UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 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 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, 2014
Date of reporting period: December 31, 2013
ITEM 1. SCHEDULE OF INVESTMENTS.
Ellsworth Fund Ltd. - Schedule of Investments - unaudited
December 31, 2013
| Principal | Value | |||||||
| Amount | (Note 1) | |||||||
| Convertible Bonds and Notes - 63.5% | ||||||||
| Airlines - 1.4% | ||||||||
| Hawaiian Holdings, Inc., 5.00%, Due 3/15/16, (BBB) | $ | 1,375,000 | $ | 1,868,281 | ||||
| Biotechnology - 8.1% | ||||||||
| Array BioPharma Inc., 3.00%, Due 6/1/20, (BBB) | 250,000 | 260,938 | ||||||
| Cubist Pharmaceuticals, Inc., 1.125%, Due 9/1/18, (A) (1) | 550,000 | 634,219 | ||||||
| Cubist Pharmaceuticals, Inc., 1.875%, Due 9/1/20, (A) (1) | 550,000 | 630,094 | ||||||
| Exelixis, Inc., 4.25%, Due 8/15/19, (BBB) | 500,000 | 614,688 | ||||||
| Gilead Sciences, Inc., 1.00%, Due 5/1/14, (A) | 750,000 | 2,493,750 | ||||||
| Gilead Sciences, Inc., 1.625%, Due 5/1/16, (A) | 1,000,000 | 3,300,005 | ||||||
| Incyte Corp., 0.375%, Due 11/15/18, (A) (1) | 350,000 | 420,219 | ||||||
| Incyte Corp., 1.25%, Due 11/15/20, (A) (1) | 350,000 | 426,344 | ||||||
| Merrimack Pharmaceuticals, Inc., 4.50%, Due 7/15/20, (BB) | 500,000 | 518,750 | ||||||
| OPKO Health Inc., 3.00%, Due 2/1/33, (BBB) (1) | 400,000 | 523,750 | ||||||
| Regeneron Pharmaceuticals, Inc., 1.875%, Due 10/1/16, (AA) | 250,000 | 820,469 | ||||||
| 10,643,226 | ||||||||
| Capital Markets - 2.0% | ||||||||
| BlackRock Kelso Capital Corp., 5.50%, Due 2/15/18, (BBB) | 1,500,000 | 1,541,250 | ||||||
| FXCM Inc., 2.25%, Due 6/15/18, (AA) | 1,000,000 | 1,130,000 | ||||||
| 2,671,250 | ||||||||
| Chemicals - 0.2% | ||||||||
| RPM International Inc., 2.25%, Due 12/15/20, (BBB) | 250,000 | 277,969 | ||||||
| Communications Equipment - 2.1% | ||||||||
| Finisar Corp., 5.00%, Due 10/15/29, (NR) | 75,000 | 171,188 | ||||||
| Ixia, 3.00%, Due 12/15/15, (A) | 500,000 | 541,250 | ||||||
| Infinera Corp., 1.75%, Due 6/1/18, (A) (1) | 750,000 | 807,656 | ||||||
| InterDigital, Inc., 2.50%, Due 3/15/16, (A) | 1,250,000 | 1,277,344 | ||||||
| 2,797,438 | ||||||||
| Computers & Peripherals - 0.8% | ||||||||
| SanDisk Corp., 1.50%, Due 8/15/17, (BB) | 750,000 | 1,109,062 | ||||||
| Construction & Engineering - 0.4% | ||||||||
| Layne Christensen Co., 4.25%, Due 11/15/18, (A) (1) | 500,000 | 501,562 | ||||||
| Consumer Finance - 2.6% | ||||||||
| DFC Global Corp., 3.25%, Due 4/15/17, (B) | 1,250,000 | 1,121,875 | ||||||
| Encore Capital Group, Inc., 3.00%, Due 11/27/17, (BBB) | 500,000 | 840,000 | ||||||
| Encore Capital Group, Inc., 3.00%, Due 7/1/20, (BBB) (1) | 750,000 | 946,406 | ||||||
| Portfolio Recovery Associates, Inc., 3.00%, Due 8/1/20, (AA) (1) | 500,000 | 550,312 | ||||||
| 3,458,593 | ||||||||
| Diversified Consumer Services - 0.4% | ||||||||
| Ascent Capital Group, Inc., 4.00%, Due 7/15/20, (A) | 500,000 | 535,312 | ||||||
| Diversified Telecommunications Services - 1.2% | ||||||||
| Alaska Communications Systems Group, Inc., 6.25%, Due 5/1/18, (BB) | 1,000,000 | 830,000 | ||||||
| Liberty Media Corp., 1.375%, Due 10/15/23, (AA) (1) | 750,000 | 750,469 | ||||||
| 1,580,469 | ||||||||
| Electrical Equipment - 0.2% | ||||||||
| SolarCity Corp., 2.75%, Due 11/1/18, (BBB) | 250,000 | 297,031 | ||||||
| Electronic Equipment Instruments - 0.7% | ||||||||
| InvenSense, Inc., 1.75%, Due 11/1/18, (AA) (1) | 750,000 | 877,031 | ||||||
Ellsworth Fund Ltd. - Schedule of Investments - continued
December 31, 2013
| Principal | Value | |||||||
| Amount | (Note 1) | |||||||
| Convertible Bonds and Notes - continued | ||||||||
| Energy Equipment & Services - 1.8% | ||||||||
| Bristow Group Inc., 3.00%, Due 6/15/38, (BB) | $ | 1,155,000 | $ | 1,422,094 | ||||
| Hornbeck Offshore Services, Inc., 1.50%, Due 9/1/19, (BB) | 750,000 | 894,375 | ||||||
| 2,316,469 | ||||||||
| Food Products - 0.5% | ||||||||
| Chiquita Brands International, 4.25%, Due 8/15/16, (CCC) | 700,000 | 682,500 | ||||||
| Health Care Equipment & Supplies - 0.6% | ||||||||
| Insulet Corp., 3.75%, Due 6/15/16, (A) | 500,000 | 736,875 | ||||||
| Health Care Providers & Services - 1.0% | ||||||||
| Molina Healthcare Inc., 1.125%, Due 1/15/20, (A) (1) | 1,250,000 | 1,320,312 | ||||||
| Health Care Technology - 0.6% | ||||||||
| Allscripts Healthcare Solutions, Inc., 1.25%, Due 7/1/20, (A) (1) | 750,000 | 844,688 | ||||||
| Hotels, Restaurants & Leisure - 1.0% | ||||||||
| MGM Resorts International, 4.25%, Due 4/15/15, (B) | 1,000,000 | 1,377,500 | ||||||
| Household Durables - 1.4% | ||||||||
| Jarden Corp., 1.875%, Due 9/15/18, (BB) | 1,250,000 | 1,779,750 | ||||||
| Insurance - 0.7% | ||||||||
| AmTrust Financial Services, Inc., 5.50%, Due 12/15/21, (A) | 750,000 | 980,156 | ||||||
| Internet & Catalog Retail - 2.6% | ||||||||
| Move, Inc., 2.75%, Due 9/1/18, (A) (1) | 500,000 | 565,625 | ||||||
| Priceline.com Inc., 1.00%, Due 3/15/18, (BBB) | 1,700,000 | 2,352,375 | ||||||
| Shutterfly, Inc., 0.25%, Due 5/15/18, (A) (1) | 500,000 | 537,188 | ||||||
| 3,455,188 | ||||||||
| Internet Software & Services - 2.2% | ||||||||
| CardTronics, Inc., 1.00%, Due 12/1/20, (A) | 250,000 | 249,845 | ||||||
| Equinix, Inc., 3.00%, Due 10/15/14, (B) | 1,000,000 | 1,582,500 | ||||||
| Web.com Group, Inc., 1.00%, Due 8/15/18, (A) | 1,000,000 | 1,127,500 | ||||||
| 2,959,845 | ||||||||
| IT Services - 0.9% | ||||||||
| CSG Systems International, Inc., 3.00%, Due 3/1/17, (AA) | 900,000 | 1,209,938 | ||||||
| Life Science Tools & Services - 0.8% | ||||||||
| Illumina, Inc., 0.25%, Due 3/15/16, (AA) (1) | 750,000 | 1,043,906 | ||||||
| Machinery - 0.9% | ||||||||
| Chart Industries, Inc., 2.00%, Due 8/1/18, (B) | 750,000 | 1,162,031 | ||||||
| Metals & Mining - 3.0% | ||||||||
| A.M. Castle & Co., 7.00%, Due 12/15/17, (BBB) | 400,000 | 647,520 | ||||||
| Kaiser Aluminum Corp., 4.50%, Due 4/1/15, (BB) | 1,000,000 | 1,490,625 | ||||||
| Northgate Minerals Corp., 3.50%, Due 10/1/16, (NR) | ||||||||
| (convertible into AuRico Gold Inc. common shares) | 600,000 | 577,500 | ||||||
| RTI International Metals, Inc., 3.00%, Due 12/1/15, (A) | 600,000 | 682,875 | ||||||
| RTI International Metals, Inc., 1.625%, Due 10/15/19, (A) | 500,000 | 527,812 | ||||||
| 3,926,332 | ||||||||
Ellsworth Fund Ltd. - Schedule of Investments - continued
December 31, 2013
| Principal | Value | |||||||
| Amount | (Note 1) | |||||||
| Convertible Bonds and Notes - continued | ||||||||
| Oil, Gas & Consumable Fuels - 1.6% | ||||||||
| Clean Energy Fuels Corp., 5.25%, Due 10/1/18, (BBB) (1) | $ | 500,000 | $ | 511,250 | ||||
| Goodrich Petroleum Corp., 5.00%, Due 10/1/32, (CCC) | 992,000 | 1,014,320 | ||||||
| Ship Finance International Ltd., 3.25%, Due 2/1/18, (B) | 500,000 | 523,750 | ||||||
| 2,049,320 | ||||||||
| Pharmaceuticals - 2.0% | ||||||||
| Mylan Inc., 3.75%, Due 9/15/15, (BBB) | 500,000 | 1,641,875 | ||||||
| Salix Pharmaceuticals, Ltd., 2.75%, Due 5/15/15, (B) | 300,000 | 591,750 | ||||||
| Salix Pharmaceuticals, Ltd., 1.50%, Due 3/15/19, (B) | 300,000 | 448,688 | ||||||
| 2,682,313 | ||||||||
| Real Estate Investment Trusts - 3.0% | ||||||||
| American Realty Capital Properties, Inc., 3.00%, Due 8/1/18, (A) | 1,000,000 | 1,000,625 | ||||||
| Colony Financial, Inc., 5.00%, Due 4/15/23, (AA) | 1,250,000 | 1,286,719 | ||||||
| IAS Operating Partnership LP, 5.00%, Due 3/15/18, (NR) | ||||||||
| (exchangeable for Invesco Mortgage Capital Inc. common stock) | 500,000 | 461,562 | ||||||
| Lexington Realty Trust, 6.00%, Due 1/15/30, (BBB) | 500,000 | 758,750 | ||||||
| RAIT Financial Trust, 4.00%, Due 10/1/33, (BBB) | 500,000 | 497,500 | ||||||
| 4,005,156 | ||||||||
| Real Estate Management - 0.8% | ||||||||
| Forest City Enterprises, Inc., 3.625%, Due 8/15/20, (B) (1) | 1,000,000 | 1,023,750 | ||||||
| Semiconductors & Semiconductor Equipment - 7.6% | ||||||||
| GT Advanced Technologies Inc., 3.00%, Due 10/1/17, (BBB) | 500,000 | 687,812 | ||||||
| GT Advanced Technologies Inc., 3.00%, Due 12/15/20, (BBB) | 350,000 | 356,125 | ||||||
| Intel Corp., 2.95%, Due 12/15/35, (A) (2) | 1,150,000 | 1,290,875 | ||||||
| Micron Technology, Inc., 3.125%, Due 5/1/32, (BB) | 500,000 | 1,140,938 | ||||||
| Micron Technology, Inc., 3.00%, Due 11/15/43, (BB) | 750,000 | 742,031 | ||||||
| NVIDIA Corp., 1.00%, Due 12/1/18, (BB) (1) | 500,000 | 514,375 | ||||||
| Photronics, Inc., 3.25%, Due 4/1/16, (A) | 1,000,000 | 1,153,750 | ||||||
| ReneSola Ltd., 4.125%, Due 3/15/18, (BB) | 250,000 | 197,825 | ||||||
| Rudolph Technologies Inc., 3.75%, Due 7/15/16, (A) | 500,000 | 573,750 | ||||||
| Spansion LLC, 2.00%, Due 9/1/20, (B) (1) | 500,000 | 585,312 | ||||||
| SunEdison, Inc., 2.75%, Due 1/1/21, (BB) (1) | 500,000 | 559,700 | ||||||
| SunPower Corp., 4.50%, Due 3/15/15, (BBB) | 1,000,000 | 1,405,625 | ||||||
| Xilinx, Inc., 2.625%, Due 6/15/17, (A) | 500,000 | 800,000 | ||||||
| 10,008,118 | ||||||||
| Software - 6.3% | ||||||||
| Bottomline Technologies, Inc., 1.50%, Due 12/1/17, (A) | 750,000 | 1,008,750 | ||||||
| Concur Technologies, Inc., 0.50%, Due 6/15/18, (A) | 375,000 | 436,172 | ||||||
| Mentor Graphics Corp., 4.00%, Due 4/1/31, (AA) | 1,000,000 | 1,334,375 | ||||||
| NQ Mobile Inc., 4.00%, Due 10/15/18, (BB) (1) | 500,000 | 352,500 | ||||||
| Nuance Communications, Inc., 2.75%, Due 8/15/27, (BB) | 2,000,000 | 2,101,250 | ||||||
| Proofpoint, Inc., 1.25%, Due 12/15/18, (AA) (1) | 650,000 | 704,031 | ||||||
| Take-Two Interactive Software, Inc., 1.75%, Due 12/1/16, (A) | 1,250,000 | 1,448,438 | ||||||
| TeleCommunication Systems, Inc., 7.75%, Due 6/30/18, (BBB) | 1,000,000 | 970,000 | ||||||
| 8,355,516 | ||||||||
| Textiles, Apparel & Luxury Goods - 1.8% | ||||||||
| Iconix Brand Group, Inc., 1.50%, Due 3/15/18, (A) | 750,000 | 1,027,500 | ||||||
| Iconix Brand Group, Inc., 2.50%, Due 6/1/16, (A) | 1,000,000 | 1,378,125 | ||||||
| 2,405,625 | ||||||||
| Trading Companies & Distributors - 0.7% | ||||||||
| Kaman Corp., 3.25%, Due 11/15/17, (A) | 750,000 | 968,906 | ||||||
| Wireless Telecommunications - 1.4% | ||||||||
| SBA Communications Corp., 4.00%, Due 10/1/14, (AA) | 600,000 | 1,779,000 | ||||||
| Total Convertible Bonds and Notes | 83,690,418 | |||||||
Ellsworth Fund Ltd. - Schedule of Investments - continued
December 31, 2013
| Value | ||||||||
| Shares | (Note 1) | |||||||
| Convertible Preferred Stock - 12.4% | ||||||||
| Commercial Banks - 2.9% | ||||||||
| Huntington Bancshares, Inc., 8.50%, (BB) | 1,250 | $ | 1,587,500 | |||||
| Wells Fargo & Co., 7.50%, (BBB) | 2,000 | 2,210,000 | ||||||
| 3,797,500 | ||||||||
| Diversified Financial Services - 1.3% | ||||||||
| Bank of America Corp., 7.25%, (BB) | 1,600 | 1,697,600 | ||||||
| Food Products - 1.8% | ||||||||
| Post Holdings, Inc., 3.75%, (B) | 8,300 | 999,154 | ||||||
| Post Holdings, Inc., 2.50%, (B) (1) | 5,000 | 500,000 | ||||||
| Bunge Ltd., 4.875%, (BB) | 7,500 | 806,625 | ||||||
| 2,305,779 | ||||||||
| Machinery - 0.9% | ||||||||
| Stanley Black & Decker, Inc., 4.75%, (BBB) | 7,800 | 968,214 | ||||||
| Stanley Black & Decker, Inc., 6.25%, (BBB) | 2,500 | 256,925 | ||||||
| 1,225,139 | ||||||||
| Oil, Gas & Consumable Fuels - 2.0% | ||||||||
| Chesapeake Energy Corp., 5.75%, (B) | 1,550 | 1,801,875 | ||||||
| Halcon Resources Corp., 5.75%, (CCC) | 1,000 | 804,000 | ||||||
| 2,605,875 | ||||||||
| Real Estate Investment Trusts - 2.0% | ||||||||
| Health Care REIT, Inc., 6.50%, (BB) | 20,000 | 1,025,200 | ||||||
| Weyerhaeuser Co., 6.375%, (BBB) | 30,000 | 1,673,700 | ||||||
| 2,698,900 | ||||||||
| Specialty Retail - 0.6% | ||||||||
| Amerivon Holdings LLC, 4.00%, (NR) (1,3,4) | 643,516 | 763,660 | ||||||
| Amerivon Holdings LLC, common equity units, (NR) (1,3,4) | 272,728 | 16,364 | ||||||
| 780,024 | ||||||||
| Thrift & Mortgage Finance - 0.9% | ||||||||
| New York Community Capital Trust V, 6.00%, (BB) | 24,000 | 1,179,120 | ||||||
| Total Convertible Preferred Stock | 16,289,937 | |||||||
| Mandatory Convertible Securities - 7.9% (5) | ||||||||
| Aerospace & Defense - 2.0% | ||||||||
| United Technologies Corp., 7.50%, Due 8/1/15, (BBB) | 40,000 | 2,618,800 | ||||||
| Electric Utilities - 1.6% | ||||||||
| NextEra Energy, Inc., 5.599%, Due 6/1/15, (BBB) | 7,500 | 432,075 | ||||||
| NextEra Energy, Inc., 5.799%, Due 9/1/16, (BBB) | 10,000 | 501,900 | ||||||
| NextEra Energy, Inc., 5.889%, Due 9/1/15, (BBB) | 20,000 | 1,136,200 | ||||||
| 2,070,175 | ||||||||
| Insurance - 1.4% | ||||||||
| MetLife, Inc., 5.00%, Due 10/8/14, (BBB) | 25,000 | 788,500 | ||||||
| Maiden Holdings, Ltd., 7.25%, Due 9/15/16, (NR) | 22,500 | 1,011,375 | ||||||
| 1,799,875 | ||||||||
| Multi-Utilities-1.0% | ||||||||
| Dominion Resources, Inc., 6.125%, Due 4/1/16, (BBB) | 12,500 | 676,500 | ||||||
| Dominion Resources, Inc., 6.00%, Due 7/1/16, (BBB) | 12,500 | 677,625 | ||||||
| 1,354,125 | ||||||||
| Road & Rail - 1.0% | ||||||||
| Genesee & Wyoming, Inc., 5.00%, Due 10/1/15, (NR) | 10,000 | 1,283,200 | ||||||
Ellsworth Fund Ltd. - Schedule of Investments - continued
December 31, 2013
| Value | ||||||||
| Shares | (Note 1) | |||||||
| Mandatory Convertible Securities - continued | ||||||||
| Wireless Telecommunications - 0.9% | ||||||||
| Crown Castle International Corp., 4.50%, Due 11/1/16, (B) | 12,500 | $ | 1,250,875 | |||||
| Total Mandatory Convertible Securities (5) | 10,377,050 | |||||||
| Common Stock - 15.4% | ||||||||
| Automobiles - 0.6% | ||||||||
| Ford Motor Co. | 50,000 | 771,500 | ||||||
| Computers & Peripherals - 1.1% | ||||||||
| EMC Corp. | 60,000 | 1,509,000 | ||||||
| Diversified Financial Services - 0.8% | ||||||||
| Citigroup Inc. | 19,546 | 1,018,542 | ||||||
| Diversified Telecommunications Services - 3.0% | ||||||||
| AT&T Inc. | 70,000 | 2,461,200 | ||||||
| Verizon Communications Inc. | 30,000 | 1,474,200 | ||||||
| 3,935,400 | ||||||||
| Food Products - 0.8% | ||||||||
| ConAgra Foods, Inc. | 30,000 | 1,011,000 | ||||||
| Industrial Conglomerates - 0.6% | ||||||||
| General Electric Co. | 30,000 | 840,900 | ||||||
| Insurance - 0.6% | ||||||||
| MetLife, Inc. | 14,175 | 764,316 | ||||||
| Media - 0.9% | ||||||||
| Walt Disney Co. | 15,000 | 1,146,000 | ||||||
| Oil, Gas & Consumable Fuels - 1.4% | ||||||||
| ConocoPhillips | 26,782 | 1,892,148 | ||||||
| Pharmaceuticals - 4.2% | ||||||||
| AbbVie Inc. | 25,000 | 1,320,250 | ||||||
| Bristol Myers Squibb Co. | 10,000 | 531,500 | ||||||
| Eli Lilly & Co. | 15,000 | 765,000 | ||||||
| Merck & Co., Inc. | 32,651 | 1,634,183 | ||||||
| Pfizer Inc. | 40,000 | 1,225,200 | ||||||
| 5,476,133 | ||||||||
| Semiconductors & Semiconductor Equipment - 0.5% | ||||||||
| Intel Corp. | 25,000 | 649,000 | ||||||
| Software - 1.0% | ||||||||
| Microsoft Corp. | 33,600 | 1,257,648 | ||||||
| Total Common Stock | 20,271,587 | |||||||
| Total Convertible Bonds and Notes - 63.5% | $ | 83,690,418 | ||||||
| Total Convertible Preferred Stock - 12.4% | 16,289,937 | |||||||
| Total Mandatory Convertible Securities - 7.9% | 10,377,050 | |||||||
| Common Stock - 15.4% | 20,271,587 | |||||||
| Total Investments - 99.2% | 130,628,992 | |||||||
| Other Assets and Liabilities, Net - 0.8% | 1,077,080 | |||||||
| Total Net Assets - 100.0% | $ | 131,706,072 | ||||||
Ellsworth Fund Ltd. - Schedule of Investments – continued
December 31, 2013
(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 December 31, 2013 was $16,910,723 which represented 12.8% of the Fund’s net assets.
(2) Contingent payment debt instrument which accrues contingent interest.
(3) 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 $780,024 at December 31, 2013, which represented 0.6% of the Fund's net assets.
(4) Restricted securities include securities that have not been registered under the Securities Act 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 December 31, 2013, the Fund was invested in the following restricted securities:
| Price per | % Net | |||||
| Security | Acquisition Date | Shares | Cost | Share | Value | Assets |
|
Amerivon Holdings LLC series A 4.00% cv. pfd. |
April 1, 2010 | 643,516 | $1,500,000 | $1.187 | $763,660 | 0.6% |
|
Amerivon Holdings LLC common equity units |
April 1, 2010 | 272,728 | 0 | 0.060 | 16,364 | 0.0% |
(5) 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.
PORTFOLIO RATINGS:
Where a security is rated by Standard & Poor’s, such rating appears in parentheses next to such security (but without any applicable + or - that might apply).
Where a security is rated by Standard & Poor’s and at least one other rating agency and the Fund believes the ratings to be functionally equivalent to one another, the Standard & Poor’s rating appears in parentheses next to such security (but without any applicable + or - that might apply).
Where a security is rated by Standard & Poor’s and at least one other rating agency and the Fund believes the ratings not to be functionally equivalent to one another, the Fund puts in parentheses next to such security the Standard & Poor’s rating which it believes approximates the average of all such ratings (but without any applicable + or - that might apply).
Where a security is not rated by Standard & Poor’s, but is rated by at least one other rating agency, the Fund puts in parentheses next to such security the Standard & Poor’s rating which it believes approximates the average of all such ratings (but without any applicable + or - that might apply). NR is used whenever a rating is unavailable.
SUMMARY OF PORTFOLIO RATINGS * | ||
AAA | 0% | |
AA | 11% | |
A | 26% | |
BBB | 26% | |
BB | 19% | |
B | 12% | |
CCC & below | 2% | |
Not Rated | 4% | |
|
| |
* Excludes common stocks and cash. | ||
Ellsworth Fund Ltd. - Selected Notes to Financial Statements - unaudited
Ellsworth Fund Ltd. (the “Fund”), is registered under the Investment Company Act of 1940, as amended, (the “Act”) 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, supplied by an independent pricing service, 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 the 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.
The Fund has adopted authoritative fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion in changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
Level 1 - Quoted unadjusted prices for identical instruments in active markets.
Level 2 - Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-driven valuation in which all significant inputs and significant value drivers are observable in active markets. Level 2 inputs are those in markets for which there are few transactions, the prices are not current, little public information exists or instances where prices vary substantially over time or among brokered market makers, and those received from an independent pricing service.
Level 3 - Model derived valuations in which one or more significant inputs or significant value drivers are unobservable. Unobservable inputs are those inputs that reflect the Fund’s own assumptions that market participants would use to price an asset or liability based on the best available information.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of the markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
Ellsworth Fund Ltd. - Selected Notes to Financial Statements - continued
The following is a summary of the inputs used to value the investments of the Fund as of
December 31, 2013:
| Level 1 | Level 2 | Level 3 | Totals | |||||||||||||
| Investments in Securities: | ||||||||||||||||
| Common Stock: | ||||||||||||||||
| Automobiles | $ | 771,500 | $ | — | $ | — | $ | 771,500 | ||||||||
| Computers & Peripherals | 1,509,000 | — | — | 1,509,000 | ||||||||||||
| Diversified Financial Services | 1,018,542 | — | — | 1,018,542 | ||||||||||||
| Diversified Telecommunications Services | 3,935,400 | — | — | 3,935,400 | ||||||||||||
| Food Products | 1,011,000 | — | — | 1,011,000 | ||||||||||||
| Industrial Conglomerates | 840,900 | — | — | 840,900 | ||||||||||||
| Insurance | 764,316 | — | — | 764,316 | ||||||||||||
| Media | 1,146,000 | — | — | 1,146,000 | ||||||||||||
| Oil, Gas & Consumable Fuels | 1,892,148 | — | — | 1,892,148 | ||||||||||||
| Pharmaceuticals | 5,476,133 | — | — | 5,476,133 | ||||||||||||
| Semiconductors & Semiconductor Equipment | 649,000 | — | — | 649,000 | ||||||||||||
| Software | 1,257,648 | — | — | 1,257,648 | ||||||||||||
| Total Common Stock | 20,271,587 | — | — | 20,271,587 | ||||||||||||
| Convertible Bonds and Notes | — | 83,690,418 | — | 83,690,418 | ||||||||||||
| Convertible Preferred Stock: | ||||||||||||||||
| Commercial Banks | — | 3,797,500 | — | 3,797,500 | ||||||||||||
| Diversified Financial Services | — | 1,697,600 | — | 1,697,600 | ||||||||||||
| Food Products | — | 2,305,779 | — | 2,305,779 | ||||||||||||
| Machinery | — | 1,225,139 | — | 1,225,139 | ||||||||||||
| Oil, Gas & Consumable Fuels | — | 2,605,875 | — | 2,605,875 | ||||||||||||
| Real Estate Investment Trusts | — | 2,698,900 | — | 2,698,900 | ||||||||||||
| Specialty Retail | — | — | 780,024 | 780,024 | ||||||||||||
| Thrift & Mortgage Finance | — | 1,179,120 | — | 1,179,120 | ||||||||||||
| Total Preferred Stock | — | 15,509,913 | 780,024 | 16,289,937 | ||||||||||||
| Mandatory Convertible Securities | — | 10,377,050 | — | 10,377,050 | ||||||||||||
| Total Investments | $ | 20,271,587 | $ | 109,577,381 | $ | 780,024 | $ | 130,628,992 | ||||||||
Refer to the Fund’s Portfolio of Investments for a detailed breakdown of Common Stock, Convertible Bonds and Notes, Convertible Preferred Stock and Mandatory Convertible Securities. Transfers between levels are recognized at December 31, 2013, the end of the reporting period. The Fund recognized no transfers to or from Level 1 and Level 2.
The following is a reconciliation of assets for which Level 3 inputs were used in determining value:
| Description | Investments in Securities | |||
| Beginning balance as of September 30, 2013 | $ | 776,999 | ||
| Proceeds from sales | — | |||
| Gain/loss | — | |||
| Change in unrealized appreciation (depreciation) | 3,025 | |||
| Net transfers in/out of Level 3 | — | |||
| Balance as of December 31, 2013 | $ | 780,024 | ||
Ellsworth Fund Ltd. - Selected Notes to Financial Statements - continued
The following table presents additional information about valuation methodologies and inputs used for investments that are measured at fair value and categorized within Level 3 as of December 31, 2013:
| Fair Value December 31, 2013 |
Valuation Methodologies |
Unobservable Input (1) |
Impact to Valuation from an Increase in Input (2) | |
| Amerivon Holdings LLC series A cv. pfd. and common equity units |
$780,024 |
Market Sum of the Dividend |
Liquidity Discount |
Increase |
(1) In determining certain of these inputs, management evaluates a variety of factors including economic conditions, industry and market developments, market valuations of comparable companies and company specific developments.
(2) This column represents the directional change in the fair value of the Level 3 investments that would result from an increase to the corresponding unobservable input. A decrease to the unobservable input would have the opposite effect.
Note 2 - Securities Transactions and Related Investment Income - Securities transactions are accounted for on the trade date (the 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 $14,723 for the three months ended December 31, 2013. In addition, Federal tax regulations require the Fund to reclassify realized gains (losses) on contingent payment debt instruments to interest income. At December 31, 2013, there were unrealized losses of approximately two cents per share on contingent payment debt instruments.
Note 3 - Federal Income Tax Cost - At December 31, 2013, the cost basis of investments for federal income tax purposes, as well as unrealized appreciation (depreciation) of investment securities on a tax basis were as follows:
| Unrealized appreciation | $ | 23,922,977 | ||
| Unrealized depreciation | (2,177,544 | ) | ||
| Net unrealized appreciation | 21,745,433 | |||
| Cost for federal income tax purposes | $ | 108,883,559 |
ITEM 2. CONTROLS AND PROCEDURES.
Conclusions of principal officers concerning controls and procedures.
(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c)) are effective as of February 28, 2014 based on the evaluation of these controls and procedures 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 Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 17 CFR 240.15d-15(b)).
(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 Fund’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.
ITEM 3. EXHIBITS.
Certifications of the principal executive officer and the principal financial officer of the Fund, as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)), 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 28, 2014
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 28, 2014
By:
/s/Gary I. Levine
Gary I. Levine
Chief Financial Officer
(Principal Financial Officer)
Date: February 28, 2014