ELLSWORTH GROWTH & INCOME FUND LTD

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 Growth and Income Fund Ltd.                                

(Exact name of registrant as specified in charter)

One Corporate Center

                             Rye, New York 10580-1422                                

(Address of principal executive offices) (Zip code)

James A. Dinsmore

Gabelli Funds, LLC

One Corporate Center

            Rye, New York 10580-1422            

(Name and address of agent for service)

Registrant’s telephone number, including area code:   1-800-422-3554

Date of fiscal year end: September 30

Date of reporting period: December 31, 2018

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 


Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

 


Ellsworth Growth and Income Fund Ltd.

First Quarter Report — December 31, 2018

(Y)our Portfolio Management Team

 

LOGO

To Our Shareholders,

For the quarter ended December 31, 2018, the net asset value (NAV) total return of the Ellsworth Growth and Income Fund Ltd. was (12.6)%, compared with total returns of (9.3)% and (7.2)% for the ICE Bank of America Merrill Lynch U.S. Convertibles Index and the Bloomberg Barclays Balanced U.S. Convertibles Index, respectively. The total return for the Fund’s publicly traded shares was (15.4)%. The Fund’s NAV per share was $9.55, while the price of the publicly traded shares closed at $8.59 on the NYSE American. See below for additional performance information.

Enclosed is the schedule of investments, as of December 31, 2018.

Comparative Results

 

Average Annual Returns through December 31, 2018 (a)(b) (Unaudited)

 

     Quarter     1 Year     3 Year      5 Year      10 Year      Since
Inception
(06/30/86)
 

Ellsworth Growth and Income Fund Ltd.

               

   NAV Total Return (c)

     (12.62 )%      (2.92 )%      6.14%        5.25%        10.82%        7.62%   

   Investment Total Return (d)

     (15.40     (3.68     9.08           7.54           11.40           7.96      

ICE Bank of America Merrill Lynch U.S. Convertibles Index

     (9.31     0.15       7.93           5.95           12.21           N/A(e)  

Bloomberg Barclays Balanced U.S. Convertibles Index

     (7.16     (0.81     4.20           2.48           9.15           N/A(f)   

Standard & Poor’s (S&P) 500 Index

     (13.52     (4.38     9.26           8.49           13.12           9.80      

 

  (a)

Returns represent past performance and do not guarantee future results. Investment returns and the principal value of an investment will fluctuate. The Fund’s use of leverage may magnify the volatility of net asset value changes versus funds that don’t employ leverage. When shares are sold, they may be worth more or less than their original cost. Current performance may be lower or higher than the performance data presented. Visit www.gabelli.com for performance information as of the most recent month end. Performance returns for periods of less than one year are not annualized. Returns would have been lower had Gabelli Funds, LLC (the “Adviser”) not reimbursed certain expenses of the Fund. Investors should carefully consider the investment objectives, risks, charges, and expenses of the Fund before investing. The ICE Bank of America Merrill Lynch U.S. Convertibles Index is a market value weighted index of all dollar denominated convertible securities that are exchangeable into U.S. equities that have a market value of more than $50 million. The Bloomberg Barclays Balanced U.S. Convertibles Index is a market value weighted index that tracks the performance of publicly placed, dollar denominated convertible securities that are between 40% and 80% sensitive to movements in their underlying common stocks. The S&P 500 Index is an unmanaged indicator of stock market performance. Dividends and interest income are considered reinvested. You cannot invest directly in an index.

 
  (b)

The Fund’s fiscal year ends on September 30.

 
  (c)

Total returns and average annual returns reflect changes in the NAV per share, reinvestment of distributions at NAV on the ex-dividend date for the period beginning November 2015, and are net of expenses. Total returns and average annual returns were not adjusted for the 2004 rights offering. For the period from December 2008 through October 2015, the distributions were reinvested on the payable date using market prices. From inception through November 2008, distributions were reinvested on the payable date using NAV. Since inception return is based on an initial NAV of $9.30.

 
  (d)

Total returns and average annual returns reflect changes in closing market values on the NYSE American and reinvestment of distributions. Total returns and average annual returns were not adjusted for the 2004 rights offering. Since inception return is based on an initial offering price of $10.00.

 
  (e)

The ICE Bank of America Merrill Lynch U.S. Convertibles Index inception date is December 31, 1994.

 
  (f)

The Bloomberg Barclays Balanced U.S. Convertibles Index inception date is January 1, 2003.

 
      

 


Ellsworth Growth and Income Fund Ltd.

Schedule of Investments — December 31, 2018 (Unaudited)

 

 

Principal           Market  

Amount

         

Value

 
   CONVERTIBLE CORPORATE BONDS — 59.9%

 

   Aerospace — 2.4%   
$ 1,000,000     

Aerojet Rocketdyne Holdings Inc.,
2.250%, 12/15/23

   $     1,472,002  
  2,038,000     

Kaman Corp.,
3.250%, 05/01/24

     2,180,703  
     

 

 

 
        3,652,705  
     

 

 

 
   Automotive — 0.7%   
  1,000,000     

Tesla Inc.,
1.250%, 03/01/21

     1,125,811  
     

 

 

 
   Business Services — 1.6%   
  1,000,000     

Perficient Inc.,
2.375%, 09/15/23(a)

     891,179  
  1,000,000     

Q2 Holdings Inc.,
0.750%, 02/15/23(a)

     1,047,556  
  400,000     

RingCentral Inc.,
Zero Coupon, 03/15/23(a)

     475,348  
     

 

 

 
        2,414,083  
     

 

 

 
   Cable and Satellite — 1.8%

 

  2,000,000     

DISH Network Corp.,
3.375%, 08/15/26

     1,620,032  
  1,525,000     

Global Eagle Entertainment Inc.,
2.750%, 02/15/35

     1,131,419  
     

 

 

 
        2,751,451  
     

 

 

 
   Communications Equipment — 2.5%

 

  1,000,000     

Harmonic Inc.,
4.000%, 12/01/20

     1,058,125  
  2,000,000     

InterDigital Inc.,
1.500%, 03/01/20

     2,106,150  
  524,000     

Vocera Communications Inc.,
1.500%, 05/15/23(a)

     700,595  
     

 

 

 
        3,864,870  
     

 

 

 
   Computer Software and Services — 15.6%

 

  1,195,000     

Apptio Inc.,
0.875%, 04/01/23(a)

     1,351,308  
  1,235,000     

Boingo Wireless Inc.,
1.000%, 10/01/23(a)

     1,048,700  
  1,000,000     

Coupa Software Inc.,
0.375%, 01/15/23(a)

     1,515,625  
  2,500,000     

CSG Systems International Inc.,
4.250%, 03/15/36

     2,490,590  
  235,000     

DocuSign Inc.,
0.500%, 09/15/23(a)

     215,877  
  1,000,000     

Evolent Health Inc.,
1.500%, 10/15/25(a)

     923,991  
  697,000     

GDS Holdings Ltd.,
2.000%, 06/01/25(a)

     504,279  
  2,002,000     

IAC FinanceCo. Inc.,
0.875%, 10/01/22(a)

     2,664,208  
Principal           Market  

Amount

         

Value

 
$ 2,135,000     

Lumentum Holdings Inc.,
0.250%, 03/15/24

   $     2,152,624  
  1,500,000     

MercadoLibre Inc.,
2.000%, 08/15/28(a)

     1,353,750  
  1,795,000     

New Relic Inc.,
0.500%, 05/01/23(a)

     1,801,561  
  1,032,000     

Nice Systems Inc.,
1.250%, 01/15/24

     1,415,130  
  1,599,000     

Nutanix Inc.,
Zero Coupon, 01/15/23(a)

     1,754,989  
  812,000     

Okta Inc.,
0.250%, 02/15/23(a)

     1,187,116  
  1,700,000     

PROS Holdings Inc.,
2.000%, 06/01/47

     1,585,921  
  995,000     

Pure Storage Inc.,
0.125%, 04/15/23(a)

     929,131  
  1,174,000     

Splunk Inc.,
1.125%, 09/15/25(a)

     1,159,582  
     

 

 

 
        24,054,382  
     

 

 

 
   Consumer Services — 4.2%   
  1,500,000     

Extra Space Storage LP,
3.125%, 10/01/35(a)

     1,625,955  
  1,600,000     

Quotient Technology Inc.,
1.750%, 12/01/22

     1,516,960  
  1,500,000     

Square Inc.,
0.500%, 05/15/23(a)

     1,564,652  
  1,695,000     

Team Inc.,
5.000%, 08/01/23

     1,693,400  
     

 

 

 
        6,400,967  
     

 

 

 
   Diversified Industrial — 2.6%   
  750,000     

Chart Industries Inc.,
1.000%, 11/15/24(a)

     934,387  
  500,000     

KBR Inc.,
2.500%, 11/01/23(a)

     447,023  
  2,000,000     

Knowles Corp.,
3.250%, 11/01/21

     2,065,934  
  500,000     

TimkenSteel Corp.,
6.000%, 06/01/21

     518,014  
     

 

 

 
        3,965,358  
     

 

 

 
   Energy and Utilities — 3.6%   
  1,900,000     

Cheniere Energy Inc.,
4.250%, 03/15/45

     1,331,140  
  1,500,000     

Chesapeake Energy Corp.,
5.500%, 09/15/26

     1,211,043  
  258,000     

Goodrich Petroleum Escrow Bond,
Zero Coupon, 12/31/21†(a)(b)(c)(d)

     0  
  667,000     

Newpark Resources Inc.,
4.000%, 12/01/21(a)

     691,844  
 

 

See accompanying notes to schedule of investments.

 

2


Ellsworth Growth and Income Fund Ltd.

Schedule of Investments (Continued) — December 31, 2018 (Unaudited)

 

 

Principal           Market  

Amount

         

Value

 
   CONVERTIBLE CORPORATE BONDS (Continued)

 

   Energy and Utilities (Continued)   
$ 2,850,000     

SunPower Corp.,
4.000%, 01/15/23

   $     2,299,882  
     

 

 

 
        5,533,909  
     

 

 

 
   Entertainment — 0.6%   
  1,000,000     

Gannett Co. Inc.,
4.750%, 04/15/24(a)

     976,029  
     

 

 

 
   Financial Services — 1.1%   
  1,000,000     

Encore Capital Group Inc.,
3.000%, 07/01/20

     907,315  
  641,000     

LendingTree Inc.,
0.625%, 06/01/22

     797,590  
     

 

 

 
        1,704,905  
     

 

 

 
   Health Care — 11.4%   
  875,000     

ANI Pharmaceuticals Inc.,
3.000%, 12/01/19

     879,803  
  550,000     

Array BioPharma Inc.,
2.625%, 12/01/24(a)

     665,821  
  1,300,000     

BioMarin Pharmaceutical Inc.,
0.599%, 08/01/24

     1,295,969  
  575,000     

DexCom Inc.,
0.750%, 12/01/23(a)

     582,219  
  1,350,000     

Exact Sciences Corp.,
1.000%, 01/15/25

     1,485,810  
  250,000     

Horizon Pharma Investment Ltd.,
2.500%, 03/15/22

     249,837  
  1,080,000     

Insulet Corp.,
1.375%, 11/15/24(a)

     1,149,676  
  1,083,000     

Intercept Pharmaceuticals Inc.,
3.250%, 07/01/23

     1,003,265  
  500,000     

Invacare Corp.,
4.500%, 06/01/22

     337,176  
  1,171,000     

Neurocrine Biosciences Inc.,
2.250%, 05/15/24

     1,400,788  
  1,000,000     

NuVasive Inc.,
2.250%, 03/15/21

     1,054,955  
  1,500,000     

Pacira Pharmaceuticals Inc.,
2.375%, 04/01/22

     1,491,563  
  2,000,000     

Paratek Pharmaceuticals Inc.,
4.750%, 05/01/24(a)

     1,527,854  
  400,000     

Retrophin Inc.,
2.500%, 09/15/25

     359,410  
  1,000,000     

Supernus Pharmaceuticals Inc.,
0.625%, 04/01/23(a)

     945,000  
  1,500,000     

Teladoc Health Inc.,
3.000%, 12/15/22

     2,064,375  
  1,000,000     

Theravance Biopharma Inc.,
3.250%, 11/01/23

     1,031,250  
     

 

 

 
        17,524,771  
     

 

 

 
Principal           Market  

Amount

         

Value

 
   Semiconductors — 7.9%   
$ 500,000     

Advanced Micro Devices Inc.,
2.125%, 09/01/26

   $     1,216,875  
  1,500,000     

Cypress Semiconductor Corp.,
4.500%, 01/15/22

     1,775,427  
  2,250,000     

Inphi Corp.,
1.125%, 12/01/20

     2,371,858  
  1,000,000     

Microchip Technology Inc.,
1.625%, 02/15/27

     979,918  
  1,500,000     

NXP Semiconductors NV,
1.000%, 12/01/19

     1,504,509  
  2,159,000     

Rambus Inc.,
1.375%, 02/01/23

     1,883,162  
  1,180,000     

Silicon Laboratories Inc.,
1.375%, 03/01/22

     1,249,448  
  1,000,000     

Teradyne Inc.,
1.250%, 12/15/23

     1,188,125  
     

 

 

 
        12,169,322  
     

 

 

 
   Telecommunications — 2.8%   
  2,000,000     

Infinera Corp.,
2.125%, 09/01/24

     1,457,600  
  2,000,000     

Twilio Inc.,
0.250%, 06/01/23(a)

     2,860,062  
     

 

 

 
        4,317,662  
     

 

 

 
   Transportation — 1.1%   
  1,700,000     

Atlas Air Worldwide Holdings Inc.,
2.250%, 06/01/22

     1,646,972  
     

 

 

 
  

TOTAL CONVERTIBLE CORPORATE BONDS

     92,103,197  
     

 

 

 

Shares

             
   CONVERTIBLE PREFERRED STOCKS — 2.9%

 

   Agriculture — 0.5%   
  7,500     

Bunge Ltd., 4.875%

     727,500  
     

 

 

 
   Business Services — 0.3%   
  711,039     

Amerivon Holdings LLC, 4.000% (b)

     436,009  
  272,728     

Amerivon Holdings LLC,
common equity units (b)

     16,364  
     

 

 

 
        452,373  
     

 

 

 
   Financial Services — 1.3%   
  1,000     

Bank of America Corp., 7.250%

     1,252,500  
  583     

Wells Fargo & Co., 7.500%

     735,729  
     

 

 

 
        1,988,229  
     

 

 

 
   Food and Beverage — 0.8%   
  8,000     

Post Holdings Inc., 2.500%

     1,316,548  
     

 

 

 
  

TOTAL CONVERTIBLE PREFERRED STOCKS

     4,484,650  
     

 

 

 
 

 

See accompanying notes to schedule of investments.

 

3


Ellsworth Growth and Income Fund Ltd.

Schedule of Investments (Continued) — December 31, 2018 (Unaudited)

 

 

            Market  

Shares

         

Value

 
   MANDATORY CONVERTIBLE SECURITIES (e) — 14.2%

 

   Building and Construction — 1.1%   
  18,778     

Stanley Black & Decker Inc.,
5.375%, 05/15/20

   $     1,706,732  
     

 

 

 
   Computer Software and Services — 0.6%   
  10,000     

MTS Systems Corp.,
8.750%, 07/01/19

     943,366  
     

 

 

 
   Diversified Industrial — 2.2%   
  31,316     

International Flavors & Fragrances Inc.,
6.000%, 09/15/21

     1,587,721  
  35,100     

Rexnord Corp.,
5.750%, 11/15/19

     1,775,709  
     

 

 

 
        3,363,430  
     

 

 

 
   Energy and Utilities — 3.6%   
  7,800     

CenterPoint Energy Inc.,
7.000%, 09/01/21

     392,886  
  20,000     

Dominion Energy, Inc.,
6.750%, 08/15/19

     957,400  
  18,600     

DTE Energy Co.,
6.500%, 10/01/19

     960,876  
  21,666     

Hess Corp.,
8.000%, 02/01/19

     1,075,717  
  

Sempra Energy,

  
  5,383     

    6.000%, 01/15/21

     511,977  
  5,000     

    6.750%, 07/15/21

     482,200  
  25,890     

South Jersey Industries Inc.,
7.250%, 04/15/21

     1,207,251  
     

 

 

 
        5,588,307  
     

 

 

 
   Financial Services — 4.4%   
  10,000     

2017 Mandatory Exchangeable Trust,
5.188%, 12/01/20

     1,142,000  
  20,000     

Alibaba - Mandatory Exchange Trust,
5.750%, 06/01/19 (a)

     3,089,100  
  14,938     

Assurant Inc.,
6.500%, 03/15/21

     1,466,314  
  24,000     

New York Community Capital Trust V,
6.000%, 11/01/51

     1,064,400  
     

 

 

 
        6,761,814  
     

 

 

 
   Health Care — 1.4%   
  36,573     

Becton Dickinson and Co.,
6.125%, 05/01/20

     2,109,165  
     

 

 

 
            Market  

Shares

         

Value

 
   Real Estate — 0.9%   
  15,000     

QTS Realty Trust Inc.,
6.500%,

   $     1,414,200  
     

 

 

 
  

TOTAL MANDATORY CONVERTIBLE SECURITIES

     21,887,014  
     

 

 

 
   COMMON STOCKS — 21.4%   
   Business Services — 1.6%   
  5,000     

Alliance Data Systems Corp.

     750,400  
  20,000     

PayPal Holdings Inc.†

     1,681,800  
     

 

 

 
        2,432,200  
     

 

 

 
   Computer Software and Services — 1.8%   
  14,300     

Microsoft Corp.

     1,452,451  
  15,925     

Proofpoint Inc.†

     1,334,674  
     

 

 

 
        2,787,125  
     

 

 

 
   Consumer Products — 0.9%   
  24,000     

Unilever NV

     1,291,200  
     

 

 

 
   Energy and Utilities — 0.6%   
  8,000     

Chevron Corp.

     870,320  
  91     

Goodrich Petroleum Corp.†

     1,229  
     

 

 

 
        871,549  
     

 

 

 
   Entertainment — 0.5%   
  7,500     

The Walt Disney Co.

     822,375  
     

 

 

 
   Financial Services — 1.3%   
  9,546     

Citigroup Inc.

     496,965  
  50,000     

Huntington Bancshares Inc.

     596,000  
  36,434     

Synchrony Financial

     854,742  
     

 

 

 
        1,947,707  
     

 

 

 
   Food and Beverage — 1.0%   
  30,000     

B&G Foods Inc.

     867,300  
  30,000     

Conagra Brands Inc.

     640,800  
     

 

 

 
        1,508,100  
     

 

 

 
   Health Care — 3.4%   
  15,000     

Eli Lilly & Co.

     1,735,800  
  22,651     

Merck & Co. Inc.

     1,730,763  
  40,000     

Pfizer Inc.

     1,746,000  
     

 

 

 
        5,212,563  
     

 

 

 
   Real Estate — 7.3%   
  15,000     

American Tower Corp., REIT

     2,372,850  
  16,100     

Crown Castle International Corp., REIT

     1,748,943  
  7,000     

Equinix Inc., REIT

     2,467,920  
  58,700     

Invesco Mortgage Capital Inc., REIT

     849,976  
  15,000     

SBA Communications Corp., REIT†

     2,428,350  
  20,000     

Welltower Inc., REIT

     1,388,200  
     

 

 

 
        11,256,239  
     

 

 

 
 

 

See accompanying notes to schedule of investments.

 

4


Ellsworth Growth and Income Fund Ltd.

Schedule of Investments (Continued) — December 31, 2018 (Unaudited)

 

 

            Market  

Shares

         

Value

 
   COMMON STOCKS (Continued)   
   Semiconductors — 0.9%   
  30,000     

Intel Corp.

   $ 1,407,900  
     

 

 

 
   Telecommunications — 2.1%   
  30,000     

AT&T Inc.

     856,200  
  16,119     

T-Mobile US Inc.†

     1,025,330  
  25,000     

Verizon Communications Inc.

     1,405,500  
     

 

 

 
        3,287,030  
     

 

 

 
   TOTAL COMMON STOCKS      32,823,988  
     

 

 

 
   WARRANTS — 0.0%   
   Energy and Utilities — 0.0%   
  781     

Goodrich Petroleum Corp., expire
10/12/26†(b)

     0  
     

 

 

 

 

Principal              

Amount

             
   U.S. GOVERNMENT OBLIGATIONS — 1.6%

 

$ 2,486,000     

U.S. Treasury Bills,

  
  

    2.281% to 2.377%††,

  
  

    01/31/19 to 03/28/19

     2,479,112  
     

 

 

 
  

TOTAL INVESTMENTS — 100.0%
(Cost $141,788,214)

   $ 153,777,961  
     

 

 

 

 

(a)

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2018, the market value of Rule 144A securities amounted to $36,584,417 or 23.79% of total investments.

(b)

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(c)

At December 31, 2018, the Fund held investments in restricted and illiquid securities amounting to $0 or 0.00% of the Fund’s total investments, which were valued under methods approved by the Board of Trustees as follows:

 

Acquisition
Principal
Amount
 

Issuer

  Acquisition
Date
  Acquisition
Cost
  12/31/18
Carrying
Value
Per Bond
 
$258,000  

Goodrich Petroleum Escrow Bond, Zero Coupon, 12/31/21

  12/14/16   $0     $0  

 

(d)

Security in default.

(e)

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.

Non-income producing security.

††

Represents annualized yields at dates of purchase.

 

REIT

Real Estate Investment Trust

 

 

See accompanying notes to schedule of investments.

 

5


Ellsworth Growth and Income Fund Ltd.

Notes to Schedule of Investments (Unaudited)

 

As an investment company, the Fund follows the investment company accounting and reporting guidance, which is part of U.S. generally accepted accounting principles (GAAP) that may require the use of management estimates and assumptions in the preparation of its schedule of investments. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Fund in the preparation of its schedule of investments.

Security Valuation. Portfolio securities listed or traded on a nationally recognized securities exchange or traded in the U.S. over-the-counter market for which market quotations are readily available are valued at the last quoted sale price or a market’s official closing price as of the close of business on the day the securities are being valued. If there were no sales that day, the security is valued at the average of the closing bid and asked prices or, if there were no asked prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked prices are quoted on such day, the security is valued at the most recently available price or, if the Board of Trustees (the Board) so determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfolio securities traded on more than one national securities exchange or market are valued according to the broadest and most representative market, as determined by Gabelli Funds, LLC (the Adviser).

Portfolio securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change significantly after the close of the foreign market, but prior to the close of business on the day the securities are being valued. Debt obligations for which market quotations are readily available are valued at the average of the latest bid and asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price, unless the Board determines such amount does not reflect the securities’ fair value, in which case these securities will be fair valued as determined by the Board. Certain securities are valued principally using dealer quotations. Futures contracts are valued at the closing settlement price of the exchange or board of trade on which the applicable contract is traded. OTC futures and options on futures for which market quotations are readily available will be valued by quotations received from a pricing service or, if no quotations are available from a pricing service, by quotations obtained from one or more dealers in the instrument in question by the Adviser.

Securities and assets for which market quotations are not readily available are fair valued as determined by the Board. Fair valuation methodologies and procedures may include, but are not limited to: analysis and review of available financial and non-financial information about the company; comparisons with the valuation and changes in valuation of similar securities, including a comparison of foreign securities with the equivalent U.S. dollar value American Depositary Receipt securities at the close of the U.S. exchange; and evaluation of any other information that could be indicative of the value of the security.

The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

   

Level 1 — quoted prices in active markets for identical securities;

 

   

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and

 

   

Level 3 — significant unobservable inputs (including the Board’s determinations as to the fair value of investments).

 

6


Ellsworth Growth and Income Fund Ltd.

Notes to Schedule of Investments (Unaudited) (Continued)

 

 

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in the aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund’s investments in securities by inputs used to value the Fund’s investments as of December 31, 2018 is as follows:

 

     Valuation Inputs    Total Market Value
at 12/31/18
     Level 1
Quoted Prices
   Level 2 Other Significant
Observable Inputs
   Level 3 Significant
Unobservable Inputs

INVESTMENTS IN SECURITIES:

                   

ASSETS (Market Value):

                   

Convertible Corporate Bonds:

                   

Energy and Utilities

              $    5,533,909        $              0        $    5,533,909

Other Industries (a)

              86,569,288               86,569,288

Total Convertible Corporate Bonds

              92,103,197        0        92,103,197

Convertible Preferred Stocks:

                   

Business Services

                     452,373        452,373

Food and Beverage

              1,316,548               1,316,548

Other Industries (a)

       $  2,715,729                      2,715,729

Total Convertible Preferred Stocks

       2,715,729        1,316,548        452,373        4,484,650

Mandatory Convertible Securities:

                   

Computer Software and Services

              943,366               943,366

Energy and Utilities

       4,381,056        1,207,251               5,588,307

Financial Services

       2,530,714        4,231,100               6,761,814

Other Industries (a)

       8,593,527                      8,593,527

Total Mandatory Convertible Securities

       15,505,297        6,381,717               21,887,014

Common Stocks (a)

       32,823,988                      32,823,988

Warrants (a)

                     0        0

U.S. Government Obligations

              2,479,112               2,479,112

TOTAL INVESTMENTS IN SECURITIES

       $51,045,014        $102,280,574        $452,373        $153,777,961

 

(a)

Please refer to the Schedule of Investments (SOI) for the industry classifications of these portfolio holdings.

Additional Information to Evaluate Qualitative Information.

General. The Fund uses recognized industry pricing services – approved by the Board and unaffiliated with the Adviser – to value most of its securities, and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources. Several different pricing feeds are received to value domestic equity securities, international equity securities, preferred equity securities, and fixed income securities. The data within these feeds are ultimately sourced from major stock exchanges and trading systems where these securities trade. The prices supplied by external sources are checked by obtaining quotations or actual transaction prices from market participants. If a price obtained from the pricing source is deemed unreliable, prices will be sought from another pricing service or from a broker/dealer that trades that security or similar securities.

Fair Valuation. Fair valued securities may be common or preferred equities, warrants, options, rights, or fixed income obligations. Where appropriate, Level 3 securities are those for which market quotations are not available, such as securities not traded for several days, or for which current bids are not available, or which are restricted as to transfer. When fair valuing a security, factors to consider include recent prices of comparable securities that are publicly traded, reliable prices of securities not publicly traded, the use of valuation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the preceding factors do not

 

7


Ellsworth Growth and Income Fund Ltd.

Notes to Schedule of Investments (Unaudited) (Continued)

 

 

apply. A significant change in the unobservable inputs could result in a lower or higher value in Level 3 securities. The circumstances of Level 3 securities are frequently monitored to determine if fair valuation measures continue to apply.

The Adviser reports quarterly to the Board the results of the application of fair valuation policies and procedures. These may include backtesting the prices realized in subsequent trades of these fair valued securities to fair values previously recognized.

Investments in Other Investment Companies. The Fund may invest, from time to time, in shares of other investment companies (or entities that would be considered investment companies but are excluded from the definition pursuant to certain exceptions under the 1940 Act) (the Acquired Funds) in accordance with the 1940 Act and related rules. Shareholders in the Fund would bear the pro rata portion of the periodic expenses of the Acquired Funds in addition to the Fund’s expenses. During the period ended December 31, 2018, the Fund’s pro rata portion of the periodic expenses charged by the Acquired Funds was approximately 0.03%.

Foreign Currency Translations. The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments, and other assets and liabilities are translated into U.S. dollars at current exchange rates. Purchases and sales of investment securities, income, and expenses are translated at the exchange rate prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign exchange rates and/or changes in market prices of securities have been included in unrealized appreciation/depreciation on investments and foreign currency translations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received. The portion of foreign currency gains and losses related to fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gain/(loss) on investments.

Foreign Securities. The Fund may directly purchase securities of foreign issuers. Investing in securities of foreign issuers involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the inability to repatriate funds, less complete financial information about companies, and possible future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than securities of comparable U.S. issuers.

Restricted Securities. The Fund may invest up to 15% of its net assets in securities for which the markets are restricted. Restricted securities include securities whose disposition is subject to substantial legal or contractual restrictions. The sale of restricted securities often requires more time and results in higher brokerage charges or dealer discounts and other selling expenses than the sale of securities eligible for trading on national securities exchanges or in the over-the-counter markets. Restricted securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Securities freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they satisfy liquidity standards established by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly the Board will monitor their liquidity. For the restricted securities the Fund held as of December 31, 2018, refer to the Schedule of Investments.

 

8


Ellsworth Growth and Income Fund Ltd.

Notes to Schedule of Investments (Unaudited) (Continued)

 

 

Foreign Taxes. The Fund may be subject to foreign taxes on income, gains on investments, or currency repatriation, a portion of which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.

Tax Information. The Fund intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended.

 

9


Ellsworth Growth and Income Fund Ltd.

One Corporate Center

Rye, NY 10580-1422

(Y)our Portfolio Management Team Biographies

Thomas H. Dinsmore, CFA, joined Gabelli Funds, LLC in 2015. He currently serves as a portfolio manager of Gabelli Funds, LLC and manages several funds within the Gabelli/GAMCO Funds Complex. Previously Mr. Dinsmore was Chairman and CEO of Dinsmore Capital Management; CEO and Portfolio Manager of Bancroft Fund Ltd; and CEO, Portfolio Manager, and co-founder of Ellsworth Growth and Income Fund Ltd. He received a BS in Economics from the Wharton School of Business and an MA degree in Economics from Fairleigh Dickinson University.

Jane D. O’Keeffe joined Gabelli Funds, LLC in 2015. She currently serves as a portfolio manager of Gabelli Funds, LLC and manages several funds within the Gabelli/GAMCO Funds Complex. Previously Ms. O’Keeffe was President and Director of Dinsmore Capital Management where she was also a Portfolio Manager of Bancroft Fund Ltd. and Ellsworth Growth and Income Fund Ltd. Prior to joining Dinsmore Capital Management, Ms. O’Keeffe held positions of increasing responsibilities at IDS Progressive Fund, Soros Fund Management Company, Simms Capital Management, and Fiduciary Trust International. She earned a BA from the University of New Hampshire and attended the Lubin Graduate School of Business at Pace University.

James A. Dinsmore, CFA, joined Gabelli Funds, LLC in 2015. He currently serves as a portfolio manager of Gabelli Funds, LLC and manages several funds within the Gabelli/GAMCO Funds Complex. Mr. Dinsmore received a BA in Economics from Cornell University and an MBA degree from Rutgers University.

 

 

We have separated the portfolio managers’ commentary from the financial statements and investment portfolio due to corporate governance regulations stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that the content of the portfolio managers’ commentary is unrestricted. Both the commentary and the financial statements, including the portfolio of investments, will be available on our website at www.gabelli.com.

The Net Asset Value per share appears in the Publicly Traded Funds column, under the heading “Specialized Equity Funds,” in Monday’s The Wall Street Journal. It is also listed in Barron’s Mutual Funds/Closed End Funds section under the heading “Convertible Securities Funds.”

The Net Asset Value per share may be obtained each day by calling (914) 921-5070 or visiting www.gabelli.com.

The NASDAQ symbol for the Net Asset Value is “XECFX.”

 

Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of 1940, as amended, that the Fund may from time to time purchase its common shares in the open market when the Fund’s shares are trading at a discount of 10.0% or more from the net asset value of the shares. The Fund may also from time to time purchase its preferred shares in the open market when the preferred shares are trading at a discount to the liquidation value.


ELLSWORTH GROWTH AND INCOME FUND LTD.

One Corporate Center

Rye, NY 10580-1422

 

t

800-GABELLI (800-422-3554)

f

914-921-5118

e

info@gabelli.com

 

GABELLI.COM

 

 

 

TRUSTEES

Mario J. Gabelli, CFA

Chairman and

Chief Executive Officer,

GAMCO Investors, Inc.

Executive Chairman,

Associated Capital Group Inc.

Kinchen C. Bizzell

Former Managing Director,

CAVU Securities

Elizabeth C. Bogan

Senior Lecturer, Economics

Princeton University

James P. Conn

Former Managing Director &

Chief Investment Officer,

Financial Security Assurance

Holdings Ltd.

James A. Dinsmore, CFA

Portfolio Manager,

Gabelli Funds, LLC

Frank J. Fahrenkopf, Jr.

Former President &

Chief Executive Officer,

American Gaming Association

Daniel D. Harding

Managing General Partner,

Global Equity Income Fund

Michael J. Melarkey

Of Counsel,

McDonald Carano Wilson LLP

Kuni Nakamura

President,

Advanced Polymer, Inc.

Nicolas W. Platt

Former Managing Director,

FTI Consulting Inc.

Anthonie C. van Ekris

Chairman,

BALMAC International Inc.

OFFICERS

James A. Dinsmore, CFA

President

John C. Ball

Treasurer

Agnes Mullady

Vice President

Andrea R. Mango

Secretary & Vice President

Richard J. Walz

Chief Compliance Officer

Laurissa M. Martire

Vice President & Ombudsman

Bethany A. Uhlein

Vice President & Ombudsman

INVESTMENT ADVISER

Gabelli Funds, LLC

CUSTODIAN

State Street Bank and Trust

Company

COUNSEL

Skadden, Arps, Slate, Meagher &

Flom LLP

TRANSFER AGENT AND

REGISTRAR

American Stock Transfer and

Trust Company

 

 

 

ECF Q4/2018

LOGO

 


Item 2. Controls and Procedures.

 

  (a)

The registrant’s principal executive and principal financial officers, 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 “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 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 240.15d-15(b)).

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 


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.

 

(Registrant)        Ellsworth Growth and Income Fund Ltd.                                                                        

By (Signature and Title)*        /s/ James A. Dinsmore                                                                                

                                                      James A. Dinsmore, Principal Executive  Officer

Date     2/26/2019                                                                                                                                         

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 (Signature and Title)*        /s/ James A. Dinsmore                                                                              

                                                      James A. Dinsmore, Principal Executive Officer

Date     2/26/2019                                                                                                                                         

By (Signature and Title)*        /s/ John C. Ball                                                                                           

                                                      John C. Ball, Principal Financial Officer and Treasurer

Date     2/26/2019                                                                                                                                       

* Print the name and title of each signing officer under his or her signature.