UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-04656
Ellsworth Growth and Income Fund Ltd.
(Exact name of registrant as specified in charter)
65 Madison Avenue, Morristown, New Jersey 07960-7308
(Address of principal executive offices) (Zip code)
Thomas H. Dinsmore
Ellsworth Growth and Income Fund Ltd.
65 Madison Avenue
Morristown, New Jersey 07960-7308
(Name and address of agent for service)
Copy to:
Steven B. King, Esq.
Ballard Spahr LLP
1735 Market Street, 51st Floor
Philadelphia, PA 19103-7599
Registrant's telephone number, including area code: 973-631-1177
Date of fiscal year end: September 30, 2015
Date of reporting period: June 30, 2015
ITEM 1. SCHEDULE OF INVESTMENTS.
Ellsworth Growth and Income Fund Ltd. - Schedule of Investments - unaudited
June 30, 2015
| Principal | Value | |||||||
| Amount | (Note 1) | |||||||
| Convertible Bonds and Notes - 47.3% | ||||||||
| Air Freight & Logistics - 1.1% | ||||||||
| Atlas Air Worldwide Holdings, Inc., 2.25%, Due 6/1/22 | $ | 750,000 | $ | 734,531 | ||||
| Echo Global Logistics, Inc., 2.50%, Due 5/1/20 | 625,000 | 674,219 | ||||||
| 1,408,750 | ||||||||
| Automobiles - 0.1% | ||||||||
| Tesla Motors, Inc., 1.25%, Due 3/1/21 | 200,000 | 196,625 | ||||||
| Biotechnology - 8.4% | ||||||||
| Array BioPharma Inc., 3.00%, Due 6/1/20 | 250,000 | 316,875 | ||||||
| Cepheid, 1.25%, Due 2/1/21 | 800,000 | 928,500 | ||||||
| Emergent BioSolutions Inc., 2.875%, Due 1/15/21 | 800,000 | 993,000 | ||||||
| Exelixis, Inc., 4.25%, Due 8/15/19 | 250,000 | 222,344 | ||||||
| Gilead Sciences, Inc., 1.625%, Due 5/1/16 | 700,000 | 3,610,691 | ||||||
| Incyte Corp., 1.25%, Due 11/15/20 | 1,000,000 | 2,066,875 | ||||||
| Isis Pharmaceuticals, Inc., 1.00%, Due 11/15/21 (1) | 1,000,000 | 1,081,875 | ||||||
| OPKO Health Inc., 3.00%, Due 2/1/33 | 200,000 | 472,875 | ||||||
| Regeneron Pharmaceuticals, Inc., 1.875%, Due 10/1/16 | 250,000 | 1,516,562 | ||||||
| 11,209,597 | ||||||||
| Communications Equipment - 1.2% | ||||||||
| CalAmp Corp., 1.625%, Due 5/15/20 (1) | 1,050,000 | 1,000,781 | ||||||
| Oclaro, Inc., 6.00%, Due 2/15/20 (1) | 500,000 | 660,938 | ||||||
| 1,661,719 | ||||||||
| Consumer Finance - 0.8% | ||||||||
| Encore Capital Group, Inc., 3.00%, Due 7/1/20 | 1,000,000 | 1,069,375 | ||||||
| Diversified Consumer Services - 0.9% | ||||||||
| Carriage Services, Inc., 2.75%, Due 3/15/21 | 1,000,000 | 1,198,750 | ||||||
| Diversified Telecommunication Services - 1.2% | ||||||||
| Alaska Communications Systems Group, Inc., 6.25%, Due 5/1/18 | 1,000,000 | 1,001,875 | ||||||
| inContact, Inc., 2.50%, Due 4/1/22 (1) | 575,000 | 570,328 | ||||||
| 1,572,203 | ||||||||
| Electrical Equipment - 0.5% | ||||||||
| SolarCity Corp., 2.75%, Due 11/1/18 | 250,000 | 271,562 | ||||||
| SolarCity Corp., 1.625%, Due 11/1/19 | 500,000 | 460,000 | ||||||
| 731,562 | ||||||||
| Electronic Equipment & Instruments - 0.7% | ||||||||
| InvenSense, Inc., 1.75%, Due 11/1/18 | 1,000,000 | 968,125 | ||||||
Ellsworth Growth and Income Fund Ltd. - Schedule of Investments - continued
June 30, 2015
| Principal | Value | |||||||
| Amount | (Note 1) | |||||||
| Convertible Bonds and Notes - continued | ||||||||
| Health Care Equipment & Supplies - 0.8% | ||||||||
| Quidel Corp., 3.25%, Due 12/15/20 | $ | 500,000 | $ | 501,562 | ||||
| Trinity Biotech Investment Ltd., 4.00%, Due 4/1/45 (1) | 500,000 | 544,688 | ||||||
| 1,046,250 | ||||||||
| Health Care Providers & Services - 1.3% | ||||||||
| Molina Healthcare Inc., 1.125%, Due 1/15/20 | 1,000,000 | 1,773,125 | ||||||
| Household Durables - 1.3% | ||||||||
| Jarden Corp., 1.875%, Due 9/15/18 | 500,000 | 840,625 | ||||||
| Jarden Corp., 1.125%, Due 3/15/34 | 750,000 | 877,031 | ||||||
| 1,717,656 | ||||||||
| Internet & Catalog Retail - 1.5% | ||||||||
| The Priceline Group Inc., 1.00%, Due 3/15/18 | 1,500,000 | 2,004,375 | ||||||
| Internet Software & Services - 2.4% | ||||||||
| Blucora, Inc., 4.25%, Due 4/1/19 | 1,000,000 | 995,000 | ||||||
| Monster Worldwide, Inc., 3.50%, Due 10/15/19 | 625,000 | 866,797 | ||||||
| Web.com Group, Inc., 1.00%, Due 8/15/18 | 1,375,000 | 1,368,125 | ||||||
| 3,229,922 | ||||||||
| IT Services - 1.0% | ||||||||
| CSG Systems International, Inc., 3.00%, Due 3/1/17 | 900,000 | 1,268,438 | ||||||
| Media - 0.8% | ||||||||
| Global Eagle Entertainment Inc., 2.75%, Due 2/15/35 | 1,125,000 | 1,098,281 | ||||||
| Metals & Mining - 0.3% | ||||||||
| A.M. Castle & Co., 7.00%, Due 12/15/17 | 400,000 | 345,000 | ||||||
| Oil, Gas & Consumable Fuels - 1.3% | ||||||||
| Cheniere Energy, Inc., 4.25%, Due 3/15/45 | 1,500,000 | 1,134,450 | ||||||
| Clean Energy Fuels Corp., 5.25%, Due 10/1/18 | 500,000 | 364,062 | ||||||
| Goodrich Petroleum Corp., 5.00%, Due 10/1/32 | 517,000 | 261,085 | ||||||
| 1,759,597 | ||||||||
| Personal Products - 0.5% | ||||||||
| IGI Laboratories, Inc., 3.75%, Due 12/15/19 (1) | 750,000 | 667,969 | ||||||
Ellsworth Growth and Income Fund Ltd. - Schedule of Investments - continued
June 30, 2015
| Principal | Value | |||||||
| Amount | (Note 1) | |||||||
| Convertible Bonds and Notes - continued | ||||||||
| Pharmaceuticals - 4.7% | ||||||||
| ANI Pharmaceuticals, Inc., 3.00%, Due 12/1/19 | $ | 500,000 | $ | 571,875 | ||||
| Depomed, Inc., 2.50%, Due 9/1/21 | 300,000 | 385,125 | ||||||
| Horizon Pharma Investment Ltd., 2.50%, Due 3/15/22 (1) | ||||||||
| (cv. into Horizon Pharma plc ordinary shares) | 750,000 | 1,040,156 | ||||||
| Jazz Pharmaceuticals plc, 1.875%, Due 8/15/21 (1) | ||||||||
| (cv. into Jazz Pharmaceuticals plc ordinary shares) | 710,000 | 829,369 | ||||||
| Mylan Inc., 3.75%, Due 9/15/15 | 500,000 | 2,543,438 | ||||||
| The Medicines Co., 2.50%, Due 1/15/22 (1) | 750,000 | 824,062 | ||||||
| 6,194,025 | ||||||||
| Real Estate Investment Trusts - 1.1% | ||||||||
| Colony Capital, Inc., 5.00%, Due 4/15/23 | 1,000,000 | 1,052,500 | ||||||
| Spirit Realty Capital, Inc., 3.75%, Due 5/15/21 | 500,000 | 467,502 | ||||||
| 1,520,002 | ||||||||
| Real Estate Management & Development - 0.8% | ||||||||
| Forest City Enterprises, Inc., 3.625%, Due 8/15/20 | 1,000,000 | 1,092,500 | ||||||
| Semiconductors & Semiconductor Equipment - 3.6% | ||||||||
| JinkoSolar Holding Co., Ltd., 4.00%, Due 2/1/19 | 500,000 | 478,125 | ||||||
| Microchip Technology Inc., 1.625%, Due 2/15/25 (1) | 500,000 | 506,875 | ||||||
| Micron Technology, Inc., 3.00%, Due 11/15/43 | 1,750,000 | 1,589,219 | ||||||
| ON Semiconductor Corp., 1.00%, Due 12/1/20 (1) | 500,000 | 497,188 | ||||||
| Spansion LLC, 2.00%, Due 9/1/20 | 200,000 | 421,250 | ||||||
| SunEdison, Inc., 3.375%, Due 6/1/25 (1) | 1,250,000 | 1,297,656 | ||||||
| 4,790,313 | ||||||||
| Software - 8.1% | ||||||||
| Bottomline Technologies, Inc., 1.50%, Due 12/1/17 | 750,000 | 837,188 | ||||||
| EnerNOC, Inc., 2.25%, Due 8/15/19 | 1,000,000 | 724,375 | ||||||
| FireEye, Inc., 1.625%, Due 6/1/35 (1) | 1,000,000 | 1,071,250 | ||||||
| Mentor Graphics Corp., 4.00%, Due 4/1/31 | 1,250,000 | 1,696,875 | ||||||
| MercadoLibre, Inc., 2.25%, Due 7/1/19 | 500,000 | 635,000 | ||||||
| Proofpoint, Inc., 0.75%, Due 6/15/20 (1) | 1,250,000 | 1,351,625 | ||||||
| PROS Holdings, Inc., 2.00%, Due 12/1/19 (1) | 500,000 | 486,875 | ||||||
| Synchronoss Technologies, Inc., 0.75%, Due 8/15/19 | 750,000 | 840,938 | ||||||
| Take-Two Interactive Software, Inc., 1.75%, Due 12/1/16 | 500,000 | 745,625 | ||||||
| TeleCommunication Systems, Inc., 7.75%, Due 6/30/18 | 1,000,000 | 990,000 | ||||||
| Verint Systems Inc., 1.50%, Due 6/1/21 | 1,250,000 | 1,420,312 | ||||||
| 10,800,063 | ||||||||
Ellsworth Growth and Income Fund Ltd. - Schedule of Investments - continued
June 30, 2015
| Principal | Value | |||||||
| Amount | (Note 1) | |||||||
| Convertible Bonds and Notes - continued | ||||||||
| Technology, Hardware & Storage - 1.0% | ||||||||
| Avid Technology, Inc., 2.00%, Due 6/15/20 (1) | $ | 1,000,000 | $ | 909,800 | ||||
| Violin Memory, Inc., 4.25%, Due 10/1/19 | 500,000 | 425,000 | ||||||
| 1,334,800 | ||||||||
| Textiles, Apparel & Luxury Goods - 1.0% | ||||||||
| Iconix Brand Group, Inc., 2.50%, Due 6/1/16 | 750,000 | 772,031 | ||||||
| Iconix Brand Group, Inc., 1.50%, Due 3/15/18 | 560,000 | 574,000 | ||||||
| 1,346,031 | ||||||||
| Trading Companies & Distributors - 0.7% | ||||||||
| Kaman Corp., 3.25%, Due 11/15/17 | 750,000 | 987,188 | ||||||
| Total Convertible Bonds and Notes | 62,992,241 | |||||||
| Convertible Preferred Stock - 8.0% | ||||||||
| Shares | ||||||||
| Capital Markets - 0.4% | ||||||||
| Cowen Group, Inc., 5.625% (1) | 500 | 559,400 | ||||||
| Commercial Banks - 1.7% | ||||||||
| Huntington Bancshares, Inc., 8.50% | 1,250 | 1,668,750 | ||||||
| Wells Fargo & Co., 7.50% | 500 | 587,500 | ||||||
| 2,256,250 | ||||||||
| Diversified Financial Services - 0.8% | ||||||||
| Bank of America Corp., 7.25% | 1,000 | 1,112,000 | ||||||
| Food Products - 0.8% | ||||||||
| Bunge Ltd., 4.875% | 10,000 | 1,089,870 | ||||||
| Machinery - 0.9% | ||||||||
| Stanley Black & Decker, Inc., 6.25% | 10,000 | 1,202,500 | ||||||
| Oil, Gas & Consumable Fuels - 0.9% | ||||||||
| Chesapeake Energy Corp., 5.75% | 1,550 | 1,073,189 | ||||||
| Halcon Resources Corp., 5.75% | 500 | 112,000 | ||||||
| 1,185,189 | ||||||||
| Real Estate Investment Trusts - 0.9% | ||||||||
| Health Care REIT, Inc., 6.50% | 20,000 | 1,188,800 | ||||||
Ellsworth Growth and Income Fund Ltd. - Schedule of Investments - continued
June 30, 2015
| Value | ||||||||
| Shares | (Note 1) | |||||||
| Convertible Preferred Stock - continued | ||||||||
| Specialty Retail - 0.6% | ||||||||
| Amerivon Holdings LLC, 4.00%, (1,2,3) | 666,024 | $ | 763,666 | |||||
| Amerivon Holdings LLC, common equity units, (1,2,3) | 272,728 | 16,364 | ||||||
| 780,030 | ||||||||
| Thrift & Mortgage Finance - 0.9% | ||||||||
| New York Community Capital Trust V, 6.00% | 24,000 | 1,218,000 | ||||||
| Total Convertible Preferred Stock | 10,592,039 | |||||||
| Mandatory Convertible Securities - 10.6% (4) | ||||||||
| Automobiles - 0.5% | ||||||||
| Fiat Chrysler Automobiles N.V., 7.875%, Due 12/15/16 | 5,000 | 630,750 | ||||||
| Biotechnology - 1.1% | ||||||||
| AmSurg Corp., 5.25%, Due 7/1/17 | 10,500 | 1,464,225 | ||||||
| Diversified Telecommunication Services - 0.7% | ||||||||
| Frontier Communications Corp, 11.125%, Due 6/29/18 | 10,000 | 993,000 | ||||||
| Electric Utilities - 0.8% | ||||||||
| NextEra Energy, Inc., 5.799%, Due 9/1/16 | 20,000 | 1,070,000 | ||||||
| Food Products - 0.8% | ||||||||
| Tyson Foods, Inc., 4.75%, Due 7/15/17 | 20,000 | 1,030,200 | ||||||
| Health Care Providers & Services - 1.6% | ||||||||
| Anthem, Inc., 5.25%, Due 5/1/18 | 20,000 | 1,057,400 | ||||||
| Kindred Healthcare, Inc., 7.50%, Due 11/19/17 | 1,000 | 1,025,300 | ||||||
| 2,082,700 | ||||||||
| Insurance - 0.8% | ||||||||
| Maiden Holdings, Ltd., 7.25%, Due 9/15/16 | 20,000 | 1,112,800 | ||||||
| Multi-Utilities - 0.7% | ||||||||
| Dominion Resources, Inc., 6.375%, Due 7/1/17 | 20,000 | 934,000 | ||||||
| Oil, Gas & Consumable Fuels - 0.4% | ||||||||
| Anadarko Petroleum Corp, 7.50%, Due 6/7/18 | 10,000 | 502,400 | ||||||
Ellsworth Growth and Income Fund Ltd. - Schedule of Investments - continued
June 30, 2015
| Value | ||||||||
| Shares | (Note 1) | |||||||
| Mandatory Convertible Securities - continued | ||||||||
| Pharmaceuticals - 1.6% | ||||||||
| Allergan plc, 5.50%, Due 3/1/18 | 2,000 | $ | 2,089,500 | |||||
| Real Estate Investment Trusts - 1.2% | ||||||||
| Weyerhaeuser Co., 6.375%, Due 7/1/16 | 30,000 | 1,579,200 | ||||||
| Wireless Telecommunication Services - 0.5% | ||||||||
| T-Mobile US, Inc., 5.50%, Due 12/15/17 | 10,000 | 675,000 | ||||||
| Total Mandatory Convertible Securities (4) | 14,163,775 | |||||||
| Common Stock - 33.0% | ||||||||
| Aerospace & Defense - 0.8% | ||||||||
| United Technologies Corp. | 10,000 | 1,109,300 | ||||||
| Automobiles - 1.1% | ||||||||
| Ford Motor Co. | 100,000 | 1,501,000 | ||||||
| Capital Markets - 0.9% | ||||||||
| BlackRock Capital Investment Corp. | 131,034 | 1,197,651 | ||||||
| Commercial Banks - 0.9% | ||||||||
| Wells Fargo & Co. | 22,200 | 1,248,528 | ||||||
| Diversified Financial Services - 1.2% | ||||||||
| Citigroup Inc. | 29,546 | 1,632,121 | ||||||
| Diversified Telecommunication Services - 2.4% | ||||||||
| AT&T Inc. | 50,000 | 1,776,000 | ||||||
| Verizon Communications Inc. | 30,000 | 1,398,300 | ||||||
| 3,174,300 | ||||||||
| Energy Equipment & Services - 1.0% | ||||||||
| Chevron Corp. | 14,000 | 1,350,580 | ||||||
Ellsworth Growth and Income Fund Ltd. - Schedule of Investments - continued
June 30, 2015
| Value | ||||||||
| Shares | (Note 1) | |||||||
| Common Stock - continued | ||||||||
| Food Products - 3.0% | ||||||||
| B&G Foods, Inc. | 35,000 | $ | 998,550 | |||||
| ConAgra Foods, Inc. | 45,000 | 1,967,400 | ||||||
| Unilever N.V. (ADR) | 24,000 | 1,004,160 | ||||||
| 3,970,110 | ||||||||
| Household Products - 1.2% | ||||||||
| Church & Dwight Co., Inc. | 20,000 | 1,622,600 | ||||||
| Industrial Conglomerates - 1.0% | ||||||||
| General Electric Co. | 50,000 | 1,328,500 | ||||||
| Insurance - 0.8% | ||||||||
| MetLife, Inc. | 20,175 | 1,129,598 | ||||||
| Internet Software & Services - 1.4% | ||||||||
| Equinix, Inc. | 7,500 | 1,905,000 | ||||||
| Media - 1.3% | ||||||||
| Walt Disney Co. | 15,000 | 1,712,100 | ||||||
| Oil, Gas & Consumable Fuels - 2.5% | ||||||||
| ConocoPhillips | 26,782 | 1,644,683 | ||||||
| Halcon Resources Corp. (5) | 6,218 | 7,213 | ||||||
| Kinder Morgan, Inc. | 45,000 | 1,727,550 | ||||||
| 3,379,446 | ||||||||
| Pharmaceuticals - 4.9% | ||||||||
| AbbVie Inc. | 25,000 | 1,679,750 | ||||||
| Eli Lilly & Co. | 15,000 | 1,252,350 | ||||||
| Merck & Co., Inc. | 22,651 | 1,289,521 | ||||||
| Pfizer Inc. | 40,000 | 1,341,200 | ||||||
| Roche Holdings Ltd. (ADR) | 27,500 | 964,425 | ||||||
| 6,527,246 | ||||||||
| Real Estate Investment Trusts - 3.0% | ||||||||
| American Tower Corp. | 15,000 | 1,399,350 | ||||||
| Crown Castle International Corp. | 16,100 | 1,292,830 | ||||||
| Invesco Mortgage Capital Inc. | 58,700 | 840,584 | ||||||
| Lexington Realty Trust | 55,000 | 466,400 | ||||||
| 3,999,164 | ||||||||
Ellsworth Growth and Income Fund Ltd. - Schedule of Investments - continued
June 30, 2015
| Value | ||||||||
| Shares | (Note 1) | |||||||
| Common Stock - continued | ||||||||
| Semiconductors & Semiconductor Equipment - 0.9% | ||||||||
| Intel Corp. | 40,000 | $ | 1,216,600 | |||||
| Software - 0.9% | ||||||||
| Microsoft Corp. | 28,600 | 1,262,690 | ||||||
| Technology, Hardware & Storage - 0.3% | ||||||||
| Stratasys Ltd. (5) | 12,000 | 419,160 | ||||||
| Wireless Telecommunication Services - 3.2% | ||||||||
| SBA Communications Corp. (5) | 20,500 | 2,356,885 | ||||||
| Vodafone Group PLC (ADR) | 50,909 | 1,855,633 | ||||||
| 4,212,518 | ||||||||
| Total Common Stock | 43,898,212 | |||||||
| Convertible Bonds and Notes - 47.3% | 62,992,241 | |||||||
| Convertible Preferred Stock - 8.0% | 10,592,039 | |||||||
| Mandatory Convertible Securities - 10.6% | 14,163,775 | |||||||
| Common Stock - 33.0% | 43,898,212 | |||||||
| Total Investments - 98.9% | 131,646,267 | |||||||
| Other Assets and Liabilites - 1.1% | 1,423,709 | |||||||
| Total Net Assets - 100.0% | $ | 133,069,976 | ||||||
Ellsworth Growth and Income Fund Ltd. - Schedule of Investments – continued
June 30, 2015
(1) Security not registered under the Securities Act of 1933, as amended (the "Securities Act") (e.g., the security was purchased in a Rule 144A or a Regulation D transaction). The security may be resold only pursuant to an exemption from registration under the Securities Act, typically to qualified institutional buyers. The Fund generally has no rights to demand registration of such securities. The aggregate market value of these unregistered securities at June 30, 2015 was $14,680,865 which represented 11.0% of the Fund’s net assets.
(2) Investment is valued at fair value as determined in good faith pursuant to procedures adopted by the Board of Trustees. It is possible that the estimated value may differ significantly from the amount that might ultimately be realized in the near term, and the difference could be material. The fair value of these securities amounted to $780,030 at June 30, 2015, which represented approximately 0.58% of the Fund’s net assets.
(3) Restricted securities include securities that have not been registered under the Securities Act and securities that are subject to restrictions on resale. The Fund may invest in restricted securities that are consistent with the Fund’s investment objective and investment strategies. In some cases, the issuer of restricted securities has agreed to register such securities for resale at the issuer’s expense, either upon demand by the Fund or in connection with another registered offering of the securities. Investments in restricted securities are valued at fair value as determined in good faith in accordance with procedures adopted by the Board of Trustees. It is possible that the estimated value may differ significantly from the amount that might ultimately be realized in the near term, and the difference could be material. As of June 30, 2015, the Fund was invested in the following restricted securities:
| Security | Acquisition Date | Shares | Cost | Price per Share | Value | % Net Assets | ||||||||||||||||
| Amerivon Holdings LLC series A 4.00% cv. pfd. | April 1, 2010 | 666,024 | $1,500,000 | $1.147 | $763,666 | 0.57% | ||||||||||||||||
| Amerivon Holdings LLC common equity units | April 1, 2010 | 272,728 | 0 | 0.060 | 16,364 | 0.01% | ||||||||||||||||
(4) Mandatory Convertible Securities are required to be converted on the dates listed; they generally may be converted prior to these dates at the option of the holder.
(5) Non-income producing security.
ADR = American Depositary Receipt.
Ellsworth Growth and Income Fund Ltd. - Selected Notes to Financial Statements - unaudited
Ellsworth Growth and Income Fund Ltd. (the “Fund”), is registered under the Investment Company Act of 1940, as amended, (the “Act”) as a diversified, closed-end management investment company.
Note 1 - Security Valuation - Investments in securities traded on a national securities exchange are valued at market using the last reported sales price, supplied by an independent pricing service, as of the close of regular trading. Listed securities, for which no sales were reported, are valued at the mean between closing reported bid and asked prices as of the close of regular trading. Unlisted securities traded in the over-the-counter market are valued using an evaluated quote provided by the independent pricing service, or, if an evaluated quote is unavailable, such securities are valued using prices received from dealers, provided that if the dealer supplies both bid and asked prices, the price to be used is the mean of the bid and asked prices. The independent pricing service derives an evaluated quote by obtaining dealer quotes, analyzing the listed markets, reviewing trade execution data and employing sensitivity analysis. Evaluated quotes may also reflect appropriate factors such as individual characteristics of the issue, communications with broker-dealers, and other market data. Securities for which quotations are not readily available, restricted securities and other assets are valued at fair value as determined in good faith pursuant to procedures approved by the Board of Trustees. Short-term debt securities with original maturities of 60 days or less are valued at amortized cost.
The Fund has adopted authoritative fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
Level 1 - Quoted unadjusted prices for identical instruments in active markets.
Level 2 - Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-driven valuation in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers, and those received from an independent pricing service.
Level 3 - Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price an asset or liability based on the best available information.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of the markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The following is a summary of the inputs used to value the investments of the Fund as of June 30, 2015:
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Investments in Securities: | ||||||||||||||||
| Common Stock: | ||||||||||||||||
| Consumer Discretionary | $ | 3,213,100 | $ | — | $ | — | $ | 3,213,100 | ||||||||
| Consumer Staples | 5,592,710 | — | — | 5,592,710 | ||||||||||||
| Energy | 4,730,026 | — | — | 4,730,026 | ||||||||||||
| Financials | 9,207,062 | — | — | 9,207,062 | ||||||||||||
| Health Care | 6,527,246 | — | — | 6,527,246 | ||||||||||||
| Industrials | 2,437,800 | — | — | 2,437,800 | ||||||||||||
| Information Technology | 4,803,450 | — | — | 4,803,450 | ||||||||||||
| Telecommunication Services | 7,386,818 | — | — | 7,386,818 | ||||||||||||
| Total Common Stock | 43,898,212 | — | — | 43,898,212 | ||||||||||||
| Convertible Bonds and Notes: | ||||||||||||||||
| Consumer Discretionary | — | 7,561,718 | — | 7,561,718 | ||||||||||||
| Consumer Staples | — | 667,969 | — | 667,969 | ||||||||||||
| Energy | — | 1,759,597 | — | 1,759,597 | ||||||||||||
| Financials | — | 3,681,877 | — | 3,681,877 | ||||||||||||
| Health Care | — | 20,222,997 | — | 20,222,997 | ||||||||||||
| Industrials | — | 3,127,500 | — | 3,127,500 | ||||||||||||
| Information Technology | — | 24,053,380 | — | 24,053,380 | ||||||||||||
| Materials | — | 345,000 | — | 345,000 | ||||||||||||
| Telecommunication Services | — | 1,572,203 | — | 1,572,203 | ||||||||||||
| Total Convertible Bonds and Notes | — | 62,992,241 | — | 62,992,241 | ||||||||||||
| Convertible Preferred Stock: | ||||||||||||||||
| Consumer Discretionary | — | — | 780,030 | 780,030 | ||||||||||||
| Consumer Staples | — | 1,089,870 | — | 1,089,870 | ||||||||||||
| Energy | — | 1,185,189 | — | 1,185,189 | ||||||||||||
| Financials | — | 6,334,450 | — | 6,334,450 | ||||||||||||
| Industrials | — | 1,202,500 | — | 1,202,500 | ||||||||||||
| Total Convertible Preferred Stock | — | 9,812,009 | 780,030 | 10,592,039 | ||||||||||||
| Mandatory Convertible Securities: | ||||||||||||||||
| Consumer Discretionary | — | 630,750 | — | 630,750 | ||||||||||||
| Consumer Staples | — | 1,030,200 | — | 1,030,200 | ||||||||||||
| Energy | — | 502,400 | — | 502,400 | ||||||||||||
| Financials | — | 2,692,000 | — | 2,692,000 | ||||||||||||
| Health Care | — | 5,636,425 | — | 5,636,425 | ||||||||||||
| Telecommunication Services | — | 1,668,000 | — | 1,668,000 | ||||||||||||
| Utilities | — | 2,004,000 | — | 2,004,000 | ||||||||||||
| Total Mandatory Convertible Securities | — | 14,163,775 | — | 14,163,775 | ||||||||||||
| Total Investments | $ | 43,898,212 | $ | 86,968,025 | $ | 780,030 | $ | 131,646,267 |
Refer to the Fund’s Portfolio of Investments for a detailed breakdown of Common Stock, Convertible Bonds and Notes, Convertible Preferred Stock and Mandatory Convertible Securities. Transfers between levels are recognized at June 30, 2015, the end of the reporting period. The Fund recognized no transfers to or from Level 1 to Level 2.
The following is a reconciliation of assets for which Level 3 inputs were used in determining value:
| Description | Investments in Securities | |||
| Balance as of March 31, 2015 | $ | 779,969 | ||
| Proceeds from sales | — | |||
| Gain/loss | — | |||
| Change in unrealized appreciation (depreciation) | 61 | |||
| Net transfers in/out of Level 3 | — | |||
| Balance as of June 30, 2015 | $ | 780,030 | ||
The following table presents additional information about valuation methodologies and inputs used for investments that are measured at fair value and categorized within Level 3 as of June 30, 2015:
| Fair Value June 30, 2015 | Valuation Methodologies | Unobservable Input (1) | Impact to Valuation from an Increase in Input (2) | |||||||
| Amerivon Holdings LLC series A cv. pfd. and common equity units | $ | 780,030 | Market Comparables/ Sum of the Parts Valuation/ Dividend Analysis | Liquidity Discount | Increase | |||||
| (1) | In determining certain of these inputs, management evaluates a variety of factors including economic conditions, industry and market developments, market valuations of comparable companies and company specific developments. |
| (2) | This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect. |
Note 2 - Securities Transactions and Related Investment Income - Securities transactions are accounted for on the trade date (the date the order to buy or sell is executed) with gain or loss on the sale of securities being determined based upon identified cost. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis, including accretion of discounts and amortization of non-equity premium.
Note 3 - Federal Income Tax Cost - At June 30, 2015, unrealized appreciation (depreciation) of investment securities on a tax cost basis and federal tax cost were as follows:
| Unrealized appreciation | $ | 20,336,398 | ||
| Unrealized depreciation | (5,309,082 | ) | ||
| Net unrealized appreciation | 15,027,316 | |||
| Cost for federal income tax purposes | $ | 116,618,951 |
Note 4 - New Accounting Pronouncement - In June 2014, FASB issued ASU No. 2014-11, Transfers and Servicing (Topic 860), Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. The ASU changes the accounting for certain repurchase agreements and expands disclosure requirements related to repurchase agreements, securities lending, repurchase-to-maturity and similar transactions. The ASU is effective for interim and annual reporting periods beginning after December 15, 2014. Management is currently evaluating the impact, if any, of applying this provision.
ITEM 2. CONTROLS AND PROCEDURES.
Conclusions of principal officers concerning controls and procedures.
(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c)) are effective as of August 28, 2015 based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 17 CFR 240.15d-15(b)).
(b) There have been no changes in the Fund’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the Fund’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications of the principal executive officer and the principal financial officer of the Fund, as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), are filed herewith.
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.
Ellsworth Growth and Income Fund Ltd.
By: /s/Thomas H. Dinsmore
Thomas H. Dinsmore
Chairman of the Board and
Chief Executive Officer
(Principal Executive Officer)
Date: August 28, 2015
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/Thomas H. Dinsmore
Thomas H. Dinsmore
Chairman of the Board and
Chief Executive Officer
(Principal Executive Officer)
Date: August 28, 2015
By: /s/Gary I. Levine
Gary I. Levine
Chief Financial Officer
(Principal Financial Officer)
Date: August 28, 2015