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: March 31, 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)
March 31, 2011 (Unaudited)
SHARES DESCRIPTION VALUE
--------------- ------------------------------------------------ -------------
COMMON STOCKS - 45.7%
BRAZIL - 8.6%
94,924 Banco Bradesco S.A., ADR ....................... $ 1,969,673
28,000 Lojas Renner S.A. .............................. 911,353
33,000 Multiplan Empreendimentos Imobiliarios S.A. .... 674,088
58,000 Petroleo Brasileiro S.A., ADR .................. 2,061,320
96,500 Souza Cruz S.A. ................................ 1,004,808
84,000 Ultrapar Participacoes S.A., Preference Shares . 1,391,725
78,100 Vale S.A., Preference Shares, ADR .............. 2,305,512
-------------
10,318,479
-------------
CHILE - 0.8%
11,600 Banco Santander Chile S.A., ADR ................ 1,006,300
-------------
CHINA - 5.1%
185,000 China Mobile Ltd. .............................. 1,704,082
200,000 Hang Lung Group Ltd. ........................... 1,238,023
920,000 PetroChina Co., Ltd., H Shares ................. 1,393,271
640,000 Swire Pacific Ltd., B Shares ................... 1,764,858
-------------
6,100,234
-------------
HONG KONG - 0.6%
229,600 Aia Group Ltd. ................................. 706,936
-------------
HUNGARY - 1.0%
5,500 Richter Gedeon Nyrt ............................ 1,143,315
-------------
INDIA - 4.7%
32,000 Bharti Airtel Ltd. ............................. 256,459
20,000 GlaxoSmithKline Pharmaceuticals Ltd. ........... 925,194
13,000 Grasim Industries Ltd. ......................... 716,217
29,000 Hero Honda Motors Ltd. ......................... 1,033,615
59,000 Hindustan Unilever Ltd. ........................ 379,839
57,500 Housing Development Finance Corp., Ltd. ........ 904,115
20,000 ICICI Bank Ltd. ................................ 500,594
10,000 Infosys Technologies Ltd. ...................... 726,830
7,428 UltraTech Cement Ltd. .......................... 188,469
-------------
5,631,332
-------------
INDONESIA - 1.3%
230,000 PT Astra International Tbk ..................... 1,505,599
-------------
ITALY - 1.0%
23,600 Tenaris S.A., ADR .............................. 1,167,256
-------------
KAZAKHSTAN - 0.0%
1,219,876 BTA Bank JSC (c)................................ 50,268
-------------
MALAYSIA - 1.8%
70,300 British American Tobacco Malaysia Berhad ....... 1,115,516
249,000 Public Bank Berhad ............................. 1,080,267
-------------
2,195,783
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See Notes to Quarterly Portfolio of Investments
Page 1
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
Portfolio of Investments (a) (b) - (Continued)
March 31, 2011 (Unaudited)
SHARES DESCRIPTION VALUE
--------------- ------------------------------------------------ -------------
COMMON STOCKS - (CONTINUED)
MEXICO - 3.6%
27,900 Fomento Economico Mexicano, S.A.B. de C.V., ADR $ 1,637,730
40,000 Grupo Aeroportuario del Centro Norte, S.A.B. de
C.V., ADR ................................... 602,400
316,000 Grupo Financiero Banorte, S.A.B. de C.V.,
O Shares .................................... 1,487,753
92,000 Kimberly-Clark de Mexico, S.A.B. de C.V.,
A Shares .................................... 572,290
-------------
4,300,173
-------------
PHILIPPINES - 1.3%
1,188,602 Bank of the Philippine Islands ................. 1,567,914
-------------
POLAND - 0.8%
16,000 Bank Pekao S.A. ................................ 959,008
-------------
RUSSIA - 1.4%
23,500 LUKOIL, ADR .................................... 1,677,665
-------------
SOUTH AFRICA - 2.6%
89,000 Massmart Holdings Ltd. ......................... 1,844,727
119,729 Truworths International Ltd. ................... 1,247,730
-------------
3,092,457
-------------
SOUTH KOREA - 2.8%
27,008 BS Financial Group, Inc. (c).................... 391,474
4,600 Samsung Electronics Co., Ltd., Preference Shares 2,620,903
1,700 Shinsegae Co., Ltd. ............................ 404,485
-------------
3,416,862
-------------
TAIWAN - 2.4%
569,450 Taiwan Mobile Co., Ltd. ........................ 1,340,042
643,953 Taiwan Semiconductor Manufacturing Co., Ltd. ... 1,546,021
-------------
2,886,063
-------------
THAILAND - 2.8%
250,000 PTT Exploration and Production Public Co., Ltd. 1,487,849
107,000 Siam Cement Public (The) Co., Ltd. ............. 1,340,817
160,600 Siam Commercial Bank PCL ....................... 562,857
-------------
3,391,523
-------------
TURKEY - 2.0%
73,635 Akbank TAS ..................................... 357,670
253,000 Aksigorta AS ................................... 319,517
27,220 Bim Birlesik Magazalar AS ...................... 916,706
181,150 Haci Omer Sabanci Holding AS ................... 842,366
-------------
2,436,259
-------------
UNITED KINGDOM - 1.1%
51,408 Standard Chartered PLC ......................... 1,333,527
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TOTAL COMMON STOCKS ............................ 54,886,953
(Cost $34,571,097) -------------
See Notes to Quarterly Portfolio of Investments
Page 2
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
Portfolio of Investments (a) (b) - (Continued)
March 31, 2011 (Unaudited)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------- ---------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES - 37.3%
ARGENTINA - 2.1%
2,606,524 Republic of Argentina (ARS) (d).......... 5.16% 02/04/18 $ 1,352,208
1,250,000 Republic of Argentina (USD) ............. 7.00% 04/17/17 1,124,158
-------------
2,476,366
-------------
BELARUS - 0.3%
130,000 Republic of Belarus (USD) ............... 8.75% 08/03/15 116,188
230,000 Republic of Belarus (USD) ............... 8.95% 01/26/18 201,100
-------------
317,288
-------------
BRAZIL - 4.3%
730,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ................................ 10.00% 01/01/13 428,857
4,070,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ................................ 10.00% 01/01/17 2,211,624
4,910,000 Brazil Notas do Tesouro Nacional Series F
(BRL) ................................ 10.00% 01/01/21 2,551,284
-------------
5,191,765
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DOMINICAN REPUBLIC - 0.5%
528,000 Dominican Republic (USD) ................ 8.63% 04/20/27 558,360
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EL SALVADOR - 1.0%
740,000 Republic of El Salvador (USD) ........... 7.65% 06/15/35 741,110
520,000 Republic of El Salvador (USD) ........... 7.63% 02/01/41 513,500
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1,254,610
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HUNGARY - 3.4%
227,370,000 Hungary Government Bond (HUF) ........... 6.00% 10/24/12 1,209,084
87,000,000 Hungary Government Bond (HUF) ........... 5.50% 02/12/16 439,123
332,000,000 Hungary Government Bond (HUF) ........... 6.50% 06/24/19 1,702,722
700,000 Republic of Hungary (USD) ............... 7.63% 03/29/41 704,200
-------------
4,055,129
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INDONESIA - 3.3%
11,230,000,000 Indonesian Government Bond (IDR) ........ 10.75% 05/15/16 1,456,449
9,600,000,000 Indonesian Government Bond (IDR) ........ 10.00% 07/15/17 1,222,753
9,500,000,000 Indonesian Government Bond (IDR) ........ 10.50% 08/15/30 1,209,938
900,000,000 Indonesian Government Bond (IDR) ........ 9.50% 07/15/31 105,080
-------------
3,994,220
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IVORY COAST - 1.2%
2,980,000 Ivory Coast Government Bond (USD) ....... 2.50% 12/31/32 1,408,050
-------------
LITHUANIA - 1.2%
1,140,000 Republic of Lithuania (USD) ............. 7.38% 02/11/20 1,275,375
180,000 Republic of Lithuania (USD) ............. 6.13% 03/09/21 184,041
-------------
1,459,416
-------------
See Notes to Quarterly Portfolio of Investments
Page 3
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
Portfolio of Investments (a) (b) - (Continued)
March 31, 2011 (Unaudited)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------- ---------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES - (CONTINUED)
MALAYSIA - 1.1%
2,500,000 Malaysia Government Bond (MYR) .......... 3.21% 05/31/13 $ 825,411
1,700,000 Malaysia Government Bond (MYR) .......... 4.01% 09/15/17 567,427
-------------
1,392,838
-------------
MEXICO - 4.0%
36,850,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 8.00% 06/11/20 3,215,501
5,200,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 8.00% 12/07/23 444,654
12,800,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 7.50% 06/03/27 1,017,268
1,840,000 Mexican Bonos Desarr Fixed Rate Bond
(MXN) ............................... 10.00% 11/20/36 179,461
-------------
4,856,884
-------------
PAKISTAN - 0.1%
100,000 Islamic Republic of Pakistan (USD) ...... 6.88% 06/01/17 82,250
-------------
POLAND - 1.3%
2,600,000 Poland Government Bond (PLN) ............ 5.50% 10/25/19 875,729
2,140,000 Poland Government Bond (PLN) ............ 5.75% 09/23/22 716,246
-------------
1,591,975
-------------
QATAR - 0.4%
450,000 State of Qatar (USD) .................... 5.25% 01/20/20 469,350
-------------
SOUTH AFRICA - 6.5%
520,000 Eskom Holdings Ltd. (USD) ............... 5.75% 01/26/21 529,100
34,900,000 Republic of South Africa (ZAR) .......... 8.25% 09/15/17 5,117,856
12,870,000 Republic of South Africa (ZAR) .......... 10.50% 12/21/26 2,144,049
-------------
7,791,005
-------------
TURKEY - 3.1%
80,000 Republic of Turkey (USD) ................ 7.25% 03/05/38 88,700
360,000 Republic of Turkey (USD) ................ 6.75% 05/30/40 375,300
4,700,000 Turkey Government Bond (TRY) ............ 16.00% 03/07/12 3,235,711
-------------
3,699,711
-------------
UKRAINE - 0.1%
80,000 Ukraine Government Bond (USD) ........... 6.58% 11/21/16 81,520
-------------
URUGUAY - 1.0%
14,600,000 Republic Orient Uruguay, Inflation
Adjusted Bond (UYU) (e)............... 5.00% 09/14/18 1,250,672
-------------
VENEZUELA - 2.4%
900,000 Republic of Venezuela (USD) ............. 8.50% 10/08/14 825,300
2,150,000 Republic of Venezuela (USD) ............. 5.75% 02/26/16 1,601,750
See Notes to Quarterly Portfolio of Investments
Page 4
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
Portfolio of Investments (a) (b) - (Continued)
March 31, 2011 (Unaudited)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------- ---------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES - (CONTINUED)
VENEZUELA - (CONTINUED)
600,000 Republic of Venezuela (USD) ............. 7.75% 10/13/19 $ 414,900
-------------
2,841,950
-------------
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES.. 44,773,359
(Cost $42,628,733) -------------
FOREIGN CORPORATE BONDS AND NOTES (F) - 20.1%
BRAZIL - 2.0%
550,000 Gerdau Trade, Inc. (USD) ................ 5.75% 01/30/21 559,625
350,000 Odebrecht Finance Ltd. (USD) ............ 7.50% 09/14/15 356,125
100,000 Petrobras International Finance Co. (USD) 5.38% 01/27/21 100,285
630,000 Rearden G Holdings Eins GmbH (USD) ...... 7.88% 03/30/20 685,503
600,000 Virgolino de Oliveira Finance Ltd. (USD) 10.50% 01/28/18 628,500
(Cost $42,628,733) -------------
2,330,038
(Cost $42,628,733) -------------
CHINA - 2.5%
550,000 China Forestry Holdings Ltd. (USD) ...... 7.75% 11/17/15 376,750
750,000 China Overseas Finance Cayman II Ltd.
(USD) ................................ 5.50% 11/10/20 731,185
1,400,000 Sinochem Overseas Capital Co. Ltd. (USD) 4.50% 11/12/20 1,336,252
200,000 West China Cement Ltd. (USD) ............ 7.50% 01/25/16 203,240
300,000 Yanlord Land Group Ltd. (USD) ........... 10.63% 03/29/18 301,500
(Cost $42,628,733) -------------
2,948,927
(Cost $42,628,733) -------------
COLOMBIA - 0.6%
600,000 TGI International Ltd. (USD) ............ 9.50% 10/03/17 675,000
(Cost $42,628,733) -------------
DOMINICAN REPUBLIC - 0.7%
350,000 AES Andres Dominicana/Itabo Dominicana
(USD) ................................ 9.50% 11/12/20 374,500
505,000 Cerveceria Nacional Dominicana (USD) (d) 16.00% 03/27/12 472,175
(Cost $42,628,733) -------------
846,675
(Cost $42,628,733) -------------
EL SALVADOR - 0.6%
650,000 Telemovil Finance Co. Ltd. (USD) ........ 8.00% 10/01/17 677,625
(Cost $42,628,733) -------------
HONG KONG - 0.7%
620,000 CFG Investment S.A.C. (USD) ............. 9.25% 12/19/13 650,380
200,000 Texhong Textile Group Ltd. (USD) ........ 7.63% 01/19/16 203,020
(Cost $42,628,733) -------------
853,400
(Cost $42,628,733) -------------
INDONESIA - 1.8%
250,000 Indosat Palapa Co. B.V. (USD) ........... 7.38% 07/29/20 275,950
810,000 Majapahit Holding B.V. (USD) ............ 7.75% 10/17/16 913,754
150,000 PT Adaro Indonesia (USD) ................ 7.63% 10/22/19 166,500
See Notes to Quarterly Portfolio of Investments
Page 5
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
Portfolio of Investments (a) (b) - (Continued)
March 31, 2011 (Unaudited)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------- ---------- -------------
FOREIGN CORPORATE BONDS AND NOTES (F) - (CONTINUED)
INDONESIA - (CONTINUED)
650,000 Star Energy Geothermal (Wayang Windu)
Ltd. (USD) ........................... 11.50% 02/12/15 $ 747,500
(Cost $42,628,733) -------------
2,103,704
(Cost $42,628,733) -------------
KAZAKHSTAN - 1.8%
504,153 BTA Bank JSC (USD) (g)................... 10.75% 07/01/18 537,553
1,541,530 BTA Bank JSC (USD) (d) (h)............... 0.00% 07/01/20 133,583
114,233 BTA Bank JSC (USD) ...................... 7.20% 07/01/25 77,964
200,000 Development Bank of Kazakhstan (USD) .... 5.50% 12/20/15 209,000
350,000 Halyk Savings Bank of Kazakhstan (USD)... 7.25% 01/28/21 355,250
200,000 Kazakhstan Temir Zholy (USD) ............ 6.38% 10/06/20 209,480
650,000 Kazmunaygas National Co. (USD) .......... 6.38% 04/09/21 672,750
(Cost $42,628,733) -------------
2,195,580
(Cost $42,628,733) -------------
MEXICO - 1.9%
450,000 Axtel S.A.B. de C.V. (USD) .............. 9.00% 09/22/19 434,250
525,000 Corp. Geo S.A. de C.V. (USD) ............ 8.88% 09/25/14 584,062
320,000 Corp. Geo S.A. de C.V. (USD) ............ 9.25% 06/30/20 357,600
150,000 Corporativo Javer S.A. de C.V. (USD) .... 13.00% 08/04/14 181,500
660,000 Desarrolladora Homex S.A. (USD) ......... 9.50% 12/11/19 742,500
(Cost $42,628,733) -------------
2,299,912
(Cost $42,628,733) -------------
PERU - 0.5%
650,000 Banco de Credito del Peru (USD) ......... 4.75% 03/16/16 645,515
(Cost $42,628,733) -------------
PHILIPPINES - 0.2%
250,000 Alliance Global Group, Inc. (USD) ....... 6.50% 08/18/17 248,614
(Cost $42,628,733) -------------
QATAR - 1.1%
1,350,000 Qatari Diar Finance Qsc (USD) ........... 5.00% 07/21/20 1,337,267
(Cost $42,628,733) -------------
RUSSIA - 1.7%
450,000 Alfa Bank (USD) ......................... 7.88% 09/25/17 478,125
500,000 Novatek Finance Ltd. (USD) .............. 6.60% 02/03/21 525,675
200,000 Russian Railways (USD) .................. 5.74% 04/03/17 209,190
550,000 Severstal Steel Capital (USD) ........... 6.70% 10/25/17 562,375
200,000 Vimpelcom Ltd. (USD) .................... 6.49% 02/02/16 207,500
(Cost $42,628,733) -------------
1,982,865
(Cost $42,628,733) -------------
TURKEY - 1.0%
700,000 Akbank T.A.S. (USD) ..................... 6.50% 03/09/18 713,685
500,000 Yasar Holdings (USD) .................... 9.63% 10/07/15 528,125
(Cost $42,628,733) -------------
1,241,810
(Cost $42,628,733) -------------
UKRAINE - 0.6%
740,000 EX-IM Bank of Ukraine (USD) ............. 7.65% 09/07/11 751,055
(Cost $42,628,733) -------------
See Notes to Quarterly Portfolio of Investments
Page 6
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
Portfolio of Investments (a) (b) - (Continued)
March 31, 2011 (Unaudited)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
--------------- ----------------------------------------- -------- ---------- -------------
FOREIGN CORPORATE BONDS AND NOTES (F) - (CONTINUED)
UNITED ARAB EMIRATES - 0.6%
750,000 Dubai Electricity & Water Authority (USD) 7.38% 10/21/20 $ 728,722
(Cost $42,628,733) -------------
VENEZUELA - 1.8%
3,100,000 Petroleos de Venezuela S.A. (USD) ..... 8.50% 11/02/17 2,207,200
(Cost $42,628,733) -------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES ....................... 24,073,909
(Cost $42,628,733) -------------
(Cost $23,661,528)
TOTAL INVESTMENTS - 103.1% .................................... 123,734,221
(Cost $100,861,358) (i)
OUTSTANDING LOAN - (4.8%) ..................................... (5,800,000)
NET OTHER ASSETS AND LIABILITIES - 1.7% ....................... 2,111,260
(Cost $42,628,733) -------------
NET ASSETS - 100.0% ........................................... $ 120,045,481
=============
----------------------------
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) All of these securities are available to serve as collateral for the
outstanding loan.
(c) Non-income producing security.
(d) Variable rate security. The interest rate shown reflects the rate in
effect at March 31, 2011.
(e) 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.
(f) 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.
(g) 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
March 31, 2011.
(h) Recovery units issued under BTA Bank's restructuring plan. Recovery
payments are dependent on future performance.
(i) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federincome tax purposes. As of March 31, 2011, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $24,424,957 and the aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over value was $1,552,094.
ADR American Depositary Receipt
Currency Abbreviations
ARS Argentine Peso UYU Uruguayan Peso
BRL Brazilian Real ZAR South African Rand
HUF Hungarian Forint
IDR Indonesian Rupiah
MXN Mexican Peso
MYR Malaysian Ringgit
PLN Polish Zloty
TRY Turkish Lira
USD United States Dollar
See Notes to Quarterly Portfolio of Investments
Page 7
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
Portfolio of Investments (a) (b) - (Continued)
March 31, 2011 (Unaudited)
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of March 31,
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
3/31/2011 PRICES INPUTS INPUTS
------------- ------------- ------------- -------------
Common Stocks*................................ $ 54,886,953 $ 54,886,953 $ -- $ --
Foreign Sovereign Bonds and Notes*............ 44,773,359 -- 44,773,359 --
Foreign Corporate Bonds and Notes*............ 24,073,909 -- 24,073,909 --
------------- ------------- ------------- -------------
Total Investments............................. 123,734,221 54,886,953 68,847,268 --
Forward Foreign Currency Contracts**.......... 18,303 -- 18,303 --
------------- ------------- ------------- -------------
Total......................................... $ 123,752,524 $ 54,886,953 $ 68,865,571 $ --
============= ============= ============= =============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
3/31/2011 PRICES INPUTS INPUTS
------------- ------------- ------------- -------------
Forward Foreign Currency Contracts**.......... $ (196,434) $ -- $ (196,434) $ --
============= ============= ============= =============
* 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
Page 8
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
Portfolio of Investments (a) (b) - (Continued)
March 31, 2011 (Unaudited)
% of Total
Industry Classification Investments
------------------------------------------------ -----------
Government Bonds and Notes 36.2%
Commercial Banks 10.5
Oil, Gas & Consumable Fuels 9.4
Real Estate Management & Development 4.9
Semiconductors & Semiconductor Equipment 3.4
Wireless Telecommunication Services 2.8
Metals & Mining 2.8
Food & Staples Retailing 2.6
Diversified Financial Services 2.3
Electric Utilities 2.2
Construction Materials 2.1
Automobiles 2.1
Tobacco 1.7
Beverages 1.7
Pharmaceuticals 1.7
Household Durables 1.4
Diversified Telecommunication Services 1.1
Diversified Operations 1.1
Food Products 1.0
Transportation Infrastructure 1.0
Specialty Retail 1.0
Energy Equipment & Services 0.9
Insurance 0.8
Household Products 0.8
Multiline Retail 0.7
Thrifts & Mortgage Finance 0.7
Import/Export Bank 0.6
IT Services 0.6
Chemicals 0.6
Road & Rail 0.3
Paper & Forest Products 0.3
Construction & Engineering 0.3
Special Purpose Banks 0.2
Textiles, Apparel & Luxury Goods 0.2
------------------------------------------------ -----------
Total 100.0%
===========
Page 9
FORWARD FOREIGN CURRENCY CONTRACTS
-------------------------------------------------------
PURCHASE SALE UNREALIZED
SETTLEMENT AMOUNT AMOUNT VALUE AS OF VALUE AS OF APPRECIATION/
DATE COUNTERPARTY PURCHASED (a) SOLD (a) MARCH 31, 2011 MARCH 31, 2011 (DEPRECIATION)
---------- ------------ ----------------- ----------------- ----------------- ----------------- -----------------
04/21/11 CIT PLN 2,470,000 USD 849,966 $ 868,269 $ 849,966 $ 18,303
06/03/11 JPM USD 2,259,947 BRL 3,834,000 2,259,947 2,315,809 (55,862)
04/21/11 CIT USD 70,225 HUF 14,420,000 70,225 76,651 (6,426)
06/03/11 JPM USD 748,070 IDR 6,734,876,000 748,070 764,892 (16,822)
04/21/11 CIT USD 1,502,829 PLN 4,383,000 1,502,829 1,540,738 (37,909)
04/21/11 CIT USD 2,086,416 ZAR 14,578,000 2,086,416 2,148,490 (62,074)
04/21/11 JPM USD 338,757 ZAR 2,409,000 338,757 356,098 (17,341)
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Net Unrealized Appreciation (Depreciation).......................................................... $ (178,131)
=============
(a) Please see page 7 for currency descriptions.
Counterparty Abbreviations:
CIT Citibank, NA
JPM JPMorgan Chase
Page 10
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
MARCH 31, 2011 (UNAUDITED)
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 or 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;
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;
Page 11
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (Continued)
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
MARCH 31, 2011 (UNAUDITED)
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 securities, 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) foreign currency exchange activity;
4) the trading prices of financial products that are tied to baskets
of foreign securities;
5) factors relating to the event that precipitated the pricing
problem;
6) whether the event is likely to recur; and
7) 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.
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 March 31, 2011, is
included with the Fund's Portfolio of Investments.
Page 12
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (Continued)
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
MARCH 31, 2011 (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 March 31, 2011, the Fund had no when-issued, delayed-delivery or
forward purchase commitments.
C. CREDIT LINKED NOTES:
The Fund invests 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.
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 March 31, 2011, the open and close notional values of
forward foreign currency contracts were $17,662,364 and $20,010,665,
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.
Page 13
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: May 26, 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: May 26, 2011
--------------------
By (Signature and Title)* /s/ Mark R. Bradley
--------------------------------------------
Mark R. Bradley, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: May 26, 2011
--------------------
* Print the name and title of each signing officer under his or her signature.