UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-04656
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Ellsworth Fund Ltd.
(successor to Ellsworth Convertible Growth and Income Fund, Inc.)
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(Exact name of registrant as specified in charter)
65 Madison Avenue, Morristown, New Jersey 07960-7308
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(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:
Martha J. Hays, Esq.
Ballard Spahr Andrews & Ingersoll, LLP
1735 Market Street
Philadelphia, PA 19103-7599
Registrant's telephone number, including area code: 973-631-1177
Date of fiscal year end: September 30
Date of reporting period: December 31, 2005
ITEM 1. SCHEDULE OF INVESTMENTS.
Ellsworth Fund Ltd.
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PORTFOLIO OF INVESTMENTS DECEMBER 31, 2005 (UNAUDITED) -------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- 50.5%
AEROSPACE AND DEFENSE -- 1.1%
$ 250,000 Ceradyne, Inc. 2.875% 2035 sr. sub. cv. notes (NR) (1)................ $ 256,563
1,000,000 L-3 Communications Holdings, Inc. 3% 2035 CODES (Ba3) (1).............. 993,750
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1,250,313
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AUTOMOTIVE -- 1.5%
4,000,000 Lear Corp. 0% 2022 cv. sr. notes (Ba2)................................. 1,735,000
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BANKING/SAVINGS AND LOAN -- 2.1%
1,000,000 The Bear Stearns Companies, Inc. 0.25% 2010 medium-term notes (A1)
(exch. for Fifth Third Bancorp common stock) (1)...................... 840,600
1,500,000 U.S. Bancorp floating rate 2035 cv. sr. deb. (Aa2)..................... 1,490,625
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2,331,225
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CONSUMER GOODS -- 1.5%
1,375,000 Church & Dwight Co., Inc. 5.25% 2033 cv. sr. deb. (Ba2)................ 1,662,031
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ENERGY -- 2.2%
1,125,000 Maverick Tube Corp. 1.875% 2025 cv. sr. sub. notes (NR)
(Acquired 11/09/05 - 11/11/05; Cost $1,128,750) (2)................... 1,282,500
1,000,000 Oil States International, Inc. 2.375% 2025 contingent cv. sr.
notes (NR)............................................................ 1,190,000
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2,472,500
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ENTERTAINMENT -- 4.2%
1,500,000 EchoStar Communications Corp. 5.75% 2008 cv. sub. notes (B2)........... 1,470,000
3,250,000 The Walt Disney Company 2.125% 2023 cv. sr. notes (Baa1)............... 3,266,250
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4,736,250
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FINANCIAL AND INSURANCE -- 2.4%
500,000 E*TRADE Financial Corp. 6% 2007 cv. sub. notes (B-).................... 507,500
1,125,000 FTI Consulting, Inc. 3.75% 2012 cv. sr. sub. notes (Ba3)
(Acquired 07/29/05 - 10/10/05; Cost $1,158,750) (2)................... 1,252,969
1,000,000 Swiss Re America Holding Corp. 3.25% 2021 euro. sub. cv. bonds (A1)
(conv. into Swiss Reinsurance Company common stock)
(Acquired 11/15/01 - 12/05/01; Cost $1,007,875) (2).................. 939,750
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2,700,219
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FINANCIAL SERVICES -- 0.9%
1,000,000 Euronet Worldwide, Inc. 3.50% 2025 cv. deb. (NR)
(Acquired 09/28/05 - 09/29/05; Cost $1,024,635) (1,2)................. 970,000
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FOODS -- 0.9%
1,000,000 Lehman Brothers Holdings, Inc. 1% 2011 medium-term notes (A1)
(performance linked to General Mills, Inc. common stock) (1).......... 998,400
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HEALTH CARE -- 4.0%
2,000,000 Manor Care, Inc. 2.125% 2035 cv. sr. notes (Baa3)...................... 2,070,000
1,000,000 Omnicare, Inc. 3.25% 2035 cv. sr. deb. (B1) (1)........................ 997,500
1,500,000 St. Jude Medical, Inc. 2.8% 2035 cv. sr. deb. (BBB+) (1)............... 1,501,875
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4,569,375
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MULTI-INDUSTRY -- 0.8%
1,000,000 Lehman Brothers Holdings, Inc. 1% 2011 medium-term notes (A1)
(performance linked to Cendant Corp. common stock) (1)................ 877,500
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PAGE 1
Ellsworth Fund Ltd.
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PORTFOLIO OF INVESTMENTS DECEMBER 31, 2005 (CONTINUED) -------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- CONTINUED
PHARMACEUTICALS -- 7.3%
$2,000,000 Amgen, Inc. 0% 2032 LYONs (A2) (1)..................................... $ 1,570,000
1,500,000 Cephalon, Inc. 2% 2015 cv. sr. sub. notes (B-)......................... 2,223,750
1,250,000 Encysive Pharmaceuticals, Inc. 2.5% 2012 cv. sr. notes (NR)............ 990,625
1,000,000 Ivax Corp. 4.5% 2008 cv. sr. sub. notes (NR)........................... 1,012,500
1,000,000 Teva Pharmaceutical Finance II, LLC series A 0.5% 2024 cv. sr. deb.
(Baa3) (exch. for ADR representing Teva Pharmaceutical Industries
Ltd. common stock)................................................... 1,192,500
1,000,000 Teva Pharmaceutical Finance II, LLC series B 0.25% 2024 cv. sr. deb.
(Baa3) (exch. for ADR representing Teva Pharmaceutical Industries
Ltd. common stock)................................................... 1,250,000
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8,239,375
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RETAIL -- 4.9%
1,000,000 Amazon.com, Inc. 4.75% 2009 cv. sub. notes (B2)........................ 966,250
1,000,000 Best Buy Co., Inc. 2.25% 2022 cv. sub. deb. (Ba1) (1).................. 1,067,500
1,250,000 Casual Male Retail Group, Inc. 5% 2024 cv. sr. sub. notes (NR)......... 1,064,063
3,000,000 The TJX Companies, Inc. 0% 2021 LYONs (Baa1)........................... 2,411,250
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5,509,063
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TECHNOLOGY -- 11.2%
1,250,000 Advanced Micro Devices, Inc. 4.75% 2022 cv. sr. deb. (B3) (1).......... 1,651,563
1,000,000 C&D Technologies, Inc. 5.25% 2025 cv. sr. notes (NR)
(Acquired 11/16/05; Cost $1,000,000) (2).............................. 1,098,750
2,000,000 Citigroup Funding, Inc. 1% 2010 medium-term notes (Aa1) (exch. for
the cash equivalent of a basket of technology stocks) (1)............. 1,853,000
1,000,000 Intel Corp. 2.95% 2035 jr. sub. cv. deb. (NR)
(Acquired 12/14/05; Cost $1,001,542) (1,2)............................ 981,250
2,250,000 International Rectifier Corp. 4.25% 2007 cv. sub. notes (B2)........... 2,160,000
1,500,000 LSI Logic Corp. 4% 2010 cv. sub. notes (B)............................. 1,445,625
1,000,000 Richardson Electronics, Ltd. 8% 2011 cv. sr. sub. notes (NR)
(Acquired 11/21/05; Cost $1,000,000) (2).............................. 1,010,000
1,500,000 Sybase, Inc. 1.75% 2025 cv. sub. notes (NR)............................ 1,545,000
1,000,000 Vishay Intertechnology, Inc. 3.625% 2023 cv. sub. notes (B3)........... 980,000
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12,725,188
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TELECOMMUNICATIONS -- 4.0%
250,000 Comverse Technology, Inc. 0% 2023 ZYPS (BB-) (3)....................... 378,438
1,000,000 Lucent Technologies, Inc. 2.75% 2023 series A cv. sr. deb. (B1)........ 1,002,500
500,000 Lucent Technologies, Inc. 2.75% 2025 series B cv. sr. deb. (B1)........ 514,375
1,250,000 Nortel Networks Corp. 4.25% 2008 cv. sr. notes (B3).................... 1,178,125
1,500,000 Tekelec, Inc. 2.25% 2008 sr. sub. cv. notes (NR)....................... 1,479,375
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4,552,813
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UTILITIES -- 1.5%
1,500,000 CMS Energy Corp. 2.875% 2024 cv. sr. notes (B1)........................ 1,753,125
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TOTAL CONVERTIBLE BONDS AND NOTES...................................... $57,082,377
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PAGE 2
Ellsworth Fund Ltd.
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PORTFOLIO OF INVESTMENTS DECEMBER 31, 2005 (CONTINUED) -------------------------
Value
Shares (Note 1)
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CONVERTIBLE PREFERRED STOCKS -- 23.1%
AEROSPACE AND DEFENSE -- 1.3%
60,000 Ionatron, Inc. 6.5% series A cv. pfd. (NR)
(Acquired 10/27/05; Cost $1,500,000) (2).............................. $ 1,522,500
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BANKING/SAVINGS AND LOAN -- 5.3%
40,000 National Australia Bank Ltd. 7.875% exch. capital units (NR)........... 1,576,000
20,000 New York Community Bancorp, Inc. 6% BONUSES units (Baa2)............... 934,000
35,000 Sovereign Capital Trust IV 4.375% PIERS (Ba1)
(exch. for Sovereign Bancorp, Inc. common stock) (1).................. 1,540,000
35,000 Washington Mutual Capital Trust 5.375% PIERS units (BBB)
(exch. for Washington Mutual, Inc. common stock)...................... 1,910,370
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5,960,370
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CHEMICALS -- 2.0%
80,000 Celanese Corp. 4.25% cv. perp. pfd. (NR)............................... 2,260,000
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ENERGY -- 5.3%
4,000 Chesapeake Energy Corp. 5% cum. cv. pfd. (B)........................... 549,500
20,000 Chesapeake Energy Corp. 4.5% cum. cv. pfd. (B)......................... 1,897,500
10,000 Semco Energy, Inc. 5% series B cv. cum. pfd. (B-)...................... 1,880,000
15,000 The Williams Companies, Inc. 5.5% 2033 jr. sub. cv. deb. (B-).......... 1,687,500
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6,014,500
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FINANCIAL AND INSURANCE -- 7.1%
75,000 Citigroup Funding, Inc. variable rate exch. notes (Aa1)
(exch. for Genworth Financial, Inc. common stock)..................... 2,463,750
20 Fannie Mae 5.375% non-cumulative cv. pfd. (Aa3)
(Acquired 12/29/04 - 01/11/05; Cost $2,078,125) (2)................... 1,842,815
20,000 Reinsurance Group of America, Inc. 5.75% PIERS (Baa2).................. 1,222,500
100,000 The St. Paul Travelers Companies, Inc. 4.5% 2032 cv. jr. sub.
notes (Baa1).......................................................... 2,528,000
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8,057,065
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MINING -- 2.1%
2,000 Freeport-McMoRan Copper and Gold, Inc. 5.5% cv. perpetual pfd. (B-).... 2,348,500
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TOTAL CONVERTIBLE PREFERRED STOCKS..................................... $26,162,935
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MANDATORY CONVERTIBLE SECURITIES -- 18.8% (4)
CHEMICALS -- 1.4%
40,000 Huntsman Corp. 5% mand. cv. pfd. 02/16/08 (NR)......................... 1,615,000
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CONSUMER GOODS -- 1.2%
35,000 Constellation Brands, Inc. dep. shs. representing 5.75% series A
mandatory cv. pfd. 09/01/06 (B)....................................... 1,366,050
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ENERGY -- 2.8%
15,000 Amerada Hess Corp. 7% mand. cv. pfd. ACES 12/01/06 (Ba3)............... 1,614,375
15,000 Valero Energy Corp. 2% mand. cv. pfd. 07/01/06 (BB).................... 1,537,500
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3,151,875
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PAGE 3
Ellsworth Fund Ltd.
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PORTFOLIO OF INVESTMENTS DECEMBER 31, 2005 (CONTINUED) -------------------------
Value
Shares (Note 1)
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MANDATORY CONVERTIBLE SECURITIES -- CONTINUED (4)
FINANCIAL AND INSURANCE -- 8.4%
25,000 The Chubb Corp. 7% equity units 08/16/06 (A2) (1)...................... $ 879,500
43,500 E*TRADE Financial Corp. 6.125% equity units 11/18/08 (B3).............. 1,250,625
30,000 Merrill Lynch & Co., Inc. 6.75% mandatory exch. securities 10/15/07
(Aa3) (exch. for Nuveen Investments, Inc. common stock)............... 1,183,530
80,000 MetLife, Inc. 6.375% common equity units 08/15/08 (BBB+)............... 2,230,000
42,500 Morgan Stanley, Inc. 5.875% mandatory exch. securities 10/15/08 (Aa3)
(exch. for Nuveen Investments, Inc. common stock)..................... 1,687,845
40,000 The PMI Group, Inc. 5.875% HITS units 11/15/06 (A1) (1)................ 995,000
45,000 XL Capital, Ltd. 6.5% equity security units 05/15/07 (A3).............. 1,024,200
10,000 XL Capital, Ltd. 7% equity security units 02/15/09 (A3)................ 255,500
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9,506,200
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FOODS -- 1.8%
40,000 Albertson's, Inc. 7.25% HITS units 05/16/07 (Baa3) (1)................. 910,000
40,000 Lehman Brothers Holdings, Inc. 6.25% PIES 10/15/07 (A1)
(exch. for General Mills, Inc. common stock).......................... 1,060,000
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1,970,000
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PHARMACEUTICALS -- 1.9%
40,000 Schering-Plough Corp. 6% mand. cv. pfd. 09/14/07 (Baa3)................ 2,151,600
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TECHNOLOGY -- 1.3%
37,500 Credit Suisse First Boston (USA), Inc. 5.5% SAILS 11/15/08 (Aa3)
(exch. for Equinix, Inc. common stock)................................ 1,507,500
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TOTAL MANDATORY CONVERTIBLE SECURITIES (4)............................. $21,268,225
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COMMON STOCKS -- 4.1%
HEALTH CARE -- 1.5%
23,462 Community Health Systems, Inc. (3)..................................... 899,533
21,115 LifePoint Hospitals, Inc. (3).......................................... 791,813
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1,691,346
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MULTI-INDUSTRY -- 0.4%
25,000 Cendant Corp........................................................... 431,250
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PHARMACEUTICALS -- 1.4%
26,300 Johnson & Johnson...................................................... 1,580,630
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TELECOMMUNICATIONS -- 0.9%
40,000 AT&T Inc............................................................... 979,600
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TOTAL COMMON STOCKS.................................................... $ 4,682,826
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PAGE 4
Ellsworth Fund Ltd.
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PORTFOLIO OF INVESTMENTS DECEMBER 31, 2005 (CONTINUED) -------------------------
Principal Value
Amount (Note 1)
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SHORT-TERM SECURITIES -- 2.8%
COMMERCIAL PAPER -- 2.7%
$3,100,000 American Express Credit Corp. (P1)
(4.28% maturing 01/03/06)............................................. $ 3,098,157
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U.S. GOVERNMENT OBLIGATIONS -- 0.0%
11,000 U.S. Treasury notes 2.25% 04/30/06 (Aaa) (5)........................... 10,931
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TOTAL SHORT-TERM SECURITIES............................................ 3,109,088
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TOTAL CONVERTIBLE BONDS AND NOTES -- 50.5%............................. 57,082,377
TOTAL CONVERTIBLE PREFERRED STOCKS -- 23.1%............................ 26,162,935
TOTAL MANDATORY CONVERTIBLE SECURITIES -- 18.8%........................ 21,268,225
TOTAL COMMON STOCKS -- 4.1%............................................ 4,682,826
TOTAL SHORT-TERM SECURITIES -- 2.8%.................................... 3,109,088
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TOTAL INVESTMENTS -- 99.3%............................................. 112,305,451
OTHER ASSETS AND LIABILITIES, NET -- 0.7%.............................. 807,921
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TOTAL NET ASSETS -- 100.0%............................................. $113,113,372
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(1) Contingent payment debt instrument which accrues contingent interest.
See Note 1(b).
(2) Security not registered under the Securities Act of 1933, as amended (e.g.,
the security was purchased in a Rule 144A or a Reg D transaction). The
security may be resold only pursuant to an exemption from registration
under the 1933 Act, typically to qualified institutional buyers. The Fund
generally has no rights to demand registration of these securities. The
aggregate market value of these securities at December 31, 2005 was
$10,900,534 which represented 9.6% of the Fund's net assets.
(3) Non-income producing security.
(4) These 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) Collateral for a letter of credit.
ACES Automatic Convertible Equity Securities.
ADR American Depositary Receipts.
BONUSES Bifurcated Option Note Unit Securities.
CODES Convertible Contingent Debt Securities.
HITS Hybrid Income Term Security.
LYONs Liquid Yield Option Notes.
PIES Premium Income Exchangeable Securities.
PIERS Preferred Income Equity Redeemable Securities.
SAILS Shared Appreciation Income Linked Securities.
ZYPS Zero Yield Puttable Securities.
Ratings in parentheses by Moody's Investors Service, Inc. or Standard & Poor's.
NR is used whenever a rating is unavailable.
PAGE 5
Ellsworth Fund Ltd.
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NOTES TO FINANCIAL STATEMENTS (unaudited)---------------------------------------
1. Significant Accounting Policies
Ellsworth Fund Ltd. (successor to Ellsworth Convertible Growth and Income Fund,
Inc. (the "Fund") is registered under the Investment Company Act of 1940 as a
diversified, closed-end management investment company. The preparation of
financial statements in conformity with generally accepted accounting
principles 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 revenue and expenses during the
reporting period. Actual results could differ from those estimates. The
following is a summary of significant accounting policies consistently followed
by the Fund in the preparation of its financial statements:
(a) Security Valuation
Investments in securities traded on a national securities exchange are valued
at market using the last reported sales price as of the close of regular
trading. Unlisted securities traded in the over-the-counter market and 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.
Securities for which quotations are not readily available, restricted
securities and other assets are valued at fair value as determined in good
faith by management with the approval of the Board of Directors. Short-term
debt securities with original maturities of 60 days or less are valued at
amortized cost.
(b) Securities Transactions and Related Investment Income
Security transactions are accounted for on the trade date (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. For certain
securities, known as "contingent payment debt instruments," Federal tax
regulations require the Fund to record non-cash, "contingent" interest income
in addition to interest income actually received. Contingent interest income
amounted to approximately 2 cents per share for the three months ended December
31, 2005. In addition, Federal tax regulations require the Fund to reclassify
realized gains on contingent payment debt instruments to interest income. At
December 31, 2005 there were unrealized losses of approximately 2 cents per
share on contingent payment debt instruments.
PAGE 6
ITEM 2. CONTROLS AND PROCEDURES.
Conclusions of principal officers concerning controls and procedures
(a) The Registrant's principal executive officer and principal financial
officer, or persons performing similar functions, have concluded that the
Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940, as amended (the "Act"),
(17 CFR 270.30a-3(c))) are effective as of February 22, 2006, based on the
evaluation of these controls and procedures required by Rule 30a-3(b) under
the Act (and 15d-15(b) under the Securities Exchange Act of 1934, as amended
(17 CFR 240.15d-15(b)).
(b) There have been no changes in the Registrant'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 Registrant's last fiscal quarter
that has materially affected, or is reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Separate certifications of the principal executive officer and the principal
financial officer of the Registrant, as required by Rule 30a-2(a) under the
Investment Company Act of 1940, 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 Fund Ltd.
By: /s/Thomas H. Dinsmore
Thomas H. Dinsmore
Chairman of the Board and
Chief Executive Officer
(Principal Executive Officer)
Date: February 22, 2006
Pursuant to the requirements of the Securities and 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: February 22, 2006
By: /s/Gary I. Levine
Gary I. Levine
Chief Financial Officer
(Principal Financial Officer)
Date: February 22, 2006