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:
Steven King, 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, 2007
Date of reporting period: June 30, 2007
ITEM 1. SCHEDULE OF INVESTMENTS.
ELLSWORTH FUND LTD.---------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS June 30, 2007 (unaudited)--------------------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- 64.1%
Aerospace and Defense -- 3.6%
$1,500,000 AAR Corp. 1.75%, due 2026 cv. sr. notes (BB)................... $ 1,916,250
1,000,000 Alliant Techsystems Inc. 2.75%, due 2011
cv. sr. sub. notes (B1)........................................ 1,161,250
1,500,000 DRS Technologies, Inc. 2%, due 2026 cv. sr. notes (B1)
(Acquired 01/30/06 - 05/16/07; Cost $1,601,001) (1,2)......... 1,650,000
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4,727,500
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Agriculture -- 1.5%
2,000,000 Merrill Lynch & Co., Inc. 1.5%, due 2012 cv. securities (Aa3)
(exchangeable into Archer-Daniels-Midland Co. common stock)
(Acquired 02/23/07; Cost $2,000,000) (2)...................... 1,897,700
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Banking/Savings and Loan -- 2.7%
1,000,000 PrivateBancorp, Inc. 3.625%, due 2027 cv. sr. notes (NR)....... 975,000
1,500,000 U.S. Bancorp floating rate, due 2035 cv. sr. deb. (Aa2)........ 1,511,250
1,000,000 U.S. Bancorp floating rate, due 2037 cv. sr. deb. (Aa2)
(Acquired 02/01/07; Cost $988,750) (2)........................ 993,500
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3,479,750
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Computer Hardware -- 5.3%
1,000,000 C&D Technologies, Inc. 5.25%, due 2025 cv. sr. notes (NR)...... 975,000
2,000,000 Credit Suisse, New York Branch 13.62%, due 2007
equity-linked notes (Aa3)
(exchangeable for Corning Inc. common stock).................. 2,210,200
1,000,000 EMC Corp. 1.75%, due 2011 cv. sr. notes (BBB+)................. 1,267,500
1,000,000 EMC Corp. 1.75%, due 2013 cv. sr. notes (BBB+)................. 1,278,750
1,000,000 Richardson Electronics, Ltd. 8%, due 2011
cv. sr. sub. notes (NR)........................................ 1,126,250
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6,857,700
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Computer Software -- 4.9%
1,000,000 Blackboard Inc 3.25%, due 2027 cv. sr. notes (NR).............. 1,051,250
1,500,000 Epicor Software Corp. 2.375%, due 2027 sr. cv. notes (NR)...... 1,560,000
1,000,000 GSI Commerce, Inc. 2.5%, due 2027 cv. sr. notes (NR)
(Acquired 06/27/07; Cost $1,001,875) (2)...................... 998,750
1,500,000 Lehman Brothers Holdings Inc. 1%, due 2009
medium-term notes (A1)
(performance linked to Microsoft Corp. common stock) (1)...... 1,568,400
1,000,000 Symantec Corp. 1%, due 2013 cv. sr. notes (NR)................. 1,178,750
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6,357,150
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Consumer Goods -- 2.5%
1,500,000 Chattem, Inc. 1.625%, due 2014 cv. sr. notes (NR).............. 1,569,375
1,000,000 Church & Dwight Co., Inc. 5.25%, due 2033 cv. sr. deb. (Ba1)... 1,607,500
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3,176,875
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Energy -- 5.5%
1,000,000 Cameron International Corp. 2.50%, due 2026
cv. sr. notes (Baa1)........................................... 1,221,250
1,500,000 Covanta Holding Corp. 1%, due 2027 sr. cv. deb. (B1) (1)....... 1,550,625
1,500,000 Nabors Industries, Inc. 0.94%, due 2011
sr. exchangeable notes (A-)
(exchangeable for Nabors Industries Ltd. common stock)........ 1,470,000
1,225,000 Oil States International, Inc. 2.375%, due 2025
contingent cv. sr. notes (NR).................................. 1,799,219
1,250,000 Rentech, Inc. 4%, due 2013 cv. sr. notes (NR).................. 1,134,375
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7,175,469
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Entertainment -- 3.9%
2,000,000 Gannett Co., Inc. floating rate, due 2037 cv. sr. notes (NR)... 2,002,500
2,500,000 The Walt Disney Company 2.125%, due 2023 cv. sr. notes (A3).... 3,006,250
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5,008,750
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Page 1
ELLSWORTH FUND LTD.---------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS June 30, 2007 (continued)--------------------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- continued
Financial Services -- 1.6%
$2,000,000 Euronet Worldwide, Inc. 3.50%, due 2025 cv. deb. (B+) (1)...... $ 2,112,500
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Health Care -- 4.2%
1,000,000 China Medical Technologies, Inc. 3.5%, due 2011
cv. sr. sub. notes (NR)........................................ 1,170,000
500,000 LifePoint Hospitals, Inc. 3.25, due 2025 cv. sr. sub. deb. (B2) 467,500
450,000 LifePoint Hospitals, Inc. 3.50, due 2014
cv. sr. sub. notes (NR)........................................ 459,000
1,000,000 Manor Care, Inc. 2.125%, due 2035 cv. sr. notes (Baa3)......... 1,506,250
1,000,000 Omnicare, Inc. 3.25%, due 2035 cv. sr. deb. (B2) (1)........... 841,250
1,000,000 St. Jude Medical, Inc. 1.22%, due 2008 cv. sr. deb. (BBB+)
(Acquired 04/20/07; Cost $1,005,938) (2)...................... 992,500
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5,436,500
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Insurance -- 2.4%
3,000,000 Prudential Financial, Inc. floating rate, due 2036
cv. sr. notes.................................................. 3,107,400
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Multi-Industry -- 4.9%
2,000,000 Citigroup Funding Inc. 1%, due 2010 medium-term notes (Aa1)
(exchangeable for the cash value of a basket of
technology stocks) (1)........................................ 1,986,000
750,000 Diversa Corp. 5.5%, due 2027 cv. sr. notes (NR)
(exchangeable for Verenium Corp. common stock)
(Acquired 03/23/07; Cost $750,000) (2)........................ 707,813
1,125,000 FTI Consulting, Inc. 3.75%, due 2012 cv. sr. sub. notes (B1)... 1,591,875
2,000,000 LSB Industries, Inc. 5.5%, due 2012 cv. sr. sub. deb. (NR)
(Acquired 06/28/07; Cost $2,000,000) (2)...................... 2,020,000
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6,305,688
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Pharmaceuticals -- 6.1%
2,500,000 Bristol-Myers Squibb Co. floating rate, due 2023
cv. sr. deb. (A2).............................................. 2,543,750
1,625,000 Mylan Laboratories Inc. 1.25%, due 2012 sr. cv. notes (BBB-)... 1,576,250
1,500,000 Teva Pharmaceutical Finance Co. B.V. 1.75%, due 2026
cv. sr. deb. (Baa2)
(exchangeable for Teva Pharmaceutical Industries Ltd. ADR).... 1,501,875
2,000,000 Wyeth floating rate, due 2024 cv. sr. deb. (A3)................ 2,272,400
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7,894,275
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Real Estate -- 2.5%
1,000,000 ProLogis 2.25%, due 2037 cv. sr. notes (BBB+)
(Acquired 03/20/07 - 04/16/07; Cost $982,038) (2)............. 947,500
1,000,000 United Dominion Realty Trust, Inc. 3.625%, due 2011
cv. sr. notes (NR)............................................ 951,250
1,500,000 Vornado Realty Trust 2.85%, due 2027 cv. sr. deb. (Baa2)....... 1,398,750
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3,297,500
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Retail -- 1.8%
1,000,000 Amazon.com, Inc. 4.75%, due 2009 cv. sub. notes (Ba3).......... 1,023,750
1,500,000 Charming Shoppes, Inc. 1.125%, due 2014 sr. cv notes (BB-)
(Acquired 05/02/07 - 05/03/07; Cost $1,491,125) (2)........... 1,351,875
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2,375,625
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Semiconductors -- 6.6%
2,000,000 Agere Systems Inc. 6.5%, due 2009 cv. sub. notes (B1)
(exchangeable for LSI Corp.).................................. 2,042,500
1,500,000 Cypress Semiconductor Corp. 1%, due 2009 cv. sr. notes (B-).... 1,665,000
2,000,000 Fairchild Semiconductor Corp. 5%, due 2008
cv. sr. sub. notes (B)
(exchangeable into Fairchild Semiconductor
International, Inc. common stock)............................ 1,990,000
2,000,000 Intel Corp. 2.95%, due 2035 jr. sub. cv. deb. (A-) (1)......... 1,917,500
1,000,000 LSI Corp. 4%, due 2010 cv. sub. notes (B+)..................... 973,750
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8,588,750
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Page 2
ELLSWORTH FUND LTD.---------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS June 30, 2007 (continued)--------------------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- continued
Telecommunications -- 2.6%
$1,000,000 Anixter International, Inc. 1%, due 2013 sr. cv. notes (BB-)... $ 1,291,250
1,000,000 Equinix, Inc. 2.5%, due 2012 cv. sub. notes (NR)............... 1,045,000
1,000,000 SAVVIS, Inc. 3%, due 2012 cv. sr. notes (NR)................... 1,020,000
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3,356,250
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Transportation -- 1.5%
2,000,000 ExpressJet Holdings, Inc. 4.25%, due 2023 cv. notes (NR)....... 1,950,000
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TOTAL CONVERTIBLE BONDS AND NOTES.............................. $ 83,105,382
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CORPORATE BONDS AND NOTES -- 1.2%
Retail -- 1.2%
1,500,000 Amerivon Holdings LLC 4%, due 2010 units
with corporate note and warrants attached (NR)
(Acquired 06/01/07; Cost $1,500,000) (2)...................... 1,500,000
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Shares
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CONVERTIBLE PREFERRED STOCKS -- 11.3%
Aerospace and Defense -- 0.4%
40,000 Ionatron, Inc. 6.5% Series A redeemable cv. pfd. (NR)
(Acquired 10/27/05; Cost $1,000,000) (2)...................... 460,000
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Banking/Savings and Loan -- 3.8%
54,178 New York Community Bancorp, Inc. 6% BONUSES units (Baa1)....... 2,591,876
20,000 Sovereign Capital Trust IV 4.375% PIERS (Baa1)
(exchangeable for Sovereign Bancorp, Inc. common stock) (1)... 932,500
25,000 Washington Mutual Capital Trust 5.375% PIERS units (BBB)
(exchangeable for Washington Mutual, Inc. common stock)....... 1,399,750
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4,924,126
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Chemicals -- 3.1%
80,000 Celanese Corp. 4.25% cv. perpetual pfd. (NR)................... 4,012,800
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Energy -- 1.6%
20,000 Chesapeake Energy Corp. 4.5% cum. cv. pfd. (B+)................ 2,010,000
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Insurance -- 1.9%
75,000 Citigroup Funding Inc. variable rate exch. notes (Aa1)
(exchangeable for Genworth Financial, Inc. common stock)...... 2,406,750
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Telecommunications -- 0.6%
100 Medis Technologies Ltd 7.25%
Series A cum. cv. perpetual pfd. (NR).......................... 775,279
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TOTAL CONVERTIBLE PREFERRED STOCKS............................. $ 14,588,955
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Page 3
ELLSWORTH FUND LTD.---------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS June 30, 2007 (continued)--------------------------------------
Value
Shares (Note 1)
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MANDATORY CONVERTIBLE SECURITIES -- 18.9% (3)
Chemicals -- 1.5%
40,000 Huntsman Corp. 5% mandatory cv. pfd., due 02/16/08 (NR)........ $ 1,960,000
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Consumer Goods -- 1.3%
1,500 The Stanley Works floating rate equity units, due 05/17/12 (A2) 1,665,570
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Energy -- 2.2%
40,000 Bristow Group Inc. 5.5% mandatory cv. pfd., due 09/15/09 (B)... 2,552,000
1,000 Chesapeake Energy Corp. 6.25% mandatory cv. pfd.,
due 06/15/09 (B+)............................................. 287,250
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2,839,250
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Finance -- 1.0%
25,500 Morgan Stanley, Inc. 5.875% mandatorily exchangeable
securities, due 10/15/08 (Aa3)
(exchangeable for Nuveen Investments, Inc. common stock)...... 1,348,440
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Financial Services -- 1.5%
70,000 E*TRADE Financial Corp. 6.125% equity units, due 11/18/08 (Ba3) 1,954,400
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Foods -- 0.8%
40,000 Lehman Brothers Holdings Inc. 6.25% PIES, due 10/15/07 (A1)
(exchangeable for General Mills, Inc. common stock)........... 1,082,400
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Pharmaceuticals -- 1.4%
42,008 NATIXIS Financial Products Inc. 8.1% mandatory trigger
exchangeable notes, due 12/05/07 (NR)
(exchangeable for Sepracor Inc. common stock)
(Acquired 05/23/07; Cost $2,000,000) (2)...................... 1,769,146
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Insurance -- 5.2%
7,000 Alleghany Corp. 5.75% mandatory cv. pfd., due 06/15/09 (BBB-).. 2,632,000
80,000 MetLife, Inc. 6.375% common equity units, due 08/15/08 (BBB+).. 2,588,000
52,500 XL Capital, Ltd. 7% equity security units, due 02/15/09 (A3)... 1,542,450
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6,762,450
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Minerals and Mining -- 3.1%
20,000 Freeport-McMoRan Copper & Gold Inc. 6.75% mandatory cv. pfd.,
due 05/01/10 (B+)............................................. 2,570,000
20,000 Vale Capital Ltd. 5.5% mandatorily convertible notes,
due 06/15/10 (NR)
(exchangeable for ADSs representing Companhia Vale Do Rio Doce
common stock)................................................ 978,200
10,000 Vale Capital Ltd. 5.5% mandatorily convertible notes,
due 06/15/10 (NR)
(exchangeable for ADSs representing Companhia Vale Do Rio Doce
Preference A Shares)......................................... 492,000
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4,040,200
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Telecommunications -- 0.8%
14,000 Credit Suisse Securities (USA), Inc. 5.5% SAILS,
due 11/15/08 (Aa1)
(exchangeable for Equinix, Inc. common stock)................. 1,090,880
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TOTAL MANDATORY CONVERTIBLE SECURITIES (3)..................... $ 24,512,736
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PAGE 4
ELLSWORTH FUND LTD.---------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS June 30, 2007 (continued)--------------------------------------
Value
Shares (Note 1)
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COMMON STOCKS -- 1.6%
Multi-Industry -- 1.6%
100,000 LSB Industries, Inc. (4)....................................... $ 2,140,000
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Principal
Amount SHORT-TERM SECURITIES -- 4.4%
Commercial Paper -- 4.4%
$5,700,000 American Express Credit Corp. 5.26%, due 07/02/07 (P1)......... 5,696,669
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Total Convertible Bonds and Notes -- 64.1%..................... $ 83,105,382
Total Corporate Bonds and Notes -- 1.2%........................ 1,500,000
Total Convertible Preferred Stocks -- 11.3%.................... 14,588,955
Total Mandatory Convertible Securities -- 18.9%................ 24,512,736
Total Common Stocks -- 1.6%.................................... 2,140,000
Total Short-Term Securities -- 4.4%............................ 5,696,669
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Total Investments -- 101.5%.................................... 131,543,742
Other assets and liabilities, net -- (1.5)%.................... (1,957,106)
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Total Net Assets -- 100.0%..................................... $129,586,636
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(1) Contingent payment debt instrument which accrues contingent interest.
See Note 2.
(2) Security not registered under the Securities Act of 1933, as amended
(i.e., 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, 2007 was $15,288,784 which represented 11.8% of
the Fund's net assets.
(3) 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.
(4) Non-income producing security.
ADR American Depositary Receipts.
ADS American Depositary Shares.
BONUSES Bifurcated Option Note Unit Securities.
PIES Premium Income Exchangeable Securities.
PIERS Preferred Income Equity Redeemable Securities.
SAILS Shared Appreciation Income Linked Securities.
Ratings in parentheses by Moody's Investors Service, Inc. or Standard & Poor's.
NR is used whenever a rating is unavailable.
Summary of Portfolio Ratings:
% of
Portfolio
Aa 11
A 16
Baa 17
Ba 7
B 19