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 B. King, Esq.
Ballard Spahr Andrews & Ingersoll, 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, 2008
Date of reporting period: December 31, 2007
ITEM 1. SCHEDULE OF INVESTMENTS.
ELLSWORTH FUND LTD.---------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS December 31, 2007 (unaudited)----------------------------------
Principal Value
Amount (Note 1)
---------- ------------
CONVERTIBLE BONDS AND NOTES -- 62.2%
Aerospace and Defense -- 4.2%
$1,500,000 AAR Corp. 1.75%, due 2026 cv. sr. notes (BB)................................... $ 2,158,125
1,000,000 Alliant Techsystems Inc. 2.75%, due 2011 cv. sr. sub. notes (B1)............... 1,323,750
1,500,000 DRS Technologies, Inc. 2%, due 2026 cv. sr. notes (B1).........................
(Acquired 01/30/06 - 05/16/07; Cost $1,647,761) (1,2)......................... 1,636,875
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5,118,750
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Agriculture -- 1.9%
2,000,000 Merrill Lynch & Co., Inc. 1.5%, due 2012 cv. securities (A1)
(exchangeable into Archer-Daniels-Midland Co. common stock)
(Acquired 02/23/07; Cost $2,059,933) (1,2).................................... 2,326,700
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Banking/Savings and Loan -- 0.8%
1,000,000 PrivateBancorp, Inc. 3.625%, due 2027 cv. sr. notes (NR)....................... 967,500
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Computer Hardware -- 5.5%
1,000,000 C&D Technologies, Inc. 5.25%, due 2025 cv. sr. notes (NR)...................... 1,050,000
2,000,000 Credit Suisse, New York Branch 14.00%, due 2008 equity-linked notes (NR)
(exchangeable for Corning Inc. common stock).................................. 1,999,400
1,000,000 EMC Corp. 1.75%, due 2011 cv. sr. notes (BBB+)................................. 1,356,250
1,000,000 EMC Corp. 1.75%, due 2013 cv. sr. notes (BBB+)................................. 1,376,250
1,000,000 Richardson Electronics, Ltd. 8%, due 2011 cv. sr. sub. notes (NR).............. 994,000
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6,775,900
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Computer Software -- 3.1%
1,000,000 Blackboard Inc. 3.25%, due 2027 cv. sr. notes (B-)............................. 1,050,000
1,000,000 GSI Commerce, Inc. 2.5%, due 2027 cv. sr. notes (NR)........................... 955,000
1,500,000 Lehman Brothers Holdings Inc. 1%, due 2009 medium-term notes (A1)
(performance linked to Microsoft Corp. common stock) (1)...................... 1,791,300
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3,796,300
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Consumer Goods -- 2.5%
1,500,000 Chattem, Inc. 1.625%, due 2014 cv. sr. notes (NR).............................. 1,781,250
750,000 Church & Dwight Co., Inc. 5.25%, due 2033 cv. sr. deb. (Ba1)................... 1,322,813
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3,104,063
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Energy -- 6.7%
1,000,000 Cameron International Corp. 2.50%, due 2026 cv. sr. notes (Baa1)............... 1,545,000
1,000,000 Canadian Solar Inc. 6%, due 2017 cv. sr. notes (NR)
(Acquired 12/04/07; Cost $1,000,000) (2)...................................... 1,424,600
1,500,000 Covanta Holding Corp. 1%, due 2027 sr. cv. deb. (B1) (1)....................... 1,680,000
1,325,000 Oil States International, Inc. 2.375%, due 2025 contingent cv. sr. notes (NR).. 1,712,563
1,250,000 Rentech, Inc. 4%, due 2013 cv. sr. notes (NR).................................. 900,000
1,000,000 USEC Inc. 3%, due 2014 cv. sr. notes (CCC)..................................... 982,500
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8,244,663
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Financial Services -- 1.7%
2,000,000 Euronet Worldwide, Inc. 3.50%, due 2025 cv. deb. (B+) (1)...................... 2,085,000
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Foods -- 1.8%
500,000 The Great Atlantic & Pacific Tea Company, Inc. 5.125%,
due 2011 cv. sr. notes (Caa1)................................................. 535,000
1,500,000 The Great Atlantic & Pacific Tea Company, Inc. 6.75%,
due 2012 cv. sr. notes (Caa1)................................................. 1,614,375
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2,149,375
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Page 1
ELLSWORTH FUND LTD.---------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS December 31, 2007 (continued)----------------------------------
Principal Value
Amount (Note 1)
---------- ------------
CONVERTIBLE BONDS AND NOTES -- continued
Health Care -- 2.3%
$1,000,000 Omnicare, Inc. 3.25%, due 2035 cv. sr. deb. (B2) (1)........................... $ 733,750
1,000,000 SonoSite Inc. 3.75%, due 2014 cv. sr. notes (NR)............................... 1,116,250
1,000,000 St. Jude Medical, Inc. 1.22%, due 2008 cv. sr. deb. (BBB+)..................... 1,007,500
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2,857,500
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Insurance -- 3.2%
3,000,000 Prudential Financial, Inc. floating rate, due 2036 cv. sr. notes (A3).......... 3,004,800
1,000,000 Prudential Financial, Inc. floating rate, due 2037 cv. sr. notes (A3)
(Acquired 12/07/07; Cost $988,750) (2)........................................ 975,300
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3,980,100
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Media and Entertainment -- 2.3%
2,500,000 The Walt Disney Company 2.125%, due 2023 cv. sr. notes (A2).................... 2,862,500
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Minerals and Mining -- 1.0%
1,000,000 Newmont Mining Corp. 1.25%, due 2014 cv. sr. notes (BBB+)...................... 1,257,500
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Multi-Industry -- 3.6%
750,000 Diversa Corp. 5.5%, due 2027 cv. sr. notes (NR)
(exchangeable for Verenium Corp. common stock)................................ 656,250
3,000,000 LSB Industries, Inc. 5.5%, due 2012 cv. sr. sub. deb. (NR)
(Acquired 06/28/07 - 09/13/07; Cost $3,037,813) (2)........................... 3,712,500
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4,368,750
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Pharmaceuticals -- 6.3%
3,000,000 Bristol-Myers Squibb Co. floating rate, due 2023 cv. sr. deb. (A2)............. 3,022,500
1,000,000 Mylan Inc. 1.25%, due 2012 sr. cv. notes (B)................................... 912,500
1,500,000 Teva Pharmaceutical Finance Co. B.V. 1.75%, due 2026 cv. sr. deb. (Baa2)
(exchangeable for Teva Pharmaceutical Industries Ltd. ADR).................... 1,672,500
2,000,000 Wyeth floating rate, due 2024 cv. sr. deb. (A3)................................ 2,120,080
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7,727,580
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Real Estate -- 0.8%
1,000,000 ProLogis 2.25%, due 2037 cv. sr. notes (BBB+)
(Acquired 03/20/07 - 04/16/07; Cost $982,038) (2)............................. 990,000
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Semiconductors -- 6.3%
2,000,000 Agere Systems Inc. 6.5%, due 2009 cv. sub. notes (B+)
(exchangeable for LSI Corp.).................................................. 2,027,500
1,000,000 Cypress Semiconductor Corp. 1%, due 2009 cv. sr. notes (NR).................... 1,612,500
2,000,000 Fairchild Semiconductor Corp. 5%, due 2008 cv. sr. sub. notes (B)
(exchangeable into Fairchild Semiconductor International, Inc. common stock).. 1,977,500
2,000,000 Intel Corp. 2.95%, due 2035 jr. sub. cv. deb. (A-) (1)......................... 2,167,500
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7,785,000
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Telecommunications -- 5.6%
500,000 ADC Telecommunications Inc. 3.50%, due 2015 cv. sub. notes (NR)................ 511,563
1,000,000 ADC Telecommunications Inc. 3.50%, due 2017 cv. sub. notes (NR)................ 1,017,500
1,000,000 Anixter International Inc. 1%, due 2013 sr. cv. notes (BB-).................... 1,146,250
2,000,000 Equinix, Inc. 2.5%, due 2012 cv. sub. notes (CCC+)............................. 2,262,500
1,000,000 General Cable Corp. 1%, due 2012 sr. cv. notes (B1)............................ 1,131,250
1,000,000 SAVVIS, Inc. 3%, due 2012 cv. sr. notes (NR)................................... 842,500
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6,911,563
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Page 2
ELLSWORTH FUND LTD.---------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS December 31, 2007 (continued)----------------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- continued
Transportation -- 1.6%
$2,000,000 ExpressJet Holdings, Inc. 4.25%, due 2023 cv. notes (NR)....................... $ 1,930,000
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Travel and Leisure -- 0.8%
1,000,000 Morgans Hotel Group 2.375%, due 2014 sr. sub. cv notes (NR)
(Acquired 10/11/07 - 10/12/07; Cost $1,026,250) (2)........................... 947,500
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TOTAL CONVERTIBLE BONDS AND NOTES.............................................. $ 76,186,244
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CORPORATE BONDS AND NOTES -- 1.2%
Retail -- 1.2%
1,500,000 Amerivon Holdings LLC 4%, due 2010 units (NR)
(Acquired 06/01/07; Cost $1,500,000) (2,3).................................... 1,500,000
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Shares
CONVERTIBLE PREFERRED STOCKS -- 9.2%
Aerospace and Defense -- 0.3%
40,000 Ionatron, Inc. 6.5% series A redeemable cv. pfd. (NR)
(Acquired 10/27/05; Cost $1,000,000) (2)...................................... 340,000
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Banking/Savings and Loan -- 3.4%
54,178 New York Community Bancorp, Inc. 6% BONUSES units (Baa1)....................... 2,595,126
20,000 Sovereign Capital Trust IV 4.375% PIERS (Baa1)
(exchangeable for Sovereign Bancorp, Inc. common stock) (1) 662,500
1,100 Washington Mutual, Inc. 7.75% series R non-cumulative perpetual cv. pfd. (NR). 947,375
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4,205,001
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Chemicals -- 1.8%
40,000 Celanese Corp. 4.25% cv. perpetual pfd. (NR)................................... 2,181,600
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Energy -- 3.1%
22,800 Chesapeake Energy Corp. 4.5% cum. cv. pfd. (B+)................................ 2,559,300
20,000 PetroQuest Energy, Inc. 6.875% cum. cv. perpetual pfd. (NR).................... 1,201,500
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3,760,800
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Telecommunications -- 0.6%
100 Medis Technologies Ltd. 7.25% series A cum. cv. perpetual pfd. (NR)............ 778,038
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TOTAL CONVERTIBLE PREFERRED STOCKS............................................. $ 11,265,439
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Page 3
ELLSWORTH FUND LTD.---------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS December 31, 2007 (continued)----------------------------------
Value
Shares (Note 1)
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MANDATORY CONVERTIBLE SECURITIES -- 24.6% (4)
Consumer Goods -- 2.6%
30,000 Avery Dennison Corp. 7.875%, due 11/15/10 mandatory cv. pfd. (NR).............. $ 1,571,100
1,750 The Stanley Works floating rate, due 05/17/12 equity units (A2)................ 1,572,156
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3,143,256
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Energy -- 7.4%
40,000 Bristow Group Inc. 5.5%, due 09/15/09 mandatory cv. pfd. (B)................... 2,841,600
10,000 McMoRan Exploration Co. 6.75%, due 11/15/10 mandatory cv. pfd. (NR)............ 1,038,500
2,000 Merrill Lynch & Co., Inc. 5.4%, due 09/27/10 PRIDES (A+)
(linked to the performance of ConocoPhillips common stock).................... 1,962,920
41,135 Merrill Lynch & Co., Inc. 12%, due 06/27/08 capped appreciation notes (NR)
(linked to the performance of Tesoro Corp. common stock)...................... 1,896,529
45,950 NATIXIS Financial Products Inc. 9.55%, due 01/26/08
mandatory trigger exchangeable notes (NR)
(exchangeable for Nabors Industries, Inc. common stock)
(Acquired 07/23/07; Cost $1,500,268) (2)...................................... 1,285,382
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9,024,931
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Foods -- 1.0%
50,000 Lehman Brothers Holdings Inc. 6%, due 10/12/10 PIES (A1)
(exchangeable for General Mills, Inc. common stock)........................... 1,231,000
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Health Care -- 1.2%
33,950 NATIXIS Financial Products Inc. 9%, due 04/22/08
mandatory trigger exchangeable notes (NR)
(exchangeable for St. Jude Medical, Inc. common stock)
(Acquired 10/17/07; Cost $1,533,182) (2)...................................... 1,446,932
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Insurance -- 5.3%
4,000 Alleghany Corp. 5.75%, due 06/15/09 mandatory cv. pfd. (BBB-).................. 1,450,520
75,000 Citigroup Funding Inc. variable rate, due 09/27/08 exchangeable notes (Aa3)
(exchangeable for Genworth Financial, Inc. common stock)...................... 1,883,250
70,000 MetLife, Inc. 6.375%, due 08/15/08 common equity units (BBB+).................. 2,142,000
52,500 XL Capital Ltd. 7%, due 02/15/09 equity security units (A3).................... 1,003,275
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6,479,045
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Minerals and Mining -- 4.6%
20,000 Freeport-McMoRan Copper & Gold Inc. 6.75%, due 05/01/10
mandatory cv. pfd. (B+)....................................................... 3,015,400
30,000 Vale Capital Ltd. 5.5%, due 06/15/10 mandatory convertible notes (NR)
(exchangeable for Companhia Vale do Rio Doce ADS)............................. 1,918,500
10,000 Vale Capital Ltd. 5.5%, due 06/15/10 mandatory convertible notes (NR)
(exchangeable for Companhia Vale do Rio Doce Preference A Shares ADS)......... 647,800
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5,581,700
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Pharmaceuticals -- 2.7%
1,000 Mylan Inc. 6.5%, due 11/15/10 mandatory cv. pfd. (B-).......................... 1,017,490
9,500 Schering-Plough Corp. 6%, due 08/13/10 mandatory cv. pfd. (Baa3)............... 2,293,775
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3,311,265
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TOTAL MANDATORY CONVERTIBLE SECURITIES (4)..................................... $ 30,218,129
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Page 4
ELLSWORTH FUND LTD.---------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS December 31, 2007 (continued)----------------------------------
Value
Shares (Note 1)
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COMMON STOCKS -- 0.6%
Banking/Savings and Loan -- 0.6%
20,000 Wachovia Corp.................................................................. $ 760,600
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Principal
Amount
SHORT-TERM SECURITIES -- 1.2%
Commercial Paper -- 1.2%
$1,500,000 American Express Credit Corp. 4%, due 01/04/08 (P1)............................ 1,499,333
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Total Convertible Bonds and Notes -- 62.2%..................................... $ 76,186,244
Total Corporate Bonds and Notes -- 1.2%........................................ 1,500,000
Total Convertible Preferred Stocks -- 9.2%..................................... 11,265,439
Total Mandatory Convertible Securities -- 24.6%................................ 30,218,129
Total Common Stocks -- 0.6%.................................................... 760,600
Total Short-Term Securities -- 1.2%............................................ 1,499,333
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Total Investments -- 99.0%..................................................... 121,429,745
Other assets and liabilities, net -- 1.0%...................................... 1,215,102
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Total Net Assets -- 100.0%..................................................... $122,644,847
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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 Regulation D
transaction). The security may be resold only pursuant to an exemption
from registration under the Securities Act of 1933, 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, 2007 was $16,585,789 which represented
13.5% of the Fund's net assets.
(3) Investment is a restricted security, 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. The fair value of
this security represented 1.2% of the Fund's net assets.
(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.
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.
PRIDES Preferred Redeemable Income Dividend Equity 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 2
A 20
Baa 15
Ba 4
B 20
Caa 4
NR 34
Common Stock 1
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
Page 5
ELLSWORTH FUND LTD.-------------------------------------------------------------
SELECTED NOTES TO FINANCIAL STATEMENTS (UNAUDITED)------------------------------
Ellsworth Fund Ltd. (established in 1986) (the "Fund"), is registered under the
Investment Company Act of 1940 as a diversified, closed-end management
investment company.
Note 1. Security Valuation - Investments in securities traded on a national
securities exchange are valued at market using the last reported sales
price 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, or, if an evaluated quote is unavailable, such
securities are valued using prices received from dealers, provided that if the
dealer supplies both bid and asked prices, the price to be used is the mean of
the bid and asked prices. The independent pricing service derives an evaluated
quote by obtaining dealer quotes, analyzing the listed markets, reviewing
trade execution data and employing sensitivity analysis. Evaluated quotes may
also reflect appropriate factors such as individual characteristics of the
issue, communications with broker-dealers, and other market data. Securities
for which quotations are not readily available, restricted securities and other
assets are valued at fair value as determined in good faith pursuant to
procedures approved by the Board of Trustees. Short-term debt securities with
original maturities of 60 days or less are valued at amortized cost.
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 December 31, 2007 unrealized appreciation (depreciation) of investment
securities on a tax basis were as follows:
Unrealized appreciation $ 11,387,034
Unrealized depreciation (5,357,548)
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Net unrealized appreciation 6,029,486
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Cost for federal income tax purposes $115,799,810
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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 27, 2008 based on the
evaluation of these controls and procedures required by Rule 30a-3(b)
under the Act and Rule 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
Act, 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 29, 2008
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: February 29, 2008
By: /s/Gary I. Levine
Gary I. Levine
Chief Financial Officer
(Principal Financial Officer)
Date: February 29, 2008