- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
November 17 2009 - 4:28PM
Edgar (US Regulatory)
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.
Registrants 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
|
|
|
Moodys 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
|
|
|
McDonalds 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
|
|
|
Kohls Corp. (a)
|
|
2,230
|
|
|
127,222
|
|
|
Macys, 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
|
|
|
Lowes Cos., Inc.
|
|
10,783
|
|
|
225,796
|
|
|
OReilly 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
|
|
|
|
Peoples 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.
|
|
(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 Funds 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
Funds 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 Funds policy regarding valuation of investments and other significant accounting policies, please refer to the Funds
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 Funds 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 registrants principal executive and principal financial officers or persons performing similar functions have concluded that the registrants 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 registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the
registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants 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
Enhanced S & P CV Call (NYSE:BEO)
Historical Stock Chart
From Sep 2024 to Oct 2024
Enhanced S & P CV Call (NYSE:BEO)
Historical Stock Chart
From Oct 2023 to Oct 2024