-----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, N3lTRxxvoiLVZT8rVHMeB7VuPOQYfGhvwR1rhdD7sC/1NTtp0DEhR5p53erlFhXz +q4TjT0W9hHZhs8sm6mR9w== 0000793040-03-000005.txt : 20030527 0000793040-03-000005.hdr.sgml : 20030526 20030527123927 ACCESSION NUMBER: 0000793040-03-000005 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20030331 FILED AS OF DATE: 20030527 EFFECTIVENESS DATE: 20030527 FILER: COMPANY DATA: COMPANY CONFORMED NAME: ELLSWORTH CONVERTIBLE GROWTH & INCOME FUND INC CENTRAL INDEX KEY: 0000793040 IRS NUMBER: 133345139 STATE OF INCORPORATION: MD FISCAL YEAR END: 0930 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-04656 FILM NUMBER: 03719484 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 ecf3-03.txt 2003 SEMI-ANNUAL REPORT 1 Ellsworth Convertible Growth and Income Fund [GRAPHIC OMITTED] ELLSWORTH LOGO 2003 Semi-Annual Report March 31, 2003 2 Ellsworth Convertible Growth and Income Fund, Inc. (the "Fund") 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 Fund considers to be relatively equal, over the long-term, due to the nature of the securities in which it invests. Highlights
Performance through 3/31/03 with dividends reinvested 3 Months 1 Year 5 Years 10 Years -------- ------- ------- -------- Ellsworth market value (a) ................... 1.93% (3.64)% 17.09% 170.09% Ellsworth net asset value (b) ................ 0.45 (5.95) 9.51 126.82 Closed-end convertible fund average (b) ...... 1.40 (10.54) 2.81 99.25 S&P 500 (a) .................................. (3.15) (24.76) (17.44) 126.58 Russell 2000 (a) ............................. (4.48) (26.95) (18.58) 59.04(c) Lehman Aggregate Bond Total Return Index (b) . 1.39 11.69 43.64 100.94
Performance data represent past results and do not reflect future performance. (a) From Bloomberg L.P. pricing service. (b) From Lipper, Inc. Closed-End Fund Performance Analysis, dated March 31, 2003. (c) 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. 02 $8.84 $8.42 $8.52 $8.39 $7.95 $8.25 Sep. 02 8.38 7.62 7.81 8.24 7.00 7.55 Dec. 02 8.06 7.51 7.94 7.90 6.95 7.45 Mar. 03 8.16 7.69 7.90 7.96 7.41 7.52
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Dividend Distributions (12 Months) Record Payment Capital Date Date Income Gains Total - -------- -------- ------ ------- ------ 5/16/02 5/30/02 $0.080 --- $0.080 8/16/02 8/30/02 0.080 --- 0.080 10/25/02 11/27/02 0.086 --- 0.086 2/13/03 2/27/03 0.075 --- 0.075 ------ ------- ------ $0.321 --- $0.321 ====== ======= ======
3 TO OUR SHAREHOLDERS With the ending of the major fighting in Iraq, the financial markets are returning to trading with less fear and uncertainty over outside events and more concentration on the economy of the U.S. and the World. While it is clear that the War on Terrorism is not over and that there are still battles to be fought, we believe that the terrorists' operational capabilities are now seriously impaired. With these developments, economic activity should pick up. The convertible securities market has been affected by current economic conditions. Conversion premiums over equity values are historically high while the premium to investment value is quite low. This is because of very low interest rates, and it has made the convertible market much more interest rate sensitive and less equity sensitive than it had been. We have sought to reduce interest rate risk by buying issues that have relatively short maturities or that have "put" features that allow us to sell the bonds back to the issuer at a set price. We have also sought to increase equity sensitivity by purchasing convertible issues known as "mandatories" (issues which automatically convert to common stock upon maturity) as well as purchasing some common stock. A basic premise under which the Fund operates is that convertible securities can offer equity-like performance with less volatility over complete market cycles. As indicated on the chart on the facing Highlights page, the Fund's net asset and market values outperformed the Closed-end Convertible Fund average, the S&P 500 stock index and the Russell 2000 index for the one year, five year and ten year periods ended March 31, 2003. We believe that past outperformance of these important indices and of our peer category, while no guarantee of future returns, is an historical validation of this premise. 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, 2003, Morningstar** has continued to rate the Fund's performance at four stars (above average) overall as measured on the "Quicktake Report" on their website. In addition, shareholders who wish to obtain a copy of the most recent report on the Fund issued by Standard and Poor's should contact us. The results of the 2003 annual shareholders' meeting are shown in the Miscellaneous Notes section of this report. Thank you for your support. Lipper Performance Achievement Certificates for the five and ten year periods are also listed in the Miscellaneous Notes section. At its April meeting the Board of Directors declared a dividend of 7 cents pershare. The dividend consists of undistributed net investment income. This dividend will be payable on May 29, 2003 to shareholders of record on May 15, 2003. /s/Thomas H. Dinsmore Thomas H. Dinsmore Chairman of the Board May 9, 2003 * The Closed-End Fund Association is solely responsible for the content of its website. ** Morningstar is a mutual fund analysis and statistical reporting service that reports on and rates most mutual funds. It is solely responsible for the content of its website. 4
Largest Investment Holdings by underlying common stock Value % Total (Note 1) Net Assets ---------- ---------- Washington Mutual, Inc....................................... $2,351,250 2.8% A financial services company that provides a diversified line of products and services to consumers and small to mid-sized businesses. Reinsurance Group of America, Inc............................ 1,904,800 2.3 An insurance holding company that is engaged in traditional life reinsurance in the United States, Canada and various international markets. The Company also provides reinsurance of asset-intensive products and financial reinsurance. Anixter International, Inc................................... 1,848,938 2.2 Distributes communications and specialty wire and cable products. Also distributes wiring systems for voice, data, and video networks and electrical power applications. Travelers Property Casualty Corp............................. 1,792,000 2.2 Provides a broad range of insurance products and services for the commercial and consumer markets. ChevronTexaco Corp........................................... 1,540,000 1.9 Operates worldwide in oil and gas exploration, production, refining, and marketing, and chemical manufacturing. (convertible from Devon Energy Corp. 4.90% and 4.95%, due 2008) Offshore Logistics, Inc...................................... 1,535,625 1.9 Provides helicopter transportation services to the offshore oil and gas industry. The Company offers transportation services in oil and gas producing regions around the world. Northrop Grumman Corp........................................ 1,488,750 1.8 Provides products, services and solutions in defense and commercial electronics, systems integration, information technology, and non-nuclear shipbuilding systems. The Interpublic Group of Cos., Inc........................... 1,457,000 1.8 An organization of advertising agencies and marketing service companies that operates globally in the sectors of advertising, independent media buying, direct marketing, marketing research and public relations. Capital One Financial Corp................................... 1,452,500 1.8 Through its subsidiaries, provides credit card products, certain consumer lending, and deposit services. WPP Group plc................................................ 1,441,845 1.7 Operates a worldwide communications group. The Company's operations encompass advertising, media investment manage- ment, information and consultancy, and public relations. ----------- ---------- Total........................................................$16,812,708 20.4% =========== ==========
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Major Industry Exposure % Total Net Assets ---------- Financial & Insurance...... 12.6% Banking/Savings & Loan..... 9.9 Retail..................... 8.4 Energy..................... 8.2 Technology................. 8.1 Pharmaceuticals............ 7.3 Health Care................ 7.0 Aerospace & Defense........ 6.0 Entertainment.............. 5.1 Telecommunications......... 4.1 ---------- Total...................... 76.7% ==========
Major Portfolio Changes Six months ended March 31, 2003 ADDITIONS REDUCTIONS General Mills, Inc. American Express Company (exchangeable from Exchange Johnson & Johnson Certificates Corp.) British Sky Broadcasting Group plc Brooks Automation, Inc. (exchangeable from News Corp. Finance Trust II) Documentum, Inc. The Chubb Corp. GATX Corp. New York Community Bancorp, Inc. General Electric Corp. (exchangeable from Credit Suisse Offshore Logistics, Inc. First Boston Corp.) ONEOK, Inc. GenCorp, Inc. Platinum Underwriters Holdings, Ltd. Genentech, Inc. (exchangeable from Roche Holdings, Inc.) Radio One, Inc. Johnson & Johnson Robbins & Myers, Inc. (exchangeable from Alza Corp.) Siebel Systems, Inc. Lehman Brothers Holdings, Inc. (based on the value of the 10 Uncommon State Street Corp. Values Index) STMicroelectronics N.V. Microsoft Corp. (exchangeable from Credit Suisse Teva Pharmaceuticals Ltd. First Boston Corp.) (exchangeable from Teva Pharm. Finance B.V. National Data Corp. Travelers Property Casualty Corp. Omnicom Group, Inc. Verizon Communications, Inc. Tecnost International, N.V. (exchangeable from The Goldman Sachs Group, Inc.)
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Statement of Assets and Liabilities (unaudited) March 31, 2003 -------------- Assets: Investments at value (Cost $88,175,614)(Note 1)............................... $83,364,732 Cash......................................................... 795,999 Dividends and interest receivable............................ 470,877 Other assets................................................. 39,281 ----------- Total assets................................................. 84,670,889 ----------- Liabilities: Payable for securities purchased............................. 2,007,720 Accrued management fee(Note 2)............................... 5,758 Accrued expenses............................................. 8,878 ----------- Total liabilities............................................ 2,022,356 ----------- Net Assets.................................................... $82,648,533 =========== Net assets consist of: Undistributed net investment income.......................... $ 389,019 Accumulated net realized loss from investment transactions... (8,470,678) Unrealized depreciation on investments....................... (4,810,882) Capital shares (Note 3)...................................... 104,620 Additional paid-in capital................................... 95,436,454 ----------- Net Assets.................................................... $82,648,533 =========== Net asset value per share ($82,648,533/10,461,994 outstanding shares)....................................... $ 7.90 ===========
Statement of Operations (unaudited) Six Months Ended March 31, 2003 Investment Income (Note 1): Interest..................................................... $ 949,332 Dividends.................................................... 866,588 ----------- Total Income............................................... 1,815,920 ----------- Expenses (Note 2): Management fee............................................... 309,394 Custodian.................................................... 8,697 Transfer agent............................................... 13,575 Professional fees............................................ 50,345 Directors' fees.............................................. 53,300 Reports to shareholders...................................... 24,902 Treasurer's office........................................... 12,500 Other........................................................ 44,968 ----------- Total Expenses............................................ 517,681 ----------- Net Investment Income......................................... 1,298,239 ----------- Realized and Unrealized Gain on Investments: Net realized loss from investment transactions............... (754,085) Net unrealized appreciation of investments................... 2,139,215 ----------- Net gain on investments...................................... 1,385,130 ----------- Net Increase in Net Assets Resulting from Operations......... $ 2,683,369 ===========
See accompanying notes to financial statements. 7
Statement of Changes in Net Assets Six Months Year Ended Ended September 30, March 31, 2003(a) 2002 ----------------- ------------- Change in net assets from operations: Net investment income..................................... $ 1,298,239 $ 3,487,906 Net realized loss from investment transactions............ (754,085) (6,659,001) Net change in appreciation of investments................. 2,139,215 (1,273,567) ----------- ----------- Net change in net assets resulting from operations..... 2,683,369 (4,444,662) ----------- ----------- Dividends to shareholders from: Net investment income..................................... (1,678,523) (4,547,101) ----------- ----------- Capital share transactions (Note 3)......................... 518,366 1,216,444 ----------- ----------- Change in net assets......................................... 1,523,212 (7,775,319) ----------- ----------- Net assets at beginning of period............................ 81,125,321 88,900,640 ----------- ----------- Net assets at end of period (including undistributed net investment income of $389,019 and $800,703, respectively). $82,648,533 $81,125,321 =========== ===========
Financial Highlights Selected data for a share of common stock outstanding: Six Months Ended Years Ended September 30, March 31, ----------------------------------------- 2003(a) 2002 2001 2000 1999 1998 ---------- ------- ------- -------- ------- ------- Operating Performance: Net asset value, beginning of period. $ 7.81 $ 8.67 $11.82 $11.23 $11.18 $13.33 ------- ------- ------- -------- ------- ------- Net investment income................ 0.12 0.34 0.47 0.42 0.33 0.35 Net realized and unrealized gain (loss).............................. 0.13 (0.76) (1.88) 1.71 1.40 (0.65) ------- ------- ------- -------- ------- ------- Total from investment operations... 0.25 (0.42) (1.41) 2.13 1.73 (0.30) Less Distributions: Dividends from net investment income. (0.16) (0.44) (0.42) (0.35) (0.32) (0.37) Distributions from realized gains.... --- --- (1.32) (1.23) (1.36) (1.48) ------- ------- ------- -------- ------- ------- Total distributions................ (0.16) (0.44) (1.74) (1.58) (1.68) (1.85) Capital share repurchases............ --- --- --- 0.04 --- --- ------- ------- ------- -------- ------- ------- Net asset value, end of period....... $ 7.90 $ 7.81 $ 8.67 $11.82 $11.23 $11.18 ======= ======= ======= ======== ======= ======= Market value, end of period.......... $ 7.52 $ 7.55 $ 8.35 $ 9.88 $ 9.38 $10.00 Total Net Asset Value Return (%)(b).. 3.23 (5.20) (13.34) 21.85 16.42 (2.39) Total Investment Return (%)(c)....... 1.71 (4.54) 2.21 25.72 10.39 5.21 Ratios/Supplemental Data: Net assets, end of period (in thousands)...................... $82,649 $81,125 $88,901 $109,180 $96,040 $87,438 Ratio of expenses to average net assets (%).......................... 1.3(d) 1.2 1.2 1.2 1.1 1.1 Ratio of net investment income to average net assets (%)............. 3.2(d) 3.9 5.0 3.8 3.0 3.0 Portfolio turnover rate (%).......... 38 89 82 98 67 59
(a)Unaudited. (b)Assumes valuation of the Fund's shares, and reinvestment of dividends, at net asset values. (c)Assumes valuation of the Fund's shares at market price and reinvestment of dividends at actual reinvestment price. (d)Annualized. See accompanying notes to financial statements. 8
Portfolio of Investments March 31, 2003 (unaudited) Principal Amount Value or Shares (Note 1) ---------- ---------- ADVERTISING - 3.5% $1,550,000 The Interpublic Group Cos., Inc. 1.80% 2004 cv. sub. notes (NR).............. $ 1,457,000 1,500,000 WPP Group plc 3% 2005 cv. sub. notes (Baa1).................................. 1,441,845 ----------- 2,898,845 ----------- AEROSPACE & DEFENSE - 6.0% 1,500,000 The Goldman Sachs Group, Inc. 1.00% 2009 exch. equity-linked notes * (Aa3) (exch. for General Dynamics Corp. common stock)............................. 1,334,310 750,000 L-3 Communications Holdings, Inc. 5.25% 2009 cv. sr. sub. notes 144A (Ba3)... 894,375 225,000 L-3 Communications Holdings, Inc. 5.25% 2009 cv. sr. sub. notes (Ba3)........ 268,313 15,000 shs Northrop Grumman Corp. 7.25% equity units *,** (NR).......................... 1,488,750 20,000 shs RC Trust I 8.25% equity security units *,** (Ba2) (exch. for Raytheon Co. class B common stock)............................... 1,006,250 ----------- 4,991,998 ----------- AUTOMOTIVE - 3.3% 20,000 shs Ford Motor Co. Capital Trust II 6.50% cv. pfd. (Baa2) (exch. for Ford Motor Co. common stock)..................................... 704,600 40,500 shs General Motors Corp. series B cv. sr. deb. (A3).............................. 919,350 2,500,000 Lear Corp. 0% 2022 cv. sr. notes 144A (Ba1).................................. 1,089,063 ----------- 2,713,013 ----------- BANKING/SAVINGS & LOAN - 9.9% 20,000 shs Commerce Capital Trust II 5.95% cv. trust pfd. 144A (Baa1) (exch. for Commerce Bancorp, Inc. common stock)............................. 1,076,250 5,000 shs Commerce Capital Trust II 5.95% cv. trust pfd. (Baa1) (exch. for Commerce Bancorp, Inc. common stock)............................. 269,063 40,000 shs National Australia Bank Ltd. 7.875% exch. capital units (NR)................. 1,406,000 25,000 shs New York Community Bancorp, Inc. 6% BONUSES units (Ba1)...................... 1,285,800 40,000 shs Provident Financial Group, Inc. 9% PRIDES ** (NR)............................ 902,000 5,000 shs State Street Corp. 6.75% treasury backed ACES (NR)........................... 883,750 35,000 shs Washington Mutual Capital Trust PIERS units 144A (Baa1) (exch. for Washington Mutual, Inc. common stock)............................ 1,828,750 10,000 shs Washington Mutual Capital Trust PIERS units (Baa1) (exch. for Washington Mutual, Inc. common stock)............................ 522,500 ----------- 8,174,113 ----------- CABLE - 1.4% 1,000,000 Charter Communications, Inc. 5.75% 2005 cv. sr. notes (Ca)................... 220,000 42,500 shs Equity Securities Trust II 6.25% ** (NR) (exch. for Cablevision Systems Corp. common stock).......................... 930,352 ----------- 1,150,352 ----------- CAPITAL GOODS - 1.2% 1,000,000 Robbins & Myers, Inc. 6.50% 2003 cv. sub. notes (NR)......................... 1,005,000 ----------- CONSUMER GOODS - 1.2% 16,300 shs Newell Financial Trust I 5.25% (Baa2) (exch. for Newell Rubbermaid, Inc. common stock)............................ 768,138 ----------- DATA-PROCESSING SERVICES - 1.5% 965,000 The BISYS Group, Inc. 4% 2006 cv. sub. notes 144A (NR)....................... 944,494 285,000 The BISYS Group, Inc. 4% 2006 cv. sub. notes (NR)............................ 278,944 ----------- 1,223,438 ----------- ENERGY - 8.2% 500,000 Devon Energy Corp. 4.90% 2008 cv. sub. deb. * (Baa2) (conv. into ChevronTexaco Corp. common stock)............................... 512,500 1,000,000 Devon Energy Corp. 4.95% 2008 cv. sub. deb. * (Baa2) (conv. into ChevronTexaco Corp. common stock)............................... 1,027,500
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Portfolio of Investments March 31, 2003 (continued) Principal Amount Value or Shares (Note 1) ---------- ---------- ENERGY - continued $1,300,000 Kerr-McGee Corp. 5.25% 2010 cv. sub. deb. (Baa2)............................. $ 1,384,227 30,000 Kerr-McGee Corp. 5.50% 2004 DECS ** (Baa2) (exch. for Devon Energy Corp. common stock)................................. 1,322,100 1,500,000 Offshore Logistics, Inc. 6% 2003 cv. sub. notes (B2)......................... 1,535,625 37,500 shs ONEOK, Inc. 8.50% equity units *,** (Baa1)................................... 1,007,813 ----------- 6,789,765 ----------- ENTERTAINMENT - 5.1% 22,500 shs Emmis Communications Corp. 6.25% series A cum. cv. pfd. (Caa1)............... 888,750 2,500,000 News America, Inc. 0% 2021 LYONs 144A (Baa3) (exch. for ADSs representing The News Corp. Limited common stock)........... 1,345,750 750 shs News Corp. Finance Trust II 0.75% 2023 sr. exch. BUCS 144A * (Baa3) (exch. for British Sky Broadcasting Group plc ADRs)......................... 750,000 1,250 shs Radio One, Inc. 6.50% HIGH TIDES (B3)........................................ 1,240,547 ----------- 4,225,047 ----------- FINANCIAL & INSURANCE - 12.6% 50,000 shs Capital One Financial Corp. 6.25% Upper DECS *,** (Baa3)..................... 1,452,500 40,000 shs The Chubb Corp. 7% equity units *,** (NR).................................... 856,000 40,000 shs Platinum Underwriters Holdings, Ltd. 7% equity security units *,** (NR)...... 1,112,000 22,500 shs Prudential Financial Capital Trust I 6.25% equity security units *,** (A3) (exch. for Prudential Financial, Inc. common stock)......................... 1,157,625 40,000 shs Reinsurance Group of America, Inc. 5.75% PIERS (Baa2)........................ 1,904,800 1,000,000 Swiss Re America Holding Corp. 3.25% 2021 euro. sub. cv. bonds 144A (Aa1) (conv. into Swiss Reinsurance Company common stock)......................... 871,875 80,000 shs Travelers Property Casualty Corp. 4.50% 2032 cv. jr. sub. notes (A3)......... 1,792,000 1,500,000 XL Capital, Ltd. 0% 2021 cv. deb. 144A * (A1)................................ 946,875 500,000 XL Capital, Ltd. 0% 2021 cv. deb. * (A1)..................................... 315,625 ----------- 10,409,300 ----------- FOODS - 1.7% 2,000,000 General Mills, Inc. 0% 2022 cv. sr. deb. 144A * (Baa2)....................... 1,435,000 ----------- HEALTH CARE - 7.0% 750,000 AmerisourceBergen Corp. 5% 2007 cv. sub. notes 144A (Ba3).................... 941,250 1,000,000 Community Health Systems, Inc. 4.25% 2008 cv. sub. notes (B3)................ 997,500 500,000 LifePoint Hospitals, Inc. 4.50% 2009 cv. sub. notes 144A (B3)................ 486,250 500,000 LifePoint Hospitals, Inc. 4.50% 2009 cv. sub. notes (B3)..................... 486,250 1,000,000 Medtronic, Inc. 1.25% 2021 cv. deb. * (A1)................................... 1,047,750 1,000,000 Province Healthcare Company 4.25% 2008 cv. sub. notes 144A (B3).............. 820,000 600,000 Sunrise Assisted Living, Inc. 5.25% 2009 cv. sub. notes 144A (B1)............ 590,625 400,000 Sunrise Assisted Living, Inc. 5.25% 2009 cv. sub. notes (B1)................. 393,750 ----------- 5,763,375 ----------- OFFICE EQUIPMENT - 1.4% 1,250,000 IOS Capital, LLC 5% 2007 cv. sub. notes 144A (Baa3) (exch. for IKON Office Solutions, Inc. common stock)........................ 1,155,000 ----------- PAPER & PAPER PRODUCTS - 1.2% 25,000 shs Temple-Inland, Inc. 7.50% Upper DECS *,** (Baa3)............................. 998,750 -----------
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Portfolio of Investments March 31, 2003 (continued) Principal Amount Value or Shares (Note 1) ---------- ---------- PHARMACEUTICALS - 7.3% $ 750,000 Cephalon, Inc. 2.50% 2006 cv. sub. notes 144A (NR)........................... $ 676,406 500,000 Cephalon, Inc. 2.50% 2006 cv. sub. notes (NR)................................ 450,938 500,000 Gilead Sciences, Inc. 2% 2007 cv. sr. notes 144A (NR)........................ 578,250 1,500,000 Ivax Corp. 5.50% 2007 cv. sr. sub. notes (NR)................................ 1,432,500 18,300 shs Johnson & Johnson common stock............................................... 1,059,021 800,000 Sepracor, Inc. 7% 2005 cv. sub. deb. 144A (CCC+)............................. 720,000 1,000,000 Teva Pharmaceutical Finance B.V. 0.375% 2022 cv. sub. deb. (BBB-) (exch. for Teva Pharmaceuticals Industries Ltd. ADRs)....................... 1,135,000 ----------- 6,052,115 ----------- REAL ESTATE - 1.2% 1,000,000 Federal Realty Investment Trust 5.25% 2003 cv. sub. deb. (Baa3).............. 995,000 ----------- RETAIL - 8.4% 1,015,000 Barnes & Noble, Inc. 5.25% 2009 cv. sub. notes (Ba3)......................... 990,894 500,000 Brinker International, Inc. 0% 2021 cv. sr. deb. 144A (Baa2)................. 342,130 500,000 Brinker International, Inc. 0% 2021 cv. sr. deb. (Baa2)...................... 342,130 1,250,000 Charming Shoppes, Inc. 4.75% 2012 sr. cv. notes 144A (B2).................... 998,438 250,000 Charming Shoppes, Inc. 4.75% 2012 sr. cv. notes (B2)......................... 199,688 1,750,000 Costco Wholesale Corp. 0% 2017 cv. sub. notes (A3)........................... 1,254,365 1,225,000 Duane Reade, Inc. 2.148% 2022 cv. sr. notes 144A (Ba3)....................... 592,594 525,000 Duane Reade, Inc. 2.148% 2022 cv. sr. notes (Ba3)............................ 253,969 850,000 School Specialty, Inc. 6% 2008 cv. sub. notes 144A (B+)...................... 819,443 250,000 School Specialty, Inc. 6% 2008 cv. sub. notes (B+)........................... 241,013 500,000 Skechers U.S.A., Inc. 4.50% 2007 cv. bonds 144A (NR)......................... 425,000 15,000 shs Toys "R" Us, Inc. 6.25% equity securities units *,** (NR).................... 458,100 ----------- 6,917,764 ----------- TECHNOLOGY - 8.1% 250,000 Affiliated Computer Services, Inc. 3.50% 2006 cv. sub. notes 144A (Baa2)..... 304,650 750,000 Affiliated Computer Services, Inc. 3.50% 2006 cv. sub. notes (Baa2).......... 913,950 1,250,000 Analog Devices, Inc. 4.75% 2005 cv. sub. notes 144A (Baa1)................... 1,267,188 500,000 Hutchinson Technology, Inc. 2.25% 2010 cv. sub. notes 144A (NR).............. 549,990 500,000 LSI Logic Corp. 4.25% 2004 cv. sub. notes (Ba3).............................. 495,000 500,000 Kulicke & Soffa Industries, Inc. 4.75% 2006 cv. sub. notes (B3).............. 330,625 1,500,000 STMicroelectronics N.V. 0% 2009 LYONs (Baa1)................................. 1,316,250 500,000 Sanmina Corp. 4.25% 2004 cv. sub. notes (B1)................................. 489,688 1,000,000 Siebel Systems, Inc. 5.50% 2006 cv. sub. notes (B+).......................... 1,005,000 ----------- 6,672,341 ----------- TELECOMMUNICATIONS - 4.1% 4,000,000 Anixter International, Inc. 0% 2020 LYONs 144A (Ba3)......................... 1,297,500 1,700,000 Anixter International, Inc. 0% 2020 LYONs (Ba3).............................. 551,438 27,700 shs The Goldman Sachs Group, Inc. 7.30% mandatory exchangeable notes (NR) (exch. for Verizon Communications, Inc. common stock)....................... 982,630 500,000 UTStarcom, Inc. 0.875% 2008 cv. notes (NR)................................... 545,781 ----------- 3,377,349 ----------- TRANSPORTATION - 1.7% 1,000,000 Continental Airlines, Inc. 4.50% 2007 cv. notes (B2)......................... 405,000 1,000,000 United Parcel Service, Inc. 1.75% 2007 cash-settled cv. sr. notes (Aaa)...... 1,023,750 ----------- 1,428,750 -----------
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Portfolio of Investments March 31, 2003 (continued) Principal Amount Value or Shares (Note 1) ---------- ----------- UTILITIES - 2.1% 25,000 shs American Electric Power Co., Inc. 9.25% equity units *,** (Baa3)............. $ 882,813 35,000 shs DTE Energy Co. 8.75% equity security units *,** (Baa2)....................... 826,875 ----------- 1,709,688 ----------- SHORT-TERM SECURITIES - 3.0% $2,500,000 American Express Credit Corp. (P1) (1.26% maturing 4/2/03)...................................................... 2,499,563 11,000 U.S. Treasury notes 4.00% 4/30/03 # (Aaa).................................... 11,028 ----------- 2,510,591 ----------- Total Convertible Bonds and Notes - 58.3%.................................... 48,170,264 Total Convertible Preferred Stocks - 18.6%................................... 15,356,548 Total Mandatory Convertible Securities - 19.7%............................... 16,268,308 Total Common Stocks - 1.3%................................................... 1,059,021 Total Corporate Short-Term Securities - 3.0%................................. 2,510,591 ----------- Total Investments - 100.9%................................................... 83,364,732 ----------- Other assets and liabilities, net - (0.9)%................................... (716,199) ----------- Total Net Assets - 100.0%.................................................... $82,648,533 ===========
* Contingent payment debt instrument which accrues contingent interest income. See Note 1(b). ** Mandatory convertible. See Note 1(e). # Collateral for a letter of credit. ACES Automatically Convertible Equity Securities. ADRs American Depositary Receipts. ADSs American Depositary Shares. BONUSES Bifurcated Option Note Unit Securities. BUCS Beneficial Unsecured Convertible Securities. DECS Debt Exchangeable for Common Stock. HIGH TIDES Remarketable Term Income Deferrable Equity Securities. LYONs Liquid Yield Option Notes. PIERS Preferred Income Equity Redeemable Securities. PRIDES Preferred Redeemable Increased Dividend Equity Securities. Ratings in parentheses by Moody's Investors Service, Inc. or Standard & Poor's, a division of McGraw-Hill Companies. NR is used whenever a rating is unavailable. The cost of investments for federal income tax purposes is $88,175,614 resulting in gross unrealized appreciation and depreciation of $2,022,075 and $6,832,957, respectively, or net unrealized depreciation of $4,810,882 on a tax cost basis. See accompanying notes to financial statements. 11 Notes to Financial Statements (unaudited) 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, 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 3 cents per share for the six months ended March 31, 2003. (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. The Fund has capital loss carryovers of approximately $1,058,000 and $6,659,000 available to offset any future net capital gains which will expire on September 30, 2009 and September 30, 2010, respectively. (d) Dividends and Distributions to Shareholders The liability for dividends and distributions payable is recorded on the ex-dividend date. 13 Notes to Financial Statements (continued) (e) Market Risk It is the Fund's policy, under normal circumstances, to invest at least 80% 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. At March 31, 2003, the market value of those securities was $16,268,306, representing 19.7% 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, 2003. The officers of the Fund are also directors, officers or employees of the Adviser, and are compensated by the Adviser. 3. Portfolio Activity At March 31, 2003 there were 10,461,994 shares of $.01 par value common stock outstanding, (20,000,000 shares authorized). During the six months ended March 31, 2003, 68,117 shares were issued in connection with reinvestment of dividends from net investment income, resulting in an increase in paid-in capital of $518,366. Purchases and sales of investments, exclusive of corporate short-term notes, aggregated $33,599,718 and $30,486,854, respectively, for the six months ended March 31, 2003. A distribution of $0.07 per share from net investment income was declared on April 14, 2003, payable May 29, 2003 to shareholders of record at the close of business May 15, 2003. 14 Miscellaneous Notes Results of the 2003 Annual Shareholders Meeting The results of the shareholder vote at the Annual Meeting of Shareholders held on January 10, 2003 were:
1. All directors nominated by management were elected for terms expiring in 2006. Shares voted for Shares withheld ---------------- --------------- William A. Benton 9,617,650 168,981 George R. Lieberman 9,608,342 178,289 Jane D. O'Keeffe 9,617,674 168,957
2. The Audit Committee's appointment of PricewaterhouseCoopers LLP as independent accountants was ratified with 9,583,060 shares voted for, 110,096 shares voted against and 93,475 shares abstaining. - ------------------------------------------------------------------------------ Visit us on the Internet at www.ellsworthfund.com. The site provides information about the Fund including daily net asset values (NAV), historical dividends and press releases, as well as information about Davis-Dinsmore Management Company, the Fund's adviser. In addition you can send email to us at info@ellsworthfund.com. - ------------------------------------------------------------------------------ The Fund is a member of the Closed-End Fund Association (CEFA). The group's 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. - ------------------------------------------------------------------------------ For the 5 years and 10 years ended December 31, 2002, the Fund's Net Asset Value performance (with dividends reinvested) earned Performance Achievement Certificates from Lipper, Inc., outperforming the other closed-end convertible funds followed by Lipper. Past performance does not guarantee future results. [GRAPHIC OMITTED] LIPPER LOGO (c) 2003 REUTERS. All rights reserved. Any copying, republication or redistribution of Lipper Content is expressly prohibited without the prior written consent of Lipper. 15 Board of Directors GORDON F. AHALT Petroleum Consultant WILLIAM A. BENTON Retired Stock Exchange Specialist ELIZABETH C. BOGAN, PH.D. Senior Lecturer in Economics at Princeton University THOMAS H. DINSMORE, C.F.A. Chairman of the Board of the Fund DONALD M. HALSTED, JR. Investor GEORGE R. LIEBERMAN Retired Advertising Executive DUNCAN O. MCKEE Retired Attorney JANE D. O'KEEFFE President of the Fund NICOLAS W. PLATT Public Relations Executive Officers THOMAS H. DINSMORE Chief Executive Officer JANE D. O'KEEFFE President GARY I. LEVINE Vice President, Treasurer and Chief Financial Officer H. TUCKER LAKE Vice President GERMAINE M. ORTIZ Vice President SIGMUND LEVINE Secretary JOSHUA P. LAKE Assistant Treasurer and Assistant Secretary MERCEDES A. PIERRE Assistant Treasurer - -------------------------------------------------------------------------------- Internet www.ellsworthfund.com email: info@ellsworthfund.com Investment Adviser Davis-Dinsmore Management Company 65 Madison Avenue, Morristown, NJ 07960-7308 (973)631-1177 Shareholder Services and Transfer Agent American Stock Transfer & Trust Company 59 Maiden Lane New York, NY 10038 (800) 937-5449 www.amstock.com Common Stock Listing American Stock Exchange Symbol: ECF 16 ELLSWORTH CONVERTIBLE GROWTH AND INCOME FUND, INC. 65 MADISON AVENUE, SUITE 550 MORRISTOWN, NEW JERSEY 07960 www.ellsworthfund.com [GRAPHIC OMITTED] AMERICAN STOCK EXCHANGE LOGO [GRAPHIC OMITTED] RECYCLE GRAPHIC Printed on recycled paper -----END PRIVACY-ENHANCED MESSAGE-----