Bancroft Fund Ltd.
Schedule of Investments (Continued) — January 31, 2018 (Unaudited)
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Principal
Amount
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Market
Value
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U.S. GOVERNMENT OBLIGATIONS — 3.3%
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$5,310,000
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U.S. Treasury Bills,
1.294% to 1.408%††,
03/15/18 to 04/26/18
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$
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5,296,382
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TOTAL INVESTMENTS — 100.0%
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(Cost $140,394,130)
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$
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161,634,821
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(a)
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Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may
be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2018, the market value of Rule 144A securities amounted to $46,528,090 or 28.79% of total investments.
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(b)
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Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value
hierarchy.
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(c)
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At January 31, 2018, the Fund held an investment in a restricted and illiquid security amounting to $0 or
0.0% of total investments which was valued under methods approved by the Board of Trustees as follows:
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Acquisition
Principal
Amount
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Issuer
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Acquisition
Date
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Acquisition
Cost
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01/31/18
Carrying
Value
Per Bond
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$259,000
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Goodrich Petroleum Escrow Bond, Zero
Coupon, 12/31/21
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12/14/16
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$0
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$0.0000
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(e)
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Mandatory convertible 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.
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†
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Non-income
producing security.
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††
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Represents annualized yield at date of purchase.
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See accompanying notes to
schedule of investments.
5
Bancroft Fund Ltd.
Notes to Schedule of Investments (Unaudited)
As an investment company, the Fund follows the investment company accounting and reporting guidance, which is part of U.S. generally accepted
accounting principles (“GAAP”) that may require the use of management estimates and assumptions in the preparation of its schedule of investments. Actual results could differ from those estimates. The following is a summary of significant
accounting policies followed by the Fund in the preparation of its schedule of investments.
Security Valuation.
Portfolio securities
listed or traded on a nationally recognized securities exchange or traded
in the U.S.
over-the-counter
market for which market quotations are readily available
are valued at the last quoted sale price or a market’s official closing price as of the close of business on the day the securities are being valued. If there were no sales that day, the security is valued at the average of the closing bid and
asked prices or, if there were no asked prices quoted on that day, then the security is valued at the closing bid price on that day. If no bid or asked prices are quoted on such day, the security is valued at the most recently available price or, if
the Board of Trustees (the “Board”) so determines, by such other method as the Board shall determine in good faith to reflect its fair market value. Portfolio securities traded on more than one national securities exchange or market are
valued according to the broadest and most representative market, as determined by Gabelli Funds, LLC (the “Adviser”).
Portfolio
securities primarily traded on a foreign market are generally valued at the preceding closing values of such securities on the relevant market, but may be fair valued pursuant to procedures established by the Board if market conditions change
significantly after the close of the foreign market, but prior to the close of business on the day the securities are being valued. Debt obligations for which market quotations are readily available are valued at the average of the latest bid and
asked prices. If there were no asked prices quoted on such day, the security is valued using the closing bid price, unless the Board determines such amount does not reflect the securities’ fair value, in which case these securities will be fair
valued as determined by the Board. Certain securities are valued principally using dealer quotations. Futures contracts are valued at the closing settlement price of the exchange or board of trade on which the applicable contract is traded. OTC
futures and options on futures for which market quotations are readily available will be valued by quotations received from a pricing service or, if no quotations are available from a pricing service, by quotations obtained from one or more dealers
in the instrument in question by the Adviser.
Securities and assets for which market quotations are not readily available are fair valued as
determined by the Board. Fair valuation methodologies and procedures may include, but are not limited to: analysis and review of available financial and
non-financial
information about the company; comparisons
with the valuation and changes in valuation of similar securities, including a comparison of foreign securities with the equivalent U.S. dollar value American Depositary Receipt securities at the close of the U.S. exchange; and evaluation of any
other information that could be indicative of the value of the security.
The inputs and valuation techniques used to measure fair value of
the Fund’s investments are summarized into three levels as described in the hierarchy below:
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•
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Level 1 — quoted prices in active markets for identical securities;
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•
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Level 2 — other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.); and
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•
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Level 3 — significant unobservable inputs (including the Board’s determinations as to the fair
value of investments).
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6
Bancroft Fund Ltd.
Notes to Schedule of Investments (Unaudited) (Continued)
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in the
aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The summary of the Fund’s
investments in securities by inputs used to value the Fund’s investments as of January 31, 2018 is as follows:
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Valuation Inputs
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Level 1
Quoted Prices
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Level 2 Other Significant
Observable Inputs
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Level 3 Significant
Unobservable Inputs
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Total Market Value
at 1/31/18
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INVESTMENTS IN SECURITIES:
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ASSETS (Market Value):
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Convertible Corporate Bonds
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Energy and Utilities
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—
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$ 6,986,435
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$ 0
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$ 6,986,435
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Other Industries (a)
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—
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112,413,619
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—
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112,413,619
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Total Convertible Corporate
Bonds
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—
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119,400,054
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0
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119,400,054
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Convertible Preferred Stocks:
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Business Services
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—
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—
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450,098
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450,098
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Food and Beverage
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—
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852,414
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—
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852,414
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Other Industries (a)
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$ 9,725,055
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—
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—
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9,725,055
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Total Convertible Preferred
Stocks
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9,725,055
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852,414
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450,098
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11,027,567
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Mandatory Convertible Securities:
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Computer Software and Services
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—
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1,162,017
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—
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1,162,017
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Financial Services
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1,999,200
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5,801,934
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—
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7,801,134
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Other Industries (a)
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16,946,586
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—
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—
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16,946,586
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Total Mandatory Convertible
Securities
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18,945,786
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6,963,951
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—
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25,909,737
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Common Stocks (a)
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1,081
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—
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—
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1,081
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Warrants (a)
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—
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—
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0
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0
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U.S. Government Obligations
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—
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5,296,382
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—
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5,296,382
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TOTAL INVESTMENTS IN
SECURITIES
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$28,671,922
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$132,512,801
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$450,098
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$161,634,821
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(a)
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Please refer to the Schedule of Investments (“SOI”) for the industry classifications of these portfolio
holdings.
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Additional Information to Evaluate Qualitative Information.
General.
The Fund uses recognized industry pricing services – approved by the Board and unaffiliated
with
the Adviser – to value most of its securities, and uses broker quotes provided by market makers of securities not valued by these and other recognized pricing sources. Several different pricing feeds are received to value
domestic equity securities, international equity securities, preferred equity securities, and fixed income securities. The data within these feeds are ultimately sourced from major stock exchanges and trading systems where these securities trade.
The prices supplied by external sources are checked by obtaining quotations or actual transaction prices from market participants. If a price obtained from the pricing source is deemed unreliable, prices will be sought from another pricing service
or from a broker/dealer that trades that security or similar securities.
Fair Valuation.
Fair valued
securities may be common or preferred equities, warrants, options, rights, or
fixed income obligations. Where appropriate, Level 3 securities are those for which market quotations are not available, such as securities not traded
for several days, or for which current bids are not available, or which are restricted as to transfer. When fair valuing a security, factors to consider include recent prices of comparable securities that are publicly traded, reliable prices of
securities not publicly traded, the use of valuation models, current analyst reports, valuing the income or cash flow of the issuer, or cost if the preceding factors do not
7
Bancroft Fund Ltd.
Notes to Schedule of Investments (Unaudited) (Continued)
apply. A significant change in the unobservable inputs could result in a lower or higher value in Level 3 securities. The circumstances of
Level 3 securities are frequently monitored to determine if fair valuation measures continue to apply.
The Adviser reports quarterly to
the Board the results of the application of fair valuation policies and procedures. These may include backtesting the prices realized in subsequent trades of these fair valued securities to fair values previously recognized.
Investments in Other Investment Companies.
The Fund may invest, from time to time, in shares of other
investment
companies (or entities that would be considered investment companies but are excluded from the definition pursuant to certain exceptions under the 1940 Act) (the “Acquired Funds”) in accordance with the 1940 Act and related rules.
Shareholders in the Fund would bear the pro rata portion of the periodic expenses of the Acquired Funds in addition to the Fund’s expenses. At January 31, 2018, the Fund’s pro rata portion of the periodic expenses charged by the
Acquired Funds was less than one basis point.
Foreign Currency Translations.
The books and records of the Fund are maintained in U.S.
dollars. Foreign
currencies, investments, and other assets and liabilities are translated into U.S. dollars at current exchange rates. Purchases and sales of investment securities, income, and expenses are translated at the exchange rate
prevailing on the respective dates of such transactions. Unrealized gains and losses that result from changes in foreign exchange rates and/or changes in market prices of securities have been included in unrealized appreciation/depreciation on
investments and foreign currency translations. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities
transactions, foreign currency transactions, and the difference between the amounts of interest and dividends recorded on the books of the Fund and the amounts actually received. The portion of foreign currency gains and losses related to
fluctuation in exchange rates between the initial purchase trade date and subsequent sale trade date is included in realized gain/(loss) on investments.
Foreign Securities
. The Fund may directly purchase securities of foreign issuers. Investing in securities of
foreign issuers
involves special risks not typically associated with investing in securities of U.S. issuers. The risks include possible revaluation of currencies, the inability to repatriate funds, less complete financial information about companies, and possible
future adverse political and economic developments. Moreover, securities of many foreign issuers and their markets may be less liquid and their prices more volatile than securities of comparable U.S. issuers.
Foreign Taxes.
The Fund may be subject to foreign taxes on income, gains on investments, or currency repatriation,
a portion of
which may be recoverable. The Fund will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
Restricted Securities.
The Fund may invest up to 15% of its net assets in securities for which the markets
are
restricted. Restricted securities include securities whose disposition is subject to substantial legal or contractual restrictions. The sale of restricted securities often requires more time and results in higher brokerage charges or dealer
discounts and other selling expenses than the sale of securities eligible for trading on national securities exchanges or in the
over-the-counter
markets. Restricted
securities may sell at a price lower than similar securities that are not subject to restrictions on resale. Securities freely saleable among qualified institutional investors under special rules adopted by the SEC may be treated as liquid if they
satisfy liquidity standards established
8
Bancroft Fund Ltd.
Notes to Schedule of Investments (Unaudited) (Continued)
by the Board. The continued liquidity of such securities is not as well assured as that of publicly traded securities, and accordingly the Board
will monitor their liquidity. For the restricted securities held as of January 31, 2018, please refer to the Schedule of Investments.
Tax Information.
The Fund intends to continue to qualify as a regulated investment company under Subchapter M of
the Internal
Revenue Code of 1986, as amended.
9
Bancroft Fund Ltd.
One Corporate Center
Rye, NY
10580-1422
Portfolio Management Team Biographies
Thomas H. Dinsmore, CFA,
joined Gabelli Funds, LLC in 2015. He currently serves as a portfolio manager of
Gabelli Funds, LLC and
manages several funds within the Gabelli/GAMCO Funds Complex. From 1996 to 2015, Mr. Dinsmore was Chairman and CEO of Dinsmore Capital Management; CEO and Portfolio Manager of Bancroft Fund Ltd; and CEO, Portfolio Manager, and
co-founder
of Ellsworth Growth and Income Fund Ltd. He received a B.S. in Economics from the Wharton School of Business and an MA degree in Economics from Fairleigh Dickinson University.
Jane D. O’Keeffe
joined Gabelli Funds, LLC in 2015. She currently serves as a portfolio manager of Gabelli
Funds, LLC and
manages several funds within the Gabelli/GAMCO Funds Complex. From 1996 to 2015, Ms. O’Keeffe was President and Director of Dinsmore Capital Management where she was also a Portfolio Manager of Bancroft Fund Ltd. and Ellsworth Growth and
Income Fund Ltd. Prior to joining Dinsmore Capital Management, Ms. O’Keeffe held positions of increasing responsibilities at IDS Progressive Fund, Soros Fund Management Company, Simms Capital Management, and Fiduciary Trust International.
She earned a BA from the University of New Hampshire and attended the Lubin Graduate School of Business at Pace University.
James A.
Dinsmore, CFA,
joined Gabelli Funds, LLC in 2015. He currently serves as a portfolio manager of
Gabelli Funds, LLC and manages several funds within the Gabelli/GAMCO Funds Complex. Mr. Dinsmore received a BA in Economics from Cornell
University and an MBA degree from Rutgers University.
We have separated the portfolio managers’ commentary from the financial statements and
investment portfolio due to corporate governance regulations stipulated by the Sarbanes-Oxley Act of 2002. We have done this to ensure that the content of the portfolio managers’ commentary is unrestricted. Both the commentary and the financial
statements, including the portfolio of investments, will be available on our website at www.gabelli.com.
The Net Asset Value per share
appears in the Publicly Traded Funds column, under the heading “Convertible Securities Funds,” in Monday’s The Wall Street Journal. It is also listed in Barron’s Mutual Funds/Closed End Funds section under the heading
“Convertible Securities Funds.”
The Net Asset Value per share may be obtained each day by calling (914)
921-5070
or visiting www.gabelli.com.
The NASDAQ symbol for the Net Asset Value is “XBCVX.”
Notice is hereby given in accordance with Section 23(c) of the Investment Company Act of
1940, as amended, that the Fund may from time to time purchase its common shares in the open market when the Fund’s shares are trading at a discount of 10% or more from the net asset value of the shares. The Fund may also, from time to time,
purchase its preferred shares in the open market when the preferred shares are trading at a discount to the liquidation value.
BANCROFT FUND LTD.
One Corporate Center
Rye, NY 10580-1422
t 800-GABELLI
(800-422-3554)
f 914-921-5118
e info@gabelli.com
GABELLI.COM
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TRUSTEES
|
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Anthonie C. van Ekris
Chairman,
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Mario J. Gabelli, CFA
Chairman and
Chief Executive Officer,
GAMCO Investors, Inc.
Executive Chairman,
Associated Capital Group Inc.
Kinchen C. Bizzell, CFA
Managing Director,
CAVU Securities
Elizabeth C. Bogan, Ph.D
Senior Lecturer, Economics
Princeton University
James P. Conn
Former Managing Director &
Chief Investment Officer,
Financial Security Assurance
Holdings Ltd.
Frank J. Fahrenkopf, Jr.
Former President &
Chief Executive Officer,
American Gaming Association
Daniel D. Harding, CFA
Managing General Director,
Global Equity Income Fund
Michael J. Melarkey
Of Counsel,
McDonald Carano Wilson LLP
Kuni Nakamura
President,
Advanced Polymer, Inc.
Jane D. O’Keeffe
Portfolio Manager,
Gabelli Funds, LLC
Nicholas W. Platt
Former Managing Director,
FTI Consulting Inc.
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BALMAC International Inc.
OFFICERS
Jane D. O’Keeffe
President
John C. Ball
Treasurer
Agnes Mullady
Vice President
Andrea R. Mango
Secretary & Vice President
Richard J. Walz
Chief Compliance Officer
Laurissa M. Martire
Vice President & Ombudsman
Bethany A. Uhlein
Assistant Vice President & Ombudsman
INVESTMENT ADVISER
Gabelli Funds, LLC
CUSTODIAN
State Street Bank and Trust
Company
COUNSEL
Skadden, Arps, Slate, Meagher &
Flom LLP
TRANSFER AGENT AND
REGISTRAR
American Stock Transfer and
Trust Company
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BCV Q1/2018
Item 2. Controls and Procedures.
|
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(a)
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The registrant’s principal executive and principal financial officers, 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 “1940 Act”) (17 CFR
270.30a-3(c)))
are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures
required by Rule
30a-3(b)
under the 1940 Act (17 CFR
270.30a-3(b))
and Rules
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)).
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(b)
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There were no changes in the registrant’s internal control over financial reporting (as defined in
Rule 30a-3(d)
under the 1940 Act (17 CFR
270.30a-3(d)))
that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably
likely to materially affect, the registrant’s internal control over financial reporting.
|
Item 3. Exhibits.
Certifications pursuant to Rule
30a-2(a)
under the 1940 Act and Section 302 of the Sarbanes-Oxley
Act of 2002 are attached hereto.
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.
(Registrant)
Bancroft
Fund
Ltd.
By (Signature and Title)*
/s/ Jane D.
O’Keeffe
Jane D. O’Keeffe, Principal Executive Officer
Date
3/26/2018
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 (Signature and
Title)*
/s/ Jane D.
O’Keeffe
Jane D. O’Keeffe, Principal Executive Officer
Date
3/26/2018
By (Signature and Title)*
/s/ John C.
Ball
John C. Ball, Principal Financial Officer and Treasurer
Date
3/26/2018
*
Print the name and title of each signing officer under his or her signature.
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