UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

811-21676
Investment Company Act File Number

Eaton Vance Tax-Managed Buy-Write Income Fund

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)

Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)

(617) 482-8260
(Registrant’s Telephone Number, Including Area Code)

December 31
Date of Fiscal Year End

September 30, 2010
Date of Reporting Period

 

 

Item 1. Schedule of Investments

 

PORTFOLIO OF INVESTMENTS (Unaudited)

 

Common Stocks — 102.4%

 

 

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5

 

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Call Options Written — (2.6)%

 

 

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The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2010, as determined on a federal income tax basis, were as follows:

 

Aggregate cost		$	310,009,887
Gross unrealized appreciation		$	65,392,661
Gross unrealized depreciation			(9,090,510	)
Net unrealized appreciation		$	56,302,151

 

Written call options activity for the fiscal year to date ended September 30, 2010 was as follows:

 

		Number				Premiums
		of Contracts				Received
Outstanding, beginning of period			3,368			$	4,528,478
Options written			29,065				52,173,751
Options terminated in closing purchase transactions			(26,883	)			(43,141,915	)
Options expired			(2,420	)			(5,975,527	)
Outstanding, end of period			3,130			$	7,584,787

 

All of the assets of the Fund are subject to segregation to satisfy the requirements of the escrow agent. At September 30, 2010, the Fund had sufficient cash and/or securities to cover commitments under these contracts.

 

The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund generally intends to write index call options above the current value of the index to generate premium income. In writing index call options, the Fund in effect, sells potential appreciation in the value of the applicable index above the exercise price in exchange for the option premium received. The Fund retains the risk of loss, minus the premium received, should the price of the underlying index decline.

 

At September 30, 2010, the aggregate fair value of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) in a liability position and whose primary underlying risk exposure is equity price risk was $9,378,350.

 

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

 

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

At September 30, 2010, the inputs used in valuing the Fund’s investments, which are carried at value, were as follows:

 

		Quoted Prices in
		Active Markets for				Significant Other				Significant
		Identical Assets				Observable Inputs				Unobservable Inputs
Asset Description		(Level 1)				(Level 2)				(Level 3)				Total
Common Stocks		$	366,312,038			$	—			$	—			$	366,312,038
Total Investments		$	366,312,038			$	—			$	—			$	366,312,038
Liability Description
Call Options Written		$	(9,378,350	)		$	—			$	—			$	(9,378,350	)
Total		$	(9,378,350	)		$	—			$	—			$	(9,378,350	)

 

The level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

 

The Fund held no investments or other financial instruments as of December 31, 2009 whose fair value was determined using Level 3 inputs.

 

For information on the Fund’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Fund’s most recent financial statements included in its semiannual or annual report to shareholders.

 

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Item 2. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant on this Form N-Q has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant on this Form N-Q has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the fiscal quarter for which the report is being filed that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting.

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Eaton Vance Tax-Managed Buy-Write Income Fund

Date: November 24, 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.

Date: November 24, 2010

Date: November 24, 2010