UNITED STATES SECURITIES AND
EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-22663
Investment Company Act File Number
eUnits 2 Year U.S. Market Participation Trust II:
Upside to Cap / Buffered Downside
(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
(Registrants Telephone Number, Including Area Code)
May 27, 2013
Date of Fiscal Year End
August 27, 2012
Date of Reporting Period
Item 1. Schedule of Investments
eUnits 2 Year U.S. Market Participation Trust II:
Upside to Cap / Buffered Downside
August 27, 2012
PORTFOLIO OF
INVESTMENTS (Unaudited)
U.S. Treasury Obligations 96.4%
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Security
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Principal
Amount
(000s omitted)
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Value
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U.S. Treasury Note, 1.00%, 5/15/14
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$
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19,824
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$
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20,075,686
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Total U.S. Treasury Obligations
(identified cost $20,059,294)
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$
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20,075,686
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Total Investments 96.4%
(identified cost $20,059,294)
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$
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20,075,686
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Structured Options 2.6%*
(net premiums receivable $182,933)
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$
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554,876
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Other Assets, Less Liabilities 1.0%
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$
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203,623
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Net Assets 100.0%
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$
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20,834,185
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The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
eUnits 2 Year U.S.
Market Participation Trust II: Upside to Cap / Buffered Downside (the Trust) is a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (the 1940 Act) as a diversified, closed-end management investment company.
The Trust was organized on February 13, 2012 and remained inactive until May 29, 2012 except for matters relating to its organization and initial sale of 10,000 units of beneficial interest to Eaton Vance Management (EVM), the Trusts
investment adviser and administrator, for $100,000. The Trust issued 2,000,248 units of beneficial interest ($10.00 per unit) in connection with its initial public offering on May 29, 2012. The Trusts units of beneficial interest are
hereinafter referred to as Units. The Trust seeks to provide returns based on the price performance of the S&P 500 Composite Stock Price Index (the Index) by entering into over-the-counter private derivative contracts. If the Index
appreciates over the investment life of the Trust, the Trust seeks to provide a return on the initial net asset value of the Units equal to the percentage change in the price of the Index, up to a maximum return of 20.5%. If the Index depreciates
over the investment life of the Trust by 15% or less, the Trust seeks to return the initial net asset value of the Units. If the Index depreciates by more than 15% over the investment life of the Trust, the Trust seeks to outperform the Index price
change by 15% of the initial Index value. The Trust anticipates concluding its investment activities on or about May 21, 2014 (the Termination Date) and making a liquidating cash distribution to Unit holders within seven business days
thereafter. The Trusts fiscal year is based upon a 52-53 week, ending on the last Monday of each May.
Investment Valuation and Other
U.S. Treasury obligations are generally valued on the basis of valuations provided by third party pricing services, as derived from such
services pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices and yields of other U.S. Treasury obligations. Over-the-counter options are valued by a third party pricing
service using techniques that consider factors including the value of the underlying instrument, the volatility of the underlying instrument and the period of time until option expiration.
1
Investment transactions for financial statement purposes are accounted for on a trade date basis.
The cost and unrealized appreciation (depreciation) of investments of the Trust at August 27, 2012, as determined on a federal income
tax basis, were as follows:
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Aggregate cost
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$
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20,059,294
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Gross unrealized appreciation
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$
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16,392
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Gross unrealized depreciation
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Net unrealized appreciation
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$
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16,392
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A summary of open financial instruments at August 27, 2012 is as follows:
Over-The-Counter Structured Options
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Description
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Counterparty
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Notional
Amount
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Expiration
Date
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Market
Value
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Net Unrealized
Appreciation
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Long Call Spread plus Short Put Single Pay
Contract
(1)
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Barclays Bank PLC
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$
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6,667,496
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5/21/2014
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$
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184,702
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$
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251,210
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Long Call Spread plus Short Put Single Pay
Contract
(1)
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Credit Suisse International
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6,767,495
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5/21/2014
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187,472
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254,977
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Long Call Spread plus Short Put Single Pay
Contract
(2)
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Morgan Stanley & Co. International PLC
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6,667,496
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5/21/2014
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182,702
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231,622
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$
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20,102,487
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$
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554,876
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$
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737,809
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(1)
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Contract represents 3 embedded options on the S&P 500 Index consisting of 1) a purchased call option with a strike price of $1,332.42, 2) a written call option with
a strike price of $1,606.90 and 3) a written put option with a strike price of $1,132.56.
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(2)
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Contract represents 3 embedded options on the S&P 500 Index consisting of 1) a purchased call option with a strike price of $1,332.42, 2) a written call option with
a strike price of $1,605.57 and 3) a written put option with a strike price of $1,132.56.
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The Trust is subject to equity price
risk in the normal course of pursuing its investment objective. To achieve its investment objective, the Trust invests substantially all its net assets in U.S. Treasury obligations that mature on or shortly prior to the Termination Date and in
structured option contracts that provide for the Trust to pay or receive cash at the contracts settlement, which are scheduled to conclude on the Termination Date. The price performance of the Index imbedded in the structured option contracts
corresponds to the price performance that the Trust seeks in accordance with its investment objective as previously described. The Trusts commitments under the structured option contracts are collateralized by its investment in U.S.
Treasuries.
At August 27, 2012, the aggregate fair value of derivative instruments (not considered to be hedging instruments for
accounting disclosure purposes) in an asset position and whose primary underlying risk exposure is equity price risk was $554,876.
Under
generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is
summarized in the three broad levels listed below.
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Level 1 quoted prices in active markets for identical investments
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Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
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Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
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2
In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy,
the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with
investing in those securities.
At August 27, 2012, the hierarchy of inputs used in valuing the Trusts investments and open
derivative instruments, which are carried at value, were as follows:
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Asset Description
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Level 1
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Level 2
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Level 3
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Total
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U.S. Treasury Obligations
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$
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$
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20,075,686
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$
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$
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20,075,686
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Total Investments
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$
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$
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20,075,686
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$
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$
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20,075,686
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Structured Options
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$
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$
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554,876
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$
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$
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554,876
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Total
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$
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$
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20,630,562
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$
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$
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20,630,562
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3
Item 2. Controls and Procedures
(a) It is the conclusion of the registrants principal executive officer and principal financial officer that the effectiveness of the registrants 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 Commissions 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 registrants
principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.
(b) There have
been no changes in the registrants 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 registrants
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.
eUnits 2 Year U.S. Market Participation Trust II: Upside to Cap / Buffered Downside
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By:
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/s/ Duncan W. Richardson
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Duncan W. Richardson
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President
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Date:
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October 25, 2012
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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.
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By:
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/s/ Duncan W. Richardson
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Duncan W. Richardson
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President
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Date:
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October 25, 2012
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By:
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/s/ Barbara E. Campbell
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Barbara E. Campbell
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Treasurer
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Date:
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October 25, 2012
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