Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)
23 Oktober 2013 - 8:39PM
Edgar (US Regulatory)
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 26, 2014
Date of Fiscal Year End
August 26, 2013
Date of Reporting Period
Item 1. Schedule of Investments
eUnits 2 Year U.S. Market Participation Trust II:
Upside to Cap / Buffered Downside
August 26, 2013
PORTFOLIO OF
INVESTMENTS (Unaudited)
U.S. Treasury Obligations 85.2%
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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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19,949,843
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Total U.S. Treasury Obligations
(identified cost $19,922,377)
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$
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19,949,843
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Total Investments 85.2%
(identified cost $19,922,377)
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$
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19,949,843
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Structured Options 13.8%*
(net premiums receivable $182,933)
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$
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3,223,920
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Other Assets, Less Liabilities 1.0%
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$
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251,716
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Net Assets 100.0%
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$
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23,425,479
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The percentage shown for each investment category in the Portfolio of Investments is based on net assets.
*
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See attached for a detailed listing of Structured Options open at August 26, 2013.
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The cost and unrealized appreciation (depreciation) of investments of the Trust at August 26, 2013, 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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19,922,377
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Gross unrealized appreciation
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$
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27,466
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Gross unrealized depreciation
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Net unrealized appreciation
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$
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27,466
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A summary of open financial instruments at August 26, 2013 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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1,070,740
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$
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1,131,414
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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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1,086,799
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1,148,383
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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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1,066,381
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1,127,056
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$
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20,102,487
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$
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3,223,920
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$
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3,406,853
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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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1
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 May 21, 2014 (the Trusts 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 Trusts Termination Date. The price performance of the S&P 500 Composite Stock Price Index embedded in the structured
option contracts corresponds to the price performance that the Trust seeks in accordance with its investment objective. The Trusts commitments under the structured option contracts are collateralized by its investment in U.S. Treasuries.
At August 26, 2013, the aggregate fair value of open 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 $3,223,920.
Under generally
accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the
three broad levels listed below.
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Level 1 quoted prices in active markets for identical investments
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Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk,
etc.)
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Level 3 significant unobservable inputs (including a funds own assumptions in determining the fair value of investments)
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In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing
in those securities.
At August 26, 2013, the hierarchy of inputs used in valuing the Trusts investments and open derivative
instruments, which are carried at value, were as follows:
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Asset Description
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Level 1
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Level 2
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Level 3
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Total
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U.S. Treasury Obligations
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$
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$
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19,949,843
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$
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$
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19,949,843
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Total Investments
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$
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$
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19,949,843
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$
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$
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19,949,843
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Structured Options
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$
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$
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3,223,920
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$
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$
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3,223,920
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Total
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$
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$
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23,173,763
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$
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$
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23,173,763
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The Trust held no investments or other financial instruments as of May 27, 2013 whose fair value was determined
using Level 3 inputs. At August 26, 2013, there were no investments transferred between Level 1 and Level 2 during the fiscal year to date then ended.
For information on the Trusts policy regarding the valuation of investments and other significant accounting policies, please refer to the Trusts most recent financial statements included in
its semiannual or annual report to shareholders.
2
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/ Payson F. Swaffield
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Payson F. Swaffield
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President
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Date:
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October 25, 2013
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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/ Payson F. Swaffield
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Payson F. Swaffield
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President
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Date:
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October 25, 2013
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By:
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/s/ James F. Kirchner
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James F. Kirchner
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Treasurer
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Date:
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October 25, 2013
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