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: 811-2151
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Bancroft Fund Ltd.
(successor to Bancroft Convertible Fund, Inc.)
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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:
Martha J. Hays, Esq.
Ballard Spahr Andrews & Ingersoll, LLP
1735 Market Street
Philadelphia, PA 19103-7599
Registrant's telephone number, including area code: 973-631-1177
Date of fiscal year end: October 31
Date of reporting period: January 31, 2006
ITEM 1. SCHEDULE OF INVESTMENTS.
BANCROFT FUND LTD.
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PORTFOLIO OF INVESTMENTS January 31, 2006 (unaudited)-----------------------------------------------
Principal
Amount Value
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CONVERTIBLE BONDS AND NOTES -- 51.7%
AEROSPACE AND DEFENSE -- 4.7%
$1,000,000 AAR Corp. 1.75% 2026 cv. sr. notes (BB-)
(Acquired 01/26/06 - 01/27/06; Cost $1,014,063) (1) .................... $1,016,250
1,000,000 Ceradyne, Inc. 2.875% 2035 sr. sub. cv. notes (NR) (2) ................. 1,218,750
2,000,000 DRS Technologies, Inc. 2% 2026 cv. sr. notes (B2)
(Acquired 01/30/06; Cost $2,000,000) (1,2) ............................. 2,012,500
1,500,000 L-3 Communications Holdings, Inc. 3% 2035 CODES (Ba3) (2) .............. 1,548,750
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5,796,250
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AUTOMOTIVE -- 1.5%
4,000,000 Lear Corp. 0% 2022 cv. sr. notes (Ba2) ................................. 1,810,000
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BANKING/SAVINGS AND LOAN -- 2.0%
2,500,000 U.S. Bancorp floating rate 2035 cv. sr. deb. (Aa2) ..................... 2,487,500
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CONSUMER GOODS -- 1.4%
1,375,000 Church & Dwight Co., Inc. 5.25% 2033 cv. sr. deb. (Ba2) ................ 1,789,219
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ENERGY -- 2.4%
1,125,000 Maverick Tube Corp. 1.875% 2025 cv. sr. sub. notes (NR)
(Acquired 11/09/05 - 11/11/05; Cost $1,128,750) (1) .................... 1,486,406
1,000,000 Oil States International, Inc. 2.375% 2025 contingent
cv. sr. notes (NR) ..................................................... 1,466,250
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2,952,656
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ENTERTAINMENT -- 4.5%
1,500,000 EchoStar Communications Corp. 5.75% 2008 cv. sub. notes (B2) ........... 1,477,500
4,000,000 The Walt Disney Company 2.125% 2023 cv. sr. notes (Baa1) ............... 4,110,000
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5,587,500
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FINANCIAL AND INSURANCE -- 2.2%
500,000 E*TRADE Financial Corp. 6% 2007 cv. sub. notes (B-) .................... 523,125
1,125,000 FTI Consulting, Inc. 3.75% 2012 cv. sr. sub. notes (Ba3) ............... 1,245,938
1,000,000 Swiss Re America Holding Corp. 3.25% 2021 euro. sub. cv. bonds (A1)
(conv. into Swiss Reinsurance Company common stock)
(Acquired 11/15/01 - 12/05/01; Cost $1,007,750) (1) .................... 945,950
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2,715,013
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FINANCIAL SERVICES -- 0.9%
1,000,000 Euronet Worldwide, Inc. 3.50% 2025 cv. deb. (NR) (2) ................... 1,057,500
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FOODS -- 0.8%
1,000,000 Lehman Brothers Holdings, Inc. 3% 2012 medium-term notes (A1)
(performance linked to General Mills, Inc. common stock) (2) ........... 981,700
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HEALTH CARE -- 3.6%
2,000,000 Manor Care, Inc. 2.125% 2035 cv. sr. notes (Baa3) ...................... 2,045,000
1,000,000 Omnicare, Inc. 3.25% 2035 cv. sr. deb. (B1) (2) ........................ 933,750
1,500,000 St. Jude Medical, Inc. 2.8% 2035 cv. sr. deb. (BBB+) (2) ............... 1,503,750
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4,482,500
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PAGE 1
BANCROFT FUND LTD.
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PORTFOLIO OF INVESTMENTS January 31, 2006 (continued)-----------------------------------------------
Principal
Amount Value
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CONVERTIBLE BONDS AND NOTES -- CONTINUED
MULTI-INDUSTRY -- 0.7%
$1,000,000 Lehman Brothers Holdings, Inc. 1% 2011 medium-term notes (A1)
(performance linked to Cendant Corp. common stock) (2) ................. $ 858,750
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PHARMACEUTICALS -- 7.8%
2,000,000 Alza Corp. 0% 2020 cv. sub. deb. (Aa1)
(exch. for Johnson & Johnson common stock) ............................. 1,590,000
2,000,000 Amgen, Inc. 0% 2032 LYONs (A2) (2) ..................................... 1,535,000
1,000,000 Cephalon, Inc. 2% 2015 cv. sr. sub. notes (B-) ......................... 1,621,250
1,250,000 Encysive Pharmaceuticals, Inc. 2.5% 2012 cv. sr. notes (NR) ............ 1,125,000
1,000,000 Ivax Corp. 4.5% 2008 cv. sr. sub. notes (NR)
(exch. for Teva Pharmaceutical Industries Ltd. ADR and cash) ........... 1,023,750
1,000,000 Teva Pharmaceutical Finance Co., LLC 0.25% 2026 cv. sr. deb. (Baa2)
(exch. for Teva Pharmaceutical Industries Ltd. ADR) .................... 1,025,000
1,750,000 Teva Pharmaceutical Finance Co. B.V. 1.75% 2026 cv. sr. deb. (Baa2)
(exch. for Teva Pharmaceutical Industries Ltd. ADR) .................... 1,774,063
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9,694,063
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RETAIL -- 3.8%
1,000,000 Amazon.com, Inc. 4.75% 2009 cv. sub. notes (B2) ........................ 971,250
1,250,000 Casual Male Retail Group, Inc. 5% 2024 cv. sr. sub. notes (NR) ......... 1,171,875
3,000,000 The TJX Companies, Inc. 0% 2021 LYONs (Baa1) ........................... 2,580,000
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4,723,125
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TECHNOLOGY -- 9.9%
1,000,000 C&D Technologies, Inc. 5.25% 2025 cv. sr. notes (NR)
(Acquired 11/16/05; Cost $1,000,000) (1) ............................... 1,162,500
2,000,000 Citigroup Funding, Inc. 1% 2010 medium-term notes (Aa1)
(exch. for the cash equivalent of a basket of technology stocks) (2) ... 1,867,200
1,500,000 Intel Corp. 2.95% 2035 jr. sub. cv. deb. (NR)
(Acquired 12/14/05 - 01/26/06; Cost $1,461,700) (1,2) .................. 1,370,625
2,750,000 International Rectifier Corp. 4.25% 2007 cv. sub. notes (B2) ........... 2,708,750
1,500,000 LSI Logic Corp. 4% 2010 cv. sub. notes (B) ............................. 1,524,375
1,000,000 Richardson Electronics, Ltd. 8% 2011 cv. sr. sub. notes (NR)
(Acquired 11/21/05; Cost $1,000,000) (1) ............................... 1,050,000
1,500,000 Sybase, Inc. 1.75% 2025 cv. sub. notes (NR) ............................ 1,531,875
1,000,000 Vishay Intertechnology, Inc. 3.625% 2023 cv. sub. notes (B3) ........... 1,033,750
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12,249,075
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TELECOMMUNICATIONS -- 4.1%
250,000 Comverse Technology, Inc. 0% 2023 ZYPS (BB-) (3) ....................... 387,188
1,000,000 Lucent Technologies, Inc. 2.75% 2023 series A cv. sr. deb. (B1) ........ 1,008,750
500,000 Lucent Technologies, Inc. 2.75% 2025 series B cv. sr. deb. (B1) ........ 516,250
1,250,000 Nortel Networks Corp. 4.25% 2008 cv. sr. notes (B3) .................... 1,192,188
2,000,000 Tekelec, Inc. 2.25% 2008 sr. sub. cv. notes (NR) ....................... 2,037,500
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5,141,876
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UTILITIES -- 1.4%
1,500,000 CMS Energy Corp. 2.875% 2024 cv. sr. notes (B1) ........................ 1,764,375
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TOTAL CONVERTIBLE BONDS AND NOTES ...................................... $64,091,102
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PAGE 2
BANCROFT FUND LTD.
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PORTFOLIO OF INVESTMENTS January 31, 2006 (continued)-----------------------------------------------
Shares Value
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CONVERTIBLE PREFERRED STOCKS -- 23.9%
AEROSPACE AND DEFENSE -- 1.2%
60,000 Ionatron, Inc. 6.5% series A cv. pfd. (NR)
(Acquired 10/27/05; Cost $1,500,000) (1) .............................. $ 1,530,000
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BANKING/SAVINGS AND LOAN -- 6.6%
40,000 National Australia Bank Ltd. 7.875% exch. capital units (NR) .......... 1,707,600
45,000 New York Community Bancorp, Inc. 6% BONUSES units (Baa2) .............. 2,120,850
35,000 Sovereign Capital Trust IV 4.375% PIERS (Ba1)
(exch. for Sovereign Bancorp, Inc. common stock) (2) .................. 1,588,125
50,000 Washington Mutual Capital Trust 5.375% PIERS units (BBB)
(exch. for Washington Mutual, Inc. common stock) ...................... 2,690,000
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8,106,575
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BUILDING PRODUCTS -- 0.9%
20,000 TXI Capital Trust I 5.5% SPuRS (B2)
(exch. for Texas Industries, Inc. common stock) ....................... 1,095,000
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CHEMICALS -- 2.0%
85,000 Celanese Corp. 4.25% cv. perp. pfd. (NR) .............................. 2,518,125
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ENERGY -- 4.1%
4,000 Chesapeake Energy Corp. 5% cum. cv. pfd. (B) .......................... 603,500
20,000 Chesapeake Energy Corp. 4.5% cum. cv. pfd. (B) ........................ 2,035,000
13,000 Semco Energy, Inc. 5% series B cv. cum. pfd. (B-) ..................... 2,398,500
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5,037,000
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FINANCIAL AND INSURANCE -- 6.9%
75,000 Citigroup Funding, Inc. variable rate exch. notes (Aa1)
(exch. for Genworth Financial, Inc. common stock)...................... 2,369,250
20 Fannie Mae 5.375% non-cumulative cv. pfd. (Aa3)
(Acquired 12/29/04 - 01/11/05; Cost $2,078,125) (1) ................... 1,929,965
20,000 Reinsurance Group of America, Inc. 5.75% PIERS (Baa2) ................. 1,217,500
120,000 The St. Paul Travelers Companies, Inc. 4.5% 2032
cv. jr. sub. notes (Baa1) ............................................. 3,096,000
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8,612,715
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MINING -- 2.2%
2,000 Freeport-McMoRan Copper and Gold, Inc. 5.5% cv. perpetual pfd. (B-) ... 2,713,750
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TOTAL CONVERTIBLE PREFERRED STOCKS .................................... $29,613,165
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PAGE 3
BANCROFT FUND LTD.
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PORTFOLIO OF INVESTMENTS January 31, 2006 (continued)-----------------------------------------------
Shares Value
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MANDATORY CONVERTIBLE SECURITIES -- 17.7% (4)
CHEMICALS -- 1.5%
40,000 Huntsman Corp. 5% mand. cv. pfd. 02/16/08 (NR) ......................... $ 1,855,000
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CONSUMER GOODS -- 1.1%
35,000 Constellation Brands, Inc. dep. shs. representing 5.75% series A
mand. cv. pfd. 09/01/06 (B) ............................................ 1,400,000
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ENERGY -- 3.1%
15,000 Amerada Hess Corp. 7% mand. cv. pfd. ACES 12/01/06 (Ba3) ............... 1,963,125
15,000 Valero Energy Corp. 2% mand. cv. pfd. 07/01/06 (BB) .................... 1,860,000
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3,823,125
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FINANCIAL AND INSURANCE -- 8.0%
25,000 The Chubb Corp. 7% equity units 08/16/06 (A2) (2) ...................... 839,500
43,500 E*TRADE Financial Corp. 6.125% equity units 11/18/08 (B3) .............. 1,375,688
30,000 Merrill Lynch & Co., Inc. 6.75% mandatory exch. securities 10/15/07
(Aa3) (exch. for Nuveen Investments, Inc. common stock) ................ 1,291,140
80,000 MetLife, Inc. 6.375% common equity units 08/15/08 (BBB+) ............... 2,220,000
42,500 Morgan Stanley, Inc. 5.875% mandatory exch. securities 10/15/08 (Aa3)
(exch. for Nuveen Investments, Inc. common stock) ...................... 1,850,705
40,000 The PMI Group, Inc. 5.875% HITS units 11/15/06 (A1) (2) ................ 1,025,000
45,000 XL Capital, Ltd. 6.5% equity security units 05/15/07 (A3) .............. 1,022,400
10,000 XL Capital, Ltd. 7% equity security units 02/15/09 (A3) ................ 256,600
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9,881,033
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FOODS -- 0.8%
40,000 Lehman Brothers Holdings, Inc. 6.25% PIES 10/15/07 (A1)
(exch. for General Mills, Inc. common stock) ........................... 1,050,000
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PHARMACEUTICALS -- 1.8%
45,000 Schering-Plough Corp. 6% mand. cv. pfd. 09/14/07 (Baa3) ................ 2,307,600
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TECHNOLOGY -- 1.4%
37,500 Credit Suisse First Boston (USA), Inc. 5.5% SAILS 11/15/08 (Aa3)
(exch. for Equinix, Inc. common stock) ................................. 1,706,250
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TOTAL MANDATORY CONVERTIBLE SECURITIES (4) ............................. $22,023,008
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COMMON STOCKS -- 1.0%
ENERGY -- 0.3%
18,860 The Williams Companies, Inc. ........................................... 449,622
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HEALTH CARE -- 0.7%
23,253 Community Health Systems, Inc. (3) ..................................... 846,177
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TOTAL COMMON STOCKS .................................................... $ 1,295,799
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PAGE 4
BANCROFT FUND LTD.
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PORTFOLIO OF INVESTMENTS January 31, 2006 (continued)-----------------------------------------------
Principal
Amount Value
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SHORT-TERM SECURITIES -- 5.4%
COMMERCIAL PAPER -- 5.4%
$6,700,000 American Express Credit Corp. (P1)
(4.30% maturing 02/01/06) ............................................. $ 6,695,999
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U.S. GOVERNMENT OBLIGATIONS -- 0.0%
11,000 U.S. Treasury notes 2.25% 04/30/06 (Aaa) (5) .......................... 10,942
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TOTAL SHORT-TERM SECURITIES ........................................... 6,706,941
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TOTAL CONVERTIBLE BONDS AND NOTES -- 51.7% ............................ 64,091,102
TOTAL CONVERTIBLE PREFERRED STOCKS -- 23.9% ........................... 29,613,165
TOTAL MANDATORY CONVERTIBLE SECURITIES -- 17.7% ....................... 22,023,008
TOTAL COMMON STOCKS -- 1.0% ........................................... 1,295,799
TOTAL SHORT-TERM SECURITIES -- 5.4% ................................... 6,706,941
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TOTAL INVESTMENTS -- 99.7% 123,730,015
OTHER ASSETS AND LIABILITIES, NET -- 0.3% 385,445
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TOTAL NET ASSETS -- 100.0% $124,115,460
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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 January 31, 2006 was $12,504,196 which represented 10.1%
of the Fund's net assets.
(2) Contingent payment debt instrument which accrues contingent interest.
See Note 1(b) Annual Report to Shareholders dated October 31, 2005.
(3) Non-income producing security.
(4) 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.
(5) Collateral for a letter of credit.
ACES Automatic Convertible Equity Securities.
ADR American Depositary Receipts.
BONUSES Bifurcated Option Note Unit Securities.
CODES Convertible Contingent Debt Securities.
HITS Hybrid Income Term Security.
LYONs Liquid Yield Option Notes.
PIES Premium Income Exchangeable Securities.
PIERS Preferred Income Equity Redeemable Securities.
SAILS Shared Appreciation Income Linked Securities.
SPuRS Shared Preference Redeemable Securities.
ZYPS Zero Yield Puttable Securities.
Ratings in parentheses by Moody's Investors Service, Inc. or Standard & Poor's.
NR is used whenever a rating is unavailable.
PAGE 5
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 February 22, 2006, based on the
evaluation of these controls and procedures required by Rule 30a-3(b) under
the Act (and 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: March 28, 2006
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: March 28, 2006
By: /s/Gary I. Levine
Gary I. Levine
Chief Financial Officer
(Principal Financial Officer)
Date: March 28, 2006