N-Q 1 d93220dnq.htm EATON VANCE ENHANCED EQUITY INCOME FUND II Eaton Vance Enhanced Equity Income Fund II

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-21670

Investment Company Act File Number

Eaton Vance Enhanced Equity Income Fund II

(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, 2015

Date of Reporting Period

 

 

 


Item 1. Schedule of Investments


Eaton Vance

Enhanced Equity Income Fund II

September 30, 2015

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 100.4%(1)

 

                                                 
Security    Shares      Value  

Aerospace & Defense — 3.5%

     

Boeing Co. (The)

     29,967       $ 3,924,179   

Raytheon Co.

     52,010         5,682,612   

Spirit AeroSystems Holdings, Inc., Class A(2)

     135,158         6,533,538   

United Technologies Corp.

     74,636         6,641,858   
     

 

 

 
      $ 22,782,187   
     

 

 

 

Banks — 2.3%

     

Citigroup, Inc.

     134,103       $ 6,652,850   

PNC Financial Services Group, Inc. (The)

     36,483         3,254,284   

Wells Fargo & Co.

     103,355         5,307,279   
     

 

 

 
      $ 15,214,413   
     

 

 

 

Beverages — 3.4%

     

Constellation Brands, Inc., Class A

     85,053       $ 10,649,486   

PepsiCo, Inc.

     120,897         11,400,587   
     

 

 

 
      $ 22,050,073   
     

 

 

 

Biotechnology — 8.3%

     

Biogen, Inc.(2)

     18,492       $ 5,396,150   

Celgene Corp.(2)

     165,321         17,882,773   

Gilead Sciences, Inc.

     202,163         19,850,385   

Incyte Corp.(2)

     39,439         4,351,305   

Vertex Pharmaceuticals, Inc.(2)

     64,856         6,754,104   
     

 

 

 
      $ 54,234,717   
     

 

 

 

Building Products — 0.8%

     

Fortune Brands Home & Security, Inc.

     109,067       $ 5,177,410   
     

 

 

 
      $ 5,177,410   
     

 

 

 

Capital Markets — 2.1%

     

Charles Schwab Corp. (The)

     243,622       $ 6,957,844   

Invesco, Ltd.

     206,491         6,448,714   
     

 

 

 
      $ 13,406,558   
     

 

 

 

Chemicals — 0.8%

     

Monsanto Co.

     60,978       $ 5,203,863   
     

 

 

 
      $ 5,203,863   
     

 

 

 

Communications Equipment — 0.7%

     

Palo Alto Networks, Inc.(2)

     28,048       $ 4,824,256   
     

 

 

 
      $ 4,824,256   
     

 

 

 

Diversified Financial Services — 1.1%

  

McGraw Hill Financial, Inc.

     83,571       $ 7,228,892   
     

 

 

 
      $ 7,228,892   
     

 

 

 

Food & Staples Retailing — 1.7%

     

Sprouts Farmers Market, Inc.(2)

     524,604       $ 11,069,144   
     

 

 

 
      $ 11,069,144   
     

 

 

 

Food Products — 3.4%

     

Hain Celestial Group, Inc. (The)(2)

     123,737       $ 6,384,829   

Mondelez International, Inc., Class A

     269,576         11,287,147   

WhiteWave Foods Co. (The), Class A(2)

     103,745         4,165,362   
     

 

 

 
      $ 21,837,338   
     

 

 

 

 

 

1

 

 


                                                 
Security    Shares      Value  

Health Care Equipment & Supplies — 4.5%

     

Cooper Cos., Inc. (The)

     48,591       $ 7,233,256   

Medtronic PLC

     222,479         14,892,745   

Zimmer Biomet Holdings, Inc.

     72,584         6,817,815   
     

 

 

 
      $ 28,943,816   
     

 

 

 

Health Care Providers & Services — 1.4%

     

Amsurg Corp.(2)

     116,545       $ 9,056,712   
     

 

 

 
      $ 9,056,712   
     

 

 

 

Hotels, Restaurants & Leisure — 2.4%

     

Chipotle Mexican Grill, Inc.(2)

     6,657       $ 4,794,704   

Starbucks Corp.

     194,995         11,083,516   
     

 

 

 
      $ 15,878,220   
     

 

 

 

Internet & Catalog Retail — 6.8%

     

Amazon.com, Inc.(2)

     57,337       $ 29,350,237   

Priceline Group, Inc. (The)(2)

     11,986         14,825,004   
     

 

 

 
      $ 44,175,241   
     

 

 

 

Internet Software & Services — 11.0%

     

Facebook, Inc., Class A(2)

     274,098       $ 24,641,410   

Google, Inc., Class C(2)

     68,577         41,723,619   

Twitter, Inc.(2)

     183,750         4,950,225   
     

 

 

 
      $ 71,315,254   
     

 

 

 

IT Services — 4.3%

     

Fiserv, Inc.(2)

     84,670       $ 7,333,269   

Visa, Inc., Class A

     296,228         20,635,242   
     

 

 

 
      $ 27,968,511   
     

 

 

 

Leisure Products — 1.8%

  

Brunswick Corp.

     239,745       $ 11,481,388   
     

 

 

 
      $ 11,481,388   
     

 

 

 

Machinery — 0.5%

     

Toro Co. (The)

     47,699       $ 3,364,687   
     

 

 

 
      $ 3,364,687   
     

 

 

 

Media — 2.9%

     

Comcast Corp., Class A

     95,458       $ 5,429,651   

Walt Disney Co. (The)

     132,545         13,546,099   
     

 

 

 
      $ 18,975,750   
     

 

 

 

Multiline Retail — 1.6%

     

Dollar General Corp.

     144,955       $ 10,500,540   
     

 

 

 
      $ 10,500,540   
     

 

 

 

Oil, Gas & Consumable Fuels — 0.4%

     

EOG Resources, Inc.

     34,741       $ 2,529,145   
     

 

 

 
      $ 2,529,145   
     

 

 

 

Personal Products — 1.1%

     

Estee Lauder Cos., Inc. (The), Class A

     91,359       $ 7,370,844   
     

 

 

 
      $ 7,370,844   
     

 

 

 

Pharmaceuticals — 4.4%

     

Bristol-Myers Squibb Co.

     223,655       $ 13,240,376   

Perrigo Co. PLC

     96,305         15,145,887   
     

 

 

 
      $ 28,386,263   
     

 

 

 

Road & Rail — 2.3%

     

Genesee & Wyoming, Inc., Class A(2)

     82,999       $ 4,903,581   

Union Pacific Corp.

     114,224         10,098,544   
     

 

 

 
      $ 15,002,125   
     

 

 

 

 

 

2

 

 


                                                 
Security    Shares      Value  

Semiconductors & Semiconductor Equipment — 4.6%

     

Avago Technologies, Ltd.

     95,527       $ 11,941,830   

NXP Semiconductors NV(2)

     128,437         11,183,010   

Texas Instruments, Inc.

     135,586         6,714,219   
     

 

 

 
      $ 29,839,059   
     

 

 

 

Software — 5.5%

     

Microsoft Corp.

     222,060       $ 9,828,376   

salesforce.com, Inc.(2)

     185,366         12,869,961   

Tableau Software, Inc., Class A(2)

     98,203         7,834,635   

VMware, Inc., Class A(2)

     69,976         5,513,409   
     

 

 

 
      $ 36,046,381   
     

 

 

 

Specialty Retail — 7.1%

  

Advance Auto Parts, Inc.

     37,375       $ 7,083,684   

Home Depot, Inc. (The)

     153,065         17,677,477   

Restoration Hardware Holdings, Inc.(2)

     70,169         6,547,469   

Signet Jewelers, Ltd.

     59,211         8,060,393   

TJX Cos., Inc. (The)

     92,462         6,603,636   
     

 

 

 
      $ 45,972,659   
     

 

 

 

Technology Hardware, Storage & Peripherals — 7.5%

     

Apple, Inc.

     375,500       $ 41,417,650   

EMC Corp.

     317,338         7,666,886   
     

 

 

 
      $ 49,084,536   
     

 

 

 

Textiles, Apparel & Luxury Goods — 2.2%

     

NIKE, Inc., Class B

     115,696       $ 14,227,137   
     

 

 

 
      $ 14,227,137   
     

 

 

 

Total Common Stocks
(identified cost $564,629,059)

      $ 653,147,119   
     

 

 

 

Short-Term Investments — 0.9%

     
Description    Interest
(000’s omitted)
     Value  

Eaton Vance Cash Reserves Fund, LLC, 0.23%(3)

   $ 5,556       $ 5,556,232   
     

 

 

 

Total Short-Term Investments
(identified cost $5,556,232)

      $ 5,556,232   
     

 

 

 

Total Investments — 101.3%
(identified cost $570,185,291)

      $ 658,703,351   
     

 

 

 

Covered Call Options Written — (0.2)%

     

 

                                                                                                   
Security   

Number of

Contracts

    

Strike

Price

    

Expiration

Date

     Value  

Amazon.com, Inc.

     285       $ 545.00         10/2/15       $ (2,137

Amsurg Corp.

     415         95.00         11/20/15         (11,413

Apple, Inc.

     1,875         120.00         10/23/15         (70,313

Avago Technologies, Ltd.

     475         135.00         10/16/15         (53,438

Biogen, Inc.

     90         327.50         10/2/15         (450

Boeing Co. (The)

     145         137.00         10/2/15         (290

Bristol-Myers Squibb Co.

     1,115         65.50         10/30/15         (70,803

Celgene Corp.

     825         131.00         10/2/15         (2,062

Charles Schwab Corp. (The)

     1,215         33.00         10/16/15         (6,075

Chipotle Mexican Grill, Inc.

     30         752.50         10/2/15         (150

Citigroup, Inc.

     670         56.00         10/2/15         (2,345

Comcast Corp., Class A

     475         59.50         10/23/15         (19,475

 

3

 

 


                                                                                                   
Security   

Number of

Contracts

    

Strike

Price

    

Expiration

Date

     Value  

Constellation Brands, Inc., Class A

     425       $ 135.00         10/16/15       $ (17,000

Cooper Cos., Inc. (The)

     240         180.00         10/16/15         (6,000

Dollar General Corp.

     720         79.50         10/2/15         (18,000

EMC Corp.

     1,585         26.50         10/2/15         (11,888

EOG Resources, Inc.

     170         81.00         10/23/15         (10,285

Estee Lauder Cos., Inc. (The), Class A

     455         85.00         10/16/15         (7,962

Facebook, Inc., Class A

     1,370         95.00         10/9/15         (34,935

Fortune Brands Home & Security, Inc.

     395         55.00         11/20/15         (11,850

Genesee & Wyoming, Inc., Class A

     410         70.00         10/16/15         (10,250

Gilead Sciences, Inc.

     700         114.00         10/2/15         (5,250

Google, Inc., Class C

     340         662.50         10/2/15         (5,100

Hain Celestial Group, Inc. (The)

     615         65.00         10/16/15         (3,075

Home Depot, Inc. (The)

     765         122.00         10/30/15         (45,900

Invesco, Ltd.

     1,030         35.00         11/20/15         (25,750

McGraw Hill Financial, Inc.

     415         105.00         10/16/15         (1,037

Medtronic PLC

     1,110         73.00         10/23/15         (19,980

Microsoft Corp.

     1,110         46.00         10/23/15         (64,380

Mondelez International, Inc., Class A

     1,200         46.00         11/20/15         (61,800

NIKE, Inc., Class B

     575         129.00         11/6/15         (72,450

NXP Semiconductors NV

     640         92.50         10/16/15         (73,600

Palo Alto Networks, Inc.

     140         182.50         10/9/15         (15,050

PepsiCo, Inc.

     480         96.50         10/23/15         (39,120

PNC Financial Services Group, Inc. (The)

     180         92.50         11/20/15         (28,710

Priceline Group, Inc. (The)

     65         1,345.00         10/16/15         (15,438

Raytheon Co.

     260         110.00         11/20/15         (79,300

Restoration Hardware Holdings, Inc.

     350         105.00         10/16/15         (3,500

Signet Jewelers, Ltd.

     295         145.00         10/16/15         (8,850

Spirit AeroSystems Holdings, Inc., Class A

     675         55.00         10/16/15         (8,437

Starbucks Corp.

     970         58.50         10/2/15         (3,395

Tableau Software, Inc., Class A

     490         104.00         10/9/15         (12,250

Texas Instruments, Inc.

     675         50.50         10/9/15         (30,713

TJX Cos., Inc. (The)

     460         77.50         11/20/15         (28,750

Twitter, Inc.

     915         31.00         10/9/15         (6,862

Union Pacific Corp.

     570         88.50         10/2/15         (40,185

United Technologies Corp.

     370         93.00         11/6/15         (41,625

Vertex Pharmaceuticals, Inc.

     230         141.00         10/9/15         (5,750

Visa, Inc., Class A

     1,480         75.50         10/2/15         (1,480

VMware, Inc., Class A

     345         89.00         10/2/15         (8,625

Walt Disney Co. (The)

     620         108.00         10/2/15         (1,240

Wells Fargo & Co.

     515         54.00         10/30/15         (22,403

WhiteWave Foods Co. (The), Class A

     515         50.00         10/16/15         (6,437
           

 

 

 

Total Covered Call Options Written
(premiums received $4,307,447)

            $ (1,153,563
           

 

 

 

Other Assets, Less Liabilities — (1.1)%

            $ (7,165,879
           

 

 

 

Net Assets — 100.0%

  

   $ 650,383,909   
           

 

 

 

The percentage shown for each investment category in the Portfolio of Investments is based on net assets.

 

(1) A portion of each applicable common stock for which a written call option is outstanding at September 30, 2015 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 September 30, 2015. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended September 30, 2015 was $8,919.

 

4

 

 


Written options activity for the fiscal year to date ended September 30, 2015 was as follows:

 

     Number of
Contracts
     Premiums
Received
 
Outstanding, beginning of period      40,542       $ 3,705,852   
Options written      267,268         29,241,222   
Options terminated in closing purchase transactions      (110,395      (11,924,971
Options expired      (164,930      (16,714,656
  

 

 

    

 

 

 
Outstanding, end of period      32,485       $     4,307,447   
  

 

 

    

 

 

 

At September 30, 2015, 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.

At September 30, 2015, the aggregate fair value of open 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 $1,153,563.

The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2015, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

   $     570,184,241   
  

 

 

 

Gross unrealized appreciation

   $ 119,897,292   

Gross unrealized depreciation

     (31,378,182
  

 

 

 

Net unrealized appreciation

   $ 88,519,110   
  

 

 

 

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 September 30, 2015, the hierarchy of inputs used in valuing the Fund’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description    Level 1      Level 2      Level 3      Total  

Common Stocks

   $ 653,147,119    $       $       $ 653,147,119   

Short-Term Investments

             5,556,232                 5,556,232   

Total Investments

   $     653,147,119       $     5,556,232       $     —       $     658,703,351   
Liability Description                                

Covered Call Options Written

   $ (1,153,563    $       $       $ (1,153,563

Total

   $ (1,153,563    $       $       $ (1,153,563

 

* 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, 2014 whose fair value was determined using Level 3 inputs. At September 30, 2015, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.

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.

 

5

 

 


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 II

 

By:   /s/ Michael A. Allison
  Michael A. Allison
  President
Date:   November 23, 2015

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/ Michael A. Allison
  Michael A. Allison
  President
Date:   November 23, 2015

 

By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   November 23, 2015