ellsworth_nq-123108.htm
 
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

Ellsworth Fund Ltd.
(Exact name of registrant as specified in charter)

65 Madison Avenue, Morristown, New Jersey 07960-7308
(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, 2009

Date of reporting period:  December 31, 2008
 
 
ITEM 1. SCHEDULE OF INVESTMENTS.
 
Ellsworth Fund Ltd. Portfolio of Investments (unaudited)
            
December 31, 2008
            
   
Principal
        
   
Amount
    
Value
  
   
or Shares
    
(Note 1)
  
             
CONVERTIBLE BONDS AND NOTES - 65.8%
            
             
Aerospace and Defense - 1.3%
            
Alliant Techsystems Inc. 2.75%, due 2011 cv. sr. sub. notes (B1)
   $ 1,000,000     $ 987,500  
                 
Computer Hardware - 5.0%
                
Credit Suisse, New York Branch 12.90%, due 2008
                
equity-linked notes (NR)
                
(exchangeable for Corning Inc. common stock)
     2,000,000       1,118,200  
EMC Corp. 1.75%, due 2011 cv. sr. notes (A-)
     1,000,000       981,250  
EMC Corp. 1.75%, due 2013 cv. sr. notes (A-)
     1,000,000       940,000  
Richardson Electronics, Ltd. 8%, due 2011 cv. sr. sub. notes (NR)
     1,000,000       647,500  
              3,686,950  
Computer Software - 3.5%
                
Blackboard Inc. 3.25%, due 2027 cv. sr. notes (B+)
     2,500,000       1,993,750  
GSI Commerce, Inc. 2.5%, due 2027 cv. sr. notes (NR)
     1,000,000       448,750  
Lehman Brothers Holdings Inc. 1%, due 2009
                
medium-term notes (NR)
                
(performance linked to Microsoft Corp. common stock) (3)
     1,500,000       105,000  
              2,547,500  
Consumer Goods - 2.2%
                
Chattem, Inc. 1.625%, due 2014 cv. sr. notes (NR)
     1,683,000       1,605,161  
                 
Energy - 10.2%
                
Chesapeake Energy Corp. 2.75%, due 2035
                
contingent cv. sr. notes (Ba3) (1)
     1,910,000       1,215,238  
Covanta Holding Corp. 1%, due 2027 sr. cv. deb. (B1) (1)
     1,500,000       1,372,500  
McMoRan Exploration Co. 5.25%, due 10/06/11 cv. sr. notes (NR)
     1,290,000       1,135,200  
Nabors Industries, Inc. 0.94%, due 2011
                
sr. exchangeable notes (BBB+)
     2,000,000       1,657,500  
Oil States International, Inc. 2.375%, due 2025
                
contingent cv. sr. notes (NR)
     1,325,000       1,025,219  
SunPower Corp. 1.25%, due 2027 sr. cv. deb. (NR)
     1,000,000       743,750  
Trina Solar Ltd. 4%, due 2013 cv. sr. notes (NR)
                
(exchangeable for ADS representing common shares)
     1,000,000       332,500  
              7,481,907  
Financial Services - 2.0%
                
Euronet Worldwide, Inc. 3.50%, due 2025 cv. deb. (B+) (1)
     2,250,000       1,456,875  
                 
Foods - 3.3%
                
Central European Distribution Corp. 3%, due 2013 cv. sr. notes (B-)
     1,000,000       500,000  
The Great Atlantic & Pacific Tea Company, Inc. 5.125%, due 2011
                
cv. sr. notes (Caa1)
     500,000       258,125  
The Great Atlantic & Pacific Tea Company, Inc. 6.75%, due 2012
                
cv. sr. notes (Caa1)
     1,500,000       828,750  
Tyson Foods, Inc. 3.25%, due 2013 cv. sr. notes (BB)
     1,000,000       811,250  
              2,398,125  
 
 
 
Ellsworth Fund Ltd. Portfolio of Investments (continued)
            
December 31, 2008
            
   
Principal
        
   
Amount
    
Value
  
   
or Shares
    
(Note 1)
  
             
CONVERTIBLE BONDS AND NOTES - continued
            
             
Healthcare - 8.2%
            
China Medical Technologies, Inc. 4%, due 2013 cv. sr. sub. notes (NR)
        
(exchangeable for ADS representing common stock)
   $ 1,500,000     $ 733,125  
Greatbatch, Inc. 2.25%, due 2013 cv. sub. deb. (NR)(1)
     1,000,000       862,500  
Kinetic Concepts, Inc. 3.25%, due 2015 cv. sr. notes (B+)
                
(Acquired 04/16/08 and 08/04/08; Cost $1,965,162) (2)
     2,000,000       1,110,000  
Millipore Corp. 3.75%, due 2026 cv. sr. notes (BB-) (1)
     1,500,000       1,316,250  
Omnicare, Inc. 3.25%, due 2035 cv. sr. deb. (B3) (1)
     2,000,000       1,132,500  
SonoSite Inc. 3.75%, due 2014 cv. sr. notes (NR)
     1,250,000       895,313  
              6,049,688  
Insurance - 1.9%
                
Prudential Financial, Inc. floating rate, due 2037 cv. sr. notes (A3)
     1,500,000       1,427,250  
                 
Media and Entertainment - 0.6%
                
Virgin Media Inc. 6.5%, due 2016 cv. sr. notes (B-)
                
(Acquired 04/10/08 and 04/11/08; Cost $995,000) (2)
     1,000,000       437,500  
                 
Multi-Industry - 2.9%
                
Diversa Corp. 5.5%, due 2027 cv. sr. notes (NR)
                
(exchangeable for Verenium Corp. common stock)
     750,000       180,000  
LSB Industries, Inc. 5.5%, due 2012 cv. sr. sub. deb. (NR)
     3,000,000       1,957,500  
              2,137,500  
Pharmaceuticals - 8.2%
                
Mylan Inc. 3.75%, due 2015 cash cv. notes (B+)
                
(Acquired 09/16/08 - 09/30/08; Cost $1,476,980) (2)
     1,500,000       1,365,000  
Teva Pharmaceutical Finance Co. B.V. 1.75%, due 2026
                
cv. sr. deb. (Baa2)
                
(exchangeable for Teva Pharmaceutical Industries Ltd. ADR)
     1,500,000       1,655,625  
Wyeth floating rate, due 2024 cv. sr. deb. (A3)
     3,000,000       2,987,100  
              6,007,725  
Retail - 1.7%
                
RadioShack Corp. 2.5%, due 2013 cv. sr. notes (BB)
                
(Acquired 08/13/08 and 10/17/08; Cost $1,436,250) (2)
     1,500,000       1,254,375  
                 
Semiconductors - 5.4%
                
Agere Systems Inc. 6.5%, due 2009 cv. sub. notes (BB)
                
(exchangeable for LSI Corp.)
     2,250,000       2,219,063  
Intel Corp. 2.95%, due 2035 jr. sub. cv. deb. (A-) (1)
     2,000,000       1,742,500  
              3,961,563  
Telecommunications - 8.3%
                
ADC Telecommunications Inc. floating rate, due 2013
                
cv. sub. notes (NR)
     1,600,000       728,000  
Anixter International Inc. 1%, due 2013 sr. cv. notes (BB-)
     1,500,000       943,125  
Equinix, Inc. 2.5%, due 2012 cv. sub. notes (B-)
     2,200,000       1,647,250  
General Cable Corp. 1%, due 2012 sr. cv. notes (B1)
     1,500,000       943,125  
NII Holdings, Inc. 2.75%, due 2025 cv. notes (NR)
     1,500,000       1,306,875  
SAVVIS, Inc. 3%, due 2012 cv. sr. notes (NR)
     1,250,000       537,500  
              6,105,875  
Transportation - 0.8%
                
ExpressJet Holdings, Inc. 4.25%, due 2023 cv. notes (NR)
     900,000       596,250  
 
 
Ellsworth Fund Ltd. Portfolio of Investments (continued)
            
December 31, 2008
            
   
Principal
        
   
Amount
    
Value
  
   
or Shares
    
(Note 1)
  
             
CONVERTIBLE BONDS AND NOTES - continued
            
             
Travel and Leisure - 0.4%
            
Morgans Hotel Group 2.375%, due 2014 sr. sub. cv notes (NR)
            
(Acquired 10/11/07 - 10/12/07; Cost $1,026,250) (2)
   $ 1,000,000     $ 306,250  
                 
TOTAL CONVERTIBLE BONDS AND NOTES
             48,447,994  
                 
CORPORATE BONDS AND NOTES - 1.1%
                
                 
Retail - 1.1%
                
Amerivon Holdings LLC 4%, due 2010 units (NR)
                
(Acquired 06/01/07; Cost $1,500,000) (2,3)
     1,500,000       825,000  
                 
CONVERTIBLE PREFERRED STOCKS - 8.0%
                
                 
Banking/Savings and Loan - 6.1%
                
Bank of America Corp. 7.25% series L non-cum. perpetual cv. pfd. (A1)
     2,000       1,300,000  
Fifth Third Bancorp 8.5% perpetual cv. pfd., series G (A-)
     10,000       810,800  
New York Community Bancorp, Inc. 6% BONUSES units (Baa1)
     39,178       1,213,734  
Sovereign Capital Trust IV 4.375% PIERS (Baa3)
                
(exchangeable for Sovereign Bancorp, Inc. common stock) (1)
     14,000       265,160  
Webster Financial Corp. 8.5% perpetual cv. pfd (BB+)
     1,500       900,000  
              4,489,694  
Chemicals - 0.9%
                
Celanese Corp. 4.25% cv. perpetual pfd. (NR)
     40,000       674,000  
                 
Minerals and Mining - 1.0%
                
Freeport-McMoRan Copper & Gold Inc. 5.5% cv. perpetual pfd. (BB)
     1,200       745,800  
                 
TOTAL CONVERTIBLE PREFERRED STOCKS
             5,909,494  
                 
MANDATORY CONVERTIBLE SECURITIES - 12.7% (5)
                
                 
Consumer Goods - 1.4%
                
Avery Dennison Corp. 7.875%, due 11/15/10 mandatory cv. pfd. (BBB-)
     30,000       1,027,500  
                 
Energy - 2.5%
                
Bristow Group Inc. 5.5%, due 09/15/09 mandatory cv. pfd. (B)
     20,000       731,800  
Merrill Lynch & Co., Inc. 5.4%, due 09/27/10 PRIDES (A+)
                
(linked to the performance of ConocoPhillips common stock)
     2,000       1,127,810  
              1,859,610  
Foods - 0.1%
                
Lehman Brothers Holdings Inc. 6%, due 10/12/10 PIES (NR)
                
(exchangeable for General Mills, Inc. common stock) (3)
     50,000       87,500  
                 
Insurance - 0.2%
                
XL Capital Ltd. 7%, due 02/15/09 equity security units
                
due 02/15/09 (Baa1)
     72,500       139,925  
 
 
             
             
Ellsworth Fund Ltd. Portfolio of Investments (continued)
            
December 31, 2008
            
   
Principal
        
   
Amount
    
Value
  
   
or Shares
    
(Note 1)
  
             
MANDATORY CONVERTIBLE SECURITIES - continued
            
             
Media and Entertainment - 2.6%
            
Deutsche Bank AG 4.9%, due 04/28/09
            
mandatory exchangeable notes (NR)
            
(exchangeable for The Walt Disney Company common stock)
            
(Acquired 04/16/08; Cost $2,501,301) (2)
     82,500     $ 1,921,013  
                 
Minerals and Mining - 2.1%
                
Freeport-McMoRan Copper & Gold Inc. 6.75%, due 05/01/10
                
mandatory cv. pfd. (BB)
     10,000       474,500  
Vale Capital Ltd. 5.5%, due 06/15/10 mandatory convertible notes (BBBH)
          
(exchangeable for ADS representing Companhia Vale do Rio Doce
                
common stock)
     30,000       836,100  
Vale Capital Ltd. 5.5%, due 06/15/10 mandatory convertible notes (BBBH)
          
(exchangeable for ADS representing Companhia Vale do Rio Doce
                
Preference A Shares)
     10,000       260,000  
              1,570,600  
Multi-Industry - 2.9%
                
NATIXIS Financial Products Inc. 7.5%, due 09/22/09
                
mandatory trigger exchangeable notes (NR)
                
(exchangeable for General Electric Company common stock)
                
(Acquired 08/19/08; Cost $1,860,195) (2)
     65,270       1,116,966  
                 
Pharmaceuticals - 2.3%
                
Schering-Plough Corp. 6%, due 08/13/10 mandatory cv. pfd. (Baa3)
     9,500       1,657,750  
                 
TOTAL MANDATORY CONVERTIBLE SECURITIES (5)
             9,380,864  
                 
COMMON STOCKS - 3.2%
                
                 
Aerospace and Defense - 0.1%
                
Applied Energetics, Inc.
     308,785       98,811  
                 
Pharmaceuticals - 1.7%
                
Johnson & Johnson
     20,500       1,226,515  
                 
Telecommunications - 1.4%
                
AT&T
     35,000       997,500  
                 
TOTAL COMMON STOCKS
             2,322,826  
                 
Total Convertible Bonds and Notes - 65.8%
           $ 48,447,994  
Total Corporate Bonds and Notes - 1.1%
             825,000  
Total Convertible Preferred Stocks - 8.0%
             5,909,494  
Total Mandatory Convertible Securities - 12.7%
             9,380,864  
Total Common Stocks - 3.2%
             2,322,826  
Total Investments - 90.8%
             66,886,178  
Other assets and liabilities, net - 9.2%
             6,740,620  
Total Net Assets - 100.0%
           $ 73,626,798  
 
 
               
Ellsworth Fund Ltd. Portfolio of Investments (continued)
            
December 31, 2008
            
               
 
(1) Contingent payment debt instrument.  See Note 2.
 
(2) Security not registered under the Securities Act of 1933, as amended (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 of 1933, 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, 2008 was $8,336,104, which represented 11.3% of the Fund's net assets.
 
(3) Investment is 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 market value of these securities amounted to $1,017,500 at December 31, 2008, which represented 1.4% of the Fund's net assets.
 
(4) Restricted securities include securities that have not been registered under the Securities Act of 1933, as amended, 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. As of December 31, 2008, the Fund was invested in the following restricted securities:
 
Amerivon Holdings LLC 4% units containing a convertible promissory note and warrants due 2010, acquired June 1, 2007.
 
(5) 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.
 
Investment Abbreviations:
            
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 Increased 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
            
(Excludes equity securities and cash)
            
               
AAA
0%
            
AA
0%
            
A
18%
            
BBB
13%
            
BB
15%
            
B
21%
            
CCC
2%
            
CC
0%
            
C
0%
            
NR
31%
            
               
See accompanying notes.
            
 
 
Ellsworth Fund Ltd. Selected Notes to Financial Statements (unaudited)

Ellsworth Fund Ltd. (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, 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.

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. Contingent interest income amounted to approximately 1 cent per share for the three months ended December 31, 2008. In addition, Federal tax regulations require the Fund to reclassify realized gains on contingent payment debt instruments to interest income. At December 31, 2008 there were unrealized losses of approximately 25 cents per share on contingent payment debt instruments.

At December 31, 2008 unrealized appreciation (depreciation) of investment securities on a tax basis were as follows:
 
Unrealized appreciation    $ 393,732  
Unrealized depreciation      (30,275,648 ) 
Net unrealized depreciation       (29,881,916 ) 
         
Cost for federal income tax purposes    $ 96,768,092  

 
 
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 25, 2009 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 Rule 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 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 (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 27, 2009
 
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 27, 2009

By:  /s/ Gary I. Levine
Gary I. Levine
Chief Financial Officer
(Principal Financial Officer)

Date: February 27, 2009