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.
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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, 49th Floor
Philadelphia, PA 19103-7599
Registrant's telephone number, including area code: 973-631-1177
Date of fiscal year end: September 30, 2006
Date of reporting period: June 30, 2006
ITEM 1. SCHEDULE OF INVESTMENTS.
ELLSWORTH FUND LTD.
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Portfolio of Investments June 30, 2006 (unaudited)------------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- 58.0%
AEROSPACE AND DEFENSE -- 3.9%
$1,500,000 AAR Corp. 1.75% 2026 cv. sr. notes (BB-).......................... $ 1,445,625
1,000,000 Ceradyne, Inc. 2.875% 2035 sr. sub. cv. notes (NR) (1)............ 1,106,250
2,000,000 DRS Technologies, Inc. 2% 2026 cv. sr. notes (B2)
(Acquired 01/30/06; Cost $2,044,792) (1,2)....................... 1,985,000
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4,536,875
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BANKING/SAVINGS AND LOAN -- 1.3%
1,500,000 U.S. Bancorp floating rate 2035 cv. sr. deb. (Aa2)................ 1,501,875
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CONSUMER GOODS -- 1.5%
1,375,000 Church & Dwight Co., Inc. 5.25% 2033 cv. sr. deb. (Ba2) .......... 1,739,375
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ENERGY -- 5.6%
1,000,000 Cameron International Corp. 2.50% 2026 cv. sr. notes (Baa1)
(Acquired 05/23/06; Cost $991,250) (2)........................... 990,000
1,500,000 Nabors Industries, Inc. 0.94% 2011 sr. exchangeable notes (A-)
(exchangeable for Nabors Industries Ltd. common stock)
(Acquired 05/18/06 - 06/02/06; Cost $1,490,615) (2).............. 1,456,875
1,500,000 Oil States International, Inc. 2.375% 2025 contingent cv. sr.
notes(NR) ....................................................... 1,944,375
1,500,000 Rentech, Inc. 4% 2013 cv. sr. notes (NR).......................... 2,029,680
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6,420,930
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ENTERTAINMENT -- 5.3%
2,000,000 EchoStar Communications Corp. 5.75% 2008 cv. sub. notes (B2)...... 1,970,000
3,750,000 The Walt Disney Company 2.125% 2023 cv. sr. notes (A3) ........... 4,148,438
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6,118,438
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FINANCIAL AND INSURANCE -- 1.1%
1,125,000 FTI Consulting, Inc. 3.75% 2012 cv. sr. sub. notes (Ba3) ......... 1,257,188
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FINANCIAL SERVICES -- 2.1%
2,000,000 Euronet Worldwide, Inc. 3.50% 2025 cv. deb. (NR) (1) ............. 2,377,500
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FOODS -- 0.9%
1,000,000 Lehman Brothers Holdings, Inc. 3% 2012 medium-term notes (A1)
(performance linked to General Mills, Inc. common stock) (1)..... 1,000,000
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HEALTH CARE -- 3.7%
1,000,000 American Medical Systems Holdings, Inc. 3.25% 2036 cv. sr. sub.
notes (B3) (1) .................................................. 1,068,750
2,000,000 Manor Care, Inc. 2.125% 2035 cv. sr. notes (Baa3) ................. 2,250,000
1,000,000 Omnicare, Inc. 3.25% 2035 cv. sr. deb. (B1) (1).................... 911,250
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4,230,000
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MULTI-INDUSTRY -- 3.0%
1,500,000 LSB Industries, Inc 7% 2011 cv. sr. sub. deb. (NR) ................ 1,627,500
1,000,000 Lehman Brothers Holdings, Inc. 1% 2011 medium-term notes (A1)
(performance linked to Cendant Corp. common stock) (1) .......... 832,500
1,000,000 Trinity Industries, Inc. 3.875% 2036 cv. sub. notes (Ba3) (1) ..... 1,042,500
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3,502,500
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PAGE 1
ELLSWORTH FUND LTD.
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Portfolio of Investments June 30, 2006 (continued)------------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- CONTINUED
PHARMACEUTICALS -- 7.1%
$1,250,000 Amgen, Inc. 0.125% 2011 cv. sr. notes (A2)
(Acquired 02/14/06 - 02/15/06; Cost $1,253,750) (2) ............. $1,175,000
500,000 Amgen, Inc. 0.375% 2013 cv. sr. notes (A2)
(Acquired 02/14/06; Cost $500,000) (2) .......................... 466,875
1,000,000 Bristol-Myers Squibb Co. floating rate 2023 cv. sr. deb. (A1) .... 1,003,130
1,000,000 Cephalon, Inc. 2% 2015 cv. sr. sub. notes (B-) ................... 1,411,250
1,000,000 Ivax Corp. 4.5% 2008 cv. sr. sub. notes (NR)
(exchangeable for Teva Pharmaceutical Industries Ltd.
ADR and cash) .................................................. 1,010,000
750,000 MedImmune, Inc. 1.375% 2011 cv. sr. notes (BBB)
(Acquired 06/23/06; Cost $750,000) (2) .......................... 755,625
750,000 MedImmune, Inc. 1.625% 2013 cv. sr. notes (BBB)
(Acquired 06/23/06; Cost $750,000) (2) .......................... 756,563
1,750,000 Teva Pharmaceutical Finance Co. B.V. 1.75% 2026 cv. sr. deb. (Baa2)
(exchangeable for Teva Pharmaceutical Industries Ltd. ADR) ...... 1,603,438
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8,181,881
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RETAIL -- 4.1%
1,000,000 Amazon.com, Inc. 4.75% 2009 cv. sub. notes (B2) .................. 963,750
1,250,000 Casual Male Retail Group, Inc. 5% 2024 cv. sr. sub. notes (NR).... 1,332,813
3,000,000 The TJX Companies, Inc. 0% 2021 LYONs (Baa1) ..................... 2,392,500
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4,689,063
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TECHNOLOGY -- 14.5%
1,000,000 C&D Technologies, Inc. 5.25% 2025 cv. sr. notes (NR)
(Acquired 11/16/05; Cost $1,000,000)(2) ......................... 1,118,750
2,000,000 Citigroup Funding, Inc. 1% 2010 medium-term notes (Aa1)
(exchangeable for the cash equivalent of a basket of
technology stocks) (1) ......................................... 1,802,000
1,000,000 Coherent, Inc. 2.75% 2011 cv. sub. notes (NR)
(Acquired 03/07/06 - 03/08/06; Cost $1,012,500)(2) .............. 1,085,000
1,000,000 Conexant Systems, Inc. 4% 2026 cv. sub. notes (NR) ............... 921,250
2,000,000 Intel Corp. 2.95% 2035 jr. sub. cv. deb. (A-) (1) ................ 1,692,500
1,750,000 International Rectifier Corp. 4.25% 2007 cv. sub. notes (B2) ..... 1,728,125
1,500,000 LSI Logic Corp. 4% 2010 cv. sub. notes (B) ....................... 1,531,875
1,500,000 Lehman Brothers Holdings, Inc. 1% 2009 medium-term notes (A1)
(performance linked to Microsoft Corp. common stock)(1) ......... 1,408,950
1,000,000 Richardson Electronics, Ltd. 8% 2011 cv. sr. sub. notes (NR)
(Acquired 11/21/05; Cost $1,000,000)(2) ......................... 1,000,000
1,100,000 SanDisk Corp. 1% 2013 cv. sr. notes (BB-)
(Acquired 05/09/06 - 05/10/06; Cost $1,108,875)(2) .............. 976,250
1,500,000 Sybase, Inc. 1.75% 2025 cv. sub. notes (NR) ...................... 1,451,250
1,000,000 Symantec Corp. 1% 2013 cv. sr. notes (NR)
(Acquired 06/13/06; Cost $992,500)(2) ........................... 975,000
1,000,000 Vishay Intertechnology, Inc. 3.625% 2023 cv. sub. notes (B3) ..... 1,042,500
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16,733,450
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TELECOMMUNICATIONS -- 2.7%
1,500,000 Tekelec, Inc. 2.25% 2008 sr. sub. cv. notes (NR) ................ 1,453,125
1,556,000 Time Warner Telecom, Inc. 2.375% 2026 cv. sr. deb (Caa1) ......... 1,616,295
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3,069,420
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UTILITIES -- 1.4%
1,500,000 CMS Energy Corp. 2.875% 2024 cv. sr. notes (B1) .................. 1,606,875
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TOTAL CONVERTIBLE BONDS AND NOTES ................................ $66,965,370
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PAGE 2
ELLSWORTH FUND LTD.
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Portfolio of Investments June 30, 2006 (continued)------------------------------
Value
Shares (Note 1)
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CONVERTIBLE PREFERRED STOCKS -- 18.5%
AEROSPACE AND DEFENSE -- 0.8%
40,000 Ionatron, Inc. 6.5% series A redeemable cv. pfd. (NR)
(Acquired 10/27/05; Cost $970,253)(2) ........................... $ 900,000
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BANKING/SAVINGS AND LOAN -- 4.4%
40,000 National Australia Bank Ltd. 7.875% exch. capital
units (NR) ...................................................... 1,699,600
20,000 New York Community Bancorp, Inc. 6% BONUSES units (Baa2) ......... 939,000
35,000 Sovereign Capital Trust IV 4.375% PIERS (Baa2)
(exchangeable for Sovereign Bancorp, Inc. common stock)(1)....... 1,592,500
15,000 Washington Mutual Capital Trust 5.375% PIERS units (BBB)
(exchangeable for Washington Mutual, Inc. common stock)........... 853,200
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BUILDING PRODUCTS -- 1.6% ......................................... 5,084,300
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35,000 TXI Capital Trust I 5.5% SPuRS (B2)
(exchangeable for Texas Industries, Inc. common stock)........... 1,855,000
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CHEMICALS -- 2.1%
80,000 Celanese Corp. 4.25% cv. perp. pfd. (NR) ......................... 2,384,800
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ENERGY -- 3.5%
25,000 Chesapeake Energy Corp. 4.5% cum. cv. pfd. (B+) ................. 2,336,500
9,000 Semco Energy, Inc. 5% series B cv. cum. pfd. (B-)................. 1,676,250
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4,012,750
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FINANCIAL AND INSURANCE -- 6.1%
75,000 Citigroup Funding, Inc. variable rate exch. notes (Aa1)
(exchangeable for Genworth Financial, Inc. common stock)......... 2,467,500
10 Fannie Mae 5.375% non-cumulative cv. pfd. (Aa3)
(Acquired 01/11/05; Cost $1,048,750) (2)......................... 929,470
20,000 Reinsurance Group of America, Inc. 5.75% PIERS (Baa2)............. 1,242,500
100,000 The St. Paul Travelers Companies, Inc. 4.5% 2032 cv. jr. sub.
notes (Baa1)..................................................... 2,452,000
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7,091,470
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TOTAL CONVERTIBLE PREFERRED STOCKS ............................... $21,328,320
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MANDATORY CONVERTIBLE SECURITIES -- 17.1%(4)
CHEMICALS -- 1.3%
40,000 Huntsman Corp. 5% mand. cv. pfd. 02/16/08 (NR) .................... 1,554,000
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CONSUMER GOODS -- 1.1%
35,000 Constellation Brands, Inc. dep. shs. representing 5.75%
series A mand. cv. pfd. 09/01/06 (B)............................. 1,299,200
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ENERGY -- 0.2%
1,000 Chesapeake Energy Corp. 6.25% mand. cv. pfd. 06/15/09 (NR) ....... 259,970
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PAGE 3
ELLSWORTH FUND LTD.
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Portfolio of Investments June 30, 2006 (continued)------------------------------
Value
Shares (Note 1)
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MANDATORY CONVERTIBLE SECURITIES -- CONTINUED (4)
FINANCIAL AND INSURANCE -- 8.2%
7,000 Alleghany Corp. 5.75% mandatory cv. pfd. 06/15/09 (BBB-) ......... $ 1,949,500
43,500 E*TRADE Financial Corp. 6.125% equity units 11/18/08 (Ba3) ....... 1,302,390
30,000 Merrill Lynch & Co., Inc. 6.75% mandatory exch. securities
10/15/07 (Aa3) (exchangeable for Nuveen Investments, Inc.
common stock) .................................................. 1,177,500
80,000 MetLife, Inc. 6.375% common equity units 08/15/08 (BBB+) ......... 2,205,600
42,500 Morgan Stanley, Inc. 5.875% mandatory exch. securities
10/15/08 (Aa3)(exchangeable for Nuveen Investments, Inc.
common stock) ................................................... 1,691,925
45,000 XL Capital, Ltd. 6.5% equity security units 05/15/07 (A3) ........ 944,775
10,000 XL Capital, Ltd. 7% equity security units 02/15/09 (A3) .......... 238,000
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9,509,690
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FOODS -- 0.9%
40,000 Lehman Brothers Holdings, Inc. 6.25% PIES 10/15/07 (A1)
(exchangeable for General Mills, Inc. common stock).............. 1,044,800
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PHARMACEUTICALS -- 1.7%
40,000 Schering-Plough Corp. 6% mand. cv. pfd. 09/14/07 (Baa3) .......... 2,013,200
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TECHNOLOGY -- 3.5%
30,000 Credit Suisse First Boston (USA), Inc. 5.5% SAILS 11/15/08 (Aa3)
(exchangeable for Equinix, Inc. common stock).................... 1,532,400
98,850 The Goldman Sachs Group, Inc. 14.75% mandatory exch. notes 06/22/07(NR)
(exchangeable for Advanced Micro Devices, Inc. common stock)
(Acquired 06/14/06; Cost $2,500,411)(2).......................... 2,490,328
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4,022,728
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TOTAL MANDATORY CONVERTIBLE SECURITIES (4) ....................... $19,703,588
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COMMON STOCKS -- 3.3%
AEROSPACE AND DEFENSE -- 0.0%
2,643 Ionatron, Inc.
(Acquired 04/17/05; Cost $29,747)(2,3) .......................... 16,783
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HEALTH CARE -- 0.6%
21,115 LifePoint Hospitals, Inc. (3) .................................... 678,425
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MULTI-INDUSTRY -- 0.4%
25,000 Cendant Corp. .................................................... 407,250
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PHARMACEUTICALS -- 1.4%
26,300 Johnson & Johnson ................................................ 1,575,896
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TELECOMMUNICATIONS -- 1.0%
40,000 AT&T Inc. ........................................................ 1,115,600
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TOTAL COMMON STOCKS .............................................. $ 3,793,954
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PAGE 4
ELLSWORTH FUND LTD.
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Portfolio of Investments June 30, 2006 (continued)------------------------------
Principal Value
Amount (Note 1)
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SHORT-TERM SECURITIES -- 1.0%
COMMERCIAL PAPER -- 1.0%
$1,200,000 American Express Credit Corp. 4.98% 07/03/06 (P1) ................. $ 1,199,336
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U.S. GOVERNMENT OBLIGATIONS -- 0.0%
11,000 U.S. Treasury notes 3.625% 04/30/07 (Aaa)(5) ...................... 10,852
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TOTAL SHORT-TERM SECURITIES ....................................... 1,210,188
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TOTAL CONVERTIBLE BONDS AND NOTES -- 58.0% ........................ 66,965,370
TOTAL CONVERTIBLE PREFERRED STOCKS -- 18.5% ....................... 21,328,320
TOTAL MANDATORY CONVERTIBLE SECURITIES -- 17.1% ................... 19,703,588
TOTAL COMMON STOCKS -- 3.3% ....................................... 3,793,954
TOTAL SHORT-TERM SECURITIES -- 1.0% ............................... 1,210,188
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TOTAL INVESTMENTS -- 97.9% ........................................ 113,001,420
OTHER ASSETS AND LIABILITIES, NET -- 2.1% ....................... 2,436,491
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TOTAL NET ASSETS -- 100.0% ........................................ $115,437,911
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(1) Contingent payment debt instrument which accrues contingent interest.
See Note 1.
(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 June 30, 2006 was $17,077,519 which represented 14.8% 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.
ADR American Depositary Receipts.
BONUSES Bifurcated Option Note Unit Securities.
LYONs Liquid Yield Option Notes.
PIES Premium Income Exchangeable Securities.
PIERS Preferred Income Equity Redeemable Securities.
SAILS Shared Appreciation Income Linked Securities.
SPuRS Shared Preference Redeemable 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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(Selected) NOTES TO FINANCIAL STATEMENTS (UNAUDITED)----------------------------
Ellsworth Fund Ltd. (successor to Ellsworth Convertible Growth and Income Fund,
Inc. (established in 1986)) (the "Fund"), is registered under the Investment
Company Act of 1940 as a diversified, closed-end management investment company.
On February 17, 2006, the Fund was reorganized as a Delaware statutory trust
from a Maryland corporation.
Note 1. 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. 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 an
independent pricing service. 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 by management 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.
Note 2. 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.
At June 30, 2006 unrealized appreciation (depreciation) of investment
securities on a tax basis were as follows:
Unrealized appreciation $ 6,281,732
Unrealized depreciation (4,539,502)
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Net unrealized appreciation 1,742,230
Cost for federal income tax purposes $110,059,854
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 August 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: August 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: August 22, 2006
By: /s/Gary I. Levine
Gary I. Levine
Chief Financial Officer
(Principal Financial Officer)
Date: August 22, 2006