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: 811-02151
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Bancroft Fund Ltd.
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(Exact name of registrant as specified in charter)
65 Madison Avenue, Morristown, New Jersey 07960-7308
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(Address of principal executive offices) (Zip code)
Thomas H. Dinsmore
Bancroft Fund Ltd.
65 Madison Avenue
Morristown, New Jersey 07960-7308
(Name and address of agent for service)
Copy to:
Steven King, Esq.
Ballard Spahr Andrews & Ingersoll, LLP
1735 Market Street, 49th Floor
Philadelphia, PA 19103-7599
Registrant's telephone number, including area code: 973-631-1177
Date of fiscal year end: October 31, 2007
Date of reporting period: July 31, 2007
ITEM 1. SCHEDULE OF INVESTMENTS.
Portfolio of Investments July 31, 2007 (unaudited)-----------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- 62.3%
Aerospace and Defense -- 3.4%
$1,500,000 AAR Corp. 1.75%, due 2026 cv. sr. notes (BB)....................... $ 1,771,875
1,000,000 Alliant Techsystems Inc. 2.75%, due 2011 cv. sr. sub. notes (B1)... 1,173,750
1,500,000 DRS Technologies, Inc. 2%, due 2026 cv. sr. notes (B1)
(Acquired 01/30/06 - 05/16/07; Cost $1,597,641) (1,2)............. 1,571,250
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4,516,875
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Agriculture -- 1.4%
2,000,000 Merrill Lynch & Co., Inc. 1.5%, due 2012 cv. securities (Aa3)
(exchangeable into Archer-Daniels-Midland Co. common stock)
(Acquired 02/23/07; Cost $2,000,000) (2).......................... 1,916,500
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Banking/Savings and Loan -- 3.4%
1,000,000 PrivateBancorp, Inc. 3.625%, due 2027 cv. sr. notes (NR)........... 955,000
2,500,000 U.S. Bancorp floating rate, due 2035 cv. sr. deb. (Aa2)............ 2,518,750
1,000,000 U.S. Bancorp floating rate, due 2037 cv. sr. deb. (Aa2)............ 995,600
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4,469,350
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Computer Hardware -- 5.1%
1,000,000 C&D Technologies, Inc. 5.25%, due 2025 cv. sr. notes (NR).......... 940,000
2,000,000 Credit Suisse, New York Branch 13.62%, due 2007
equity-linked notes (Aa3)
(exchangeable for Corning Inc. common stock)...................... 2,190,600
1,000,000 EMC Corp. 1.75%, due 2011 cv. sr. notes (BBB+)..................... 1,307,500
1,000,000 EMC Corp. 1.75%, due 2013 cv. sr. notes (BBB+)..................... 1,311,250
1,000,000 Richardson Electronics, Ltd. 8%, due 2011 cv. sr. sub. notes (NR).. 1,050,000
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6,799,350
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Computer Software -- 2.7%
1,000,000 Blackboard Inc 3.25%, due 2027 cv. sr. notes (NR).................. 1,071,250
1,000,000 GSI Commerce, Inc. 2.5%, due 2027 cv. sr. notes (NR)
(Acquired 06/27/07; Cost $1,001,875) (2).......................... 982,500
1,500,000 Lehman Brothers Holdings Inc. 1%, due 2009 medium-term notes (A1)
(performance linked to Microsoft Corp. common stock) (1).......... 1,561,350
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3,615,100
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Consumer Goods -- 2.3%
1,500,000 Chattem, Inc. 1.625%, due 2014 cv. sr. notes (NR).................. 1,430,625
1,000,000 Church & Dwight Co., Inc. 5.25%, due 2033 cv. sr. deb. (Ba1)....... 1,622,500
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3,053,125
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Energy -- 5.3%
1,000,000 Cameron International Corp. 2.50%, due 2026 cv. sr. notes (Baa1)... 1,300,000
1,500,000 Covanta Holding Corp. 1%, due 2027 sr. cv. deb. (B1) (1)........... 1,464,375
1,500,000 Nabors Industries, Inc. 0.94%, due 2011 sr. exchangeable notes (A-)
(exchangeable for Nabors Industries Ltd. common stock)............ 1,419,375
1,225,000 Oil States International, Inc. 2.375%, due 2025
contingent cv. sr. notes.......................................... 1,877,313
1,250,000 Rentech, Inc. 4%, due 2013 cv. sr. notes (NR)...................... 1,025,781
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7,086,844
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Financial Services -- 1.4%
2,000,000 Euronet Worldwide, Inc. 3.50%, due 2025 cv. deb. (B+) (1).......... 1,900,000
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Page 1
Portfolio of Investments July 31, 2007 (continued)------------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- continued
Health Care -- 3.6%
$1,000,000 China Medical Technologies, Inc. 3.5%, due 2011
cv. sr. sub. notes (NR)............................................ $ 1,202,500
500,000 LifePoint Hospitals, Inc. 3.25, due 2025 cv. sr. sub. deb. (B2)..... 428,750
475,000 LifePoint Hospitals, Inc. 3.50, due 2014 cv. sr. sub. notes (B)..... 418,594
1,000,000 Omnicare, Inc. 3.25%, due 2035 cv. sr. deb. (B2) (1)................ 811,250
1,000,000 SonoSite Inc. 3.75%, due 2014 cv. sr. notes (NR).................... 973,750
1,000,000 St. Jude Medical, Inc. 1.22%, due 2008 cv. sr. deb. (BBB+)
(Acquired 04/20/07; Cost $1,005,938) (2)........................... 1,016,250
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4,851,094
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Insurance -- 2.3%
3,000,000 Prudential Financial, Inc. floating rate, due 2036
cv. sr. notes (A3)................................................. 3,014,310
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Media and Entertainment -- 3.7%
2,000,000 Gannett Co., Inc. floating rate, due 2037 cv. sr. notes (A3)........ 1,991,000
2,500,000 The Walt Disney Company 2.125%, due 2023 cv. sr. notes (A2)......... 2,918,750
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4,909,750
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Minerals and Mining -- 0.8%
1,000,000 Newmont Mining Corp. 1.625%, due 2017 cv. sr. notes (BBB)
(Acquired 07/12/07; Cost $1,018,750) (2)........................... 1,073,750
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Multi-Industry -- 4.4%
2,000,000 Citigroup Funding Inc. 1%, due 2010 medium-term notes (Aa1)
(exchangeable for the cash value of a
basket of technology stocks) (1)................................... 2,063,600
750,000 Diversa Corp. 5.5%, due 2027 cv. sr. notes (NR)
(exchangeable for Verenium Corp. common stock)
(Acquired 03/23/07; Cost $750,000) (2)............................. 742,500
3,000,000 LSB Industries, Inc. 5.5%, due 2012 cv. sr. sub. deb. (NR)
(Acquired 06/28/07; Cost $3,000,000) (2)........................... 3,045,000
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5,851,100
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Pharmaceuticals -- 7.0%
2,000,000 Alza Corp. 0%, due 2020 cv. sub. deb. (Aa1)
(exchangeable for Johnson & Johnson common stock).................. 1,672,500
2,500,000 Bristol-Myers Squibb Co. floating rate, due 2023 cv. sr. deb. (A2).. 2,543,750
1,625,000 Mylan Laboratories Inc. 1.25%, due 2012 sr. cv. notes (BB+)......... 1,470,625
1,500,000 Teva Pharmaceutical Finance Co. B.V. 1.75%, due 2026
cv. sr. deb. (Baa2)
(exchangeable for Teva Pharmaceutical Industries Ltd. ADR)......... 1,530,000
2,000,000 Wyeth floating rate, due 2024 cv. sr. deb. (A3)..................... 2,133,600
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9,350,475
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Real Estate -- 2.5%
1,000,000 ProLogis 2.25%, due 2037 cv. sr. notes (BBB+)
(Acquired 03/20/07 - 04/16/07; Cost $982,038) (2).................. 948,750
1,000,000 United Dominion Realty Trust, Inc. 3.625%, due 2011
cv. sr. notes (NR)................................................. 935,000
1,500,000 Vornado Realty Trust 2.85%, due 2027 cv. sr. deb. (Baa2)............ 1,383,750
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3,267,500
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Retail -- 2.2%
1,500,000 Amazon.com, Inc. 4.75%, due 2009 cv. sub. notes (Ba3)............... 1,616,250
1,500,000 Charming Shoppes, Inc. 1.125%, due 2014 sr. cv notes (BB-)
(Acquired 05/02/07 - 05/03/07; Cost $1,491,125) (2)................ 1,256,250
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2,872,500
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Page 2
Portfolio of Investments July 31, 2007 (continued)------------------------------
Principal Value
Amount (Note 1)
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CONVERTIBLE BONDS AND NOTES -- continued
Semiconductors -- 6.9%
$2,500,000 Agere Systems Inc. 6.5%, due 2009 cv. sub. notes (B+)
(exchangeable for LSI Corp.)....................................... $ 2,575,000
1,500,000 Cypress Semiconductor Corp. 1%, due 2009 cv. sr. notes (NR)......... 1,760,625
2,000,000 Fairchild Semiconductor Corp. 5%, due 2008 cv. sr. sub. notes (B)
(exchangeable into Fairchild Semiconductor International, Inc.
common stock....................................................... 1,985,000
2,000,000 Intel Corp. 2.95%, due 2035 jr. sub. cv. deb. (A-) (1).............. 1,952,500
1,000,000 LSI Corp. 4%, due 2010 cv. sub. notes (B+).......................... 966,250
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9,239,375
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Telecommunications -- 2.5%
1,000,000 Anixter International, Inc. 1%, due 2013 sr. cv. notes (BB-)........ 1,395,000
1,000,000 Equinix, Inc. 2.5%, due 2012 cv. sub. notes (NR).................... 1,018,750
1,000,000 SAVVIS, Inc. 3%, due 2012 cv. sr. notes (NR)........................ 902,500
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3,316,250
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Transportation -- 1.5%
2,000,000 ExpressJet Holdings, Inc. 4.25%, due 2023 cv. notes (NR)............ 1,945,000
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TOTAL CONVERTIBLE BONDS AND NOTES................................... $ 83,048,248
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CORPORATE BONDS AND NOTES -- 1.1%
Retail -- 1.1%
1,500,000 Amerivon Holdings LLC 4%, due 2010 units
with corporate note and warrants attached (NR)
(Acquired 06/01/07; Cost $1,500,000) (2)........................... 1,500,000
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Shares CONVERTIBLE PREFERRED STOCKS -- 10.8%
Aerospace and Defense -- 0.3%
40,000 Ionatron, Inc. 6.5% Series A redeemable cv. pfd. (NR)
(Acquired 10/27/05; Cost $1,000,000) (2)........................... 440,000
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Banking/Savings and Loan -- 4.3%
59,179 New York Community Bancorp, Inc. 6% BONUSES units (Baa1)............ 2,713,061
20,000 Sovereign Capital Trust IV 4.375% PIERS (Baa1)
(exchangeable for Sovereign Bancorp, Inc. common stock) (1)........ 900,000
40,000 Washington Mutual Capital Trust 5.375% PIERS units (A3)
(exchangeable for Washington Mutual, Inc. common stock)............ 2,135,200
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5,748,261
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Chemicals -- 2.0%
55,000 Celanese Corp. 4.25% cv. perpetual pfd. (NR)........................ 2,701,875
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Energy -- 1.9%
25,000 Chesapeake Energy Corp. 4.5% cum. cv. pfd. (B+)..................... 2,494,000
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Page 3
Portfolio of Investments July 31, 2007 (continued)------------------------------
Value
Shares (Note 1)
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CONVERTIBLE PREFERRED STOCKS -- continued
Insurance -- 1.7%
75,000 Citigroup Funding Inc. variable rate exch. notes (Aa1)
(exchangeable for Genworth Financial, Inc. common stock)........... $ 2,222,250
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Telecommunications -- 0.6%
100 Medis Technologies Ltd. 7.25% Series A cum. cv. perpetual pfd. (NR). 744,366
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TOTAL CONVERTIBLE PREFERRED STOCKS.................................. $ 14,350,752
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MANDATORY CONVERTIBLE SECURITIES -- 20.2% (3)
Chemicals -- 0.7%
20,000 Huntsman Corp. 5% mandatory cv. pfd., due 02/16/08 (NR)............. 976,000
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Consumer Goods -- 1.4%
1,750 The Stanley Works floating rate equity units, due 05/17/12 (A2)..... 1,842,453
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Energy -- 3.1%
40,000 Bristow Group Inc. 5.5% mandatory cv. pfd., due 09/15/09 (B)........ 2,458,000
1,000 Chesapeake Energy Corp. 6.25% mandatory cv. pfd., due 06/15/09 (B+). 281,855
45,950 NATIXIS Financial Products Inc. 9.55%
mandatory trigger exchangeable notes, due 01/26/08 (NR)
(exchangeable for Nabors Industries, Inc. common stock)
(Acquired 07/23/07; Cost $1,500,268) (2)........................... 1,369,930
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4,109,785
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Finance -- 1.0%
25,500 Morgan Stanley, Inc. 5.875% mandatorily exchangeable securities,
due 10/15/08 (Aa3)
(exchangeable for Nuveen Investments, Inc. common stock)........... 1,316,820
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Financial Services -- 1.3%
70,000 E*TRADE Financial Corp. 6.125% equity units, due 11/18/08 (Ba3)..... 1,698,900
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Foods -- 0.8%
40,000 Lehman Brothers Holdings Inc. 6.25% PIES, due 10/15/07 (A1)
(exchangeable for General Mills, Inc. common stock)................ 1,045,200
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Health Care -- 1.1%
35,732 NATIXIS Financial Products Inc. 9.1%
mandatory trigger exchangeable notes, due 01/07/08 (NR)
(exchangeable for St. Jude Medical, Inc. common stock)
(Acquired 07/02/07; Cost $1,500,029) (2)........................... 1,516,127
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Insurance -- 4.9%
7,000 Alleghany Corp. 5.75% mandatory cv. pfd., due 06/15/09 (BBB-)....... 2,709,000
80,000 MetLife, Inc. 6.375% common equity units, due 08/15/08 (BBB+)....... 2,390,400
52,500 XL Capital, Ltd. 7% equity security units, due 02/15/09 (A3)........ 1,436,400
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6,535,800
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Page 4
Portfolio of Investments July 31, 2007 (continued)------------------------------
Value
Shares (Note 1)
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MANDATORY CONVERTIBLE SECURITIES -- continued
Minerals and Mining -- 3.7%
$20,000 Freeport-McMoRan Copper & Gold Inc. 6.75% mandatorily cv. pfd.,
due 05/01/10 (B+).................................................. $ 2,831,000
30,000 Vale Capital Ltd. 5.5% mandatorily convertible notes,
due 06/15/10 (NR)
(exchangeable for ADSs representing Companhia Vale Do Rio Doce
common stock)...................................................... 1,573,800
10,000 Vale Capital Ltd. 5.5% mandatorily convertible notes,
due 06/15/10 (NR)
(exchangeable for ADSs representing Companhia Vale Do Rio Doce
Preference A Shares)............................................... 533,900
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4,938,700
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Pharmaceuticals -- 1.4%
63,012 NATIXIS Financial Products Inc. 8.1%
mandatory trigger exchangeable notes, due 12/05/07 (NR)
(exchangeable for Sepracor Inc. common stock)
(Acquired 05/23/07; Cost $3,000,000) (2)........................... 1,867,896
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Telecommunications -- 0.8%
14,000 Credit Suisse Securities (USA), Inc. 5.5% SAILS, due 11/15/08 (Aa1)
(exchangeable for Equinix, Inc. common stock)...................... 1,099,420
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TOTAL MANDATORY CONVERTIBLE SECURITIES (3).......................... $ 26,947,101
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COMMON STOCKS -- 0.0%
Aerospace and Defense -- 0.0%
4,666 Ionatron, Inc. (NR) (4)............................................. 15,258
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Principal
Amount SHORT-TERM SECURITIES -- 5.0%
Commercial Paper -- 5.0%
$3,400,000 American Express Credit Corp. 5.27%, due 08/02/07 (P1).............. 6,597,102
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Total Convertible Bonds and Notes -- 62.3%.......................... $ 83,048,248
Total Corporate Bonds and Notes -- 1.1%............................. 1,500,000
Total Convertible Preferred Stocks -- 10.8%......................... 14,350,752
Total Mandatory Convertible Securities -- 20.2%..................... 26,947,101
Total Common Stocks -- 0.0%......................................... 15,258
Total Short-Term Securities -- 5.0%................................ 6,597,102
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Total Investments -- 99.4%.......................................... 132,458,461
Other assets and liabilities, net -- 0.6%........................... 842,372
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Total Net Assets -- 100.0%.......................................... $133,300,833
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(1) Security not registered under the Securities Act of 1933, as amended
(e.g., the security was purchased in a Rule 144A or a Reg D transaction).
The security may be resold only pursuant to an exemption from
registration under the 1933 Act, typically to qualified institutional
buyers. The Fund generally has no rights to demand registration of these
securities. The aggregate market value of these securities at
July 31, 2007 was $19,246,703 which represented 14.4% of the Fund's net
assets.
(2) Contingent payment debt instrument which accrues contingent interest. See
Note 2.
(3) 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.
(4) Non-income producing security.
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.
SAILS Shared Appreciation Income Linked Securities.
Ratings in parentheses by Moody's Investors Service, Inc. or Standard & Poor's.
NR is used whenever a rating is unavailable.
Summary of Portfolio Ratings:
% of
Portfolio
Aa 13
A 19
Baa 15
Ba 9
B 17
NR 27
Page 5
(Selected) Notes to Financial Statements (unaudited)----------------------------
Bancroft Fund Ltd. (established in 1971) (the "Fund"), is registered under the
Investment Company Act of 1940 as a diversified, closed-end management
investment company.
Note 1. Security Valuation - Investments in securities traded on a national
securities exchange are valued at market using the last reported sales price 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 an
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 by management pursuant to procedures approved by the Board of Trustees.
Short-term debt securities with original maturities of 60 days or less are
valued at amortized cost.
Note 2. Securities Transactions and Related Investment Income - Security
transactions are accounted for on the trade date (date the order to buy or sell
is executed) with gain or loss on the sale of securities being determined based
upon identified cost. Dividend income is recorded on the ex-dividend date and
interest income is recorded on the accrual basis, including accretion of
discounts and amortization of non-equity premium. For certain securities, known
as "contingent payment debt instruments," Federal tax regulations require the
Fund to record non-cash "contingent" interest income in addition to interest
income actually received.
At July 31, 2007 unrealized appreciation (depreciation) of investment
securities on a tax basis were as follows:
Unrealized appreciation $ 9,113,536
Unrealized depreciation (5,685,475)
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Net unrealized appreciation 3,428,061
Cost for federal income tax purposes $129,030,398
PAGE 6
ITEM 2. CONTROLS AND PROCEDURES.
Conclusions of principal officers concerning controls and procedures
(a) The Registrant's principal executive officer and principal financial
officer, or persons performing similar functions, have concluded that the
Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c)
under the Investment Company Act of 1940, as amended (the "Act"),
(17 CFR 270.30a-3(c))) are effective as of August 27, 2007, based on the
evaluation of these controls and procedures required by Rule 30a-3(b) under
the Act (and Rule 15d-15(b) under the Securities Exchange Act of 1934, as
amended (17 CFR 240.15d-15(b)).
(b) There have been no changes in the Registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the Act
(17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter
that has materially affected, or is reasonably likely to materially affect,
the Registrant's internal control over financial reporting.
ITEM 3. EXHIBITS.
Separate certifications of the principal executive officer and the principal
financial officer of the Registrant, as required by Rule 30a-2(a) under the
Investment Company Act of 1940, 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.
Bancroft Fund Ltd.
By: /s/Thomas H. Dinsmore
Thomas H. Dinsmore
Chairman of the Board and
Chief Executive Officer
(Principal Executive Officer)
Date: September 30, 2007
Pursuant to the requirements of the Securities and 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: September 30, 2007
By: /s/Gary I. Levine
Gary I. Levine
Chief Financial Officer
(Principal Financial Officer)
Date: September 30, 2007