N-Q 1 d30681.htm N-Q Unassociated Document

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

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 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, 2013

Date of reporting period: June 30, 2013

ITEM 1. SCHEDULE OF INVESTMENTS.


Ellsworth Fund Ltd. – Schedule of Investments – unaudited
June 30, 2013

        Principal
Amount
     Value
(Note 1)
Convertible Bonds and Notes – 61.3%
                                      
 
Airlines – 1.2%
                                      
Hawaiian Holdings, Inc., 5.00%, Due 3/15/16, (BBB)
               $ 1,375,000          $ 1,509,062   
 
Biotechnology – 5.4%
                                      
Array BioPharma Inc., 3.00%, Due 6/1/20, (BB)
                  750,000             717,656   
Exelixis, Inc., 4.25%, Due 8/15/19, (BB)
                  500,000             486,250   
Gilead Sciences, Inc., 1.00%, Due 5/1/14, (A)
                  750,000             1,702,500   
Gilead Sciences, Inc., 1.625%, Due 5/1/16, (A)
                  1,000,000             2,265,005   
OPKO Health Inc., 3.00%, Due 2/1/33, (A) (1)
                  670,000             723,600   
Regeneron Pharmaceuticals, Inc., 1.875%, Due 10/1/16, (AA)
                  250,000             671,094   
 
                                 6,566,105   
 
Capital Markets – 2.1%
                                      
BlackRock Kelso Capital Corp., 5.50%, Due 2/15/18, (BBB) (1)
                  1,500,000             1,535,625   
FXCM Inc., 2.25%, Due 6/15/18, (AAA) (1)
                  1,000,000             1,074,400   
 
                                 2,610,025   
 
Communications Equipment – 2.2%
                                      
Finisar Corp., 5.00%, Due 10/15/29, (NR)
                  75,000             137,016   
Ixia, 3.00%, Due 12/15/15, (BBB)
                  500,000             600,938   
Infinera Corp., 1.75%, Due 6/1/18, (BBB) (1)
                  500,000             555,000   
InterDigital, Inc., 2.50%, Due 3/15/16, (A)
                  1,250,000             1,346,094   
 
                                 2,639,048   
 
Computers & Peripherals – 2.5%
                                      
EMC Corp., 1.75%, Due 12/1/13, (A)
                  1,400,000             2,069,382   
SanDisk Corp., 1.50%, Due 8/15/17, (BB)
                  750,000             1,003,594   
 
                                 3,072,976   
 
Construction Materials – 0.5%
                                      
CEMEX S.A.B. de C.V., 4.875%, Due 3/15/15, (NR)
                  500,000             573,125   
 
Consumer Finance – 2.1%
                                      
DFC Global Corp., 3.25%, Due 4/15/17, (B)
                  1,250,000             1,233,594   
Encore Capital Group, Inc., 3.00%, Due 11/27/17, (NR)
                  1,000,000             1,211,250   
Encore Capital Group, Inc., 3.00%, Due 7/1/20, (NR) (1)
                  125,000             120,312   
 
                                 2,565,156   
 
Diversified Telecommunications Services – 0.7%
                                      
Alaska Communications Systems Group, Inc., 6.25%, Due 5/1/18, (BB)
                  1,000,000             796,875   
 
Energy Equipment & Services – 1.9%
                                      
Bristow Group Inc., 3.00%, Due 6/15/38, (BB)
                  1,155,000             1,367,231   
Hornbeck Offshore Services, Inc., 1.50%, Due 9/1/19, (BB)
                  750,000             911,250   
 
                                 2,278,481   
 
Food Products – 0.5%
                                      
Chiquita Brands International, 4.25%, Due 8/15/16, (CCC)
                  700,000             672,438   
 
Health Care Equipment & Supplies – 1.4%
                                        
Insulet Corp., 3.75%, Due 6/15/16, (A)
                  750,000             981,562   
Volcano Corp., 1.75%, Due 12/1/17, (BBB)
                  750,000             688,125   
 
                                 1,669,687   
 
Health Care Providers & Services – 1.6%
                                      
Lifepoint Hospitals, Inc., 3.50%, Due 5/15/14, (B)
                  1,000,000             1,086,250   
Molina Healthcare Inc., 1.125%, Due 1/15/20, (AA) (1)
                  750,000             824,531   
 
                                 1,910,781   
 
Health Care Technology – 0.4%
                                      
Allscripts Healthcare Solutions, Inc., 1.25%, Due 7/1/20, (A) (1)
                  500,000             492,812   
 

Ellsworth Fund Ltd. – Schedule of Investments – continued
June 30, 2013

        Principal
Amount
     Value
(Note 1)
Convertible Bonds and Notes – continued
                                      
 
Hotels, Restaurants & Leisure – 1.4%
                                      
International Game Technology, 3.25%, Due 5/1/14, (BBB)
               $ 500,000          $ 533,750   
MGM Resorts International, 4.25%, Due 4/15/15, (B)
                  1,000,000             1,121,875   
 
                                 1,655,625   
 
Household Durables – 1.5%
                                      
Jarden Corp., 1.875%, Due 9/15/18, (B) (1)
                  1,250,000             1,410,156   
The Ryland Group, Inc., 0.25%, Due 6/1/19, (BB)
                  500,000             453,750   
 
                                 1,863,906   
 
Insurance – 3.3%
                                      
AmTrust Financial Services, Inc., 5.50%, Due 12/15/21, (AAA)
                  1,250,000             1,753,125   
National Financial Partners Corp., 4.00%, Due 6/15/17, (CCC)
                  500,000             1,023,125   
Tower Group, Inc., 5.00%, Due 9/15/14, (NR)
                  1,250,000             1,317,188   
 
                                 4,093,438   
 
Internet & Catalog Retail – 1.9%
                                      
Priceline.com Inc., 1.25%, Due 3/15/15, (BBB)
                  450,000             1,231,031   
Priceline.com Inc., 1.00%, Due 3/15/18, (BBB)
                  500,000             583,750   
Shutterfly, Inc., 0.25%, Due 5/15/18, (AA) (1)
                  500,000             552,812   
 
                                 2,367,593   
 
Internet Software & Services – 1.4%
                                      
Equinix, Inc., 3.00%, Due 10/15/14, (B)
                  1,000,000             1,686,250   
 
IT Services – 0.8%
                                      
CSG Systems International, Inc., 3.00%, Due 3/1/17, (A) (1)
                  900,000             1,026,000   
 
Machinery – 0.9%
                                      
Chart Industries, Inc., 2.00%, Due 8/1/18, (B)
                  750,000             1,128,281   
 
Metals & Mining – 3.9%
                                      
A.M. Castle & Co., 7.00%, Due 12/15/17, (BBB) (1)
                  400,000             666,000   
Kaiser Aluminum Corp., 4.50%, Due 4/1/15, (BB)
                  1,000,000             1,359,375   
Northgate Minerals Corp., 3.50%, Due 10/1/16, (NR)
                                        
(convertible into AuRico Gold Inc. common stock)
                  600,000             568,500   
RTI International Metals, Inc., 3.00%, Due 12/1/15, (BBB)
                  600,000             653,250   
RTI International Metals, Inc., 1.625%, Due 10/15/19, (BBB)
                  500,000             473,125   
Stillwater Mining Company, 1.75%, Due 10/15/32, (B)
                  500,000             515,312   
United States Steel Corp., 4.00%, Due 5/15/14, (BB)
                  500,000             513,750   
 
                                 4,749,312   
 
Oil, Gas & Consumable Fuels – 1.2%
                                      
Goodrich Petroleum Corp., 5.00%, Due 10/1/29, (CCC)
                  1,000,000             997,500   
Ship Finance International Ltd., 3.25%, Due 2/1/18, (B)
                  500,000             478,438   
 
                                 1,475,938   
 
Pharmaceuticals – 1.7%
                                      
Mylan Inc., 3.75%, Due 9/15/15, (BBB)
                  500,000             1,187,500   
Salix Pharmaceuticals Ltd., 2.75%, Due 5/15/15, (A)
                  600,000             916,500   
 
                                 2,104,000   
 
Real Estate Investment Trusts – 3.4%
                                      
Annaly Capital Management, Inc., 4.00%, Due 2/15/15, (AA)
                  750,000             841,410   
Colony Financial, Inc., 5.00%, Due 4/15/23, (AAA)
                  1,250,000             1,278,125   
IAS Operating Partnership LP, 5.00%, Due 3/15/18, (NR) (1)
                                        
(exchangeable for Invesco Mortgage Capital Inc. common stock)
                  1,000,000             938,125   
Lexington Realty Trust, 6.00%, Due 1/15/30, (BBB)
                  500,000             841,562   
Starwood Property Trust, Inc., 4.00%, Due 1/15/19, (NR)
                  250,000             256,250   
 
                                 4,155,472   
 

Ellsworth Fund Ltd. – Schedule of Investments – continued
June 30, 2013

        Principal
Amount
     Value
(Note 1)
Convertible Bonds and Notes – continued
                                      
 
Semiconductors & Semiconductor Equipment – 6.7%
                                      
GT Advanced Technologies, Inc., 3.00%, Due 10/1/17, (BB)
               $ 750,000          $ 640,312   
Intel Corp., 2.95%, Due 12/15/35, (A) (2)
                  1,500,000             1,635,938   
Micron Technology, Inc., 3.125%, Due 5/1/32, (BB)
                  750,000             1,200,469   
Micron Technology, Inc., 1.625%, Due 2/15/33, (BB) (1)
                  50,000             72,406   
Photronics, Inc., 3.25%, Due 4/1/16, (A)
                  1,000,000             1,099,375   
ReneSola Ltd., 4.125%, Due 3/15/18, (NR)
                  500,000             271,900   
Rudolph Technologies Inc., 3.75%, Due 7/15/16, (A)
                  500,000             572,812   
SunPower Corp., 4.75%, Due 4/15/14, (BBB)
                  500,000             531,250   
SunPower Corp., 4.50%, Due 3/15/15, (BBB)
                  1,250,000             1,464,844   
Xilinx, Inc., 2.625%, Due 6/15/17, (BBB)
                  500,000             716,875   
 
                                 8,206,181   
 
Software – 6.5%
                                      
Bottomline Technologies, Inc., 1.50%, Due 12/1/17, (A)
                  1,000,000             1,096,250   
Concur Technologies, Inc., 0.50%, Due 6/15/18, (AA) (1)
                  500,000             500,000   
Electronic Arts Inc., 0.75%, Due 7/15/16, (A)
                  500,000             523,125   
Mentor Graphics Corp., 4.00%, Due 4/1/31, (AA)
                  1,000,000             1,221,250   
Nuance Communications, Inc., 2.75%, Due 8/15/27, (BB)
                  1,500,000             1,739,062   
Rovi Corp., 2.625%, Due 2/15/40, (A)
                  1,000,000             1,020,000   
Take-Two Interactive Software, Inc., 1.75%, Due 12/1/16, (BBB)
                  750,000             827,344   
TeleCommunication Systems, Inc., 7.75%, Due 6/30/18, (BBB)
                  1,000,000             990,000   
 
                                 7,917,031   
 
Textiles, Apparel & Luxury Goods – 1.6%
                                      
Iconix Brand Group, Inc., 1.50%, Due 3/15/18, (A) (1)
                  750,000             839,531   
Iconix Brand Group, Inc., 2.50%, Due 6/1/16, (A)
                  1,000,000             1,132,500   
 
                                 1,972,031   
 
Trading Companies & Distributors – 1.5%
                                      
Kaman Corp., 3.25%, Due 11/15/17, (A) (1)
                  750,000             891,094   
Titan Machinery Inc., 3.75%, Due 5/1/19, (B)
                  1,000,000             940,000   
 
                                 1,831,094   
 
Wireless Telecommunications – 1.2%
                                      
SBA Communications Corp., 4.00%, Due 10/1/14, (AA)
                  600,000             1,473,750   
 
Total Convertible Bonds and Notes
                                 75,062,473   
 
            
Shares
                
 
Convertible Preferred Stock – 12.7%
                                      
 
Commercial Banks – 3.2%
                                      
Huntington Bancshares, Inc., 8.50%, (BB)
                  1,250             1,535,000   
Wells Fargo & Co., 7.50%, (BBB)
                  2,000             2,388,000   
 
                                 3,923,000   
 
Diversified Financial Services – 1.5%
                                      
Bank of America Corp., 7.25%, (BB)
                  1,600             1,776,800   
 
Food Products – 1.4%
                                      
Post Holdings, Inc., 3.75%, (B) (1)
                  8,300             901,629   
Bunge Ltd., 4.875%, (BB)
                  7,500             754,875   
 
                                 1,656,504   
 
Machinery – 1.1%
                                      
Stanley Black & Decker, Inc., 4.75%, (BBB)
                  10,000             1,291,400   
 

Ellsworth Fund Ltd. – Schedule of Investments – continued
June 30, 2013

        Shares
     Value
(Note 1)
Convertible Preferred Stock – continued
                                      
 
Oil, Gas & Consumable Fuels – 2.1%
                                      
Chesapeake Energy Corp., 5.75%, (B)
                  1,550          $ 1,596,500   
Halcon Resources Corp., 5.75%, (NR)
                  1,000             1,020,000   
 
                                 2,616,500   
 
Real Estate Investment Trusts – 1.8%
                                      
Health Care REIT, Inc., 5.50%, (BB)
                  20,000             1,241,800   
Weyerhaeuser Co., 6.375%, (BBB)
                  20,000             1,020,000   
 
                                 2,261,800   
 
Specialty Retail – 0.8%
                                      
Amerivon Holdings LLC, 4.00%, (NR) (1,3,4)
                  627,147             886,850   
Amerivon Holdings LLC, common equity units, (NR) (1,3,4)
                  272,728             32,727   
 
                                 919,577   
 
Thrift & Mortgage Finance – 0.9%
                                      
New York Community Capital Trust V, 6.00%, (BB)
                  24,000             1,141,200   
 
Total Convertible Preferred Stock
                                 15,586,781   
 
Mandatory Convertible Securities – 10.4% (5)
                                      
 
Aerospace & Defense – 1.9%
                                      
United Technologies Corp., 7.50%, Due 8/1/22, (BBB)
                  40,000             2,374,400   
 
Automobiles – 1.6%
                                      
General Motors Co., 4.75%, Due 12/1/13, (NR)
                  40,000             1,926,400   
 
Electric Utilities – 2.4%
                                      
NextEra Energy, Inc., 5.599%, Due 6/1/17, (BBB)
                  7,500             422,700   
NextEra Energy, Inc., 5.889%, Due 9/1/18, (BBB)
                  20,000             1,111,600   
PPL Corp., 8.75%, Due 5/1/19, (NR)
                  25,000             1,350,500   
 
                                 2,884,800   
 
Insurance – 1.1%
                                      
MetLife, Inc., 5.00%, Due 10/8/14, (BBB)
                  25,000             1,369,750   
 
IT Services – 0.5%
                                      
Unisys Corp., 6.25%, Due 3/1/14, (B)
                  10,000             622,500   
 
Multi Utilities – 0.8%
                                      
Dominion Resources, Inc., 6.125%, Due 4/1/16, (BBB)
                  10,000             502,000   
Dominion Resources, Inc., 6.00%, Due 7/1/16, (BBB)
                  10,000             500,500   
 
                                 1,002,500   
 
Oil, Gas & Consumable Fuels – 0.8%
                                      
Apache Corp., 6.00%, Due 8/1/13, (A)
                  20,000             954,800   
 
Road & Rail – 1.3%
                                      
Genesee & Wyoming, Inc., 5.00%, Due 10/1/15, (NR)
                  10,000             1,196,300   
2010 Swift Mandatory Common Exchange Security Trust, 6.00%,
                                        
Due 12/31/13, (NR)
                  30,000             421,443   
 
                                 1,617,743   
 
Total Mandatory Convertible Securities (5)
                                 12,752,893   
 

Ellsworth Fund Ltd. – Schedule of Investments – continued
June 30, 2013

        Shares
     Value
(Note 1)
Common Stock – 13.8%
                                      
 
                                      
Diversified Financial Services – 0.8%
                                      
Citigroup Inc.
                  19,546          $ 937,622   
 
Diversified Telecommunications Services –4.5%
                                        
AT&T Inc.
                  70,000             2,478,000   
Verizon Communications Inc.
                  60,000             3,020,400   
 
                                 5,498,400   
 
Media – 0.8%
                                      
Walt Disney Co.
                  15,000             947,250   
 
Oil, Gas & Consumable Fuels –1.3%
                                        
ConocoPhillips
                  26,782             1,620,311   
 
Pharmaceuticals – 4.7%
                                      
Abbott Laboratories
                  18,000             627,840   
AbbVie Inc.
                  20,000             826,800   
Bristol Myers Squibb Co.
                  20,000             893,800   
Eli Lilly & Co.
                  15,000             736,800   
Merck & Co., Inc.
                  32,651             1,516,641   
Pfizer Inc.
                  40,000             1,120,400   
 
                                 5,722,281   
 
Semiconductors & Semiconductor Equipment – 0.5%
                                      
Intel Corp.
                  25,000             605,500   
 
Software – 1.2%
                                      
Microsoft Corp.
                  43,600             1,505,508   
Total Common Stock
                                 16,836,872   
 
Total Convertible Bonds and Notes – 61.3%
                              $ 75,062,473   
Total Convertible Preferred Stock – 12.7%
                                 15,586,781   
Total Mandatory Convertible Securities – 10.4%
                                 12,752,893   
Total Common Stock – 13.8%
                                 16,836,872   
Total Investments – 98.2%
                                 120,239,019   
 
Other Assets and Liabilites, Net – 1.8%
                                 2,220,198   
Total Net Assets – 100.0%
                              $ 122,459,217   
 

Ellsworth Fund Ltd. – Schedule of Investments – continued
June 30, 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 June 30, 2013 was $14,043,610 which represented 11.5% 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 $919,577 at June 30, 2013, which represented 0.8% 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 June 30, 2013, the Fund was invested in the following restricted securities:

Security
  
 Acquisition Date
   
 Shares
   
 Cost
   
 Price per
Share
   
 Value
   
 % Net
Assets
Amerivon Holdings LLC
series A 4.00% cv. pfd.
            
April 1, 2010
          627,147          $ 1,500,000          $ 1.4141          $ 886,850             0.72 %  
Amerivon Holdings LLC
common equity units
            
April 1, 2010
          272,728             0              0.010             32,727             0.03 %  
 

(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, 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
                  4 %  
AA
                  6 %  
A
                  20 %  
BBB
                  26 %  
BB
                  17 %  
B
                  12 %  
CCC & below
                  3 %  
Not Rated
                  12 %  
 

* Excludes common stocks and cash.

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 amended, (the “Act”) as a diversified, closed-end management investment company.

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
June 30, 2013:

        Level 1
 		  
 Level 2
   
 Level 3
   
 Totals
Investments in Securities:
                                                                    
Common Stock:
                                                                    
Diversified Financial Services
               $ 937,622          $ —           $ —           $ 937,622   
Diversified Telecommunications Services
                  5,498,400             —              —              5,498,400   
Media
                  947,250             —              —              947,250   
Oil, Gas & Consumable Fuels
                  1,620,311             —              —              1,620,311   
Pharmaceuticals
                  5,722,281             —              —              5,722,281   
Semiconductors & Semiconductors Equipment
                  605,500             —              —              605,500   
Software
                  1,505,508             —              —              1,505,508   
Total Common Stock
                  16,836,872             —              —              16,836,872   
Convertible Bonds and Notes
                  —              75,062,473             —              75,062,473   
Convertible Preferred Stock
                  —              14,667,204             919,577             15,586,781   
Mandatory Convertible Securities
                  —              12,752,893             —              12,752,893   
Total Investments
               $ 16,836,872          $ 102,482,570          $ 919,577          $ 120,239,019   
 

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

        Convertible
Preferred
Stock
Beginning balance
               $ 919,577   
Change in unrealized appreciation (depreciation)
                  —    
Ending balance
               $ 919,577   
 

In May 2011, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2011-04 “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (”IFRS“)”. ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting to entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity, and a narrative description of the sensitivity of the fair value measurement to changes in observable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 will require reporting to entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. At this time, management is evaluating the implications of ASU 2011-04 and its impact on the financial statements.


In December 2011, FASB issued ASU No. 2011-11 related to disclosures about offsetting assets and liabilities. The amendments in this ASU require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The ASU is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The guidance requires retrospective application for all comparative periods presented. The Fund is currently evaluating the impact ASU 2011-11 will have on the financial statement disclosures.

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 approximately three cents per share for the nine months ended June 30, 2013. In addition, Federal tax regulations require the Fund to reclassify realized gains (losses) on contingent payment debt instruments to interest income. At June 30, 2013, there were unrealized losses of approximately two cents per share on contingent payment debt instruments.

Federal Income Tax Cost – At June 30, 2013, the cost basis of investments for federal income tax purposes, as well as the gross unrealized appreciation from investments for those securities having an excess of value over cost, gross unrealized depreciation from investments for those securities having an excess of cost over value and the net unrealized appreciation from investments were $105,208,349, $17,873,184, $(2,842,516) and $15,030,668, respectively.


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 August 27, 2013 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: August 27, 2013

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: August 27, 2013

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

Date: August 27, 2013