinnati Financial Corp.    1,188      30,876
   Genworth Financial, Inc. Class A    3,512      41,968

 

7

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

  

Common Stocks

 

  

Shares
Held

 

  

Value

 

   Hartford Financial Services Group, Inc.    2,804    $ 74,306
   Lincoln National Corp.    2,205      57,132
   Loews Corp.    2,654      90,900
   MBIA, Inc. (a)    1,154      8,955
   Marsh & McLennan Cos., Inc.    3,823      94,543
   MetLife, Inc.    5,974      227,430
   Principal Financial Group, Inc.    2,328      63,764
   The Progressive Corp.    4,952      82,104
   Prudential Financial, Inc.    3,379      168,646
   Torchmark Corp.    606      26,319
   The Travelers Cos., Inc.    4,142      203,911
   UnumProvident Corp.    2,419      51,863
   XL Capital Ltd. Class A    2,497      43,597
            
          

 

1,813,304

 

 

Internet & Catalog Retail - 0.3%

   Amazon.com, Inc. (a)    2,426      226,491
   Expedia, Inc. (a)    1,539      36,859
            
          

 

263,350

 

 

Internet Software & Services - 1.7%

   Akamai Technologies, Inc. (a)    1,258      24,757
   eBay, Inc. (a)    8,193      193,437
   Google, Inc. Class A (a)    1,758      871,704
   VeriSign, Inc. (a)    1,411      33,427
   Yahoo! Inc. (a)    8,705      155,036
            
          

 

    1,278,361

 

 

Leisure Equipment & Products - 0.1%

   Eastman Kodak Co.    1,957      9,354
   Hasbro, Inc.    919      25,502
   Mattel, Inc.    2,630      48,550
            
          

 

83,406

 

 

Life Sciences Tools & Services - 0.4%

   Life Technologies Corp (a)    1,287      59,910
   Millipore Corp. (a)    402      28,273
   PerkinElmer, Inc.    852      16,392
   Thermo Fisher Scientific, Inc. (a)    2,979      130,093
   Waters Corp. (a)    697      38,934
            
          

 

273,602

 

 

Machinery - 1.4%

   Caterpillar, Inc.    4,534      232,730
   Cummins, Inc.    1,477      66,184
   Danaher Corp.    1,890      127,235
   Deere & Co.    3,087      132,494
   Dover Corp.    1,360      52,714
   Eaton Corp.    1,213      68,644
   Flowserve Corp.    410      40,401
   Illinois Tool Works, Inc.    2,810      120,015
   PACCAR, Inc.    2,651      99,969
   Pall Corp.    864      27,890
   Parker Hannifin Corp.    1,171      60,705
            
           1,028,981
 

 

8

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

  

Common Stocks

 

  

Shares
Held

 

  

Value

 

Media - 2.4%

   CBS Corp. Class B    4,946    $ 59,599
   Comcast Corp. Class A    20,943      353,727
   The DIRECTV Group, Inc. (a)    3,281      90,490
   EW Scripps Co.    1      8
   Gannett Co., Inc.    1,713      21,430
   Interpublic Group of Cos., Inc. (a)    3,548      26,681
   The McGraw-Hill Cos., Inc.    2,297      57,747
   Meredith Corp.    265      7,934
   The New York Times Co. Class A    844      6,853
   News Corp. Class A    16,408      196,732
   Omnicom Group Inc.    2,268      83,780
   Scripps Networks Interactive    651      24,054
   Time Warner Cable, Inc.    2,571      110,784
   Time Warner, Inc.    8,652      249,005
   Viacom, Inc. Class B (a)    4,429      124,189
   Walt Disney Co.    13,563      372,440
   The Washington Post Co. Class B    43      20,127
            
          

 

    1,805,580

 

 

Metals & Mining - 0.9%

   AK Steel Holding Corp.    801      15,804
   Alcoa, Inc.    7,111      93,296
   Allegheny Technologies, Inc.    715      25,018
   Freeport-McMoRan Copper & Gold, Inc. Class B    3,005      206,173
   Newmont Mining Corp.    3,576      157,416
   Nucor Corp.    2,296      107,935
   Titanium Metals Corp.    619      5,936
   United States Steel Corp.    1,050      46,589
            
          

 

658,167

 

 

Multi-Utilities - 1.2%

   Ameren Corp.    1,704      43,077
   CMS Energy Corp.    1,671      22,391
   CenterPoint Energy, Inc.    2,820      35,053
   Consolidated Edison, Inc.    2,009      82,248
   DTE Energy Co.    1,198      42,098
   Dominion Resources, Inc.    4,344      149,868
   Integrys Energy Group, Inc.    557      19,991
   NiSource, Inc.    2,013      27,961
   PG&E Corp.    2,705      109,525
   Public Service Enterprise Group, Inc.    3,693      116,108
   SCANA Corp.    805      28,095
   Sempra Energy    1,790      89,160
   TECO Energy, Inc.    1,563      22,007
   Wisconsin Energy Corp.    853      38,530
   Xcel Energy, Inc.    3,326      63,992
            
          

 

890,104

 

 

 

9

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

  

Common Stocks

 

  

Shares
Held

 

  

Value

 

Multiline Retail - 0.8%    Big Lots, Inc. (a)    603    $ 15,087
   Family Dollar Stores, Inc.    1,020      26,928
   J.C. Penney Co., Inc.    1,721      58,084
   Kohl’s Corp. (a)    2,230      127,222
   Macy’s, Inc.    3,069      56,132
   Nordstrom, Inc.    1,202      36,709
   Sears Holdings Corp. (a)    364      23,773
   Target Corp.    5,487      256,133
            
          

 

600,068

 

 

Office Electronics - 0.1%

 

  

Xerox Corp.

 

   6,342

 

    

 

49,087

 

 
Oil, Gas & Consumable Fuels - 8.9%    Anadarko Petroleum Corp.    3,580      224,573
   Apache Corp.    2,450      224,983
   Cabot Oil & Gas Corp. Class A    759      27,134
   Chesapeake Energy Corp.    4,683      132,997
   Chevron Corp.    14,636      1,030,813
   ConocoPhillips    10,822      488,722
   Consol Energy, Inc.    1,319      59,500
   Denbury Resources, Inc. (a)    1,822      27,567
   Devon Energy Corp.    3,239      218,082
   EOG Resources, Inc.    1,839      153,575
   El Paso Corp.    5,117      52,807
   Exxon Mobil Corp.    35,071          2,406,221
   Hess Corp.    2,124      113,549
   Marathon Oil Corp.    5,165      164,764
   Massey Energy Co.    628      17,515
   Murphy Oil Corp.    1,393      80,195
   Noble Energy, Inc.    1,269      83,703
   Occidental Petroleum Corp.    5,917      463,893
   Peabody Energy Corp.    1,953      72,691
   Pioneer Natural Resources Co.    840      30,484
   Range Resources Corp.    1,146      56,567
   Southwestern Energy Co. (a)    2,514      107,298
   Spectra Energy Corp.    4,714      89,283
   Sunoco, Inc.    857      24,382
   Tesoro Corp.    1,018      15,250
   Valero Energy Corp.    4,107      79,635
   Williams Cos., Inc.    4,250      75,948
   XTO Energy, Inc.    4,234      174,949
            
          

 

6,697,080

 

 
Paper & Forest Products - 0.2%    International Paper Co.    3,158      70,202
   MeadWestvaco Corp.    1,249      27,865
   Weyerhaeuser Co.    1,546      56,661
            
          

 

154,728

 

 
Personal Products - 0.2%    Avon Products, Inc.    3,116      105,819
  

The Estée Lauder Cos., Inc. Class A

 

   861     

 

31,926

 

            
          

 

137,745

 

 

 

10

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

  

Common Stocks

 

  

Shares
Held

 

  

Value

 

Pharmaceuticals - 6.3%    Abbott Laboratories    11,282    $ 558,120
   Allergan, Inc.    2,244      127,369
   Bristol-Myers Squibb Co.    14,456      325,549
   Eli Lilly & Co.    7,379      243,728
   Forest Laboratories, Inc. (a)    2,202      64,827
   Johnson & Johnson    20,111      1,224,559
   King Pharmaceuticals, Inc. (a)    1,811      19,504
   Merck & Co., Inc.    15,390      486,786
   Mylan, Inc. (a)    2,228      35,670
   Pfizer, Inc.    49,253      815,137
   Schering-Plough Corp.    11,924      336,853
   Watson Pharmaceuticals, Inc. (a)    772      28,286
   Wyeth    9,743      473,315
            
          

 

    4,739,703

 

 
Professional Services - 0.1%    Dun & Bradstreet Corp.    385      28,998
   Equifax, Inc.    924      26,925
   Monster Worldwide, Inc. (a)    919      16,064
   Robert Half International, Inc.    1,108      27,722
            
          

 

99,709

 

 
Real Estate Investment Trusts (REITs) -    Apartment Investment & Management Co. Class A    854      12,597
1.0%    AvalonBay Communities, Inc.    585      42,547
   Boston Properties, Inc.    1,015      66,533
   Equity Residential    1,999      61,369
   HCP, Inc.    2,139      61,475
   Health Care REIT, Inc.    873      36,334
   Host Marriott Corp.    4,405      51,847
   Kimco Realty Corp.    2,747      35,821
   Plum Creek Timber Co., Inc.    1,188      36,400
   ProLogis    3,231      38,514
   Public Storage    990      74,488
   Simon Property Group, Inc.    2,080      144,414
   Ventas, Inc.    1,146      44,121
   Vornado Realty Trust    1,139      73,365
            
          

 

779,825

 

 

Real Estate Management & Development - 0.0%

 

  

CB Richard Ellis Group, Inc. (a)

 

   1,753

 

    

 

20,580

 

 
Road & Rail - 0.8%    Burlington Northern Santa Fe Corp.    1,911      152,555
   CSX Corp.    2,861      119,761
   Norfolk Southern Corp.    2,683      115,664
   Ryder System, Inc.    410      16,015
   Union Pacific Corp.    3,680      214,728
            
          

 

618,723

 

 
Semiconductors & Semiconductor    Advanced Micro Devices, Inc. (a)    4,093      23,166
Equipment - 2.3%    Altera Corp.    2,147      44,035
   Analog Devices, Inc.    2,128      58,690
   Applied Materials, Inc.    9,733      130,422

 

11

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

  

Common Stocks

 

  

Shares
Held

 

  

Value

 

   Broadcom Corp. Class A (a)    3,148    $ 96,612
   Intel Corp.    40,853      799,493
   KLA-Tencor Corp.    1,246      44,682
   LSI Corp. (a)    4,755      26,105
   Linear Technology Corp.    1,622      44,816
   MEMC Electronic Materials, Inc. (a)    1,631      27,124
   Microchip Technology, Inc.    1,336      35,404
   Micron Technology, Inc. (a)    6,180      50,676
   National Semiconductor Corp.    1,708      24,373
   Novellus Systems, Inc. (a)    715      15,001
   Nvidia Corp. (a)    4,002      60,150
   Teradyne, Inc. (a)    1,274      11,785
   Texas Instruments, Inc.    9,206      218,090
   Xilinx, Inc.    2,014      47,168
            
          

 

1,757,792

 

 
Software - 3.7%    Adobe Systems, Inc. (a)    3,831      126,576
   Autodesk, Inc. (a)    1,674      39,841
   BMC Software, Inc. (a)    1,343      50,403
   CA, Inc.    2,905      63,881
   Citrix Systems, Inc. (a)    1,336      52,411
   Compuware Corp. (a)    1,733      12,703
   Electronic Arts, Inc. (a)    2,361      44,977
   Intuit, Inc. (a)    2,358      67,203
   McAfee, Inc. (a)    1,147      50,227
   Microsoft Corp.    56,579      1,464,830
   Novell, Inc. (a)    2,531      11,415
   Oracle Corp.    28,502      593,982
   Red Hat, Inc. (a)    1,372      37,922
   Salesforce.com, Inc. (a)    796      45,316
   Symantec Corp. (a)    5,944      97,898
            
          

 

    2,759,585

 

 
Specialty Retail - 1.7%    Abercrombie & Fitch Co. Class A    644      21,175
   AutoNation, Inc. (a)    689      12,457
   AutoZone, Inc. (a)    235      34,362
   Bed Bath & Beyond, Inc. (a)    1,911      71,739
   Best Buy Co., Inc.    2,492      93,500
   GameStop Corp. Class A (a)    1,206      31,923
   The Gap, Inc.    3,514      75,200
   Home Depot, Inc.    12,439      331,375
   Limited Brands, Inc.    1,949      33,114
   Lowe’s Cos., Inc.    10,783      225,796
   O’Reilly Automotive, Inc. (a)    998      36,068
   Office Depot, Inc. (a)    2,005      13,273
   RadioShack Corp.    915      15,162

 

12

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)    (Percentages shown are based on Net Assets)

Industry

 

 

Common Stocks

 

               

Shares
Held

 

 

Value

 

 
  The Sherwin-Williams Co.        713   $ 42,894   
  Staples, Inc.        5,271     122,393   
  TJX Cos., Inc.        3,093     114,905   
  Tiffany & Co.        909     35,024   
               
           

 

1,310,360

 

  

 

   
Textiles, Apparel & Luxury Goods -   Coach, Inc.        2,321     76,407   

0.5%

  Nike, Inc. Class B        2,837     183,554   
  Polo Ralph Lauren Corp.        422     32,334   
  VF Corp.        651     47,152   
               
           

 

339,447

 

  

 

   
Thrifts & Mortgage Finance - 0.1%   Hudson City Bancorp, Inc.        3,442     45,262   
  People’s United Financial, Inc.        2,542     39,554   
               
           

 

84,816

 

  

 

   

Tobacco - 1.5%

  Altria Group, Inc.        15,116     269,216   
  Lorillard, Inc.        1,205     89,532   
  Philip Morris International, Inc.        14,117     688,063   
  Reynolds American, Inc.        1,233     54,893   
               
           

 

1,101,704

 

  

 

   
Trading Companies & Distributors -   Fastenal Co.        965     37,346   

0.1%

  W.W. Grainger, Inc.        456     40,748   
               
           

 

78,094

 

  

 

   
Wireless Telecommunication Services -   American Tower Corp. Class A (a)        2,880     104,832   

0.3%

  MetroPCS Communications, Inc. (a)        1,902     17,803   
  Sprint Nextel Corp. (a)        20,987     82,899   
               
           

 

205,534

 

  

 

   
 

Total Common Stocks

(Cost - $74,898,520) - 90.5%

  

  

     

 

68,139,048

 

  

 

   
      Short-Term Securities   Maturity
Date 		  Yield     Face
Amount 		       

Time Deposits - 3.0%

 

 

State Street Bank & Trust Co.

 

  10/01/09

 

  0.01

 

% 

 

  $

 

2,267,438

 

   

 

2,267,438

 

  

 

   

Total Short-Term Securities

(Cost - $2,267,438) - 3.0%

                   

 

2,267,438

 

  

 

   

Total Investments Before Options Written

(Cost - $77,165,958*) - 93.5%

               

 

70,406,486

 

  

 

      Options Written                 Number of
Contracts 		       

Call Options Written

 

S&P 500 Listed Option, expiring October 2009 at

USD 1,070

 

  

  

   

 

66,800

 

   

 

(878,420

 

) 

 

   

Total Options Written

(Premiums Received - $1,511,390) - (1.2%)

  

  

         

 

(878,420

 

) 

 

 

Total Investments, Net of Options Written

(Cost - $75,654,568) - 92.3%

  

  

      69,528,066   
  Other Assets Less Liabilities - 7.7%         5,810,399   
               
  Net Assets - 100.0%          $   75,338,465   
               

 

13

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)     
  * The cost and unrealized appreciation (depreciation) of investments as of September 30, 2009, as computed for federal income tax purposes, were as follows:

 

 

Aggregate cost

   $         70,950,674   
          
 

Gross unrealized appreciation

   $ 678,677   
 

Gross unrealized depreciation

     (1,222,865 ) 
          
 

Net unrealized depreciation

   $ (544,188 ) 
          

 

  (a) Non-income producing security.

 

  (b) Depositary receipts.

 

  (c) Investments in companies considered to be an affiliate of the Fund, for purposes of Section 2(a)(3) of the

 

    Investment Company Act of 1940, were as follows:

Affiliate

 

 

Purchase Cost

 

 

Sales Cost

 

 

Realized
Loss

 

   

Dividend
Income

 

    Bank of America Corp.   $ 214,163   $ 413,713   $     (292,687 )    $     1,838

•   Financial futures contracts purchased as of September 30, 2009 were as follows:

Number of
contracts

 

 

Issue

 

 

Expiration Date

 

 

Face Value

 

 

Depreciation

 

 
48   E-MINI S&P 500   December 2009   $     2,528,868   $         (1,908 ) 

•   Total return swap outstanding as of September 30, 2009 was as follows:

      

Counterparty

 

 

Receive

Total Return

 

 

Pay

 

 

Expiration

 

 

Notional
Amount

 

 

Appreciation

 

Deutsche Bank
AG 		  CBOE S&P 500
BuyWrite Index

(BXM SM  ) - Total Return

  12-month LIBOR rate with
a negotitated spread 		  October
2009 		  $     38,200,000   $     5,658,725
  • 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 for reporting ease.

 

14

Enhanced S&P 500 Covered Call Fund Inc.   
Schedule of Investments September 30, 2009 (Unaudited)     
• Fair Value Measurements - Various inputs are used in determining the fair value of investments, which are as follows:

 

  •  

Level 1 - price quotations in active markets/exchanges for identical securities

 

  •  

Level 2 - other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

  •  

Level 3 - unobservable inputs based on the best information available in the circumstance, to the extent observable inputs are not available (including the Fund’s own assumption used in determining the fair value of investments)

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its semi- annual report .

The following table summarizes the inputs used as of September 30, 2009 in determining the fair valuation of the Fund’s investments:

Valuation Inputs

 

    

Investments in
Securities

 

    

Other Financial Instruments†

 

 
      

Assets

 

    

Assets

 

    

Liabilities

 

 
          

Level 1

     $ 68,139,048        -      $ (880,328 ) 

Level 2

       2,267,438      $ 5,658,725        -   

Level 3

       -        -        -   

Total

     $         70,406,486      $         5,658,725      $         (880,328 ) 
          
  †

Other financial instruments are swaps, futures and options.

 

15

Item 2 – Controls and Procedures

 

2(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”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

2(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) 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

      Certifications – Attached hereto

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.

 

Enhanced S&P 500 ® Covered Call Fund Inc.
By:     /s/ Justin C. Ferri                                        
  Justin C. Ferri
  Chief Executive Officer (principal executive officer) of
  Enhanced S&P 500 ® Covered Call Fund Inc.

Date: November 13, 2009

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:     /s/ Justin C. Ferri                                        
  Justin C. Ferri
  Chief Executive Officer (principal executive officer) of
  Enhanced S&P 500 ® Covered Call Fund Inc.

Date: November 13, 2009

By:     /s/ James E. Hillman                                        
  James E. Hillman
  Chief Financial Officer (principal financial officer) of
  Enhanced S&P 500 ® Covered Call Fund Inc.

Date: November 13, 2009

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