-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, R3j33P8hgP/wzgZ4NYhpg4/2nzTPkGN2TXrWtwRo2PK/0btsMvHOvoYXFbOPStsE hcT5MK8e6DhQdYwx0FylXQ== 0000793040-01-500010.txt : 20010531 0000793040-01-500010.hdr.sgml : 20010531 ACCESSION NUMBER: 0000793040-01-500010 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010331 FILED AS OF DATE: 20010530 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ELLSWORTH CONVERTIBLE GROWTH & INCOME FUND INC CENTRAL INDEX KEY: 0000793040 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 133345139 STATE OF INCORPORATION: MD FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-04656 FILM NUMBER: 1650180 BUSINESS ADDRESS: STREET 1: 65 MADISON AVENUE STREET 2: SUITE 550 CITY: MORRISTOWN STATE: NJ ZIP: 07960 BUSINESS PHONE: (973) 631-1177 MAIL ADDRESS: STREET 1: 65 MADISON AVE STREET 2: SUITE 550 CITY: MORRISTOWN STATE: NJ ZIP: 07960 N-30D 1 ecf3-01.txt 1 Ellsworth Convertible Growth and Income Fund [logo] 2001 Semi-Annual Report March 31, 2001 2 Ellsworth Convertible Growth and Income Fund, Inc. operates as a closed-end, diversified management investment company and invests primarily in convertible securities, with the objectives of providing income and the potential for capital appreciation -- which objectives the Company considers to be relatively equal, over the long-term, due to the nature of the securities in which it invests. Highlights
Performance thru 3/31/01 with dividends reinvested 3 Months 1 Year 5 Years 10 Years -------- ------ ------- --------- Ellsworth market value * ................... 6.06% 15.12% 102.24% 305.14% Ellsworth net asset value + ................ (4.01) (10.43) 71.49 230.30 Closed-end convertible fund average + ...... (1.78) (13.34) 48.09 199.98 S&P 500 * .................................. (9.31) (21.68) 94.04 284.18 Russell 2000 * ............................. (2.25) (15.24) 45.99 163.45++ Lehman Aggregate Bond Total Return Index + . 3.04 12.53 43.43 115.56
Performance data represent past results and do not reflect future performance. * From Bloomberg L.P. pricing service. + From Lipper, Inc. Closed-End Fund Performance Analysis, dated March 31, 2001. ++ Simple appreciation of index. - -------------------------------------------------------------------------------
Quarterly History of NAV and Market Price Net Asset Values Market Prices (AMEX, symbol ECF) Qtr. Ended High Low Close High Low Close - ---------- ------ ------ ------ ------ ------ ------ Jun. 00 $12.02 $10.87 $11.86 $ 9.25 $8.38 $9.19 Sep. 00 12.36 11.06 11.82 10.38 9.06 9.88 Dec. 00 11.83 9.15 9.60 9.94 7.50 8.00 Mar. 01 9.90 8.92 9.13 9.00 8.13 8.40
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Dividend Distributions (12 Months) Record Payment Capital Date Date Income Gains Total - -------- -------- ------ ------- ------ 5/16/00 5/30/00 0.100 --- 0.100 8/16/00 8/30/00 0.100 --- 0.100 10/26/00 11/29/00 0.130 $1.315 1.445 2/13/01 2/27/01 0.090 --- 0.090 ------ ------- ------ $0.420 $1.315 $1.735 ====== ======= ======
3 TO OUR SHAREHOLDERS The U.S. economy continues to slow down. We believe that this slowdown is due in part to factors such as last year's restrictive monetary policy, rising oil and gas prices and an electric power generating system that is no longer adequate. It is our belief that monetary policy can have a significant impact on the financial markets. It is likely that the expansionary monetary policy in 1999 (to combat the possibility of a Y2K problem) helped create the strong stock market of the last quarter of 1999 and the first quarter of 2000. Further, we contend that the restrictive monetary policy in the year 2000 has been an important factor in the decline of the stock market since the first quarter of 2000. The NASDAQ fell by over two-thirds and the S&P fell by roughly 30% from March 2000 through the first quarter of 2001. Relief may be on the way. Starting in December 2000, the Federal Reserve Board changed its monetary policy from restrictive to expansionary. Historically, whenever such a change occurs the stock market responds, generally within six months, but sometimes taking longer. Usually the stock market moves up over 10% from the time of the change but does not necessarily extend to all stocks. The S&P 500 may rise in this period while the NASDAQ stagnates as new investments are made in what are perceived to be low risk stocks. Further relief may be provided by a tax cut and appropriate energy conservation by users. The longer term fixes of increasing efficiency of energy users, building new generation plants, and finding and developing new sources of oil and gas are going to take time. For shareholders who have access to the Internet, the Fund's website www.ellsworthfund.com contains press releases, dividend information and daily net asset values. The Closed-End Fund Association (www.cefa.com), of which the Fund is a member, is another source of information on many closed-end funds. Based upon data through April 30, 2001, Morningstar* has continued to rate Ellsworth's performance at four stars (above average) on the "Quicktake Report" on their website.** Shareholders who wish a copy of the most recent report on the Fund issued by Standard and Poor's should contact us. At its April meeting the Board of Directors declared a dividend of ten cents per share. The dividend is payable May 30, 2001 to shareholders of record May 16, 2001. /s/Thomas H. Dinsmore Chairman of the Board May 11, 2001 * Morningstar is a mutual fund analysis and statistical reporting service that reports on and rates most mutual funds. ** Closed End Fund Association and Morningstar are solely responsible for the content of their sites. See Important Factors Regarding Forward-Looking Statements on page 12 of this report. 4
Largest Investment Holdings by underlying common stock Principal Amount Value % Total or Shares (Note 1) Net Assets - ---------- ---------- ---------- 3,750,000 AOL Time Warner, Inc........................................$ 2,804,375 3.0% A global company delivering entertainment, news, and Internet brands across converging media platforms. (exchangeable in part from Merrill Lynch 0.25% due 2004) 2,250,000 Costco Wholesale Corp....................................... 2,112,188 2.3 Operates wholesale membership warehouses in the United States, Taiwan, Canada, Korea, Japan, and the United Kingdom. 40,800 Apache Corp................................................. 1,980,840 2.1 Explores for and produces natural gas, crude oil and natural gas liquids. 2,150,000 American Express Company..................................... 1,935,000 2.1 Through its subsidiaries, provides travel-related, financial advisory, & international banking services around the world. (exchangeable from Exch. Certificate 0.625% due 2005) 25,000 ACE Limited.................................................. 1,900,000 2.0 The holding company for the ACE Group of Companies, a property and casualty insurance business. 25,750 Calpine Corp................................................. 1,870,094 2.0 Explores for and produces natural gas, crude oil and natural gas liquids. 2,000,000 The Walt Disney Corp......................................... 1,826,250 2.0 A media company with operations in entertainment, theme parks and resorts, and consumer products. (exchangeable from Deutsche Bank Financial 1% due 2007) 50,000 Fifth Third Bancorp.......................................... 1,825,000 2.0 A diversified financial services company that operates banking centers in various U.S. states. Its principal businesses include retail and commercial banking. (exchangeable from CNB Capital Trust I 6% SPuRS) 2,000,000 General Electric Corp........................................ 1,767,500 1.9 Develops and manufactures products for the utilization of electricity, offers financial services through GE Capital Services, Inc. and owns the National Broadcasting Co. (exchangeable from CS First Boston 2% due 2010 and Exch. Certificate 1.25% due 2004) ----------- ---------- Total........................................................$18,021,247 19.4%
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Major Industry Exposure % Total Net Assets ---------- Energy..................... 12.58% Entertainment.............. 10.51 Telecommunications......... 8.97 Health Care & Drugs........ 8.19 Technology................. 8.18 Banking.................... 6.68 Financial & Insurance...... 6.25 Cable...................... 5.80 Utilities.................. 4.48 Retail..................... 4.42 ---------- Total...................... 76.06%
Major Portfolio Changes by underlying common stock Three Months Ended March 31, 2001 Principal Amount or Shares --------- ADDITIONS Affiliated Computer Services, Inc........................... 1,000,000 Cendant Corp................................................ 1,500,000 El Paso Corp................................................ 3,300,000 Exodus Comunications, Inc................................... 1,000,000 Fleming Companies, Inc...................................... 1,000,000 Hanover Compressor Co....................................... 2,000,000 Jones Apparel Group, Inc.................................... 3,000,000 The News Corporation Limited (exchangeable from News America, Inc.)..................... 1,000,000 Nextel Communications, Inc.................................. 51,000 Sun Microsystems, Inc. (exchangeable from CS First Boston, Inc.).................. 1,000,000 Thermo Electron Corp........................................ 1,000,000 Viacom Inc. (exchangeable from Liberty Media Corp.)......... 1,000,000 REDUCTIONS The Coastal Corp............................................ 25,000 Cypress Semiconductor Corp.................................. 1,200,000 Diamond Offshore Drilling Inc............................... 1,000,000 Dollar General Corp......................................... 32,500 EchoStar Communication Corp................................. 1,000,000 Intel Corp. (exchangeable from Exchangeable Certificates Corp.)......... 1,000,000 LSI Logic Corp.............................................. 1,250,000 MetLife, Inc. (exchangeable from MetLife Capital Trust)..... 10,000 Nextel Communications, Inc.................................. 500,000 QUALCOMM, Inc. (exchangeable from First Union National Bank) 1,000,000 Sci Systems, Inc............................................ 1,250,000
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Statement of Assets and Liabilities (unaudited) March 31, 2001 -------------- Assets: Investments at value (cost $95,357,581) (Note 1)....... $93,214,623 Cash................................................... 1,021,864 Receivable for securities sold......................... 1,129,396 Dividends and interest receivable...................... 549,152 Prepaid Insurance...................................... 15,988 Deposits............................................... 15,701 ----------- Total assets........................................... 95,946,724 ----------- Liabilities: Payable for securities purchased....................... 2,228,379 Accrued management fee (Note 2)........................ 61,169 Accrued expenses....................................... 12,997 ----------- Total liabilities...................................... 2,302,545 ----------- Net Assets..................................................... $93,644,179 =========== Net assets consist of: Undistributed net investment income.................... 2,024,904 Accumulated net realized loss from investment transactions......................................... (44,031) Unrealized depreciation on investments................. (2,142,958) Capital shares (Note 3)................................ 102,560 Additional paid-in capital............................. 93,703,704 ----------- Net Assets..................................................... $93,644,179 =========== Net asset value per share ($93,644,179 / 10,255,959 outstanding shares).......................................... $ 9.13 ===========
Statement of Operations (unaudited) For the Year Ended March 31, 2001 Investment Income (Note 1): Interest............................................... $ 2,839,725 Dividends.............................................. 678,476 ----------- Total Income........................................... 3,518,201 ----------- Expenses (Note 2): Management fee......................................... 359,913 Custodian.............................................. 11,547 Transfer agent......................................... 12,415 Professional fees...................................... 41,194 Directors'fees......................................... 46,250 Reports to shareholders................................ 35,541 Listing fee............................................ 28,500 Treasurer's office..................................... 12,500 Other.................................................. 40,738 ----------- Total Expenses......................................... 588,598 ----------- Net Investment Income.......................................... 2,929,603 ----------- Realized and Unrealized Gain on Investments: Net realized loss from investment transactions......... (12,632) Net change in unrealized appreciation of investments... (12,558,598) ----------- Net loss on investments................................ (12,571,230) ----------- Net Decrease in Net Assets Resulting from Operations... $(9,641,627) ===========
See accompanying notes to financial statements. 7
Statement of Changes in Net Assets Six Months Ended Year Ended March 31, 2001* September 30, 2000 ---------------- ------------------ Change in net assets from operations: Net investment income....................................... $ 2,929,603 $ 3,909,385 Net realized gain(loss) from investment transactions........ (12,632) 12,120,056 Net change in unrealized appreciation of investments........ (12,558,598) 5,000,401 ------------ ------------ Net change in net assets resulting from operations......... (9,641,627) 21,029,842 ------------ ------------ Dividends to shareholders from: Net investment income....................................... (2,123,397) (3,181,095) Net realized gain on investments............................ (12,142,102) (10,534,569) ------------ ------------ Total dividends........................................... (14,265,499) (13,715,664) ------------ ------------ Capital share transactions (Note 3) Value of shares issued on reinvestment of distributions..... 8,371,070 7,092,766 Cost of shares repurchased.................................. --- (1,266,730) ------------ ------------ Change in net assets resulting from capital share transactions............................................. 8,371,070 5,826,036 ------------ ------------ Change in net assets.......................................... (15,536,056) 13,140,214 Net assets at beginning of period............................. 109,180,235 96,040,021 ------------ ------------ Net assets at end of period (including undistributed net investment income of $2,024,904 and $1,218,486, respectively) $ 93,644,179 $109,180,235 ============ ============
Financial Highlights Selected data for a share of common stock outstanding: Six Months Ended Years Ended September 30, Per Share Operating Performance: March 31, 2001* 2000 1999 1998 1997 1996 --------------- ------- ------- ------- ------- ------- Net asset value, beginning of period...... $11.82 $11.23 $11.18 $13.33 $11.80 $10.76 ------- ------- ------- ------- ------- ------- Net investment income..................... .29 0.42 0.33 0.35 0.40 0.43 Net realized and unrealized gain(loss).... (1.44) 1.71 1.40 (0.65) 2.59 1.37 ------- ------- ------- ------- ------- ------- Total from investment operations........ (1.15) 2.13 1.73 (0.30) 2.99 1.80 Less Distributions: Dividends from net investment income...... (0.22) (0.35) (0.32) (0.37) (0.40) (0.47) Distributions from realized gains......... (1.32) (1.23) (1.36) (1.48) (1.06) (0.29) ------- ------- ------- ------- ------- ------- Total distributions..................... (1.54) (1.58) (1.68) (1.85) (1.46) (0.76) Capital share repurchases................. --- 0.04 --- --- --- --- ------- ------- ------- ------- ------- ------- Net asset value, end of period............ $ 9.13 $11.82 $11.23 $11.18 $13.33 $11.80 ======= ======= ======= ======= ======= ======= Market value, end of period............... $ 8.40 $9.875 $9.375 $10.00 $11.25 $9.875 Net assets, end of period ($000's)........ 93,644 109,180 96,040 87,438 94,822 78,395 Total Investment Return: Based on net asset value**............ (10.09)% 21.85% 16.42% (2.39)% 27.77% 17.43% Based on market value+................ 1.09% 25.72% 10.39% 5.21% 30.93% 17.13% Ratios/Supplemental Data: Ratio of expenses to average net assets... 1.2%++ 1.2% 1.1% 1.1% 1.2% 1.2% Ratio of net investment income to average net assets...................... 6.0%++ 3.8% 3.0% 3.0% 3.4% 3.9% Portfolio turnover rate................... 40% 98% 67% 59% 71% 70%
* Unaudited. **Assumes valuation of the Fund's shares, and reinvestment of dividends, at net asset values. + Assumes valuation of the Fund's shares at market price and reinvestment of dividends at actual reinvestment price. ++Annualized. See accompanying notes to financial statements. 8 Notes to Financial Statements 1. Significant Accounting Policies Ellsworth Convertible Growth and Income Fund, Inc. (the "Fund") is registered under the Investment Company Act of 1940 as a diversified, closed-end management investment company. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements: (a) 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. Securities traded in the over-the-counter market and listed securities for which no sales were reported are valued at the mean between reported bid and asked prices as of the close of regular trading. Where no closing prices are available, value is determined by management, with the approval of the Board of Directors. (b) 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. For certain securities, 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 5 cents per share for the six months ended March 31, 2001. (c) Federal Income Taxes It is the policy of the Fund to distribute substantially all of its taxable income within the prescribed time and to otherwise comply with the provisions of the Internal Revenue Code applicable to regulated investment companies. Therefore, no provision for federal income or excise taxes is believed necessary. (d) Dividends and Distributions to Shareholders The liability for dividends and distributions payable is recorded on the ex-dividend date. (e) Market Risk It is the Fund's policy to invest the majority of its assets in convertible securities. Although convertible securities do derive part of their value from that of the securities into which they are convertible, they are not considered derivative financial instruments. However, certain of the Fund's investments include features which render them more sensitive to price changes in their underlying securities. Thus they expose the Fund to greater downside risk than traditional convertible securities, but still less than that of the underlying common stock. The market value of those securities was $11,808,684 at March 31, 2001, representing 12.6% of net assets. 2. Management Fee and Other Transactions with Affiliates The management fee is paid to the investment adviser, Davis-Dinsmore Management Company (the "Adviser"). The contract provides for payment of a monthly advisory fee, computed at an annual rate of 3/4 of 1% of the first $100,000,000 and 1/2 of 1% of the excess over $100,000,000 of the Fund's net asset value in such month. The Adviser furnishes investment advice, office equipment and facilities, and pays the salaries of all executive officers of the Fund, except that the costs associated with personnel and certain non- personnel expenses of the office of the Treasurer, up to a maximum of $25,000 a year, are reimbursed by the Fund. Such reimbursements amounted to $12,500 for the six months ended March 31, 2001. The officers of the Fund are also directors, officers or employees of the Adviser, and are compensated by the Adviser. 4. Portfolio Activity At March 31, 2001 there were 10,255,959 shares of $.01 par value common stock outstanding, (20,000,000 shares authorized). During the six months ended March 31, 2001, 1,022,421 shares were issued in connection with reinvestment of dividends from net investment income and capital gains, resulting in an increase in paid-in capital of $8,371,070. Purchases and sales of investments, exclusive of corporate short-term notes, aggregated $37,474,484 and $38,699,689, respectively, for the six months ended March 31, 2001. A distribution of $0.10 per share from net investment income was declared on April 20, 2001, payable May 30, 2001 to shareholders of record at the close of business May 16, 2001. 9
Portfolio of Investments March 31, 2001 (unaudited) Principal Amount Value or Shares (Note 1) ---------- ----------- ADVERTISING - 2.9% $1,500,000 Interpublic Group Cos., Inc. 1.87% 2006 cv. sub. deb. 144A (Baa1)............. $ 1,288,125 1,500,000 Young & Rubicam, Inc. 3% 2005 cv. sub. notes (Baa1)........................... 1,423,770 ----------- 2,711,895 ----------- AEROSPACE - 1.7% 1,000,000 L-3 Communications Holdings, Inc. 5.25% 2009 cv. sub. notes 144A (B2)......... 1,190,000 700,000 SPACEHAB, Inc. 8% 2007 cv. sub. notes 144A (NR)............................... 448,000 ----------- 1,638,000 ----------- BANKING - 6.7% 50,000 shs CNB Capital Trust I 6% SPuRS (Aa3) (exch. for Fifth Third Bancorp common stock)................................. 1,825,000 1,000,000 Deutsche Bank Financial, Inc. 1.25% 2007 medium-term exch. notes (Aa3) (exch. for CitiGroup, Inc. common stock)..................................... 1,021,875 1,000,000 JMH Finance, Ltd. 4.75% 2007 guaranteed bonds 144A (NR) (exch. for J.P. Morgan Chase & Co. common stock)............................. 1,025,625 40,000 shs National Australia Bank Ltd. 7.875% exch. capital units (A1).................. 1,082,000 25,000 shs Sovereign Capital Trust II 7.50% PIERS (B1) (exch. for Sovereign Bancorp, Inc. common stock)............................. 1,298,438 ----------- 6,252,938 ----------- CABLE - 5.8% 2,500 shs Adelphia Communications Corp. 5.50% cv. pfd. (Caa)........................... 315,938 500,000 Adelphia Communications Corp. 6% 2006 cv. sub. notes (NR)..................... 493,125 2,000,000 Bell Atlantic Financial Services, Inc. 4.25% 2005 euro. cv. sub. deb. (A1) (exch. for cash equiv. of Cable & Wireless Communications plc and NTL, Inc. common stocks).............................................................. 2,005,000 650,000 Comcast Corp. cv. sub. notes 0% 2020 (Baa3)................................... 531,375 20,000 shs Cox Communications, Inc. 7% FELINE PRIDES * (Baa2)............................ 1,190,000 750,000 Cox Communications, Inc. 0.35% 2021 cv. sub. deb. (Baa2)...................... 537,465 1,090 shs UnitedGlobalCom common stock.................................................. 16,625 19,000 shs UnitedGlobalCom dep. shs. representing 7% series D sr. cum. cv. pfd. (Caa2)... 343,188 ----------- 5,432,716 ----------- CAPITAL GOODS - 3.9% 1,050,000 Advanced Energy Industries, Inc. 5.25% 2006 cv. sub. notes (NR)............... 912,844 1,500,000 CS First Boston, Inc. 2% 2010 sr. medium-term exch. notes 144A (A1) (exch. for General Electric Corp. common stock).............................. 1,297,500 500,000 Exchangeable Certificate Corp. 1.25% 2004 sr. medium-term exch. notes 144A (AAA)(exch. for General Electric Corp. common stock)......................... 470,000 1,000,000 Hanover Compressor Co. 4.75% 2008 cv. notes (Ba3)............................. 996,875 ----------- 3,677,219 ----------- DATA-PROCESSING SERVICES - 3.1% 250,000 Bisys Group, Inc. 4% 2006 cv. sub. notes 144A (NR)............................ 260,000 500,000 NCO Group, Inc. 4.75% 2006 cv. sub. notes 144A (NR)........................... 515,313 1,750,000 National Data Corp. 5% 2003 cv. sub. notes (B1)............................... 1,636,250 875,000 Online Resources & Communications Corp. 8% 2005 cv. sub. notes 144A (NR)...... 525,000 ----------- 2,936,563 ----------- DISTRIBUTION - 1.1% 1,000,000 Fleming Companies, Inc. cv. sr. sub. notes 144A (B2).......................... 1,061,250 -----------
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Portfolio of Investments March 31, 2001 (continued) Principal Amount Value or Shares (Note 1) ---------- ----------- ENERGY - 12.6% 40,800 shs Apache Corp. $2.015 dep. shs. representing ACES pfd. * (Baa2)................. $1,980,840 $ 500,000 Devon Energy Corp. 4.90% 2008 cv. sub. deb. (Baa1) (conv. into Chevron Corp. common stock)...................................... 498,125 1,000,000 Devon Energy Corp. 4.95% 2008 cv. sub. deb. (Baa1) (conv. into Chevron Corp. common stock)...................................... 999,375 3,300,000 El Paso Corp. 0% sr. cv. 144A (Baa2).......................................... 1,472,625 30,000 Enron Corp. 7% 2002 exch. notes * (Baa1) (conv. into EOG Resources, Inc. common stock)................................ 1,099,500 1,000,000 Exchangeable Certificate Corp. 2% 2005 medium-term exch. notes 144A (AAA)(exch. for Exxon Mobil Corp. common stock).............................. 967,500 750,000 Kerr-McGee Corp. 5.25% 2010 cv. sub. deb. (Baa2).............................. 929,531 500,000 Kerr-McGee Corp. 7.50% 2014 cv. sub. deb. (Baa2).............................. 497,500 30,000 Kerr-McGee Corp. 5.50% 2004 DECS * (Baa1) (exch. for Devon Energy Corp. common stock).................................. 1,591,875 1,000,000 Loews Corp. 3.125% 2007 cv. sub. deb. (A2) (conv. into Diamond Offshore Drilling, Inc. common stock).................... 911,250 5,000 NRG Energy, Inc. 6.50% equity units * (Baa3).................................. 165,000 1,000,000 Pride International, Inc. 0% 2021 cv. sr. notes (Ba3)......................... 664,650 ----------- 11,777,771 ----------- ENTERTAINMENT - 10.5% 1,750,000 AOL Time Warner, Inc. 0% 2019 cv. sub. deb. (B3).............................. 914,375 1,500,000 Clear Channel Communications, Inc. 2.625% 2003 sr. cv. notes (Baa3)........... 1,586,250 2,000,000 Deutsche Bank Financial, Inc. 1% 2007 sr. medium-term exch. notes (Aa3) (exch. for cash value of The Walt Disney Corp. common stock)................. 1,826,250 1,000,000 Liberty Media Corp. 3.25% 2031 sr. exch. deb. 144A (Baa3) (exch. for Viacom, Inc. class B common stock)................................ 973,140 2,000,000 Merrill Lynch & Co., Inc. 0.25% 2006 series B medium-term notes (Aa3) (exch. for AOL Time Warner, Inc. common stock)............................... 1,890,000 3,000,000 News America, Inc. 0% 2021 LYONs (Baa3) (exch. for ADSs representing The News Corp. Limited common stock)............ 1,423,125 1,000 shs Radio One Inc. 6.50% HIGH TIDES 144A (Caa).................................... 985,000 250 shs Radio One Inc. 6.50% HIGH TIDES (Caa)......................................... 246,250 ----------- 9,844,390 ----------- ENVIRONMENTAL SERVICES - 0.3% 250,000 Waste Connections, Inc. 5.50% 2006 cv. sub. deb. 144A (B1).................... 250,313 ----------- FINANCIAL & INSURANCE - 6.2% 25,000 shs ACE Limited 8.25% FELINE PRIDES * (A2)........................................ 1,900,000 2,150,000 Exchangeable Certificate Corp. 0.625% 2005 medium-term exch. notes 144A (AAA)(exch. for American Express Company common stock)....................... 1,935,000 15,000 MetLife Capital Trust I 8% equity security units * (A1) (exch. for MetLife, Inc. common stock)....................................... 1,417,500 325,000 Penn Treaty American Corp. 6.25% 2003 cv. sub. notes 144A (BB-)............... 204,750 625,000 Penn Treaty American Corp. 6.25% 2003 cv. sub. notes (BB-).................... 393,750 ----------- 5,851,000 -----------
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Portfolio of Investments March 31, 2001 (continued) Principal Amount Value or Shares (Note 1) ---------- ----------- HEALTH CARE & DRUGS - 8.2% $ 815,000 Allergan 0% LYONs 144A (Baa1)................................................. $ 507,331 1,000,000 Amerisource Health Corp. 5% 2007 cv. sub. notes 144A (Ba3).................... 1,180,625 1,500,000 Elan Finance Corp. 0% 2018 LYONs 144A (Baa3) (exch. for ADRs representing Elan Corp., plc common stock)................... 1,188,750 500,000 Ivax Corp. 5.50% 2007 cv. senior sub. notes 144A (NR)......................... 550,313 500,000 Ivax Corp. 5.50% 2007 cv. senior sub. notes (NR).............................. 550,313 1,000,000 Merrill Lynch & Co., Inc. 2% 2005 medium-term notes (Aa3) (exch. for Johnson & Johnson common stock)................................... 962,500 1,125,000 Roche Holdings, Inc. 0% 2015 LYONs 144A (NR) (exch. for Genentech, Inc. common stock)..................................... 819,844 1,000,000 Sepracor, Inc. 7% 2005 cv. notes 144A (CCC+).................................. 777,500 250,000 Sepracor, Inc. 7% 2005 cv. notes (CCC+)....................................... 194,375 1,000,000 Sunrise Assisted Living, Inc. 5.50% 2002 cv. sub. notes (B2).................. 935,000 ----------- 7,666,551 ----------- INSTRUMENTS - 1.0% 1,000,000 Thermo Electron Corp. 4.25% 2003 cv sub deb (Baa3)............................ 965,000 ----------- MULTI-INDUSTRY - 2.7% 1,500,000 Cendant Corp. 0% 2021 sr. cv. CODES (Baa1).................................... 952,500 1,900,000 Lehman Brothers Holdings, Inc. 0% 2003 BASES notes (A2) (based on the value of the performance of the 10 Uncommon Values Index)...... 1,539,000 ----------- 2,491,500 ----------- RETAIL - 4.4% 1,000,000 Costco Wholesale Corp. 0% 2017 cv. sub. notes 144A (A3)....................... 938,750 1,250,000 Costco Wholesale Corp. 0% 2017 cv. sub. notes (A3)............................ 1,173,438 12,300 shs Estee Lauder Trust $5.40 TRACES II * (NR) (conv. into Estee Lauder Companies, Inc. common stock)....................... 872,531 2,000,000 Jones Apparel Group, Inc. 0% 2002 cv. sr. notes (Baa2)........................ 1,027,160 200,000 Lowe's Companies, Inc. 0% 2021 LYONs (A3)..................................... 129,625 ----------- 4,141,504 ----------- TECHNOLOGY - 8.2% 1,000,000 Affiliated Computer Services, Inc. 3.50% 2006 cv. sub. notes 144A (BB+)....... 1,013,125 1,250,000 Analog Devices, Inc. 4.75% 2005 cv. sub. notes 144A (BBB)..................... 1,103,125 1,500,000 CS First Boston, Inc. 1% 2006 medium-term exch. notes (A1) (exch. for Microsoft Corp. common stock)..................................... 1,282,500 51,000 CS First Boston, Inc. 10% 2002 equity-linked notes 144A * (A1) (exch. for Sun Microsystems, Inc. common stock).............................. 838,313 1,100,000 Cypress Semiconductor Corp. 4% 2005 cv. sub. deb. (B1)........................ 924,000 1,000,000 Exodus Communications, Inc. 5.25% 2008 cv. sub. notes (Caa1).................. 678,125 1,000,000 The Goldman Sachs Group, Inc. 0.25% 2007 medium-term notes (A1) (exch. for EMC Corp. common stock)........................................... 789,610 1,000,000 Hewlett-Packard Co. 0% 2017 LYONs 144A (Aa3).................................. 546,875 1,150,000 Solectron Corp. 0% 2020 LYONs (Baa3).......................................... 481,563 ----------- 7,657,236 -----------
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Portfolio of Investments March 31, 2001 (continued) Principal Amount Value or Shares (Note 1) ---------- ----------- TELECOMMUNICATIONS - 9.0% $ 700,000 American Tower Corp. 2.25% 2009 cv. sub. deb. (B3)............................ $ 544,250 4,000,000 Anixter International, Inc. 0% 2020 LYONs 144A (Ba3).......................... 1,017,500 1,000,000 Bell Atlantic Financial Services, Inc. 5.75% 2003 cv. sub. deb. 144A (A1) (exch. for cash equiv. Telecom Corp. of New Zealand common stock)............ 998,125 500,000 CIENA Corp. 3.75% 2008 cv. sr. notes (Ba3).................................... 384,688 1,000,000 Corning, Inc. 0% 2015 cv. deb. (A2)........................................... 590,625 15,000 shs Crown Castle International Corp. 6.25% 2012 cv. pfd. (Caa).................... 474,375 1,000,000 Exchangeable Certificate Corp. 0.25% 2006 medium-term exch. notes 144A (AAA)(exch. for specific telephone and cable common stocks **)............... 867,500 1,000,000 Liberty Media Corp. 3.75% 2030 sr. exch. deb. 144A (Baa3) (exch. for Sprint Corporation (PCS Group) common stock)...................... 560,130 25,000 MediaOne Group, Inc. 7% 2002 PIES * (A3) (exch. for ADRs representing Vodafone AirTouch plc common stock)............. 753,125 1,000,000 Nextel Communications, Inc. 4.75% 2007 cv. sr. notes (B1)..................... 900,000 1,500,000 Tecnost International, N.V. 1% 2005 ADBs 144A (Baa2) (exch. for ADRs representing Telecom Italia S.p.A. common stock)............. 1,311,300 ----------- 8,401,618 ----------- TRANSPORTATION - 2.1% 20,000 shs Continental Airlines Finance Trust II 6% cv. pfd. TIDES 144A (B2) (exch. for Continental Airlines, Inc. common stock).......................... 915,000 1,000,000 United Parcel Service, Inc. 1.75% 2007 cash-settled cv. sr. notes (AAA)....... 1,037,500 ----------- 1,952,500 ----------- UTILITIES - 4.5% 16,000 shs AES Trust VII $3 trust cv. pfd. securities 144A (Ba3) (conv. into AES Corp. common stock).......................................... 1,016,000 17,500 shs Calpine Capital Trust III 5% HIGH TIDES 144A (Ba2) (exch. for Calpine Corp. common stock)....................................... 1,270,938 8,250 shs Calpine Capital Trust III 5% HIGH TIDES (Ba2) (exch. for Calpine Corp. common stock)....................................... 599,156 1,000,000 International Power (Cayman) Limited 2% 2005 sr. cv. notes 144A (Ba3) (exch. for ADSs representing International Power plc common stock)........... 1,076,250 250,000 Ogden Corp. 6% 2002 cv. sub. deb. (Baa3) (conv. into Covanta Energy Corp. common stock)............................... 233,750 ----------- 4,196,094 ----------- U.S. TREASURY NOTES - 0.0% 11,000 6.50% 3/31/02 +............................................................... 11,241 ----------- CORPORATE SHORT-TERM NOTES - 4.6% 4,300,000 American Express Credit Corp. (P1) (4.97% and 5.07% maturing 4/2/01)............................................. 4,297,324 ----------- Total Convertible Bonds and Notes - 77.5%..................................... 72,586,020 Total Convertible Preferred Stocks - 17.4%.................................... 16,314,654 Total Common Stocks - 0.0%.................................................... 16,625 Total Corporate Short-Term Notes - 4.6%....................................... 4,297,324 ----------- Total Investments - 99.5%..................................................... 93,214,623 ----------- Other assets and liabilities, net - 0.5%...................................... 429,556 Total Net Assets - 100.0%..................................................... $93,644,179 ===========
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Portfolio of Investments March 31, 2001 (continued) * See Note 1(e) ** Ticker symbols: CSCO, CMCSK, TWX, IBM, LMGa and WCOM + Collateral for a letter of credit ACES Automatically Convertible Equity Securities. ADBs American Depositary Bonds. ADRs American Depositary Receipts. ADSs American Depositary Shares. BASES Basket Adjusting Structured Equity Securities. CODES Contingent Debt Securities. DECS Debt Exchangeable for Common Stock. FELINE Family of Equity-Linked Income Securities. HIGH TIDES Remarketable Term Income Deferrable Equity Securities. LYONs Liquid Yield Option Notes. PIERS Preferred Income Equity Redeemable Securities. PIES Premium Income Exchangeable Securities. PRIDES Preferred Redeemable Increased Dividend Equity Securities. SPuRS Shared Preference Redeemable Securities. TIDES Term Income Deferrable Equity Securities. TRACES Trust Automatic Common Exchange Securities.
Ratings in parentheses by Moody's Investors Service, Inc. or Standard & Poor's, a division of McGraw-Hill Companies. The cost of investments for federal income tax purposes is $95,357,581 resulting in gross unrealized appreciation and depreciation of $6,195,462 and $8,338,420, respectively, or net unrealized depreciation of $2,142,958 on a tax cost basis. See accompanying notes to financial statements. 14 Miscellaneous Notes Results of the 2001 Annual Shareholders Meeting The results of the shareholder vote at the Annual Meeting of Shareholders held on January 12, 2001, were: 1. All directors nominated by management were elected for terms expiring in 2004. Shares Voted for Shares withheld ---------------- --------------- Gordon F. Ahalt 8,065,440 616,864 Elizabeth C. Bogan 8,105,997 576,307 Nicolas W. Platt 8,079,134 603,170 2. The proposed Investment Advisory Agreement with Davis-Dinsmore Management Company was approved with 7,733,609 shares voted for, 836,057 shares voted against and 112,638 shares abstaining. 3. The selection of PricewaterhouseCoopers LLP as independent accountants was ratified with 8,267,656 shares voted for, 62,980 shares voted against and 351,668shares abstaining. 4. The proposal to amend the Articles of Incorporation that would give shareholders the right to tender their shares during the current fiscal year did not pass, as 1,487,244 shares voted for, 3,050,682 shares voted against, 378,917 shares abstaining and 3,765,461 shares were broker non-votes. - ------------------------------------------------------------------------------ Important Factors Regarding Forward-Looking Statements Information contained within the letter to Shareholders constitutes forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. Statements which reflect the intent, belief or expectations of the Company and its management regarding the anticipated effect of events, circumstances and trends should be considered forward-looking statements. These forward-looking statements are not guarantees of future performance and there are a number of meaningful factors which could cause the Company's results to vary materially from those indicated by any such statements. Factors which could cause actual results to differ from expectations include, among others, changes to the Federal Reserve Board's monetary policy, increases in energy consumption or a failure to develop new sources of energy, a decline in productivity, an increase in inflation, stable or increasing interest rates, or tax rates, changes to foreign and domestic markets in general or changes to the market for convertible securities. - ------------------------------------------------------------------------------ Ellsworth is a member of the Closed-End Fund Association (CEFA). Its website address is www.cefa.com. CEFA is solely responsible for the content of its website. - ------------------------------------------------------------------------------ Pursuant to Section 23 of the Investment Company Act of 1940, notice is hereby given that the Fund may in the future purchase shares of Ellsworth Convertible Growth and Income Fund, Inc. Common Stock from time to time, at such times, and in such amounts, as may be deemed advantageous to the Fund. Nothing herein shall be considered a commitment to purchase such shares. 15 Board of Directors GORDON F. AHALT Petroleum Consultant WILLIAM A. BENTON Retired Stock Exchange Specialist ELIZABETH C. BOGAN Senior Lecturer in Economics at Princeton University THOMAS H. DINSMORE, C.F.A. Chairman of the Board of Ellsworth DONALD M. HALSTED, JR. Investor GEORGE R. LIEBERMAN Retired Advertising Executive DUNCAN O. MCKEE Retired Attorney JANE D. O'KEEFFE President of Ellsworth NICOLAS W. PLATT Public Relations Executive Officers THOMAS H. DINSMORE Chairman of the Board JANE D. O'KEEFFE President SIGMUND LEVINE Senior Vice President and Secretary H. TUCKER LAKE Vice President, Trading GERMAINE M. ORTIZ Vice President GARY I. LEVINE Treasurer and Assistant Secretary MERCEDES A. PIERRE Assistant Treasurer - ------------------------------------------------------------------------------ Internet http://www.ellsworthfund.com email: info@bcvecf.com Investment Adviser Davis-Dinsmore Management Company 65 Madison Avenue, Morristown, NJ 07960-7308 (973) 631-1177 The Bank of New York Shareholder Relations Department-11E P.O. Box 11258, Church Street Station New York, NY 10286-1258 (800)432-8224 http://stkxfer.bankofny.com Common Stock Listing American Stock Exchange Symbol: ECF 16 Ellsworth Convertible Growth and Income Fund, Inc. 65 MADISON AVENUE MORRISTOWN, NEW JERSEY 07960 www.ellsworthfund.com [logo] Printed on recycled paper -----END PRIVACY-ENHANCED MESSAGE-----