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 811-04656
______________________________
ELLSWORTH 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 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, 2011
Date of reporting period: September 30, 2011
ITEM 1. REPORTS TO STOCKHOLDERS.
Calendar
|
Annualized
|
10 Year
|
||||||||||||||||||
YTD
|
1 Year
|
5 Years
|
10 Years
|
Volatility *
|
||||||||||||||||
Ellsworth market price
|
(10.31 | )% | (7.13 | )% | 2.29 | % | 3.10 | % | 16.38 | % | ||||||||||
Ellsworth net asset value
|
(8.73 | ) | (2.82 | ) | 1.64 | 3.82 | 12.61 | |||||||||||||
Bank of America Merrill Lynch All U.S.
Convertibles Index
|
(9.08 | ) | (2.31 | ) | 2.24 | 5.15 | 12.72 | |||||||||||||
S&P 500 Index
|
(8.69 | ) | 1.14 | (1.18 | ) | 2.81 | 16.09 |
Net Asset Values | Market Prices | |||||||||||||||||||||||
Qtr. Ended
|
High
|
Low
|
Close
|
High
|
Low
|
Close
|
||||||||||||||||||
12/31/10
|
$ | 8.38 | $ | 7.93 | $ | 8.38 | $ | 7.35 | $ | 7.01 | $ | 7.35 | ||||||||||||
3/31/11
|
8.73 | 8.42 | 8.71 | 7.65 | 7.34 | 7.58 | ||||||||||||||||||
6/30/11
|
8.88 | 8.35 | 8.61 | 7.80 | 7.36 | 7.54 | ||||||||||||||||||
9/30/11
|
8.74 | 7.46 | 7.46 | 7.71 | 6.30 | 6.43 |
Record
|
Payment
|
Capital
|
Corporate
|
||||||||||||||||
Date
|
Date
|
Income
|
Gains
|
Total
|
Deduction #
|
||||||||||||||
10/21/10
|
11/24/10
|
$ | 0.071 | $ | — | $ | 0.071 | 27% | |||||||||||
2/10/11
|
2/24/11
|
0.061 | — | 0.061 | 36 | ||||||||||||||
5/12/11
|
5/26/11
|
0.061 | — | 0.061 | 36 | ||||||||||||||
8/11/11
|
8/25/11
|
0.061 | — | 0.061 | 36 | ||||||||||||||
$ | 0.254 | $ | — | $ | 0.254 |
Value
|
% Total
|
|||||||
(Note 1)
|
Net Assets
|
|||||||
Intel Corp.
|
$ | 2,709,375 | 2.7 | % | ||||
Intel is a semiconductor chip maker. The company is engaged in developing advanced integrated digital technology products, primarily integrated circuits, for industries such as computing and communications.
|
||||||||
EMC Corp.
|
2,690,875 | 2.7 | ||||||
EMC and its subsidiaries develop, deliver and support the information technology (IT) industry’s range of information infrastructure technologies and solutions.
|
||||||||
Nuance Communications, Inc.
|
2,525,000 | 2.5 | ||||||
Nuance is a provider of speech, imaging and keypad solutions for businesses, organizations and consumers worldwide. The company’s solutions are used for tasks and services, such as requesting information from a phone-based, self-service solution, dictating medical records, searching the mobile Web by voice, entering a destination into a navigation system, or working with portable document format (PDF) documents.
|
||||||||
Chesapeake Energy Corp.
|
2,225,000 | 2.2 | ||||||
Produces oil and natural gas. The company’s operations are focused on developmental drilling and producing property acquisitions in onshore natural gas producing areas of the United States and Canada.
|
||||||||
Equinix, Inc.
|
2,220,625 | 2.2 | ||||||
Equinix provides core Internet exchange services to networks, Internet infrastructure companies, enterprises and content providers.
|
||||||||
Verizon Communications Inc.
|
2,208,000 | 2.2 | ||||||
Verizon is a holding company, and through its subsidiaries is a provider of communications services. These include wireless voice and data services and equipment sales, and voice, Internet access, broadband video and data which are provided to consumer, business and government customers across the United States.
|
||||||||
Wells Fargo & Company
|
2,066,120 | 2.1 | ||||||
Wells Fargo is a diversified financial services company, providing retail, commercial and corporate banking services through banking stores located in 39 states and the District of Columbia.
|
||||||||
AT&T Inc.
|
1,996,400 | 2.0 | ||||||
AT&T Inc. is a holding company, and provides telecommunications services in the United States and worldwide. These services include wireless communications, local exchange services, long-distance services, data/broadband and Internet services, video services, managed networking, wholesale services and directory advertising and publishing.
|
||||||||
SBA Communications Corp.
|
1,691,875 | 1.7 | ||||||
SBA owns and operates wireless communications infrastructure in the United States. The company offers both site leasing and site development services.
|
||||||||
Total
|
$ | 20,333,270 | 20.3 | % |
% Total
|
||||
Net Assets
|
||||
Telecommunications
|
12.7 | % | ||
Energy
|
11.6 | |||
Pharmaceuticals
|
10.5 | |||
Financial Services
|
8.5 | |||
Computer Software
|
7.2 | |||
Semiconductors
|
6.9 | |||
Banking/Savings and Loan
|
5.9 | |||
Healthcare
|
5.5 | |||
Metals and Mining
|
5.2 | |||
Computer Hardware
|
3.0 | |||
Total
|
77.0 | % |
Major Portfolio Changes by underlying common stock
|
Six months ended September 30, 2011
|
ADDITIONS
|
REDUCTIONS
|
|
A123 Systems, Inc.
|
ADC Telecommunications, Inc.
|
|
Chesapeake Energy Corp.
|
Cephalon, Inc.
|
|
Digital River, Inc.
|
Charles River Laboratories Int’l, Inc.
|
|
Equinix, Inc.
|
CommScope, Inc.
|
|
Fifth Third Bancorp
|
Equinix, Inc.
|
|
General Motors Co.
|
Ford Motor Co.
|
|
JinkoSolar Holding Co., Ltd.
|
Kinetic Concepts, Inc.
|
|
Metlife, Inc.
|
LifePoint Hospitals, Inc.
|
|
Micron Technology, Inc.
|
LSB Industries, Inc.
|
|
NextEra Energy, Inc.
|
McMoRan Exploration Co.
|
|
PPL Corp.
|
NII Holdings, Inc.
|
|
SBA Communications Corp.
|
Owens-Illinois, Inc.
|
|
Stanley Black & Decker, Inc.
|
SBA Communications Corp.
|
|
SunPower Corp.
|
SunPower Corp.
|
|
United Continental Holdings, Inc.
|
Titan International, Inc.
|
|
WebMD Health Corp.
|
United Continental Holdings, Inc.
|
Principal
|
Identified
|
Value
|
||||||||||
Amount
|
Cost
|
(Note 1)
|
||||||||||
CONVERTIBLE BONDS AND NOTES - 61.3%
|
||||||||||||
Aerospace and Defense - 0.5%
|
||||||||||||
Kaman Corp., 3.25%, Due 11/15/17, (BBB)
|
$ | 500,000 | $ | 527,864 | $ | 536,250 | ||||||
Automotive - 1.3%
|
||||||||||||
A123 Systems, Inc., 3.75%, Due 4/15/16, (BB)
|
1,000,000 | 1,000,000 | 652,500 | |||||||||
Titan International, Inc., 5.625%, Due 1/15/17, (B)
|
375,000 | 386,817 | 658,125 | |||||||||
1,386,817 | 1,310,625 | |||||||||||
Computer Hardware - 3.0%
|
||||||||||||
EMC Corp., 1.75%, Due 12/1/13, (A)
|
1,900,000 | 2,033,761 | 2,690,875 | |||||||||
NetApp, Inc., 1.75%, Due 6/1/13, (A)
|
250,000 | 372,714 | 304,375 | |||||||||
2,406,475 | 2,995,250 | |||||||||||
Computer Software - 6.7%
|
||||||||||||
Digital River, Inc., 2.00%, Due 11/1/30, (BB)
|
1,100,000 | 1,098,423 | 941,875 | |||||||||
Electronic Arts, Inc., 0.75%, Due 7/15/16, (BBB) (1)
|
500,000 | 499,155 | 482,500 | |||||||||
Microsoft Corp., Due 6/15/13, (AAA) (2)
|
500,000 | 500,000 | 508,125 | |||||||||
Nuance Communications, Inc., 2.75%, Due 8/15/27, (BB)
|
2,000,000 | 2,131,120 | 2,525,000 | |||||||||
RightNow Technologies, Inc., 2.50%, Due 11/15/30, (NR)
|
250,000 | 250,000 | 323,750 | |||||||||
Rovi Corp., 2.625%, Due 2/15/40, (BBB)
|
750,000 | 854,555 | 870,938 | |||||||||
THQ, Inc., 5.00%, Due 8/15/14, (BB)
|
750,000 | 711,212 | 651,562 | |||||||||
WebMD Health Corp., 2.50%, Due 1/31/18, (BBB)
|
500,000 | 495,469 | 406,875 | |||||||||
6,539,934 | 6,710,625 | |||||||||||
Construction Material - 0.5%
|
||||||||||||
CEMEX, S.A.B. de C.V., 4.875%, Due 3/15/15, (NR)
|
1,000,000 | 1,030,200 | 478,750 | |||||||||
Consumer Goods - 0.8%
|
||||||||||||
Iconix Brand Group, Inc., 2.50%, Due 6/1/16, (A) (1)
|
500,000 | 493,460 | 468,750 | |||||||||
Regis Corp., 5.00%, Due 7/15/14, (BB)
|
250,000 | 250,000 | 291,562 | |||||||||
743,460 | 760,312 | |||||||||||
Data Processing - 0.4%
|
||||||||||||
CSG Systems International, Inc., 3.00%, Due 3/1/17, (A)
|
500,000 | 530,331 | 442,500 | |||||||||
Energy - 4.9%
|
||||||||||||
Endeavour International Corp., 5.50%, Due 7/15/16, (BB) (1)
|
500,000 | 500,000 | 418,200 | |||||||||
Goodrich Petroleum Corp., 5.00%, Due 10/1/29, (CCC)
|
1,000,000 | 1,014,090 | 906,250 | |||||||||
JinkoSolar Holding Co. Ltd., 4.00%, Due 5/15/16, (NR) (1)
|
1,000,000 | 1,000,000 | 291,250 | |||||||||
Oil States International, Inc., 2.375%, Due 7/1/25, (BB)
|
250,000 | 209,077 | 406,562 | |||||||||
Renesola Ltd., 4.125%, Due 3/15/18, (NR) (1)
|
500,000 | 500,000 | 217,500 | |||||||||
SunPower Corp., 4.75%, Due 4/15/14, (BB)
|
500,000 | 544,254 | 437,500 | |||||||||
SunPower Corp., 4.50%, Due 3/15/15, (BB)
|
1,250,000 | 1,270,060 | 1,057,812 | |||||||||
Transocean Ltd., 1.50%, Due 12/15/37, (BBB)
|
500,000 | 461,787 | 486,875 | |||||||||
Trina Solar Ltd., 4.00%, Due 7/15/13, (NR)
|
1,000,000 | 1,003,359 | 623,750 | |||||||||
6,502,627 | 4,845,699 | |||||||||||
Financial Services - 5.9%
|
||||||||||||
Annaly Capital Management, Inc., 4.00%, Due 2/15/15, (NR)
|
750,000 | 743,331 | 863,438 | |||||||||
BGC Partners, Inc., 4.50%, Due 7/15/16, (BBB) (1)
|
250,000 | 250,000 | 226,250 | |||||||||
Euronet Worldwide, Inc., 3.50%, Due 10/15/25, (BB) (3)
|
1,000,000 | 1,367,274 | 995,000 | |||||||||
Knight Capital Group, Inc., 3.50%, Due 3/15/15, (NR)
|
750,000 | 751,602 | 703,125 | |||||||||
National Financial Partners Corp., 4.00%, Due 6/15/17, (NR)
|
750,000 | 750,000 | 812,812 | |||||||||
Old Republic International Corp., 8.00%, Due 5/15/12, (BBB)
|
1,250,000 | 1,267,473 | 1,276,562 | |||||||||
Tower Group, Inc., 5.00%, Due 9/15/14, (NR)
|
1,000,000 | 1,068,313 | 1,050,000 | |||||||||
6,197,993 | 5,927,187 | |||||||||||
Foods - 0.5%
|
||||||||||||
Chiquita Brands International, Inc., 4.25%, Due 8/15/16, (B)
|
581,000 | 565,535 | 519,995 | |||||||||
Healthcare - 5.5%
|
||||||||||||
Chemed Corp., 1.875%, Due 5/15/14, (AA)
|
890,000 | 881,185 | 887,775 | |||||||||
China Medical Technologies, Inc., 4.00%, Due 8/15/13, (NR)
|
1,100,000 | 1,075,982 | 706,750 | |||||||||
Insulet Corp., 3.75%, Due 6/15/16, (BB)
|
500,000 | 505,356 | 460,000 | |||||||||
Integra LifeSciences Holdings Corp., 2.375%, Due 6/1/12, (BBB) (1)
|
567,000 | 557,052 | 564,165 |
Principal
|
Identified
|
Value
|
||||||||||
Amount
|
Cost
|
(Note 1)
|
||||||||||
CONVERTIBLE BONDS AND NOTES - continued
|
||||||||||||
Healthcare - continued
|
||||||||||||
Integra LifeSciences Holdings Corp., 1.625%, Due 12/15/16, (BBB) (1)
|
$ | 750,000 | $ | 717,956 | $ | 683,438 | ||||||
Kinetic Concepts, Inc., 3.25%, Due 4/15/15, (BB)
|
500,000 | 500,000 | 705,625 | |||||||||
NuVasive, Inc., 2.75%, Due 7/1/17, (BB)
|
250,000 | 250,300 | 210,000 | |||||||||
Omnicare, Inc., 3.25%, Due 12/15/35, (B) (3)
|
254,000 | 332,607 | 230,822 | |||||||||
Sonosite, Inc., 3.75%, Due 7/15/14, (BBB)
|
1,000,000 | 961,613 | 1,057,500 | |||||||||
5,782,051 | 5,506,075 | |||||||||||
Machinery - 0.5%
|
||||||||||||
Chart Industries, Inc., 2.00%, Due 8/1/18, (B)
|
500,000 | 502,752 | 467,500 | |||||||||
Metals and Mining - 3.1%
|
||||||||||||
Jaguar Mining, Inc., 4.50%, Due 11/1/14, (BB)
|
525,000 | 523,590 | 429,188 | |||||||||
Kaiser Aluminum Corp., 4.50%, Due 4/1/15, (BB)
|
1,000,000 | 1,017,542 | 1,137,700 | |||||||||
Northgate Minerals Corp., 3.50%, Due 10/1/16, (NR)
|
600,000 | 605,494 | 666,750 | |||||||||
RTI International Metals, Inc., 3.00%, Due 12/1/15, (BB)
|
475,000 | 492,606 | 475,000 | |||||||||
United States Steel Corp., 4.00%, Due 5/15/14, (BB)
|
375,000 | 535,850 | 392,812 | |||||||||
3,175,082 | 3,101,450 | |||||||||||
Pharmaceuticals - 8.0%
|
||||||||||||
Akorn, Inc., 3.50%, Due 6/1/16, (AA) (1)
|
250,000 | 250,000 | 281,875 | |||||||||
Amgen, Inc., 0.375%, Due 2/1/13, (A)
|
1,000,000 | 995,305 | 987,500 | |||||||||
Amylin Pharmaceuticals, Inc., 3.00%, Due 6/15/14, (BB)
|
500,000 | 462,890 | 447,500 | |||||||||
Cubist Pharmaceuticals, Inc., 2.25%, Due 6/15/13, (AA)
|
750,000 | 743,354 | 943,125 | |||||||||
Gilead Sciences, Inc., 1.00%, Due 5/1/14, (A)
|
750,000 | 774,805 | 814,688 | |||||||||
Gilead Sciences, Inc., 1.625%, Due 5/1/16, (A)
|
750,000 | 791,435 | 856,875 | |||||||||
Intermune, Inc., 2.50%, Due 9/15/18, (BB)
|
50,000 | 50,000 | 46,970 | |||||||||
Millipore Corp. (Merck KGA), 3.75%, Due 6/1/26, (BBB) (3,4)
|
750,000 | 786,393 | 894,675 | |||||||||
Mylan, Inc., 1.25%, Due 3/15/12, (BB)
|
1,000,000 | 1,003,029 | 1,002,500 | |||||||||
Mylan, Inc., 3.75%, Due 9/15/15, (BB)
|
250,000 | 398,684 | 363,750 | |||||||||
Onyx Pharmaceuticals, Inc., 4.00%, Due 8/15/16, (BBB)
|
750,000 | 770,737 | 848,438 | |||||||||
Salix Pharmaceuticals, Inc., 2.75%, Due 5/15/15, (A)
|
500,000 | 523,766 | 500,000 | |||||||||
7,550,398 | 7,987,896 | |||||||||||
Real Estate - 1.6%
|
||||||||||||
Corporate Office Properties Trust, 4.25%, Due 4/15/30, (NR)
|
500,000 | 495,236 | 469,375 | |||||||||
Lexington Realty Trust, 6.00%, Due 1/15/30, (NR)
|
1,000,000 | 1,000,000 | 1,140,000 | |||||||||
1,495,236 | 1,609,375 | |||||||||||
Semiconductors - 6.9%
|
||||||||||||
Intel Corp., 2.95%, Due 12/15/35, (A) (3)
|
1,500,000 | 1,816,891 | 1,528,125 | |||||||||
Intel Corp., 3.25%, Due 8/1/39, (A)
|
1,000,000 | 1,105,672 | 1,181,250 | |||||||||
Mentor Graphics Corp., 4.00%, Due 4/1/31, (BBB) (1)
|
250,000 | 253,385 | 228,438 | |||||||||
Micron Technology, Inc., 1.50%, Due 8/1/31, (BB) (1)
|
625,000 | 579,458 | 483,594 | |||||||||
Micron Technology, Inc., 1.875%, Due 8/1/31, (BB) (1)
|
750,000 | 699,625 | 577,500 | |||||||||
Novellus Systems, Inc., 2.625%, Due 5/15/41, (A) (1,3)
|
500,000 | 501,840 | 434,375 | |||||||||
Photronics, Inc., 3.25%, Due 4/1/16, (A) (1)
|
500,000 | 495,089 | 446,875 | |||||||||
Rudolph Technologies, Inc., 3.75%, Due 7/15/16, (AA) (1)
|
500,000 | 500,000 | 415,625 | |||||||||
SanDisk Corp., 1.50%, Due 8/15/17, (BB)
|
1,000,000 | 997,343 | 1,048,750 | |||||||||
Xilinx, Inc., 2.625%, Due 6/15/17, (BBB)
|
500,000 | 563,606 | 568,750 | |||||||||
7,512,909 | 6,913,282 | |||||||||||
Telecommunications - 7.6%
|
||||||||||||
Alaska Communications Systems Group, Inc., 6.25%, Due 5/1/18, (BB) (1)
|
750,000 | 707,685 | 675,938 | |||||||||
Anixter International, Inc., 1.00%, Due 2/15/13, (B)
|
750,000 | 770,542 | 767,812 | |||||||||
Equinix, Inc., 3.00%, Due 10/15/14, (B)
|
1,500,000 | 1,587,230 | 1,576,875 | |||||||||
Equinix, Inc., 4.75%, Due 6/15/16, (B)
|
500,000 | 615,628 | 643,750 | |||||||||
Finisar Corp., 5.00%, Due 10/15/29, (NR)
|
75,000 | 77,061 | 143,344 | |||||||||
General Cable Corp., 4.50%, Due 11/15/29, (B)
|
780,000 | 933,738 | 705,900 | |||||||||
InterDigital, Inc., 2.50%, Due 3/15/16, (A) (1)
|
375,000 | 396,167 | 412,969 | |||||||||
SBA Communications Corp., 4.00%, Due 10/1/14, (BBB)
|
500,000 | 683,711 | 649,375 | |||||||||
SBA Communications Corp., 1.875%, Due 5/1/13, (BBB)
|
1,000,000 | 1,020,374 | 1,042,500 | |||||||||
TeleCommunication Systems, Inc., 4.50%, Due 11/1/14, (BB)
|
1,000,000 | 960,789 | 957,500 | |||||||||
7,752,925 | 7,575,963 |
Principal
|
Identified
|
Value
|
||||||||||
Amount
|
Cost
|
(Note 1)
|
||||||||||
CONVERTIBLE BONDS AND NOTES - continued
|
||||||||||||
Transportation - 1.8%
|
||||||||||||
Dryships, Inc., 5.00%, Due 12/1/14, (NR)
|
$ | 750,000 | $ | 750,000 | $ | 465,938 | ||||||
The Greenbrier Companies, Inc., 3.50%, Due 4/1/18, (BB)
|
375,000 | 384,658 | 269,531 | |||||||||
Hawaiian Holdings, Inc., 5.00%, Due 3/15/16, (BB)
|
500,000 | 512,790 | 438,125 | |||||||||
Ultrapetrol (Bahamas) Ltd., 7.25%, Due 1/15/17, (NR) (1)
|
750,000 | 757,964 | 631,875 | |||||||||
2,405,412 | 1,805,469 | |||||||||||
Travel & Leisure - 1.8%
|
||||||||||||
Home Inns & Motels Management, 2.00%, Due 12/15/15, (NR)
|
500,000 | 500,000 | 380,000 | |||||||||
MGM Resorts International, 4.25%, Due 4/15/15, (CCC)
|
750,000 | 758,920 | 660,938 | |||||||||
Morgans Hotel Group Co., 2.375%, Due 10/15/14, (BB)
|
1,000,000 | 1,012,293 | 755,000 | |||||||||
2,271,213 | 1,795,938 | |||||||||||
TOTAL CONVERTIBLE BONDS AND NOTES
|
64,879,214 | 61,290,141 | ||||||||||
CORPORATE BONDS - 0.2%
|
||||||||||||
Finance - 0.2%
|
||||||||||||
Lehman Brothers Holdings, Inc., 1.00%, Due 3/23/09, (NR) (5)
|
1,500,000 | 1,642,751 | 225,000 | |||||||||
CONVERTIBLE PREFERRED STOCKS - 14.2%
|
||||||||||||
Shares
|
||||||||||||
Banking/Savings and Loan - 5.9%
|
||||||||||||
Bank of America Corp., 7.25%, (BB)
|
1,600 | 1,390,555 | 1,225,584 | |||||||||
Fifth Third Bancorp., 8.50%, (BB)
|
12,000 | 1,699,635 | 1,540,560 | |||||||||
New York Community Capital Trust V, 6.00%, (BB)
|
24,000 | 1,043,554 | 1,068,000 | |||||||||
Wells Fargo & Co., 7.50%, (A)
|
2,000 | 1,262,262 | 2,066,120 | |||||||||
5,396,006 | 5,900,264 | |||||||||||
Energy - 2.8%
|
||||||||||||
ATP Oil & Gas Corp., 8.00%, (NR)
|
10,000 | 951,875 | 593,075 | |||||||||
Chesapeake Energy Corp., 5.00%, (B)
|
25,000 | 2,264,505 | 2,225,000 | |||||||||
Whiting Petroleum Corp., 6.25%, (B)
|
131 | 13,075 | 21,746 | |||||||||
3,229,455 | 2,839,821 | |||||||||||
Financial Services - 0.6%
|
||||||||||||
Hartford Financial Services Group, Inc., 7.25%, (BB)
|
30,000 | 744,969 | 577,800 | |||||||||
Foods - 0.7%
|
||||||||||||
Bunge Ltd., 4.875%, (BB)
|
7,500 | 669,375 | 690,000 | |||||||||
Real Estate - 0.5%
|
||||||||||||
Health Care REIT, Inc., 6.50%, (BB)
|
10,000 | 500,000 | 463,000 | |||||||||
Retail - 0.8%
|
||||||||||||
Amerivon Holdings LLC, (NR) (1,4,6)
|
572,925 | 1,500,000 | 760,858 | |||||||||
Amerivon Holdings LLC, (NR) (1,4,6)
|
272,728 | 0 | 2,727 | |||||||||
1,500,000 | 763,585 | |||||||||||
Telecommunications - 0.9%
|
||||||||||||
Crown Castle International Corp., 6.25%, (B)
|
16,000 | 975,998 | 942,000 | |||||||||
Tools - 1.0%
|
||||||||||||
Stanley Black & Decker, Inc., 4.75%, (BBB)
|
10,000 | 1,060,250 | 1,032,400 | |||||||||
Utilities - 1.0%
|
||||||||||||
PPL Corp., 9.50%, (NR)
|
18,500 | 1,002,114 | 1,024,900 | |||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS
|
15,078,167 | 14,233,770 |
Identified
|
Value
|
|||||||||||
Shares
|
Cost
|
(Note 1)
|
||||||||||
MANDATORY CONVERTIBLE SECURITIES - 11.1% (7)
|
||||||||||||
Automotive - 1.4%
|
||||||||||||
General Motors Co., 4.75%, Due 12/1/13, (NR)
|
40,000 | $ | 2,063,356 | $ | 1,403,200 | |||||||
Data Processing - 0.3%
|
||||||||||||
Unisys Corp., 6.25%, Due 3/1/14, (B)
|
5,000 | 471,589 | 270,850 | |||||||||
Energy - 3.2%
|
||||||||||||
Apache Corp., 6.00%, Due 8/1/13, (A)
|
25,000 | 1,401,796 | 1,279,250 | |||||||||
Great Plains Energy, Inc., 12.00%, Due 6/15/12, (NR)
|
25,000 | 1,362,057 | 1,500,000 | |||||||||
UBS AG Exchangeable Note (GTAT), 6.75%, Due 9/15/13, (AA)
|
20,000 | 500,000 | 464,600 | |||||||||
3,263,853 | 3,243,850 | |||||||||||
Financial Services - 1.8%
|
||||||||||||
Citigroup, Inc., 7.50%, Due 12/15/12, (A)
|
14,000 | 1,505,758 | 1,114,820 | |||||||||
MetLife, Inc., 5.00%, Due 10/8/14, (BBB)
|
12,500 | 1,036,000 | 707,000 | |||||||||
2,541,758 | 1,821,820 | |||||||||||
Foods - 0.6%
|
||||||||||||
2009 Dole Food ACES Trust, 7.00%, Due 11/1/12, (NR)
|
60,000 | 546,765 | 602,814 | |||||||||
Home Building - 0.2%
|
||||||||||||
Beazer Homes USA, Inc., 7.25%, Due 8/15/13, (CCC)
|
17,500 | 437,500 | 173,775 | |||||||||
Metals and Mining - 2.1%
|
||||||||||||
AngloGold Ashanti Ltd., 6.00%, Due 9/15/13, (NR)
|
5,900 | 298,465 | 288,923 | |||||||||
UBS AG Exchangeable Note (SWC), 9.375%, Due 6/15/12, (AA)
|
12,000 | 305,760 | 143,400 | |||||||||
Vale Capital II (Vale S.A.), 6.75%, Due 6/15/12, (NR)
|
25,700 | 2,147,656 | 1,681,396 | |||||||||
2,751,881 | 2,113,719 | |||||||||||
Transportation - 0.5%
|
||||||||||||
2010 Swift Mandatory Common Exchange Security Trust, 6.00%,
|
||||||||||||
Due 12/31/13, (NR)
|
60,000 | 710,850 | 459,000 | |||||||||
Utilities - 1.0%
|
||||||||||||
NextEra Energy, Inc., 7.00%, Due 9/1/13, (NR)
|
20,000 | 1,002,500 | 992,000 | |||||||||
TOTAL MANDATORY CONVERTIBLE SECURITIES (7)
|
13,790,052 | 11,081,028 | ||||||||||
COMMON STOCKS - 8.4%
|
||||||||||||
Computer Software - 0.5%
|
||||||||||||
Microsoft Corp
|
20,000 | 503,600 | 497,800 | |||||||||
Energy - 0.7%
|
||||||||||||
ConocoPhillips
|
11,282 | 1,000,000 | 714,376 | |||||||||
Media and Entertainment - 0.5%
|
||||||||||||
The Walt Disney Co
|
15,000 | 454,782 | 452,400 | |||||||||
Pharmaceuticals - 2.5%
|
||||||||||||
Abbott Laboratories
|
15,000 | 738,000 | 767,100 | |||||||||
Bristol Myers Squibb Co
|
30,000 | 847,962 | 941,400 | |||||||||
Merck & Co, Inc
|
23,651 | 819,400 | 773,624 | |||||||||
2,405,362 | 2,482,124 | |||||||||||
Telecommunications - 4.2%
|
||||||||||||
AT&T, Inc
|
70,000 | 2,024,136 | 1,996,400 | |||||||||
Verizon Communications, Inc
|
60,000 | 1,842,540 | 2,208,000 | |||||||||
3,866,676 | 4,204,400 | |||||||||||
TOTAL COMMON STOCKS
|
8,230,420 | 8,351,100 |
Identified
|
Value
|
|||||||
Cost
|
(Note 1)
|
|||||||
Total Convertible Bonds and Notes - 61.3%
|
$ | 64,879,214 | $ | 61,290,141 | ||||
Total Corporate Bonds and Notes - 0.2%
|
1,642,751 | 225,000 | ||||||
Total Convertible Preferred Stocks - 14.2%
|
15,078,167 | 14,233,770 | ||||||
Total Mandatory Convertible Securities - 11.1%
|
13,790,052 | 11,081,028 | ||||||
Total Common Stocks - 8.4%
|
8,230,420 | 8,351,100 | ||||||
Total Investments - 95.2%
|
$ | 103,620,604 | 95,181,039 | |||||
Other Assets and Liabilities, Net - 4.8%
|
4,826,743 | |||||||
Total Net Assets - 100.0%
|
$ | 100,007,782 |
(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 September 30, 2011 was $8,704,702, which represented 8.7% of the Fund’s net assets.
|
(2)
|
Non-income producing security.
|
(3)
|
Contingent payment debt instrument which accrues contingent interest. See Note 1(e).
|
(4)
|
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 $1,658,260 at September 30, 2011, which represented 1.7% of the Fund’s net assets.
|
(5)
|
Security in default.
|
(6)
|
Restricted securities include securities that have not been registered under the Securities Act of 1933, as amended, 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 September 30, 2011, the Fund was invested in the following restricted securities:
|
Price
|
% Net
|
||||||||||||
Security
|
Acquisition Date
|
Shares
|
Cost
|
per Share
|
Value
|
Assets
|
|||||||
Amerivon Holdings LLC
|
April 1, 2010
|
572,925
|
$1,500,000
|
$1.328
|
$760,858
|
0.8%
|
|||||||
series A cv. pfd.
|
|||||||||||||
Amerivon Holdings LLC
|
April 1, 2010
|
272,728
|
0
|
0.010
|
2,727
|
0.0%
|
|||||||
common equity units
|
(7)
|
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. See Note 1(h).
|
Investment Abbreviations
|
Summary of Portfolio Ratings *
|
||||
% of
|
|||||
ACES
|
Automatic Common Exchange Securities.
|
Portfolio
|
|||
ADR
|
American Depositary Receipts.
|
||||
ADS
|
American Depositary Shares.
|
AAA
|
1
|
||
BONUSES
|
Bifurcated Option Note Unit Securities.
|
AA
|
4
|
||
T-DECS
|
Tangible Dividend Enhanced Common Stock.
|
A
|
20
|
||
BBB
|
19
|
||||
BB
|
21
|
||||
B
|
12
|
||||
Ratings in parentheses by Moody’s Investors Service, Inc. or Standard & Poor’s. |
CCC & below
|
3
|
|||
NR is used whenever a rating is unavailable. |
Not Rated
|
20
|
|||
|
|||||
|
* Excludes equity securities and cash.
|
September 30, 2011
|
||||
Assets:
|
||||
Investments at value (cost $103,620,604) (Note 1)
|
$ | 95,181,039 | ||
Cash
|
3,251,726 | |||
Receivable for securities sold
|
2,450,527 | |||
Dividends and interest receivable
|
732,834 | |||
Other assets
|
31,800 | |||
Total assets
|
101,647,926 | |||
Liabilities:
|
||||
Payable for securities purchased
|
1,539,236 | |||
Accrued management fee (Note 2)
|
66,869 | |||
Accrued expenses
|
34,039 | |||
Total liabilities
|
1,640,144 | |||
Net Assets:
|
$ | 100,007,782 | ||
Net Assets consist of:
|
||||
Capital shares (unlimited shares of $0.01 par value authorized) (Note 3)
|
$ | 134,091 | ||
Additional paid-in capital
|
117,400,407 | |||
Undistributed net investment income
|
477,628 | |||
Accumulated net realized loss from investment transactions
|
(9,564,779 | ) | ||
Unrealized appreciation on investments
|
(8,439,565 | ) | ||
Net Assets
|
$ | 100,007,782 | ||
Net asset value per share ($100,007,782 ÷ 13,409,101 outstanding shares)
|
$ | 7.46 | ||
Statement of Operations
|
||||
For the Year Ended September 30, 2011
|
||||
Investment Income (Note 1):
|
||||
Interest
|
$ | 2,022,922 | ||
Dividends
|
2,145,646 | |||
Total Income
|
4,168,568 | |||
Expenses (Note 2):
|
||||
Management fee
|
798,234 | |||
Custodian
|
15,164 | |||
Transfer agent
|
26,400 | |||
Legal fees
|
64,549 | |||
Audit fees
|
39,100 | |||
Trustees’ fees
|
85,000 | |||
Administrative services fees
|
54,664 | |||
Reports to shareholders
|
35,051 | |||
Insurance
|
26,803 | |||
Other
|
41,622 | |||
Total Expenses
|
1,186,587 | |||
Net Investment Income
|
2,981,981 | |||
Realized and Unrealized Gain on Investments:
|
||||
Net realized gain from investment transactions
|
4,883,644 | |||
Net unrealized appreciation (depreciation) of investments
|
(11,031,595 | ) | ||
Net loss on investments
|
(6,147,951 | ) | ||
Net Increase in Net Assets Resulting from Operations
|
$ | (3,165,970 | ) |
For the Years Ended September 30, 2011 and 2010
|
||||||||
2011
|
2010
|
|||||||
Change in net assets from operations:
|
||||||||
Net investment income
|
$ | 2,981,981 | $ | 3,446,483 | ||||
Net realized gain from investment transactions
|
4,883,644 | 4,634,484 | ||||||
Net change in unrealized appreciation (depreciation) of investments
|
(11,031,595 | ) | 6,680,773 | |||||
Net change in net assets resulting from operations
|
(3,165,970 | ) | 14,761,740 | |||||
Distributions to shareholders from:
|
||||||||
Net investment income
|
(3,402,358 | ) | (4,013,350 | ) | ||||
Net realized gain on investments
|
— | — | ||||||
Total distributions
|
(3,402,358 | ) | (4,013,350 | ) | ||||
Capital share transactions (Note 3)
|
343,391 | 511,372 | ||||||
Change in net assets
|
(6,224,937 | ) | 11,259,762 | |||||
Net assets at beginning of year
|
106,232,719 | 94,972,957 | ||||||
Net assets at end of year
|
$ | 100,007,782 | $ | 106,232,719 | ||||
Undistributed net investment income at end of year
|
$ | 477,628 | $ | 789,831 |
Financial Highlights Selected data for a share of beneficial interest outstanding:
|
||||||||||||||||||||
Year Ended September 30,
|
||||||||||||||||||||
2011
|
2010
|
2009
|
2008
|
2007
|
||||||||||||||||
Operating Performance:
|
||||||||||||||||||||
Net asset value, beginning of year
|
$ | 7.95 | $ | 7.15 | $ | 7.18 | $ | 10.27 | $ | 9.60 | ||||||||||
Net investment income
|
0.22 | 0.26 | 0.33 | 0.31 | 0.33 | |||||||||||||||
Net realized and unrealized gain (loss)
|
(0.46 | ) | 0.84 | (0.04 | ) | (2.24 | ) | 1.00 | ||||||||||||
Total from investment operations
|
(0.24 | ) | 1.10 | 0.29 | (1.93 | ) | 1.33 | |||||||||||||
Less Distributions:
|
||||||||||||||||||||
Dividends from net investment income
|
(0.25 | ) | (0.30 | ) | (0.32 | ) | (0.33 | ) | (0.39 | ) | ||||||||||
Distributions from realized gains
|
— | — | — | (0.83 | ) | (0.27 | ) | |||||||||||||
Total distributions
|
(0.49 | ) | (0.30 | ) | (0.32 | ) | (1.16 | ) | (0.66 | ) | ||||||||||
Net asset value, end of year
|
$ | 7.46 | $ | 7.95 | $ | 7.15 | $ | 7.18 | $ | 10.27 | ||||||||||
Market value, end of year
|
$ | 6.43 | $ | 7.17 | $ | 6.16 | $ | 5.30 | $ | 9.09 | ||||||||||
Total Return (a):
|
||||||||||||||||||||
Market value (%)
|
(7.13 | ) | 21.9 | 23.9 | (33.3 | ) | 19.6 | |||||||||||||
Net asset value (%)
|
(2.82 | ) | 16.4 | 6.1 | (21.0 | ) | 14.4 | |||||||||||||
Ratios/Supplemental Data:
|
||||||||||||||||||||
Net assets, end of year (in thousands)
|
$ | 100,008 | $ | 106,233 | $ | 94,973 | $ | 94,497 | $ | 129,952 | ||||||||||
Ratio of expenses to average net assets (%)
|
1.1 | 1.1 | 1.2 | 1.1 | 1.1 | |||||||||||||||
Ratio of net investment income to
|
||||||||||||||||||||
average net assets (%)
|
2.6 | 3.5 | 5.5 | 3.6 | 3.4 | |||||||||||||||
Portfolio turnover rate (%)
|
47 | 62 | 71 | 61 | 84 |
(a) | Market value total return is calculated assuming a purchase of Fund shares on the opening of the first business day and a sale on the closing of the last business day of each period reported. Dividends and distributions are assumed for the purposes of this calculation to be reinvested at prices obtained under the Fund’s Automatic Dividend Investment and Cash Payment Plan. Net asset value total return is calculated on the same basis, except that the Fund’s net asset value is used on the purchase and sale dates instead of market value. |
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Investments in Securities:
|
||||||||||||||||
Common Stocks:
|
||||||||||||||||
Computer Software
|
$ | 497,800 | $ | — | $ | — | $ | 497,800 | ||||||||
Energy
|
714,376 | — | — | 714,376 | ||||||||||||
Media and Entertainment
|
452,400 | — | — | 452,400 | ||||||||||||
Pharmaceuticals
|
2,482,124 | — | — | 2,482,124 | ||||||||||||
Telecommunications
|
4,204,400 | — | — | 4,204,400 | ||||||||||||
Total Common Stocks
|
8,351,100 | — | — | 8,351,100 | ||||||||||||
Convertible Bonds and Notes
|
— | 60,395,466 | 894,675 | 61,290,141 | ||||||||||||
Convertible Preferred Stocks
|
— | 13,470,185 | 763,585 | 14,233,770 | ||||||||||||
Mandatory Convertible Securities
|
— | 11,081,028 | — | 11,081,028 | ||||||||||||
Corporate Bonds and Notes
|
— | 225,000 | — | 225,000 | ||||||||||||
Total Investments
|
$ | 8,351,100 | $ | 85,171,679 | $ | 1,658,260 | $ | 95,181,039 |
Convertible
|
|
Convertible
|
||||||||||||||
Bonds and
|
Corporate Bonds
|
Preferred
|
||||||||||||||
Notes
|
and Notes
|
Stocks
|
Total
|
|||||||||||||
Beginning balance
|
$ | — | $ | — | $ | 750,000 | $ | 750,000 | ||||||||
Change in unrealized
|
||||||||||||||||
appreciation (depreciation)
|
— | — | 13,585 | 13,585 | ||||||||||||
Net transfers in/out of level 3
|
894,675 | — | — | 894,675 | ||||||||||||
Ending balance
|
$ | 894,675 | $ | — | $ | 763,585 | $ | 1,658,260 |
2011
|
2010
|
|||||||
Ordinary income
|
$ | 3,402,358 | $ | 4,013,350 | ||||
Net realized gain on investments
|
— | — | ||||||
$ | 3,402,358 | $ | 4,013,350 |
Unrealized appreciation
|
$ | 4,661,352 | ||
Unrealized depreciation
|
(13,773,908 | ) | ||
Net unrealized depreciation
|
(9,112,556 | ) | ||
Undistributed ordinary income
|
765,928 | |||
Capital loss carryforward
|
(9,180,088 | ) | ||
Total distributable net earnings
|
$ | (17,526,716 | ) | |
Cost for federal income tax purposes
|
$ | 104,293,595 |
Each trustee is also a trustee of Bancroft Fund Ltd. (Bancroft) (a closed-end management investment company). Dinsmore Capital Management Co. (Dinsmore Capital) is the Fund’s investment adviser and is also the investment adviser to Bancroft. Because of this connection, the Fund and Bancroft make up a Fund Complex. Therefore, each trustee oversees two investment companies in the Fund Complex. | ||
Personal Information
|
Principal Occupation(s) During Past Five Years; Other Directorship(s)
|
|
INDEPENDENT TRUSTEES
|
||
Kinchen C. Bizzell, CFA
65 Madison Avenue, Suite 550
Morristown, NJ 07960
Term expires 2012
Trustee since 2008 - Born 1954
|
Senior Counselor with Burson-Marsteller (a global public relations and communications firm); Trustee of Bancroft.
|
|
Elizabeth C. Bogan, Ph.D.
65 Madison Avenue, Suite 550
Morristown, NJ 07960
Term expires 2013
Trustee since 1986 - Born 1944
|
Senior Lecturer in Economics at Princeton University; Trustee of Bancroft.
|
|
Daniel D. Harding, CFA
65 Madison Avenue, Suite 550
Morristown, NJ 07960
Term expires 2014
Trustee since 2007 - Born 1952
|
Since 2008, managing partner of a private investment fund. Prior to 2008, Senior Advisor with Harding Loevner Management LP (an investment advisory firm); Trustee of Bancroft; Director of Legg Mason Trust Co. (global asset management firm).
|
|
Nicolas W. Platt
65 Madison Avenue, Suite 550
Morristown, NJ 07960
Term expires 2013
Trustee since 1997 - Born 1953
|
Since May 2011, partner at Point Capital Partners, LLC, a private merchant bank. Formerly Managing Director, FD Americas, the Strategic Communications segment of FTI Consulting Inc. (an international consulting company)(March 2009 to May 2011) and Managing Director, Rodman & Renshaw, LLC (August 2006 to March 2009). Prior to August 2006, President of CNC-US (an international consulting company); Trustee of Bancroft.
|
|
INTERESTED TRUSTEES
|
||
Thomas H. Dinsmore, CFA (1)
65 Madison Avenue, Suite 550
Morristown, NJ 07960
Term expires 2014
Trustee since 1986
Chairman of the Board since 1996 - Born 1953
|
Chairman and Chief Executive Officer of the Fund, Bancroft and Dinsmore Capital; Trustee of Bancroft and Director of Dinsmore Capital.
|
|
Jane D. O’Keeffe (1)
65 Madison Avenue, Suite 550
Morristown, NJ 07960
Term expires 2012
Trustee since 1995 - Born 1955
|
President of the Fund, Bancroft and Dinsmore Capital; Trustee of Bancroft and Director of Dinsmore Capital.
|
|
The business address of each officer is 65 Madison Avenue, Suite 550, Morristown, NJ 07960. Officers are elected by and serve at the pleasure of the Board of Trustees. Each officer holds office until the annual meeting to be held in 2012, and thereafter until his or her respective successor is duly elected and qualified.
|
||
Personal Information
|
Principal Occupation(s) During Past Five Years
|
|
Thomas H. Dinsmore, CFA(1,3,4)
Trustee, Chairman and
Chief Executive Officer
Officer since 1986
Born 1953
|
Trustee, Chairman and Chief Executive Officer of the Fund, Bancroft and Dinsmore Capital.
|
|
Jane D. O’Keeffe (1,4,5)
Trustee and President
Officer since 1994
Born 1955
|
Trustee and President of the Fund, Bancroft and Dinsmore Capital.
|
|
Gary I. Levine (2)
Executive Vice President,
Chief Financial Officer and
Secretary
Officer since 1986 Born 1957
|
Executive Vice President and Chief Financial Officer of the Fund, Bancroft and Dinsmore Capital since 2004. Secretary of the Fund, Bancroft and Dinsmore Capital. Treasurer of Dinsmore Capital.
|
|
James A. Dinsmore, CFA (3,5)
Vice President
Officer since 2007
Born 1982
|
Vice President of the Fund, Bancroft Fund and Dinsmore Capital since 2009.
|
|
H. Tucker Lake, Jr. (4)
Vice President
Officer since 1994
Born 1947
|
Vice President of the Fund, Bancroft and Dinsmore Capital.
|
|
Germaine M. Ortiz (2)
Vice President
Officer since 1996
Born 1969
|
Vice President of the Fund, Bancroft and Dinsmore Capital.
|
|
Mercedes A. Pierre
Vice President and
Chief Compliance Officer
Officer since 1998
Born 1961
|
Vice President and Chief Compliance Officer of the Fund, Bancroft and Dinsmore Capital since 2004.
|
|
(1) Mr. Thomas Dinsmore and Ms. O’Keeffe are brother and sister.
|
(2) Ms. Ortiz is the first cousin of Mr. Levine’s wife.
|
(3) Mr. Thomas Dinsmore is the father of Mr. James Dinsmore.
|
(4) Mr. Lake is the first cousin of Mr. Thomas Dinsmore and Ms. O’Keeffe.
|
(5) Ms. O’Keeffe is the aunt of Mr. James Dinsmore.
|
Board of Trustees
|
Internet
|
|||
KINCHEN C. BIZZELL, CFA
|
www.ellsworthfund.com
|
|||
ELIZABETH C. BOGAN, Ph.D.
|
email: info@ellsworthfund.com
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THOMAS H. DINSMORE, CFA
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DANIEL D. HARDING, CFA
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Shareholder Services and Transfer Agent
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JANE D. O’KEEFFE
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American Stock Transfer & Trust Company, LLC
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NICOLAS W. PLATT
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6201 15th Avenue
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Brooklyn, NY 11219
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(800) 937-5449
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www.amstock.com
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Officers
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Investment Adviser
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THOMAS H. DINSMORE, CFA
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Dinsmore Capital Management Co.
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Chairman of the Board and Chief Executive Officer
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65 Madison Avenue, Suite 550
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Morristown, NJ 07960
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JANE D. O’KEEFFE
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(973) 631-1177
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President
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GARY I. LEVINE
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Custodian
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Executive Vice President, Chief Financial Officer and Secretary
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Brown Brothers Harriman & Co.
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JAMES A. DINSMORE, CFA
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Beneficial Share Listing
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Vice President
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NYSE Amex Exchange Symbol: ECF
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H. TUCKER LAKE, JR.
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Legal Counsel
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Vice President
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Ballard Spahr LLP
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GERMAINE M. ORTIZ
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Independent Registered Public Accounting Firm
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Vice President
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Tait, Weller & Baker LLP
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MERCEDES A. PIERRE
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Vice President and Chief Compliance Officer
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JUDITH M. DOUGHERTY
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Assistant Vice President and Assistant Secretary
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JOANN VENEZIA
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Assistant Vice President
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ITEM 2. CODE OF ETHICS.
On April 16, 2007, the Board of Trustees of Ellsworth Fund Ltd. (the “Fund”) adopted a code of ethics that applies to the Fund’s principal executive officer (the “PEO”) and principal financial officer (the “PFO”). The code of ethics is available on the Fund’s website at www.ellsworthfund.com. Since the code of ethics was adopted, there have been no amendments to it nor have any waivers from any of its provisions been granted.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the Fund has determined that Trustee and Audit Committee Chair, Daniel D. Harding, who is “independent” as such term is used in Form N-CSR, possesses the attributes required to be considered an audit committee financial expert under applicable federal securities laws.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Set forth in the table below are the aggregate fees billed to the Fund by its principal accountant, Tait, Weller & Baker LLP (“Tait Weller”), for professional services rendered to the Fund during the Fund’s last two fiscal years ended September 30, 2011 and 2010.
Fiscal September 30 |
Audit Fees (1) |
Audit-Related Fees (2) |
Tax Fees (3) |
All Other Fees |
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2010 | $ | 35,100 | $ | 0 | $ | 3,000 | $ | 0 | ||||||||
2011 | $ | 36,000 | $ | 0 | $ | 3,100 | $ | 0 |
(1) | The Fund’s Audit Committee pre-approves all Audit Fees, without exception. |
(2) | The Fund’s Audit Committee pre-approves all Audit-Related Fees, with exceptions. For the Fund’s last two fiscal years ended September 30, 2011 and 2010, no Audit-Related Fees were approved by the Fund’s Audit Committee pursuant to Rule 2-01(c)(7)(i)(C) of Regulation S-X, which waives the pre-approval requirement for certain de minimus fees. |
(3) | “Tax Fees” include those fees billed by Tait Weller in connection with its review of the Fund’s income tax returns for fiscal years 2010 and 2011. The Fund’s Audit Committee pre-approves all Tax Fees, with exceptions. For the Fund’s last two fiscal years ended September 30, 2010 and 2011, no Tax Fees were approved by the Fund’s Audit Committee pursuant to Rule 2-01(c)(7)(i)(C) of Regulation S-X, which waives the pre-approval requirement for certain de minimus fees. |
Non-Audit Services
During each of the last two fiscal years ended September 30, 2010 and 2011, Tait Weller did not provide any non-audit services to the Fund, with the exception of the services for which the Fund paid the Tax Fees noted above. Tait Weller did not provide any non-audit services to the Fund’s investment adviser, Dinsmore Capital Management Co. (“Dinsmore Capital”) or its affiliates or otherwise bill the Fund or Dinsmore Capital or its affiliates for any such non-audit services.
Audit Committee Pre-Approval Policies and Procedures
The Audit Committee pre-approves all audit and permissible non-audit services that are proposed to be provided to the Fund by its independent registered public accountant before they are provided to the Fund. Such pre-approval also includes the proposed fees to be charged by the independent registered public accountant for such services. The Audit Committee may delegate the pre-approval of audit and permissible non-audit services and related fees to one or more members of the Audit Committee who are “independent,” as such term is used in Form N-CSR. Any such member’s decision to pre-approve audit and/or non-audit services and related fees is presented to the full Audit Committee, solely for informational purposes, at its next scheduled meeting.
The Audit Committee also pre-approves non-audit services to be provided by the Fund’s independent registered public accountant to the Fund’s investment adviser if the engagement relates directly to the operations and financial reporting of the Fund and if the Fund’s independent registered public accountant is the same as, or affiliated with, the investment adviser’s independent registered public accountant.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) The Fund has a separately-designated standing Audit Committee established in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), and the members of such committee are:
KINCHEN C. BIZZELL
ELIZABETH C. BOGAN, PH.D.
DANIEL D. HARDING (Chair)
(b) Not applicable.
ITEM 6. INVESTMENTS.
The Schedule of Investments in securities of unaffiliated issuers as of September 30, 2011 is included as part of the report to shareholders, filed under Item 1 of this certified shareholder report on Form N-CSR.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Bancroft Fund Ltd.
Ellsworth Fund Ltd.
Dinsmore Capital Management Co.
Proxy Voting Guidelines
(Adopted March 26, 2009)
These proxy voting guidelines have been adopted by the Boards of Trustees of Bancroft Fund Ltd. and Ellsworth Fund Ltd. (collectively, the “Funds”), as well as by the Board of Directors of Dinsmore Capital Management Co. (“Dinsmore Capital”).
The Boards of Trustees of the Funds have delegated to Dinsmore Capital responsibility for voting proxies received by the Funds in their capacities as shareholders of various companies. The Boards recognize that, due to the nature of the Funds’ investments, the Funds do not frequently receive proxies.
Dinsmore Capital exercises its voting responsibility with the overall goal of maximizing the value of the Funds’ investments. The portfolio managers at Dinsmore Capital oversee the voting policies and decisions for the Funds. In evaluating voting issues, the portfolio managers may consider information from many sources, including management of a company presenting a proposal, shareholder groups, research analysts, and independent proxy research services.
Set forth below are the proxy voting guidelines:
A. Matters Related to the Board of Directors
1. The Funds generally will support the election of nominees recommended by management for election as directors. In determining whether to support a particular nominee, Dinsmore Capital will consider whether the election of that nominee will cause a company to have less than a majority of independent directors.
2. The Funds generally will support proposals to de-classify boards of directors if fewer than 66 2/3% of the directors are independent, and will generally vote against proposals to classify boards of directors.
3. The Funds generally will withhold a vote in favor of a director who has served on a committee which has approved excessive compensation arrangements or proposed equity-based compensation plans that unduly dilute the ownership interests of stockholders.
B. Matters Related to Independent Auditors
1. The Funds generally will vote in favor of independent accountants approved by the company. Prior to such vote, however, Dinsmore Capital will take into consideration whether non-audit fees make up more than 50 to 75% of the total fees paid by the company to the independent auditors, and the nature of the non-audit services provided.
C. Corporate Governance Matters
1. Except as provided in Section E.1, as a general rule, the Funds will vote against proposals recommended by management of a company that are being made primarily to implement anti-takeover measures, and will vote in favor of proposals to eliminate policies that are primarily intended to act as anti-takeover measures.
2. Subject to the other provisions of these guidelines, including without limitation provision C.1. above, the Funds generally will vote in accordance with management’s recommendations regarding routine matters, including the following:
a. Fixing number of directors;
b. Stock splits; and
c. Change of state of incorporation for specific corporate purposes.
D. Matters Related to Equity-Based Compensation Plans
1. The Funds generally will vote in favor of broad-based stock option plans for executives, employees or directors which would not increase the aggregate number of shares of stock available for grant under all currently active plans to over 10% of the total number of shares outstanding.
2. The Funds generally will vote in favor of employee stock purchase plans and employee stock ownership plans permitting purchase of company stock at 85% or more of fair market value.
E. Contested Matters
1. Contested situations will be evaluated on a case by case basis by the portfolio manager or analyst at Dinsmore Capital principally responsible for the particular portfolio security.
F. Miscellaneous Matters
1. The Funds may in their discretion abstain from voting shares that have been recently sold.
2. The Funds generally will abstain from voting on issues relating to social and/or political responsibility.
3. Proposals that are not covered by the above-stated guidelines will be evaluated on a case by case basis by the portfolio manager or analyst at Dinsmore Capital principally responsible for the particular portfolio security.
G. Material Conflicts of Interest
1. Conflicts of interest may arise from time to time between Dinsmore Capital and the Funds. Examples of conflicts of interests include:
a. Dinsmore Capital may manage a pension plan, administer employee benefit plans, or provide services to a company whose management is soliciting proxies;
b. Dinsmore Capital or its officers or directors may have a business or personal relationship with corporate directors, candidates for directorships, or participants in proxy contests;
c. Dinsmore Capital may hold a position in a security contrary to shareholder interests.
2. If a conflict of interest arises with respect to a proxy voting matter, the portfolio manager will promptly notify the Funds’ Audit Committee and counsel for independent trustees and the proxies will be voted in accordance with direction received from the Audit Committee.
H. Amendments
1. Any proposed material amendment to these Guidelines shall be submitted for review and approval to:
a. the Funds’ Board of Trustees, including a majority of the disinterested trustees; and
b. the Adviser’s Board of Directors.
2. Non-material amendments to these Guidelines may be made by the Chair of the Funds, upon consultation with counsel to the Funds and the Funds’ Chief Compliance Officer, and will be reported to the Funds’ Board of Trustees at their next scheduled in-person meeting.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
(a) (1) As of December 9, 2011, Mr. Thomas H. Dinsmore, Chairman and Chief Executive Officer, Ms. Jane D. O’Keeffe, President, and Mr. James A. Dinsmore, Vice President, comprise the three-person portfolio management team of Ellsworth Fund Ltd. (the “Fund”). Mr. Thomas H. Dinsmore has served as portfolio manager since 1996. Ms. O’Keeffe and Mr. James Dinsmore became co-portfolio managers on January 1, 2011. Mr. Thomas H. Dinsmore is the lead member of the portfolio management team.
Since 1994, Ms. O’Keeffe has served as President of the Fund and of Dinsmore Capital (the “Advisor”), as well as Managing Director of Research for the Advisor. Mr. James A. Dinsmore has served as Vice President of the Fund and of the Advisor since 2007 and also has been a research analyst for the Advisor since 2004.
Messrs. Thomas H. Dinsmore and James A. Dinsmore and Ms. O’Keeffe receive investment recommendations from a team of research analysts prior to making investment decisions about transactions in the portfolio. Generally, the co-portfolio managers make decisions jointly about any transactions in the Fund’s portfolio, but each co-portfolio manager may do so independently as well.
(2) The portfolio management team comprised of Mr. Thomas H. Dinsmore, Ms. Jane D. O’Keeffe and Mr. James A. Dinsmore is also primarily responsible for the day-to-day management of one registered investment company, Bancroft Fund Ltd. (“Bancroft”), with total assets of $95,833,222 as of December 2, 2011. The portfolio management team does not manage any accounts or assets with performance-based advisory fees. Mr. Thomas Dinsmore is Chairman and Chief Executive Officer, Ms. O’Keeffe is President and Mr. James Dinsmore is Vice President of Ellsworth. This information is as of December 9, 2011. The Fund and Bancroft have similar investment objectives and strategies. As a result, material conflicts of interest may arise between the two funds if a security is not available in a sufficient amount to fill open orders for both funds. To deal with these situations, the investment adviser for the Fund and Bancroft have
adopted Trade Allocation Procedures (the “Allocation Procedures”). The Allocation Procedures set forth a method to allocate a partially filled order among the funds. Pursuant to the method, the amount of shares that each fund purchases is allocated pro rata based on the dollar amount of each fund’s intended trade or, if the order is subject to a minimum lot size, as closely as possibly to such an allocation.
The Allocation Procedures permit Dinsmore Capital to allocate an order in a way that is different from the method set forth above if (i) each fund is treated fairly and equitably and neither fund is given preferential treatment, and (ii) the allocation is reviewed by the chief compliance officer of Dinsmore Capital.
(3) This information is as of December 9, 2011. The Portfolio Management team is compensated by Dinsmore Capital through a three-component plan, consisting of a fixed base salary, annual cash bonus, and benefit retirement plan. Their compensation is reviewed and approved by Dinsmore Capital’s Board of Directors annually. Their compensation may be adjusted from year to year based on the perception of Dinsmore Capital’s Board of Directors of the team’s overall performance and their management responsibilities. Their compensation is not based on (i) a formula specifically tied to the performance of the Fund or Bancroft, including performance against an index or (ii) the value of assets held in the Fund’s portfolio.
(4) As of December 9, 2011, Mr. Thomas Dinsmore’s beneficial ownership in the Fund’s shares was in the range of $100,001-$500,000. Ms. O’Keeffe’s beneficial ownership in the Fund’s shares was also in the range of $100,001-$500,000. Mr. James Dinsmore’s beneficial ownership in the Fund’s shares was in the range of $50,001-$100,000.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
During the period covered by this report, there were no purchases made by or on behalf of the Fund or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act, as amended (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the Fund’s equity securities registered by the Fund pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Trustees since those procedures were last disclosed in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or Item 10 of Form N-CSR.
ITEM 11. CONTROLS AND PROCEDURES.
Conclusions of principal officers concerning the effectiveness of controls and procedures:
(a) As of December 9, 2011, an evaluation was performed under the supervision and with the participation of the officers of the Fund, including the PEO and the PFO, to assess the effectiveness of the Fund’s disclosure controls and procedures, as that term is defined in Rule 30a-3(c) (17 CFR 270.30a-3(c)) under the Investment Company Act of 1940, as amended (the “Act”). Based on that evaluation, as 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 Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)), the Fund’s officers, including the PEO and PFO, concluded that, as of December 9, 2011, the Fund’s disclosure controls and procedures were reasonably designed so as to ensure: (1) that information required to be disclosed by the Fund on Form N-CSR is recorded, processed, summarized and reported within the time periods specified by the rules and forms of the Securities and Exchange Commission and (2) that material information relating to the Fund is made known to the PEO and PFO as appropriate to allow timely decisions regarding required disclosure.
(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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Not applicable. See Fund’s response to Item 2, above.
(a)(2) Certifications of the principal executive officer and the principal financial officer pursuant to Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), are attached hereto.
(a)(3) There were no written solicitations to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the Fund to ten or more persons.
(b) Certifications of the principal executive officer and the principal financial officer, as required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Ellsworth Fund Ltd.
By: /s/ Thomas H. Dinsmore
Thomas H. Dinsmore
Chairman of the Board and
Chief Executive Officer
(Principal Executive Officer)
Date: December 9, 2011
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: December 9, 2011
By: /s/ Gary I. Levine
Gary I. Levine
Chief Financial Officer
(Principal Financial Officer)
Date: December 9, 2011