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 811-21905
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First Trust/Aberdeen Emerging Opportunity Fund
---------------------------------------------------------------
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 765-8000
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Date of fiscal year end: December 31
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Date of reporting period: September 30, 2011
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS. The Schedule(s) of Investments is attached
herewith.
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b)
SEPTEMBER 30, 2011 (UNAUDITED)
SHARES DESCRIPTION VALUE
--------------- -------------------------------------------------------------------------- -------------
COMMON STOCKS - 43.3%
BRAZIL - 7.5%
94,924 Banco Bradesco S.A., ADR ................................................. $ 1,403,926
28,000 Lojas Renner S.A.......................................................... 750,241
33,000 Multiplan Empreendimentos Imobiliarios S.A................................ 610,770
58,000 Petroleo Brasileiro S.A., ADR ............................................ 1,201,760
96,500 Souza Cruz S.A............................................................ 961,279
84,000 Ultrapar Participacoes S.A................................................ 1,324,611
78,100 Vale S.A., Preference Shares, ADR ........................................ 1,640,100
-------------
7,892,687
-------------
CHILE - 0.8%
11,600 Banco Santander Chile S.A., ADR .......................................... 852,368
-------------
CHINA - 3.4%
202,000 Hang Lung Group Ltd. (c).................................................. 1,029,254
1,070,000 PetroChina Co., Ltd., Class H (c)......................................... 1,296,092
640,000 Swire Pacific Ltd., B Shares (c).......................................... 1,313,068
-------------
3,638,414
-------------
HONG KONG - 2.6%
229,600 Aia Group Ltd. (c)........................................................ 650,216
216,500 China Mobile Ltd. (c)..................................................... 2,116,359
-------------
2,766,575
-------------
HUNGARY - 0.7%
5,500 Richter Gedeon Nyrt (c)................................................... 750,887
-------------
INDIA - 5.0%
32,000 Bharti Airtel Ltd. (c).................................................... 245,822
20,000 GlaxoSmithKline Pharmaceuticals Ltd. (c).................................. 851,127
13,000 Grasim Industries Ltd. (c)................................................ 619,419
28,684 Hero Honda Motors Ltd. (c)................................................ 1,135,534
42,000 Hindustan Unilever Ltd. (c)............................................... 291,466
70,500 Housing Development Finance Corp., Ltd. (c)............................... 917,803
20,000 ICICI Bank Ltd. (c)....................................................... 352,792
13,000 Infosys Technologies Ltd. (c)............................................. 668,048
7,428 UltraTech Cement Ltd. (c)................................................. 172,677
-------------
5,254,688
-------------
INDONESIA - 1.6%
230,000 PT Astra International Tbk (c)............................................ 1,644,153
-------------
ITALY - 0.7%
27,600 Tenaris S.A., ADR......................................................... 702,420
-------------
KAZAKHSTAN - 0.0%
376 BTA Bank JSC (d).......................................................... 4
2,439 BTA Bank JSC, GDR (d)..................................................... 13,171
-------------
13,175
-------------
MALAYSIA - 1.4%
220,000 CIMB Group Holdings Berhad (c)............................................ 476,790
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
SHARES DESCRIPTION VALUE
--------------- -------------------------------------------------------------------------- -------------
COMMON STOCKS - (Continued)
MALAYSIA - (Continued)
249,000 Public Bank Berhad (c).................................................... $ 958,982
-------------
1,435,772
-------------
MEXICO - 3.5%
27,900 Fomento Economico Mexicano, S.A.B. de C.V., ADR .......................... 1,808,478
40,000 Grupo Aeroportuario del Centro Norte, S.A.B. de C.V., ADR ................ 519,600
316,000 Grupo Financiero Banorte, S.A.B. de C.V., O Shares ....................... 933,979
92,000 Kimberly-Clark de Mexico, S.A.B. de C.V., A Shares ....................... 469,339
-------------
3,731,396
-------------
PHILIPPINES - 1.3%
1,550,000 Ayala Land, Inc. (c)...................................................... 511,976
664,672 Bank of the Philippine Islands (c)........................................ 842,616
-------------
1,354,592
-------------
POLAND - 0.7%
18,000 Bank Pekao S.A. (c)....................................................... 724,034
-------------
RUSSIA - 1.1%
23,500 LUKOIL, ADR............................................................... 1,179,465
-------------
SOUTH AFRICA - 2.2%
43,610 Massmart Holdings Ltd. (c)................................................ 746,500
15,354 SABMiller PLC (c)......................................................... 494,465
119,729 Truworths International Ltd. (c).......................................... 1,040,774
-------------
2,281,739
-------------
SOUTH KOREA - 2.8%
27,008 BS Financial Group, Inc. (c) (d).......................................... 294,473
1,256 E-Mart Co., Ltd. (d)...................................................... 317,718
4,600 Samsung Electronics Co., Ltd., Preference Shares (c)...................... 2,192,872
443 Shinsegae Co., Ltd. (c)................................................... 102,333
-------------
2,907,396
-------------
TAIWAN - 2.2%
344,450 Taiwan Mobile Co., Ltd. (c)............................................... 846,573
643,953 Taiwan Semiconductor Manufacturing Co., Ltd. (c).......................... 1,449,385
-------------
2,295,958
-------------
THAILAND - 2.6%
250,000 PTT Exploration and Production Public Co., Ltd. (c)....................... 1,115,688
107,000 Siam Cement Public (The) Co., Ltd. (c).................................... 1,066,585
160,600 Siam Commercial Bank Public Co., Ltd. (c)................................. 543,220
-------------
2,725,493
-------------
TURKEY - 2.2%
73,635 Akbank TAS (c)............................................................ 288,806
253,000 Aksigorta AS (c) (d)...................................................... 180,790
27,220 Bim Birlesik Magazalar AS (c)............................................. 749,310
181,150 Haci Omer Sabanci Holding AS (c).......................................... 630,283
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
SHARES DESCRIPTION VALUE
--------------- -------------------------------------------------------------------------- -------------
COMMON STOCKS - (Continued)
TURKEY - (Continued)
124,000 Turkiye Garanti Bankasi AS (c)............................................ $ 479,855
-------------
2,329,044
-------------
UNITED KINGDOM - 1.0%
51,408 Standard Chartered PLC (c)................................................ 1,025,644
-------------
TOTAL COMMON STOCKS....................................................... 45,505,900
(Cost $36,265,275) -------------
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES - 41.7%
ARGENTINA - 1.8%
2,273,736 Republic of Argentina (ARS) (e).......... 5.57% 02/04/18 970,347
1,250,000 Republic of Argentina (USD) ............. 7.00% 04/17/17 966,325
-------------
1,936,672
-------------
BRAZIL - 4.5%
730,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ............................. 10.00% 01/01/13 383,927
4,070,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ............................. 10.00% 01/01/17 2,027,151
4,910,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ............................. 10.00% 01/01/21 2,368,532
-------------
4,779,610
-------------
DOMINICAN REPUBLIC - 0.9%
450,000 Dominican Republic (USD) ................ 7.50% 05/06/21 443,250
528,000 Dominican Republic (USD) ................ 8.63% 04/20/27 549,120
-------------
992,370
-------------
EGYPT - 0.7%
4,400,000 Egypt Treasury Bill (EGP) ............... (f) 11/15/11 726,047
-------------
EL SALVADOR - 1.2%
740,000 Republic of El Salvador (USD) ........... 7.65% 06/15/35 727,050
520,000 Republic of El Salvador (USD) ........... 7.63% 02/01/41 504,400
-------------
1,231,450
-------------
HUNGARY - 2.4%
227,370,000 Hungary Government Bond (HUF) ........... 6.00% 10/24/12 1,036,523
87,000,000 Hungary Government Bond (HUF) ........... 5.50% 02/12/16 369,750
85,000,000 Hungary Government Bond (HUF) ........... 6.50% 06/24/19 353,899
195,000,000 Hungary Government Bond (HUF) ........... 7.00% 06/24/22 822,811
-------------
2,582,983
-------------
INDONESIA - 2.7%
9,600,000,000 Indonesian Government Bond (IDR) ........ 10.00% 07/15/17 1,278,979
9,500,000,000 Indonesian Government Bond (IDR) ........ 10.50% 08/15/30 1,401,923
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES - (Continued)
INDONESIA - (Continued)
900,000,000 Indonesian Government Bond (IDR) ........ 9.50% 07/15/31 $ 122,319
-------------
2,803,221
-------------
IVORY COAST - 1.4%
2,980,000 Ivory Coast Government Bond (USD) ....... 2.50% 12/31/32 1,504,900
-------------
LITHUANIA - 1.2%
1,140,000 Republic of Lithuania (USD) ............. 7.38% 02/11/20 1,228,350
-------------
MALAYSIA - 1.3%
2,500,000 Malaysia Government Bond (MYR) .......... 3.21% 05/31/13 784,906
1,700,000 Malaysia Government Bond (MYR) .......... 4.01% 09/15/17 546,065
-------------
1,330,971
-------------
MEXICO - 4.5%
16,500,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 9.50% 12/18/14 1,348,630
28,100,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 8.00% 06/11/20 2,253,708
12,800,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 7.50% 06/03/27 951,300
1,840,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 10.00% 11/20/36 165,692
-------------
4,719,330
-------------
PAKISTAN - 0.6%
900,000 Islamic Republic of Pakistan (USD) ...... 6.88% 06/01/17 693,000
-------------
PERU - 1.1%
2,900,000 Peruvian Government Bond (PEN) .......... 7.84% 08/12/20 1,186,245
-------------
POLAND - 1.7%
6,050,000 Poland Government Bond (PLN) ............ 5.50% 10/25/19 1,793,192
-------------
SENEGAL - 0.4%
450,000 Republic of Senegal (USD) ............... 8.75% 05/13/21 444,375
-------------
SERBIA - 1.3%
700,000 Republic of Serbia (USD) ................ 7.25% 09/28/21 653,100
61,000,000 Serbia Treasury Bill (RSD) .............. (f) 12/13/12 676,064
-------------
1,329,164
-------------
SOUTH AFRICA - 6.1%
520,000 Eskom Holdings Ltd. (USD) ............... 5.75% 01/26/21 530,400
35,100,000 Republic of South Africa (ZAR) .......... 8.25% 09/15/17 4,442,540
9,870,000 Republic of South Africa (ZAR) .......... 10.50% 12/21/26 1,414,229
-------------
6,387,169
-------------
SRI LANKA - 0.3%
350,000 Republic of Sri Lanka (USD) ............. 6.25% 07/27/21 337,132
-------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES - (Continued)
TURKEY - 2.1%
80,000 Republic of Turkey (USD) ................ 7.25% 03/05/38 $ 89,200
360,000 Republic of Turkey (USD) ................ 6.75% 05/30/40 377,100
3,100,000 Turkey Government Bond (TRY) ............ 16.00% 03/07/12 1,728,153
-------------
2,194,453
-------------
UKRAINE - 0.1%
80,000 Ukraine Government Bond (USD) ........... 6.58% 11/21/16 72,200
-------------
UNITED ARAB EMIRATES - 0.7%
700,000 Dubai Government International Bond (USD) 7.75% 10/05/20 698,250
-------------
URUGUAY - 1.0%
10,400,000 epublic Orient Uruguay, Inflation ......
R Adjusted Bond (UYU) (g).............. 5.00% 09/14/18 762,833
4,600,000 Republica Orient Uruguay (UYU) .......... 4.25% 04/05/27 310,795
-------------
1,073,628
-------------
VENEZUELA - 3.2%
300,000 Republic of Venezuela (USD) ............. 8.50% 10/08/14 265,500
2,150,000 Republic of Venezuela (USD) ............. 5.75% 02/26/16 1,542,625
600,000 Republic of Venezuela (USD) ............. 7.75% 10/13/19 384,000
1,100,000 Republic of Venezuela (USD) ............. 7.65% 04/21/25 627,000
700,000 Republic of Venezuela (USD) ............. 11.95% 08/05/31 517,090
-------------
3,336,215
-------------
VIETNAM - 0.5%
500,000 Socialist Republic of Vietnam (USD) ..... 6.88% 01/15/16 500,281
-------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES .................................. 43,881,208
(Cost $46,374,532) -------------
FOREIGN CORPORATE BONDS AND NOTES (h) - 17.9%
BRAZIL - 2.7%
550,000 Hypermarcas S.A. (USD) .................. 6.50% 04/20/21 503,250
350,000 Odebrecht Finance Ltd. (USD) ............ 7.50% 09/14/15 343,437
550,000 OGX Petroleo e Gas Participacoes S.A.
(USD) ............................... 8.50% 06/01/18 499,125
100,000 Petrobras International Finance Co. (USD) 5.38% 01/27/21 101,155
700,000 QGOG Atlantic/Alaskan Rigs Ltd. (USD) ... 5.25% 07/30/18 637,000
230,000 Rearden G Holdings Eins GmbH (USD) ...... 7.88% 03/30/20 228,850
600,000 Virgolino de Oliveira Finance Ltd. (USD) 10.50% 01/28/18 555,000
-------------
2,867,817
-------------
CHINA - 1.2%
180,000 China Oriental Group Co. Ltd. (USD) ..... 8.00% 08/18/15 142,200
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN CORPORATE BONDS AND NOTES (h) - (Continued)
CHINA - (CONTINUED)
400,000 China Overseas Finance Cayman II Ltd.
(USD) ............................... 5.50% 11/10/20 $ 361,991
500,000 MCC Holding (Hong Kong) Corp. Ltd. (USD) 4.88% 07/29/16 485,475
500,000 Yanlord Land Group Ltd. (USD) ........... 10.63% 03/29/18 300,950
-------------
1,290,616
-------------
COLOMBIA - 0.6%
600,000 TGI International Ltd. (USD) ............ 9.50% 10/03/17 648,000
-------------
DOMINICAN REPUBLIC - 0.8%
350,000 AES Andres Dominicana/Itabo Dominicana
(USD) ............................... 9.50% 11/12/20 350,000
505,000 Cerveceria Nacional Dominicana (USD) (e) 16.00% 03/27/12 472,175
-------------
822,175
-------------
EGYPT - 0.7%
700,000 African Export-Import Bank (USD) ........ 5.75% 07/27/16 670,950
-------------
EL SALVADOR - 0.4%
450,000 Telemovil Finance Co., Ltd. (USD) ....... 8.00% 10/01/17 441,000
-------------
GUATEMALA - 0.4%
400,000 Industrial Subordinated Trust (USD) ..... 8.25% 07/27/21 414,000
-------------
INDONESIA - 1.3%
810,000 Majapahit Holding B.V. (USD) ............ 7.75% 10/17/16 902,137
150,000 PT Adaro Indonesia (USD) ................ 7.63% 10/22/19 148,500
350,000 Star Energy Geothermal (Wayang Windu)
Ltd. (USD) .......................... 11.50% 02/12/15 350,000
-------------
1,400,637
-------------
KAZAKHSTAN - 0.5%
564,153 BTA Bank JSC (USD) (i)................... 10.75% 07/01/18 253,869
1,541,530 BTA Bank JSC (USD) (e) (j)............... (f) 07/01/20 47,217
114,233 BTA Bank JSC (USD) ...................... 7.20% 07/01/25 25,817
200,000 Development Bank of Kazakhstan (USD) .... 5.50% 12/20/15 191,500
-------------
518,403
-------------
MEXICO - 2.1%
450,000 Axtel S.A.B. de C.V. (USD) .............. 9.00% 09/22/19 382,500
275,000 Corp. Geo S.A. de C.V. (USD) ............ 8.88% 09/25/14 277,750
660,000 Desarrolladora Homex S.A. (USD) ......... 9.50% 12/11/19 610,500
647,563 GEO Maquinaria S.A. de C.V. (USD) ....... 9.63% 05/02/21 556,904
457,000 Servicios Corporativos Javer Sapi de C.V.
(USD) ............................... 9.88% 04/06/21 415,870
-------------
2,243,524
-------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN CORPORATE BONDS AND NOTES (h) - (Continued)
NIGERIA - 0.3%
350,000 GTB Finance B.V. (USD) ................ 7.50% 05/19/16 $ 336,298
-------------
PERU - 0.6%
650,000 Banco de Credito del Peru (USD) ....... 4.75% 03/16/16 633,750
-------------
PHILIPPINES - 0.2%
250,000 Alliance Global Group, Inc. (USD) ..... 6.50% 08/18/17 235,225
-------------
QATAR - 1.4%
1,350,000 Qatari Diar Finance Q.S.C. (USD) ...... 5.00% 07/21/20 1,447,875
-------------
RUSSIA - 2.0%
450,000 Alfa Bank (USD) ....................... 7.88% 09/25/17 409,500
200,000 lfa Bank OJSC Via Alfa Bond Issuance PLC
A (USD) ............................. 7.75% 04/28/21 173,000
300,000 LUKOIL International Finance B.V. (USD) 7.25% 11/05/19 303,921
300,000 Metalloinvest Finance Ltd. (USD) ...... 6.50% 07/21/16 258,000
200,000 Russian Railways (USD) ................ 5.74% 04/03/17 199,694
400,000 Vimpelcom Ltd. (USD) .................. 6.49% 02/02/16 369,000
450,000 VTB Bank OJSC Via VTB Capital S.A. (USD) 6.55% 10/13/20 418,792
-------------
2,131,907
-------------
TURKEY - 0.5%
500,000 Yasar Holdings (USD) .................. 9.63% 10/07/15 496,875
-------------
UKRAINE - 0.3%
350,000 MHP S.A. (USD) ........................ 10.25% 04/29/15 311,500
-------------
UNITED ARAB EMIRATES - 0.7%
750,000 Dubai Electricity & Water Authority (USD) 7.38% 10/21/20 727,500
-------------
VENEZUELA - 1.2%
1,800,000 Petroleos de Venezuela S.A. (USD) ..... 8.50% 11/02/17 1,201,500
-------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES ............................ 18,839,552
(Cost $20,553,226) -------------
TOTAL INVESTMENTS - 102.9% ......................................... 108,226,660
(Cost $103,193,033) (k)
OUTSTANDING LOANS - (5.5%) ......................................... (5,800,000)
NET OTHER ASSETS AND LIABILITIES - 2.6% ............................ 2,704,912
-------------
NET ASSETS - 100.0% ................................................ $ 105,131,572
=============
-----------------
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
(b) All of these securities are available to serve as collateral for the
outstanding loans.
(c) This security is fair valued in accordance with procedures adopted by the
Fund's Board of Trustees, and in accordance with the provisions of the
Investment Company Act of 1940, as amended.
(d) Non-income producing security.
(e) Variable rate security. The interest rate shown reflects the rate in
effect at September 30, 2011.
(f) Zero coupon bond.
(g) Security whose principal value is adjusted in accordance with changes to
the country's Consumer Price Index. Interest is calculated on the basis of
the current adjusted principal value.
(h) Portfolio securities are included in a country based upon their underlying
credit exposure as determined by Aberdeen Asset Management Inc., the
Fund's sub-advisor.
(i) Security is a "step-up" bond where the coupon increases or steps up at a
predetermined date. The interest rate shown reflects the rate in effect at
September 30, 2011.
(j) Recovery units issued under BTA Bank's restructuring plan. Recovery
payments are dependent on future performance.
(k) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of September 30, 2011,
the aggregate gross unrealized appreciation for all securities in which
there was an excess of value over tax cost was $13,098,818 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $8,065,191.
ADR American Depositary Receipt
GDR Global Depositary Receipt
Currency Abbreviations
ARS Argentine Peso
BRL Brazilian Real
EGP Egyptian Pound
HUF Hungarian Forint
IDR Indonesian Rupiah
MXN Mexican Peso
MYR Malaysian Ringgit
PEN Peruvian New Sol
PLN Polish Zloty
RSD Serbian Dinar
TRY Turkish Lira
USD United States Dollar
UYU Uruguayan Peso
ZAR South African Rand
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of September 30,
2011 is as follows (see Note A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
9/30/2011 PRICES INPUTS INPUTS
--------------- ------------- --------------- --------------
Common Stocks:
Brazil.................................... $ 7,892,687 $ 7,892,687 $ -- $ --
Chile..................................... 852,368 852,368 -- --
China..................................... 3,638,414 -- 3,638,414 --
Hong Kong................................. 2,766,575 -- 2,766,575 --
Hungary................................... 750,887 -- 750,887 --
India..................................... 5,254,688 -- 5,254,688 --
Indonesia................................. 1,644,153 -- 1,644,153 --
Italy..................................... 702,420 702,420 -- --
Kazakhstan................................ 13,175 13,171 4 --
Malaysia.................................. 1,435,772 -- 1,435,772 --
Mexico.................................... 3,731,396 3,731,396 -- --
Philippines............................... 1,354,592 -- 1,354,592 --
Poland.................................... 724,034 -- 724,034 --
Russia.................................... 1,179,465 1,179,465 -- --
South Africa.............................. 2,281,739 -- 2,281,739 --
South Korea............................... 2,907,396 317,718 2,589,678 --
Taiwan.................................... 2,295,958 -- 2,295,958 --
Thailand.................................. 2,725,493 -- 2,725,493 --
Turkey.................................... 2,329,044 -- 2,329,044 --
United Kingdom............................ 1,025,644 -- 1,025,644 --
--------------- ------------- --------------- --------------
Total Common Stocks.................... 45,505,900 14,689,225 30,816,675 --
Foreign Sovereign Bonds and Notes*............ 43,881,208 -- 43,881,208 --
Foreign Corporate Bonds and Notes*............ 18,839,552 -- 18,839,552 --
--------------- ------------- --------------- --------------
Total Investments............................. 108,226,660 14,689,225 93,537,435 --
Forward Foreign Currency Contracts**.......... 961,240 -- 961,240 --
--------------- ------------- --------------- --------------
Total......................................... $ 109,187,900 $ 14,689,225 $ 94,498,675 $ --
=============== ============= =============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
9/30/2011 PRICES INPUTS INPUTS
--------------- ------------- --------------- --------------
Forward Foreign Currency Contracts**............$. (108,049) $ -- $ (108,049) $ --
=============== ============= =============== ==============
* See the Portfolio of Investments for country breakout.
** See the Schedule of Forward Foreign Currency Contracts for contract and
currency detail.
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) (b) - (Continued)
SEPTEMBER 30, 2011 (UNAUDITED)
All transfers in and out of the Levels during the period are assumed to be
transferred on the last day of the period at their current value. As of
September 30, 2011, the Portfolio transferred common stocks valued at
$27,269,397 from Level 1 to Level 2 of the fair value hierarchy. The common
stocks that transferred from Level 1 to Level 2 did so as a result of foreign
equities that were valued based on quoted prices at December 31, 2010 that are
now being fair valued using a factor provided by a pricing service due to the
change in value between the foreign markets close and the NYSE close on
September 30, 2011. See Note A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments.
% OF TOTAL
INDUSTRY CLASSIFICATION INVESTMENTS
---------------------------------------------- -------------
Government Bonds and Notes 40.5 %
Commercial Banks 10.7
Oil, Gas & Consumable Fuels 8.3
Real Estate Management & Development 5.1
Semiconductors & Semiconductor Equipment 3.4
Wireless Telecommunication Services 3.3
Automobiles 2.6
Beverages 2.6
Metals & Mining 2.3
Electric Utilities 2.1
Diversified Financial Services 2.1
Pharmaceuticals 1.9
Food & Staples Retailing 1.8
Construction Materials 1.4
Household Durables 1.2
Transportation Infrastructure 1.1
Specialty Retail 1.0
Tobacco 0.9
Thrifts & Mortgage Finance 0.8
Food Products 0.8
Special Purpose Banks 0.8
Insurance 0.8
Diversified Telecommunication Services 0.8
Household Products 0.7
Multiline Retail 0.7
Energy Equipment & Services 0.6
IT Services 0.6
Chemicals 0.6
Construction & Engineering 0.3
Road & Rail 0.2
---------------------------------------------- -------------
Total 100.0%
=============
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
SEPTEMBER 30, 2011 (UNAUDITED)
FORWARD FOREIGN CURRENCY CONTRACTS
------------------------------------------------------
PURCHASE SALE
VALUE AS OF VALUE AS OF UNREALIZED
SETTLEMENT AMOUNT AMOUNT SEPTEMBER 30, SEPTEMBER 30, APPRECIATION/
DATE COUNTERPARTY PURCHASED (a) SOLD 2011 2011 (DEPRECIATION)
---------- -------------- -------------------- ------------------ --------------- --------------- --------------
10/21/11 JPM PLN 687,000 USD 243,263 $ 206,942 $ 243,263 $ (36,321)
10/21/11 CIT ZAR 5,628,000 USD 766,517 694,789 766,517 (71,728)
12/02/11 CIT USD 2,361,565 BRL 3,834,000 2,361,565 2,010,894 350,671
10/21/11 JPM USD 1,488,598 HUF 285,187,000 1,488,598 1,300,977 187,621
12/02/11 RBS USD 779,590 IDR 6,734,876,000 779,590 760,853 18,737
10/21/11 JPM USD 210,747 MXN 2,491,000 210,747 179,232 31,515
10/21/11 BAR USD 238,932 PLN 687,000 238,932 206,942 31,990
10/21/11 BAR USD 646,542 TRY 1,087,000 646,542 582,951 63,591
10/21/11 BAR USD 1,917,830 ZAR 13,432,000 1,917,830 1,658,211 259,619
10/21/11 JPM USD 718,335 ZAR 5,677,000 718,335 700,839 17,496
--------------
Net Unrealized Appreciation (Depreciation)............................................................ $ 853,191
==============
(a) Please see page 8 for currency descriptions.
Counterparty Abbreviations:
BAR Barclays Bank
CIT Citibank, NA
JPM JPMorgan Chase
RBS Royal Bank of Scotland
See Notes to Quarterly Portfolio of Investments
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SEPTEMBER 30, 2011 (UNAUDITED)
VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
The net asset value ("NAV") of the Common Shares of First Trust/Aberdeen
Emerging Opportunity Fund (the "Fund") is determined daily as of the close of
regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m.
Eastern time, on each day the NYSE is open for trading. If the NYSE closes early
on a valuation day, the NAV is determined as of that time. Domestic debt
securities and foreign securities are priced using data reflecting the earlier
closing of the principal markets for those securities. The NAV per Common Share
is calculated by dividing the value of all assets of the Fund (including accrued
interest and dividends), less all liabilities (including accrued expenses,
dividends declared but unpaid and any borrowings of the Fund), by the total
number of Common Shares outstanding.
The Fund's investments are valued daily in accordance with valuation procedures
adopted by the Fund's Board of Trustees and in accordance with provisions of the
Investment Company Act of 1940, as amended (the "1940 Act"). All securities of
the Fund initially expressed in foreign currencies will be converted to U.S.
dollars using exchange rates in effect at the time of valuation. The Fund's
securities will be valued as follows:
Bond, notes and other debt securities are valued on the basis of
valuations provided by dealers who make markets in such securities or by
an independent pricing service approved by the Fund's Board of Trustees,
which may use the following valuation inputs when available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Common stocks, and other securities listed on any national or foreign
exchange (excluding the NASDAQ National Market ("NASDAQ") and the London
Stock Exchange Alternative Investment Market ("AIM")) are valued at the
last sale price on the exchange on which they are principally traded. If
there are no transactions on the valuation day, the securities are valued
at the mean between the most recent bid and asked prices.
Securities listed on the NASDAQ or the AIM are valued at the official
closing price. If there is no official closing price on the valuation day,
the securities are valued at the mean between the most recent bid and
asked prices.
Securities traded in the over-the-counter market are valued at their
closing bid prices.
Currency linked notes, credit linked notes, interest rate swaps and credit
default swaps, if any, are valued using a pricing service or, if the
pricing service does not provide a value, by quotes provided by the
selling dealer or financial institution.
Forward foreign currency contracts are valued at the current day's
interpolated foreign exchange rate, as calculated using the current day's
spot rate, and the thirty, sixty, ninety and one-hundred eighty day
forward rates provided by an independent pricing service.
Debt securities having a remaining maturity of sixty days or less when
purchased are valued at cost adjusted for amortization of premiums and
accretion of discounts.
In the event that market quotations are not readily available, the pricing
service does not provide a valuation for a particular asset, or the valuations
are deemed unreliable, the Fund's Board of Trustees has designated First Trust
Advisors L.P. ("First Trust") to use a fair value method to value the Fund's
securities and other investments. Additionally, if events occur after the close
of the principal market for particular securities (e.g., domestic debt and
foreign securities), but before the Fund values its assets, that could
materially affect NAV, First Trust may use a fair value method to value the
Fund's securities and other investments. The use of fair value pricing by the
Fund is governed by valuation procedures adopted by the Fund's Board of
Trustees, and in accordance with the provisions of the 1940 Act. As a general
principle, the fair value of a security is the amount which the Fund might
reasonably expect to receive for the security upon its current sale. However, in
light of the judgment involved in fair valuations, there can be no assurance
that a fair value assigned to a particular security will be the amount which the
Fund might be able to receive upon its current sale. Fair valuation of a
security will be based on the consideration of all available information,
including, but not limited to, the following:
1) the fundamental business data relating to the issuer, or economic
data relating to the country of issue;
2) an evaluation of the forces which influence the market in which
these securities are purchased and sold;
3) the type, size and cost of security;
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (Continued)
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SEPTEMBER 30, 2011 (UNAUDITED)
4) the financial statements of the issuer, or the financial condition
of the country of issue;
5) the credit quality and cash flow of the issuer, or country of issue,
based on the Sub-Advisor's or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities (or
equity securities) of the issuer/borrower, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management (for corporate debt only);
11) the economic, political and social prospects/developments of the
country of issue and the assessment of the country's governmental
leaders/officials (for sovereign debt only);
12) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that
industry (for corporate debt only); and
13) other relevant factors.
Fair valuation of an equity security will be based on the consideration of all
available information, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
If the equity security in question is a foreign security, the following
additional information may be considered:
1) the value of similar foreign securities traded on other foreign
markets;
2) ADR trading of similar securities;
3) closed-end fund trading of similar securities;
4) foreign currency exchange activity;
5) the trading prices of financial products that are tied to baskets of
foreign securities;
6) factors relating to the event that precipitated the pricing problem;
7) whether the event is likely to recur; and
8) whether the effects of the event are isolated or whether they affect
entire markets, countries or regions.
The Fund is subject to fair value accounting standards that define fair value,
establish the framework for measuring fair value and provide a three-level
hierarchy for fair valuation based upon the inputs to the valuation as of the
measurement date. The three levels of the fair value hierarchy are as follows:
o Level 1 - Level 1 inputs are quoted prices in active markets for
identical securities. An active market is a market in which
transactions for the security occur with sufficient frequency and
volume to provide pricing information on an ongoing basis.
o Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
o Quoted prices for similar securities in active markets.
o Quoted prices for identical or similar securities in markets
that are non-active. A non-active market is a market where
there are few transactions for the security, the prices are
not current, or price quotations vary substantially either
over time or among market makers, or in which little
information is released publicly.
o Inputs other than quoted prices that are observable for the
security (for example, interest rates and yield curves
observable at commonly quoted intervals, volatilities,
prepayment speeds, loss severities, credit risks, and default
rates).
o Inputs that are derived principally from or corroborated by
observable market data by correlation or other means.
o Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs may reflect the reporting entity's own assumptions about the
assumptions that market participants would use in pricing the
security.
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (Continued)
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SEPTEMBER 30, 2011 (UNAUDITED)
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. A summary
of the inputs used to value the Fund's investments as of September 30, 2011, is
included with the Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Securities purchased on a when-issued, delayed-delivery or forward purchase
commitment basis may have extended settlement periods. The value of the security
so purchased is subject to market fluctuations during this period. The Fund
maintains liquid assets with a current value at least equal to the amount of its
when-issued, delayed-delivery or forward purchase commitments until payment is
made. At September 30, 2011, the Fund had no when-issued, delayed-delivery or
forward purchase commitments.
C. CREDIT LINKED NOTES:
The Fund may invest in credit linked notes. Credit linked notes are securities
that are collateralized by one or more designated securities that are referred
to as "reference securities." Through the purchase of a credit linked note, the
buyer assumes the risk of the default or, in some cases, other declines in
credit quality of the reference securities. The buyer also takes on exposure to
the issuer of the credit linked note in the full amount of the purchase price of
the note. The issuer of a credit linked note normally will have hedged its risk
on the reference securities without acquiring any additional credit exposure.
The Fund has the right to receive periodic interest payments from the issuer of
the credit linked note at an agreed-upon interest rate, and, if there has been
no default or, if applicable, other declines in credit quality, a return of
principal at the maturity date.
Credit linked notes are subject to credit risk of the reference securities
underlying the credit linked notes. If one of the underlying reference
securities defaults, or suffers certain other declines in credit quality, the
Fund may, instead of receiving repayment of principal in whole or in part,
receive the security that has defaulted.
Credit linked notes typically are privately negotiated transactions between two
or more parties. The Fund bears the risk that the issuer of the credit linked
note will default or become bankrupt. The Fund bears the risk of loss of the
principal amount it invested, and the periodic interest payments expected to be
received for the duration of its investment in the credit linked note.
The market for credit linked notes may suddenly become illiquid. The other
parties to the transaction may be the only investors with sufficient
understanding of the derivative to be interested in bidding for it. Changes in
liquidity may result in significant, rapid and unpredictable changes in the
prices for credit linked notes. In certain cases, a market price for a credit
linked note may not be available. At September 30, 2011, the Fund had no credit
linked notes.
D. FORWARD FOREIGN CURRENCY CONTRACTS:
The Fund is subject to foreign currency risk in the normal course of pursuing
its investment objectives. Forward foreign currency contracts are agreements to
exchange one currency for another at a future date and at a specified price. The
Fund may use forward foreign currency contracts to facilitate transactions in
foreign securities and to manage the Fund's foreign currency exposure. These
contracts are valued daily, and the Fund's net equity therein, representing
unrealized gain or loss on the contracts as measured by the difference between
the forward foreign exchange rates at the dates of entry into the contracts and
the forward rates at the reporting date, is included on the Schedule of Forward
Foreign Currency Contracts. Risks arise from the possible inability of
counterparties to meet the terms of their contracts and from movement in
currency and securities values and interest rates. Due to the risks, the Fund
could incur losses in excess of the net unrealized value shown on the Schedule
of Forward Foreign Currency Contracts.
During the period ended September 30, 2011, the open and close notional values
of forward foreign currency contracts were $52,851,650 and $43,915,532,
respectively.
E. FOREIGN CURRENCY:
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 the exchange rates prevailing at the end of the period.
Purchases and sales of investment securities and items of income and expense are
translated on the respective dates of such transactions. Net realized foreign
currency gains and losses include the effect of changes in exchange rates
between trade date and settlement date on investment security transactions,
foreign currency transactions and interest and dividends received.
ITEM 2. CONTROLS AND PROCEDURES.
(a) 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)).
(b) 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) First Trust/Aberdeen Emerging Opportunity Fund
-------------------------------------------------
By (Signature and Title)* /s/ James A. Bowen
---------------------------------------
James A. Bowen, Chairman of the Board,
President and Chief Executive Officer
(principal executive officer)
Date: November 21, 2011
---------------------
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/ James A. Bowen
---------------------------------------
James A. Bowen, Chairman of the Board,
President and Chief Executive Officer
(principal executive officer)
Date: November 21, 2011
---------------------
By (Signature and Title)* /s/ Mark R. Bradley
---------------------------------------
Mark R. Bradley, Treasurer, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)
Date: November 21, 2011
---------------------
* Print the name and title of each signing officer under his or her signature.