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, 6 th 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: 12/31/2010

Date of reporting period: 03/31/2010

Item 1 – Schedule of Investments

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value

Aerospace & Defense - 2.9%

   Boeing Co. (a)    5,243    $ 380,694
   General Dynamics Corp. (a)    2,673      206,356
   Goodrich Corp. (a)    867      61,141
   Honeywell International, Inc. (a)    5,295      239,705
   ITT Corp. (a)    1,266      67,870
   L-3 Communications Holdings, Inc. (a)    805      73,762
   Lockheed Martin Corp. (a)    2,184      181,752
   Northrop Grumman Corp.(a)    2,097      137,500
   Precision Castparts Corp.    981      124,303
   Raytheon Co. (a)    2,625      149,940
   Rockwell Collins, Inc. (a)    1,090      68,223
   United Technologies Corp. (a)    6,485      477,361
            
                

 

2,168,607

 

Air Freight & Logistics - 1.0%

   C.H. Robinson Worldwide, Inc.    1,154      64,451
   Expeditors International Washington, Inc.    1,469      54,234
   FedEx Corp. (a)    2,166      202,303
   United Parcel Service, Inc. Class B (a)    6,880      443,141
            
                

 

764,129

 

Airlines - 0.1%

   Southwest Airlines Co. (a)    5,148      68,057

Auto Components - 0.2%

   The Goodyear Tire & Rubber Co. (a)(b)    1,678      21,210
   Johnson Controls, Inc. (a)    4,650      153,404
            
                

 

174,614

 

Automobiles - 0.4%

   Ford Motor Co. (a)(b)    23,328      293,233
   Harley-Davidson, Inc. (a)    1,625      45,614
            
                

 

338,847

 

Beverages - 2.5%

   Brown-Forman Corp. Class B (a)    753      44,766
   The Coca-Cola Co. (a)    15,965      878,075
   Coca-Cola Enterprises, Inc. (a)    2,213      61,212
   Constellation Brands, Inc. Class A (a)(b)    1,382      22,720
   Dr. Pepper Snapple Group, Inc.    1,761      61,934
   Molson Coors Brewing Co. Class B (a)    1,097      46,140
   PepsiCo, Inc. (a)    11,318      748,799
            
                

 

1,863,646

 

Biotechnology - 1.5%

   Amgen, Inc. (a)(b)    6,782      405,292
   Biogen Idec, Inc. (a)(b)    1,868      107,148
   Celgene Corp. (a)(b)    3,185      197,343
   Cephalon, Inc. (b)    518      35,110
   Genzyme Corp. (a)(b)    1,839      95,315
   Gilead Sciences, Inc. (a)(b)    6,257      284,568
            
                

 

1,124,776

 

Building Products - 0.1%

   Masco Corp. (a)    2,488      38,614

Capital Markets - 2.6%

   Ameriprise Financial, Inc. (a)    1,767      80,151
   The Bank of New York Mellon Corp. (a)    8,368      258,404
   The Charles Schwab Corp. (a)    6,771      126,550
   E*Trade Financial Corp. (a)(b)    11,025      18,191
   Federated Investors, Inc. Class B (a)    610      16,092

 

1

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value
   Franklin Resources, Inc. (a)    1,027    $ 113,894
   The Goldman Sachs Group, Inc. (a)    3,645      621,946
   Invesco Ltd.    2,971      65,095
   Janus Capital Group, Inc. (a)    1,272      18,177
   Legg Mason, Inc.    1,126      32,282
   Morgan Stanley (a)    9,683      283,615
   Northern Trust Corp. (a)    1,674      92,505
   State Street Corp. (a)    3,428      154,740
   T. Rowe Price Group, Inc. (a)    1,794      98,544
            
                

 

1,980,186

 

Chemicals - 1.8%

   Air Products & Chemicals, Inc. (a)    1,469      108,633
   Airgas, Inc.    573      36,454
   CF Industries Holdings, Inc.    339      30,910
   The Dow Chemical Co. (a)    7,967      235,584
   E.I. du Pont de Nemours & Co. (a)    6,262      233,197
   Eastman Chemical Co. (a)    506      32,222
   Ecolab, Inc. (a)    1,636      71,902
   FMC Corp.    501      30,331
   International Flavors & Fragrances, Inc. (a)    548      26,123
   Monsanto Co. (a)    3,777      269,753
   PPG Industries, Inc. (a)    1,149      75,145
   Praxair, Inc. (a)    2,126      176,458
   Sigma-Aldrich Corp. (a)    843      45,235
            
                

 

1,371,947

 

Commercial Banks - 3.0%

   BB&T Corp. (a)    4,784      154,954
   Comerica, Inc. (a)    1,206      45,876
   Fifth Third Bancorp (a)    5,506      74,827
   First Horizon National Corp. (a)(b)    1,560      21,924
   Huntington Bancshares, Inc. (a)    4,962      26,646
   KeyCorp (a)    6,082      47,136
   M&T Bank Corp. (a)    575      45,644
   Marshall & Ilsley Corp.    3,648      29,366
   The PNC Financial Services Group, Inc. (a)    3,583      213,905
   Regions Financial Corp. (a)    8,260      64,841
   SunTrust Banks, Inc. (a)    3,459      92,667
   U.S. Bancorp (a)    13,252      342,962
   Wells Fargo & Co. (a)    35,881      1,116,617
   Zions Bancorporation (a)    1,042      22,736
            
                

 

2,300,101

 

Commercial Services & Supplies - 0.5%

   Avery Dennison Corp. (a)    776      28,254
   Cintas Corp. (a)    911      25,590
   Iron Mountain, Inc.    1,254      34,360
   Pitney Bowes, Inc. (a)    1,435      35,086
   R.R. Donnelley & Sons Co. (a)    1,423      30,381
   Republic Services, Inc. Class A    2,239      64,976
   Stericycle, Inc. (b)    584      31,828
   Waste Management, Inc. (a)    3,359      115,650
            
                

 

366,125

 

 

2

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value

Communications Equipment - 2.4%

   Cisco Systems, Inc. (a)(b)    39,655    $ 1,032,220
   Harris Corp.    906      43,026
   JDS Uniphase Corp. (a)(b)    1,548      19,395
   Juniper Networks, Inc. (b)    3,641      111,706
   Motorola, Inc. (a)    16,019      112,453
   QUALCOMM, Inc. (a)    11,640      488,764
   Tellabs, Inc. (a)    2,662      20,151
            
                

 

1,827,715

 

Computers & Peripherals - 5.6%

   Apple, Inc. (a)(b)    6,280      1,475,360
   Dell, Inc. (a)(b)    11,925      178,994
   EMC Corp. (b)    14,217      256,475
   Hewlett-Packard Co. (a)    16,304      866,558
   International Business Machines Corp. (a)    8,997      1,153,865
   Lexmark International, Inc. Class A (a)(b)    541      19,519
   NetApp, Inc. (a)(b)    2,387      77,721
   QLogic Corp. (a)(b)    789      16,017
   SanDisk Corp. (b)    1,581      54,750
   Teradata Corp. (b)    1,155      33,368
   Western Digital Corp. (b)    1,584      61,760
            
                

 

4,194,387

 

Construction & Engineering - 0.2%

   Fluor Corp. (a)    1,240      57,671
   Jacobs Engineering Group, Inc. (b)    865      39,089
   Quanta Services, Inc. (b)    1,454      27,859
            
                

 

124,619

 

Construction Materials - 0.1%

   Vulcan Materials Co. (a)    875      41,335

Consumer Finance - 0.8%

   American Express Co. (a)    8,288      341,963
   Capital One Financial Corp. (a)    3,153      130,566
   Discover Financial Services, Inc.    3,761      56,039
   SLM Corp. (a)(b)    3,358      42,042
            
                

 

570,610

 

Containers & Packaging - 0.2%

   Ball Corp. (a)    652      34,804
   Bemis Co. (a)    755      21,684
   Owens-Illinois, Inc. (b)    1,168      41,511
   Pactiv Corp. (a)(b)    917      23,090
   Sealed Air Corp. (a)    1,102      23,230
            
                

 

144,319

 

Distributors - 0.1%

   Genuine Parts Co. (a)    1,099      46,422

Diversified Consumer Services - 0.2%

   Apollo Group, Inc. Class A (a)(b)    892      54,671
   DeVry, Inc.    428      27,906
   H&R Block, Inc. (a)    2,324      41,367
            
                

 

123,944

 

Diversified Financial Services - 4.5%

   Bank of America Corp. (a)(c)    69,480      1,240,218
   CME Group, Inc. (a)    461      145,727
   Citigroup, Inc. (a)    136,086      551,148
   IntercontinentalExchange, Inc. (b)    511      57,324
   JPMorgan Chase & Co. (a)    27,516      1,231,341
   Leucadia National Corp.    1,314      32,600

 

3

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value
   Moody’s Corp. (a)    1,360    $ 40,460
   The NASDAQ Stock Market, Inc. (b)    1,024      21,627
   NYSE Euronext    1,808      53,535
            
                

 

3,373,980

 

Diversified Telecommunication Services - 2.4%

   AT&T Inc. (a)    40,877      1,056,262
   CenturyTel, Inc. (a)    2,075      73,580
   Frontier Communications Corp. (a)    2,164      16,100
   Qwest Communications International, Inc. (a)    10,305      53,792
   Verizon Communications, Inc. (a)    19,640      609,233
   Windstream Corp.    3,164      34,456
            
                

 

1,843,423

 

Electric Utilities - 1.7%

   Allegheny Energy, Inc. (a)    1,175      27,025
   American Electric Power Co., Inc. (a)    3,310      113,136
   Duke Energy Corp. (a)    9,068      147,990
   Edison International (a)    2,258      77,156
   Entergy Corp. (a)    1,309      106,487
   Exelon Corp. (a)    4,569      200,168
   FPL Group, Inc. (a)    2,864      138,417
   FirstEnergy Corp. (a)    2,112      82,558
   Northeast Utilities, Inc.    1,216      33,610
   PPL Corp. (a)    2,613      72,406
   Pepco Holdings, Inc.    1,540      26,411
   Pinnacle West Capital Corp. (a)    702      26,486
   Progress Energy, Inc. (a)    1,971      77,579
   The Southern Co. (a)    5,682      188,415
            
                

 

1,317,844

 

Electrical Equipment - 0.5%

   Emerson Electric Co. (a)    5,212      262,372
   First Solar, Inc. (b)    337      41,333
   Rockwell Automation, Inc. (a)    986      55,571
   Roper Industries, Inc.    649      37,538
            
                

 

396,814

 

Electronic Equipment, Instruments & Components - 0.6%    Agilent Technologies, Inc. (a)(b)    2,416      83,086
   Amphenol Corp. Class A    1,200      50,628
   Corning, Inc. (a)    10,797      218,207
   Flir Systems, Inc. (b)    1,055      29,751
   Jabil Circuit, Inc. (a)    1,337      21,646
   Molex, Inc. (a)    939      19,588
            
                

 

422,906

 

Energy Equipment & Services - 1.7%

   BJ Services Co. (a)    2,034      43,528
   Baker Hughes, Inc. (a)    2,160      101,174
   Cameron International Corp. (b)    1,694      72,605
   Diamond Offshore Drilling, Inc.    482      42,806
   FMC Technologies, Inc. (b)    847      54,742
   Halliburton Co. (a)    6,268      188,855
   Helmerich & Payne, Inc.    731      27,835
   Nabors Industries Ltd. (a)(b)    1,972      38,710
   National Oilwell Varco, Inc. (a)    2,899      117,641

 

4

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value
   Rowan Cos., Inc. (a)(b)    788    $ 22,939
   Schlumberger Ltd. (a)    8,287      525,893
   Smith International, Inc.    1,720      73,650
            
                

 

1,310,378

 

Food & Staples Retailing - 2.6%

   CVS Caremark Corp. (a)    9,630      352,073
   Costco Wholesale Corp. (a)    3,043      181,698
   The Kroger Co. (a)    4,501      97,492
   SUPERVALU, Inc. (a)    1,469      24,503
   SYSCO Corp. (a)    4,101      120,980
   Safeway, Inc. (a)    2,693      66,948
   Wal-Mart Stores, Inc. (a)    14,778      821,657
   Walgreen Co. (a)    6,823      253,065
   Whole Foods Market, Inc. (b)    1,181      42,693
            
                

 

1,961,109

 

Food Products - 1.7%

   Archer-Daniels-Midland Co. (a)    4,451      128,634
   Campbell Soup Co. (a)    1,306      46,167
   ConAgra Foods, Inc. (a)    3,069      76,940
   Dean Foods Co. (b)    1,256      19,707
   General Mills, Inc. (a)    2,282      161,543
   H.J. Heinz Co. (a)    2,187      99,749
   The Hershey Co. (a)    1,152      49,317
   Hormel Foods Corp.    484      20,333
   The J.M. Smucker Co.    825      49,715
   Kellogg Co. (a)    1,762      94,144
   Kraft Foods, Inc. (a)    12,027      363,696
   McCormick & Co., Inc. (a)    911      34,946
   Sara Lee Corp. (a)    4,832      67,310
   Tyson Foods, Inc. Class A (a)    2,114      40,483
            
                

 

1,252,684

 

Gas Utilities - 0.2%

   EQT Corp.    996      40,836
   Nicor, Inc. (a)    315      13,205
   Oneok, Inc.    731      33,370
   Questar Corp.    1,208      52,186
            
                

 

139,597

 

Health Care Equipment & Supplies - 1.9%

   Baxter International, Inc. (a)    4,178      243,160
   Becton Dickinson & Co. (a)    1,632      128,487
   Boston Scientific Corp. (a)(b)    10,467      75,572
   C.R. Bard, Inc. (a)    663      57,429
   CareFusion Corp. (b)    1,227      32,430
   Dentsply International, Inc.    1,019      35,512
   Hospira, Inc. (a)(b)    1,135      64,298
   Intuitive Surgical, Inc. (b)    270      93,995
   Medtronic, Inc. (a)    7,651      344,525
   St. Jude Medical, Inc. (a)(b)    2,254      92,527
   Stryker Corp. (a)    1,957      111,980
   Varian Medical Systems, Inc. (b)    862      47,694
   Zimmer Holdings, Inc. (a)(b)    1,476      87,379
            
                

 

1,414,988

 

 

5

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value

Health Care Providers & Services - 2.1%

   Aetna, Inc. (a)    2,985    $ 104,803
   AmerisourceBergen Corp. (a)    1,956      56,568
   Cardinal Health, Inc. (a)    2,503      90,183
   Cigna Corp. (a)    1,904      69,648
   Coventry Health Care, Inc. (a)(b)    1,025      25,338
   DaVita, Inc. (b)    715      45,331
   Express Scripts, Inc. (b)    1,904      193,751
   Humana, Inc. (a)(b)    1,177      55,048
   Laboratory Corp. of America Holdings (a)(b)    725      54,890
   McKesson Corp. (a)    1,866      122,634
   Medco Health Solutions, Inc. (a)(b)    3,214      207,496
   Patterson Cos., Inc.    649      20,151
   Quest Diagnostics, Inc. (a)    1,041      60,680
   Tenet Healthcare Corp. (a)(b)    3,001      17,166
   UnitedHealth Group, Inc. (a)    8,017      261,915
   WellPoint, Inc. (a)(b)    3,075      197,969
            
                

 

1,583,571

 

Hotels, Restaurants & Leisure - 1.5%

   Carnival Corp. (a)    3,006      116,873
   Darden Restaurants, Inc. (a)    967      43,070
   International Game Technology (a)    2,058      37,970
   Marriott International, Inc. Class A (a)    1,762      55,538
   McDonald’s Corp. (a)    7,452      497,197
   Starbucks Corp. (a)(b)    5,148      124,942
   Starwood Hotels & Resorts Worldwide, Inc. (a)    1,296      60,445
   Wyndham Worldwide Corp.    1,238      31,854
   Wynn Resorts Ltd.    482      36,550
   Yum! Brands, Inc. (a)    3,250      124,573
            
                

 

1,129,012

 

Household Durables - 0.4%

   D.R. Horton, Inc. (a)    1,915      24,129
   Fortune Brands, Inc. (a)    1,053      51,081
   Harman International Industries, Inc.    481      22,501
   Leggett & Platt, Inc. (a)    1,028      22,246
   Lennar Corp. Class A (a)    1,127      19,396
   Newell Rubbermaid, Inc. (a)    1,924      29,245
   Pulte Group, Inc. (a)(b)    2,197      24,716
   Stanley Black & Decker, Inc. (a)    1,091      62,634
   Whirlpool Corp. (a)    515      44,934
            
                

 

300,882

 

Household Products - 2.4%

   Clorox Co. (a)    969      62,152
   Colgate-Palmolive Co. (a)    3,420      291,589
   Kimberly-Clark Corp. (a)    2,883      181,283
   The Procter & Gamble Co. (a)    20,117      1,272,803
            
                

 

1,807,827

 

IT Services - 1.4%

   Automatic Data Processing, Inc. (a)    3,497      155,512
   Cognizant Technology Solutions Corp. (b)    2,061      105,070

 

6

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value
   Computer Sciences Corp. (a)(b)    1,064    $ 57,977
   Fidelity National Information Services, Inc.    2,285      53,559
   Fiserv, Inc. (a)(b)    1,055      53,552
   MasterCard, Inc. Class A    665      168,910
   Paychex, Inc. (a)    2,229      68,430
   SAIC, Inc. (b)    2,111      37,365
   Total System Services, Inc.    1,366      21,392
   Visa, Inc. Class A    3,092      281,465
   The Western Union Co.    4,729      80,204
            
                

 

1,083,436

 

Independent Power Producers & Energy Traders - 0.2%    The AES Corp. (a)(b)    4,626      50,886
   Constellation Energy Group, Inc. (a)    1,392      48,873
   NRG Energy, Inc. (b)    1,814      37,913
            
                

 

137,672

 

Industrial Conglomerates - 2.4%

   3M Co. (a)    4,929      411,917
   General Electric Co. (a)    73,897      1,344,924
   Textron, Inc. (a)    1,888      40,082
            
                

 

1,796,923

 

Insurance - 3.7%

   AON Corp. (a)    1,848      78,928
   Aflac, Inc. (a)    3,249      176,388
   The Allstate Corp. (a)    3,718      120,129
   American International Group, Inc. (b)    933      31,853
   Assurant, Inc.    809      27,813
   Berkshire Hathaway, Inc. (b)    11,462      931,517
   Chubb Corp. (a)    2,276      118,011
   Cincinnati Financial Corp. (a)    1,127      32,570
   Genworth Financial, Inc. Class A (b)    3,385      62,081
   Hartford Financial Services Group, Inc. (a)    3,073      87,335
   Lincoln National Corp. (a)    2,093      64,255
   Loews Corp. (a)    2,458      91,634
   Marsh & McLennan Cos., Inc. (a)    3,686      90,012
   MetLife, Inc. (a)    5,674      245,911
   Principal Financial Group, Inc. (a)    2,210      64,554
   The Progressive Corp. (a)    4,651      88,788
   Prudential Financial, Inc. (a)    3,221      194,871
   Torchmark Corp. (a)    574      30,715
   The Travelers Cos., Inc. (a)    3,557      191,865
   UnumProvident Corp. (a)    2,299      56,946
   XL Capital Ltd. Class A (a)    2,371      44,812
            
                

 

2,830,988

 

Internet & Catalog Retail - 0.6%

   Amazon.com, Inc. (b)    2,371      321,816
   Expedia, Inc.    1,461      36,467
   Priceline.com, Inc. (b)    316      80,580
            
                

 

438,863

 

Internet Software & Services - 1.8%

   Akamai Technologies, Inc. (b)    1,192      37,441
   eBay, Inc. (a)(b)    7,827      210,938
   Google, Inc. Class A (a)(b)    1,671      947,474

 

7

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value
   VeriSign, Inc. (b)    1,271    $ 33,059
   Yahoo! Inc. (a)(b)    8,243      136,257
            
                

 

1,365,169

 

Leisure Equipment & Products - 0.1%

   Eastman Kodak Co. (a)(b)    1,858      10,758
   Hasbro, Inc. (a)    850      32,538
   Mattel, Inc. (a)    2,519      57,282
            
                

 

100,578

 

Life Sciences Tools & Services - 0.4%

   Life Technologies Corp. (b)    1,252      65,442
   Millipore Corp. (a)(b)    385      40,656
   PerkinElmer, Inc. (a)    814      19,455
   Thermo Fisher Scientific, Inc. (a)(b)    2,836      145,884
   Waters Corp. (a)(b)    648      43,766
            
                

 

315,203

 

Machinery - 1.6%

   Caterpillar, Inc. (a)    4,327      271,952
   Cummins, Inc. (a)    1,398      86,606
   Danaher Corp. (a)    1,815      145,037
   Deere & Co. (a)    2,937      174,634
   Dover Corp. (a)    1,290      60,308
   Eaton Corp. (a)    1,149      87,060
   Flowserve Corp.    387      42,673
   Illinois Tool Works, Inc. (a)    2,679      126,876
   PACCAR, Inc. (a)    2,519      109,173
   Pall Corp. (a)    810      32,797
   Parker Hannifin Corp. (a)    1,114      72,120
   Snap-On, Inc. (a)    404      17,509
            
                

 

1,226,745

 

Media - 2.9%

   CBS Corp. Class B    4,692      65,406
   Comcast Corp. Class A (a)    19,653      369,869
   DIRECTV Class A (b)    6,477      218,987
   Discovery Communications, Inc. Class A (b)    1,964      66,364
   EW Scripps Co. (b)    1      8
   Gannett Co., Inc. (a)    1,641      27,109
   Interpublic Group of Cos., Inc. (a)(b)    3,369      28,030
   The McGraw-Hill Cos., Inc. (a)    2,182      77,788
   Meredith Corp. (a)    254      8,740
   The New York Times Co. Class A (a)(b)    806      8,971
   News Corp. Class A (a)    15,606      224,882
   Omnicom Group, Inc. (a)    2,150      83,442
   Scripps Networks Interactive    624      27,674
   Time Warner Cable, Inc.    2,442      130,183
   Time Warner, Inc.    7,966      249,097
   Viacom, Inc. Class B (b)    4,206      144,602
   Walt Disney Co. (a)    13,433      468,946
   The Washington Post Co. Class B    41      18,211
            
                

 

2,218,309

 

Metals & Mining - 1.1%

   AK Steel Holding Corp.    758      17,328
   Alcoa, Inc. (a)    7,066      100,620

 

8

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value
   Allegheny Technologies, Inc. (a)    680    $ 36,713
   Cliffs Natural Resources, Inc.    937      66,480
   Freeport-McMoRan Copper & Gold, Inc. Class B (a)    2,979      248,866
   Newmont Mining Corp. (a)    3,397      173,009
   Nucor Corp. (a)    2,182      99,019
   Titanium Metals Corp. (b)    586      9,722
   United States Steel Corp. (a)    993      63,075
            
                

 

814,832

 

Multi-Utilities - 1.2%

   Ameren Corp. (a)    1,642      42,823
   CMS Energy Corp. (a)    1,591      24,597
   CenterPoint Energy, Inc. (a)    2,720      39,059
   Consolidated Edison, Inc. (a)    1,949      86,808
   DTE Energy Co. (a)    1,143      50,978
   Dominion Resources, Inc. (a)    4,156      170,853
   Integrys Energy Group, Inc.    534      25,301
   NiSource, Inc. (a)    1,917      30,289
   PG&E Corp. (a)    2,571      109,062
   Public Service Enterprise Group, Inc. (a)    3,506      103,497
   SCANA Corp.    771      28,982
   Sempra Energy (a)    1,708      85,229
   TECO Energy, Inc. (a)    1,481      23,533
   Wisconsin Energy Corp.    810      40,022
   Xcel Energy, Inc. (a)    3,164      67,077
            
                

 

928,110

 

Multiline Retail - 0.9%

   Big Lots, Inc. (a)(b)    573      20,869
   Family Dollar Stores, Inc. (a)    962      35,219
   JCPenney Co., Inc.(a)    1,634      52,566
   Kohl’s Corp. (a)(b)    2,125      116,408
   Macy’s, Inc. (a)    2,917      63,503
   Nordstrom, Inc. (a)    1,145      46,773
   Sears Holdings Corp. (a)(b)    336      36,432
   Target Corp. (a)    5,213      274,204
            
                

 

645,974

 

Office Electronics - 0.1%

   Xerox Corp. (a)    9,363      91,289

Oil, Gas & Consumable Fuels - 8.8%

   Anadarko Petroleum Corp. (a)    3,411      248,423
   Apache Corp. (a)    2,330      236,495
   Cabot Oil & Gas Corp. Class A    718      26,422
   Chesapeake Energy Corp.    4,515      106,735
   Chevron Corp. (a)    13,909      1,054,719
   ConocoPhillips (a)    10,298      526,949
   Consol Energy, Inc.    1,521      64,886
   Denbury Resources, Inc. (b)    2,740      46,224
   Devon Energy Corp. (a)    3,094      199,346
   EOG Resources, Inc. (a)    1,749      162,552
   El Paso Corp. (a)    4,859      52,672
   Exxon Mobil Corp. (a)    32,699      2,190,179
   Hess Corp. (a)    2,017      126,163

 

9

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value
   Marathon Oil Corp. (a)    4,905    $ 155,194
   Massey Energy Co.    658      34,407
   Murphy Oil Corp. (a)    1,323      74,339
   Noble Energy, Inc.    1,208      88,184
   Occidental Petroleum Corp. (a)    5,624      475,453
   Peabody Energy Corp.    1,861      85,048
   Pioneer Natural Resources Co.    799      45,000
   Range Resources Corp.    1,102      51,651
   Southwestern Energy Co. (b)    2,393      97,443
   Spectra Energy Corp.    4,482      100,979
   Sunoco, Inc. (a)    810      24,065
   Tesoro Corp.    975      13,553
   Valero Energy Corp. (a)    3,911      77,047
   Williams Cos., Inc. (a)    4,041      93,347
   XTO Energy, Inc. (a)    4,040      190,607
            
                

 

6,648,082

 

Paper & Forest Products - 0.2%

   International Paper Co. (a)    3,001      73,855
   MeadWestvaco Corp. (a)    1,186      30,302
   Weyerhaeuser Co. (a)    1,465      66,321
            
                

 

170,478

 

Personal Products - 0.3%

   Avon Products, Inc. (a)    2,959      100,221
   The Estée Lauder Cos., Inc. Class A    818      53,064
   Mead Johnson Nutrition Co.    1,417      73,727
            
                

 

227,012

 

Pharmaceuticals - 5.9%

   Abbott Laboratories (a)    10,753      566,468
   Allergan, Inc.    2,131      139,197
   Bristol-Myers Squibb Co. (a)    11,872      316,982
   Eli Lilly & Co. (a)    7,028      254,554
   Forest Laboratories, Inc. (a)(b)    2,091      65,574
   Johnson & Johnson (a)    19,059      1,242,647
   King Pharmaceuticals, Inc. (a)(b)    1,720      20,227
   Merck & Co, Inc. (a)    21,576      805,864
   Mylan, Inc. (a)    2,124      48,236
   Pfizer, Inc. (a)    55,894      958,582
   Watson Pharmaceuticals, Inc. (a)(b)    735      30,701
            
                

 

4,449,032

 

Professional Services - 0.1%

   Dun & Bradstreet Corp.    353      26,270
   Equifax, Inc. (a)    876      31,361
   Monster Worldwide, Inc. (a)(b)    871      14,467
   Robert Half International, Inc. (a)    1,029      31,312
            
                

 

103,410

 

Real Estate Investment Trusts (REITs) - 1.2%    Apartment Investment & Management Co. Class A (a)    811      14,931
   AvalonBay Communities, Inc.    565      48,788
   Boston Properties, Inc.    961      72,498
   Equity Residential (a)    1,952      76,421
   HCP, Inc.    2,031      67,023

 

10

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value
   Health Care REIT, Inc.    857    $ 38,762
   Host Marriott Corp.    4,524      66,277
   Kimco Realty Corp.    2,809      43,933
   Plum Creek Timber Co., Inc. (a)    1,128      43,890
   ProLogis (a)    3,284      43,349
   Public Storage (a)    940      86,471
   Simon Property Group, Inc. (a)    2,008      168,471
   Ventas, Inc.    1,085      51,516
   Vornado Realty Trust (a)    1,092      82,664
            
                

 

904,994

 

Real Estate Management & Development - 0.0%**

   CB Richard Ellis Group, Inc. (b)    1,869      29,624

Road & Rail - 0.7%

   CSX Corp. (a)    2,701      137,481
   Norfolk Southern Corp. (a)    2,560      143,078
   Ryder System, Inc. (a)    370      14,341
   Union Pacific Corp. (a)    3,496      256,257
            
                

 

551,157

 

Semiconductors & Semiconductor Equipment - 2.4%    Advanced Micro Devices, Inc. (a)(b)    3,910      36,246
   Altera Corp. (a)    2,060      50,079
   Analog Devices, Inc. (a)    2,062      59,427
   Applied Materials, Inc. (a)    9,302      125,391
   Broadcom Corp. Class A (a)    2,985      99,042
   Intel Corp. (a)    38,258      851,623
   KLA-Tencor Corp. (a)    1,192      36,857
   LSI Corp. (a)(b)    4,547      27,828
   Linear Technology Corp. (a)    1,546      43,721
   MEMC Electronic Materials, Inc. (b)    1,575      24,145
   Microchip Technology, Inc.    1,272      35,820
   Micron Technology, Inc. (a)(b)    5,889      61,187
   National Semiconductor Corp. (a)    1,647      23,799
   Novellus Systems, Inc. (a)(b)    664      16,600
   Nvidia Corp. (a)(b)    3,845      66,826
   Teradyne, Inc. (a)(b)    1,228      13,717
   Texas Instruments, Inc. (a)    8,601      210,466
   Xilinx, Inc. (a)    1,919      48,935
            
                

 

1,831,709

 

Software - 3.9%

   Adobe Systems, Inc. (a)(b)    3,629      128,358
   Autodesk, Inc. (a)(b)    1,592      46,837
   BMC Software, Inc. (a)(b)    1,265      48,070
   CA, Inc. (a)    2,737      64,237
   Citrix Systems, Inc. (a)(b)    1,273      60,429
   Compuware Corp. (a)(b)    1,575      13,230
   Electronic Arts, Inc. (a)(b)    2,262      42,209
   Intuit, Inc. (a)(b)    2,174      74,655
   McAfee, Inc. (b)    1,099      44,103
   Microsoft Corp. (a)    52,846      1,546,802
   Novell, Inc. (a)(b)    2,412      14,448
   Oracle Corp. (a)    27,071      695,454

 

11

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Industry    Common Stocks    Shares Held    Value
   Red Hat, Inc. (b)    1,307    $ 38,256
   Salesforce.com, Inc. (b)    763      56,805
   Symantec Corp. (a)(b)    5,584      94,481
            
                

 

2,968,374

 

Specialty Retail - 2.0%

   Abercrombie & Fitch Co. Class A    610      27,840
   AutoNation, Inc. (a)(b)    626      11,318
   AutoZone, Inc. (a)(b)    207      35,830
   Bed Bath & Beyond, Inc. (a)(b)    1,815      79,424
   Best Buy Co., Inc. (a)    2,374      100,990
   GameStop Corp. Class A (b)    1,141      24,999
   The Gap, Inc. (a)    3,299      76,240
   Home Depot, Inc. (a)    11,777      380,986
   Limited Brands, Inc.    1,854      45,645
   Lowe’s Cos., Inc. (a)    10,195      247,127
   O’Reilly Automotive, Inc. (b)    951      39,666
   Office Depot, Inc. (a)(b)    1,904      15,194
   RadioShack Corp. (a)    868      19,643
   Ross Stores, Inc.    858      45,877
   The Sherwin-Williams Co.    637      43,112
   Staples, Inc. (a)    5,049      118,096
   TJX Cos., Inc. (a)    2,908      123,648
   Tiffany & Co. (a)    862      40,936
   Urban Outfitters, Inc. (b)    898      34,151
            
                

 

1,510,722

 

Textiles, Apparel & Luxury Goods - 0.5%    Coach, Inc. (a)    2,176      85,996
   Nike, Inc. Class B (a)    2,700      198,450
   Polo Ralph Lauren Corp.    398      33,846
   VF Corp. (a)    615      49,292
            
                

 

367,584

 

Thrifts & Mortgage Finance - 0.1%

   Hudson City Bancorp, Inc.    3,282      46,473
   People’s United Financial, Inc.    2,572      40,226
            
                

 

86,699

 

Tobacco - 1.5%

   Altria Group, Inc. (a)    14,409      295,673
   Lorillard, Inc.    1,072      80,657
   Philip Morris International, Inc. (a)    13,027      679,488
   Reynolds American, Inc. (a)    1,171      63,211
            
                

 

1,119,029

 

Trading Companies & Distributors - 0.1%    Fastenal Co.    909      43,623
   W.W. Grainger, Inc. (a)    426      46,059
            
                

 

89,682

 

Wireless Telecommunication
Services - 0.3% 		   American Tower Corp. Class A (b)    2,789      118,839
   MetroPCS Communications, Inc. (b)    1,807      12,794
   Sprint Nextel Corp. (a)(b)    20,621      78,360
            
                

 

209,993

 

    

Total Common Stocks

(Cost - $72,491,719) - 96.8%

          73,149,687

 

12

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)    (Percentages shown are based on Net Assets)

 

Short-Term Securities        Maturity Date    Yield     Face
Amount 		   Value  
Time Deposits - 0.8%           
State Street Bank & Trust Co.            4/01/10    0.01 %    $ 597,597    $ 597,597   
    

Total Short-Term Securities

(Cost - $597,597) - 0.8%

                  597,597   
    

Total Investments Before Options Written

(Cost - $73,089,316*) - 97.6%

                  73,747,284   
     Options Written           
  		Number of
Contracts 		        
Call Options Written    S&P 500 Index, expiring April 2010 at USD 1,165            631      (1,044,305 ) 
    

Total Options Written

(Premiums Received - $951,605) - (1.4%)

                  (1,044,305 ) 
  

Total Investments, Net of Options Written

(Net Cost - $72,137,711) - 96.2%

          72,702,979   
   Other Assets Less Liabilities - 3.8%           2,833,971   
                
   Net Assets - 100.0%         $ 75,536,950   
                

 

* The cost and unrealized appreciation (depreciation) of investments as of March 31, 2010, as computed for federal income tax purposes were as follows:

 

Aggregate cost

   $   73,524,403   
        

Gross unrealized appreciation

   $ 828,399   

Gross unrealized depreciation

     (605,518 ) 
        

Net unrealized appreciation

   $ 222,881   
        

 

** Rounds to less than 0.1% of net assets.
(a) All or portion of security held as collateral in connection with open option contracts and financial futures contracts.
(b) Non-income producing security.
(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
Gain 		     Income

Bank of America Corp.

     $10,483      -        -        $689

Financial futures contracts purchased as of March 31, 2010 were as follows:

Number of
Contracts 		   Issue    Expiration
Date 		   Face Value    Unrealized
Appreciation
11    E-MINI S&P 500    June 2010    $634,450    $6,410

Total return swaps outstanding as of March 31, 2010 were as follows:

Counterparty    Receive Total Return    Pay    Expiration    Notional
Amount 		   Unrealized
Appreciation
Deutsche Bank AG   

CBOE S&P 500 BuyWrite Index

(BXM SM ) - Total Return

   10-month LIBOR rate with a negotiated spread    August 2010    $ 22,000,000    $ 1,937,789
HSBC Securities (USA) Inc.   

CBOE S&P 500 BuyWrite Index

(BXM SM ) - Total Return

   10-month LIBOR rate with a negotiated spread    August 2010    $ 10,300,019      901,197
Total                $ 2,838,986
                  

 

13

Enhanced S&P 500 ® Covered Call Fund Inc.   
Schedule of Investments as of March 31, 2010 (Unaudited)   

 

 

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.

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 identical or 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 annual report.

The following table summarizes the inputs used as of March 31, 2010 in determining the fair valuation of the Fund’s investments:

 

Valuation Inputs    Investments in
Securities 		    Other Financial
Instruments 1 		 
     Assets     Assets    Liabilities  

Level 1

   $ 73,149,687   2     $ 6,410    $ (1,044,305 ) 

Level 2

     597,597        2,838,986      -     

Level 3

     -          -        -     

Total

   $ 73,747,284      $ 2,845,396    $ (1,044,305 ) 
                       

1 Other financial instruments are swaps, futures and options.

2 See above Schedule of Investments for values in each industry.

 

14

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: May 13, 2010

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: May 13, 2010

  By:  

/s/ James E. Hillman

    James E. Hillman
   

Chief Financial Officer (principal financial officer) of

Enhanced S&P 500 ® Covered Call Fund Inc.

Date: May 13, 2010

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