bancroft_nq-013109.htm

 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-02151 
 
Bancroft Fund Ltd.
(Exact name of registrant as specified in charter)

65 Madison Avenue, Morristown, New Jersey 07960-7308
(Address of principal executive offices) (Zip code)

Thomas H. Dinsmore
Bancroft Fund Ltd.
65 Madison Avenue
Morristown, New Jersey 07960-7308
(Name and address of agent for service)

Copy to:
Steven B. King, Esq.
Ballard Spahr Andrews & Ingersoll, LLP
1735 Market Street, 51st Floor
Philadelphia, PA 19103-7599


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

Date of fiscal year end:  October 31, 2009

Date of reporting period:  January 31, 2009
 

ITEM 1.  SCHEDULE OF INVESTMENTS.
 
Bancroft Fund Ltd. Portfolio of Investments (unaudited)
            
January 31, 2009
            
   
Principal
        
   
Amount
    
Value
  
   
or Shares
    
(Note 1)
  
             
CONVERTIBLE BONDS AND NOTES - 75.5%
            
             
Aerospace and Defense - 1.5%
            
Alliant Techsystems Inc. 2.75%, due 2011 cv. sr. sub. notes (B1)
   $ 1,000,000     $ 1,011,250  
                 
                 
Computer Hardware - 7.0%
                
Credit Suisse, New York Branch 12.90%, due 2008
                
equity-linked notes (NR)
                
(exchangeable for Corning Inc. common stock)
     2,000,000       1,168,000  
EMC Corp. 1.75%, due 2011 cv. sr. notes (A-)
     1,000,000       975,000  
EMC Corp. 1.75%, due 2013 cv. sr. notes (A-)
     1,000,000       945,000  
NETAPP, Inc. 1.75%, due 2023 sr. cv. notes (NR)
                
(Acquired 01/15/09; Cost $768,750) (2)
     1,000,000       793,750  
Richardson Electronics, Ltd. 8%, due 2011 cv. sr. sub. notes (NR)
     1,000,000       780,000  
              4,661,750  
                 
Computer Software - 3.3%
                
Blackboard Inc. 3.25%, due 2027 cv. sr. notes (BB-)
     2,000,000       1,697,500  
GSI Commerce, Inc. 2.5%, due 2027 cv. sr. notes (NR)
     1,000,000       398,750  
Lehman Brothers Holdings Inc. 1%, due 2009
                
medium-term notes (NR)
                
(performance linked to Microsoft Corp. common stock) (3)
     1,500,000       105,000  
              2,201,250  
                 
Consumer Goods - 1.6%
                
Chattem, Inc. 1.625%, due 2014 cv. sr. notes (NR)
     1,683,000       1,090,395  
                 
Energy - 10.2%
                
Chesapeake Energy Corp. 2.75%, due 2035
                
contingent cv. sr. notes (Ba3) (1)
     1,910,000       1,315,513  
Covanta Holding Corp. 1%, due 2027 sr. cv. deb. (B1) (1)
     1,500,000       1,288,125  
McMoRan Exploration Co. 5.25%, due 10/06/11 cv. sr. notes (NR)
     1,287,000       1,085,906  
Nabors Industries, Inc. 0.94%, due 2011
                
sr. exchangeable notes (BBB+)
     1,000,000       867,500  
Oil States International, Inc. 2.375%, due 2025
                
contingent cv. sr. notes (NR)
     1,325,000       1,094,781  
SunPower Corp. 1.25%, due 2027 sr. cv. deb. (NR)
     1,000,000       761,250  
Trina Solar Ltd. 4%, due 2013 cv. sr. notes (NR)
                
(exchangeable for ADS representing common shares)
     1,000,000       358,750  
              6,771,825  
                 
Financial Services - 2.2%
                
Euronet Worldwide, Inc. 3.50%, due 2025 cv. deb. (B+) (1)
     2,250,000       1,440,000  
                 
Foods - 3.3%
                
Central European Distribution Corp. 3%, due 2013 cv. sr. notes (B-)
     500,000       229,375  
The Great Atlantic & Pacific Tea Company, Inc. 5.125%, due 2011
                
cv. sr. notes (Caa1)
     500,000       281,250  
The Great Atlantic & Pacific Tea Company, Inc. 6.75%, due 2012
                
cv. sr. notes (Caa1)
     1,500,000       830,625  
Tyson Foods, Inc. 3.25%, due 2013 cv. sr. notes (BB)
     1,000,000       870,000  
              2,211,250  
 
 
Bancroft Fund Ltd. Portfolio of Investments (continued)
            
January 31, 2009
            
   
Principal
        
   
Amount
    
Value
  
   
or Shares
    
(Note 1)
  
             
CONVERTIBLE BONDS AND NOTES - continued
            
             
Healthcare - 9.5%
            
China Medical Technologies, Inc. 4%, due 2013 cv. sr. sub. notes (NR)
            
(exchangeable for ADS representing common stock)
   $ 1,500,000     $ 635,625  
Greatbatch, Inc. 2.25%, due 2013 cv. sub. deb. (NR)(1)
     1,250,000       989,063  
Kinetic Concepts, Inc. 3.25%, due 2015 cv. sr. notes (B+)
                
(Acquired 04/16/08 and 08/04/08; Cost $1,965,162) (2)
     2,000,000       1,347,500  
Millipore Corp. 3.75%, due 2026 cv. sr. notes (BB-) (1)
     1,500,000       1,372,500  
Omnicare, Inc. 3.25%, due 2035 cv. sr. deb. (B3) (1)
     1,650,000       1,138,500  
SonoSite Inc. 3.75%, due 2014 cv. sr. notes (NR)
     1,000,000       797,500  
              6,280,688  
                 
Insurance - 2.2%
                
Prudential Financial, Inc. floating rate, due 2037 cv. sr. notes (A3)
     1,500,000       1,447,500  
                 
Media and Entertainment - 0.7%
                
Virgin Media Inc. 6.5%, due 2016 cv. sr. notes (B-)
                
(Acquired 04/10/08 and 04/11/08; Cost $995,000) (2)
     1,000,000       456,250  
                 
Multi-Industry - 3.2%
                
Diversa Corp. 5.5%, due 2027 cv. sr. notes (NR)
                
(exchangeable for Verenium Corp. common stock)
     750,000       202,500  
LSB Industries, Inc. 5.5%, due 2012 cv. sr. sub. deb. (NR)
     3,000,000       1,931,250  
              2,133,750  
Pharmaceuticals - 13.3%
                
Alza Corp. 0%, due 2020 cv. sub. deb. (Aa1)
                
(exchangeable for Johnson & Johnson common stock)
     2,000,000       1,797,500  
Endo Pharmaceuticals Holdings, Inc. 1.75%,
                
due 2015 cv. sr. sub. notes (NR)
                
(Acquired 01/15/09; Cost $869,897) (2)
     1,000,000       897,500  
Mylan Inc. 3.75%, due 2015 cash cv. notes (B+)
                
(Acquired 09/16/08 - 12/17/08; Cost $1,436,997) (2)
     1,500,000       1,488,750  
Teva Pharmaceutical Finance Co. B.V. 1.75%, due 2026
                
cv. sr. deb. (Baa2)
                
(exchangeable for Teva Pharmaceutical Industries Ltd. ADR)
     1,500,000       1,605,000  
Wyeth floating rate, due 2024 cv. sr. deb. (A3)
     3,000,000       3,011,100  
              8,799,850  
Retail - 1.9%
                
RadioShack Corp. 2.5%, due 2013 cv. sr. notes (BB)
                
(Acquired 08/13/08; Cost $1,261,250) (2)
     1,500,000       1,275,000  
                 
Semiconductors - 4.6%
                
Agere Systems Inc. 6.5%, due 2009 cv. sub. notes (BB)
                
(exchangeable for LSI Corp.)
     1,500,000       1,485,000  
Intel Corp. 2.95%, due 2035 jr. sub. cv. deb. (A-) (1)
     2,000,000       1,542,500  
              3,027,500  
 
 
Bancroft Fund Ltd. Portfolio of Investments (continued)
            
January 31, 2009
            
   
Principal
        
   
Amount
    
Value
  
   
or Shares
    
(Note 1)
  
             
CONVERTIBLE BONDS AND NOTES - continued
            
             
Telecommunications - 9.5%
            
ADC Telecommunications Inc. floating rate, due 2013
            
cv. sub. notes (NR)
   $ 1,350,000     $ 710,438  
Anixter International Inc. 1%, due 2013 sr. cv. notes (BB-)
     1,250,000       864,063  
Equinix, Inc. 2.5%, due 2012 cv. sub. notes (B-)
     2,200,000       1,691,250  
General Cable Corp. 1%, due 2012 sr. cv. notes (B1)
     1,500,000       984,375  
NII Holdings, Inc. 2.75%, due 2025 cv. notes (NR)
     1,500,000       1,329,375  
SAVVIS, Inc. 3%, due 2012 cv. sr. notes (NR)
     1,250,000       679,688  
              6,259,189  
                 
Transportation - 0.8%
                
ExpressJet Holdings, Inc. 4.25%, due 2023 cv. notes (NR)
     800,000       524,000  
                 
                 
Travel and Leisure - 0.5%
                
Morgans Hotel Group 2.375%, due 2014 sr. sub. cv notes (NR)
                
(Acquired 10/11/07 - 10/12/07; Cost $1,026,250) (2)
     1,000,000       308,750  
                 
TOTAL CONVERTIBLE BONDS AND NOTES
             49,900,197  
                 
CORPORATE BONDS AND NOTES - 1.1%
                
                 
Retail - 1.1%
                
Amerivon Holdings LLC 4%, due 2010 units (NR)
                
(Acquired 06/01/07; Cost $1,500,000) (2,3,4)
     1,500,000       750,000  
                 
CONVERTIBLE PREFERRED STOCKS - 7.5%
                
                 
Banking/Savings and Loan - 5.4%
                
Bank of America Corp. 7.25% series L non-cum. perpetual cv. pfd. (A2)
     2,000       1,009,000  
Fifth Third Bancorp 8.5% perpetual cv. pfd., series G (Baa1)
     10,000       355,000  
New York Community Bancorp, Inc. 6% BONUSES units (Baa1)
     39,179       1,361,470  
Sovereign Capital Trust IV 4.375% PIERS (Baa3)
                
(exchangeable for Sovereign Bancorp, Inc. common stock) (1)
     14,000       252,000  
Webster Financial Corp. 8.5% perpetual cv. pfd (BB+)
     1,500       575,625  
              3,553,095  
                 
Chemicals - 0.9%
                
Celanese Corp. 4.25% cv. perpetual pfd. (NR)
     40,000       610,000  
                 
Minerals and Mining - 1.2%
                
Freeport-McMoRan Copper & Gold Inc. 5.5% cv. perpetual pfd. (BB)
     1,200       790,800  
                 
TOTAL CONVERTIBLE PREFERRED STOCKS
             4,953,895  
                 
MANDATORY CONVERTIBLE SECURITIES - 11.9% (5)
                
                 
Consumer Goods - 1.3%
                
Avery Dennison Corp. 7.875%, due 11/15/10 mandatory cv. pfd. (BB+)
     30,000       870,000  
 
 
Bancroft Fund Ltd. Portfolio of Investments (continued)
            
January 31, 2009
            
   
Principal
        
   
Amount
    
Value
  
   
or Shares
    
(Note 1)
  
             
MANDATORY CONVERTIBLE SECURITIES - continued
            
             
Energy - 2.6%
            
Bristow Group Inc. 5.5%, due 09/15/09 mandatory cv. pfd. (B)
     20,000     $ 692,000  
Merrill Lynch & Co., Inc. 5.4%, due 09/27/10 PRIDES (A+)
                
(linked to the performance of ConocoPhillips common stock)
     2,000       1,052,250  
              1,744,250  
                 
Foods - 0.1%
                
Lehman Brothers Holdings Inc. 6%, due 10/12/10 PIES (NR)
                
(exchangeable for General Mills, Inc. common stock) (3)
     50,000       87,500  
                 
Insurance - 0.1%
                
XL Capital Ltd. 7%, due 02/15/09 equity security units
                
due 02/15/09 (Baa1)
     72,500       88,450  
                 
Media and Entertainment - 2.6%
                
Deutsche Bank AG 4.9%, due 04/28/09
                
mandatory exchangeable notes (NR)
                
(exchangeable for The Walt Disney Company common stock)
                
(Acquired 04/16/08; Cost $2,501,301) (2)
     82,500       1,727,963  
                 
Minerals and Mining - 2.6%
                
Freeport-McMoRan Copper & Gold Inc. 6.75%, due 05/01/10
                
mandatory cv. pfd. (BB)
     10,000       466,000  
Vale Capital Ltd. 5.5%, due 06/15/10 mandatory convertible notes (BBBH)
          
(exchangeable for ADS representing Companhia Vale do Rio Doce
                
common stock)
     30,000       934,500  
Vale Capital Ltd. 5.5%, due 06/15/10 mandatory convertible notes (BBBH)
          
(exchangeable for ADS representing Companhia Vale do Rio Doce
                
Preference A Shares)
     10,000       314,600  
              1,715,100  
                 
Pharmaceuticals - 2.5%
                
Schering-Plough Corp. 6%, due 08/13/10 mandatory cv. pfd. (Baa3)
     9,500       1,653,095  
                 
TOTAL MANDATORY CONVERTIBLE SECURITIES (5)
             7,886,358  
                 
COMMON STOCKS - 0.1%
                
                 
Aerospace and Defense - 0.1%
                
Applied Energetics, Inc.
     237,636       66,538  
                 
Total Convertible Bonds and Notes - 75.5%
           $ 49,900,197  
Total Corporate Bonds and Notes - 1.1%
             750,000  
Total Convertible Preferred Stocks - 7.5%
             4,953,895  
Total Mandatory Convertible Securities - 11.9%
             7,886,358  
Total Common Stocks - 0.1%
             66,538  
Total Investments - 96.1%
             63,556,988  
Other assets and liabilities, net - 3.9%
             2,573,272  
Total Net Assets - 100.0%
           $ 66,130,260  
 
 
Bancroft Fund Ltd. Portfolio of Investments (continued)
            
January 31, 2009
            
             
 
(1) Contingent payment debt instrument. See Note 2 on the following page.
 
(2) Security not registered under the Securities Act of 1933, as amended (e.g., the security was purchased in a Rule 144A or a Regulation D transaction).  The security may be resold only pursuant to an exemption from registration under the Securities Act of 1933, typically to qualified institutional buyers.  The Fund generally has no rights to demand registration of such securities. The aggregate market value of these unregistered securities at January 31, 2009 was $9,045,463, which represented 13.7% of the Fund's net assets.
 
(3) Investment is valued at fair value as determined in good faith in accordance with procedures adopted by the Board of Trustees.  It is possible that the estimated value may differ significantly from the amount that might ultimately be realized in the near term, and the difference could be material.  The market value of these securities amounted to $942,500 at January 31, 2009, which represented 1.4% of the Fund's net assets.
 
(4) Restricted securities include securities that have not been registered under the Securities Act of 1933, as amended, and securities that are subject to restrictions on resale. The Fund may invest in restricted securities that are consistent with the Fund’s investment objective and investment strategies. As of January 31, 2009, the Fund was invested in the following restricted securities:
 
Amerivon Holdings LLC 4% units containing a convertible promissory note and warrants due 2010, acquired June 1, 2007.
 
(5) These securities are required to be converted on the dates listed; they generally may be converted prior to these dates at the option of the holder.
 
Investment Abbreviations:
            
ADR - American Depositary Receipts.
            
ADS - American Depositary Shares.
            
BONUSES - Bifurcated Option Note Unit Securities.
            
PIES - Premium Income Exchangeable Securities.
            
PIERS - Preferred Income Equity Redeemable Securities.
            
PRIDES - Preferred Redeemable Increased Dividend Equity Securities.
          
             
Ratings in parentheses by Moody's Investors Service, Inc. or Standard & Poor's.
      
NR is used whenever a rating is unavailable.
            
             
Summary of Portfolio Ratings
            
(Excludes equity securities and cash)
            
             
AA - 3%
            
A - 16%
            
BBB - 12%
            
BB - 18%
            
B - 19%
            
CCC - 2%
            
Not Rated - 30%
            
             
See accompanying notes.
            
 
 
Bancroft Fund Ltd. Selected Notes to Financial Statements (unaudited)

Bancroft Fund Ltd. (the “Fund”), is registered under the Investment Company Act of 1940 as a diversified, closed-end management investment company.

Note 1. Security Valuation - Investments in securities traded on a national securities exchange are valued at market using the last reported sales price, supplied by an independent pricing service, as of the close of regular trading. Listed securities, for which no sales were reported, are valued at the mean between closing reported bid and asked prices as of the close of regular trading. Unlisted securities traded in the over-the-counter market are valued using an evaluated quote provided by the independent pricing service, or, if an evaluated quote is unavailable, such securities are valued using prices received from dealers, provided that if the dealer supplies both bid and asked prices, the price to be used is the mean of the bid and asked prices. The independent pricing service derives an evaluated quote by obtaining dealer quotes, analyzing the listed markets, reviewing trade execution data and employing sensitivity analysis. Evaluated quotes may also reflect appropriate factors such as individual characteristics of the issue, communications with broker-dealers, and other market data. Securities for which quotations are not readily available, restricted securities and other assets are valued at fair value as determined in good
faith pursuant to procedures approved by the Board of Trustees. Short-term debt securities with original maturities of 60 days or less are valued at amortized cost.

Note 2. Securities Transactions and Related Investment Income - Security transactions are accounted for on the trade date (date the order to buy or sell is executed) with gain or loss on the sale of securities being determined based upon identified cost. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis, including accretion of discounts and amortization of non-equity premium. For certain securities, known as “contingent payment debt instruments,” Federal tax regulations require the Fund to record non-cash, “contingent” interest income in addition to interest income actually received. Contingent interest income amounted to approximately 3 cents per share for the three months ended January 31, 2009. In addition, Federal tax regulations require the Fund to reclassify realized gains on contingent payment debt instruments to interest income. At January 31, 2009, there were unrealized losses of approximately 65 cents per share on contingent payment debt instruments.

At January 31, 2009, unrealized appreciation (depreciation) of investment securities on a tax basis were as follows:
 
Unrealized appreciation    $ 495,489  
Unrealized depreciation      (29,274,614 ) 
Net unrealized depreciation      (28,779,125 ) 
         
Cost for federal income tax purposes    $ 92,336,110  
                                                                                     
 
ITEM 2.  CONTROLS AND PROCEDURES.

Conclusions of principal officers concerning controls and procedures

(a) The Registrant's principal executive officer and principal financial officer 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 25, 2009 based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 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 Act (17 CFR 270.30a-2(a)), are filed herewith.


SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the 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 31, 2009
 
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the  following persons on behalf of the 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 31, 2009

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

Date: March 31, 2009