N-Q 1 b87605a1nvq.htm EATON VANCE ENHANCED EQUITY INCOME FUND Eaton Vance Enhanced Equity Income Fund
 
 
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-21614
Investment Company Act File Number
Eaton Vance Enhanced Equity 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)
September 30
Date of Fiscal Year End
June 30, 2011
Date of Reporting Period
 
 

 

 

Item 1. Schedule of Investments

 

 

Eaton Vance
Enhanced Equity Income Fund
June 30, 2011
 
PORTFOLIO OF INVESTMENTS (Unaudited)
 
Common Stocks — 98.2%(1)
 
                 
Security   Shares     Value  
Aerospace & Defense — 1.5%
               
United Technologies Corp. 
    92,989     $ 8,230,456  
                 
            $ 8,230,456  
                 
Automobiles — 1.2%
               
Ford Motor Co.(2)
    458,707     $ 6,325,570  
                 
            $ 6,325,570  
                 
Beverages — 4.2%
               
Coca-Cola Co. (The)
    196,464     $ 13,220,062  
PepsiCo, Inc. 
    130,241       9,172,874  
                 
            $ 22,392,936  
                 
Biotechnology — 0.9%
               
Celgene Corp.(2)
    80,341     $ 4,846,169  
                 
            $ 4,846,169  
                 
Capital Markets — 0.8%
               
Goldman Sachs Group, Inc. (The)
    33,334     $ 4,436,422  
                 
            $ 4,436,422  
                 
Chemicals — 1.5%
               
Monsanto Co. 
    110,206     $ 7,994,343  
                 
            $ 7,994,343  
                 
Commercial Banks — 3.4%
               
KeyCorp
    504,487     $ 4,202,377  
PNC Financial Services Group, Inc. 
    56,634       3,375,953  
Wells Fargo & Co. 
    368,604       10,343,028  
                 
            $ 17,921,358  
                 
Communications Equipment — 5.0%
               
Harris Corp. 
    116,546     $ 5,251,563  
JDS Uniphase Corp.(2)
    304,789       5,077,785  
QUALCOMM, Inc. 
    284,114       16,134,834  
                 
            $ 26,464,182  
                 
Computers & Peripherals — 3.9%
               
Apple, Inc.(2)
    62,113     $ 20,849,471  
                 
            $ 20,849,471  
                 
Construction & Engineering — 1.9%
               
Fluor Corp. 
    157,979     $ 10,214,922  
                 
            $ 10,214,922  
                 
Consumer Finance — 0.8%
               
American Express Co. 
    84,975     $ 4,393,208  
                 
            $ 4,393,208  
                 
Diversified Financial Services — 4.9%
               
Citigroup, Inc. 
    176,031     $ 7,329,931  
JPMorgan Chase & Co. 
    317,029       12,979,167  
Moody’s Corp. 
    154,502       5,925,152  
                 
            $ 26,234,250  
                 
 
1

 

                 
Security   Shares     Value  
Diversified Telecommunication Services — 2.9%
               
AT&T, Inc. 
    265,555     $ 8,341,082  
CenturyLink, Inc. 
    99,120       4,007,422  
Verizon Communications, Inc. 
    82,797       3,082,532  
                 
            $ 15,431,036  
                 
Electric Utilities — 0.9%
               
American Electric Power Co., Inc. 
    75,093     $ 2,829,504  
PPL Corp. 
    60,186       1,674,977  
                 
            $ 4,504,481  
                 
Electrical Equipment — 0.5%
               
Emerson Electric Co. 
    50,207     $ 2,824,144  
                 
            $ 2,824,144  
                 
Electronic Equipment, Instruments & Components — 1.4%
               
Corning, Inc. 
    406,248     $ 7,373,401  
                 
            $ 7,373,401  
                 
Energy Equipment & Services — 2.1%
               
Halliburton Co. 
    110,042     $ 5,612,142  
Schlumberger, Ltd. 
    66,385       5,735,664  
                 
            $ 11,347,806  
                 
Food & Staples Retailing — 1.0%
               
Costco Wholesale Corp. 
    66,602     $ 5,410,746  
                 
            $ 5,410,746  
                 
Health Care Equipment & Supplies — 3.4%
               
Covidien PLC
    74,584     $ 3,970,106  
St. Jude Medical, Inc. 
    191,856       9,147,694  
Varian Medical Systems, Inc.(2)
    69,933       4,896,709  
                 
            $ 18,014,509  
                 
Health Care Providers & Services — 7.0%
               
AmerisourceBergen Corp. 
    207,008     $ 8,570,131  
DaVita, Inc.(2)
    36,673       3,176,249  
Fresenius Medical Care AG & Co. KGaA ADR
    80,680       6,026,796  
HCA Holdings, Inc.(2)
    231,094       7,626,102  
UnitedHealth Group, Inc. 
    230,148       11,871,034  
                 
            $ 37,270,312  
                 
Hotels, Restaurants & Leisure — 1.8%
               
McDonald’s Corp. 
    113,550     $ 9,574,536  
                 
            $ 9,574,536  
                 
Household Products — 1.6%
               
Procter & Gamble Co. 
    132,541     $ 8,425,631  
                 
            $ 8,425,631  
                 
Industrial Conglomerates — 1.9%
               
General Electric Co. 
    548,560     $ 10,345,842  
                 
            $ 10,345,842  
                 
Insurance — 2.0%
               
Aflac, Inc. 
    58,053     $ 2,709,914  
Lincoln National Corp. 
    109,404       3,116,920  
MetLife, Inc. 
    112,652       4,942,043  
                 
            $ 10,768,877  
                 
 
2

 

                 
Security   Shares     Value  
Internet & Catalog Retail — 3.5%
               
Amazon.com, Inc.(2)
    45,233     $ 9,249,696  
Netflix, Inc.(2)
    15,114       3,970,297  
Priceline.com, Inc.(2)
    10,333       5,289,773  
                 
            $ 18,509,766  
                 
Internet Software & Services — 1.0%
               
Google, Inc., Class A(2)
    10,185     $ 5,157,480  
                 
            $ 5,157,480  
                 
IT Services — 4.4%
               
Accenture PLC, Class A
    193,047     $ 11,663,900  
International Business Machines Corp. 
    67,277       11,541,369  
                 
            $ 23,205,269  
                 
Life Sciences Tools & Services — 0.5%
               
Thermo Fisher Scientific, Inc.(2)
    41,607     $ 2,679,075  
                 
            $ 2,679,075  
                 
Machinery — 4.3%
               
Danaher Corp. 
    202,200     $ 10,714,578  
Illinois Tool Works, Inc. 
    215,126       12,152,468  
                 
            $ 22,867,046  
                 
Media — 1.5%
               
Comcast Corp., Class A
    314,293     $ 7,964,185  
                 
            $ 7,964,185  
                 
Metals & Mining — 2.0%
               
Cliffs Natural Resources, Inc. 
    48,819     $ 4,513,316  
Freeport-McMoRan Copper & Gold, Inc. 
    82,740       4,376,946  
Goldcorp, Inc. 
    38,488       1,857,816  
                 
            $ 10,748,078  
                 
Multi-Utilities — 0.9%
               
PG&E Corp. 
    114,874     $ 4,828,154  
                 
            $ 4,828,154  
                 
Multiline Retail — 0.8%
               
Macy’s, Inc. 
    150,719     $ 4,407,024  
                 
            $ 4,407,024  
                 
Oil, Gas & Consumable Fuels — 10.1%
               
Alpha Natural Resources, Inc.(2)
    63,558     $ 2,888,076  
Apache Corp. 
    46,582       5,747,753  
Brigham Exploration Co.(2)
    38,456       1,150,988  
ConocoPhillips
    119,001       8,947,685  
Exxon Mobil Corp. 
    197,344       16,059,855  
Hess Corp. 
    88,191       6,593,159  
Occidental Petroleum Corp. 
    41,836       4,352,617  
Peabody Energy Corp. 
    46,061       2,713,453  
Southwestern Energy Co.(2)
    118,662       5,088,227  
                 
            $ 53,541,813  
                 
Personal Products — 1.7%
               
Estee Lauder Cos., Inc. (The), Class A
    85,165     $ 8,958,506  
                 
            $ 8,958,506  
                 
Pharmaceuticals — 2.3%
               
Johnson & Johnson
    45,559     $ 3,030,584  
Pfizer, Inc. 
    437,518       9,012,871  
                 
            $ 12,043,455  
                 
 
3

 

                 
Security   Shares     Value  
Real Estate Investment Trusts (REITs) — 1.1%
               
AvalonBay Communities, Inc. 
    26,090     $ 3,349,956  
Boston Properties, Inc. 
    24,157       2,564,507  
                 
            $ 5,914,463  
                 
Software — 3.2%
               
Microsoft Corp. 
    213,784     $ 5,558,384  
Oracle Corp. 
    351,686       11,573,986  
                 
            $ 17,132,370  
                 
Specialty Retail — 0.7%
               
Home Depot, Inc. 
    109,073     $ 3,950,624  
                 
            $ 3,950,624  
                 
Textiles, Apparel & Luxury Goods — 1.1%
               
NIKE, Inc., Class B
    63,666     $ 5,728,667  
                 
            $ 5,728,667  
                 
Tobacco — 1.8%
               
Philip Morris International, Inc. 
    141,826     $ 9,469,722  
                 
            $ 9,469,722  
                 
Wireless Telecommunication Services — 0.8%
               
American Tower Corp., Class A(2)
    77,140     $ 4,036,736  
                 
            $ ,036,736  
                 
                 
Total Common Stocks
(identified cost $432,188,977)
          $ 522,737,041  
                 
 
Short-Term Investments — 3.1%
 
                 
    Interest
 		       
Description   (000’s omitted)     Value  
Eaton Vance Cash Reserves Fund, LLC, 0.11%(3)
  $ 16,183     $ 16,183,249  
                 
                 
Total Short-Term Investments
(identified cost $16,183,249)
          $ 16,183,249  
                 
                 
Total Investments — 101.3%
(identified cost $448,372,226)
          $ 538,920,290  
                 
 
Covered Call Options Written — (1.3)%
 
                             
    Number
 		  Strike
 		    Expiration
 		     
Security   of Contracts   Price     Date   Value  
Accenture PLC, Class A
    685     $ 57.50     7/16/11   $ (215,775 )
Aflac, Inc. 
    410       50.00     7/16/11     (2,050 )
Alpha Natural Resources, Inc. 
    510       47.00     8/20/11     (104,550 )
Amazon.com, Inc. 
    180       205.00     7/16/11     (73,350 )
American Electric Power Co., Inc. 
    375       38.00     8/20/11     (20,625 )
American Express Co. 
    425       52.50     7/16/11     (21,250 )
American Tower Corp., Class A
    390       55.00     7/16/11     (4,875 )
AmerisourceBergen Corp. 
    880       42.00     7/16/11     (24,200 )
Apache Corp. 
    235       120.00     8/20/11     (154,513 )
Apple, Inc. 
    250       345.00     7/16/11     (42,125 )
Apple, Inc. 
    250       330.00     8/20/11     (400,000 )
AT&T, Inc. 
    1,330       31.00     7/16/11     (59,850 )
AvalonBay Communities, Inc. 
    130       135.00     8/20/11     (24,700 )
Boston Properties, Inc. 
    125       105.00     8/20/11     (54,375 )
Brigham Exploration Co. 
    195       27.00     8/20/11     (73,125 )
Celgene Corp. 
    405       60.00     8/20/11     (96,998 )
CenturyLink, Inc. 
    520       44.00     7/16/11     (1,300 )
 
4

 

                             
    Number
 		  Strike
 		    Expiration
 		     
Security   of Contracts   Price     Date   Value  
Citigroup, Inc. 
    880     $ 40.00     8/20/11   $ (248,600 )
Cliffs Natural Resources, Inc. 
    345       87.50     7/16/11     (196,650 )
Coca-Cola Co. (The)
    665       67.50     7/16/11     (38,570 )
Comcast Corp., Class A
    1,575       26.00     7/16/11     (17,325 )
ConocoPhillips
    385       75.00     7/16/11     (48,702 )
Corning, Inc. 
    1,365       20.00     7/16/11     (1,365 )
Costco Wholesale Corp. 
    335       82.50     8/20/11     (49,915 )
Covidien PLC
    340       55.00     7/16/11     (6,800 )
Danaher Corp. 
    1,015       52.50     7/16/11     (111,650 )
DaVita, Inc. 
    260       85.00     7/16/11     (56,550 )
Emerson Electric Co. 
    502       55.00     7/16/11     (81,575 )
Estee Lauder Cos., Inc. (The), Class A
    430       100.00     8/20/11     (331,100 )
Exxon Mobil Corp. 
    990       82.50     7/16/11     (47,025 )
Fluor Corp. 
    630       70.00     7/16/11     (4,725 )
Ford Motor Co. 
    3,670       14.00     8/20/11     (190,840 )
Freeport-McMoRan Copper & Gold, Inc. 
    270       50.00     7/16/11     (89,775 )
Freeport-McMoRan Copper & Gold, Inc. 
    395       52.00     8/20/11     (129,363 )
Fresenius Medical Care AG & Co. KGaA ADR
    405       75.00     8/20/11     (103,275 )
General Electric Co. 
    2,070       21.00     7/16/11     (1,035 )
General Electric Co. 
    2,320       19.00     8/20/11     (121,800 )
Goldcorp, Inc. 
    270       52.50     7/16/11     (2,430 )
Goldman Sachs Group, Inc. (The)
    285       140.00     7/16/11     (11,685 )
Google, Inc., Class A
    75       550.00     7/16/11     (9,187 )
Halliburton Co. 
    770       48.00     7/16/11     (254,100 )
HCA Holdings, Inc. 
    1,620       35.00     7/16/11     (20,250 )
Hess Corp. 
    620       80.00     7/16/11     (11,160 )
Home Depot, Inc. 
    545       35.00     8/20/11     (105,458 )
Illinois Tool Works, Inc. 
    430       57.50     7/16/11     (15,050 )
International Business Machines Corp. 
    265       175.00     7/16/11     (11,792 )
International Business Machines Corp. 
    275       170.00     8/20/11     (130,625 )
JDS Uniphase Corp. 
    440       20.00     7/16/11     (660 )
JDS Uniphase Corp. 
    2,000       17.00     8/20/11     (199,000 )
Johnson & Johnson
    230       67.50     8/20/11     (21,275 )
JPMorgan Chase & Co. 
    1,250       43.00     7/16/11     (19,375 )
JPMorgan Chase & Co. 
    1,290       42.00     8/20/11     (122,550 )
Lincoln National Corp. 
    550       29.00     7/16/11     (20,625 )
Macy’s, Inc. 
    520       29.00     7/16/11     (42,900 )
McDonald’s Corp. 
    565       82.50     7/16/11     (116,673 )
MetLife, Inc. 
    790       45.00     7/16/11     (24,095 )
Microsoft Corp. 
    1,070       25.00     8/20/11     (148,195 )
Monsanto Co. 
    775       70.00     7/16/11     (223,200 )
Moody’s Corp. 
    360       38.00     7/16/11     (36,540 )
Netflix, Inc. 
    80       255.00     8/20/11     (168,000 )
NIKE, Inc., Class B
    500       85.00     8/20/11     (313,750 )
Occidental Petroleum Corp. 
    210       105.00     8/20/11     (78,750 )
Oracle Corp. 
    1,270       34.00     7/16/11     (15,875 )
Oracle Corp. 
    1,545       34.00     9/17/11     (149,865 )
Peabody Energy Corp. 
    230       60.00     8/20/11     (55,545 )
PepsiCo, Inc. 
    655       72.50     7/16/11     (5,895 )
Pfizer, Inc. 
    2,190       21.00     7/16/11     (27,375 )
Philip Morris International, Inc. 
    710       70.00     9/17/11     (57,155 )
PNC Financial Services Group, Inc. 
    400       65.00     8/20/11     (13,400 )
PPL Corp. 
    305       28.00     8/20/11     (18,300 )
Priceline.com, Inc. 
    45       530.00     7/16/11     (17,100 )
Procter & Gamble Co. 
    665       65.00     8/20/11     (34,912 )
QUALCOMM, Inc. 
    1,345       57.50     7/16/11     (74,648 )
Schlumberger, Ltd. 
    465       85.00     7/16/11     (118,110 )
Southwestern Energy Co. 
    595       42.00     8/20/11     (138,635 )
St. Jude Medical, Inc. 
    1,345       52.50     7/16/11     (10,087 )
Thermo Fisher Scientific, Inc. 
    210       65.00     7/16/11     (15,750 )
United Technologies Corp. 
    465       87.50     8/20/11     (141,825 )
 
5

 

                             
    Number
 		  Strike
 		    Expiration
 		     
Security   of Contracts   Price     Date   Value  
UnitedHealth Group, Inc. 
    1,155     $ 50.00     7/16/11   $ (228,690 )
Varian Medical Systems, Inc. 
    490       70.00     7/16/11     (47,775 )
Verizon Communications, Inc. 
    580       38.00     7/16/11     (4,640 )
Wells Fargo & Co. 
    735       28.00     7/16/11     (41,895 )
Wells Fargo & Co. 
    1,110       28.00     8/20/11     (123,210 )
                         
         
Total Covered Call Options Written
(premiums received $7,151,397)
 
$ 		(6,698,313 )
         
         
Other Assets, Less Liabilities 0.0%(4)
  $ 119,699  
         
         
Net Assets — 100.0%
  $ 532,341,676  
         
 
             
The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
         
ADR
  -   American Depositary Receipt
         
(1)
      A portion of each applicable common stock for which a written call option is outstanding at June 30, 2011 has been pledged as collateral for such written option.
         
(2)
      Non-income producing security.
         
(3)
      Affiliated investment company available to Eaton Vance portfolios and funds which invests in high quality, U.S. dollar denominated money market instruments. The rate shown is the annualized seven-day yield as of June 30, 2011. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended June 30, 2011 was $15,254.
         
(4)
      Amount is less than 0.05%.
 
The cost and unrealized appreciation (depreciation) of investments of the Fund at June 30, 2011, as determined on a federal income tax basis, were as follows:
 
         
Aggregate cost
  $ 450,383,542  
         
Gross unrealized appreciation
  $ 93,085,793  
Gross unrealized depreciation
    (4,549,045 )
         
Net unrealized appreciation
  $ 88,536,748  
         
 
Written call options activity for the fiscal year to date ended June 30, 2011 was as follows:
 
                 
    Number
 		    Premiums
 		 
    of Contracts     Received  
Outstanding, beginning of period
    89,697     $ 13,017,697  
Options written
    265,560       33,467,289  
Options terminated in closing purchase transactions
    (198,858 )     (26,231,825 )
Options exercised
    (7,140 )     (1,241,276 )
Options expired
    (90,822 )     (11,860,488 )
                 
Outstanding, end of period
    58,437     $ 7,151,397  
                 
 
At June 30, 2011, 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 writes covered call options on individual stocks above the current value of the stock to generate premium income. In writing call options on individual stocks, the Fund in effect, sells potential appreciation in the value of the applicable stock 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 stock decline below the exercise price. The Fund is not subject to counterparty credit risk with respect to its written options as the Fund, not the counterparty, is obligated to perform under such derivatives.
 
At June 30, 2011, 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 $6,698,313.
 
6

 

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.
 
  •   Level 1 — quoted prices in active markets for identical investments
 
  •   Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
 
  •   Level 3 — significant unobservable inputs (including a fund’s own assumptions in determining the fair value of investments)
 
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
 
At June 30, 2011, the hierarchy of inputs used in valuing the Fund’s investments, which are carried at value, were as follows:
 
                                 
Asset Description   Level 1     Level 2     Level 3     Total  
   
Common Stocks
                               
Consumer Discretionary
  $ 56,460,370     $ —     $ —     $ 56,460,370  
Consumer Staples
    54,657,542       —       —       54,657,542  
Energy
    64,889,619       —       —       64,889,619  
Financials
    69,668,577       —       —       69,668,577  
Health Care
    74,853,520       —       —       74,853,520  
Industrials
    54,482,410       —       —       54,482,410  
Information Technology
    100,182,173       —       —       100,182,173  
Materials
    18,742,422       —       —       18,742,422  
Telecommunication Services
    19,467,773       —       —       19,467,773  
Utilities
    9,332,635       —       —       9,332,635  
 
 
Total Common Stocks
  $ 522,737,041     $ —     $ —     $ 522,737,041  
 
 
Short-Term Investments
  $ —     $ 16,183,249     $ —     $ 16,183,249  
 
 
Total Investments
  $ 522,737,041     $ 16,183,249     $ —     $ 538,920,290  
 
 
                                 
Liability Description                        
   
Covered Call Options Written
  $ (6,698,313 )   $ —     $ —     $ (6,698,313 )
 
 
Total
  $ (6,698,313 )   $ —     $ —     $ (6,698,313 )
 
 
 
The Fund held no investments or other financial instruments as of September 30, 2010 whose fair value was determined using Level 3 inputs. At June 30, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the fiscal year to date then ended was not significant.
 
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.
 
7

 

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 Enhanced Equity Income Fund
         
By:
  /s/ Walter A. Row, III    
 
       
 
  Walter A. Row, III    
 
  President    
 
        
Date:
  August 25, 2011    
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/ Walter A. Row, III    
 
       
 
  Walter A. Row, III    
 
  President    
 
        
Date:
  August 25, 2011    
 
        
By:
  /s/ Barbara E. Campbell    
 
       
 
  Barbara E. Campbell    
 
  Treasurer    
 
        
Date:
  August 25, 2011