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

March 31, 2018

Date of Reporting Period

 

 

 

Item 1. Schedule of Investments

 

Eaton Vance

Enhanced Equity Income Fund II

March 31, 2018

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 99.2%(1)

 

                                                 
Security    Shares      Value  

Aerospace & Defense — 2.3%

      

Raytheon Co.

      79,298      $ 17,114,094  
     

 

 

  
      $ 17,114,094  
     

 

 

  

Air Freight & Logistics — 1.9%

      

FedEx Corp.

      59,350      $ 14,250,529  
     

 

 

  
      $ 14,250,529  
     

 

 

  

Auto Components — 2.3%

      

Aptiv PLC

      113,234      $ 9,621,493  

Delphi Technologies PLC

      167,033        7,959,122  
     

 

 

  
      $ 17,580,615  
     

 

 

  

Banks — 2.5%

      

JPMorgan Chase & Co.

      81,071      $ 8,915,378  

KeyCorp

      493,399        9,645,950  
     

 

 

  
      $ 18,561,328  
     

 

 

  

Beverages — 3.8%

      

Coca-Cola Co. (The)

      324,366      $ 14,087,215  

Constellation Brands, Inc., Class A

      45,345        10,335,033  

PepsiCo, Inc.

      38,207        4,170,294  
     

 

 

  
      $ 28,592,542  
     

 

 

  

Biotechnology — 7.0%

      

AbbVie, Inc.

      50,294      $ 4,760,327  

Alexion Pharmaceuticals, Inc.(2)

      65,725        7,325,708  

Biogen, Inc.(2)

      28,866        7,904,088  

Celgene Corp.(2)

      62,205        5,549,308  

Gilead Sciences, Inc.

      152,040        11,462,296  

Incyte Corp.(2)

      50,499        4,208,082  

Vertex Pharmaceuticals, Inc.(2)

      74,061        12,070,462  
     

 

 

  
      $ 53,280,271  
     

 

 

  

Capital Markets — 3.2%

      

Charles Schwab Corp. (The)

      221,168      $ 11,549,393  

Goldman Sachs Group, Inc. (The)

      51,174        12,888,684  
     

 

 

  
      $ 24,438,077  
     

 

 

  

Chemicals — 2.1%

      

Ecolab, Inc.

      116,879      $ 16,020,605  
     

 

 

  
      $ 16,020,605  
     

 

 

  

Communications Equipment — 1.7%

      

Palo Alto Networks, Inc.(2)

      72,535      $ 13,166,553  
     

 

 

  
      $ 13,166,553  
     

 

 

  

Containers & Packaging — 0.5%

      

Graphic Packaging Holding Co.

      257,149      $ 3,947,237  
     

 

 

  
      $ 3,947,237  
     

 

 

  

 

1

 

 

                                                 
Security    Shares      Value  

Distributors — 1.3%

      

LKQ Corp.(2)

      250,088      $ 9,490,840  
     

 

 

  
      $ 9,490,840  
     

 

 

  

Electrical Equipment — 1.8%

      

Rockwell Automation, Inc.

      76,032      $ 13,244,774  
     

 

 

  
      $ 13,244,774  
     

 

 

  

Energy Equipment & Services — 0.7%

      

Halliburton Co.

      117,626      $ 5,521,364  
     

 

 

  
      $ 5,521,364  
     

 

 

  

Food Products — 1.6%

      

Mondelez International, Inc., Class A

      149,997      $ 6,259,375  

Pinnacle Foods, Inc.

      103,109        5,578,197  
     

 

 

  
      $ 11,837,572  
     

 

 

  

Health Care Equipment & Supplies — 2.6%

      

Abbott Laboratories

      126,249      $ 7,564,840  

Danaher Corp.

      81,195        7,949,802  

Intuitive Surgical, Inc.(2)

      9,619        3,971,012  
     

 

 

  
      $ 19,485,654  
     

 

 

  

Health Care Providers & Services — 2.0%

      

Anthem, Inc.

      69,742      $ 15,322,317  
     

 

 

  
      $ 15,322,317  
     

 

 

  

Hotels, Restaurants & Leisure — 1.0%

      

Starbucks Corp.

      134,831      $ 7,805,367  
     

 

 

  
      $ 7,805,367  
     

 

 

  

Industrial Conglomerates — 1.4%

      

3M Co.

      48,183      $ 10,577,132  
     

 

 

  
      $ 10,577,132  
     

 

 

  

Internet & Direct Marketing Retail — 8.8%

      

Amazon.com, Inc.(2)

      34,872      $ 50,471,640  

Booking Holdings, Inc.(2)

      3,847        8,003,260  

Netflix, Inc.(2)

      27,799        8,210,435  
     

 

 

  
      $ 66,685,335  
     

 

 

  

Internet Software & Services — 16.7%

      

Alibaba Group Holding, Ltd. ADR(2)

      35,383      $ 6,494,196  

Alphabet, Inc., Class C(2)

      58,257        60,108,990  

Facebook, Inc., Class A(2)

      215,628        34,455,198  

GoDaddy, Inc., Class A(2)

      225,833        13,870,663  

Twitter, Inc.(2)

      403,774        11,713,484  
     

 

 

  
      $ 126,642,531  
     

 

 

  

IT Services — 4.7%

      

Visa, Inc., Class A

      294,628      $ 35,243,401  
     

 

 

  
      $ 35,243,401  
     

 

 

  

Life Sciences Tools & Services — 1.2%

      

Agilent Technologies, Inc.

      86,745      $ 5,803,240  

Illumina, Inc.(2)

      13,899        3,286,002  
     

 

 

  
      $ 9,089,242  
     

 

 

  

 

2

 

 

                                                 
Security    Shares      Value  

Machinery — 0.6%

      

Xylem, Inc.

      57,997      $ 4,461,129  
     

 

 

  
      $ 4,461,129  
     

 

 

  

Media — 2.5%

      

Comcast Corp., Class A

      153,147      $ 5,233,033  

Walt Disney Co. (The)

      135,731        13,632,822  
     

 

 

  
      $ 18,865,855  
     

 

 

  

Metals & Mining — 0.7%

      

Freeport-McMoRan, Inc.(2)

      313,385      $ 5,506,174  
     

 

 

  
      $ 5,506,174  
     

 

 

  

Oil, Gas & Consumable Fuels — 0.7%

      

Devon Energy Corp.

      158,764      $ 5,047,108  
     

 

 

  
      $ 5,047,108  
     

 

 

  

Road & Rail — 2.9%

      

CSX Corp.

      246,925      $ 13,756,192  

J.B. Hunt Transport Services, Inc.

      66,765        7,821,520  
     

 

 

  
      $ 21,577,712  
     

 

 

  

Semiconductors & Semiconductor Equipment — 1.7%

      

Broadcom, Ltd.

      15,455      $ 3,641,971  

Texas Instruments, Inc.

      88,994        9,245,586  
     

 

 

  
      $ 12,887,557  
     

 

 

  

Software — 10.3%

      

Activision Blizzard, Inc.

      143,982      $ 9,713,026  

Adobe Systems, Inc.(2)

      84,142        18,181,403  

Intuit, Inc.

      57,084        9,895,512  

Microsoft Corp.

      220,860        20,157,892  

salesforce.com, Inc.(2)

      175,214        20,377,388  
     

 

 

  
      $ 78,325,221  
     

 

 

  

Specialty Retail — 3.9%

      

Home Depot, Inc. (The)

      62,027      $ 11,055,692  

TJX Cos., Inc. (The)

      151,894        12,388,475  

Ulta Beauty, Inc.(2)

      30,899        6,311,739  
     

 

 

  
      $ 29,755,906  
     

 

 

  

Technology Hardware, Storage & Peripherals — 3.4%

      

Apple, Inc.

      107,678      $ 18,066,215  

HP, Inc.

      342,637        7,510,603  
     

 

 

  
      $ 25,576,818  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.4%

      

NIKE, Inc., Class B

      161,356      $ 10,720,493  
     

 

 

  
      $ 10,720,493  
     

 

 

  

Total Common Stocks
(identified cost $507,767,551)

       $ 750,621,353  
     

 

 

  

 

3

 

 

Short-Term Investments — 1.1%

                                                 
Description    Units      Value  

Eaton Vance Cash Reserves Fund, LLC, 1.89%(3)

      8,196,736      $ 8,195,097  
     

 

 

  

Total Short-Term Investments
(identified cost $8,196,245)

       $ 8,195,097  
     

 

 

  

Total Investments — 100.3%
(identified cost $515,963,796)

       $ 758,816,450  
     

 

 

  

Total Written Covered Call Options — (0.3)%
(premiums received $5,424,828)

       $ (1,973,308 ) 
     

 

 

  

Other Assets, Less Liabilities — (0.0)%(4)

       $ (36,799 ) 
     

 

 

  

Net Assets — 100.0%

       $ 756,806,343  
     

 

 

  

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

 

(1) All or a portion of each applicable common stock for which a written call option is outstanding at March 31, 2018 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 March 31, 2018. Net income from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended March 31, 2018 was $35,091.

 

(4) Amount is less than (0.05)%.

Written Covered Call Options — (0.3)%

Exchange-Traded Options — (0.3)%

 

Description

    Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value  

3M Co.

      240      $ 5,268,480      $ 240        4/20/18      $ (7,560 ) 

Abbott Laboratories

      630        3,774,960        65        5/18/18        (22,995 ) 

AbbVie, Inc.

      250        2,366,250        119        4/20/18        (1,500 ) 

Activision Blizzard, Inc.

      715        4,823,390        75        4/20/18        (14,300 ) 

Adobe Systems, Inc.

      420        9,075,360        220        4/20/18            (215,250 ) 

Agilent Technologies, Inc.

      430        2,876,700        73        4/20/18        (4,300 ) 

Alexion Pharmaceuticals, Inc.

      325        3,622,450        130        4/20/18        (27,625 ) 

Alibaba Group Holding, Ltd. ADR

      175        3,211,950        210        4/20/18        (6,125 ) 

Alphabet, Inc., Class C

      290            29,921,910            1,180        4/13/18        (22,475 ) 

Amazon.com, Inc.

      170        24,604,780        1,620        4/20/18        (82,450 ) 

Anthem, Inc.

      320        7,030,400        250        4/20/18        (3,200 ) 

Apple, Inc.

      535        8,976,230        183        5/4/18        (82,658 ) 

Aptiv PLC

      565        4,800,805        95        4/20/18        (5,650 ) 

Biogen, Inc.

      140        3,833,480        320        4/20/18        (3,150 ) 

Booking Holdings, Inc.

      15        3,120,585        2,250        4/20/18        (4,275 ) 

Broadcom, Ltd.

      80        1,885,200        270        4/20/18        (2,000 ) 

Celgene Corp.

      310        2,765,510        105        4/20/18        (3,720 ) 

 

4

 

 

Description

    Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value  

Charles Schwab Corp. (The)

      1,105      $ 5,770,310      $ 61        4/27/18      $ (8,287 ) 

Coca-Cola Co. (The)

      1,620        7,035,660        45        4/20/18        (25,920 ) 

Comcast Corp., Class A

      765        2,614,005        37        4/20/18        (9,562 ) 

Constellation Brands, Inc., Class A

      225        5,128,200            235        4/20/18        (60,188 ) 

CSX Corp.

      1,230        6,852,330        60        4/20/18        (38,745 ) 

Danaher Corp.

      405        3,965,355        105        4/20/18        (10,125 ) 

Delphi Technologies PLC

      835        3,978,775        55        4/20/18        (10,437 ) 

Devon Energy Corp.

      790        2,511,410        37        4/20/18        (6,320 ) 

Ecolab, Inc.

      580        7,950,060        140        4/20/18        (52,200 ) 

Facebook, Inc., Class A

      1,075            17,177,425        190        4/20/18        (9,675 ) 

FedEx Corp.

      295        7,083,245        290        4/20/18        (737 ) 

Freeport-McMoRan, Inc.

      1,565        2,749,705        21        4/20/18        (5,477 ) 

Gilead Sciences, Inc.

      760        5,729,640        85        4/27/18        (31,160 ) 

GoDaddy, Inc., Class A

      1,125        6,909,750        65        5/18/18        (208,125 ) 

Goldman Sachs Group, Inc. (The)

      220        5,540,920        275        4/6/18        (660 ) 

Halliburton Co.

      585        2,745,990        50        5/18/18        (58,500 ) 

Home Depot, Inc. (The)

      310        5,525,440        185        5/11/18        (74,400 ) 

HP, Inc.

      1,710        3,748,320        24        4/20/18        (8,550 ) 

Illumina, Inc.

      65        1,536,730        250        4/20/18        (14,463 ) 

Intuit, Inc.

      285        4,940,475        180        4/20/18        (43,463 ) 

Intuitive Surgical, Inc.

      45        1,857,735        460        4/20/18        (7,087 ) 

J.B. Hunt Transport Services, Inc.

      330        3,865,950        125        4/20/18        (43,725 ) 

JPMorgan Chase & Co.

      405        4,453,785        115        5/18/18        (74,723 ) 

KeyCorp

      2,465        4,819,075        21        5/18/18        (76,415 ) 

LKQ Corp.

      1,250        4,743,750        40        4/20/18        (34,375 ) 

Microsoft Corp.

      1,100        10,039,700        98        4/20/18        (53,350 ) 

Mondelez International, Inc., Class A

      745        3,108,885        46        4/20/18        (2,607 ) 

Netflix, Inc.

      135        3,987,225        320        4/20/18        (103,613 ) 

NIKE, Inc., Class B

      805        5,348,420        73        4/20/18        (4,830 ) 

Palo Alto Networks, Inc.

      360        6,534,720        185        4/20/18        (145,800 ) 

PepsiCo, Inc.

      190        2,073,850        115        5/18/18        (17,860 ) 

Raytheon Co.

      395        8,524,890        230        4/20/18        (19,355 ) 

Rockwell Automation, Inc.

      325        5,661,500        190        4/20/18        (13,000 ) 

salesforce.com, Inc.

      895        10,408,850        130        4/20/18        (17,005 ) 

Starbucks Corp.

      670        3,878,630        60        4/13/18        (11,725 ) 

Texas Instruments, Inc.

      440        4,571,160        115        4/20/18        (9,680 ) 

TJX Cos., Inc. (The)

      755        6,157,780        85        5/18/18        (77,388 ) 

Twitter, Inc.

      2,015        5,845,515        39        4/20/18        (8,060 ) 

Ulta Beauty, Inc.

      150        3,064,050        230        4/20/18        (4,500 ) 

Vertex Pharmaceuticals, Inc.

      370        6,030,260        185        4/20/18        (20,350 ) 

Visa, Inc., Class A

      1,470        17,584,140        130        4/20/18        (19,845 ) 

Walt Disney Co. (The)

      675        6,779,700        110        4/20/18        (5,400 ) 

Xylem, Inc.

      285        2,192,220        80        4/20/18        (16,388 ) 
              

 

 

  

Total

 

    $     (1,973,308 ) 
              

 

 

  

Abbreviations:

 

ADR

   -   American Depositary Receipt

At March 31, 2018, the Fund had sufficient cash and/or securities to cover commitments under open derivative contracts.

 

5

 

 

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 March 31, 2018, 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 $1,973,308.

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 March 31, 2018, 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

    $     750,621,353 *     $ —      $     —      $     750,621,353  

Short-Term Investments

      —            8,195,097        —        8,195,097  

Total Investments

    $ 750,621,353      $ 8,195,097      $ —      $ 758,816,450  
Liability Description                                

Written Covered Call Options

    $ (1,973,308 )     $ —      $ —      $ (1,973,308 ) 

Total

    $ (1,973,308 )     $ —      $ —      $ (1,973,308 ) 

 

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

At March 31, 2018, 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.

 

6

 

 

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.

Item 3. Exhibits

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act is attached hereto.

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/ Edward J. Perkin
  Edward J. Perkin
  President
Date:   May 24, 2018

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/ Edward J. Perkin
  Edward J. Perkin
  President
Date:   May 24, 2018

 

By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   May 24, 2018