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
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(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, 2012
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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)
SEPTEMBER 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
--------------- -------------------------------------------------------------------------- -------------
COMMON STOCKS - 45.8%
BRAZIL - 7.9%
113,924 Banco Bradesco S.A., ADR ................................................. $ 1,830,759
22,000 Lojas Renner S.A.......................................................... 730,349
27,000 Multiplan Empreendimentos Imobiliarios S.A................................ 793,785
86,000 Petroleo Brasileiro S.A., ADR ............................................ 1,898,020
66,500 Souza Cruz S.A............................................................ 891,259
73,267 Ultrapar Participacoes S.A................................................ 1,639,359
99,100 Vale S.A., Preference Shares, ADR ........................................ 1,720,376
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9,503,907
-------------
CHILE - 0.8%
12,600 Banco Santander Chile S.A., ADR .......................................... 922,824
-------------
CHINA - 1.2%
1,070,000 PetroChina Co., Ltd., Class H ............................................ 1,402,004
-------------
HONG KONG - 5.3%
245,600 AIA Group Ltd............................................................. 915,373
216,500 China Mobile Ltd.......................................................... 2,399,803
202,000 Hang Lung Group Ltd....................................................... 1,280,403
640,000 Swire Pacific Ltd., B Shares ............................................. 1,485,677
89,600 Swire Properties Ltd...................................................... 277,327
-------------
6,358,583
-------------
HUNGARY - 0.8%
5,500 Richter Gedeon Nyrt ...................................................... 961,771
-------------
INDIA - 5.4%
20,000 GlaxoSmithKline Pharmaceuticals Ltd....................................... 751,180
13,000 Grasim Industries Ltd..................................................... 816,859
23,000 Hero Honda Motors Ltd..................................................... 819,924
62,000 Hindustan Unilever Ltd.................................................... 641,629
110,500 Housing Development Finance Corp., Ltd.................................... 1,622,357
20,000 ICICI Bank Ltd............................................................ 401,479
23,668 Infosys Technologies Ltd.................................................. 1,137,496
7,428 UltraTech Cement Ltd...................................................... 277,129
-------------
6,468,053
-------------
INDONESIA - 1.2%
1,955,000 PT Astra International Tbk ............................................... 1,511,703
-------------
ITALY - 1.0%
30,600 Tenaris S.A., ADR ........................................................ 1,247,562
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KAZAKHSTAN - 0.0%
376 BTA Bank JSC (b).......................................................... 1
-------------
MALAYSIA - 1.4%
220,000 CIMB Group Holdings Berhad ............................................... 539,833
249,000 Public Bank Berhad ....................................................... 1,171,477
-------------
1,711,310
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See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
--------------- -------------------------------------------------------------------------- -------------
COMMON STOCKS - (CONTINUED)
MEXICO - 3.3%
17,700 Fomento Economico Mexicano, S.A.B. de C.V., ADR .......................... $ 1,628,046
40,000 Grupo Aeroportuario del Centro Norte, S.A.B. de C.V., ADR ................ 716,000
302,200 Grupo Financiero Banorte, S.A.B. de C.V., O Shares ....................... 1,708,008
-------------
4,052,054
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PHILIPPINES - 1.5%
1,550,000 Ayala Land, Inc........................................................... 886,192
484,672 Bank of the Philippine Islands ........................................... 927,168
-------------
1,813,360
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POLAND - 0.8%
20,000 Bank Pekao S.A............................................................ 985,126
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RUSSIA - 1.3%
25,500 LUKOIL, ADR .............................................................. 1,569,270
-------------
SOUTH AFRICA - 2.6%
43,610 Massmart Holdings Ltd..................................................... 874,558
20,978 SABMiller PLC ............................................................ 911,810
119,729 Truworths International Ltd............................................... 1,352,220
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3,138,588
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SOUTH KOREA - 2.8%
1,256 E-Mart Co., Ltd........................................................... 274,045
4,300 Samsung Electronics Co., Ltd., Preference Shares ......................... 3,052,568
443 Shinsegae Co., Ltd........................................................ 83,703
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3,410,316
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TAIWAN - 2.3%
210,005 Taiwan Mobile Co., Ltd.................................................... 766,559
643,954 Taiwan Semiconductor Manufacturing Co., Ltd............................... 1,972,711
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2,739,270
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THAILAND - 2.8%
190,000 PTT Exploration and Production Public Co., Ltd............................ 1,003,086
89,200 Siam Cement Public (The) Co., Ltd......................................... 1,153,398
230,600 Siam Commercial Bank Public Co., Ltd...................................... 1,262,382
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3,418,866
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TURKEY - 2.1%
87,635 Akbank TAS ............................................................... 346,199
20,222 Bim Birlesik Magazalar A.S................................................ 843,873
181,150 Haci Omer Sabanci Holding AS ............................................. 794,247
141,000 Turkiye Garanti Bankasi AS ............................................... 588,399
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2,572,718
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UNITED KINGDOM - 1.3%
9,000 BHP Billiton PLC ......................................................... 278,824
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2012 (UNAUDITED)
SHARES DESCRIPTION VALUE
--------------- -------------------------------------------------------------------------- -------------
COMMON STOCKS - (CONTINUED)
UNITED KINGDOM - (CONTINUED)
56,608 Standard Chartered PLC ................................................... $ 1,279,752
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1,558,576
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TOTAL COMMON STOCKS ...................................................... 55,345,862
(Cost $36,967,936) -------------
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (c) - 41.1%
ARGENTINA - 1.2%
470,000 Republic of Argentina (USD) ........... 7.00% 09/12/13 469,683
995,000 Republic of Argentina (USD) ........... 8.75% 06/02/17 975,100
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1,444,783
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BRAZIL - 4.5%
738,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ............................. 10.00% 01/01/15 376,280
4,070,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ............................. 10.00% 01/01/17 2,077,799
4,910,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ............................. 10.00% 01/01/21 2,474,819
400,000 Republic of Brazil (USD) .............. 5.63% 01/07/41 514,000
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5,442,898
-------------
CROATIA - 1.2%
700,000 Croatia Government International Bond
(USD) (d).......................... 6.25% 04/27/17 759,500
600,000 Croatia Government International Bond
(USD) ............................. 6.63% 07/14/20 675,600
-------------
1,435,100
-------------
DOMINICAN REPUBLIC - 0.9%
450,000 Dominican Republic (USD) .............. 7.50% 05/06/21 510,750
528,000 Dominican Republic (USD) .............. 8.63% 04/20/27 600,600
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1,111,350
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EGYPT - 0.6%
250,000 Arab Republic of Egypt (USD) (d)....... 6.88% 04/30/40 248,125
500,000 Arab Republic of Egypt (USD) .......... 6.88% 04/30/40 496,250
-------------
744,375
-------------
GEORGIA - 0.3%
350,000 Georgian Oil and Gas Corp. (USD) (d)... 6.88% 05/16/17 360,500
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HUNGARY - 2.6%
40,000,000 Hungary Government Bond (HUF) ......... 6.75% 08/22/14 181,949
663,000,000 Hungary Government Bond (HUF) ......... 6.75% 11/24/17 2,991,583
-------------
3,173,532
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See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2012 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (c) - (CONTINUED)
INDONESIA - 1.4%
4,000,000,000 Indonesian Government Bond (IDR) ...... 10.00% 07/15/17 $ 495,224
8,000,000,000 Indonesian Government Bond (IDR) ...... 10.50% 08/15/30 1,171,435
-------------
1,666,659
-------------
IVORY COAST - 1.2%
1,600,000 Ivory Coast Government Bond (USD) ..... 3.75% 12/31/32 1,388,000
-------------
LITHUANIA - 1.5%
1,140,000 Republic of Lithuania (USD) ........... 7.38% 02/11/20 1,453,500
300,000 Republic of Lithuania (USD) ........... 6.63% 02/01/22 373,125
-------------
1,826,625
-------------
MALAYSIA - 1.8%
2,500,000 Malaysia Government Bond (MYR) ........ 3.21% 05/31/13 819,096
3,900,000 Malaysia Government Bond (MYR) ........ 4.01% 09/15/17 1,316,115
-------------
2,135,211
-------------
MEXICO - 3.7%
43,800,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................. 7.50% 06/03/27 3,940,382
5,600,000 Mexico Treasury Billl (MXN) ........... (e) 10/04/12 434,752
100,000 United Mexican States (USD) ........... 6.05% 01/11/40 133,750
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4,508,884
-------------
PAKISTAN - 0.6%
900,000 Islamic Republic of Pakistan (USD) .... 6.88% 06/01/17 765,000
-------------
PERU - 1.2%
2,900,000 Peruvian Government Bond (PEN) ........ 7.84% 08/12/20 1,385,525
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QATAR - 0.7%
690,000 State of Qatar (USD) .................. 5.25% 01/20/20 819,375
-------------
ROMANIA - 0.7%
780,000 Romanian Government International Bond
(USD) ............................. 6.75% 02/07/22 880,425
-------------
RUSSIA - 1.4%
50,000,000 Russian Foreign Bond (RUB) ............ 7.85% 03/10/18 1,723,033
-------------
SENEGAL - 0.3%
250,000 Republic of Senegal (USD) ............. 8.75% 05/13/21 303,750
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SERBIA - 2.5%
850,000 Republic of Serbia (USD) .............. 7.25% 09/28/21 905,250
650,000 Republic of Serbia (USD) (d)........... 7.25% 09/28/21 692,250
61,000,000 Serbia Treasury Bills (RSD) ........... (e) 12/13/12 666,377
67,000,000 Serbia Treasury Bills (RSD) ........... (e) 01/17/13 721,759
-------------
2,985,636
-------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2012 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (c) - (CONTINUED)
SOUTH AFRICA - 3.6%
520,000 Eskom Holdings Ltd. (USD) ............. 5.75% 01/26/21 $ 595,400
5,350,000 Republic of South Africa (ZAR) ........ 8.25% 09/15/17 708,894
20,170,000 Republic of South Africa (ZAR) ........ 10.50% 12/21/26 3,068,125
-------------
4,372,419
-------------
TURKEY - 3.8%
550,000 Republic of Turkey (USD) .............. 6.25% 09/26/22 659,560
1,470,000 Turkey Government Bond (TRY) .......... 16.00% 08/28/13 882,532
3,400,000 Turkey Government Bond (TRY) .......... 9.00% 01/27/16 1,974,071
1,700,000 Turkey Government Bond (TRY) .......... 10.50% 01/15/20 1,071,220
-------------
4,587,383
-------------
UKRAINE - 0.1%
130,000 Ukraine Government Bond (USD) ......... 6.58% 11/21/16 125,710
-------------
UNITED ARAB EMIRATES - 1.3%
1,300,000 Dubai Government International Bond (USD) 7.75% 10/05/20 1,547,000
-------------
URUGUAY - 1.3%
14,020,000 Republica Orient Uruguay, Inflation
Adjusted Bond (UYU) (f)............ 5.00% 09/14/18 1,218,855
3,720,000 Republica Orient Uruguay, Inflation
Adjusted Bond (UYU) (f)............ 4.25% 04/05/27 315,337
-------------
1,534,192
-------------
VENEZUELA - 2.5%
300,000 Republic of Venezuela (USD) ........... 8.50% 10/08/14 303,000
2,150,000 Republic of Venezuela (USD) ........... 5.75% 02/26/16 1,969,937
600,000 Republic of Venezuela (USD) ........... 7.75% 10/13/19 520,500
350,000 Republic of Venezuela (USD) ........... 7.65% 04/21/25 275,625
-------------
3,069,062
-------------
VIETNAM - 0.2%
200,000 Socialist Republic of Vietnam (USD) ... 6.88% 01/15/16 219,000
-------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES ............................ 49,555,427
(Cost $45,952,515) -------------
FOREIGN CORPORATE BONDS AND NOTES (c) - 15.9%
BRAZIL - 1.4%
200,000 Banco do Estado do Rio Grande do Sul
(USD) (d).......................... 7.38% 02/02/22 223,500
150,000 Odebrecht Finance Ltd. (USD) .......... 7.50% 09/14/15 160,125
200,000 Odebrecht Finance Ltd. (USD) (d)....... 7.13% 06/26/42 223,300
550,000 OGX Petroleo e Gas Participacoes S.A.
(USD) ............................. 8.50% 06/01/18 497,750
300,000 OSX 3 Leasing B.V. (USD) (d)........... 9.25% 03/20/15 312,240
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2012 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN CORPORATE BONDS AND NOTES (c) - (CONTINUED)
BRAZIL - (CONTINUED)
220,000 Vale Overseas Ltd. (USD) .............. 4.38% 01/11/22 $ 231,550
-------------
1,648,465
-------------
CHINA - 1.4%
350,000 Agile Property Holdings Ltd. (USD) .... 9.88% 03/20/17 365,750
350,000 Central China Real Estate Ltd. (USD) .. 12.25% 10/20/15 383,250
200,000 COSL Finance BVI Ltd. (USD) (d)........ 3.25% 09/06/22 199,005
500,000 MCC Holding (Hong Kong) Corp. Ltd. (USD) 4.88% 07/29/16 521,821
200,000 Yancoal International Resources
Development Co. Ltd. (USD) (d)..... 5.73% 05/16/22 208,409
-------------
1,678,235
-------------
DOMINICAN REPUBLIC - 0.3%
350,000 AES Andres Dominicana/Itabo Dominicana
(USD) ............................. 9.50% 11/12/20 381,500
-------------
EL SALVADOR - 0.4%
450,000 Telemovil Finance Co., Ltd. (USD) ..... 8.00% 10/01/17 478,395
-------------
GUATEMALA - 0.4%
400,000 Industrial Subordinated Trust (USD) ... 8.25% 07/27/21 446,816
-------------
INDONESIA - 0.7%
600,000 Pertamina Persero PT (USD) (d)......... 4.88% 05/03/22 647,250
150,000 PT Adaro Indonesia (USD) .............. 7.63% 10/22/19 166,500
-------------
813,750
-------------
KAZAKHSTAN - 0.3%
10 BTA Bank JSC (USD) (g)................. 10.75% 07/01/18 2
300,000 Kazakhstan Temir Zholy Finance B.V. (USD)
(d)................................ 6.95% 07/10/42 364,875
-------------
364,877
-------------
MEXICO - 2.4%
350,000 BBVA Bancomer S.A. Texas (USD) (d)..... 6.75% 09/30/22 383,250
300,000 CEMEX Espana S.A. Luxembourg (USD) .... 9.88% 04/30/19 308,250
400,000 Corporacion GEO S.A. de C.V. (USD) (d). 8.88% 03/27/22 410,000
534,000 Desarrolladora Homex S.A. (USD) ....... 9.50% 12/11/19 550,020
637,813 GEO Maquinaria S.A. de C.V. (USD) ..... 9.63% 05/02/21 593,166
100,000 Petroleos Mexicanos (USD) ............. 6.50% 06/02/41 125,150
457,000 Servicios Corporativos Javer Sapi de C.V.
(USD) ............................. 9.88% 04/06/21 455,858
125,000 Urbi Desarrollos Urbanos Sab de C.V.
(USD) ............................. 9.50% 01/21/20 111,250
-------------
2,936,944
-------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2012 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN CORPORATE BONDS AND NOTES (c) - (CONTINUED)
MULTINATIONAL - 0.6%
700,000 African Export-Import Bank (USD) ...... 5.75% 07/27/16 $ 756,700
-------------
NIGERIA - 0.6%
350,000 Access Finance B.V. (USD) (d).......... 7.25% 07/25/17 368,242
350,000 GTB Finance B.V. (USD) ................ 7.50% 05/19/16 385,464
-------------
753,706
-------------
PERU - 0.2%
210,000 Corp. Azucarera del Peru S.A. (USD) (d) 6.38% 08/02/22 222,600
-------------
PHILIPPINES - 0.2%
250,000 Alliance Global Group, Inc. (USD) ..... 6.50% 08/18/17 273,123
-------------
RUSSIA - 4.6%
450,000 Alfa Bank (USD) ....................... 7.88% 09/25/17 487,237
200,000 Alfa Bank OJSC Via Alfa Bond Issuance PLC
(USD) ............................. 7.75% 04/28/21 212,760
250,000 Gazprom Neft OAO via GPN Capital S.A.
(USD) (d).......................... 4.38% 09/19/22 250,000
350,000 Home Credit & Finance Bank via Eurasia
Capital S.A. (USD) ................ 7.00% 03/18/14 360,938
400,000 Metalloinvest Finance Ltd. (USD) ...... 6.50% 07/21/16 408,000
250,000 Novolipetsk Steel OJSC via Steel Funding
(USD) (d).......................... 4.95% 09/26/19 250,000
20,300,000 Russian Agricultural Bank OJSC via RSHB
Capital S.A. (RUB) ................ 8.63% 02/17/17 673,521
50,000,000 RZD Capital Ltd. (RUB) ................ 8.30% 04/02/19 1,660,923
300,000 Sberbank of Russia via SB Capital S.A.
(USD) (d).......................... 6.13% 02/07/22 332,250
350,000 Vimpelcom Holdings B.V. (USD) ......... 7.50% 03/01/22 367,938
400,000 VTB Bank OJSC via VTB Capital S.A. (USD) 6.88% 05/29/18 431,520
150,000 VTB Bank OJSC via VTB Capital S.A. (USD) 6.55% 10/13/20 158,820
-------------
5,593,907
-------------
TURKEY - 0.6%
200,000 Turkiye Vakiflar Bankasi (USD) (d)..... 5.75% 04/24/17 211,500
500,000 Yasar Holdings (USD) .................. 9.63% 10/07/15 501,250
-------------
712,750
-------------
UKRAINE - 0.5%
160,000 Metinvest B.V. (USD) .................. 10.25% 05/20/15 162,000
200,000 Metinvest B.V. (USD) .................. 8.75% 02/14/18 191,500
250,000 MHP S.A. (USD) ........................ 10.25% 04/29/15 255,000
-------------
608,500
-------------
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2012 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------------- --------------- -------------
FOREIGN CORPORATE BONDS AND NOTES (c) - (CONTINUED)
UNITED ARAB EMIRATES - 0.7%
750,000 Dubai Electricity & Water Authority (USD) 7.38% 10/21/20 $ 880,500
-------------
VENEZUELA - 0.6%
750,000 Petroleos de Venezuela S.A. (USD) ..... 8.50% 11/02/17 680,625
-------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES .................................. 19,231,393
(Cost $18,151,549) -------------
TOTAL INVESTMENTS - 102.8% ............................................... 124,132,682
(Cost $101,072,000) (h)
OUTSTANDING LOANS - (4.8%) ............................................... (5,800,000)
NET OTHER ASSETS AND LIABILITIES - 2.0% .................................. 2,443,655
-------------
NET ASSETS - 100.0% ...................................................... $ 120,776,337
=============
---------------------------------------
(a) All of the securities within the Portfolio of Investments are
available to serve as collateral for the outstanding loans.
(b) Non-income producing security.
(c) Portfolio securities are included in a country based upon their
underlying credit exposure as determined by Aberdeen Asset
Management Inc., the Fund's investment sub-advisor.
(d) This security, sold within the terms of a private placement
memorandum, is exempt from registration upon resale under Rule 144A
of the Securities Act of 1933, as amended (the "1933 Act"), and may
be resold in transactions exempt from registration, normally to
qualified institutional buyers. Pursuant to procedures adopted by
the Fund's Board of Trustees, this security has been determined to
be liquid by the sub-advisor. Although market instability can result
in periods of increased overall market illiquidity, liquidity for
each security is determined based on security specific factors and
assumptions, which require subjective judgment. At September 30,
2012, securities noted as such amounted to $6,666,796 or 5.52% of
net assets.
(e) Zero coupon bond.
(f) 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.
(g) The issuer is in default and has filed for protection in bankruptcy
court. Income is not being accrued.
(h) Aggregate cost for financial reporting purposes, which approximates
the aggregate cost for federal income tax purposes. As of September
30, 2012, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was
$24,462,456 and the aggregate gross unrealized depreciation for all
securities in which there was an excess of tax cost over value was
$1,401,774.
ADR American Depositary Receipt
Currency Abbreviations
BRL Brazilian Real
EUR Euro
HUF Hungarian Forint
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2012 (UNAUDITED)
IDR Indonesian Rupiah
MXN Mexican Peso
MYR Malaysian Ringgit
PEN Peruvian New Sol
RSD Serbian Dinar
RUB Russian Ruble
TRY Turkish Lira
USD United States Dollar
UYU Uruguayan Peso
ZAR South African Rand
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of September 30,
2012 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
9/30/2012 PRICES INPUTS INPUTS
--------------- ------------- --------------- --------------
Common Stocks:
Kazakhstan................................ $ 1 $ -- $ 1 $ --
Other Country Categories*................. 55,345,861 55,345,861 -- --
--------------- ------------- --------------- --------------
Total Common Stocks.................... 55,345,862 55,345,861 1 --
Foreign Sovereign Bonds and Notes*............ 49,555,427 -- 49,555,427 --
Foreign Corporate Bonds and Notes*............ 19,231,393 -- 19,231,393 --
--------------- ------------- --------------- --------------
Total......................................... $ 124,132,682 $ 55,345,861 $ 68,786,821 $ --
=============== ============= =============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
9/30/2012 PRICES INPUTS INPUTS
--------------- ------------- --------------- --------------
Forward Foreign Currency Contracts**.......... $ (166,601) $ -- $ (166,601) $ --
=============== ============= =============== ==============
* See the Portfolio of Investments for country breakout.
** See the Schedule of Forward Foreign Currency Contacts for contract and
currency detail.
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, 2012, the Fund transferred common stock valued at $1 from Level 1
to Level 2 of the fair value hierarchy. The common stock that transferred from
Level 1 to Level 2 did so as a result of a lack of trading volume on the primary
exchange on September 28, 2012, the last business day of the month.
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2012 (UNAUDITED)
% OF TOTAL
INDUSTRY CLASSIFICATION INVESTMENTS
---------------------------------------------------------------
Government Bonds and Notes 39.9 %
Commercial Banks 11.7
Oil, Gas & Consumable Fuels 8.0
Real Estate Management & Development 4.4
Semiconductors & Semiconductor Equipment 4.1
Metals & Mining 3.2
Wireless Telecommunication Services 2.8
Diversified Financial Services 2.1
Beverages 2.0
Automobiles 1.9
Household Durables 1.7
Food & Staples Retailing 1.6
Construction Materials 1.4
Pharmaceuticals 1.4
Road & Rail 1.3
Thrifts & Mortgage Finance 1.3
Energy Equipment & Services 1.2
Specialty Retail 1.1
Electric Utilities 1.0
IT Services 0.9
Consumer Finance 0.9
Insurance 0.7
Tobacco 0.7
Chemicals 0.7
Multiline Retail 0.7
Special Purpose Banks 0.6
Transportation Infrastructure 0.6
Machinery 0.5
Household Products 0.5
Diversified Telecommunication Services 0.4
Food Products 0.4
Construction & Engineering 0.3
---------------------------------------------------------------
Total 100.0%
==============
CURRENCY EXPOSURE % OF TOTAL
DIVERSIFICATION INVESTMENTS #
--------------------------------------------------
USD 42.7 %
HKD 6.3
BRL 5.8
ZAR 5.6
TRY 5.2
INR 5.2
MXN 4.3
RUB 3.3
MYR 3.1
THB 2.8
KRW 2.7
TWD 2.2
HUF 2.1
IDR 2.0
PHP 1.5
UYU 1.2
RSD 1.1
PEN 1.1
GBP 1.0
PLN 0.8
EUR 0.0 ##
KZT 0.0 ##
--------------------------------------------------
Total 100.0%
=============
# The weightings include the impact of
currency forwards.
## Amount is less than 0.1%.
See Notes to Quarterly Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
SEPTEMBER 30, 2012 (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 (a) 2012 2012 (DEPRECIATION)
---------- -------------- -------------------- ------------------ --------------- --------------- --------------
10/24/12 GSI EUR 490,000 USD 629,887 $ 629,843 $ 629,887 (44)
12/05/12 JPM USD 1,847,800 BRL 3,834,000 1,847,800 1,874,923 (27,123)
10/24/12 JPM USD 603,395 EUR 490,000 603,395 629,843 (26,448)
10/24/12 RBS USD 1,512,336 HUF 357,827,000 1,512,336 1,606,194 (93,858)
12/05/12 JPM USD 689,695 IDR 6,734,876,000 689,696 697,024 (7,328)
10/24/12 CIT USD 387,599 MXN 5,058,000 387,599 391,809 (4,210)
10/24/12 RBS USD 393,049 MXN 5,172,000 393,049 400,639 (7,590)
--------------
Net Unrealized Appreciation (Depreciation)........................................... $ (166,601)
==============
(a) Please see Portfolio of Investments for currency descriptions.
Counterparty Abbreviations:
CIT Citibank, NA
GSI Goldman Sachs International
JPM JPMorgan Chase
RBS Royal Bank of Scotland
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SEPTEMBER 30, 2012 (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.
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 debt
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;
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;
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SEPTEMBER 30, 2012 (UNAUDITED)
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 investments. An active market is a market in which
transactions for the investment 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 investments in active markets.
o Quoted prices for identical or similar investments in markets
that are non-active. A non-active market is a market where
there are few transactions for the investment, 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
investment (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
investment.
The inputs or methodology used for valuing investments are not necessarily an
indication of the risk associated with investing in those investments. A summary
of the inputs used to value the Fund's investments as of September 30, 2012, is
included with the Fund's Portfolio of Investments.
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SEPTEMBER 30, 2012 (UNAUDITED)
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, 2012, the Fund had no when-issued, delayed-delivery or
forward purchase commitments.
C. 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, 2012, the open and close notional values
of forward foreign currency contracts were $50,121,029 and $51,024,633,
respectively.
D. 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/ Mark R. Bradley
------------------------------------------------------
Mark R. Bradley, President and Chief Executive Officer
(principal executive officer)
Date November 19, 2012
-------------------
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/ Mark R. Bradley
------------------------------------------------------
Mark R. Bradley, President and Chief Executive Officer
(principal executive officer)
Date November 19, 2012
-------------------
By (Signature and Title)* /s/ James M. Dykas
------------------------------------------------------
James M. Dykas, Treasurer, Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date November 19, 2012
-------------------
* Print the name and title of each signing officer under his or her signature.