Eaton Vance Tax-Advantaged Bond And Option Strateg
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment
Company Act File Number: 811-22380
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
(Registrants Telephone Number)
December 31
Date of Fiscal Year End
December 31, 2011
Date of Reporting Period
Item 1. Reports to Stockholders
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Eaton Vance Tax-Advantaged Bond and Option Strategies Fund (EXD)
Annual Report December 31, 2011
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Managed Distribution Plan.
On March 10, 2009, the Fund received
authorization from the Securities and Exchange Commission to
distribute long-term capital gains to shareholders more
frequently than once per year. In this connection, the Board of
Trustees formally approved the implementation of a Managed
Distribution Plan (MDP) to make quarterly cash distributions to
common shareholders, stated in terms of a fixed amount per
common share.
The Fund intends to pay quarterly cash distributions equal to
$0.425 per share. You should not draw any conclusions
about the Funds investment performance from the amount of
these distributions or from the terms of the MDP. The MDP will
be subject to regular periodic review by the Funds Board
of Trustees.
With each distribution, the Fund will issue a notice to
shareholders and an accompanying press release which will
provide detailed information required by the Funds
exemptive order. The Funds Board of Trustees may amend or
terminate the MDP at any time without prior notice to Fund
shareholders. However, at this time there are no reasonably
foreseeable circumstances that might cause the termination of
the MDP.
Fund shares are not insured by the FDIC and are not deposits
or other obligations of, or guaranteed by, any depository
institution. Shares are subject to investment risks, including
possible loss of principal invested.
Annual Report
December 31,
2011
Eaton
Vance
Tax-Advantaged
Bond and Option Strategies Fund
Table of
Contents
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Managements Discussion of Fund Performance
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2
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Performance
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3
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Fund Profile
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3
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Endnotes and Additional Disclosures
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4
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Financial Statements
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5
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Report of Independent Registered Public Accounting Firm
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18
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Federal Tax Information
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19
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Dividend Reinvestment Plan
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20
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Management and Organization
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22
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Important Notices
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24
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Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Managements
Discussion of Fund
Performance1
Economic
and Market Conditions
In the early months of 2011, a sustainable U.S. economic
recovery appeared to be underway. By the second quarter,
however, Europes growing debt crisis led investors to
worry about the potential impact on the U.S. economy and
financial system. Investor anxiety was further fueled by
persistent weakness in the labor and housing markets,
Congressional wrangling over the federal debt ceiling, and the
Standard & Poors downgrade of the long-term U.S.
credit rating. Reacting to the domestic and overseas turmoil,
the S&P 500
Index2fell
sharply during the third quarter and spent much of the fourth
quarter clawing its way back, finishing 2011 virtually unchanged
from where it began the year.
Against this macro backdrop, Treasury and municipal interest
rates rose slightly in the first quarter of 2011, only to
decline amid a widespread flight to safety beginning in the
second quarter. Treasury prices rose as yields fell
significantly and equity markets lost ground in the third
quarter. Municipals rallied as well, but not to the same degree
because investors remained concerned about the ability of state
and local governments to address historically large fiscal
deficits and balance their budgets.
As the year progressed, however, several factors enabled
municipal performance to rebound. The massive municipal defaults
predicted by some observers did not materialize, while many
issuers budget situations began to recover. In addition,
the supply-demand equation for municipals improved as it became
clearer that the number of new issues in 2011 would decline
dramatically from 2010 levels.
With low Treasury yields driven by problems in Europe and the
Federal Reserves Operation Twist program
(central banks swapping its short-term holdings for
long-term Treasury bonds), municipals offered significantly
higher taxable-equivalent yields than Treasuries during 2011.
The ratio of
30-year
AAA4
municipal yields to
30-year
Treasury yields which historically has averaged less
than 100% due to municipals federally tax-exempt
status rose from 107.3% at the start of 2011 to
122.8% by year-end. Municipal prices rallied in late 2011 as
investors sought to lock in historically attractive municipal
yields.
Against this backdrop, the Barclays Capital Municipal Bond
Index a broad-based, unmanaged index of municipal
bonds gained 10.70%, while longer-term municipals,
as measured by the Barclays Capital Long (22+) Municipal Bond
Index, returned 14.88%.
Fund Performance
At net asset value (NAV) for the 12 months ending
December 31, 2011, Eaton Vance Tax-Advantaged Bond and
Option Strategies Fund returned 13.69%, outperforming its
primary benchmark, the BofA Merrill Lynch
3-Month U.S.
Treasury Bill Index (the Index), an unmanaged index of U.S.
Treasury securities maturing in 90 days, which returned
0.10% during the period.
During 2011, we fully invested in the Bond Strategy, which is
designed to provide capital preservation and a stable source of
tax-exempt income. We also systematically applied the Option
Overlay Strategy to 100% of net assets. Both strategies
contributed to 2011 performance.
The Bond Strategys strong 2011 returns were a function of
both the market environment and portfolio positioning. The
municipal bond market performed well, benefiting from a rally in
U.S. Treasuries and the lowest municipal bond supply in more
than 10 years. The Fund was well-positioned with a sizable
concentration in 10- to
12-year
issues, which fared better than other maturities within the
municipal bond market. We favored this maturity range because at
certain points during 2011, the extra yield on a
10-year
municipal bond versus a five-year municipal bond was the highest
in history. In addition, prices on
10-year
municipal bonds versus comparable maturity Treasuries were
relatively low. As yields on
10-year
municipal bonds came down, we reallocated some of these assets
to shorter-term bonds. The Bond Strategy had a duration of five
years early in 2011, which we reduced to four years as interest
rates declined.
The Option Overlay Strategy, which generated income by writing a
series of S&P 500 Index call and put spread option
transactions, is intended to provide returns that are
substantially uncorrelated to the returns of the S&P 500.
The Option Overlay Strategy limited potential losses to a
predetermined amount, which proved to be beneficial in a year of
heightened volatility.
See Endnotes and
Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns
are historical and are calculated by determining the percentage
change in net asset value (NAV) or market price (as applicable)
with all distributions reinvested. Fund performance at market
price will differ from its results at NAV due to factors such as
changing perceptions about the Fund, market conditions,
fluctuations in supply and demand for Fund shares, or changes in
Fund distributions. Investment return and principal value will
fluctuate so that shares, when sold, may be worth more or less
than their original cost. Performance less than one year is
cumulative. Performance is for the stated time period only; due
to market volatility, current Fund performance may be lower or
higher than the quoted return. For performance as of the most
recent month end, please refer to www.eatonvance.com.
2
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Portfolio
Managers Ken Everding,
Ph.D; Jonathan Orseck, each of Parametric Risk Advisors, LLC;
James H. Evans, CFA
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Since
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% Average Annual Total Returns
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Inception Date
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One Year
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Inception
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Fund at NAV
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6/29/2010
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13.69
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%
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7.53
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%
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Fund at Market Price
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9.23
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0.17
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BofA Merrill Lynch
3-Month U.S.
Treasury Bill Index
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6/29/2010
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0.10
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%
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0.11
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%
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% Premium/Discount to NAV
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-10.15
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%
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Distributions3
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Total Distributions per share for the period
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$
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1.700
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Distribution Rate at NAV
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9.23
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%
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Distribution Rate at Market Price
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10.27
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%
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Credit
Quality (% of bond
holdings)4
See Endnotes and
Additional Disclosures in this report.
Past performance is no guarantee of future results. Returns
are historical and are calculated by determining the percentage
change in net asset value (NAV) or market price (as applicable)
with all distributions reinvested. Fund performance at market
price will differ from its results at NAV due to factors such as
changing perceptions about the Fund, market conditions,
fluctuations in supply and demand for Fund shares, or changes in
Fund distributions. Investment return and principal value will
fluctuate so that shares, when sold, may be worth more or less
than their original cost. Performance less than one year is
cumulative. Performance is for the stated time period only; due
to market volatility, current Fund performance may be lower or
higher than the quoted return. For performance as of the most
recent month end, please refer to www.eatonvance.com.
3
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Endnotes
and Additional Disclosures
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1
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The views expressed in this report are those of the portfolio
manager(s) and are current only through the date stated at the
top of this page. These views are subject to change at any time
based upon market or other conditions, and Eaton Vance and the
Fund(s) disclaim any responsibility to update such views. These
views may not be relied upon as investment advice and, because
investment decisions are based on many factors, may not be
relied upon as an indication of trading intent on behalf of any
Eaton Vance fund. This commentary may contain statements that
are not historical facts, referred to as forward looking
statements. The Funds actual future results may differ
significantly from those stated in any forward looking
statement, depending on factors such as changes in securities or
financial markets or general economic conditions, the volume of
sales and purchases of Fund shares, the continuation of
investment advisory, administrative and service contracts, and
other risks discussed from time to time in the Funds
filings with the Securities and Exchange Commission.
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2
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S&P 500 Index is an unmanaged index of large-cap stocks
commonly used as a measure of U.S. stock market performance.
Barclays Capital Municipal Bond Index is an unmanaged index of
municipal bonds traded in the U.S. Barclays Capital Long (22+)
Municipal Bond Index is an unmanaged index of municipal bonds
traded in the U.S. with maturities of 22 years or more.
BofA Merrill Lynch
3-Month U.S.
Treasury Bill Index is an unmanaged index of U.S. Treasury
securities maturing in 90 days. Unless otherwise stated,
index returns do not reflect the effect of any applicable sales
charges, commissions, expenses, taxes or leverage, as
applicable. It is not possible to invest directly in an index.
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3
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The Distribution Rate is based on the Funds last regular
distribution per share in the period (annualized) divided by the
Funds NAV or market price at the end of the period. The
Funds distributions may be composed of ordinary income,
tax-exempt income, net realized capital gains and return of
capital. A significant portion of the Funds distributions
has been characterized as a return of capital.
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4
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Ratings are based on Moodys, S&P or Fitch, as
applicable. Credit ratings are based largely on the rating
agencys investment analysis at the time of rating and the
rating assigned to any particular security is not necessarily a
reflection of the issuers current financial condition. The
rating assigned to a security by a rating agency does not
necessarily reflect its assessment of the volatility of a
securitys market value or of the liquidity of an
investment in the security. If securities are rated differently
by the rating agencies, the higher rating is applied.
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Fund profile subject to change due to active management.
4
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
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Tax-Exempt Municipal Securities 71.3%
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Principal
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Amount
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Security
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(000s omitted)
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Value
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Bond Bank 2.0%
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Vermont Municipal Bond Bank, 4.00%, 12/1/17
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$
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2,515
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$
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2,919,161
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Vermont Municipal Bond Bank, 5.00%, 12/1/19
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705
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885,663
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$
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3,804,824
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Education 1.3%
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Massachusetts Development Finance Agency,
(Harvard University), 5.00%, 10/15/20
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$
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2,000
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$
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2,561,420
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$
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2,561,420
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Escrowed / Prerefunded 1.5%
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Harris County, TX, Flood Control District, Prerefunded to
10/1/14, 5.25%, 10/1/20
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$
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2,545
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$
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2,863,481
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$
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2,863,481
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General
Obligations 35.5%
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Alexandria, VA, 4.00%, 7/1/16
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$
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2,980
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$
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3,404,471
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Beaufort County, SC, School District, 5.00%, 3/1/19
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5,370
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6,681,354
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Bedford, MA, 4.00%, 8/15/16
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1,380
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1,582,680
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Carrollton, TX, 3.00%, 8/15/15
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100
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108,050
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Charleston County, SC, School District, 5.00%, 2/1/19
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7,020
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8,739,479
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Dakota County, MN, Community Development Agency,
3.00%, 1/1/13
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150
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154,014
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Dakota County, MN, Community Development Agency,
3.00%, 1/1/14
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500
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525,650
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Florida Board of Education, 5.00%, 6/1/17
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2,010
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2,420,603
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Frederick County, MD, 4.00%, 2/1/15
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555
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612,071
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Georgia, 4.00%, 9/1/16
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3,500
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4,014,185
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Georgia, 5.00%, 7/1/17
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600
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731,424
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Georgia, 5.00%, 7/1/19
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3,070
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3,887,265
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Hoover, AL, Board of Education Capital Outlay Warrants,
5.00%, 2/15/14
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2,815
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3,063,902
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Hopkinton, MA, 4.00%, 7/15/16
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240
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272,381
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Howard County, MD, 4.00%, 2/15/21
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1,000
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1,174,750
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Liberty Hill, TX, Independent School District,
(PSF Guaranteed), 0.00%, 8/1/21
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515
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402,606
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Loudoun County, VA, 5.00%, 12/1/17
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2,015
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2,483,125
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Maricopa County, AZ, Community College District,
3.00%, 7/1/18
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1,605
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1,772,610
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Massachusetts, 5.50%, 10/1/15
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400
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469,200
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Montgomery County, MD, 5.00%, 9/1/15
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3,330
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3,710,352
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Morris County, NJ, 5.00%, 2/15/14
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1,650
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1,808,037
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New York, 5.00%, 4/15/15
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500
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570,520
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Richardson, TX, 5.00%, 2/15/18
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2,790
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3,412,756
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United Independent School District, TX, 5.00%, 8/15/20
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2,000
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2,527,000
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Utah,
5.00%, 7/1/19(1)
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8,300
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10,509,543
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Wake, NC, 5.00%, 3/1/21
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1,000
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1,279,750
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Wisconsin, 5.00%, 5/1/20
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2,255
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2,827,477
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$
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69,145,255
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Insured
Escrowed / Prerefunded 5.2%
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Anchorage, AK, (FGIC), Prerefunded to 9/1/13, 5.00%, 9/1/20
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$
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1,750
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$
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1,886,185
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Benton County, WA, School District No. 400, (AGM),
Prerefunded to 6/1/13, 5.00%, 12/1/20
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6,055
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6,459,111
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Houston, TX, Water & Sewer System Revenue, (AGM),
Escrowed to Maturity, 0.00%, 12/1/20
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2,050
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1,689,077
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$
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10,034,373
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Insured General
Obligations 0.4%
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Houston, TX, (NPFG), 5.25%, 3/1/14
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$
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785
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$
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866,177
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$
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866,177
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Insured
Transportation 0.6%
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New York State Thruway Authority, (AGM), 5.00%, 3/15/14
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$
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1,000
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$
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1,097,880
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$
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1,097,880
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Special Tax
Revenue 7.5%
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New York State Urban Development Corp., 5.00%, 1/1/15
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$
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2,125
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$
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2,393,005
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New York State Urban Development Corp., 5.00%, 12/15/17
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7,415
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8,997,732
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New York, NY, Transitional Finance Authority, Prerefunded to
8/1/13, 5.00%, 8/1/21
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3,000
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3,223,530
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$
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14,614,267
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Transportation 12.5%
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New York State Thruway Authority,
5.00%, 4/1/18(1)
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$
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20,000
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$
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24,353,200
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$
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24,353,200
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Water and
Sewer 4.8%
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Massachusetts Water Pollution Abatement Trust, 4.00%, 8/1/17
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$
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1,860
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$
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2,162,306
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Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/21
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2,025
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2,631,548
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New Jersey Environmental Infrastructure Trust, 5.00%, 9/1/18
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2,200
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2,747,844
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See Notes to
Financial Statements.
5
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Portfolio
of Investments continued
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Principal
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|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
Security
|
|
(000s omitted)
|
|
|
Value
|
|
|
|
|
|
Water and Sewer (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Seattle, WA, Solid Waste Revenue, 5.00%, 8/1/21
|
|
$
|
1,415
|
|
|
$
|
1,757,798
|
|
|
|
|
|
|
|
|
|
|
|
$
|
9,299,496
|
|
|
|
|
|
|
|
|
Total Tax-Exempt Municipal
Securities
|
|
|
(identified cost $130,620,731)
|
|
$
|
138,640,373
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Purchased 0.1%
|
|
|
|
Number of
|
|
|
Strike
|
|
|
Expiration
|
|
|
|
|
|
|
Description
|
|
Contracts
|
|
|
Price
|
|
|
Date
|
|
|
Value
|
|
|
|
|
|
S&P 500 Index
|
|
|
266
|
|
|
$
|
1,365
|
|
|
|
1/21/12
|
|
|
$
|
5,985
|
|
|
|
S&P 500 Index FLEX
|
|
|
264
|
|
|
|
1,375
|
|
|
|
1/3/12
|
|
|
|
|
|
|
|
S&P 500 Index FLEX
|
|
|
264
|
|
|
|
1,380
|
|
|
|
1/5/12
|
|
|
|
|
|
|
|
S&P 500 Index FLEX
|
|
|
266
|
|
|
|
1,375
|
|
|
|
1/6/12
|
|
|
|
2
|
|
|
|
S&P 500 Index FLEX
|
|
|
269
|
|
|
|
1,345
|
|
|
|
1/10/12
|
|
|
|
2,742
|
|
|
|
S&P 500 Index FLEX
|
|
|
270
|
|
|
|
1,335
|
|
|
|
1/11/12
|
|
|
|
8,833
|
|
|
|
S&P 500 Index FLEX
|
|
|
272
|
|
|
|
1,335
|
|
|
|
1/13/12
|
|
|
|
14,436
|
|
|
|
S&P 500 Index FLEX
|
|
|
272
|
|
|
|
1,320
|
|
|
|
1/17/12
|
|
|
|
62,902
|
|
|
|
S&P 500 Index FLEX
|
|
|
273
|
|
|
|
1,340
|
|
|
|
1/18/12
|
|
|
|
25,391
|
|
|
|
S&P 500 Index FLEX
|
|
|
266
|
|
|
|
1,360
|
|
|
|
1/25/12
|
|
|
|
20,387
|
|
|
|
S&P 500 Index FLEX
|
|
|
267
|
|
|
|
1,370
|
|
|
|
1/26/12
|
|
|
|
13,978
|
|
|
|
S&P 500 Index FLEX
|
|
|
267
|
|
|
|
1,370
|
|
|
|
1/27/12
|
|
|
|
15,511
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Call Options Purchased
|
|
|
|
|
|
|
(identified cost $289,394)
|
|
$
|
170,167
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put Options Purchased 0.1%
|
|
|
|
Number of
|
|
|
Strike
|
|
|
Expiration
|
|
|
|
|
|
|
Description
|
|
Contracts
|
|
|
Price
|
|
|
Date
|
|
|
Value
|
|
|
|
|
|
S&P 500 Index
|
|
|
266
|
|
|
$
|
1,115
|
|
|
|
1/21/12
|
|
|
$
|
43,890
|
|
|
|
S&P 500 Index FLEX
|
|
|
264
|
|
|
|
1,095
|
|
|
|
1/3/12
|
|
|
|
2
|
|
|
|
S&P 500 Index FLEX
|
|
|
264
|
|
|
|
1,090
|
|
|
|
1/5/12
|
|
|
|
52
|
|
|
|
S&P 500 Index FLEX
|
|
|
266
|
|
|
|
1,090
|
|
|
|
1/6/12
|
|
|
|
164
|
|
|
|
S&P 500 Index FLEX
|
|
|
269
|
|
|
|
1,060
|
|
|
|
1/10/12
|
|
|
|
708
|
|
|
|
S&P 500 Index FLEX
|
|
|
270
|
|
|
|
1,050
|
|
|
|
1/11/12
|
|
|
|
818
|
|
|
|
S&P 500 Index FLEX
|
|
|
272
|
|
|
|
1,070
|
|
|
|
1/13/12
|
|
|
|
3,280
|
|
|
|
S&P 500 Index FLEX
|
|
|
272
|
|
|
|
1,060
|
|
|
|
1/17/12
|
|
|
|
7,190
|
|
|
|
S&P 500 Index FLEX
|
|
|
273
|
|
|
|
1,090
|
|
|
|
1/18/12
|
|
|
|
17,263
|
|
|
|
S&P 500 Index FLEX
|
|
|
266
|
|
|
|
1,090
|
|
|
|
1/25/12
|
|
|
|
42,424
|
|
|
|
S&P 500 Index FLEX
|
|
|
267
|
|
|
|
1,100
|
|
|
|
1/26/12
|
|
|
|
55,604
|
|
|
|
S&P 500 Index FLEX
|
|
|
267
|
|
|
|
1,105
|
|
|
|
1/27/12
|
|
|
|
66,019
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Put Options Purchased
|
|
|
|
|
|
|
(identified cost $996,779)
|
|
$
|
237,414
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-Term Investments 26.2%
|
Tax-Exempt Municipal Securities 3.9%
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
Security
|
|
(000s omitted)
|
|
|
Value
|
|
|
|
|
|
Texas, 2.50%, 8/30/12
|
|
$
|
7,500
|
|
|
$
|
7,617,375
|
|
|
|
|
|
|
|
|
Total Tax-Exempt Municipal
Securities
|
|
|
(identified cost $7,609,977)
|
|
$
|
7,617,375
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Obligations 15.4%
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
Security
|
|
(000s omitted)
|
|
|
Value
|
|
|
|
|
|
U.S. Treasury Bill, 0.005%, 4/5/12
|
|
$
|
20,000
|
|
|
$
|
19,999,220
|
|
|
|
U.S. Treasury Bill, 0.015%, 2/9/12
|
|
|
10,000
|
|
|
|
9,999,870
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
|
|
|
(identified cost $29,999,547)
|
|
$
|
29,999,090
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other 6.9%
|
|
|
|
Interest
|
|
|
|
|
|
|
Description
|
|
(000s omitted)
|
|
|
Value
|
|
|
|
|
|
Eaton Vance Cash Reserves Fund, LLC,
0.06%(2)
|
|
$
|
13,417
|
|
|
$
|
13,416,861
|
|
|
|
|
|
|
|
|
Total Other
|
|
|
(identified cost $13,416,861)
|
|
$
|
13,416,861
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
|
|
|
(identified cost $51,026,385)
|
|
$
|
51,033,326
|
|
|
|
|
|
|
|
|
Total Investments 97.7%
|
|
|
(identified cost $182,933,289)
|
|
$
|
190,081,280
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Written (1.2)%
|
|
|
|
Number of
|
|
|
Strike
|
|
|
Expiration
|
|
|
|
|
|
|
Description
|
|
Contracts
|
|
|
Price
|
|
|
Date
|
|
|
Value
|
|
|
|
|
|
S&P 500 Index
|
|
|
266
|
|
|
$
|
1,305
|
|
|
|
1/21/12
|
|
|
$
|
(126,350
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
264
|
|
|
|
1,315
|
|
|
|
1/3/12
|
|
|
|
(1,007
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
264
|
|
|
|
1,320
|
|
|
|
1/5/12
|
|
|
|
(2,769
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
266
|
|
|
|
1,315
|
|
|
|
1/6/12
|
|
|
|
(7,785
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
269
|
|
|
|
1,285
|
|
|
|
1/10/12
|
|
|
|
(156,309
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
270
|
|
|
|
1,275
|
|
|
|
1/11/12
|
|
|
|
(261,131
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
272
|
|
|
|
1,275
|
|
|
|
1/13/12
|
|
|
|
(297,975
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
272
|
|
|
|
1,260
|
|
|
|
1/17/12
|
|
|
|
(554,972
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
273
|
|
|
|
1,280
|
|
|
|
1/18/12
|
|
|
|
(327,562
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
266
|
|
|
|
1,300
|
|
|
|
1/25/12
|
|
|
|
(227,956
|
)
|
|
|
See Notes to
Financial Statements.
6
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Portfolio
of Investments continued
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
|
Strike
|
|
|
Expiration
|
|
|
|
|
|
|
Description
|
|
Contracts
|
|
|
Price
|
|
|
Date
|
|
|
Value
|
|
|
|
|
|
S&P 500 Index FLEX
|
|
|
267
|
|
|
$
|
1,310
|
|
|
|
1/26/12
|
|
|
$
|
(171,906
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
267
|
|
|
|
1,310
|
|
|
|
1/27/12
|
|
|
|
(179,139
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Total Call Options Written
|
|
|
|
|
|
|
(premiums received $2,510,026)
|
|
$
|
(2,314,861
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Put Options Written (0.4)%
|
|
|
|
Number of
|
|
|
Strike
|
|
|
Expiration
|
|
|
|
|
|
|
Description
|
|
Contracts
|
|
|
Price
|
|
|
Date
|
|
|
Value
|
|
|
|
|
|
S&P 500 Index
|
|
|
266
|
|
|
$
|
1,175
|
|
|
|
1/21/12
|
|
|
$
|
(138,320
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
264
|
|
|
|
1,155
|
|
|
|
1/3/12
|
|
|
|
(246
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
264
|
|
|
|
1,150
|
|
|
|
1/5/12
|
|
|
|
(1,563
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
266
|
|
|
|
1,150
|
|
|
|
1/6/12
|
|
|
|
(3,210
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
269
|
|
|
|
1,120
|
|
|
|
1/10/12
|
|
|
|
(5,705
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
270
|
|
|
|
1,110
|
|
|
|
1/11/12
|
|
|
|
(5,742
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
272
|
|
|
|
1,130
|
|
|
|
1/13/12
|
|
|
|
(17,935
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
272
|
|
|
|
1,120
|
|
|
|
1/17/12
|
|
|
|
(28,704
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
273
|
|
|
|
1,150
|
|
|
|
1/18/12
|
|
|
|
(64,020
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
266
|
|
|
|
1,150
|
|
|
|
1/25/12
|
|
|
|
(117,056
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
267
|
|
|
|
1,160
|
|
|
|
1/26/12
|
|
|
|
(148,666
|
)
|
|
|
S&P 500 Index FLEX
|
|
|
267
|
|
|
|
1,165
|
|
|
|
1/27/12
|
|
|
|
(171,569
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Total Put Options Written
|
|
|
|
|
|
|
(premiums received $2,411,597)
|
|
$
|
(702,736
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less
Liabilities 3.9%
|
|
$
|
7,443,946
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
$
|
194,507,629
|
|
|
|
|
|
The percentage shown for each investment category in the
Portfolio of Investments is based on net assets.
|
|
|
AGM
|
|
- Assured Guaranty Municipal Corp.
|
FGIC
|
|
- Financial Guaranty Insurance Company
|
FLEX
|
|
- FLexible EXchange traded option, representing a
customized option contract with negotiated contract terms.
|
NPFG
|
|
- National Public Finance Guaranty Corp.
|
PSF
|
|
- Permanent School Fund
|
At December 31, 2011, the concentration of the Funds
investments in the various states, determined as a percentage of
net assets, is as follows:
|
|
|
|
|
New York
|
|
|
20.9%
|
|
Texas
|
|
|
10.0%
|
|
Others, representing less than 10% individually
|
|
|
44.3%
|
|
The Fund invests primarily in debt securities issued by
municipalities. The ability of the issuers of the debt
securities to meet their obligations may be affected by economic
developments in a specific industry or municipality. In order to
reduce the risk associated with such economic developments, at
December 31, 2011, 6.3% of total investments are backed by
bond insurance of various financial institutions and financial
guaranty assurance agencies. The aggregate percentage insured by
an individual financial institution ranged from 0.5% to 4.9% of
total investments.
|
|
|
(1) |
|
Security (or a portion thereof) has been pledged as collateral
for written option contracts. |
|
(2) |
|
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 December 31, 2011. |
See Notes to
Financial Statements.
7
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Statement
of Assets and Liabilities
|
|
|
|
|
|
|
Assets
|
|
December 31, 2011
|
|
|
|
Unaffiliated investments, at value (identified cost,
$169,516,428)
|
|
$
|
176,664,419
|
|
|
|
Affiliated investment, at value (identified cost, $13,416,861)
|
|
|
13,416,861
|
|
|
|
Interest receivable
|
|
|
1,963,340
|
|
|
|
Interest receivable from affiliated investment
|
|
|
813
|
|
|
|
Receivable for investments sold
|
|
|
10,359,701
|
|
|
|
|
|
Total assets
|
|
$
|
202,405,134
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities
|
|
Written options outstanding, at value (premiums received,
$4,921,623)
|
|
$
|
3,017,597
|
|
|
|
Payable for investments purchased
|
|
|
74,174
|
|
|
|
Distributions payable
|
|
|
4,486,535
|
|
|
|
Payable to affiliates:
|
|
|
|
|
|
|
Investment adviser and administration fee
|
|
|
206,733
|
|
|
|
Trustees fees
|
|
|
1,691
|
|
|
|
Accrued expenses
|
|
|
110,775
|
|
|
|
|
|
Total liabilities
|
|
$
|
7,897,505
|
|
|
|
|
|
Net Assets
|
|
$
|
194,507,629
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sources of Net Assets
|
|
Common shares, $0.01 par value, unlimited number of shares
authorized
|
|
$
|
105,566
|
|
|
|
Additional paid-in capital
|
|
|
190,860,514
|
|
|
|
Accumulated net realized loss
|
|
|
(1,025,174
|
)
|
|
|
Accumulated distributions in excess of net investment income
|
|
|
(4,485,294
|
)
|
|
|
Net unrealized appreciation
|
|
|
9,052,017
|
|
|
|
|
|
Net Assets
|
|
$
|
194,507,629
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Shares Outstanding
|
|
|
10,556,552
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Asset Value
|
|
Net assets
¸
common shares issued and outstanding
|
|
$
|
18.43
|
|
|
|
|
|
See Notes to
Financial Statements.
8
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
|
|
|
|
|
|
|
|
|
Year Ended
|
|
|
Investment Income
|
|
December 31, 2011
|
|
|
|
Interest
|
|
$
|
3,354,290
|
|
|
|
Interest income allocated from affiliated investment
|
|
|
27,710
|
|
|
|
Expenses allocated from affiliated investment
|
|
|
(3,880
|
)
|
|
|
|
|
Total investment income
|
|
$
|
3,378,120
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Expenses
|
|
Investment adviser and administration fee
|
|
$
|
2,406,154
|
|
|
|
Trustees fees and expenses
|
|
|
6,572
|
|
|
|
Custodian fee
|
|
|
160,761
|
|
|
|
Transfer and dividend disbursing agent fees
|
|
|
19,140
|
|
|
|
Legal and accounting services
|
|
|
69,431
|
|
|
|
Printing and postage
|
|
|
52,026
|
|
|
|
Miscellaneous
|
|
|
34,243
|
|
|
|
|
|
Total expenses
|
|
$
|
2,748,327
|
|
|
|
|
|
Deduct
|
|
|
|
|
|
|
Reduction of custodian fee
|
|
$
|
73
|
|
|
|
|
|
Total expense reductions
|
|
$
|
73
|
|
|
|
|
|
|
|
|
|
|
|
|
Net expenses
|
|
$
|
2,748,254
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
629,866
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized and Unrealized Gain (Loss)
|
|
Net realized gain (loss)
|
|
|
|
|
|
|
Investment transactions
|
|
$
|
(11,628,921
|
)
|
|
|
Investment transactions allocated from affiliated investment
|
|
|
1,223
|
|
|
|
Written options
|
|
|
24,719,669
|
|
|
|
|
|
Net realized gain
|
|
$
|
13,091,971
|
|
|
|
|
|
Change in unrealized appreciation (depreciation)
|
|
|
|
|
|
|
Investments
|
|
$
|
9,020,066
|
|
|
|
Written options
|
|
|
859,628
|
|
|
|
|
|
Net change in unrealized appreciation (depreciation)
|
|
$
|
9,879,694
|
|
|
|
|
|
|
|
|
|
|
|
|
Net realized and unrealized gain
|
|
$
|
22,971,665
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase in net assets from operations
|
|
$
|
23,601,531
|
|
|
|
|
|
See Notes to
Financial Statements.
9
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Statements
of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended
|
|
Period Ended
|
|
|
Increase (Decrease)
in Net Assets
|
|
December 31, 2011
|
|
December 31,
2010(1)
|
|
|
|
From operations
|
|
|
|
|
|
|
|
|
|
|
Net investment income
|
|
$
|
629,866
|
|
|
$
|
169,155
|
|
|
|
Net realized gain (loss) from investment transactions and
written options
|
|
|
13,091,971
|
|
|
|
(2,729,021
|
)
|
|
|
Net change in unrealized appreciation (depreciation) from
investments and written options
|
|
|
9,879,694
|
|
|
|
(827,677
|
)
|
|
|
|
|
Net increase (decrease) in net assets from operations
|
|
$
|
23,601,531
|
|
|
$
|
(3,387,543
|
)
|
|
|
|
|
Distributions to common shareholders
|
|
|
|
|
|
|
|
|
|
|
From net investment income
|
|
$
|
(632,588
|
)
|
|
$
|
(7,084,406
|
)
|
|
|
From net realized gain
|
|
|
(9,485,278
|
)
|
|
|
(1,887,579
|
)
|
|
|
Tax return of capital
|
|
|
(7,828,272
|
)
|
|
|
|
|
|
|
|
|
Total distributions to common shareholders
|
|
$
|
(17,946,138
|
)
|
|
$
|
(8,971,985
|
)
|
|
|
|
|
Capital share transactions
|
|
|
|
|
|
|
|
|
|
|
Proceeds from sale of shares
|
|
$
|
|
|
|
$
|
201,485,900
|
(2)
|
|
|
Reinvestment of distributions
|
|
|
|
|
|
|
47,824
|
|
|
|
Offering costs
|
|
|
|
|
|
|
(421,960
|
)
|
|
|
|
|
Net increase in net assets from capital share transactions
|
|
$
|
|
|
|
$
|
201,111,764
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase in net assets
|
|
$
|
5,655,393
|
|
|
$
|
188,752,236
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets
|
|
At beginning of period
|
|
$
|
188,852,236
|
|
|
$
|
100,000
|
|
|
|
|
|
At end of period
|
|
$
|
194,507,629
|
|
|
$
|
188,852,236
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accumulated distributions in excess
of net investment income
included in net assets
|
|
At end of period
|
|
$
|
(4,485,294
|
)
|
|
$
|
(4,482,384
|
)
|
|
|
|
|
|
|
|
(1) |
|
For the period from the start of business, June 29, 2010,
to December 31, 2010. |
(2) |
|
Proceeds from sale of shares are net of sales load paid of
$9,494,100. |
See Notes to
Financial Statements.
10
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended
|
|
Period Ended
|
|
|
|
|
December 31, 2011
|
|
December 31,
2010(1)
|
|
|
|
Net asset value Beginning of period
|
|
$
|
17.890
|
|
|
$
|
19.100
|
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Income (Loss) From Operations
|
|
Net investment
income(3)
|
|
$
|
0.060
|
|
|
$
|
0.016
|
|
|
|
Net realized and unrealized gain (loss)
|
|
|
2.180
|
|
|
|
(0.336
|
)
|
|
|
|
|
Total income (loss) from operations
|
|
$
|
2.240
|
|
|
$
|
(0.320
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Distributions
|
|
From net investment income
|
|
$
|
(0.060
|
)
|
|
$
|
(0.671
|
)
|
|
|
From net realized gain
|
|
|
(0.898
|
)
|
|
|
(0.179
|
)
|
|
|
Tax return of capital
|
|
|
(0.742
|
)
|
|
|
|
|
|
|
|
|
Total distributions
|
|
$
|
(1.700
|
)
|
|
$
|
(0.850
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Offering costs charged to paid-in
capital(3)
|
|
$
|
|
|
|
$
|
(0.040
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value End of period
|
|
$
|
18.430
|
|
|
$
|
17.890
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market value End of period
|
|
$
|
16.550
|
|
|
$
|
16.730
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return on Net Asset
Value(4)
|
|
|
13.69
|
%
|
|
|
1.86
|
%(5)(6)(7)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investment Return on Market
Value(4)
|
|
|
9.23
|
%
|
|
|
8.22
|
%(5)(6)(7)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ratios/Supplemental Data
|
|
Net assets, end of period (000s omitted)
|
|
$
|
194,508
|
|
|
$
|
188,852
|
|
|
|
Ratios (as a percentage of average daily net assets):
|
|
|
|
|
|
|
|
|
|
|
Expenses(8)
|
|
|
1.43
|
%
|
|
|
1.44
|
%(9)
|
|
|
Net investment income
|
|
|
0.33
|
%
|
|
|
0.17
|
%(9)
|
|
|
Portfolio Turnover
|
|
|
59
|
%
|
|
|
11
|
%(5)
|
|
|
|
|
|
|
|
(1) |
|
For the period from the start of business, June 29, 2010,
to December 31, 2010. |
(2) |
|
Net asset value at beginning of period reflects the deduction of
the sales load of $0.90 per share paid by the shareholder from
the $20.00 offering price. |
(3) |
|
Computed using average shares outstanding. |
(4) |
|
Returns are historical and are calculated by determining the
percentage change in net asset value or market value with all
distributions reinvested. |
(5) |
|
Not annualized. |
(6) |
|
Included in the calculation is a distribution that was declared
prior to the end of the period and paid in January 2011,
which was assumed to be reinvested at the price obtained on or
after the payable date pursuant to the Funds dividend
reinvestment plan. |
(7) |
|
Total investment return on net asset value is calculated
assuming a purchase at the offering price of $20.00 less the
sales load of $0.90 per share paid by the shareholder on the
first day and a sale at the net asset value on the last day of
the period reported. Total investment return on market value is
calculated assuming a purchase at the offering price of $20.00
less the sales load of $0.90 per share paid by the shareholder
on the first day and a sale at the current market price on the
last day of the period reported. |
(8) |
|
Excludes the effect of custody fee credits, if any, of less than
0.005%. |
(9) |
|
Annualized. |
See Notes to
Financial Statements.
11
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Notes
to Financial Statements
1 Significant
Accounting Policies
Eaton Vance Tax-Advantaged Bond and Option Strategies Fund (the
Fund) 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 January 14, 2010 and remained inactive
until June 29, 2010, except for matters related to its
organization and sale of initial shares of $100,000. The
Funds investment objective is to provide tax-advantaged
current income and gains.
The following is a summary of significant accounting policies of
the Fund. The policies are in conformity with accounting
principles generally accepted in the United States of America.
A Investment
Valuation Debt obligations (including
short-term obligations with a remaining maturity of more than
sixty days) 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, broker/dealer quotations, prices or yields of
securities with similar characteristics, benchmark curves or
information pertaining to the issuer, as well as industry and
economic events. The pricing services may use a matrix approach,
which considers information regarding securities with similar
characteristics to determine the valuation for a security.
Short-term debt obligations purchased with a remaining maturity
of sixty days or less are generally valued at amortized cost,
which approximates market value. Exchange-traded options (other
than FLexible EXchange traded options) are valued at the mean
between the bid and asked prices at valuation time as reported
by the Options Price Reporting Authority for U.S. listed options
or by the relevant exchange or board of trade for
non-U.S.
listed options.
Over-the-counter
options (including options on securities and indices) and
FLexible EXchange traded options traded at the Chicago Board
Options Exchange 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.
Investments for which valuations or market quotations are not
readily available or are deemed unreliable are valued at fair
value using methods determined in good faith by or at the
direction of the Trustees of the Fund in a manner that most
fairly reflects the securitys value, or the amount that
the Fund might reasonably expect to receive for the security
upon its current sale in the ordinary course. Each such
determination is based on a consideration of all relevant
factors, which are likely to vary from one pricing context to
another. These factors may include, but are not limited to, the
type of security, the existence of any contractual restrictions
on the securitys disposition, the price and extent of
public trading in similar securities of the issuer or of
comparable companies or entities, quotations or relevant
information obtained from broker/dealers or other market
participants, information obtained from the issuer, analysts,
and/or the
appropriate stock exchange (for exchange-traded securities), an
analysis of the companys or entitys financial
condition, and an evaluation of the forces that influence the
issuer and the market(s) in which the security is purchased and
sold.
The Fund may invest in Eaton Vance Cash Reserves Fund, LLC (Cash
Reserves Fund), an affiliated investment company managed by
Eaton Vance Management (EVM). Cash Reserves Fund generally
values its investment securities utilizing the amortized cost
valuation technique in accordance with
Rule 2a-7
under the 1940 Act. This technique involves initially valuing a
portfolio security at its cost and thereafter assuming a
constant amortization to maturity of any discount or premium. If
amortized cost is determined not to approximate fair value, Cash
Reserves Fund may value its investment securities in the same
manner as debt obligations described above.
B Investment
Transactions Investment transactions for
financial statement purposes are accounted for on a trade date
basis. Realized gains and losses on investments sold are
determined on the basis of identified cost.
C Income
Interest income is recorded on the basis of interest accrued,
adjusted for amortization of premium or accretion of discount.
D Federal
Taxes The Funds policy is to comply
with the provisions of the Internal Revenue Code applicable to
regulated investment companies and to distribute to shareholders
each year substantially all of its taxable, if any, and
tax-exempt net investment income, and all or substantially all
of its net realized capital gains. Accordingly, no provision for
federal income or excise tax is necessary. The Fund intends to
satisfy conditions which will enable it to designate
distributions from the interest income generated by its
investments in municipal obligations, which are exempt from
regular federal income tax when received by the Fund, as
exempt-interest dividends. The portion of such interest, if any,
earned on private activity bonds issued after August 7,
1986, may be considered a tax preference item to shareholders.
During the year ended December 31, 2011, a capital loss
carryforward of $1,564,600 was utilized to offset net realized
gains by the Fund.
As of December 31, 2011, the Fund had no uncertain tax
positions that would require financial statement recognition,
de-recognition, or disclosure. Each of the Funds federal
tax returns filed since the start of business on June 29,
2010 to December 31, 2011 remains subject to examination by
the Internal Revenue Service.
E Expense
Reduction State Street Bank and
Trust Company (SSBT) serves as custodian of the Fund.
Pursuant to the custodian agreement, SSBT receives a fee reduced
by credits, which are determined based on the average daily cash
balance the Fund maintains with SSBT. All credit balances, if
any, used to reduce the Funds custodian fees are reported
as a reduction of expenses in the Statement of Operations.
F Organization and Offering
Costs Organization costs paid in connection
with the organization of the Fund were borne directly by EVM,
the Funds investment adviser.
EVM agreed to pay all offering costs (other than sales loads)
that exceeded $0.04 per common share. Costs incurred by the Fund
in connection with the offering of its common shares were
recorded as a reduction of additional paid-in capital.
12
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Notes
to Financial Statements continued
G Legal
Fees Legal fees and other related expenses
incurred as part of negotiations of the terms and requirement of
capital infusions, or that are expected to result in the
restructuring of, or a plan of reorganization for, an investment
are recorded as realized losses. Ongoing expenditures to protect
or enhance an investment are treated as operating expenses.
H Use of
Estimates The preparation of the financial
statements in conformity with accounting principles generally
accepted in the United States of America requires management to
make estimates and assumptions that affect the reported amounts
of assets and liabilities at the date of the financial
statements and the reported amounts of income and expense during
the reporting period. Actual results could differ from those
estimates.
I Indemnifications
Under the Funds organizational documents, its officers and
Trustees may be indemnified against certain liabilities and
expenses arising out of the performance of their duties to the
Fund. Under Massachusetts law, if certain conditions prevail,
shareholders of a Massachusetts business trust (such as the
Fund) could be deemed to have personal liability for the
obligations of the Fund. However, the Funds Declaration of
Trust contains an express disclaimer of liability on the part of
Fund shareholders and the By-laws provide that the Fund shall
assume the defense on behalf of any Fund shareholders. Moreover,
the By-laws also provide for indemnification out of Fund
property of any shareholder held personally liable solely by
reason of being or having been a shareholder for all loss or
expense arising from such liability. Additionally, in the normal
course of business, the Fund enters into agreements with service
providers that may contain indemnification clauses. The
Funds maximum exposure under these arrangements is unknown
as this would involve future claims that may be made against the
Fund that have not yet occurred.
J Written
Options Upon the writing of a call or a put
option, the premium received by the Fund is included in the
Statement of Assets and Liabilities as a liability. The amount
of the liability is subsequently
marked-to-market
to reflect the current market value of the option written, in
accordance with the Funds policies on investment
valuations discussed above. Premiums received from writing
options which expire are treated as realized gains. Premiums
received from writing options which are exercised or are closed
are added to or offset against the proceeds or amount paid on
the transaction to determine the realized gain or loss. When an
index option is exercised, the Fund is required to deliver an
amount of cash determined by the excess of the strike price of
the option over the value of the index (in the case of a put) or
excess of the value of the index over the strike price of the
option (in the case of a call) at contract termination. If a put
option on a security is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund, as a
writer of an option, may have no control over whether the
underlying securities or other assets may be sold (call) or
purchased (put) and, as a result, bears the market risk of an
unfavorable change in the price of the securities or other
assets underlying the written option. The Fund may also bear the
risk of not being able to enter into a closing transaction if a
liquid secondary market does not exist.
K Purchased
Options Upon the purchase of a call or put
option, the premium paid by the Fund is included in the
Statement of Assets and Liabilities as an investment. The amount
of the investment is subsequently
marked-to-market
to reflect the current market value of the option purchased, in
accordance with the Funds policies on investment
valuations discussed above. As the purchaser of an index put
option, the Fund has the right to receive a cash payment equal
to any depreciation of the value of the index below the strike
price of the option (in the case of a put) or equal to any
appreciation in the value of the index over the strike price of
the option (in the case of a call) as of the valuation date of
the option. If an option which the Fund had purchased expires on
the stipulated expiration date, the Fund will realize a loss in
the amount of the cost of the option. If the Fund enters into a
closing sale transaction, the Fund will realize a gain or loss,
depending on whether the sales proceeds from the closing sale
transaction are greater or less than the cost of the option. If
the Fund exercises a put option on a security, it will realize a
gain or loss from the sale of the underlying security, and the
proceeds from such sale will be decreased by the premium
originally paid. If the Fund exercises a call option on a
security, the cost of the security which the Fund purchases upon
exercise will be increased by the premium originally paid. The
risk associated with purchasing options is limited to the
premium originally paid.
L When-Issued Securities and
Delayed Delivery Transactions The Fund may
purchase or sell securities on a delayed delivery or when-issued
basis. Payment and delivery may take place after the customary
settlement period for that security. At the time the transaction
is negotiated, the price of the security that will be delivered
is fixed. The Fund maintains security positions for these
commitments such that sufficient liquid assets will be available
to make payments upon settlement. Securities purchased on a
delayed delivery or when-issued basis are
marked-to-market
daily and begin earning interest on settlement date. Losses may
arise due to changes in the market value of the underlying
securities or if the counterparty does not perform under the
contract.
2 Distributions
to Shareholders
Subject to its Managed Distribution Plan, the Fund intends to
make quarterly distributions from its net investment income, net
capital gain (which is the excess of net long-term capital gain
over net short-term capital loss) and other sources. The Fund
intends to distribute all or substantially all of its net
realized capital gains (reduced by available capital loss
carryforwards from prior years, if any). Distributions are
recorded on the ex-dividend date. The Fund distinguishes between
distributions on a tax basis and a financial reporting basis.
Accounting principles generally accepted in the United States of
America require that only distributions in excess of tax basis
earnings and profits be reported in the financial statements as
a return of capital. Permanent differences between book and tax
accounting relating to distributions are reclassified to paid-in
capital. For tax purposes, distributions from short-term capital
gains are considered to be from ordinary income. Distributions
in any year may include a substantial return of capital
component.
13
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Notes
to Financial Statements continued
The tax character of distributions declared for the year ended
December 31, 2011 and the period ended December 31,
2010 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended
|
|
Period Ended
|
|
|
|
|
December 31, 2011
|
|
December 31,
2010(1)
|
|
|
|
|
Distributions declared from:
|
|
|
|
|
|
|
|
|
|
|
Tax-exempt income
|
|
$
|
577,387
|
|
|
$
|
4,685,982
|
|
|
|
Ordinary income
|
|
|
4,173,771
|
|
|
|
3,263,127
|
|
|
|
Long-term capital gains
|
|
|
5,366,708
|
|
|
|
1,022,876
|
|
|
|
Tax return of capital
|
|
|
7,828,272
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
|
For the period from the start of business, June 29, 2010,
to December 31, 2010. The tax character of distributions
reflects the effect of the Funds use of an August 31
tax year-end that was subsequently changed to December 31. |
During the year ended December 31, 2011, accumulated net
realized loss was decreased by $188 and accumulated
distributions in excess of net investment income was increased
by $188 due to differences between book and tax accounting,
primarily for accretion of market discount. These
reclassifications had no effect on the net assets or net asset
value per share of the Fund.
As of December 31, 2011, the components of distributable
earnings (accumulated losses) and unrealized appreciation
(depreciation) on a tax basis were as follows:
|
|
|
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
8,028,084
|
|
|
|
Other temporary differences
|
|
$
|
(4,486,535
|
)
|
|
|
|
|
|
|
|
|
|
|
|
The differences between components of distributable earnings
(accumulated losses) on a tax basis and the amounts reflected in
the Statement of Assets and Liabilities are primarily due to
purchased and written options contracts, the timing of
recognizing distributions to shareholders, investment in
partnerships and accretion of market discount.
3 Investment
Adviser and Administration Fee and Other Transactions with
Affiliates
The investment adviser and administration fee is earned by EVM
as compensation for management, investment advisory and
administrative services rendered to the Fund. The fee is
computed at an annual rate of 1.25% of the Funds average
daily net assets up to and including $1.5 billion and at
reduced rates on daily net assets over $1.5 billion, and is
payable monthly. The Fund invests its cash in Cash Reserves
Fund. EVM does not currently receive a fee for advisory services
provided to Cash Reserves Fund. For the year ended
December 31, 2011, the investment adviser and
administration fee amounted to $2,406,154 or 1.25% of the
Funds average daily net assets. Pursuant to a
sub-advisory
agreement, EVM has delegated a portion of the investment
management to Parametric Risk Advisors LLC (PRA). PRA is an
indirect affiliate of EVM. EVM pays PRA a portion of its
advisory and administration fee for
sub-advisory
services provided to the Fund.
Except for Trustees of the Fund who are not members of
EVMs organization, officers and Trustees receive
remuneration for their services to the Fund out of the
investment adviser and administration fee. Trustees of the Fund
who are not affiliated with EVM may elect to defer receipt of
all or a percentage of their annual fees in accordance with the
terms of the Trustees Deferred Compensation Plan. For the year
ended December 31, 2011, no significant amounts have been
deferred. Certain officers and Trustees of the Fund are officers
of EVM.
4 Purchases
and Sales of Investments
Purchases and sales of investments, other than short-term
obligations and including maturities, for the year ended
December 31, 2011 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
Sales
|
|
|
|
|
Investments
(non-U.S.
Government)
|
|
$
|
80,646,163
|
|
|
$
|
96,766,723
|
|
|
|
U.S. Government and Agency Securities
|
|
|
5,285,547
|
|
|
|
5,358,320
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
85,931,710
|
|
|
$
|
102,125,043
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Notes
to Financial Statements continued
5 Common
Shares of Beneficial Interest
The Fund may issue common shares pursuant to its dividend
reinvestment plan. Transactions in common shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended
|
|
Period Ended
|
|
|
|
|
December 31, 2011
|
|
December 31,
2010(1)
|
|
|
|
|
Sales (initial public offering)
|
|
|
|
|
|
|
10,549,000
|
|
|
|
Issued to shareholders electing to receive payments of
distributions in Fund shares
|
|
|
|
|
|
|
2,552
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net increase
|
|
|
|
|
|
|
10,551,552
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
|
For the period from the start of business, June 29, 2010,
to December 31, 2010. |
6 Federal
Income Tax Basis of Investments
The cost and unrealized appreciation (depreciation) of
investments of the Fund at December 31, 2011, as determined
on a federal income tax basis, were as follows:
|
|
|
|
|
|
|
Aggregate cost
|
|
$
|
181,645,615
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
8,086,245
|
|
|
|
Gross unrealized depreciation
|
|
|
(58,161
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
8,028,084
|
|
|
|
|
|
|
|
|
|
|
|
|
7 Financial
Instruments
The Fund may trade in financial instruments with off-balance
sheet risk in the normal course of its investing activities.
These financial instruments may include written options and may
involve, to a varying degree, elements of risk in excess of the
amounts recognized for financial statement purposes. The
notional or contractual amounts of these instruments represent
the investment the Fund has in particular classes of financial
instruments and do not necessarily represent the amounts
potentially subject to risk. The measurement of the risks
associated with these instruments is meaningful only when all
related and offsetting transactions are considered. A summary of
written options at December 31, 2011 is included in the
Portfolio of Investments.
Written options activity for the year ended December 31,
2011 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
|
|
Premiums
|
|
|
|
|
Contracts
|
|
Received
|
|
|
|
|
Outstanding, beginning of year
|
|
|
6,402
|
|
|
$
|
3,679,826
|
|
|
|
Options written
|
|
|
81,100
|
|
|
|
64,045,316
|
|
|
|
Options terminated in closing purchase transactions
|
|
|
(15,005
|
)
|
|
|
(11,009,467
|
)
|
|
|
Options expired
|
|
|
(66,065
|
)
|
|
|
(51,794,052
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Outstanding, end of year
|
|
|
6,432
|
|
|
$
|
4,921,623
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At December 31, 2011, the Fund had sufficient cash
and/or
securities to cover commitments under these 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 any potential loss. 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 Funds 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.
15
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Notes
to Financial Statements continued
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
December 31, 2011 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
|
Asset Derivative
|
|
Liability Derivative
|
|
|
|
|
Purchased options
|
|
$
|
407,581
|
(1)
|
|
$
|
|
|
|
|
Written options
|
|
|
|
|
|
|
(3,017,597
|
)(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
|
Statement of Assets and Liabilities location: Unaffiliated
investments, at value. |
(2) |
|
Statement of Assets and Liabilities location: Written options
outstanding, at value. |
The effect of derivative instruments (not considered to be
hedging instruments for accounting disclosure purposes) on the
Statement of Operations and whose primary underlying risk
exposure is equity price risk for the year ended
December 31, 2011 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Realized Gain (Loss)
|
|
Change in Unrealized
|
|
|
|
|
on Derivatives Recognized
|
|
Appreciation (Depreciation) on
|
|
|
|
|
in Income
|
|
Derivatives Recognized in Income
|
|
|
|
|
Purchased options
|
|
$
|
(14,121,490
|
)(1)
|
|
$
|
(330,145
|
)(2)
|
|
|
Written options
|
|
|
24,719,669
|
(1)
|
|
|
859,628
|
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
|
Statement of Operations location: Net realized gain
(loss) Investment transactions and Written options,
respectively. |
(2) |
|
Statement of Operations location: Change in unrealized
appreciation (depreciation) Investments and Written
options, respectively. |
The average number of purchased options contracts outstanding
for the year ended December 31, 2011, which is indicative
of the volume of this derivative type, was approximately 6,300
contracts.
8 Fair
Value Measurements
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 funds 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.
16
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Notes
to Financial Statements continued
At December 31, 2011, the hierarchy of inputs used in
valuing the Funds 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
|
|
$
|
|
|
|
$
|
138,640,373
|
|
|
$
|
|
|
|
$
|
138,640,373
|
|
|
|
Call Options Purchased
|
|
|
5,985
|
|
|
|
164,182
|
|
|
|
|
|
|
|
170,167
|
|
|
|
Put Options Purchased
|
|
|
43,890
|
|
|
|
193,524
|
|
|
|
|
|
|
|
237,414
|
|
|
|
Short-Term Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Tax-Exempt Municipal Securities
|
|
|
|
|
|
|
7,617,375
|
|
|
|
|
|
|
|
7,617,375
|
|
|
|
U.S. Treasury Obligations
|
|
|
|
|
|
|
29,999,090
|
|
|
|
|
|
|
|
29,999,090
|
|
|
|
Other
|
|
|
|
|
|
|
13,416,861
|
|
|
|
|
|
|
|
13,416,861
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
49,875
|
|
|
$
|
190,031,405
|
|
|
$
|
|
|
|
$
|
190,081,280
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Description
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Written
|
|
$
|
(126,350
|
)
|
|
$
|
(2,188,511
|
)
|
|
$
|
|
|
|
$
|
(2,314,861
|
)
|
|
|
Put Options Written
|
|
|
(138,320
|
)
|
|
|
(564,416
|
)
|
|
|
|
|
|
|
(702,736
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
(264,670
|
)
|
|
$
|
(2,752,927
|
)
|
|
$
|
|
|
|
$
|
(3,017,597
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Report
of Independent Registered Public Accounting Firm
To the Trustees and
Shareholders of Eaton Vance Tax-Advantaged Bond and Option
Strategies Fund:
We have audited the accompanying statement of assets and
liabilities of Eaton Vance Tax-Advantaged Bond and Option
Strategies Fund (the Fund), including the portfolio
of investments, as of December 31, 2011, and the related
statement of operations for the year then ended, and the
statements of changes in net assets and the financial highlights
for the year then ended and for the period from the start of
business, June 29, 2010, to December 31, 2010. These
financial statements and financial highlights are the
responsibility of the Funds management. Our responsibility
is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with the standards of the
Public Company Accounting Oversight Board (United States). Those
standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. The Fund
is not required to have, nor were we engaged to perform, an
audit of its internal control over financial reporting. Our
audits included consideration of internal control over financial
reporting as a basis for designing audit procedures that are
appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Funds
internal control over financial reporting. Accordingly, we
express no such opinion. An audit also includes examining, on a
test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. Our
procedures included confirmation of securities owned as of
December 31, 2011, by correspondence with the custodian and
brokers; where replies were not received from brokers, we
performed other auditing procedures. We believe that our audits
provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial
highlights referred to above present fairly, in all material
respects, the financial position of Eaton Vance Tax-Advantaged
Bond and Option Strategies Fund as of December 31, 2011,
the results of its operations for the year then ended, and the
changes in its net assets and the financial highlights for the
year then ended and for the period from the start of business,
June 29, 2010, to December 31, 2010, in conformity
with accounting principles generally accepted in the United
States of America.
DELOITTE &
TOUCHE LLP
Boston, Massachusetts
February 16, 2012
18
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Federal
Tax Information (Unaudited)
The
Form 1099-DIV
you received in January 2012 showed the tax status of all
distributions paid to your account in calendar year 2011.
Shareholders are advised to consult their own tax adviser with
respect to the tax consequences of their investment in the Fund.
As required by the Internal Revenue Code
and/or
regulations, shareholders must be notified regarding
exempt-interest dividends and capital gains dividends.
Exempt-Interest Dividends. The Fund designates
$577,387 as an exempt-interest dividend.
Capital Gains Dividends. The Fund designates
$5,366,708 as a capital gain dividend.
19
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Dividend
Reinvestment Plan
The Fund offers a dividend reinvestment plan (Plan) pursuant to
which shareholders automatically have distributions reinvested
in common shares (Shares) of the Fund unless they elect
otherwise through their investment dealer. On the distribution
payment date, if the NAV per Share is equal to or less than the
market price per Share plus estimated brokerage commissions,
then new Shares will be issued. The number of Shares shall be
determined by the greater of the NAV per Share or 95% of the
market price. Otherwise, Shares generally will be purchased on
the open market by American Stock Transfer &
Trust Company, the Plan agent (Agent). Distributions
subject to income tax (if any) are taxable whether or not Shares
are reinvested.
If your Shares are in the name of a brokerage firm, bank, or
other nominee, you can ask the firm or nominee to participate in
the Plan on your behalf. If the nominee does not offer the Plan,
you will need to request that the Funds transfer agent
re-register your Shares in your name or you will not be able to
participate.
The Agents service fee for handling distributions will be
paid by the Fund. Plan participants will be charged their pro
rata share of brokerage commissions on all open-market purchases.
Plan participants may withdraw from the Plan at any time by
writing to the Agent at the address noted on the following page.
If you withdraw, you will receive Shares in your name for all
Shares credited to your account under the Plan. If a participant
elects by written notice to the Agent to sell part or all of his
or her Shares and remit the proceeds, the Agent is authorized to
deduct a $5.00 fee plus brokerage commissions from the proceeds.
If you wish to participate in the Plan and your Shares are held
in your own name, you may complete the form on the following
page and deliver it to the Agent. Any inquiries regarding the
Plan can be directed to the Agent at 1-866-439-6787.
20
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Application
for Participation in Dividend Reinvestment Plan
This form is for shareholders who hold their common shares in
their own names. If your common shares are held in the name of a
brokerage firm, bank, or other nominee, you should contact your
nominee to see if it will participate in the Plan on your
behalf. If you wish to participate in the Plan, but your
brokerage firm, bank, or nominee is unable to participate on
your behalf, you should request that your common shares be
re-registered in your own name which will enable your
participation in the Plan.
The following authorization and appointment is given with the
understanding that I may terminate it at any time by terminating
my participation in the Plan as provided in the terms and
conditions of the Plan.
Please print exact name on account:
Shareholder
signature
Date
Shareholder
signature
Date
Please sign exactly as your common shares are registered. All
persons whose names appear on the share certificate must sign.
YOU SHOULD NOT RETURN THIS FORM IF YOU WISH TO RECEIVE
YOUR DISTRIBUTIONS IN CASH. THIS IS NOT A PROXY.
This authorization form, when signed, should be mailed to the
following address:
Eaton Vance Tax-Advantaged Bond and Option Strategies Fund
c/o American Stock Transfer & Trust Company
P.O. Box 922
Wall Street Station
New York, NY
10269-0560
Number of
Employees
The Fund is organized as a Massachusetts business trust and is
registered under the Investment Company Act of 1940, as amended,
as a closed-end management investment company and has no
employees.
Number of
Shareholders
As of December 31, 2011, Fund records indicate that there
are 3 registered shareholders and approximately 5,774
shareholders owning the Fund shares in street name, such as
through brokers, banks, and financial intermediaries.
If you are a street name shareholder and wish to receive Fund
reports directly, which contain important information about the
Fund, please write or call:
Eaton Vance Distributors, Inc.
Two International Place
Boston, MA 02110
1-800-262-1122
New York Stock
Exchange symbol
The New York Stock Exchange Symbol is EXD.
21
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Management
and Organization
Fund Management. The Trustees of Eaton Vance
Tax-Advantaged Bond and Option Strategies Fund (the Fund) are
responsible for the overall management and supervision of the
Funds affairs. The Trustees and officers of the Fund are
listed below. Except as indicated, each individual has held the
office shown or other offices in the same company for the last
five years. The Noninterested Trustees consist of
those Trustees who are not interested persons of the
Fund, as that term is defined under the 1940 Act. The business
address of each Trustee and officer is Two International Place,
Boston, Massachusetts 02110. As used below, EVC
refers to Eaton Vance Corp., EV refers to Eaton
Vance, Inc., EVM refers to Eaton Vance Management,
BMR refers to Boston Management and Research and
EVD refers to Eaton Vance Distributors, Inc. EVC and
EV are the corporate parent and trustee, respectively, of EVM
and BMR. EVD is a wholly-owned subsidiary of EVC. Each officer
affiliated with Eaton Vance may hold a position with other Eaton
Vance affiliates that is comparable to his or her position with
EVM listed below. Each Trustee oversees 180 portfolios in the
Eaton Vance Complex (including all master and feeder funds in a
master feeder structure). Each officer serves as an officer of
certain other Eaton Vance funds. Each Trustee serves for a three
year term. Each officer serves until his or her successor is
elected.
|
|
|
|
|
|
|
|
|
Position(s)
|
|
|
|
|
|
|
with the
|
|
Term of Office;
|
|
Principal Occupation(s) and Directorships
|
Name and Year of Birth
|
|
Fund
|
|
Length of Service
|
|
During Past Five Years and Other Relevant Experience
|
|
|
|
Interested Trustee
|
|
|
|
|
|
|
|
Thomas E. Faust Jr.
1958
|
|
Class I
Trustee
|
|
Until 2014.
3 years.
Trustee since 2010.
|
|
Chairman, Chief Executive Officer and President of EVC, Director
and President of EV, Chief Executive Officer and President of
EVM and BMR, and Director of EVD. Trustee
and/or
officer of 180 registered investment companies and 1 private
investment company managed by EVM or BMR. Mr. Faust is an
interested person because of his positions with EVM, BMR, EVD,
EVC and EV, which are affiliates of the Fund.
Directorships in the Last Five
Years.(1)
Director of EVC.
|
|
Noninterested
Trustees
|
|
|
|
|
|
|
|
Scott E. Eston
1956
|
|
Class I
Trustee
|
|
Until 2014.
2 years.
Trustee since 2011.
|
|
Private investor. Formerly held various positions at Grantham,
Mayo, Van Otterloo and Co., L.L.C. (investment management firm)
(1997-2009),
including Chief Operating Officer
(2002-2009),
Chief Financial Officer
(1997-2009)
and Chairman of the Executive Committee
(2002-2008);
President and Principal Executive Officer, GMO Trust (open-end
registered investment company)
(2006-2009).
Former Partner, Coopers and Lybrand L.L.P. (now
PricewaterhouseCoopers) (public accounting firm)
(1987-1997).
Directorships in the Last Five Years. None.
|
|
|
|
|
|
|
|
Benjamin C. Esty
1963
|
|
Class I
Trustee
|
|
Until 2014.
3 years.
Trustee since 2010.
|
|
Roy and Elizabeth Simmons Professor of Business Administration
and Finance Unit Head, Harvard University Graduate School of
Business Administration.
Directorships in the Last Five
Years.(1)
None.
|
|
|
|
|
|
|
|
Allen R. Freedman
1940
|
|
Class I
Trustee
|
|
Until 2014.
3 years.
Trustee since 2010.
|
|
Private Investor. Former Chairman
(2002-2004)
and a Director
(1983-2004)
of Systems & Computer Technology Corp. (provider of
software to higher education). Formerly, a Director of Loring
Ward International (fund distributor)
(2005-2007).
Former Chairman and a Director of Indus International, Inc.
(provider of enterprise management software to the power
generating industry)
(2005-2007).
Former Chief Executive Officer of Assurant, Inc. (insurance
provider)
(1979-2000).
Directorships in the Last Five
Years.(1)
Director of Stonemor Partners, L.P. (owner and operator of
cemeteries). Formerly, Director of Assurant, Inc. (insurance
provider)
(1979-2011).
|
|
|
|
|
|
|
|
William H. Park
1947
|
|
Class II
Trustee
|
|
Until 2012.
2 years.
Trustee since 2010.
|
|
Consultant and private investor. Formerly, Chief Financial
Officer, Aveon Group L.P. (investment management firm)
(2010-2011).
Formerly, Vice Chairman, Commercial Industrial Finance Corp.
(specialty finance company)
(2006-2010).
Formerly, President and Chief Executive Officer, Prizm Capital
Management, LLC (investment management firm)
(2002-2005).
Formerly, Executive Vice President and Chief Financial Officer,
United Asset Management Corporation (investment management firm)
(1982-2001).
Formerly, Senior Manager, Price Waterhouse (now
PricewaterhouseCoopers) (an independent registered public
accounting firm)
(1972-1981).
Directorships in the Last Five
Years.(1)
None.
|
|
|
|
|
|
|
|
Ronald A. Pearlman
1940
|
|
Class II
Trustee
|
|
Until 2012.
2 years.
Trustee since 2010.
|
|
Professor of Law, Georgetown University Law Center. Formerly,
Deputy Assistant Secretary (Tax Policy) and Assistant Secretary
(Tax Policy), U.S. Department of the Treasury
(1983-1985).
Formerly, Chief of Staff, Joint Committee on Taxation, U.S.
Congress
(1988-1990).
Directorships in the Last Five
Years.(1)
None.
|
22
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Management
and Organization continued
|
|
|
|
|
|
|
|
|
Position(s)
|
|
|
|
|
|
|
with the
|
|
Term of Office;
|
|
Principal Occupation(s) and Directorships
|
Name and Year of Birth
|
|
Fund
|
|
Length of Service
|
|
During Past Five Years and Other Relevant Experience
|
|
|
Noninterested
Trustees (continued)
|
|
|
|
|
|
|
|
Helen Frame Peters
1948
|
|
Class III
Trustee
|
|
Until 2013.
3 years.
Trustee since 2010.
|
|
Professor of Finance, Carroll School of Management, Boston
College. Formerly, Dean, Carroll School of Management, Boston
College
(2000-2002).
Formerly, Chief Investment Officer, Fixed Income, Scudder Kemper
Investments (investment management firm)
(1998-1999).
Formerly, Chief Investment Officer, Equity and Fixed Income,
Colonial Management Associates (investment management firm)
(1991-1998).
Directorships in the Last Five
Years.(1)
Formerly, Director of BJs Wholesale Club, Inc. (wholesale
club retailer)
(2004-2011).
Formerly, Trustee of SPDR Index Shares Funds and SPDR
Series Trust (exchange traded funds)
(2000-2009).
Formerly, Director of Federal Home Loan Bank of Boston (a bank
for banks)
(2007-2009).
|
|
|
|
|
|
|
|
Lynn A. Stout
1957
|
|
Class III
Trustee
|
|
Until 2013.
3 years.
Trustee since 2010.
|
|
Paul Hastings Professor of Corporate and Securities Law (since
2006) and Professor of Law
(2001-2006),
University of California at Los Angeles School of Law.
Directorships in the Last Five
Years.(1)
None.
|
|
|
|
|
|
|
|
Harriett Tee Taggart
1948
|
|
Class II
Trustee
|
|
Until 2012.
1 year.
Trustee since 2011.
|
|
Managing Director, Taggart Associates (a professional practice
firm). Formerly, Partner and Senior Vice President, Wellington
Management Company, LLP (investment management firm)
(1983-2006).
Directorships in the Last Five Years. Director of
Albemarle Corporation (chemicals manufacturer) (since
2007) and The Hanover Group (specialty property and
casualty insurance company) (since 2009). Formerly, Director of
Lubrizol Corporation (specialty chemicals)
(2007-2011).
|
|
|
|
|
|
|
|
Ralph F. Verni
1943
|
|
Chairman of the Board and
Class III
Trustee
|
|
Until 2013.
3 years.
Chairman of the Board since 2007 and Trustee since 2010.
|
|
Consultant and private investor. Formerly, Chief Investment
Officer
(1982-1992),
Chief Financial Officer
(1988-1990)
and Director
(1982-1992),
New England Life. Formerly, Chairperson, New England Mutual
Funds
(1982-1992).
Formerly, President and Chief Executive Officer, State Street
Management & Research
(1992-2000).
Formerly, Chairperson, State Street Research Mutual Funds
(1992-2000).
Formerly, Director, W.P. Carey, LLC
(1998-2004)
and First Pioneer Farm Credit Corp.
(2002-2006).
Directorships in the Last Five
Years.(1)
None.
|
|
Principal Officers
who are not Trustees
|
|
|
|
|
|
|
|
|
|
Position(s)
|
|
|
|
|
|
|
with the
|
|
Length of
|
|
Principal Occupation(s)
|
Name and Year of Birth
|
|
Fund
|
|
Service
|
|
During Past Five Years
|
|
|
|
|
|
|
|
|
|
Payson F. Swaffield
1956
|
|
President
|
|
Since 2010
|
|
Chief Income Investment Officer of EVC. Vice President of EVM
and BMR.
|
|
|
|
|
|
|
|
Barbara E. Campbell
1957
|
|
Treasurer
|
|
Since 2010
|
|
Vice President of EVM and BMR.
|
|
|
|
|
|
|
|
Maureen A. Gemma
1960
|
|
Vice President, Secretary and Chief Legal Officer
|
|
Vice President since 2011, Secretary and Chief Legal Officer
since 2010
|
|
Vice President of EVM and BMR.
|
|
|
|
|
|
|
|
Paul M. ONeil
1953
|
|
Chief Compliance Officer
|
|
Since 2010
|
|
Vice President of EVM and BMR.
|
|
|
|
(1) |
|
During their respective tenures, the Trustees (except
Mr. Eston and Ms. Taggart) also served as trustees of
one or more of the following Eaton Vance funds (which operated
in the years noted): Eaton Vance Credit Opportunities Fund
(launched in 2005 and terminated in 2010); Eaton Vance Insured
Florida Plus Municipal Bond Fund (launched in 2002 and
terminated in 2009); and Eaton Vance National Municipal Income
Trust (launched in 1998 and terminated in 2009). |
23
Eaton Vance
Tax-Advantaged
Bond and Option Strategies Fund
December 31, 2011
Privacy. The
Eaton Vance organization is committed to ensuring your financial
privacy. Each of the financial institutions identified below has
in effect the following policy (Privacy Policy) with
respect to nonpublic personal information about its customers:
|
|
|
Only such information received from you, through application
forms or otherwise, and information about your Eaton Vance fund
transactions will be collected. This may include information
such as name, address, social security number, tax status,
account balances and transactions.
|
|
|
None of such information about you (or former customers) will be
disclosed to anyone, except as permitted by law (which includes
disclosure to employees necessary to service your account). In
the normal course of servicing a customers account, Eaton
Vance may share information with unaffiliated third parties that
perform various required services such as transfer agents,
custodians and broker/dealers.
|
|
|
Policies and procedures (including physical, electronic and
procedural safeguards) are in place that are designed to protect
the confidentiality of such information.
|
|
|
We reserve the right to change our Privacy Policy at any time
upon proper notification to you. Customers may want to review
our Privacy Policy periodically for changes by accessing the
link on our homepage: www.eatonvance.com.
|
Our pledge of privacy applies to the following entities within
the Eaton Vance organization: the Eaton Vance Family of Funds,
Eaton Vance Management, Eaton Vance Investment Counsel,
Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton
Vance Managements Real Estate Investment Group and Boston
Management and Research. In addition, our Privacy Policy applies
only to those Eaton Vance customers who are individuals and who
have a direct relationship with us. If a customers account
(i.e., fund shares) is held in the name of a third-party
financial advisor/broker-dealer, it is likely that only such
advisors privacy policies apply to the customer. This
notice supersedes all previously issued privacy disclosures. For
more information about Eaton Vances Privacy Policy, please
call
1-800-262-1122.
Delivery of Shareholder
Documents. The Securities and Exchange
Commission (SEC) permits funds to deliver only one copy of
shareholder documents, including prospectuses, proxy statements
and shareholder reports, to fund investors with multiple
accounts at the same residential or post office box address.
This practice is often called householding and it
helps eliminate duplicate mailings to shareholders. Eaton
Vance, or your financial advisor, may household the mailing of
your documents indefinitely unless you instruct Eaton Vance, or
your financial advisor, otherwise. If you would prefer that
your Eaton Vance documents not be householded, please contact
Eaton Vance at
1-800-262-1122,
or contact your financial advisor. Your instructions that
householding not apply to delivery of your Eaton Vance documents
will be effective within 30 days of receipt by Eaton Vance
or your financial advisor.
Portfolio
Holdings. Each Eaton Vance Fund and its
underlying Portfolio(s) (if applicable) will file a schedule of
portfolio holdings on
Form N-Q
with the SEC for the first and third quarters of each fiscal
year. The
Form N-Q
will be available on the Eaton Vance website at
www.eatonvance.com, by calling Eaton Vance at
1-800-262-1122
or in the EDGAR database on the SECs website at
www.sec.gov.
Form N-Q
may also be reviewed and copied at the SECs public
reference room in Washington, D.C. (call
1-800-732-0330
for information on the operation of the public reference room).
Proxy
Voting. From time to time, funds are required to
vote proxies related to the securities held by the funds. The
Eaton Vance Funds or their underlying Portfolios (if applicable)
vote proxies according to a set of policies and procedures
approved by the Funds and Portfolios Boards. You may
obtain a description of these policies and procedures and
information on how the Funds or Portfolios voted proxies
relating to portfolio securities during the most recent 12-month
period ended June 30, without charge, upon request, by
calling
1-800-262-1122
and by accessing the SECs website at www.sec.gov.
Additional Notice to
Shareholders. The Fund may purchase shares of
its common stock in the open market when they trade at a
discount to net asset value or at other times if the Fund
determines such purchases are advisable. There can be no
assurance that the Fund will take such action or that such
purchases would reduce the discount.
Closed-End
Fund Information. The Eaton Vance
closed-end funds make certain quarterly fund performance data
and information about portfolio characteristics (such as top
holdings and asset allocation) available on the Eaton Vance
website after the end of each calendar quarter-end. Certain
month end fund performance data for the funds, including total
returns, are posted to the website shortly after the end of each
calendar month. Portfolio holdings for the most recent calendar
quarter-end are also posted to the website approximately
30 days following the end of the quarter. This information
is available at www.eatonvance.com on the fund information pages
under Individual Investors Closed-End
Funds.
24
Investment
Adviser and Administrator
Eaton
Vance Management
Two International Place
Boston, MA 02110
Sub-Adviser
Parametric
Risk Advisors LLC
274 Riverside Avenue
Westport, CT 06880
Custodian
State
Street Bank and Trust Company
200 Clarendon Street
Boston, MA 02116
Transfer
Agent
American
Stock Transfer & Trust Company
59 Maiden Lane
Plaza Level
New York, NY 10038
Independent
Registered Public Accounting Firm
Deloitte
& Touche LLP
200 Berkeley Street
Boston, MA 02116-5022
Fund
Offices
Two
International Place
Boston, MA 02110
Item 2. Code of Ethics
The registrant has adopted a code of ethics applicable to its Principal Executive Officer,
Principal Financial Officer and Principal Accounting Officer. The registrant undertakes to provide
a copy of such code of ethics to any person upon request, without charge, by calling
1-800-262-1122.
Item 3. Audit Committee Financial Expert
The registrants Board has designated William H. Park, an independent trustee, as its audit
committee financial expert. Mr. Park is a certified public accountant who is a consultant and
private investor. Previously, he served as the Chief Financial Officer of Aveon Group, L.P. (an
investment management firm), as the Vice Chairman of Commercial Industrial Finance Corp. (specialty
finance company), as President and Chief Executive Officer of Prizm Capital Management, LLC
(investment management firm), as Executive Vice President and Chief Financial Officer of United
Asset Management Corporation (an institutional investment management firm) and as a Senior Manager
at Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting
firm).
Item 4. Principal Accountant Fees and Services
(a)(d)
The following table presents the aggregate fees billed to the registrant for the registrants
fiscal years ended December 31, 2010 and December 31, 2011 by the registrants principal
accountant, Deloitte & Touche LLP (D&T), for professional services rendered for the audit of the
registrants annual financial statements and fees billed for other services rendered by D&T during
such periods.
|
|
|
|
|
|
|
|
|
Fiscal Years Ended |
|
12/31/10 |
|
|
12/31/11 |
|
Audit Fees |
|
$ |
50,000 |
|
|
$ |
50,500 |
|
|
|
|
|
|
|
|
|
|
Audit-Related Fees(1) |
|
$ |
0 |
|
|
$ |
0 |
|
|
|
|
|
|
|
|
|
|
Tax Fees(2) |
|
$ |
8,000 |
|
|
$ |
8,080 |
|
|
|
|
|
|
|
|
|
|
All Other Fees(3) |
|
$ |
500 |
|
|
$ |
300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
58,500 |
|
|
$ |
58,880 |
|
|
|
|
|
|
|
|
|
|
|
(1) |
|
Audit-related fees consist of the aggregate fees billed for assurance and
related services that are reasonably related to the performance of the audit of financial
statements and are not reported under the category of audit fees. |
|
(2) |
|
Tax fees consist of the aggregate fees billed for professional services rendered by
the principal accountant relating to tax compliance, tax advice, and tax planning and
specifically include fees for tax return preparation. |
|
(3) |
|
All other fees consist of the aggregate fees billed for products and services
provided by the principal accountant other than audit, audit-related, and tax services. |
(e)(1) The registrants audit committee has adopted policies and procedures relating to
the pre-approval of services provided by the registrants principal accountant (the Pre-Approval
Policies). The Pre-Approval Policies establish a framework intended to assist the audit committee
in the proper discharge of its pre-approval responsibilities. As a general matter, the
Pre-Approval Policies (i) specify certain types of audit, audit-related, tax, and other services
determined to be pre-approved by the audit committee; and (ii) delineate specific procedures governing the mechanics of the
pre-approval process, including the approval and monitoring of audit and non-audit service fees.
Unless a service is specifically pre-approved under the Pre-Approval Policies, it must be
separately pre-approved by the audit committee.
The Pre-Approval Policies and the types of audit and non-audit services pre-approved therein must
be reviewed and ratified by the registrants audit committee at least annually. The registrants
audit committee maintains full responsibility for the appointment, compensation, and oversight of
the work of the registrants principal accountant.
(e)(2) No services described in paragraphs (b)-(d) above were approved by the registrants audit
committee pursuant to the de minimis exception set forth in Rule 2-01(c)(7)(i)(C) of Regulation
S-X.
(f) Not applicable.
(g) The following table presents (i) the aggregate non-audit fees (i.e., fees for audit-related,
tax, and other services) billed to the registrant by D&T for the registrants fiscal years ended
December 31, 2010 and December 31, 2011; and (ii) the aggregate non-audit fees (i.e., fees for
audit-related, tax, and other services) billed to the Eaton Vance organization by D&T for the same
time periods.
|
|
|
|
|
|
|
|
|
Fiscal Years Ended |
|
12/31/10 |
|
|
12/31/11 |
|
Registrant |
|
$ |
8,500 |
|
|
$ |
8,380 |
|
|
Eaton Vance(1) |
|
$ |
288,295 |
|
|
$ |
334,561 |
|
|
|
|
(1) |
|
The investment adviser to the registrant, as well as any of its affiliates that provide
ongoing services to the registrant, are subsidiaries of Eaton Vance Corp. |
(h) The registrants audit committee has considered whether the provision by the registrants
principal accountant of non-audit services to the registrants investment adviser and any entity
controlling, controlled by, or under common control with the adviser that provides ongoing services
to the registrant that were not pre-approved pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X is
compatible with maintaining the principal accountants independence.
Item 5. Audit Committee of Listed Registrants
The registrant has a separately-designated standing audit committee established in accordance with
Section 3(a)(58)(A) of the Securities and Exchange Act of 1934, as amended. William H. Park
(Chair), Scott E. Eston, Helen Frame Peters, Lynn A. Stout and Ralph F. Verni are the members of
the registrants audit committee.
Item 6. Schedule of Investments
Please see schedule of investments contained in the Report to Stockholders included under Item 1 of
this Form N-CSR.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
The Board of Trustees of the Trust has adopted a proxy voting policy and procedure (the Fund
Policy), pursuant to which the Trustees have delegated proxy voting responsibility to the Funds
investment adviser and adopted the investment advisers proxy voting policies and procedures (the
Policies) which are described below. The Trustees will review the Funds proxy voting records
from time to time and will annually consider approving the Policies for the upcoming year. In the
event that a conflict of interest arises between the Funds shareholders and the investment
adviser, the administrator, or any of their affiliates or any affiliate of the Fund, the investment
adviser will generally refrain from voting the proxies related to the companies giving rise to such
conflict until it consults with the Boards Special Committee except as contemplated under the Fund
Policy. The Boards Special Committee will instruct the investment adviser on the appropriate
course of action.
The Policies are designed to promote accountability of a companys management to its shareholders
and to align the interests of management with those shareholders. An independent proxy
voting service (Agent), currently Institutional Shareholder Services, Inc., has been retained to
assist in the voting of proxies through the provision of vote analysis, implementation and
recordkeeping and disclosure services. The investment adviser will generally vote proxies through
the Agent. The Agent is required to vote all proxies and/or refer them back to the investment
adviser pursuant to the Policies. It is
generally the policy of the investment adviser to vote in
accordance with the recommendation of the Agent. The Agent shall refer to the investment adviser
proxies relating to mergers and restructurings, and the disposition of assets, termination,
liquidation and mergers contained in mutual fund proxies. The investment adviser will normally
vote against anti-takeover measures and other proposals designed to limit the ability of
shareholders to act on possible transactions, except in the case of closed-end management
investment companies. The investment adviser generally supports management on social and
environmental proposals. The investment adviser may abstain from voting from time to time where it
determines that the costs associated with voting a proxy outweighs the benefits derived from
exercising the right to vote or the economic effect on shareholders interests or the value of the
portfolio holding is indeterminable or insignificant.
In addition, the investment adviser will monitor situations that may result in a conflict of
interest between the Funds shareholders and the investment adviser, the administrator, or any of
their affiliates or any affiliate of the Fund by maintaining a list of significant existing and
prospective corporate clients. The investment advisers personnel responsible for reviewing and
voting proxies on behalf of the Fund will report any proxy received or expected to be received from
a company included on that list to the personnel of the investment adviser identified in the
Policies. If such personnel expects to instruct the Agent to vote such proxies in a manner
inconsistent with the guidelines of the Policies or the recommendation of the Agent, the personnel
will consult with members of senior management of the investment adviser to determine if a material
conflict of interests exists. If it is determined that a material conflict does exist, the
investment adviser will seek instruction on how to vote from the Special Committee.
Information on how the Fund voted proxies relating to portfolio securities during the most recent
12 month period ended June 30 is available (1) without charge, upon request, by calling
1-800-262-1122, and (2) on the Securities and Exchange
Commissions website at http://www.sec.gov.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Eaton Vance Management (EVM) is the investment adviser to the Fund. EVM has engaged its indirect
controlled affiliate, Parametric Risk Advisors LLC (PRA), as a sub-adviser to the Fund.
James H. Evans is the portfolio manager responsible for managing the Funds overall investment
program, structuring and managing the Funds Bond Strategy, providing research support to the
sub-adviser and supervising the performance of the sub-adviser. Mr. Evans has served as portfolio
manager of the Fund since operations commenced in June 2010. He is Vice President of EVM and
director of the Tax-Advantaged Bond Strategies Division. Mr. Evans joined EVM in 2008 upon its
acquisition of M.D. Sass Tax Advantaged Bond Strategies, L.L.C. (TABS), where Mr. Evans was a
Senior Portfolio Manager and managed TABS.
Kenneth Everding and Jonathan Orseck are the PRA portfolio managers responsible for developing,
monitoring and implementing the Funds Option Overlay Strategy. Mr. Everding is a Managing
Director of PRA (or its predecessor) since 2005. Prior to joining PRA, Mr. Everding was a Managing
Director at Zurich Capital Markets and BNP Paribas following Zurichs acquisition (2003-2005). Mr.
Orseck is a Managing Director of PRA (or its predecessor) since 2006. Prior to joining PRA, Mr.
Orseck was a Managing Director of Banc of America Securities (2004-2006).
The following table shows, as of the Funds most recent fiscal year end, the number of accounts
each portfolio manager managed in each of the listed categories and the total assets (in millions
of dollars) in the accounts managed within each category. The table also shows the number of
accounts with respect to which the advisory fee is based on the performance of the account, if any,
and the total assets (in millions of dollars) in those accounts.
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Number of Accounts |
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Total Assets |
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Number of All |
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Total Assets of All |
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Paying a |
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of Accounts Paying |
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Accounts |
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Accounts |
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Performance Fee |
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a Performance Fee |
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James H. Evans |
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Registered Investment
Companies |
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4 |
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$ |
1,334.8 |
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0 |
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$ |
0 |
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Other Pooled Investment
Vehicles |
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0 |
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$ |
0 |
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0 |
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$ |
0 |
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Other Accounts |
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89 |
(1) |
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$ |
8,783.1 |
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0 |
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$ |
0 |
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Kenneth Everding |
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Registered Investment
Companies |
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5 |
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$ |
757.9 |
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0 |
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$ |
0 |
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Other Pooled Investment
Vehicles |
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0 |
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$ |
0 |
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0 |
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$ |
0 |
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Other Accounts |
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235 |
(1) |
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$ |
2,955.0 |
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1 |
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$ |
300.0 |
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Jonathan Orseck |
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Registered Investment
Companies |
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5 |
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$ |
757.9 |
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0 |
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$ |
0 |
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Other Pooled Investment
Vehicles |
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0 |
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$ |
0 |
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0 |
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$ |
0 |
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Other Accounts |
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235 |
(1) |
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$ |
2,955.0 |
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1 |
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$ |
300.0 |
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(1) |
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For Other Accounts that are part of a wrap account program, the number of accounts cited includes
the number of sponsors for which the portfolio manager provides management services rather than the number of
individual customer accounts within each wrap account program. |
The following table shows the dollar range of Fund shares beneficially by each portfolio manager as
of the Funds most recent fiscal year end.
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Dollar Range of Equity |
Portfolio
Manager |
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Securities Owned in the
Fund |
James H. Evans
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None |
Kenneth Everding
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None |
Jonathan Orseck
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None |
Potential for Conflicts of Interest. It is possible that conflicts of interest may arise in
connection with a portfolio managers management of a Funds investments on the one hand and the
investments of other accounts for which the portfolio manager is responsible on the other. For
example, a portfolio manager may have conflicts of interest in allocating management time,
resources and investment opportunities among the Fund and other accounts he or she advises. In
addition, due to differences in the investment strategies or restrictions between a Fund and the
other accounts, a portfolio manager may take action with respect to another account that differs
from the action taken with respect to the Fund. In some cases, another account managed by a
portfolio manager may compensate EVM or the sub-adviser based on the performance of the securities
held by that account. The existence of such a performance based fee may create additional conflicts
of interest for the portfolio manager in the
allocation of management time, resources and
investment opportunities. Whenever conflicts of interest arise, the portfolio manager will
endeavor to exercise his or her discretion in a manner that he or she believes is equitable to all
interested persons. EVM and the sub-adviser have adopted several policies and procedures designed
to address these potential conflicts including a code of ethics and policies which govern EVMs and
the sub-advisers trading practices, including among other things the aggregation and allocation of
trades among clients, brokerage allocation, cross trades and best execution.
Compensation Structure for EVM
Compensation of EVMs portfolio managers and other investment professionals has three primary
components: (1) a base salary, (2) an annual cash bonus, and (3) annual stock-based compensation
consisting of options to purchase shares of EVCs nonvoting common stock and restricted shares of
EVCs nonvoting common stock. EVMs investment professionals also receive certain retirement,
insurance and other benefits that are broadly available to EVMs employees. Compensation of EVMs
investment professionals is reviewed primarily on an annual basis. Cash bonuses, stock-based
compensation awards, and adjustments in base salary are typically paid or put into effect at or
shortly after the October 31st fiscal year end of EVC.
Method to Determine Compensation. EVM compensates its portfolio managers based primarily on the
scale and complexity of their portfolio responsibilities and the total return performance of
managed funds and accounts versus the benchmark(s) stated in the prospectus, as well as an
appropriate peer group (as described below). In addition to rankings within peer groups of funds
on the basis of absolute performance, consideration may also be given to relative risk-adjusted
performance. Risk-adjusted performance measures include, but are not limited to, the Sharpe Ratio.
Performance is normally based on periods ending on the September 30th preceding fiscal year end.
Fund performance is normally evaluated primarily versus peer groups of funds as determined by
Lipper Inc. and/or Morningstar, Inc. When a funds peer group as determined by Lipper or
Morningstar is deemed by EVMs management not to provide a fair comparison, performance may instead
be evaluated primarily against a custom peer group. In evaluating the performance of a fund and
its manager, primary emphasis is normally placed on three-year performance, with secondary
consideration of performance over longer and shorter periods. For funds that are tax-managed or
otherwise have an objective of after-tax returns, performance is measured net of taxes. For other
funds, performance is evaluated on a pre-tax basis. For funds with an investment objective other
than total return (such as current income), consideration will also be given to the funds success
in achieving its objective. For managers responsible for multiple funds and accounts, investment
performance is evaluated on an aggregate basis, based on averages or weighted averages among
managed funds and accounts. Funds and accounts that have performance-based advisory fees are not accorded disproportionate weightings in
measuring aggregate portfolio manager performance.
The compensation of portfolio managers with other job responsibilities (such as heading an
investment group or providing analytical support to other portfolios) will include consideration of
the scope of such responsibilities and the managers performance in meeting them.
EVM seeks to compensate portfolio managers commensurate with their responsibilities and
performance, and competitive with other firms within the investment management industry. EVM
participates in investment-industry compensation surveys and utilizes survey data as a factor in
determining salary, bonus and stock-based compensation levels for portfolio managers and other
investment professionals. Salaries, bonuses and stock-based compensation are also influenced by the
operating performance of EVM and its parent company. The overall annual cash bonus pool is based on
a substantially fixed percentage of pre-bonus operating income. While the salaries of EVMs
portfolio managers are comparatively fixed, cash bonuses and stock-based compensation may fluctuate
significantly from year to year, based on changes in manager performance and other factors as
described herein. For a high performing portfolio manager, cash bonuses and stock-based
compensation may represent a substantial portion of total compensation.
Compensation Structure for PRA
Compensation of PRA portfolio managers and other investment professionals has three primary
components: (1) a base salary, (2) a quarterly cash bonus, and (3) a share of the firms net
income. PRA investment professionals also receive insurance and other benefits that are broadly
available to all PRA employees. Compensation of PRA investment professionals is reviewed primarily
on an annual basis.
Method to Determine Compensation. PRA seeks to compensate portfolio managers commensurate with
their responsibilities and performance, and competitive with other firms within the investment
management industry. The performance of portfolio managers is evaluated primarily based on success
in achieving portfolio objectives for managed funds and accounts. The compensation of portfolio
managers for other responsibilities (such as product development) will include consideration of the
scope of such responsibilities and the managers performance in meeting them.
Salaries, bonuses and share of net income are also influenced by the operating performance of PRA.
Cash bonuses are determined based on a target percentage of PRAs profits. While the salaries of
PRAs portfolio managers are comparatively fixed, cash bonuses and share of net income may
fluctuate significantly from year-to-year, based on changes in financial performance and other
factors.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
No such purchases this period.
Item 10. Submission of Matters to a Vote of Security Holders
No Material Changes.
Item 11. 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 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 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 second fiscal quarter of the period covered by this report that has materially affected,
or is reasonably likely to materially affect, the registrants internal control over financial
reporting.
Item 12. Exhibits
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(a)(1)
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Registrants Code of Ethics Not applicable (please see Item 2). |
(a)(2)(i)
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Treasurers Section 302 certification. |
(a)(2)(ii)
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Presidents Section 302 certification. |
(b)
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Combined Section 906 certification. |
(c)
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Registrants notices to shareholders pursuant to Registrants exemptive order granting an
exemption from Section 19(b) of the 1940 Act and Rule 19b-1 thereunder regarding distributions
paid pursuant to the Registrants Managed Distribution Plan. |
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
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By: |
/s/ Payson F. Swaffield
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Payson F. Swaffield |
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President |
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Date: February 14, 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.
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By: |
/s/ Barbara E. Campbell
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Barbara E. Campbell |
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Treasurer |
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Date: February 14, 2012
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By: |
/s/ Payson F. Swaffield
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Payson F. Swaffield |
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President |
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Date: February 14, 2012