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 811-21506

 

Name of Fund: BlackRock Enhanced Capital and Income Fund, Inc. (CII)

 

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

 

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Enhanced Capital and Income Fund, Inc., 55 East 52nd Street, New York, NY 10055

 

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

 

Date of fiscal year end: 10/31/2012

 

Date of reporting period: 01/31/2012

 

Item 1 – Schedule of Investments

 

 

 

 

 

Schedule of Investments January 31, 2012 (Unaudited)

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Aerospace & Defense — 4.9%

 

 

 

 

 

 

 

Honeywell International, Inc. (a)

 

 

246,200

 

$

14,289,448

 

Northrop Grumman Corp. (a)

 

 

143,700

 

 

8,341,785

 

Raytheon Co. (a)

 

 

171,000

 

 

8,206,290

 

 

 

 

 

 

 

30,837,523

 

Capital Markets — 3.0%

 

 

 

 

 

 

 

Invesco Ltd. (a)

 

 

560,700

 

 

12,654,999

 

Morgan Stanley

 

 

326,513

 

 

6,089,467

 

 

 

 

 

 

 

18,744,466

 

Chemicals — 2.5%

 

 

 

 

 

 

 

EI du Pont de Nemours & Co. (a)

 

 

308,300

 

 

15,689,387

 

Commercial Banks — 1.2%

 

 

 

 

 

 

 

Wells Fargo & Co. (a)

 

 

255,600

 

 

7,466,076

 

Communications Equipment — 0.3%

 

 

 

 

 

 

 

Nokia Oyj - ADR (a)

 

 

389,100

 

 

1,961,064

 

Diversified Financial Services — 3.0%

 

 

 

 

 

 

 

Citigroup, Inc. (a)

 

 

228,930

 

 

7,032,730

 

JPMorgan Chase & Co. (a)

 

 

326,500

 

 

12,178,450

 

 

 

 

 

 

 

19,211,180

 

Diversified Telecommunication Services — 7.4%

 

 

 

 

 

 

 

AT&T, Inc. (a)

 

 

421,800

 

 

12,405,138

 

CenturyLink, Inc. (a)

 

 

489,800

 

 

18,137,294

 

Verizon Communications, Inc. (a)

 

 

436,200

 

 

16,427,292

 

 

 

 

 

 

 

46,969,724

 

Electric Utilities — 2.9%

 

 

 

 

 

 

 

NextEra Energy, Inc. (a)

 

 

126,100

 

 

7,547,085

 

The Southern Co. (a)

 

 

232,700

 

 

10,601,812

 

 

 

 

 

 

 

18,148,897

 

Electrical Equipment — 2.0%

 

 

 

 

 

 

 

Emerson Electric Co. (a)

 

 

241,400

 

 

12,403,132

 

Energy Equipment & Services — 4.4%

 

 

 

 

 

 

 

Ensco Plc - ADR (a)

 

 

225,900

 

 

11,891,376

 

Halliburton Co. (a)

 

 

140,400

 

 

5,163,912

 

Noble Corp. (a)(b)

 

 

314,200

 

 

10,946,728

 

 

 

 

 

 

 

28,002,016

 

Food Products — 7.5%

 

 

 

 

 

 

 

General Mills, Inc. (a)

 

 

300,000

 

 

11,949,000

 

Kraft Foods, Inc. (a)

 

 

533,000

 

 

20,413,900

 

Unilever NV - ADR (a)

 

 

441,900

 

 

14,737,365

 

 

 

 

 

 

 

47,100,265

 

Health Care Equipment & Supplies — 1.8%

 

 

 

 

 

 

 

Medtronic, Inc. (a)

 

 

295,600

 

 

11,401,292

 

Household Products — 3.1%

 

 

 

 

 

 

 

Kimberly-Clark Corp. (a)

 

 

272,200

 

 

19,478,632

 

Industrial Conglomerates — 2.4%

 

 

 

 

 

 

 

General Electric Co. (a)

 

 

626,800

 

 

11,727,428

 

Tyco International Ltd. (a)

 

 

64,100

 

 

3,265,895

 

 

 

 

 

 

 

14,993,323

 

 

 

 

 

 

 

 

 

Common Stocks

 

Shares

 

Value

 

Insurance — 6.8%

 

 

 

 

 

 

 

ACE Ltd. (a)

 

 

215,200

 

$

14,977,920

 

MetLife, Inc. (a)

 

 

274,700

 

 

9,705,151

 

The Travelers Cos., Inc. (a)

 

 

313,200

 

 

18,259,560

 

 

 

 

 

 

 

42,942,631

 

IT Services — 1.2%

 

 

 

 

 

 

 

International Business Machines
Corp. (a)

 

 

38,800

 

 

7,472,880

 

Media — 5.6%

 

 

 

 

 

 

 

Comcast Corp., Special Class A (a)

 

 

598,500

 

 

15,255,765

 

Time Warner, Inc. (a)

 

 

412,800

 

 

15,298,368

 

Walt Disney Co. (a)

 

 

127,200

 

 

4,948,080

 

 

 

 

 

 

 

35,502,213

 

Metals & Mining — 2.9%

 

 

 

 

 

 

 

Freeport-McMoRan Copper &
Gold, Inc., Class B (a)

 

 

84,000

 

 

3,881,640

 

Nucor Corp. (a)

 

 

323,000

 

 

14,370,270

 

 

 

 

 

 

 

18,251,910

 

Multi-Utilities — 2.0%

 

 

 

 

 

 

 

Dominion Resources, Inc. (a)

 

 

195,200

 

 

9,767,808

 

Public Service Enterprise Group,
Inc. (a)

 

 

92,900

 

 

2,818,586

 

 

 

 

 

 

 

12,586,394

 

Oil, Gas & Consumable Fuels — 7.2%

 

 

 

 

 

 

 

Chevron Corp. (a)

 

 

183,000

 

 

18,863,640

 

Exxon Mobil Corp. (a)

 

 

184,800

 

 

15,475,152

 

Marathon Oil Corp. (a)

 

 

212,900

 

 

6,682,931

 

Marathon Petroleum Corp. (a)

 

 

109,700

 

 

4,192,734

 

 

 

 

 

 

 

45,214,457

 

Pharmaceuticals — 13.2%

 

 

 

 

 

 

 

Bristol-Myers Squibb Co. (a)

 

 

646,200

 

 

20,833,488

 

Eli Lilly & Co. (a)

 

 

460,300

 

 

18,292,322

 

Johnson & Johnson (a)

 

 

130,400

 

 

8,594,664

 

Merck & Co., Inc. (a)

 

 

425,900

 

 

16,294,934

 

Pfizer, Inc. (a)

 

 

913,000

 

 

19,538,200

 

 

 

 

 

 

 

83,553,608

 

Semiconductors & Semiconductor Equipment — 9.4%

 

 

 

 

 

 

 

Analog Devices, Inc. (a)

 

 

401,300

 

 

15,702,869

 

Intel Corp. (a)

 

 

624,600

 

 

16,501,932

 

LSI Corp. (a)(b)

 

 

1,101,400

 

 

8,337,598

 

Maxim Integrated Products, Inc.
(a)

 

 

709,500

 

 

19,042,980

 

 

 

 

 

 

 

59,585,379

 

Software — 1.9%

 

 

 

 

 

 

 

Microsoft Corp. (a)

 

 

406,500

 

 

12,003,945

 

Specialty Retail — 3.7%

 

 

 

 

 

 

 

Home Depot, Inc. (a)

 

 

310,300

 

 

13,774,217

 

Limited Brands, Inc. (a)

 

 

226,500

 

 

9,481,290

 

 

 

 

 

 

 

23,255,507

 

 

 

 

 

 

 

 

 

 

BLACKROCK ENHANCED CAPITAL AND INCOME FUND, INC.

JANUARY 31, 2012

1


 

 

 

 

Schedule of Investments (continued)

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

 

Shares

 

Value

 

Total Long-Term Investments
(Cost – $650,773,988) – 100.3%

 

 

 

 

$

632,775,901

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Short-Term Securities

 

 

 

 

 

 

 

BlackRock Liquidity Funds,
TempFund, Institutional Class,
0.15%, (c)(d)

 

 

8,322,793

 

 

8,322,793

 

Total Short-Term Securities
(Cost – $8,322,793) – 1.3%

 

 

 

 

 

8,322,793

 

Total Investments Before Options Written
(Cost – $659,096,781) – 101.6%

 

 

 

 

 

641,098,694

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

 

 

 

Exchange-Traded Call Options — (1.3)%

 

 

 

 

 

 

 

ACE, Ltd.:

 

 

 

 

 

 

 

Strike Price $67.50, Expires
2/18/12

 

 

400

 

 

(125,000

)

Strike Price $70, Expires
2/18/12

 

 

740

 

 

(109,150

)

Analog Devices, Inc.:

 

 

 

 

 

 

 

Strike Price $35, Expires
2/18/12

 

 

1,115

 

 

(479,450

)

Strike Price $40, Expires
3/17/12

 

 

1,090

 

 

(103,550

)

Bristol-Myers Squibb Co., Strike Price
$34.50, Expires 2/18/12

 

 

2,485

 

 

(5,572

)

CenturyLink, Inc.:

 

 

 

 

 

 

 

Strike Price $36, Expires
2/18/12

 

 

850

 

 

(136,000

)

Strike Price $37, Expires
2/18/12

 

 

850

 

 

(76,500

)

Citigroup, Inc.:

 

 

 

 

 

 

 

Strike Price $29, Expires
2/18/12

 

 

300

 

 

(63,750

)

Strike Price $32, Expires
3/17/12

 

 

500

 

 

(59,500

)

Comcast Corp., Special Class A:

 

 

 

 

 

 

 

Strike Price $23.25, Expires
2/03/12

 

 

1,050

 

 

(235,200

)

Strike Price $25.70, Expires
3/12/12

 

 

2,240

 

 

(140,024

)

E.I. du Pont de Nemours & Co.:

 

 

 

 

 

 

 

Strike Price $46, Expires
2/18/12

 

 

430

 

 

(211,775

)

Strike Price $50, Expires
3/17/12

 

 

1,265

 

 

(232,128

)

Eli Lilly & Co.:

 

 

 

 

 

 

 

Strike Price $40, Expires
2/18/12

 

 

1,280

 

 

(55,040

)

Strike Price $40, Expires
4/21/12

 

 

1,250

 

 

(111,875

)

Emerson Electric Co., Strike Price
$50, Expires 2/18/12

 

 

845

 

 

(164,775

)

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Exchange-Traded Call Options (continued)

 

 

 

 

 

 

 

Ensco Plc — ADR, Strike Price
$52.50, Expires 3/17/12

 

 

790

 

$

(189,600

)

ExxonMobil Corp., Strike Price $85,
Expires 4/21/12

 

 

340

 

 

(68,170

)

Freeport-McMoRan Copper & Gold,
Inc., Strike Price $40, Expires
2/18/12

 

 

460

 

 

(295,550

)

General Electric Co.:

 

 

 

 

 

 

 

Strike Price $17.45, Expires
2/18/12

 

 

1,045

 

 

(132,051

)

Strike Price $19, Expires
3/17/12

 

 

520

 

 

(20,280

)

Strike Price $19, Expires
3/17/12

 

 

625

 

 

(94,375

)

General Mills, Inc., Strike Price $41,
Expires 2/18/12

 

 

460

 

 

(3,450

)

Halliburton Co., Strike Price $36,
Expires 2/18/12

 

 

385

 

 

(62,178

)

Home Depot, Inc., Strike Price $45,
Expires 3/17/12

 

 

2,320

 

 

(244,760

)

Honeywell International, Inc.:

 

 

 

 

 

 

 

Strike Price $55, Expires
2/18/12

 

 

720

 

 

(235,800

)

Strike Price $57.50, Expires
3/17/12

 

 

1,120

 

 

(217,280

)

Intel Corp., Strike Price $27, Expires
3/17/12

 

 

2,190

 

 

(94,170

)

International Business Machines
Corp., Strike Price $195, Expires
3/17/12

 

 

210

 

 

(63,105

)

Invesco Ltd., Strike Price $22.50,
Expires 3/17/12

 

 

290

 

 

(26,100

)

JPMorgan Chase & Co., Strike Price
$38, Expires 3/17/12

 

 

1,140

 

 

(139,650

)

Kraft Foods, Inc.:

 

 

 

 

 

 

 

Strike Price $37, Expires
2/18/12

 

 

680

 

 

(95,540

)

Strike Price $38, Expires
2/18/12

 

 

1,990

 

 

(118,405

)

Limited Brands, Inc., Strike Price
$40, Expires 2/18/12

 

 

1,700

 

 

(382,500

)

LSI Corp.:

 

 

 

 

 

 

 

Strike Price $6, Expires 2/18/12

 

 

1,200

 

 

(192,000

)

Strike Price $7, Expires 3/17/12

 

 

190

 

 

(14,250

)

Strike Price $8, Expires 3/17/12

 

 

2,180

 

 

(43,600

)

Marathon Oil Corp., Strike Price $33,
Expires 3/17/12

 

 

745

 

 

(42,837

)

Marathon Petroleum Corp., Strike
Price $40, Expires 3/17/12

 

 

385

 

 

(39,462

)

Maxim Integrated Products, Inc.,
Strike Price $28, Expires 3/17/12

 

 

3,900

 

 

(156,000

)

Medtronic, Inc., Strike Price $36,
Expires 2/18/12

 

 

1,625

 

 

(443,625

)

Merck & Co., Inc., Strike Price $39,
Expires 3/17/12

 

 

1,140

 

 

(59,280

)

MetLife, Inc., Strike Price $38,
Expires 3/17/12

 

 

960

 

 

(60,960

)

 

 

 

 

 

 

 

 

 

BLACKROCK ENHANCED CAPITAL AND INCOME FUND, INC.

JANUARY 31, 2012

2


 

 

 

 

Schedule of Investments (continued)

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Exchange-Traded Call Options (concluded)

 

 

 

 

 

 

 

Microsoft Corp.:

 

 

 

 

 

 

 

Strike Price $26, Expires
2/18/12

 

 

585

 

$

(207,675

)

Strike Price $19, Expires
3/17/12

 

 

1,140

 

 

(115,710

)

Strike Price $30, Expires
3/17/12

 

 

840

 

 

(39,480

)

NextEra Energy, Inc., Strike Price
$60, Expires 2/18/12

 

 

445

 

 

(25,587

)

Noble Corp.:

 

 

 

 

 

 

 

Strike Price $33, Expires
2/18/12

 

 

885

 

 

(187,178

)

Strike Price $35, Expires
3/17/12

 

 

840

 

 

(115,500

)

Nokia Oyj — ADR:

 

 

 

 

 

 

 

Strike Price $6, Expires 3/17/12

 

 

682

 

 

(5,797

)

Strike Price $6, Expires 4/21/12

 

 

682

 

 

(13,640

)

Northrop Grumman Corp., Strike
Price $62.50, Expires 3/17/12

 

 

1,075

 

 

(13,437

)

Nucor Corp.:

 

 

 

 

 

 

 

Strike Price $43, Expires
3/17/12

 

 

1,005

 

 

(251,753

)

Strike Price $43, Expires
4/21/12

 

 

125

 

 

(37,687

)

Pfizer, Inc.:

 

 

 

 

 

 

 

Strike Price $22, Expires
2/18/12

 

 

1,400

 

 

(9,100

)

Strike Price $21, Expires
3/17/12

 

 

1,370

 

 

(60,965

)

Raytheon Co., Strike Price $47,
Expires 2/18/12

 

 

1,285

 

 

(173,475

)

Southern Co., Strike Price $45,
Expires 2/18/12

 

 

880

 

 

(51,040

)

Time Warner, Inc.:

 

 

 

 

 

 

 

Strike Price $34, Expires
2/18/12

 

 

870

 

 

(278,400

)

Strike Price $35, Expires
2/18/12

 

 

870

 

 

(200,535

)

Strike Price $38, Expires
3/17/12

 

 

530

 

 

(34,980

)

Travelers Cos., Inc., Strike Price $60,
Expires 4/21/12

 

 

1,325

 

 

(142,438

)

Tyco International Ltd., Strike Price
$46, Expires 2/18/12

 

 

225

 

 

(111,375

)

Verizon Communications, Inc., Strike
Price $39, Expires 2/18/12

 

 

2,400

 

 

(16,800

)

Walt Disney Co., Strike Price $40,
Expires 2/18/12

 

 

700

 

 

(39,200

)

Wells Fargo & Co., Strike Price $31,
Expires 3/17/12

 

 

900

 

 

(33,300

)

 

 

 

 

 

 

(8,009,319

)

 

 

 

 

 

 

 

 

Options Written

 

Contracts

 

Value

 

Over-the-Counter Call Options — (0.2)%

 

 

 

 

 

 

 

AT&T, Inc., Strike Price $30.42,
Expires 2/15/12, Broker Morgan
Stanley & Co., Inc.

 

 

316,000

 

$

(7,835

)

Bristol-Myers Squibb Co., Strike Price
$35.25, Expires 3/05/12, Broker
Credit Suisse Securities (USA) LLC

 

 

236,000

 

 

(3,233

)

CenturyLink, Inc., Strike Price
$37.55, Expires 3/06/12, Broker
Morgan Stanley & Co., Inc.

 

 

197,000

 

 

(96,221

)

Chevron Corp., Strike Price $107.50,
Expires 3/13/13, Broker UBS

 

 

100,000

 

 

(91,888

)

Dominion Resources, Inc.:

 

 

 

 

 

 

 

Strike Price $50.69, Expires
2/13/12, Broker Goldman
Sachs & Co.

 

 

10,500

 

 

(2,815

)

Strike Price $51.22, Expires
2/29/12, Broker Goldman
Sachs & Co.

 

 

97,500

 

 

(29,321

)

ExxonMobil Corp., Strike Price
$88.53, Expires 3/23/12, Broker
Deutsche Bank Securities, Inc.

 

 

67,700

 

 

(30,001

)

General Mills, Inc.:

 

 

 

 

 

 

 

Strike Price $40.55, Expires
2/23/12 Broker Morgan
Stanley & Co., Inc.

 

 

94,000

 

 

(25,276

)

Strike Price $40.70, Expires
3/01/12 Broker Morgan
Stanley & Co., Inc.

 

 

85,000

 

 

(14,858

)

Halliburton Co., Strike Price $36.12,
Expires 3/05/12, Broker Morgan
Stanley & Co., Inc.

 

 

38,500

 

 

(75,262

)

Invesco Ltd.:

 

 

 

 

 

 

 

Strike Price $20.00, Expires
2/13/12 Broker Morgan
Stanley & Co., Inc.

 

 

72,000

 

 

(185,040

)

Strike Price $21.46, Expires
2/23/12 Broker Morgan
Stanley & Co., Inc.

 

 

95,500

 

 

(123,713

)

Johnson & Johnson, Strike Price
$65.50, Expires 3/13/12, Broker
Deutsche Bank Securities, Inc.

 

 

98,000

 

 

(116,646

)

Kimberly-Clark Corp., Strike Price
$74, Expires 3/13/12, Broker
Credit Suisse Securities (USA) LLC

 

 

150,000

 

 

(33,476

)

Kraft Foods, Inc., Strike Price
$37.78, Expires 2/23/12, Broker
Credit Suisse Securities (USA) LLC

 

 

133,000

 

 

(96,800

)

LSI Corp., Strike Price $6.34, Expires
2/13/12, Broker Goldman Sachs
& Co.

 

 

248,500

 

 

(305,920

)

Merck & Co., Inc., Strike Price
$35.96, Expires 2/03/12, Broker
Deutsche Bank Securities, Inc.

 

 

120,200

 

 

(276,941

)

Pfizer, Inc., Strike Price $21.59,
Expires 3/27/12, Broker Morgan
Stanley & Co., Inc.

 

 

225,000

 

 

(68,671

)

 

 

 

 

 

 

 

 

 

BLACKROCK ENHANCED CAPITAL AND INCOME FUND, INC.

JANUARY 31, 2012

3


 

 

 

 

Schedule of Investments (continued)

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

(Percentages shown are based on Net Assets)

 

 

 

 

 

 

 

 

 

 

Contracts

 

Value

 

Options Written

 

 

 

 

 

 

 

Over-the-Counter Call Options (concluded)

 

 

 

 

 

 

 

Public Service Enterprise Group, Inc.,
Strike Price $30.80, Expires
3/23/12, Broker Deutsche Bank
Securities, Inc.

 

 

51,000

 

$

(23,256

)

Southern Co., Strike Price $45.41,
Expires 4/10/12, Broker Goldman
Sachs & Co.

 

 

86,000

 

 

(53,621

)

Travelers Cos., Inc., Strike Price
$60.59, Expires 3/05/12, Broker
Bank of America NA

 

 

40,000

 

 

(11,627

)

Unilever NV - ADR:

 

 

 

 

 

 

 

Strike Price $34.75, Expires
2/13/12, Broker Morgan
Stanley & Co., Inc.

 

 

55,000

 

 

(6,527

)

Strike Price $33.20, Expires
3/26/12, Broker Morgan
Stanley & Co., Inc.

 

 

100,000

 

 

(88,291

)

 

 

 

 

 

 

(1,767,239

)

Total Options Written
(Premiums Received – $8,591,620) – (1.5)%

 

 

 

 

 

(9,776,558

)

Total Investments, Net of Outstanding Options Written
– 100.1%

 

 

 

 

 

631,322,136

 

Liabilities in Excess of Other Assets – (0.1)%

 

 

 

 

 

(395,756

)

Net Assets – 100.0%

 

 

 

 

$

630,926,380

 

 

 


*


As of January 31, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:


 

 

 

 

 

Tax cost

 

$

705,645,966

 

Gross unrealized appreciation

 

$

11,603,569

 

Gross unrealized depreciation

 

 

(76,150,841

)

Net unrealized depreciation

 

$

(64,547,272

)

 

 

(a)

All or a portion of security has been pledged/segregated as collateral in connection with outstanding options written.

 

(b)

Non-income producing security.

 

(c)

Investments in companies considered to be an affiliate of the Fund during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:


 

 

 

 

 

 

 

 

 

 

 

 

 

 

Affiliate

 

Shares
Held at
October 31,
2011

 

Net
Activity

 

Shares
Held at
January 31,
2012

 

Income

 

 

BlackRock Liquidity Funds, TempFund, Institutional Class

 

 

2,617,964

 

 

5,704,829

 

 

8,322,793

 

$

3,850

 

 

 

(d)

Represents the current yield as of report date.


 

Portfolio Abbreviation


 

 

ADR

American Depositary Receipts


 

 

 

•

For Fund 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 rating group indexes, and/or as defined by Fund management. These definitions may not apply for purposes of this report, which may combine such sector sub-classifications for reporting ease.

 

 

 

•

Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

 

 

 

•

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets and liabilities

 

 

 

 

•

Level 2 — other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, 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 circumstances, to the extent observable inputs are not available (including the Fund’s own assumptions used in determining the fair value of investments and derivative financial instruments)


 

 

 

 

 

 

 

 

 

BLACKROCK ENHANCED CAPITAL AND INCOME FUND, INC.

JANUARY 31, 2012

4


 

 

 

 

Schedule of Investments (concluded)

BlackRock Enhanced Capital and Income Fund, Inc. (CII)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative financial instruments and does not necessarily correspond to the Fund’s perceived risk of investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments and other significant accounting policies, please refer to the Fund’s most recent financial statements as contained in its annual report.

The following tables summarize the inputs used as of January 31, 2012 in determining the fair valuation of the Fund’s investments and derivative financial instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments:

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-Term Investments1

 

$

632,775,901

 

 

—

 

 

—

 

$

632,775,901

 

Short-Term Securities

 

 

8,322,793

 

 

—

 

 

—

 

 

8,322,793

 

Total

 

$

641,098,694

 

 

—

 

 

—

 

$

641,098,694

 

 

1

See above Schedule of Investments for values in each industry.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Valuation
Inputs

 

Level 1

 

Level 2

 

Level 3

 

Total

 

Derivative Financial Instruments2

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Equity Contracts

 

$

(7,402,097

)

$

(2,374,461

)

 

—

 

$

(9,776,558

)

 

 

 

 

2

Derivative financial instruments are options, which are shown at value.


 

 

 

 

 

 

 

 

 

BLACKROCK ENHANCED CAPITAL AND INCOME FUND, INC.

JANUARY 31, 2012

5

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.

 

 

 

BlackRock Enhanced Capital and Income Fund, Inc.
   
  By: /s/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Enhanced Capital and Income Fund, Inc.
   
  Date: March 23, 2012
   
  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/ John M. Perlowski  
    John M. Perlowski
    Chief Executive Officer (principal executive officer) of
    BlackRock Enhanced Capital and Income Fund, Inc.
   
  Date: March 23, 2012
   
  By: /s/ Neal J. Andrews  
    Neal J. Andrews
    Chief Financial Officer (principal financial officer) of
    BlackRock Enhanced Capital and Income Fund, Inc.
     
  Date: March 23, 2012