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, 2013

Date of Reporting Period

 

 

 

Item 1. Schedule of Investments

Eaton Vance

Enhanced Equity Income Fund II

September 30, 2013

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 99.8%(1)

 

                                                 
Security    Shares      Value  

Aerospace & Defense — 4.3%

      

Boeing Co. (The)

      116,744       $ 13,717,420   

United Technologies Corp.

      121,805         13,133,015   
     

 

 

  
      $ 26,850,435   
     

 

 

  

Air Freight & Logistics — 1.0%

      

United Parcel Service, Inc., Class B

      71,449       $ 6,528,295   
     

 

 

  
      $ 6,528,295   
     

 

 

  

Auto Components — 1.4%

      

Dana Holding Corp.

      180,543       $ 4,123,602   

TRW Automotive Holdings Corp.(2)

      66,854         4,767,359   
     

 

 

  
      $ 8,890,961   
     

 

 

  

Beverages — 1.5%

      

Beam, Inc.

      145,966       $ 9,436,702   
     

 

 

  
      $ 9,436,702   
     

 

 

  

Biotechnology — 4.5%

      

Biogen Idec, Inc.(2)

      17,315       $ 4,168,759   

Celgene Corp.(2)

      76,343         11,751,478   

Gilead Sciences, Inc.(2)

      189,087         11,882,227   
     

 

 

  
      $ 27,802,464   
     

 

 

  

Capital Markets — 0.8%

      

Charles Schwab Corp. (The)

      97,951       $ 2,070,684   

Morgan Stanley

      106,458         2,869,043   
     

 

 

  
      $ 4,939,727   
     

 

 

  

Chemicals — 5.0%

      

Air Products and Chemicals, Inc.

      51,802       $ 5,520,539   

Cytec Industries, Inc.

      35,012         2,848,576   

Ecolab, Inc.

      28,931         2,857,226   

LyondellBasell Industries NV, Class A

      80,531         5,897,285   

Monsanto Co.

      100,110         10,448,481   

PPG Industries, Inc.

      23,250         3,884,145   
     

 

 

  
      $ 31,456,252   
     

 

 

  

Commercial Banks — 0.9%

      

PNC Financial Services Group, Inc. (The)

      36,483       $ 2,643,193   

Wells Fargo & Co.

      65,669         2,713,443   
     

 

 

  
      $ 5,356,636   
     

 

 

  

Communications Equipment — 2.4%

      

F5 Networks, Inc.(2)

      40,046       $ 3,434,345   

QUALCOMM, Inc.

      172,653         11,629,906   
     

 

 

  
      $ 15,064,251   
     

 

 

  

Computers & Peripherals — 4.3%

      

Apple, Inc.

      47,276       $ 22,538,833   

NCR Corp.(2)

      101,829         4,033,447   
     

 

 

  
      $ 26,572,280   
     

 

 

  

 

1

 

 

                                                 
Security    Shares      Value  

Consumer Finance — 1.4%

      

American Express Co.

      117,185       $ 8,849,811   
     

 

 

  
      $ 8,849,811   
     

 

 

  

Diversified Telecommunication Services — 1.2%

      

Verizon Communications, Inc.

      164,212       $ 7,662,132   
     

 

 

  
      $ 7,662,132   
     

 

 

  

Electrical Equipment — 2.2%

      

Emerson Electric Co.

      160,578       $ 10,389,397   

Generac Holdings, Inc.

      76,467         3,260,553   
     

 

 

  
      $ 13,649,950   
     

 

 

  

Electronic Equipment, Instruments & Components — 0.5%

      

InvenSense, Inc.(2)

      184,472       $ 3,250,397   
     

 

 

  
      $ 3,250,397   
     

 

 

  

Energy Equipment & Services — 1.6%

      

Cameron International Corp.(2)

      46,291       $ 2,702,006   

Halliburton Co.

      144,682         6,966,438   
     

 

 

  
      $ 9,668,444   
     

 

 

  

Food & Staples Retailing — 1.6%

      

Whole Foods Market, Inc.

      170,558       $ 9,977,643   
     

 

 

  
      $ 9,977,643   
     

 

 

  

Food Products — 5.5%

      

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

      77,711       $ 5,993,072   

Hershey Co. (The)

      153,718         14,218,915   

Mondelez International, Inc., Class A

      450,856         14,165,896   
     

 

 

  
      $ 34,377,883   
     

 

 

  

Health Care Equipment & Supplies — 2.4%

      

Abbott Laboratories

      85,209       $ 2,828,087   

Covidien PLC

      94,881         5,782,048   

Stryker Corp.

      91,419         6,179,010   
     

 

 

  
      $ 14,789,145   
     

 

 

  

Health Care Providers & Services — 0.8%

      

Express Scripts Holding Co.(2)

      80,874       $ 4,996,396   
     

 

 

  
      $ 4,996,396   
     

 

 

  

Hotels, Restaurants & Leisure — 2.6%

      

Marriott International, Inc., Class A

      57,676       $ 2,425,852   

McDonald’s Corp.

      90,641         8,720,571   

Starbucks Corp.

      68,800         5,295,536   
     

 

 

  
      $ 16,441,959   
     

 

 

  

Industrial Conglomerates — 1.5%

      

Danaher Corp.

      138,125       $ 9,574,825   
     

 

 

  
      $ 9,574,825   
     

 

 

  

Insurance — 0.7%

      

AmTrust Financial Services, Inc.

      114,165       $ 4,459,285   
     

 

 

  
      $ 4,459,285   
     

 

 

  

Internet & Catalog Retail — 5.0%

      

Amazon.com, Inc.(2)

      68,757       $ 21,496,188   

Netflix, Inc.(2)

      31,319         9,684,148   
     

 

 

  
      $ 31,180,336   
     

 

 

  

Internet Software & Services — 7.8%

     

eBay, Inc.(2)

      225,338       $ 12,571,607   

Facebook, Inc., Class A(2)

      125,639         6,312,103   

Google, Inc., Class A(2)

      30,390         26,618,905   

VeriSign, Inc.(2)

      64,455         3,280,115   
     

 

 

  
      $ 48,782,730   
     

 

 

  

 

2

 

 

                                                 
Security    Shares      Value  

IT Services — 5.1%

      

Accenture PLC, Class A

      128,432       $ 9,457,732   

International Business Machines Corp.

      65,929         12,208,732   

Visa, Inc., Class A

      51,956         9,928,792   
     

 

 

  
      $ 31,595,256   
     

 

 

  

Machinery — 1.4%

      

Deere & Co.

      110,010       $ 8,953,714   
     

 

 

  
      $ 8,953,714   
     

 

 

  

Media — 4.6%

      

Comcast Corp., Class A

      215,247       $ 9,718,402   

Lions Gate Entertainment Corp.(2)

      242,686         8,506,144   

Walt Disney Co. (The)

      163,117         10,519,416   
     

 

 

  
      $ 28,743,962   
     

 

 

  

Multiline Retail — 3.3%

      

Dollar General Corp.(2)

      179,467       $ 10,132,707   

Macy’s, Inc.

      127,157         5,502,084   

Target Corp.

      73,031         4,672,523   
     

 

 

  
      $ 20,307,314   
     

 

 

  

Oil, Gas & Consumable Fuels — 2.6%

      

EOG Resources, Inc.

      27,831       $ 4,711,231   

Occidental Petroleum Corp.

      50,044         4,681,116   

Phillips 66

      61,057         3,530,316   

Range Resources Corp.

      41,553         3,153,457   
     

 

 

  
      $ 16,076,120   
     

 

 

  

Personal Products — 2.0%

      

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

      182,921       $ 12,786,178   
     

 

 

  
      $ 12,786,178   
     

 

 

  

Pharmaceuticals — 5.2%

      

Perrigo Co.

      62,924       $ 7,763,563   

Pfizer, Inc.

      267,298         7,674,126   

Roche Holding AG PC

      24,995         6,745,485   

Shire PLC ADR

      84,087         10,081,190   
     

 

 

  
      $ 32,264,364   
     

 

 

  

Real Estate Investment Trusts (REITs) — 1.5%

      

American Tower Corp.

      46,913       $ 3,477,661   

AvalonBay Communities, Inc.

      13,100         1,664,879   

Public Storage, Inc.

      27,040         4,341,272   
     

 

 

  
      $ 9,483,812   
     

 

 

  

Road & Rail — 2.2%

      

Kansas City Southern

      62,651       $ 6,851,513   

Union Pacific Corp.

      45,191         7,019,970   
     

 

 

  
      $ 13,871,483   
     

 

 

  

Semiconductors & Semiconductor Equipment — 0.4%

      

NXP Semiconductors NV(2)

      68,208       $ 2,538,020   
     

 

 

  
      $ 2,538,020   
     

 

 

  

Software — 5.6%

      

Infoblox, Inc.(2)

      49,740       $ 2,080,127   

Microsoft Corp.

      701,007         23,350,543   

Oracle Corp.

      278,480         9,237,182   
     

 

 

  
      $ 34,667,852   
     

 

 

  

Specialty Retail — 1.7%

      

Home Depot, Inc. (The)

      86,909       $ 6,592,048   

Urban Outfitters, Inc.(2)

      107,328         3,946,450   
     

 

 

  
      $ 10,538,498   
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.1%

      

NIKE, Inc., Class B

      97,005       $ 7,046,443   
     

 

 

  
      $ 7,046,443   
     

 

 

  

 

3

 

 

                                                 
Security    Shares      Value  

Tobacco — 1.7%

      

Philip Morris International, Inc.

      123,373       $ 10,682,868   
     

 

 

  
      $ 10,682,868   
     

 

 

  

Wireless Telecommunication Services — 0.5%

      

T-Mobile US, Inc.(2)

      127,150       $ 3,302,086   
     

 

 

  
      $ 3,302,086   
     

 

 

  

Total Common Stocks
(identified cost $584,528,203)

       $ 623,416,909   
     

 

 

  

Short-Term Investments — 0.7%

      
Description    Interest
(000’s omitted)		      Value  

Eaton Vance Cash Reserves Fund, LLC, 0.11%(3)

    $ 4,291       $ 4,290,542   
     

 

 

  

Total Short-Term Investments
(identified cost $4,290,542)

       $ 4,290,542   
     

 

 

  

Total Investments — 100.5%
(identified cost $588,818,745)

       $ 627,707,451   
     

 

 

  

Covered Call Options Written — (0.5)%

      

 

                                                                                                   
Security    Number of
Contracts		      Strike
Price		      Expiration
Date		      Value  

Abbott Laboratories

      430       $ 36.00         11/16/13       $ (5,160 ) 

Accenture PLC, Class A

      645         80.00         11/16/13         (11,287 ) 

Air Products and Chemicals, Inc.

      260         115.00         12/21/13         (53,300 ) 

Amazon.com, Inc.

      345         325.00         10/19/13         (86,250 ) 

American Express Co.

      590         80.00         11/16/13         (33,630 ) 

American Tower Corp.

      235         85.00         10/19/13         (587 ) 

AmTrust Financial Services, Inc.

      575         45.00         12/21/13         (27,312 ) 

Apple, Inc.

      230         530.00         10/19/13         (29,440 ) 

Beam, Inc.

      730         70.00         12/21/13         (63,875 ) 

Biogen Idec, Inc.

      90         255.00         10/19/13         (13,950 ) 

Boeing Co. (The)

      585         120.00         11/16/13         (163,800 ) 

Cameron International Corp.

      235         60.00         10/19/13         (17,625 ) 

Celgene Corp.

      385         155.00         11/16/13         (273,350 ) 

Charles Schwab Corp. (The)

      490         23.00         10/19/13         (3,675 ) 

Comcast Corp., Class A

      1,080         46.00         11/16/13         (113,940 ) 

Covidien PLC

      475         65.00         10/19/13         (1,187 ) 

Cytec Industries, Inc.

      175         80.00         10/19/13         (47,250 ) 

Dana Holding Corp.

      905         24.00         11/16/13         (52,038 ) 

Danaher Corp.

      695         75.00         12/21/13         (27,800 ) 

Deere & Co.

      550         87.50         10/19/13         (3,850 ) 

Dollar General Corp.

      900         62.50         11/16/13         (40,500 ) 

eBay, Inc.

      1,130         60.00         11/16/13         (97,745 ) 

Ecolab, Inc.

      145         100.00         11/16/13         (27,913 ) 

Emerson Electric Co.

      805         65.00         10/19/13         (76,475 ) 

EOG Resources, Inc.

      140         175.00         10/19/13         (21,140 ) 

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

      915         72.50         10/19/13         (29,738 ) 

Express Scripts Holding Co.

      405         67.50         12/21/13         (37,463 ) 

F5 Networks, Inc.

      200         100.00         10/19/13         (3,300 ) 

Facebook, Inc., Class A

      630         48.00         10/19/13         (207,900 ) 

Generac Holdings, Inc.

      380         45.00         10/19/13         (6,650 ) 

Gilead Sciences, Inc.

      945         67.50         11/16/13         (115,763 ) 

Google, Inc., Class A

      155         945.00         11/16/13         (112,375 ) 

Hain Celestial Group, Inc. (The)

      390         85.00         10/19/13         (3,900 ) 

Halliburton Co.

      725         52.50         11/16/13         (30,813 ) 

 

4

 

 

                                                                                                   
Security    Number of
Contracts		      Strike
Price		      Expiration
Date		      Value  

Hershey Co. (The)

      770       $ 95.00         11/16/13       $ (97,405 ) 

Home Depot, Inc. (The)

      435         80.00         11/16/13         (24,142 ) 

Infoblox, Inc.

      250         50.00         10/19/13         (7,500 ) 

International Business Machines Corp.

      330         205.00         10/19/13         (4,455 ) 

InvenSense, Inc.

      925         19.00         10/19/13         (27,750 ) 

Kansas City Southern

      315         115.00         10/19/13         (20,475 ) 

Lions Gate Entertainment Corp.

      835         39.00         10/19/13         (8,350 ) 

LyondellBasell Industries NV, Class A

      405         72.50         10/19/13         (74,925 ) 

Macy’s, Inc.

      640         47.00         10/19/13         (4,800 ) 

Marriott International, Inc., Class A

      290         43.00         10/19/13         (11,600 ) 

McDonald’s Corp.

      455         97.50         10/19/13         (26,617 ) 

Microsoft Corp.

      3,505         34.00         10/19/13         (124,428 ) 

Mondelez International, Inc., Class A

      2,255         34.00         11/16/13         (46,228 ) 

Monsanto Co.

      505         110.00         10/19/13         (24,492 ) 

Morgan Stanley

      535         29.00         11/16/13         (17,922 ) 

NCR Corp.

      510         40.00         10/19/13         (36,975 ) 

Netflix, Inc.

      160         335.00         10/19/13         (41,920 ) 

NIKE, Inc., Class B

      485         70.00         10/19/13         (156,413 ) 

NXP Semiconductors NV

      345         40.00         10/19/13         (6,900 ) 

Occidental Petroleum Corp.

      250         97.50         11/16/13         (38,250 ) 

Oracle Corp.

      1,395         35.00         10/19/13         (7,672 ) 

Perrigo Co.

      315         130.00         11/16/13         (51,188 ) 

Pfizer, Inc.

      1,340         31.00         10/19/13         (670 ) 

Philip Morris International, Inc.

      620         92.50         11/16/13         (21,080 ) 

Phillips 66

      305         62.50         11/16/13         (25,925 ) 

PNC Financial Services Group, Inc. (The)

      185         77.50         10/19/13         (1,387 ) 

PPG Industries, Inc.

      120         175.00         11/16/13         (22,500 ) 

Public Storage, Inc.

      135         170.00         12/21/13         (27,000 ) 

QUALCOMM, Inc.

      865         70.00         10/19/13         (30,708 ) 

Range Resources Corp.

      210         82.50         10/19/13         (4,725 ) 

Shire PLC ADR

      420         125.00         10/19/13         (61,950 ) 

Starbucks Corp.

      345         77.50         10/19/13         (42,780 ) 

Stryker Corp.

      460         75.00         12/21/13         (9,200 ) 

TRW Automotive Holdings Corp.

      335         75.00         10/19/13         (10,050 ) 

Union Pacific Corp.

      230         160.00         10/19/13         (28,290 ) 

United Parcel Service, Inc., Class B

      360         95.00         11/16/13         (25,740 ) 

United Technologies Corp.

      610         110.00         10/19/13         (60,085 ) 

VeriSign, Inc.

      325         55.00         11/16/13         (13,487 ) 

Verizon Communications, Inc.

      825         52.50         10/19/13         (1,237 ) 

Visa, Inc., Class A

      260         210.00         11/16/13         (22,230 ) 

Walt Disney Co. (The)

      820         67.50         11/16/13         (76,260 ) 

Wells Fargo & Co.

      330         43.00         11/16/13         (14,850 ) 

Whole Foods Market, Inc.

      855         60.00         11/16/13         (132,953 ) 
           

 

 

  

Total Covered Call Options Written
(premiums received $4,428,936)

             $ (3,334,495 ) 
           

 

 

  

Other Assets, Less Liabilities — 0.0%(4)

             $ 60,138   
           

 

 

  

Net Assets — 100.0%

             $ 624,433,094   
           

 

 

  

 

5

 

 

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

 

ADR

   -   American Depositary Receipt

PC

   -   Participation Certificate

 

(1) A portion of each applicable common stock for which a written call option is outstanding at September 30, 2013 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, 2013. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended September 30, 2013 was $5,351.

 

(4) Amount is less than 0.05%.

The cost and unrealized appreciation (depreciation) of investments of the Fund at September 30, 2013, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

    $     589,502,125   
  

 

 

  

Gross unrealized appreciation

    $ 49,736,002   

Gross unrealized depreciation

      (11,530,676 ) 
  

 

 

  

Net unrealized appreciation

    $ 38,205,326   
  

 

 

  

Written options activity for the fiscal year to date ended September 30, 2013 was as follows:

 

     Number of
Contracts		     Premiums
Received		  
Outstanding, beginning of period      48,785      $ 7,700,699   
Options written      258,692        26,845,346   
Options terminated in closing purchase transactions      (171,633 )      (18,554,121 ) 
Options exercised      (1,129 )      (124,798 ) 
Options expired      (91,280 )      (11,438,190 ) 
  

 

 

    

 

 

  
Outstanding, end of period      43,435      $ 4,428,936   
  

 

 

    

 

 

  

At September 30, 2013, 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. The Fund also entered into option transactions or a combination of option transactions on individual securities to seek return and/or to seek to reduce the Fund’s exposure to a decline in the stock price.

At September 30, 2013, 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 $3,334,495.

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.

 

6

 

 

At September 30, 2013, 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

          

Consumer Discretionary

    $ 123,149,473      $ —      $ —       $ 123,149,473   

Consumer Staples

      77,261,274        —        —         77,261,274   

Energy

      25,744,564        —        —         25,744,564   

Financials

      33,089,271        —        —         33,089,271   

Health Care

      73,106,884        6,745,485        —         79,852,369   

Industrials

      79,428,702        —        —         79,428,702   

Information Technology

      162,470,786        —        —         162,470,786   

Materials

      31,456,252        —        —         31,456,252   

Telecommunication Services

      10,964,218        —        —         10,964,218   

Total Common Stocks

    $ 616,671,424      $ 6,745,485 *    $ —       $ 623,416,909   

Short-Term Investments

    $ —      $ 4,290,542      $ —       $ 4,290,542   

Total Investments

    $     616,671,424      $     11,036,027      $ —       $     627,707,451   
Liability Description                              

Covered Call Options Written

    $ (3,334,495 )    $ —      $ —       $ (3,334,495 ) 

Total

    $ (3,334,495 )    $ —      $ —       $ (3,334,495 ) 

 

* Includes foreign equity securities whose values were adjusted to reflect market trading of comparable securities or other correlated instruments that occurred after the close of trading in their applicable foreign markets.

The Fund held no investments or other financial instruments as of December 31, 2012 whose fair value was determined using Level 3 inputs. At September 30, 2013, 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.

 

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 II

 

By:   /s/ Walter A. Row, III
  Walter A. Row, III
  President
Date:   November 25, 2013

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:   November 25, 2013

 

By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   November 25, 2013