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
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
(Exact name of registrant as specified in charter)
120 East Liberty Drive, Suite 400
WHEATON, IL 60187
(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
(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 765-8000
Date of fiscal year end: DECEMBER 31
Date of reporting period: SEPTEMBER 30, 2009
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, 2009 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
-------------- -------------------------------------------- ------ ---------- --------------
BONDS AND NOTES (b) - 61.6%
ARGENTINA - 3.9%
1,412,500 Republic of Argentina (ARS) (c) ............ 2.00% 02/04/18 $ 504,711
3,950,000 Republic of Argentina (USD) ................ 7.00% 03/28/11 3,587,271
175,444 Republic of Argentina (USD) ................ 8.28% 12/31/33 118,864
--------------
4,210,846
--------------
BRAZIL - 4.5%
2,640,000 Brazil NTN - B Note (BRL) ................. 6.00% 08/15/10 2,790,277
338,000 Dasa Finance Corp. (USD) ................... 8.75% 05/29/18 359,970
316,000 Odebrecht Finance Ltd. (USD) ............... 9.63% 04/09/14 370,115
540,000 Petrobras International Finance Co. (USD) .. 7.88% 03/15/19 622,188
570,000 Telemar Norte Leste S.A. (USD) ............. 9.50% 04/23/19 681,891
--------------
4,824,441
--------------
CHINA - 1.2%
690,000 Country Garden Holdings Co. (USD) .......... 11.75% 09/10/14 683,100
580,000 Parkson Retail Group Ltd. (USD) ............ 7.88% 11/14/11 613,077
--------------
1,296,177
--------------
COLOMBIA - 2.2%
300,000 EEB International Ltd. (USD) ............... 8.75% 10/31/14 324,000
2,480,000,000 Republic of Colombia (COP) ................. 12.00% 10/22/15 1,529,542
460,000 Republic of Colombia (USD) ................. 7.38% 03/18/19 528,310
--------------
2,381,852
--------------
DOMINICAN REPUBLIC - 0.9%
505,000 Cerveceria Nacional Dominica (USD) (c) ..... 16.00% 03/27/12 449,349
528,000 Dominican Republic (USD) ................... 8.63% 04/20/27 504,240
--------------
953,589
--------------
EL SALVADOR - 1.0%
1,070,000 Republic of El Salvador (USD) .............. 7.65% 06/15/35 1,075,350
--------------
GABON - 1.4%
1,480,000 Gabonese Republic (USD) .................... 8.20% 12/12/17 1,554,000
--------------
GEORGIA - 0.8%
870,000 Republic of Georgia (USD) .................. 7.50% 04/15/13 870,000
--------------
GHANA - 0.6%
90,000 Republic of Ghana (USD) .................... 8.50% 10/04/17 91,350
490,000 Republic of Ghana (USD) .................... 8.50% 10/04/27 497,350
--------------
588,700
--------------
HUNGARY - 1.8%
293,370,000 Hungary Government Bond (HUF) .............. 6.00% 10/24/12 1,531,205
87,000,000 Hungary Government Bond (HUF) .............. 5.50% 02/12/16 424,648
--------------
1,955,853
--------------
See Notes to Quarterly Portfolio of Investments
Page 1
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2009 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
-------------- -------------------------------------------- ------ ---------- --------------
BONDS AND NOTES (b) - (CONTINUED)
INDONESIA - 5.3%
330,000 Indonesian Government Bond (IDR) ............. 6.75% 03/10/14 $ 352,278
6,800,000,000 Indonesian Government Bond (IDR) ............. 9.50% 06/15/15 716,213
5,730,000,000 Indonesian Government Bond (IDR) ............. 10.75% 05/15/16 636,624
1,850,000,000 Indonesian Recapitalization Bond (IDR) ....... 13.40% 02/15/11 205,502
4,350,000,000 Indonesian Recapitalization Bond (IDR) ....... 13.45% 08/15/11 493,226
850,000 Majapahit Holding B.V. (USD) ................. 7.75% 10/17/16 894,922
150,000 Majapahit Holding B.V. (USD) ................. 7.25% 06/28/17 153,709
620,000 MGTI Finance Company, Ltd. (USD) ............. 8.38% 09/15/10 627,210
1,340,000 Republic of Indonesia (USD) .................. 10.38% 05/04/14 1,626,015
--------------
5,705,699
--------------
IRAQ - 1.7%
2,350,000 Republic of Iraq (USD) ....................... 5.80% 01/15/28 1,797,750
--------------
KAZAKHSTAN - 3.3%
1,000,000 Halyk Savings Bank of Kazakhstan (USD) 8.13% 10/07/09 1,002,500
740,000 Kazakhstan Temir Zholy
National Co. JSC (USD) ..................... 6.50% 05/11/11 749,250
620,000 KazMunaiGaz Finance Sub B.V. (USD) ........... 8.38% 07/02/13 662,625
940,000 KazMunaiGaz Finance Sub B.V. (USD) ........... 11.75% 01/23/15 1,112,866
--------------
3,527,241
--------------
MALAYSIA - 1.4%
1,460,000 Petronas Capital Ltd. (USD) .................. 5.25% 08/12/19 1,482,046
--------------
MEXICO - 5.4%
682,000 Axtel S.A.B. de C.V. (USD) ................... 9.00% 09/22/19 690,354
525,000 Corp. Geo S.A. de C.V. (USD) ................. 8.88% 09/25/14 544,372
770,000 Desarrolladora Homex S.A. (USD) .............. 7.50% 09/28/15 760,375
11,700,000 Mexican Bonos Desarr Fixed Rate Bond (MXN) ... 7.25% 12/15/16 845,101
12,340,000 Mexican Bonos Desarr Fixed Rate Bond (MXN) ... 10.00% 11/20/36 1,039,259
1,280,000 Mexician Republic (USD) ...................... 8.30% 08/15/31 1,645,824
140,000 Pemex Project Funding Master Trust (USD) ..... 5.75% 03/01/18 139,125
130,000 Pemex Project Funding Master Trust (USD) ..... 6.63% 06/15/38 122,850
--------------
5,787,260
--------------
NIGERIA - 1.7%
790,000 GTB Finance B.V. (USD) ....................... 8.50% 01/29/12 756,188
174,000,000 KfW International Finance (NGN) .............. 8.50% 01/18/11 1,113,728
--------------
1,869,916
--------------
PAKISTAN - 1.0%
550,000 Islamic Republic of Pakistan (USD) ........... 6.88% 06/01/17 481,250
710,000 Islamic Republic of Pakistan (USD) ........... 7.88% 03/31/36 543,632
--------------
1,024,882
--------------
PANAMA - 1.0%
800,000 Republic of Panama (USD) ..................... 8.88% 09/30/27 1,062,920
--------------
See Notes to Quarterly Portfolio of Investments
Page 2
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2009 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
-------------- -------------------------------------------- ------ ---------- --------------
BONDS AND NOTES (b) - (CONTINUED)
PERU - 1.0%
2,440,000 Peru Bono Soberano (PEN) ................... 8.20% 08/12/26 $ 1,022,662
--------------
PHILIPPINES - 3.7%
100,000 Republic of Philippines (USD) .............. 8.00% 01/15/16 115,690
330,000 Republic of Philippines (USD) .............. 9.38% 01/18/17 407,489
170,000 Republic of Philippines (USD) .............. 8.38% 06/17/19 207,621
620,000 Republic of Philippines (USD) .............. 10.63% 03/16/25 873,677
300,000 Republic of Philippines (USD) .............. 9.50% 02/02/30 399,855
1,120,000 Republic of Philippines (USD) .............. 7.75% 01/14/31 1,276,800
740,000 SM Investments Corp. (USD) ................. 6.00% 09/22/14 738,779
--------------
4,019,911
--------------
POLAND - 2.0%
1,940,000 Republic of Poland (USD) ................... 6.38% 07/15/19 2,172,800
--------------
RUSSIA - 3.2%
17,000,000 GPB Eurobond Finance PLC (RUB) ............. 7.25% 02/22/10 555,617
25,197,193 Red Arrow International Leasing PLC (RUB) .. 8.38% 06/30/12 813,996
560,000 UBS Luxembourg S.A. (USD) .................. 8.00% 02/11/10 575,400
780,000 UBS Luxembourg S.A. (USD) (c) .............. 6.23% 02/11/15 777,348
750,000 VTB Capital S.A. (USD)...................... 6.88% 05/29/18 751,875
--------------
3,474,236
--------------
SINGAPORE - 0.7%
700,000 Ciliandra Perkasa Finance Co.
Pte Ltd. (USD) ........................... 10.75% 12/08/11 718,274
--------------
SOUTH AFRICA - 2.0%
860,000 Republic of South Africa (USD) ............. 7.38% 04/25/12 947,806
450,000 Republic of South Africa (USD) ............. 6.88% 05/27/19 505,282
4,160,000 Republic of South Africa (ZAR) ............. 13.50% 09/15/15 687,602
--------------
2,140,690
--------------
TURKEY - 1.7%
980,000 Republic of Turkey (USD) ................... 9.50% 01/15/14 1,148,815
320,000 Turkey Government Bond (TRY) ............... 16.00% 03/07/12 246,685
460,000 Turkey Government Bond,
Inflation Adjusted Bond (TRY) (d) ........ 10.00% 02/15/12 421,889
--------------
1,817,389
--------------
UKRAINE - 2.0%
1,070,000 EX-IM Bank of Ukraine (USD) ................ 7.65% 09/07/11 957,650
500,000 UBS AG Jersey Branch,
Credit Linked Note (USD) ................. 9.13% 06/21/10 181,300
830,000 Ukraine Government Bond (USD) .............. 6.88% 03/04/11 778,208
280,000 Ukraine Government Bond (USD) .............. 6.39% 06/26/12 248,528
--------------
2,165,686
--------------
See Notes to Quarterly Portfolio of Investments
Page 3
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2009 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
-------------- -------------------------------------------- ------ ---------- --------------
BONDS AND NOTES (b) - (CONTINUED)
URUGUAY - 3.0%
570,000 Republic of Uruguay (USD) .................... 7.88% 01/15/33 $ 618,165
1,010,000 Republic Orient Uruguay (USD) ................ 7.63% 03/21/36 1,075,852
21,000,000 Republic Orient Uruguay,
Inflation Adjusted Bond (UYU) (d) .......... 5.00% 09/14/18 1,265,179
4,740,000 Republic Orient Uruguay,
Inflation Adjusted Bond (UYU) (d) .......... 4.25% 04/05/27 257,117
--------------
3,216,313
--------------
VENEZUELA - 3.2%
1,700,000 Bolivarian Republic of Venezuela (USD) (c) ... 1.51% 04/20/11 1,524,475
2,360,000 Petroleos de Venezuela S.A. (USD) ............ 5.25% 04/12/17 1,451,400
650,000 Republic of Venezuela (USD) .................. 5.75% 02/26/16 481,000
--------------
3,456,875
--------------
TOTAL BONDS AND NOTES ........................ 66,173,358
(Cost $61,037,137) --------------
SHARES DESCRIPTION VALUE
-------------- ------------------------------------------------------------------- ------------
COMMON STOCKS - 44.0%
ARGENTINA - 1.0%
31,000 Tenaris S.A., ADR ................................................. $ 1,104,220
------------
BRAZIL - 8.5%
78,450 Banco Bradesco S.A., ADR .......................................... 1,560,370
56,000 Lojas Renner S.A. ................................................. 974,848
13,116 Multiplan Empreendimentos Imobiliarios S.A ........................ 205,076
44,000 Petroleo Brasileiro S.A., ADR ..................................... 1,729,640
25,300 Souza Cruz S.A. ................................................... 900,266
28,000 Telecomunicacoes de Sao Paulo S.A ................................. 624,294
34,000 Ultrapar Participacoes S.A., Preference Shares .................... 1,366,065
86,000 Vale S.A., Preference Shares, ADR ................................. 1,763,860
------------
9,124,419
------------
CHILE - 1.2%
23,000 Banco Santander Chile S.A., ADR ................................... 1,323,420
------------
CHINA - 4.6%
90,000 China Mobile Ltd. ................................................. 877,927
350,000 Dah Sing Banking Group Ltd. ....................................... 451,157
200,000 Hang Lung Group Ltd. .............................................. 1,001,280
920,000 PetroChina Co., Ltd., H Shares .................................... 1,039,887
700,000 Swire Pacific Ltd., B Shares ...................................... 1,526,437
------------
4,896,688
------------
CZECH REPUBLIC - 0.6%
3,000 Komercni Banka AS ................................................. 598,268
------------
See Notes to Quarterly Portfolio of Investments
Page 4
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2009 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------- ------------------------------------------------------------------- ------------
COMMON STOCKS - (CONTINUED)
HUNGARY - 1.0%
5,300 Richter Gedeon, GDR. .............................................. $ 1,092,562
------------
INDIA - 4.1%
24,000 Bharti Airtel Ltd. ................................................ 208,918
20,000 GlaxoSmithKline Pharmaceuticals Ltd. .............................. 645,276
13,000 Grasim Industries Ltd. ............................................ 749,557
29,000 Hero Honda Motors Ltd. ............................................ 1,008,203
59,000 Hindustan Unilever Ltd. ........................................... 322,075
11,500 Housing Development Finance Corp., Ltd. ........................... 666,871
20,000 ICICI Bank Ltd. ................................................... 377,341
10,000 Infosys Technologies Ltd. ......................................... 479,451
------------
4,457,692
------------
INDONESIA - 1.5%
460,000 PT Astra International Tbk ........................................ 1,587,274
------------
MALAYSIA - 1.7%
80,300 British American Tobacco Malaysia Berhad .......................... 1,021,789
289,000 Public Bank Berhad ................................................ 853,389
------------
1,875,178
------------
MEXICO - 4.2%
36,900 Fomento Economico Mexicano, S.A.B. de C.V., ADR ................... 1,404,045
40,000 Grupo Aeroportuario del Centro Norte, S.A.B. de C.V., ADR ......... 502,800
256,000 Grupo Continental, S.A.B. ......................................... 512,114
352,000 Grupo Financiero Banorte, S.A.B. de C.V., O Shares ................ 1,177,767
209,000 Kimberly-Clark de Mexico, S.A.B. de C.V., A Shares. ............... 867,310
------------
4,464,036
------------
PHILIPPINES - 1.0%
1,164,000 Bank of the Philippine Islands .................................... 1,105,530
------------
QATAR - 0.2%
12,000 Qatar Insurance Co. ............................................... 225,408
------------
RUSSIA - 1.0%
20,500 LUKOIL, ADR ....................................................... 1,124,425
------------
SOUTH AFRICA - 2.2%
130,000 Massmart Holdings Ltd. ............................................ 1,524,973
142,729 Truworths International Ltd. ...................................... 807,506
------------
2,332,479
------------
SOUTH KOREA - 2.8%
47,008 Pusan Bank ........................................................ 522,644
4,900 Samsung Electronics Co., Ltd., Preference Shares .................. 2,050,244
850 Shinsegae Co., Ltd. ............................................... 429,238
------------
3,002,126
------------
See Notes to Quarterly Portfolio of Investments
Page 5
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS (a) - (CONTINUED)
SEPTEMBER 30, 2009 (UNAUDITED)
SHARES DESCRIPTION VALUE
-------------- ------------------------------------------------------------------- -------------
COMMON STOCKS - (CONTINUED)
TAIWAN - 2.6%
800,450 Taiwan Mobile Co., Ltd. ........................................... $ 1,481,485
643,947 Taiwan Semiconductor Manufacturing Co., Ltd. ...................... 1,291,981
-------------
2,773,466
-------------
THAILAND - 2.2%
250,000 PTT Exploration and Production Public Co., Ltd. ................... 1,081,263
190,000 Siam Cement Public (The) Co., Ltd. ................................ 1,268,183
-------------
2,349,446
-------------
TURKEY - 2.6%
42,000 Akbank TAS ........................................................ 243,396
279,000 Aksigorta AS ...................................................... 996,428
22,610 Bim Birlesik Magazalar AS ......................................... 921,769
132,000 Cimsa Cimento Sanayi ve Ticaret AS. ............................... 582,615
-------------
2,744,208
-------------
UNITED KINGDOM - 1.0%
45,696 Standard Chartered PLC. ........................................... 1,126,114
-------------
TOTAL COMMON STOCKS................................................ 47,306,959
(Cost $38,287,664) -------------
TOTAL INVESTMENTS - 105.6% ........................................ 113,480,317
(Cost $99,324,801) (e)
LOAN OUTSTANDING - (7.9)% ........................................ (8,500,000)
NET OTHER ASSETS AND LIABILITIES - 2.3%. ......................... 2,467,067
-------------
NET ASSETS - 100.0% .............................................. $ 107,447,384
=============
----------
(a) All percentages shown in the Portfolio of Investments are based on net
assets.
(b) Fixed-income portfolio securities are included in a country based upon
their underlying credit exposure as determined by Aberdeen Asset
Management Inc., the investment sub-advisor.
(c) Variable rate security. The interest rate shown reflects the rate in
effect at September 30, 2009.
(d) 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.
(e) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of September 30, 2009,
the aggregate gross unrealized appreciation for all securities in which
there was an excess of value over tax cost was $17,424,038 and the
aggregate gross unrealized depreciation for all securities in which there
was an excess of tax cost over value was $3,268,522.
ADR American Depositary Receipt
GDR Global Depositary Receipt
See Notes to Quarterly Portfolio of Investments
Page 6
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
SEPTEMBER 30, 2009 (UNAUDITED)
Currency
ARS Argentine Peso
BRL Brazilian Real
COP Colombian Peso
HUF Hungarian Forint
IDR Indonesian Rupiah
MXN Mexican Peso
NGN Nigerian Naira
PEN Peruvian New Sol
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,
2009 is as follows (see Note 1A - Portfolio Valuation in the Notes to Quarterly
Portfolio of Investments):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL MARKET LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
9/30/2009 PRICES INPUTS INPUTS
-------------- ------------- ------------ -------------
Bonds and Notes* ................................. $ 66,173,358 $ -- $ 66,173,358 $ --
Common Stocks* ................................... 47,306,959 47,306,959 -- --
-------------- ------------- ------------ -------------
Total Investments ................................ 113,480,317 47,306,959 66,173,358 --
-------------- ------------- ------------ -------------
Other Financial Instruments:
Forward Foreign Currency Contracts** ............. 44,022 44,022 -- --
-------------- ------------- ------------ -------------
Total ............................................ $ 113,524,339 $ 47,350,981 $ 66,173,358 $ --
============== ============= ============ =============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL MARKET LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
9/30/2009 PRICES INPUTS INPUTS
------------ ---------- ----------- ------------
Forward Foreign Currency Contracts** ............. $ (325,063) $ (325,063) $ -- $ --
============ ========== =========== ============
----------
* See Portfolio of Investments for country breakout.
** See Schedule of Forward Foreign Currency Contracts for contract and
currency detail.
See Notes to Quarterly Portfolio of Investments
Page 7
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
PORTFOLIO OF INVESTMENTS -- (CONTINUED)
SEPTEMBER 30, 2009 (UNAUDITED)
% OF TOTAL
INDUSTRY CLASSIFICATION INVESTMENTS
----------------------- -----------
Government Bonds and Notes 38.5%
Commercial Banks 11.6
Oil, Gas & Consumable Fuels 9.3
Real Estate Management & Development 3.0
Semiconductors & Semiconductor Equipment 3.0
Wireless Telecommunication Services 2.9
Food & Retailing & Staples 2.5
Automobiles 2.3
Construction Materials 2.3
Beverages 2.1
Specialty Retail 1.9
Diversified Telecommunications Services 1.7
Tobacco 1.7
Metals & Mining 1.5
Pharmaceuticals 1.5
Multiline Retail 1.4
Diversified Financial Services 1.3
Electric Utilities 1.2
Food Products 1.1
Transportation Infrastructure 1.1
Insurance 1.1
Household Products 1.1
Special Purpose Banks 1.0
Energy Equipment & Services 1.0
Import/Export Bank 0.8
Household Durables 0.7
Retailing 0.6
Thrifts & Mortgage Finance 0.6
IT Services 0.4
Health Care 0.3
Construction & Engineering 0.3
Capital Markets 0.2
-----------
Total 100.0%
===========
See Notes to Quarterly Portfolio of Investments
Page 8
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
SEPTEMBER 30, 2009 (UNAUDITED)
FORWARD FOREIGN CURRENCY CONTRACTS TO BUY
CONTRACTS TO RECEIVE
------------------------------------------- NET NET
LOCAL UNREALIZED UNREALIZED
CURRENCY IN APPRECIATION DEPRECIATION
SETTLEMENT LOCAL VALUE IN EXCHANGE OF CONTRACTS OF CONTRACTS
DATE CURRENCY (a) U.S. $ FOR U.S.$ U.S. $ U.S. $
------------ --------------------- --------- --------- ------------ -------------
10/22/09 HUF 135,030,000 $ 730,502 $ 695,278 $ 35,224 $ --
10/22/09 MXN 3,512,000 259,371 270,439 -- (11,068)
10/22/09 ZAR 100,000 13,255 13,465 -- (210)
------------ -------------
$ 35,224 $ (11,278)
------------ -------------
FORWARD FOREIGN CURRENCY CONTRACTS TO SELL
CONTRACTS TO DELIVER
--------------------------------------------- NET NET
LOCAL UNREALIZED UNREALIZED
CURRENCY IN APPRECIATION DEPRECIATION
SETTLEMENT LOCAL VALUE IN EXCHANGE OF CONTRACTS OF CONTRACTS
DATE CURRENCY (a) U.S. $ FOR U.S.$ U.S. $ U.S. $
------------ --------------------- ---------- ---------- ------------ -------------
11/20/09 BRL 2,738,000 $1,532,276 $1,454,372 $ -- $ (77,904)
11/20/09 COP 2,645,434,000 1,370,049 1,284,815 -- (85,234)
10/22/09 HUF 135,030,000 730,502 662,353 -- (68,149)
10/22/09 MXN 3,512,000 259,371 268,169 8,798 --
10/22/09 TRY 435,000 291,941 274,039 -- (17,902)
10/22/09 ZAR 5,296,000 701,983 637,387 -- (64,596)
------------ -------------
$ 8,798 $ (313,785)
------------ -------------
Unrealized Appreciation (Depreciation) ..................... $ 44,022 $ (325,063)
============ =============
Net Unrealized Appreciation (Depreciation) ................. $ (281,041)
=============
----------
(a) Please see page 7 for currency descriptions.
See Notes to Quarterly Portfolio of Investments
Page 9
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SEPTEMBER 30, 2009 (UNAUDITED)
1. 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. 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
dividends and interest), 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 at market value or, in the absence of
market value with respect to any portfolio securities, at fair value according
to procedures adopted by the Fund's Board of Trustees. A majority of the Fund's
assets are valued using market information supplied by third parties. In
addition, structured products, including currency linked notes and credit linked
notes, as well as interest rate swaps and credit default swaps, are valued using
a pricing service or quotes provided by the selling dealer or financial
institution. 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 markets 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 Investment Company Act of
1940, as amended. Fixed income securities with a remaining maturity of 60 days
or more will be valued by the Fund using a pricing service. Short-term
investments that mature in less than 60 days when purchased are valued at
amortized cost.
Portfolio securities listed on any exchange other than the NASDAQ National
Market ("NASDAQ") and the London Stock Exchange Alternative Investment Market
("AIM") are valued at the last sale price on the business day as of which such
value is being determined. Securities listed on the NASDAQ or the AIM are valued
at the official closing price on the business day as of which such value is
being determined. If there has been no sale on such day, or no official closing
price in the case of securities traded on the NASDAQ or the AIM, the securities
are valued at the mean of the most recent bid and ask prices on such day.
Portfolio securities traded on more than one securities exchange are valued at
the last sale price or official closing price, as applicable, on the business
day as of which such value is being determined at the close of the exchange
representing the principal market for such securities. Portfolio securities
traded in the over-the-counter market, but excluding securities trading on the
NASDAQ and the AIM, are valued at the closing bid prices.
Foreign securities traded outside the United States are generally valued as of
the time their trading is complete, which is usually different from the close of
the NYSE. Occasionally, events affecting the value of such securities may occur
between such times and the close of the NYSE that will not always be reflected
in the computation of the value of such securities. If events materially
affecting the value of such securities occur during such period, these
securities will be valued at their fair value according to procedures adopted by
the Fund's Board of Trustees. All securities and other assets 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 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:
- 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.
- Level 2 - Level 2 inputs are observable inputs, either directly or
indirectly, and include the following:
- Quoted prices for similar securities in active
markets.
- 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.
- 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).
- Inputs that are derived principally from or
corroborated by observable market data by
correlation or other means.
Page 10
NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (CONTINUED)
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND
SEPTEMBER 30, 2009 (UNAUDITED)
- Level 3 - Level 3 inputs are unobservable inputs. Unobservable
inputs 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 September 30, 2009 is
included within 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 or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income on such securities
is not accrued until settlement date. The Fund maintains liquid assets with a
current value at least equal to the amount of its when-issued or
delayed-delivery purchase commitments. At September 30, 2009, the Fund had no
when-issued or delayed-delivery 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 exchange rate 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 up to the entire contract amount, which may
exceed the net unrealized value shown on the Schedule of Forward Foreign
Currency Contracts.
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 and
foreign currency transactions.
Page 11
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 23, 2009
----------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /S/ JAMES A. BOWEN
-------------------------------------------------------
James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date NOVEMBER 23, 2009
----------------------------------------------------------------------------
By (Signature and Title)* /S/ MARK R. BRADLEY
-------------------------------------------------------
Mark R. Bradley, Treasurer, Controller, Chief
Financial Officer and Chief Accounting Officer
(principal financial officer)
Date NOVEMBER 23, 2009
----------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.