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, 2016

Date of Reporting Period

 

 

 

Item 1. Schedule of Investments

 

Eaton Vance

Enhanced Equity Income Fund

June 30, 2016

PORTFOLIO OF INVESTMENTS (Unaudited)

Common Stocks — 99.9%(1)

 

                                                 
Security    Shares      Value  

Aerospace & Defense — 2.1%

      

United Technologies Corp.

      108,843       $ 11,161,850   
     

 

 

  
      $ 11,161,850   
     

 

 

  

Air Freight & Logistics — 1.1%

      

C.H. Robinson Worldwide, Inc.

      76,469       $ 5,677,823   
     

 

 

  
      $ 5,677,823   
     

 

 

  

Banks — 5.6%

      

JPMorgan Chase & Co.

      190,286       $ 11,824,372   

PNC Financial Services Group, Inc. (The)

      75,444         6,140,387   

Wells Fargo & Co.

      239,285         11,325,359   
     

 

 

  
      $ 29,290,118   
     

 

 

  

Beverages — 1.3%

      

Constellation Brands, Inc., Class A

      40,007       $ 6,617,158   
     

 

 

  
      $ 6,617,158   
     

 

 

  

Biotechnology — 1.4%

      

Celgene Corp.(2)

      74,873       $ 7,384,724   
     

 

 

  
      $ 7,384,724   
     

 

 

  

Capital Markets — 3.4%

      

Charles Schwab Corp. (The)

      380,524       $ 9,631,062   

Goldman Sachs Group, Inc. (The)

      55,329         8,220,783   
     

 

 

  
      $ 17,851,845   
     

 

 

  

Chemicals — 0.9%

      

PPG Industries, Inc.

      44,103       $ 4,593,327   
     

 

 

  
      $ 4,593,327   
     

 

 

  

Communications Equipment — 1.3%

      

Cisco Systems, Inc.

      239,716       $ 6,877,452   
     

 

 

  
      $ 6,877,452   
     

 

 

  

Containers & Packaging — 0.8%

      

International Paper Co.

      104,964       $ 4,448,374   
     

 

 

  
      $ 4,448,374   
     

 

 

  

Distributors — 0.6%

      

LKQ Corp.(2)

      92,449       $ 2,930,633   
     

 

 

  
      $ 2,930,633   
     

 

 

  

Diversified Telecommunication Services — 4.0%

      

Verizon Communications, Inc.

      274,328       $ 15,318,476   

Zayo Group Holdings, Inc.(2)

      202,108         5,644,876   
     

 

 

  
      $ 20,963,352   
     

 

 

  

Electric Utilities — 1.9%

      

NextEra Energy, Inc.

      77,018       $ 10,043,147   
     

 

 

  
      $ 10,043,147   
     

 

 

  

Electrical Equipment — 1.5%

      

Rockwell Automation, Inc.

      70,063       $ 8,044,634   
     

 

 

  
      $ 8,044,634   
     

 

 

  

 

1

 

 

                                                 
Security    Shares      Value  

Energy Equipment & Services — 1.2%

      

Schlumberger, Ltd.

      77,365       $ 6,118,024   
     

 

 

  
      $ 6,118,024   
     

 

 

  

Food & Staples Retailing — 1.3%

      

Kroger Co. (The)

      180,562       $ 6,642,876   
     

 

 

  
      $ 6,642,876   
     

 

 

  

Food Products — 4.5%

      

General Mills, Inc.

      100,441       $ 7,163,452   

Kellogg Co.

      111,936         9,139,574   

Mondelez International, Inc., Class A

      164,686         7,494,860   
     

 

 

  
      $ 23,797,886   
     

 

 

  

Health Care Equipment & Supplies — 2.3%

      

Medtronic PLC

      72,030       $ 6,250,043   

Zimmer Biomet Holdings, Inc.

      49,397         5,946,411   
     

 

 

  
      $ 12,196,454   
     

 

 

  

Household Durables — 1.9%

      

Newell Brands, Inc.

      141,346       $ 6,865,175   

Whirlpool Corp.

      17,257         2,875,707   
     

 

 

  
      $ 9,740,882   
     

 

 

  

Industrial Conglomerates — 5.9%

      

Danaher Corp.

      137,163       $ 13,853,463   

General Electric Co.

      545,499         17,172,309   
     

 

 

  
      $ 31,025,772   
     

 

 

  

Insurance — 2.2%

      

Aflac, Inc.

      97,551       $ 7,039,280   

American Financial Group, Inc.

      60,195         4,450,217   
     

 

 

  
      $ 11,489,497   
     

 

 

  

Internet & Catalog Retail — 3.4%

      

Amazon.com, Inc.(2)

      24,570       $ 17,582,783   
     

 

 

  
      $ 17,582,783   
     

 

 

  

Internet Software & Services — 6.1%

      

Alphabet, Inc., Class C(2)

      35,072       $ 24,273,331   

Facebook, Inc., Class A(2)

      68,820         7,864,750   
     

 

 

  
      $ 32,138,081   
     

 

 

  

IT Services — 2.7%

      

Visa, Inc., Class A

      192,750       $ 14,296,268   
     

 

 

  
      $ 14,296,268   
     

 

 

  

Media — 1.6%

      

ITV PLC

      1,005,930       $ 2,411,892   

Time Warner, Inc.

      78,981         5,808,263   
     

 

 

  
      $ 8,220,155   
     

 

 

  

Multi-Utilities — 1.7%

      

Sempra Energy

      78,341       $ 8,932,441   
     

 

 

  
      $ 8,932,441   
     

 

 

  

Oil, Gas & Consumable Fuels — 5.6%

      

Chevron Corp.

      103,250       $ 10,823,697   

EOG Resources, Inc.

      68,631         5,725,198   

Occidental Petroleum Corp.

      95,994         7,253,307   

Royal Dutch Shell PLC, Class B

      210,670         5,820,511   
     

 

 

  
      $ 29,622,713   
     

 

 

  

 

2

 

 

                                                 
Security    Shares      Value  

Pharmaceuticals — 11.3%

      

Allergan PLC(2)

      52,072       $ 12,033,319   

Bristol-Myers Squibb Co.

      133,168         9,794,506   

Eli Lilly & Co.

      102,475         8,069,906   

Johnson & Johnson

      127,960         15,521,548   

Pfizer, Inc.

      251,968         8,871,793   

Teva Pharmaceutical Industries, Ltd. ADR

      99,377         4,991,707   
     

 

 

  
      $ 59,282,779   
     

 

 

  

Real Estate Investment Trusts (REITs) — 4.0%

      

Equity Residential

      135,193       $ 9,312,094   

Federal Realty Investment Trust

      35,845         5,934,140   

Simon Property Group, Inc.

      27,497         5,964,099   
     

 

 

  
      $ 21,210,333   
     

 

 

  

Semiconductors & Semiconductor Equipment — 3.6%

      

Intel Corp.

      230,934       $ 7,574,635   

NXP Semiconductors NV(2)

      143,782         11,263,882   
     

 

 

  
      $ 18,838,517   
     

 

 

  

Software — 3.3%

      

Microsoft Corp.

      334,551       $ 17,118,975   
     

 

 

  
      $ 17,118,975   
     

 

 

  

Specialty Retail — 3.8%

      

Home Depot, Inc. (The)

      76,846       $ 9,812,466   

Lowe’s Cos., Inc.

      96,900         7,671,573   

Sally Beauty Holdings, Inc.(2)

      92,018         2,706,249   
     

 

 

  
      $ 20,190,288   
     

 

 

  

Technology Hardware, Storage & Peripherals — 3.5%

      

Apple, Inc.

      190,155       $ 18,178,818   
     

 

 

  
      $ 18,178,818   
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.6%

      

NIKE, Inc., Class B

      150,831       $ 8,325,871   
     

 

 

  
      $ 8,325,871   
     

 

 

  

Tobacco — 2.5%

      

Altria Group, Inc.

      190,948       $ 13,167,774   
     

 

 

  
      $ 13,167,774   
     

 

 

  

Total Common Stocks
(identified cost $448,669,387)

       $ 524,001,624   
     

 

 

  

Short-Term Investments — 0.6%

      
Description   

Interest

(000’s omitted)

      Value  

Eaton Vance Cash Reserves Fund, LLC, 0.52%(3)

    $ 2,921       $ 2,921,415   
     

 

 

  

Total Short-Term Investments
(identified cost $2,921,415)

       $ 2,921,415   
     

 

 

  

Total Investments — 100.5%
(identified cost $451,590,802)

       $ 526,923,039   
     

 

 

  

 

3

 

 

                                                 

Covered Call Options Written — (0.5)%

      

 

                                                                                                   
Security    Number of
Contracts		      Strike
Price		      Expiration
Date		      Value  

Aflac, Inc.

      485       $ 72.50         8/19/16       $ (79,540 ) 

Allergan PLC

      260         247.50         7/1/16         (3,250 ) 

Allergan PLC

      260         242.50         7/29/16         (78,650 ) 

Alphabet, Inc., Class C

      175         745.00         7/22/16         (6,125 ) 

Altria Group, Inc.

      950         70.00         7/29/16         (70,300 ) 

Amazon.com, Inc.

      130         742.50         7/1/16         (975 ) 

American Financial Group, Inc.

      300         75.00         8/19/16         (40,500 ) 

Apple, Inc.

      950         103.00         7/1/16         (475 ) 

Bristol-Myers Squibb Co.

      665         73.50         7/1/16         (20,948 ) 

C.H. Robinson Worldwide, Inc.

      505         77.50         7/15/16         (8,837 ) 

Celgene Corp.

      370         103.00         7/29/16         (52,725 ) 

Charles Schwab Corp. (The)

      1,550         31.00         7/15/16         (7,750 ) 

Chevron Corp.

      515         104.00         7/29/16         (139,565 ) 

Cisco Systems, Inc.

      1,195         30.00         7/8/16         (1,195 ) 

Constellation Brands, Inc., Class A

      230         165.00         8/19/16         (110,400 ) 

Danaher Corp.

      685         105.00         8/19/16         (54,800 ) 

Eli Lilly & Co.

      510         81.50         8/5/16         (47,430 ) 

EOG Resources, Inc.

      340         86.00         7/1/16         (2,040 ) 

Equity Residential

      535         74.50         7/15/16         (6,687 ) 

Facebook, Inc., Class A

      465         120.00         7/15/16         (7,672 ) 

Federal Realty Investment Trust

      175         170.00         8/19/16         (35,494 ) 

General Electric Co.

      2,725         32.00         7/29/16         (91,288 ) 

General Mills, Inc.

      500         70.00         8/19/16         (126,250 ) 

Goldman Sachs Group, Inc. (The)

      275         157.50         7/22/16         (24,338 ) 

Home Depot, Inc. (The)

      380         131.00         7/29/16         (33,630 ) 

Intel Corp.

      1,150         34.00         8/5/16         (48,126 ) 

International Paper Co.

      375         44.00         7/1/16         (1,875 ) 

Johnson & Johnson

      640         120.00         7/15/16         (122,880 ) 

JPMorgan Chase & Co.

      950         67.50         7/1/16         (950 ) 

Kellogg Co.

      555         90.00         8/19/16         (34,688 ) 

Kroger Co. (The)

      900         37.50         7/15/16         (24,750 ) 

LKQ Corp.

      460         32.50         8/19/16         (40,250 ) 

Lowe’s Cos., Inc.

      480         82.50         7/15/16         (5,760 ) 

Medtronic PLC

      450         85.00         7/8/16         (85,050 ) 

Medtronic PLC

      360         88.50         8/5/16         (25,020 ) 

MetLife, Inc.

      785         47.50         7/1/16         (9,812 ) 

Microsoft Corp.

      1,670         54.00         7/1/16         (835 ) 

Mondelez International, Inc., Class A

      820         47.00         8/19/16         (107,830 ) 

Newell Brands, Inc.

      705         52.50         8/19/16         (26,438 ) 

NextEra Energy, Inc.

      385         135.00         8/19/16         (35,997 ) 

NIKE, Inc., Class B

      750         56.00         7/29/16         (68,625 ) 

NXP Semiconductors NV

      715         82.00         7/29/16         (125,125 ) 

Occidental Petroleum Corp.

      480         77.50         7/8/16         (8,640 ) 

Pfizer, Inc.

      1,070         36.50         7/22/16         (6,420 ) 

PNC Financial Services Group, Inc. (The)

      375         92.50         7/15/16         (750 ) 

PPG Industries, Inc.

      220         110.00         7/15/16         (2,200 ) 

Rockwell Automation, Inc.

      265         125.00         7/15/16         (5,300 ) 

Sally Beauty Holdings, Inc.

      460         30.00         8/19/16         (44,850 ) 

Schlumberger, Ltd.

      385         79.00         7/8/16         (39,270 ) 

Sempra Energy

      390         115.00         8/19/16         (77,405 ) 

Simon Property Group, Inc.

      135         220.00         8/19/16         (57,713 ) 

Teva Pharmaceutical Industries, Ltd. ADR

      495         57.00         7/8/16         (1,485 ) 

Time Warner, Inc.

      390         73.00         7/29/16         (78,975 ) 

United Technologies Corp.

      540         104.00         7/8/16         (10,800 ) 

Verizon Communications, Inc.

      1,370         56.50         8/5/16         (62,580 ) 

Visa, Inc., Class A

      960         83.00         7/8/16         (7,680 ) 

Wells Fargo & Co.

      1,195         52.00         7/8/16         (448,125 ) 

Whirlpool Corp.

      85         170.00         7/29/16         (38,888 ) 

 

4

 

 

                                                                                                   
Security    Number of
Contracts		      Strike
Price		      Expiration
Date		      Value  

Zayo Group Holdings, Inc.

      1,010       $ 30.00         7/15/16       $ (12,625 ) 

Zimmer Biomet Holdings, Inc.

      280         125.00         7/15/16         (3,500 ) 
           

 

 

  

Total Covered Call Options Written
(premiums received $2,819,368)

             $ (2,722,081 ) 
           

 

 

  

Other Assets, Less Liabilities — 0.0%(4)

             $ 99,687   
           

 

 

  

Net Assets — 100.0%

             $ 524,300,645   
           

 

 

  

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 June 30, 2016 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, 2016. Net income allocated from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended June 30, 2016 was $12,643.

 

(4) Amount is less than 0.05%.

Abbreviations:

 

ADR

   -   American Depositary Receipt

Written options activity for the fiscal year to date ended June 30, 2016 was as follows:

 

     Number of
Contracts		      Premiums
Received		  
Outstanding, beginning of period      39,470       $ 3,382,526   
Options written      320,835         24,275,622   
Options terminated in closing purchase transactions      (156,140 )       (11,585,157 ) 
Options expired      (166,780 )       (13,253,623 ) 
  

 

 

     

 

 

  

Outstanding, end of period

      37,385       $     2,819,368   
  

 

 

     

 

 

  

At June 30, 2016, 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 June 30, 2016, 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 $2,722,081.

The cost and unrealized appreciation (depreciation) of investments of the Fund at June 30, 2016, as determined on a federal income tax basis, were as follows:

 

Aggregate cost

    $ 451,851,280   
  

 

 

  

Gross unrealized appreciation

    $ 85,633,143   

Gross unrealized depreciation

      (10,561,384 ) 
  

 

 

  

Net unrealized appreciation

    $     75,071,759   
  

 

 

  

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

 

 

5

 

 

•  

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, 2016, 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

    $ 64,578,720       $ 2,411,892       $ —       $ 66,990,612   

Consumer Staples

      50,225,694         —         —         50,225,694   

Energy

      29,920,226         5,820,511         —         35,740,737   

Financials

      79,841,793         —         —         79,841,793   

Health Care

      78,863,957         —         —         78,863,957   

Industrials

      55,910,079         —         —         55,910,079   

Information Technology

      107,448,111         —         —         107,448,111   

Materials

      9,041,701         —         —         9,041,701   

Telecommunication Services

      20,963,352         —         —         20,963,352   

Utilities

      18,975,588         —         —         18,975,588   

Total Common Stocks

    $     515,769,221       $     8,232,403 *     $     —       $     524,001,624   

Short-Term Investments

    $ —       $ 2,921,415       $ —       $ 2,921,415   

Total Investments

    $ 515,769,221       $ 11,153,818       $ —       $ 526,923,039   
Liability Description                                

Covered Call Options Written

    $ (2,722,081 )     $ —       $ —       $ (2,722,081 ) 

Total

    $ (2,722,081 )     $ —       $ —       $ (2,722,081 ) 

 

* 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 September 30, 2015 whose fair value was determined using Level 3 inputs. At June 30, 2016, 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.

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/ Michael A. Allison
  Michael A. Allison
  President
Date:   August 22, 2016

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:   August 22, 2016
By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   August 22, 2016