Eaton Vance Tax-Advantaged Bond & Option Strategies Fund

 

 

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

811-22380

Investment Company Act File Number

Eaton Vance Tax-Advantaged Bond and Option Strategies 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)

December 31

Date of Fiscal Year End

March 31, 2018

Date of Reporting Period

 

 

 

Item 1. Schedule of Investments

Eaton Vance

Tax-Advantaged Bond and Option Strategies Fund

March 31, 2018

PORTFOLIO OF INVESTMENTS (Unaudited)

Tax-Exempt Municipal Securities — 92.3%

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Bond Bank — 2.4%

 

New York Environmental Facilities Corp., (New York City Municipal Water Finance Authority), 5.00%, 6/15/25

    $ 1,000      $ 1,185,470  

Vermont Municipal Bond Bank, 5.00%, 12/1/19

      705        743,881  

Vermont Municipal Bond Bank, 5.00%, 12/1/22

      435        491,550  
     

 

 

  
   $ 2,420,901  
     

 

 

  

Education — 7.5%

 

Connecticut State Health and Educational Facility Authority, (Yale University), 5.00% to 2/1/23 (Put Date), 7/1/57

    $ 5,000      $ 5,667,200  

New York Dormitory Authority, (School Districts), 5.00%, 10/1/25

      1,000        1,179,620  

Southwest Higher Education Authority, TX, (Southern Methodist University), 5.00%, 10/1/21

      425        467,526  

University of North Texas, 5.00%, 4/15/18

      290        290,336  
     

 

 

  
   $ 7,604,682  
     

 

 

  

Electric Utilities — 0.7%

 

San Antonio, TX, Electric and Gas Systems Revenue, 5.00%, 2/1/22

    $ 600      $ 666,930  
     

 

 

  
   $ 666,930  
     

 

 

  

Escrowed/Prerefunded — 2.7%

 

Leander Independent School District, TX, (PSF Guaranteed), Prerefunded to 8/15/24, 0.00%, 8/15/44

    $ 9,500      $ 2,758,515  
     

 

 

  
   $ 2,758,515  
     

 

 

  

General Obligations — 48.7%

 

Arkansas, 5.00%, 6/15/21

    $ 5,000      $ 5,490,300  

Beaufort County School District, SC, 5.00%, 3/1/19(1)

      5,370        5,536,900  

Bergen County, NJ, 3.00%, 11/1/24

      2,575        2,689,227  

Denton Independent School District, TX, (PSF Guaranteed), 0.00%, 8/15/23

      2,000        1,746,100  

Florida Board of Education, 5.00%, 6/1/22

      3,050        3,262,615  

Holden, MA, 5.00%, 6/15/21

      625        685,475  

Irving, TX, 4.00%, 9/15/26

      1,190        1,325,196  

Judson Independent School District, TX, (PSF Guaranteed), 5.00%, 2/1/25

      1,870        2,180,850  

King County, WA, 5.00%, 1/1/27

      1,000        1,114,130  

Liberty Hill Independent School District, TX, (PSF Guaranteed), 0.00%, 8/1/21

      315        294,717  

Maryland, 5.00%, 3/1/22

      2,000        2,229,400  

Massachusetts, 5.00%, 7/1/23(1)

      2,000        2,285,480  

Minnesota, 5.00%, 8/1/23

      500        572,985  

Mississippi, 5.00%, 10/1/25

      1,735        2,044,038  

Montgomery County, MD, 5.00%, 11/1/26

      2,000        2,322,560  

New York, 5.00%, 2/15/27

      1,000        1,217,220  

North Carolina, 5.00%, 6/1/24

      4,000        4,664,480  

North Ridgeville City School District, OH, 0.00%, 12/1/23

      530        461,233  

Plano Independent School District, TX, (PSF Guaranteed), 5.00%, 2/15/25

      365        425,491  

Texas, (Texas Water Development Board), 5.00%, 8/1/23

      1,135        1,298,826  

 

1

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Victor Valley Union High School District, CA, (Election of 2008), Prerefunded to 8/1/23, 0.00%, 8/1/48

    $ 7,310      $ 1,551,913  

Washington, 5.00%, 8/1/25

      3,000        3,525,570  

Wisconsin, 5.00%, 5/1/20(1)

      2,255        2,405,296  
     

 

 

  
      $ 49,330,002  
     

 

 

  

Hospital — 6.7%

 

Allen County, OH, Hospital Facilities, (Catholic Healthcare Partners), 5.00%, 9/1/20(1)

    $ 5,000      $ 5,363,500  

Massachusetts Development Finance Agency, (Partners HealthCare System), 2.08%, (SIFMA + 0.50%), 1/26/23 (Put Date), 7/1/38(2)

      1,000        1,002,850  

Middlesex County, NJ, 2.00%, 6/1/21

      380        382,553  
     

 

 

  
      $ 6,748,903  
     

 

 

  

Lease Revenue/Certificates of Participation — 2.3%

 

Cabarrus County Limited Obligation Bonds, NC, 5.00%, 6/1/25

    $ 545      $ 637,312  

Virginia College Building Authority, (21st Century College and Equipment Programs), 5.00%, 2/1/24

      1,500        1,726,725  
     

 

 

  
      $ 2,364,037  
     

 

 

  

Other Revenue — 2.3%

 

California Infrastructure and Economic Development Bank, (The J. Paul Getty Trust), Series 2011 A-3, 1.774%, (70% of 3 mo. USD LIBOR + 0.37%), 4/1/20 (Put Date), 4/1/38(2)

    $ 1,300      $ 1,303,224  

California Infrastructure and Economic Development Bank, (The J. Paul Getty Trust), Series 2011 A-4, 1.774%, (70% of 3 mo. USD LIBOR + 0.37%), 4/1/20 (Put Date), 4/1/38(2)

      1,000        1,002,480  
     

 

 

  
      $ 2,305,704  
     

 

 

  

Transportation — 12.4%

 

Bay Area Toll Authority, CA, (San Francisco Bay Area), 1.736%, (70% of 3 mo. USD LIBOR + 0.55%), 4/1/21 (Put Date), 4/1/45(2)

    $ 2,500      $ 2,518,250  

New York State Thruway Authority, 5.00%, 4/1/18(1)

      10,000        10,000,000  
     

 

 

  
      $ 12,518,250  
     

 

 

  

Water and Sewer — 6.6%

 

California Department of Water Resources, (Central Valley Project), 1.80%, (SIFMA+ 0.22%), 12/1/20 (Put Date), 12/1/35(2)

    $ 2,275      $ 2,275,478  

Seattle, WA, Solid Waste Revenue, 5.00%, 8/1/21

      1,415        1,556,245  

Washington Suburban Sanitary District, MD, 4.00%, 6/1/25

      2,550        2,838,201  
     

 

 

  
      $ 6,669,924  
     

 

 

  

Total Tax-Exempt Municipal Securities — 92.3%
(identified cost $93,384,027)

       $ 93,387,848  
     

 

 

  

Taxable Municipal Securities — 6.5%

 

Security    Principal
Amount
(000’s omitted)		      Value  

Education — 1.6%

 

University of North Carolina at Chapel Hill, 2.098%, 12/1/19

    $ 1,135      $ 1,131,992  

University of North Carolina at Chapel Hill, 2.355%, 12/1/20

      500        496,540  
     

 

 

  
      $ 1,628,532  
     

 

 

  

 

2

 

 

                                                 
Security    Principal
Amount
(000’s omitted)		      Value  

Special Tax Revenue — 4.9%

      

New York City Transitional Finance Authority, NY, Future Tax Revenue, 2.86%, 8/1/25

    $ 5,000      $ 4,896,050  
     

 

 

  
      $ 4,896,050  
     

 

 

  

Total Taxable Municipal Securities — 6.5%
(identified cost $6,635,000)

       $ 6,524,582  
     

 

 

  

Short-Term Investments — 1.6%

      
Description    Units      Value  

Eaton Vance Cash Reserves Fund, LLC, 1.89%(3)

      1,633,750      $ 1,633,424  
     

 

 

  

Total Short-Term Investments — 1.6%
(identified cost $1,633,587)

       $ 1,633,424  
     

 

 

  

Total Purchased Options — 0.5%
(identified cost $440,776)

       $ 519,305  
     

 

 

  

Total Investments — 100.9%
(identified cost $102,093,390)

       $ 102,065,159  
     

 

 

  

Total Written Options — (1.9)%
(premiums received $1,766,939)

       $ (1,893,585 ) 
     

 

 

  

Other Assets, Less Liabilities — 1.0%

       $ 1,012,197  
     

 

 

  

Net Assets — 100.0%

       $ 101,183,771  
     

 

 

  

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

At March 31, 2018, the concentration of the Fund’s investments in the various states, determined as a percentage of net assets, is as follows:

 

                        

New York

      18.3 % 

Texas

      11.3 % 

Others, representing less than 10% individually

      70.8 % 

 

                                                                                                                            

Purchased Call Options — 0.2%

 

Exchange-Traded Options — 0.2%

 

Description    Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value  

S&P 500 Index

      63      $ 16,637,481      $ 2,900        4/2/18      $ 31,500  

S&P 500 Index

      63        16,637,481        2,900        4/4/18        31,500  

S&P 500 Index

      61        16,109,307        2,975        4/6/18        30,500  

S&P 500 Index

      60        15,845,220        2,975        4/9/18        30,000  

S&P 500 Index

      59        15,581,133        2,950        4/11/18        29,500  

S&P 500 Index

      61        16,109,307        2,950        4/13/18        30,500  

 

3

 

 

                                                                                                                            
Description    Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value  

S&P 500 Index

      62      $ 16,373,394      $ 2,910        4/16/18      $ 1,085  

S&P 500 Index

      62        16,373,394        2,920        4/18/18        1,395  

S&P 500 Index

      56        14,788,872        2,860        4/20/18        3,920  

S&P 500 Index

      55        14,524,785        2,830        4/23/18        9,075  

S&P 500 Index

      50        13,204,350        2,830        4/25/18        9,625  

S&P 500 Index

      60        15,845,220        2,840        4/27/18        11,250  
              

 

 

  

Total

                $ 219,850  
              

 

 

  

Purchased Put Options — 0.3%

 

Exchange-Traded Options — 0.3%

 

Description    Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value  

S&P 500 Index

      63      $ 16,637,481      $ 2,420        4/2/18      $ 31,500  

S&P 500 Index

      63        16,637,481        2,425        4/4/18        3,465  

S&P 500 Index

      61        16,109,307        2,520        4/6/18        21,045  

S&P 500 Index

      60        15,845,220        2,525        4/9/18        32,700  

S&P 500 Index

      59        15,581,133        2,500        4/11/18        33,335  

S&P 500 Index

      61        16,109,307        2,500        4/13/18        45,445  

S&P 500 Index

      62        16,373,394        2,440        4/16/18        28,210  

S&P 500 Index

      62        16,373,394        2,440        4/18/18        34,720  

S&P 500 Index

      56        14,788,872        2,350        4/20/18        17,360  

S&P 500 Index

      55        14,524,785        2,300        4/23/18        13,475  

S&P 500 Index

      50        13,204,350        2,300        4/25/18        14,500  

S&P 500 Index

      60        15,845,220        2,325        4/27/18        23,700  
              

 

 

  

Total

 

    $ 299,455  
              

 

 

  

Written Call Options — (0.5)%

 

Exchange-Traded Options — (0.5)%

 

Description    Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value  

S&P 500 Index

      63      $ 16,637,481      $ 2,765        4/2/18      $ (31,500 ) 

S&P 500 Index

      63        16,637,481        2,780        4/4/18        (31,500 ) 

S&P 500 Index

      61        16,109,307        2,840        4/6/18        (762 ) 

S&P 500 Index

      60        15,845,220        2,840        4/9/18        (30,000 ) 

S&P 500 Index

      59        15,581,133        2,825        4/11/18        (2,212 ) 

S&P 500 Index

      61        16,109,307        2,815        4/13/18        (5,033 ) 

S&P 500 Index

      62        16,373,394        2,780        4/16/18        (15,035 ) 

S&P 500 Index

      62        16,373,394        2,785        4/18/18        (17,980 ) 

S&P 500 Index

      56        14,788,872        2,730        4/20/18        (60,760 ) 

S&P 500 Index

      55        14,524,785        2,700        4/23/18        (111,375 ) 

S&P 500 Index

      50        13,204,350        2,700        4/25/18        (108,750 ) 

S&P 500 Index

      60        15,845,220        2,710        4/27/18        (120,900 ) 
              

 

 

  

Total

 

    $ (535,807 ) 
              

 

 

  

 

4

 

 

                                                                                                                            

Written Put Options — (1.4)%

 

Exchange-Traded Options — (1.4)%

 

Description    Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value  

S&P 500 Index

      63      $ 16,637,481      $ 2,555        4/2/18      $ (2,678 ) 

S&P 500 Index

      63        16,637,481        2,560        4/4/18        (22,680 ) 

S&P 500 Index

      61        16,109,307        2,655        4/6/18        (220,820 ) 

S&P 500 Index

      60        15,845,220        2,660        4/9/18        (250,200 ) 

S&P 500 Index

      59        15,581,133        2,635        4/11/18        (197,060 ) 

S&P 500 Index

      61        16,109,307        2,635        4/13/18        (222,345 ) 

S&P 500 Index

      62        16,373,394        2,575        4/16/18        (121,210 ) 

S&P 500 Index

      62        16,373,394        2,575        4/18/18        (137,020 ) 

S&P 500 Index

      56        14,788,872        2,480        4/20/18        (51,240 ) 

S&P 500 Index

      55        14,524,785        2,425        4/23/18        (34,375 ) 

S&P 500 Index

      50        13,204,350        2,430        4/25/18        (37,250 ) 

S&P 500 Index

      60        15,845,220        2,455        4/27/18        (60,900 ) 
              

 

 

  

Total

 

    $ (1,357,778 ) 
              

 

 

  

 

(1) Security (or a portion thereof) has been pledged as collateral for written option contracts.

 

(2) Floating rate security. The stated interest rate represents the rate in effect at March 31, 2018.

 

(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 March 31, 2018. Net income from the investment in Eaton Vance Cash Reserves Fund, LLC for the fiscal year to date ended March 31, 2018 was $4,834.

Abbreviations:

 

LIBOR

   -   London Interbank Offered Rate

PSF

   -   Permanent School Fund

SIFMA

   -   Securities Industry and Financial Markets Association Municipal Swap Index

USD

   -   United States Dollar

At March 31, 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 objective. The Fund enters into a series of S&P 500 written call and put option spread transactions to enhance return while limiting its maximum option loss potential. A written call option spread on a stock index consists of selling call options on the index and buying an equal number of call options on the same index and with the same expiration, but with a higher exercise price. A written put option spread on a stock index consists of selling put options on an index and buying an equal number of put options on the same index and with the same expiration, but with a lower exercise price. Any net premiums received are reduced by the premiums paid on the purchased options. The risk of loss if written options expire in the money is limited to the difference in exercise price of the written and purchased option positions. The Fund’s use of option spreads rather than stand alone options, staggering roll dates across the option position portfolio, and utilizing exchange-traded options guaranteed by the Options Clearing Corporation, a market clearinghouse, serve to mitigate risk in its option strategy.

 

5

 

 

The fair value of open derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is equity price risk at March 31, 2018 was as follows:

 

     Fair Value  

Derivative

    Asset
Derivative		      Liability
Derivative		  

Purchased options

    $ 519,305      $ —  

Written options

      —        (1,893,585 ) 
  

 

 

     

 

 

  

Total

    $     519,305      $     (1,893,585 ) 
  

 

 

     

 

 

  

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.

At March 31, 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  

Tax-Exempt Municipal Securities

    $ —      $ 93,387,848      $ —      $ 93,387,848  

Taxable Municipal Securities

      —        6,524,582        —        6,524,582  

Short-Term Investments

      —        1,633,424        —        1,633,424  

Purchased Call Options

      219,850        —        —        219,850  

Purchased Put Options

      299,455        —        —        299,455  

Total Investments

    $ 519,305      $     101,545,854      $     —      $     102,065,159  
Liability Description                          

Written Call Options

    $ (535,807 )     $ —      $ —      $ (535,807 ) 

Written Put Options

      (1,357,778 )       —        —        (1,357,778 ) 

Total

    $     (1,893,585 )     $ —      $ —      $ (1,893,585 ) 

At March 31, 2018, 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.

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 Tax-Advantaged Bond and Option Strategies Fund

 

By:   /s/ Payson F. Swaffield
  Payson F. Swaffield
  President
Date:   May 24, 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/ Payson F. Swaffield
  Payson F. Swaffield
  President
Date:   May 24, 2018

 

By:   /s/ James F. Kirchner
  James F. Kirchner
  Treasurer
Date:   May 24, 2018