Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (n-q)

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

Form N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-22348

Investment Company Act File Number

 

 

eUnits™ 2 Year U.S. Market Participation Trust:

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)

 

 

[phone]

(Registrant’s Telephone Number, Including Area Code)

January 30, 2013

Date of Fiscal Year End

October 24, 2012

Date of Reporting Period

 

 

 

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Item 1. Schedule of Investments

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eUnits™ 2 Year U.S. Market Participation Trust:

Upside to Cap / Buffered Downside

October 24, 2012

PORTFOLIO OF INVESTMENTS (Unaudited)

U.S. Treasury Obligations — 94.2%

 

Security		Principal Amount (000’s omitted)				Value
U.S. Treasury Note, 1.00%, 1/15/14		$	25,875			$	26,118,587
Total U.S. Treasury Obligations (identified cost $26,123,495)						$	26,118,587
Total Investments — 94.2% (identified cost $26,123,495)						$	26,118,587
Structured Options — 4.6%* (net premiums receivable $286,495)						$	1,272,123
Other Assets, Less Liabilities — 1.2%						$	340,454
Net Assets — 100.0%						$	27,731,164

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

 

*	See detail attached.

The cost and unrealized appreciation (depreciation) of investments of the Trust at October 24, 2012, as determined on a federal income tax basis, were as follows:

 

Aggregate cost		$	26,123,495
Gross unrealized appreciation		$	—
Gross unrealized depreciation			(4,908	)
Net unrealized depreciation		$	(4,908	)

A summary of open financial instruments at October 24, 2012 is as follows:

Over-The-Counter Structured Options

 

Description		Counterparty		Notional Amount				Expiration Date				Market Value				Net Unrealized Appreciation
Long Call Spread plus Short Put Single Pay Contract (1)		Barclays Bank PLC		$	8,727,967				1/24/2014			$	420,832			$	515,968
Long Call Spread plus Short Put Single Pay Contract (2)		Credit Suisse International			8,727,967				1/24/2014				423,485				518,622
Long Call Spread plus Short Put Single Pay Contract (3)		Morgan Stanley & Co. International PLC			8,827,956				1/24/2014				427,806				524,028
				$	26,283,890							$	1,272,123			$	1,558,618

 

1

 

 

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(1)	Contract represents 3 embedded options on the S&P 500 Index consisting of 1) a purchased call option with a strike price of $1,318.43, 2) a written call option with a strike price of $1,553.77 and 3) a written put option with a strike price of $1,120.67.

 

(2)	Contract represents 3 embedded options on the S&P 500 Index consisting of 1) a purchased call option with a strike price of $1,318.43, 2) a written call option with a strike price of $1,555.09 and 3) a written put option with a strike price of $1,120.67.

 

(3)	Contract represents 3 embedded options on the S&P 500 Index consisting of 1) a purchased call option with a strike price of $1,318.43, 2) a written call option with a strike price of $1,554.82 and 3) a written put option with a strike price of $1,120.67.

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 January 24, 2014 (the Trust’s 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 Trust’s Termination Date. The price performance of the S&P 500 Composite Stock Price 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 Trust’s commitments under the structured option contracts are collateralized by its investment in U.S. Treasuries.

At October 24, 2012, 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 $1,272,123.

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 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 October 24, 2012, the hierarchy of inputs used in valuing the Trust’s investments and open derivative instruments, which are carried at value, were as follows:

 

Asset Description		Level 1				Level 2				Level 3				Total
U.S. Treasury Obligations		$	—			$	26,118,587			$	—			$	26,118,587
Total Investments		$	—			$	26,118,587			$	—			$	26,118,587
Structured Options		$	—			$	1,272,123			$	—			$	1,272,123
Total		$	—			$	27,390,710			$	—			$	27,390,710

For information on the Trust’s policy regarding the valuation of investments and other significant accounting policies, please refer to the Trust’s most recent financial statements included in its semiannual report to shareholders.

 

2

 

 

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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.

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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: Upside to Cap / Buffered Downside

 

By:		/s/ Duncan W. Richardson
		Duncan W. Richardson
		President
Date:		December 17, 2012

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/ Duncan W. Richardson
		Duncan W. Richardson
		President
Date:		December 17, 2012

 

By:		/s/ Barbara E. Campbell
		Barbara E. Campbell
		Treasurer
Date:		December 17, 2012