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, 2018

Date of Reporting Period

 

 

 

Item 1. Schedule of Investments

Eaton Vance

Enhanced Equity Income Fund II

September 30, 2018

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 100.2%(1)

 

                                                 
Security    Shares      Value  

Aerospace & Defense — 2.8%

      

Boeing Co. (The)

      16,985      $ 6,316,721  

Raytheon Co.

      82,209        16,989,312  
     

 

 

  
      $ 23,306,033  
     

 

 

  

Air Freight & Logistics — 1.7%

      

FedEx Corp.

      59,350      $ 14,290,887  
     

 

 

  
      $ 14,290,887  
     

 

 

  

Auto Components — 1.8%

      

Aptiv PLC

      182,685      $ 15,327,271  
     

 

 

  
      $ 15,327,271  
     

 

 

  

Banks — 2.3%

      

JPMorgan Chase & Co.

      81,071      $ 9,148,052  

KeyCorp

      493,399        9,813,706  
     

 

 

  
      $ 18,961,758  
     

 

 

  

Beverages — 3.6%

      

Coca-Cola Co. (The)

      395,635      $ 18,274,381  

Constellation Brands, Inc., Class A

      34,375        7,411,937  

PepsiCo, Inc.

      38,207        4,271,543  
     

 

 

  
      $ 29,957,861  
     

 

 

  

Biotechnology — 6.0%

      

Alexion Pharmaceuticals, Inc.(2)

      95,585      $ 13,287,271  

Biogen, Inc.(2)

      28,866        10,198,647  

Celgene Corp.(2)

      62,205        5,566,725  

Exact Sciences Corp.(2)

      84,060        6,634,015  

Vertex Pharmaceuticals, Inc.(2)

      77,099        14,860,061  
     

 

 

  
      $ 50,546,719  
     

 

 

  

Capital Markets — 2.4%

      

Charles Schwab Corp. (The)

      221,168      $ 10,870,407  

Goldman Sachs Group, Inc. (The)

      43,054        9,654,429  
     

 

 

  
      $ 20,524,836  
     

 

 

  

Chemicals — 2.8%

      

Ecolab, Inc.

      116,879      $ 18,324,290  

Sherwin-Williams Co. (The)

      12,419        5,653,253  
     

 

 

  
      $ 23,977,543  
     

 

 

  

Commercial Services & Supplies — 1.8%

      

Waste Connections, Inc.

      78,779      $ 6,284,201  

Waste Management, Inc.

      97,363        8,797,721  
     

 

 

  
      $ 15,081,922  
     

 

 

  

Communications Equipment — 1.9%

      

Palo Alto Networks, Inc.(2)

      72,535      $ 16,339,234  
     

 

 

  
      $ 16,339,234  
     

 

 

  

 

1

 

 

                                                 
Security    Shares      Value  

Electrical Equipment — 1.5%

      

Rockwell Automation, Inc.

      66,358      $ 12,443,452  
     

 

 

  
      $ 12,443,452  
     

 

 

  

Entertainment — 5.6%

      

Activision Blizzard, Inc.

      236,509      $ 19,675,183  

Netflix, Inc.(2)

      27,799        10,400,440  

Walt Disney Co. (The)

      142,502        16,664,184  
     

 

 

  
      $ 46,739,807  
     

 

 

  

Food Products — 1.7%

      

Conagra Brands, Inc.

      222,884      $ 7,571,370  

Pinnacle Foods, Inc.

      103,109        6,682,494  
     

 

 

  
      $ 14,253,864  
     

 

 

  

Health Care Equipment & Supplies — 3.4%

      

Abbott Laboratories

      196,345      $ 14,403,869  

Danaher Corp.

      81,195        8,822,649  

Intuitive Surgical, Inc.(2)

      9,619        5,521,306  
     

 

 

  
      $ 28,747,824  
     

 

 

  

Health Care Providers & Services — 2.8%

      

Anthem, Inc.

      32,689      $ 8,958,420  

UnitedHealth Group, Inc.

      55,524        14,771,605  
     

 

 

  
      $ 23,730,025  
     

 

 

  

Hotels, Restaurants & Leisure — 0.9%

      

Starbucks Corp.

      134,831      $ 7,663,794  
     

 

 

  
      $ 7,663,794  
     

 

 

  

Interactive Media & Services — 12.8%

      

Alphabet, Inc., Class C(2)

      53,702      $ 64,091,726  

Facebook, Inc., Class A(2)

      120,609        19,835,356  

IAC/InterActiveCorp(2)

      56,101        12,158,209  

Twitter, Inc.(2)

      403,774        11,491,408  
     

 

 

  
      $ 107,576,699  
     

 

 

  

Internet & Direct Marketing Retail — 9.2%

      

Amazon.com, Inc.(2)

      34,872      $ 69,848,616  

Booking Holdings, Inc.(2)

      3,847        7,632,448  
     

 

 

  
      $ 77,481,064  
     

 

 

  

IT Services — 7.5%

      

GoDaddy, Inc., Class A(2)

      225,833      $ 18,832,214  

Visa, Inc., Class A

      294,628        44,220,716  
     

 

 

  
      $ 63,052,930  
     

 

 

  

Life Sciences Tools & Services — 1.6%

      

Agilent Technologies, Inc.

      115,377      $ 8,138,694  

Illumina, Inc.(2)

      13,899        5,101,767  
     

 

 

  
      $ 13,240,461  
     

 

 

  

Machinery — 1.0%

      

Illinois Tool Works, Inc.

      59,033      $ 8,330,737  
     

 

 

  
      $ 8,330,737  
     

 

 

  

Oil, Gas & Consumable Fuels — 1.1%

      

Devon Energy Corp.

      242,688      $ 9,692,959  
     

 

 

  
      $ 9,692,959  
     

 

 

  

 

2

 

 

                                                 
Security    Shares      Value  

Road & Rail — 2.4%

      

CSX Corp.

      202,138      $ 14,968,319  

J.B. Hunt Transport Services, Inc.

      44,856        5,335,173  
     

 

 

  
      $ 20,303,492  
     

 

 

  

Semiconductors & Semiconductor Equipment — 1.6%

      

Broadcom, Inc.

      15,455      $ 3,813,212  

Texas Instruments, Inc.

      88,994        9,548,166  
     

 

 

  
      $ 13,361,378  
     

 

 

  

Software — 10.9%

      

Adobe Systems, Inc.(2)

      77,589      $ 20,945,150  

Intuit, Inc.

      57,084        12,980,902  

Microsoft Corp.

      220,860        25,259,758  

SailPoint Technologies Holding, Inc.(2)

      137,084        4,663,598  

salesforce.com, inc.(2)

      175,214        27,864,282  
     

 

 

  
      $ 91,713,690  
     

 

 

  

Specialty Retail — 3.9%

      

Home Depot, Inc. (The)

      33,243      $ 6,886,288  

TJX Cos., Inc. (The)

      105,761        11,847,347  

Ulta Beauty, Inc.(2)

      50,112        14,137,597  
     

 

 

  
      $ 32,871,232  
     

 

 

  

Technology Hardware, Storage & Peripherals — 3.6%

      

Apple, Inc.

      76,467      $ 17,261,661  

HP, Inc.

      501,620        12,926,747  
     

 

 

  
      $ 30,188,408  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.6%

      

NIKE, Inc., Class B

      161,356      $ 13,670,080  
     

 

 

  
      $ 13,670,080  
     

 

 

  

Total Common Stocks — 100.2%
(identified cost $490,906,204)

       $ 843,375,960  
     

 

 

  

Short-Term Investments — 0.6%

      
Description    Units      Value  

Eaton Vance Cash Reserves Fund, LLC, 2.19%(3)

      5,353,905      $ 5,353,905  
     

 

 

  

Total Short-Term Investments
(identified cost $5,354,264)

       $ 5,353,905  
     

 

 

  

Total Investments — 100.8%
(identified cost $496,260,468)

       $ 848,729,865  
     

 

 

  

Total Written Covered Call Options — (0.8)%
(premiums received $5,982,056)

       $ (6,524,849 ) 
     

 

 

  

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

       $ (327,104 ) 
     

 

 

  

Net Assets — 100.0%

       $ 841,877,912  
     

 

 

  

 

3

 

 

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, 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 September 30, 2018. Net income from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended September 30, 2018 was $87,663.

 

(4)

Amount is less than (0.05)%.

 

                                                                                                                            

Written Covered Call Options — (0.8)%

               

Exchange-Traded Options — (0.8)%

               
Description    Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value  

Abbott Laboratories

      980      $ 7,189,280      $ 70        10/26/18      $ (362,600 ) 

Activision Blizzard, Inc.

      1,180        9,816,420        85        10/19/18        (159,890 ) 

Adobe Systems, Inc.

      385        10,393,075        285        11/9/18        (149,992 ) 

Agilent Technologies, Inc.

      575        4,056,050        70        10/19/18        (79,350 ) 

Alexion Pharmaceuticals, Inc.

      475        6,602,975        140        11/16/18        (304,000 ) 

Alphabet, Inc., Class C

      265        31,626,955        1,225        10/26/18        (585,650 ) 

Amazon.com, Inc.

      170        34,051,000        2,085        10/19/18        (264,350 ) 

Anthem, Inc.

      160        4,384,800        280        10/12/18        (15,600 ) 

Apple, Inc.

      380        8,578,120        225        10/19/18        (174,800 ) 

Aptiv PLC

      910        7,634,900        95        11/16/18        (45,500 ) 

Biogen, Inc.

      140        4,946,340        360        10/26/18        (152,600 ) 

Boeing Co. (The)

      80        2,975,200        385        10/26/18        (43,800 ) 

Booking Holdings, Inc.

      15        2,976,000        2,030        10/19/18        (23,175 ) 

Broadcom, Inc.

      75        1,850,475        240        10/19/18        (73,875 ) 

Celgene Corp.

      310        2,774,190        100        10/19/18        (4,185 ) 

Charles Schwab Corp. (The)

      1,105        5,431,075        55        10/26/18        (11,050 ) 

Coca-Cola Co. (The)

      1,975        9,122,525        48        10/26/18        (22,713 ) 

Constellation Brands, Inc., Class A

      170        3,665,540        220        10/5/18        (55,250 ) 

CSX Corp.

      1,010        7,479,050        78        10/19/18        (56,055 ) 

Danaher Corp.

      405        4,400,730        110        10/19/18        (48,600 ) 

Devon Energy Corp.

      1,210        4,832,740        44        10/12/18        (11,495 ) 

Ecolab, Inc.

      580        9,093,240        155        10/12/18        (216,050 ) 

Exact Sciences Corp.

      420        3,314,640        76        11/2/18        (298,200 ) 

Facebook, Inc., Class A

      600        9,867,600        175        10/26/18        (92,400 ) 

FedEx Corp.

      295        7,103,305        250        11/16/18        (86,459 ) 

GoDaddy, Inc., Class A

      1,125        9,381,375        85        10/19/18        (140,625 ) 

Goldman Sachs Group, Inc. (The)

      215        4,821,160        235        11/2/18        (53,338 ) 

Home Depot, Inc. (The)

      165        3,417,975        215        10/26/18        (14,272 ) 

HP, Inc.

      2,505        6,455,385        27        11/16/18        (85,170 ) 

IAC/InterActiveCorp

      280        6,068,160        220        12/21/18        (352,800 ) 

Illinois Tool Works, Inc.

      215        3,034,080        145        10/19/18        (20,425 ) 

Illumina, Inc.

      65        2,385,890        350        10/19/18        (131,950 ) 

Intuit, Inc.

      285        6,480,900        230        10/19/18        (79,800 ) 

Intuitive Surgical, Inc.

      45        2,583,000        535        10/19/18        (197,325 ) 

J.B. Hunt Transport Services, Inc.

      220        2,616,680        125        11/16/18        (40,700 ) 

JPMorgan Chase & Co.

      405        4,570,020        117        11/2/18        (44,584 ) 

KeyCorp

      2,465        4,902,885        22        10/26/18        (16,022 ) 

 

4

 

 

                                                                                                                            
Description    Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value  

Microsoft Corp.

      1,100      $ 12,580,700      $ 115        10/19/18      $ (188,650 ) 

Netflix, Inc.

      135        5,050,755        405        10/12/18        (19,373 ) 

NIKE, Inc., Class B

      805        6,819,960        87        10/26/18        (84,123 ) 

Palo Alto Networks, Inc.

      360        8,109,360        250        10/19/18        (12,420 ) 

PepsiCo, Inc.

      190        2,124,200        118        10/26/18        (4,750 ) 

Raytheon Co.

      410        8,473,060        205        10/12/18        (139,400 ) 

Rockwell Automation, Inc.

      330        6,188,160        195        10/19/18        (29,700 ) 

SailPoint Technologies Holding, Inc.

      685        2,330,370        35        10/19/18        (61,650 ) 

salesforce.com, inc.

      875        13,915,125        165        11/16/18        (275,625 ) 

Sherwin-Williams Co. (The)

      60        2,731,260        490        10/19/18        (1,800 ) 

Starbucks Corp.

      670        3,808,280        55        10/19/18        (147,400 ) 

Texas Instruments, Inc.

      440        4,720,760        116        10/26/18        (20,680 ) 

TJX Cos., Inc. (The)

      525        5,881,050        110        10/19/18        (162,750 ) 

Twitter, Inc.

      2,015        5,734,690        34        10/26/18        (94,705 ) 

Ulta Beauty, Inc.

      250        7,053,000        300        10/19/18        (38,125 ) 

UnitedHealth Group, Inc.

      275        7,316,100        280        10/19/18        (17,875 ) 

Vertex Pharmaceuticals, Inc.

      385        7,420,490        190        10/26/18        (288,750 ) 

Visa, Inc., Class A

      1,470        1,102,500        155        11/2/18        (230,163 ) 

Walt Disney Co. (The)

      710        8,302,740        115        10/5/18        (158,685 ) 

Waste Connections, Inc.

      390        3,111,030        85        12/21/18        (21,450 ) 

Waste Management, Inc.

      485        4,382,460        93        10/19/18        (12,125 ) 
              

 

 

  

Total

                $ (6,524,849 ) 
              

 

 

  

At September 30, 2018, the Fund had sufficient cash and/or securities to cover commitments under open derivative 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, 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 $6,524,849.

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.

 

5

 

 

At September 30, 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

    $ 843,375,960 *     $ —      $ —      $ 843,375,960  

Short-Term Investments

      —        5,353,905        —        5,353,905  

Total Investments

    $     843,375,960      $     5,353,905      $     —      $     848,729,865  
Liability Description                                

Written Covered Call Options

    $ (6,524,849 )     $ —      $ —      $ (6,524,849 ) 

Total

    $ (6,524,849 )     $ —      $ —      $ (6,524,849 ) 

 

*

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

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:   November 26, 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:   November 26, 2018

 

By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   November 26, 2018