UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-04656

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Ellsworth Fund Ltd.

-------------------------------------------------------------------------------

(Exact name of registrant as specified in charter)

 

65 Madison Avenue, Morristown, New Jersey 07960-7308

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(Address of principal executive offices) (Zip code)

 

Thomas H. Dinsmore

Ellsworth Fund Ltd.

65 Madison Avenue

Morristown, New Jersey 07960-7308

(Name and address of agent for service)

 

Copy to:

Steven B. King, Esq.

Ballard Spahr LLP

1735 Market Street, 51st Floor

Philadelphia, PA 19103-7599

 

Registrant's telephone number, including area code: 973-631-1177

 

Date of fiscal year end: September 30, 2010

 

Date of reporting period: December 31, 2009

 

ITEM 1. SCHEDULE OF INVESTMENTS.

 

 

Ellsworth Fund Ltd. - Portfolio of Investments (unaudited)

 

 

 

 

 

 

 

 

 

December 31, 2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

Amount

 

 

Value

CONVERTIBLE BONDS AND NOTES - 70.2%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aerospace and Defense - 1.6%

 

 

 

 

 

 

 

 

Alliant Techsystems Inc. 2.75%, due 2011 cv. sr. sub. notes (B1)

 

 

$

1,000,000

 

$

1,065,000

GenCorp Inc. 4.0625%, due 2039 cv. sub. notes (NR) (1)

 

 

 

500,000

 

 

510,625

 

 

 

 

 

 

 

 

 

1,575,625

Automotive - 1.1%

 

 

 

 

 

 

 

 

 

Titan International, Inc. 5.625%, due 2017 cv. sr. sub. notes (NR) (1)

 

 

 

1,000,000

 

 

1,062,100

 

 

 

 

 

 

 

 

 

 

Computer Hardware - 4.1%

 

 

 

 

 

 

 

 

EMC Corp. 1.75%, due 2013 cv. sr. notes (A-)

 

 

 

1,000,000

 

 

1,256,250

NETAPP, Inc. 1.75%, due 2023 cv. sr. notes (NR)

 

 

 

1,500,000

 

 

1,867,500

Richardson Electronics, Ltd. 8%, due 2011 cv. sr. sub. notes (NR)

 

 

 

1,000,000

 

 

1,005,000

 

 

 

 

 

 

 

 

 

4,128,750

Computer Software - 7.0%

 

 

 

 

 

 

 

 

Blackboard Inc. 3.25%, due 2027 cv. sr. notes (BB-)

 

 

 

2,500,000

 

 

2,584,375

GSI Commerce, Inc. 2.5%, due 2027 cv. sr. notes (NR)

 

 

 

1,500,000

 

 

1,606,875

Nuance Communications Inc. 2.75%, due 2027 cv. sr. deb. (B-)

 

 

 

1,000,000

 

 

1,075,000

Sybase, Inc. 3.5%, due 2029 cv. sr. notes (NR) (1)

 

 

 

1,500,000

 

 

1,785,000

 

 

 

 

 

 

 

 

 

7,051,250

Consumer Goods - 2.1%

 

 

 

 

 

 

 

 

Chattem, Inc. 1.625%, due 2014 cv. sr. notes (NR)

 

 

 

900,000

 

 

1,225,125

Regis Corp. 5%, due 2014 cv. sr. notes (NR)

 

 

 

750,000

 

 

928,125

 

 

 

 

 

 

 

 

 

2,153,250

Energy - 7.8%

 

 

 

 

 

 

 

 

 

Covanta Holding Corp. 1%, due 2027 cv. sr. deb. (Ba3) (2)

 

 

 

2,000,000

 

 

1,877,500

Goodrich Petroleum Corp. 5%, due 2029 cv. sr. notes (NR)

 

 

 

1,000,000

 

 

1,033,750

McMoRan Exploration Co. 5.25%, due 2011 cv. sr. notes (NR)

 

 

 

1,090,000

 

 

1,075,013

Oil States International, Inc. 2.375%, due 2025 contingent cv. sr. notes (NR)

 

 

1,075,000

 

 

1,491,563

SunPower Corp. 1.25%, due 2027 cv. sr. deb. (NR)

 

 

 

1,500,000

 

 

1,301,250

Trina Solar Ltd. 4%, due 2013 cv. sr. notes (NR)

 

 

 

 

 

 

 

(exchangeable for ADS representing common shares)

 

 

 

500,000

 

 

851,875

Verenium Corp. 9%, due 2027 cv. sr. secured notes

 

 

 

337,000

 

 

224,611

 

 

 

 

 

 

 

 

 

7,855,562

Financial Services - 4.8%

 

 

 

 

 

 

 

 

Coinstar, Inc. 4%, due 2014 cv. sr. notes (BB)

 

 

 

1,000,000

 

 

1,000,000

Old Republic International Corp. 8%, due 2012 cv. sr. notes (BBB)

 

 

 

1,500,000

 

 

1,696,875

Euronet Worldwide, Inc. 3.5%, due 2025 cv. deb. (B+) (2)

 

 

 

2,250,000

 

 

2,112,188

 

 

 

 

 

 

 

 

 

4,809,063

Foods - 2.4%

 

 

 

 

 

 

 

 

 

Central European Distribution Corp. 3%, due 2013 cv. sr. notes (B-)

 

 

 

1,300,000

 

 

1,109,875

The Great Atlantic & Pacific Tea Company, Inc. 5.125%, due 2011 cv. sr. notes (Caa1)

 

683,000

 

 

659,095

The Great Atlantic & Pacific Tea Company, Inc. 6.75%, due 2012 cv. sr. notes (Caa1)

 

700,000

 

 

639,625

 

 

 

 

 

 

 

 

 

2,408,595

Healthcare - 8.0%

 

 

 

 

 

 

 

 

 

China Medical Technologies, Inc. 4%, due 2013 cv. sr. sub. notes (NR)

 

 

 

 

 

 

(exchangeable for ADS representing common stock)

 

 

 

1,750,000

 

 

1,117,813

Greatbatch, Inc. 2.25%, due 2013 cv. sub. deb. (NR) (2)

 

 

 

1,500,000

 

 

1,288,125

Kinetic Concepts, Inc. 3.25%, due 2015 cv. sr. notes (B+)

 

 

 

2,000,000

 

 

1,985,000

Millipore Corp. 3.75%, due 2026 cv. sr. notes (BB-) (2)

 

 

 

1,750,000

 

 

1,813,438

Omnicare, Inc. 3.25%, due 2035 cv. sr. deb. (B3) (2)

 

 

 

850,000

 

 

695,938

SonoSite Inc. 3.75%, due 2014 cv. sr. notes (NR)

 

 

 

1,250,000

 

 

1,193,750

 

 

 

 

 

 

 

 

 

8,094,064

 

Ellsworth Fund Ltd. - Portfolio of Investments (continued)

 

 

 

 

 

 

 

 

 

December 31, 2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

Amount

 

 

Value

CONVERTIBLE BONDS AND NOTES - continued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Leisure Products - 0.8%

 

 

 

 

 

 

 

 

JAKKS Pacific, Inc. 4.5%, due 2014 cv. sr. notes (NR) (1)

 

 

$

750,000

 

$

775,313

 

 

 

 

 

 

 

 

 

 

Minerals and Mining - 1.1%

 

 

 

 

 

 

 

 

Jaguar Mining, Inc. 4.5%, due 2014 cv. sr. notes (NR) (1)

 

 

 

1,000,000

 

 

1,101,250

 

 

 

 

 

 

 

 

 

 

Multi-Industry - 1.4%

 

 

 

 

 

 

 

 

LSB Industries, Inc. 5.5%, due 2012 cv. sr. sub. deb. (NR)

 

 

 

1,500,000

 

 

1,475,625

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals - 7.2%

 

 

 

 

 

 

 

 

Cephalon, Inc. 2.5%, due 2014 cv. sr. sub. notes (NR)

 

 

 

1,000,000

 

 

1,121,250

Endo Pharmaceuticals Holdings, Inc. 1.75%, due 2015 cv. sr. sub. notes (NR) (1)

 

 

1,500,000

 

 

1,398,750

Mylan Inc. 3.75%, due 2015 cash cv. notes (BB-)

 

 

 

1,000,000

 

 

1,543,750

Mylan Laboratories, Inc. 1.25%, due 2012 cv. sr. notes (BB-)

 

 

 

500,000

 

 

521,250

Onyx Pharmaceuticals, Inc. 4%, due 2016 cv. sr. notes (NR)

 

 

 

750,000

 

 

797,813

Teva Pharmaceutical Finance Co. B.V. 1.75%, due 2026 cv. sr. deb. (Baa1)

 

 

 

 

 

 

(exchangeable for Teva Pharmaceutical Industries Ltd. ADR)

 

 

 

1,500,000

 

 

1,856,250

 

 

 

 

 

 

 

 

 

7,239,063

Semiconductors - 2.0%

 

 

 

 

 

 

 

 

Intel Corp. 2.95%, due 2035 jr. sub. cv. deb. (A-) (2)

 

 

 

1,500,000

 

 

1,455,000

Intel Corp. 3.25%, due 2039 jr. sub. cv. deb. (A-) (1)

 

 

 

500,000

 

 

576,875

 

 

 

 

 

 

 

 

 

2,031,875

Telecommunications - 15.2%

 

 

 

 

 

 

 

 

ADC Telecommunications Inc. floating rate, due 2013 cv. sub. notes (NR)

 

 

2,025,000

 

 

1,645,313

Anixter International Inc. 1%, due 2013 cv. sr. notes (BB-)

 

 

 

1,500,000

 

 

1,451,250

CommScope, Inc. 3.25%, due 2015 cv. sr. sub. notes (B)

 

 

 

1,000,000

 

 

1,188,750

Comtech Telecommunications Corp. 3% due 2029 cv. sr. notes (NR) (1)

 

 

1,000,000

 

 

1,165,000

Equinix, Inc. 2.5%, due 2012 cv. sub. notes (B-)

 

 

 

1,200,000

 

 

1,329,000

Equinix, Inc. 4.75%, due 2016 cv. sub. notes (B-)

 

 

 

1,015,000

 

 

1,497,125

Finisar Corp. 5% due 2029 cv. sr. notes (NR)

 

 

 

1,000,000

 

 

1,102,500

NII Holdings, Inc. 2.75%, due 2025 cv. notes (B-)

 

 

 

1,750,000

 

 

1,752,188

SAVVIS, Inc. 3%, due 2012 cv. sr. notes (NR)

 

 

 

2,000,000

 

 

1,830,000

SBA Communications Corp. 4%, due 2014 cv. sr. notes (NR) (1)

 

 

 

750,000

 

 

988,125

SBA Communications Corp. 1.875%, due 2013 cv. sr. notes (NR)

 

 

 

500,000

 

 

515,625

Telecommunications Systems, Inc. 4.5%, due 2014 cv. sr. notes (NR) (1)

 

 

750,000

 

 

902,813

 

 

 

 

 

 

 

 

 

15,367,689

Transportation - 2.9%

 

 

 

 

 

 

 

 

DryShips, Inc. 5%, due 2014 cv. sr. notes

 

 

 

1,000,000

 

 

1,025,000

ExpressJet Holdings, Inc. 4.25%, due 2023 cv. notes (NR)

 

 

 

900,000

 

 

866,250

JetBlue Airways Corp. 3.75%, due 2035 cv. deb. (Ca)

 

 

 

1,000,000

 

 

998,750

 

 

 

 

 

 

 

 

 

2,890,000

Travel and Leisure - 0.7%

 

 

 

 

 

 

 

 

Morgans Hotel Group 2.375%, due 2014 cv. sr. sub. notes (NR)

 

 

 

1,000,000

 

 

658,750

 

 

 

 

 

 

 

 

 

 

TOTAL CONVERTIBLE BONDS AND NOTES

 

 

 

 

 

 

70,677,824

 

Ellsworth Fund Ltd. - Portfolio of Investments (continued)

 

 

 

 

 

 

 

 

 

December 31, 2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

Amount

 

 

Value

 

 

 

 

 

 

 

 

 

 

CORPORATE BONDS AND NOTES - 1.1%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Finance - 0.3%

 

 

 

 

 

 

 

 

 

Lehman Brothers Holdings Inc. 6%, due 2010 medium-term notes (NR) (3)

 

$

50,000

 

$

159,000

Lehman Brothers Holdings Inc. 1%, due 2009 medium-term notes (NR) (3)

 

 

1,500,000

 

 

191,250

 

 

 

 

 

 

 

 

 

350,250

Retail - 0.7%

 

 

 

 

 

 

 

 

 

Amerivon Holdings LLC 4% units containing cv. promissory note

 

 

 

 

 

 

 

due 2010 and warrants expiring 2012 (NR)

 

 

 

 

 

 

 

(Acquired 06/01/07; Cost $1,500,000) (1,4,5)

 

 

 

1,500,000

 

 

750,000

 

 

 

 

 

 

 

 

 

 

TOTAL CORPORATE BONDS AND NOTES

 

 

 

 

 

 

1,100,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

Value

 

 

 

 

 

 

 

 

 

 

CONVERTIBLE PREFERRED STOCKS - 11.3%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Banking/Savings and Loan - 4.2%

 

 

 

 

 

 

 

 

Bank of America Corp. 7.25% non-cum. perpetual cv. pfd., series L (Ba3)

 

 

1,000

 

 

879,000

New York Community Bancorp, Inc. 6% BONUSES units (Baa2)

 

 

 

24,000

 

 

1,117,200

Sovereign Capital Trust IV 4.375% PIERS (Baa2)

 

 

 

 

 

 

 

(exchangeable for Sovereign Bancorp, Inc. common stock) (2)

 

 

 

14,000

 

 

448,000

Wells Fargo Corp. 7.5% perpetual cv. pfd., series L (Ba1)

 

 

 

2,000

 

 

1,836,000

 

 

 

 

 

 

 

 

 

4,280,200

Chemicals - 1.6%

 

 

 

 

 

 

 

 

 

Celanese Corp. 4.25% perpetual cv. pfd. (NR)

 

 

 

40,000

 

 

1,632,800

 

 

 

 

 

 

 

 

 

 

Energy - 4.4%

 

 

 

 

 

 

 

 

 

ATP Oil & Gas Corp. 8% perpetual cv. pfd. (NR) (1)

 

 

 

7,500

 

 

788,438

Chesapeake Energy Corp. 4.5% cum. cv. pfd. (B+)

 

 

 

21,360

 

 

1,799,580

Whiting Petroleum Corp. 6.25% perpetual cv. pfd. (B-)

 

 

 

10,000

 

 

1,796,600

 

 

 

 

 

 

 

 

 

4,384,618

Foods - 1.1%

 

 

 

 

 

 

 

 

 

Bunge Limited 4.875% cum. perpetual cv. pfd. (Ba1)

 

 

 

12,500

 

 

1,118,750

 

 

 

 

 

 

 

 

 

 

TOTAL CONVERTIBLE PREFERRED STOCKS

 

 

 

 

 

 

11,416,368

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

MANDATORY CONVERTIBLE SECURITIES - 8.0% (6)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Energy - 2.5%

 

 

 

 

 

 

 

 

 

Great Plains Energy, Inc. 12%, due 06/15/12 equity units (NR) (2)

 

 

 

20,000

 

 

1,320,000

Merrill Lynch & Co., Inc. 5.4%, due 09/27/10 PRIDES (A+)

 

 

 

 

 

 

 

(linked to the performance of ConocoPhillips common stock)

 

 

 

2,000

 

 

1,154,520

 

 

 

 

 

 

 

 

 

2,474,520

Finance - 0.8%

 

 

 

 

 

 

 

 

 

Citigroup, Inc. 7.5%, due 12/15/12 T-DECS (NR)

 

 

 

7,500

 

 

782,550

 

 

 

 

 

 

 

 

 

 

Foods - 0.9%

 

 

 

 

 

 

 

 

 

2009 Dole Food ACES Trust 7%, due 11/1/2012 (NR)

 

 

 

 

 

 

 

(exchangeable for Dole Food Company, Inc. common stock) (1)

 

 

 

80,000

 

 

946,248

 

Ellsworth Fund Ltd. - Portfolio of Investments (continued)

 

 

 

 

 

 

 

 

 

December 31, 2009

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

 

Value

MANDATORY CONVERTIBLE SECURITIES - continued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Minerals and Mining - 3.8%

 

 

 

 

 

 

 

 

Freeport-McMoRan Copper & Gold Inc. 6.75%, due 05/01/10 mandatory cv. pfd. (BB)

 

15,000

 

$

1,728,000

Vale Capital II 6.75%, due 06/15/12 mandatory cv. notes (BBBH)

 

 

 

 

 

 

 

(exchangeable for ADS representing Vale S.A. common stock)

 

 

 

19,200

 

 

1,608,000

Vale Capital II 6.75%, due 06/15/12 mandatory cv. notes (BBBH)

 

 

 

 

 

 

 

(exchangeable for ADS representing Vale S.A. preferred A shares)

 

 

 

6,500

 

 

537,875

 

 

 

 

 

 

 

 

 

3,873,875

 

 

 

 

 

 

 

 

 

 

TOTAL MANDATORY CONVERTIBLE SECURITIES (6)

 

 

 

 

 

 

8,077,193

 

 

 

 

 

 

 

 

 

 

COMMON STOCKS - 5.0%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Media and Entertainment - 2.0%

 

 

 

 

 

 

 

 

The Walt Disney Company

 

 

 

 

60,000

 

 

1,935,000

 

 

 

 

 

 

 

 

 

 

Pharmaceuticals - 1.5%

 

 

 

 

 

 

 

 

Johnson & Johnson

 

 

 

 

 

10,500

 

 

676,305

Merck & Co.

 

 

 

 

 

23,651

 

 

864,208

 

 

 

 

 

 

 

 

 

1,540,513

Telecommunications - 1.5%

 

 

 

 

 

 

 

 

AT&T

 

 

 

 

 

55,000

 

 

1,541,650

 

 

 

 

 

 

 

 

 

 

TOTAL COMMON STOCKS

 

 

 

 

 

 

 

5,017,163

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Convertible Bonds and Notes - 70.2%

 

 

 

 

 

 

$

70,677,824

Total Corporate Bonds and Notes - 1.1%

 

 

 

 

 

 

 

1,100,250

Total Convertible Preferred Stocks - 11.3%

 

 

 

 

 

 

 

11,416,368

Total Mandatory Convertible Securities - 8.0%

 

 

 

 

 

 

 

8,077,193

Total Common Stocks - 5.0%

 

 

 

 

 

 

 

5,017,163

Total Investments - 95.6%

 

 

 

 

 

 

 

96,288,798

 

 

 

 

 

 

 

 

 

 

Other assets and liabilities, net - 4.4%

 

 

 

 

 

 

4,388,364

Total Net Assets - 100.0%

 

 

 

 

 

 

 

$

100,677,162

 

 

 

 

 

 

 

 

 

 

 

(1) 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, 2009 was $12,750,537, which represented 12.7% of the Fund’s net assets.

(2) Contingent payment debt instrument.

(3) Security in default.

(4) 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 fair value of these securities amounted to $750,000 at December 31, 2009, which represented 0.7% of the Fund’s net assets.

(5) 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, 2009, the Fund was invested in the following restricted securities:

Amerivon Holdings LLC 4% units containing cv. promissory note due 2010 and warrants expiring 2012, acquired June 1, 2007.

(6) 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

ACES — Automatic Common Exchange Securities.

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.

T-DECS — Tangible Dividend Enhanced Common Stock.

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 *

AA
                  0 %  
A
                  5 %  
BBB
                  8 %  
BB
                  18 %  
B
                  19 %  
CCC
                  1 %  
C
                  1 %  
Not Rated
                  48 %  
 

* Excludes equity securities and cash.


Ellsworth Fund Ltd. — Selected Notes to Financial Statements (unaudited)

Ellsworth Fund Ltd. (the “Fund”), is registered under the Investment Company Act of 1940, as amended, 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 adopted 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 following is a summary of the inputs used to value the net assets of the Fund as of December 31, 2009:

        Level 1
   
 Level 2
   
 Level 3
Investments in Securities:
                                                        
Common Stocks:
                                                        
Media and Entertainment
               $ 1,935,000          $ —           $ —    
Pharmaceuticals
                  1,540,513             —              —    
Telecommunications
                  1,541,650             —              —    
Total Common Stocks
                  5,017,163             —              —    
Convertible Bonds and Notes
                  —              70,677,824             —    
Convertible Preferred Stocks
                  —              11,416,368                   
Mandatory Convertible Securities
                  —              8,077,193                   
Corporate Bonds and Notes
                  —              350,250             750,000   
Total Investments
               $ 5,017,163          $ 90,521,635          $ 750,000   
 

Ellsworth Fund Ltd.—Selected Notes to Financial Statements (continued)

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

        Convertible
Bonds and
Notes
   
 Corporate
Bonds and
Notes
   
 Convertible
Preferred
Stocks
   
 Total
Beginning balance
               $ —           $ 750,000          $ —           $ 750,000   
Change in unrealized
appreciation (depreciation)
                  —              —              —              —    
Net transfers in/out of level 3
                  —              —              —              —    
Ending balance
               $ —           $ 750,000          $ —           $ 750,000   
 

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.

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, 2009. In addition, Federal tax regulations require the Fund to reclassify realized gains on contingent payment debt instruments to interest income. At December 31, 2009 there were unrealized losses of approximately 13 cents per share on contingent payment debt instruments.

Federal Income Tax Cost — At December 31, 2009, 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 $94,875,792, $9,898,579, $(8,485,573) and $1,413,006, 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 Investment Company Act of 1940, as amended (the “Act”), (17 CFR 270.30a-3(c)) are effective as of February 26, 2010 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 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 Fund 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 26, 2010

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 Fund 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 26, 2010

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

Date: February 26, 2010