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: March 31, 2016
----------------
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 (FEO)
PORTFOLIO OF INVESTMENTS (A)
MARCH 31, 2016 (UNAUDITED)
SHARES DESCRIPTION VALUE
------------------ -------------------------------------------------------------------------- -------------
COMMON STOCKS - 51.5%
BRAZIL - 4.9%
148,779 Banco Bradesco S.A., ADR.................................................. $ 1,108,404
31,800 BRF S.A................................................................... 454,317
100,000 Lojas Renner S.A.......................................................... 580,146
30,454 Multiplan Empreendimentos Imobiliarios S.A., Preference Shares............ 456,092
55,267 Ultrapar Participacoes S.A................................................ 1,070,095
67,604 Vale S.A., ADR............................................................ 284,613
58,842 Vale S.A., Preference Shares, ADR......................................... 183,587
-------------
4,137,254
-------------
CHILE - 0.7%
30,459 Banco Santander Chile S.A., ADR........................................... 589,382
-------------
CHINA - 2.2%
115,000 China Mobile Ltd.......................................................... 1,281,591
862,000 PetroChina Co., Ltd., Class H............................................. 573,381
-------------
1,854,972
-------------
HONG KONG - 4.3%
247,000 AIA Group Ltd............................................................. 1,399,402
202,000 Hang Lung Group Ltd....................................................... 579,386
16,800 Hong Kong Exchanges and Clearing Ltd...................................... 404,550
528,000 Swire Pacific Ltd., B Shares.............................................. 1,029,135
89,600 Swire Properties Ltd...................................................... 241,980
-------------
3,654,453
-------------
HUNGARY - 0.6%
27,000 Richter Gedeon Nyrt....................................................... 538,263
-------------
INDIA - 8.3%
17,000 Grasim Industries Ltd..................................................... 986,833
16,500 Hero MotoCorp Ltd......................................................... 733,951
57,000 Hindustan Unilever Ltd.................................................... 748,409
75,500 Housing Development Finance Corp., Ltd.................................... 1,260,490
200,000 ICICI Bank Ltd............................................................ 714,712
60,472 Infosys Ltd............................................................... 1,112,507
231,173 ITC Ltd................................................................... 1,145,872
7,428 UltraTech Cement Ltd...................................................... 362,160
-------------
7,064,934
-------------
INDONESIA - 2.6%
3,083,100 Astra International Tbk PT................................................ 1,685,707
371,200 Indocement Tunggal Prakarsa Tbk PT........................................ 552,181
-------------
2,237,888
-------------
ITALY - 0.8%
27,900 Tenaris S.A., ADR......................................................... 690,804
-------------
MALAYSIA - 1.0%
234,167 CIMB Group Holdings Bhd................................................... 291,096
120,000 Public Bank Bhd........................................................... 577,624
-------------
868,720
-------------
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2016 (UNAUDITED)
SHARES DESCRIPTION VALUE
------------------ -------------------------------------------------------------------------- -------------
COMMON STOCKS (CONTINUED)
MEXICO - 4.5%
14,700 Fomento Economico Mexicano, S.A.B. de C.V., ADR........................... $ 1,415,757
23,500 Grupo Aeroportuario del Centro Norte, S.A.B. de C.V., ADR................. 1,071,365
238,200 Grupo Financiero Banorte, S.A.B. de C.V., O Shares........................ 1,349,885
-------------
3,837,007
-------------
PHILIPPINES - 2.1%
1,400,000 Ayala Land, Inc........................................................... 1,071,778
394,359 Bank of the Philippine Islands............................................ 745,124
-------------
1,816,902
-------------
POLAND - 0.9%
18,196 Bank Pekao S.A............................................................ 803,195
-------------
PORTUGAL - 0.7%
38,692 Jeronimo Martins SGPS S.A................................................. 633,119
-------------
RUSSIA - 2.2%
25,500 Lukoil PJSC, ADR.......................................................... 985,575
5,496 Magnit PJSC............................................................... 863,032
-------------
1,848,607
-------------
SOUTH AFRICA - 3.1%
26,000 BHP Billiton PLC.......................................................... 292,338
48,610 Massmart Holdings Ltd..................................................... 417,591
40,215 MTN Group Ltd............................................................. 368,271
12,478 SABMiller PLC............................................................. 757,778
119,729 Truworths International Ltd............................................... 796,531
-------------
2,632,509
-------------
SOUTH KOREA - 3.1%
3,500 E-Mart, Inc............................................................... 537,119
2,220 Samsung Electronics Co., Ltd., Preference Shares.......................... 2,148,951
-------------
2,686,070
-------------
TAIWAN - 2.7%
132,005 Taiwan Mobile Co., Ltd.................................................... 428,614
368,954 Taiwan Semiconductor Manufacturing Co., Ltd............................... 1,857,151
-------------
2,285,765
-------------
THAILAND - 2.4%
81,200 Siam Cement Public (The) Co., Ltd......................................... 1,080,205
230,600 Siam Commercial Bank Public Co., Ltd...................................... 924,235
-------------
2,004,440
-------------
TURKEY - 2.8%
188,635 Akbank TAS................................................................ 536,891
34,444 BIM Birlesik Magazalar AS................................................. 746,258
146,150 Haci Omer Sabanci Holding AS.............................................. 505,181
192,000 Turkiye Garanti Bankasi AS................................................ 561,459
-------------
2,349,789
-------------
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2016 (UNAUDITED)
SHARES DESCRIPTION VALUE
------------------ -------------------------------------------------------------------------- -------------
COMMON STOCKS (CONTINUED)
UNITED KINGDOM - 0.6%
70,040 Standard Chartered PLC.................................................... $ 475,357
-------------
UNITED STATES - 1.0%
10,500 Yum! Brands, Inc.......................................................... 859,425
-------------
TOTAL COMMON STOCKS....................................................... 43,868,855
(Cost $37,591,605) -------------
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
------------------ ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES - 42.4%
ARGENTINA - 1.9%
320,000 Argentina Bonar Bonds (USD) ............. 7.00% 04/17/17 323,716
630,917 Argentine Republic Government
International Bond (USD) (b) ......... 8.28% 12/31/33 757,101
476,693 Argentine Republic Government
International Bond (USD) (b) ......... 8.28% 12/31/33 558,922
-------------
1,639,739
-------------
ARMENIA - 0.5%
396,000 Armenia International Bond (USD) (c)..... 6.00% 09/30/20 393,347
-------------
AZERBAIJAN - 0.5%
422,000 Southern Gas Corridor CJSC (USD) (c)..... 6.88% 03/24/26 423,583
-------------
BRAZIL - 3.9%
3,573,000 Brazil Notas do Tesouro Nacional,
Series F (BRL) ....................... 10.00% 01/01/17 969,895
10,389,000 Brazil Notas do Tesouro Nacional,
Series F (BRL) ....................... 10.00% 01/01/25 2,373,816
-------------
3,343,711
-------------
COLOMBIA - 0.3%
240,000 Colombia Government International Bond
(USD) ................................ 4.50% 01/28/26 246,300
-------------
COSTA RICA - 0.3%
300,000 Costa Rica Government International Bond
(USD) ................................ 4.25% 01/26/23 275,250
-------------
DOMINICAN REPUBLIC - 1.0%
200,000 Dominican Republic International Bond
(USD) ................................ 7.50% 05/06/21 218,500
141,000 Dominican Republic International Bond
(USD) ................................ 5.88% 04/18/24 144,877
458,000 Dominican Republic International Bond
(USD) ................................ 8.63% 04/20/27 518,685
-------------
882,062
-------------
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2016 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
------------------ ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
EGYPT - 0.6%
540,000 Egypt Government International Bond
(USD) (c)............................. 5.88% 06/11/25 $ 483,300
-------------
ETHIOPIA - 0.9%
790,000 Ethiopia International Bond (USD) (c).... 6.63% 12/11/24 729,762
-------------
GEORGIA - 0.4%
350,000 Georgian Oil and Gas Corp. JSC
(USD) (c)............................. 6.88% 05/16/17 353,640
-------------
GHANA - 0.6%
300,000 Ghana Government International Bond
(USD) ................................ 8.13% 01/18/26 237,000
350,000 Ghana Government International Bond
(USD) (c)............................. 8.13% 01/18/26 276,500
-------------
513,500
-------------
HONDURAS - 0.5%
410,000 Honduras Government International Bond
(USD) (c)............................. 7.50% 03/15/24 435,625
-------------
HUNGARY - 0.7%
131,000,000 Hungary Government Bond (HUF) ........... 5.50% 06/24/25 580,834
-------------
INDONESIA - 2.9%
470,000 Indonesia Government International Bond
(USD) (c)............................. 5.88% 01/15/24 528,989
7,000,000,000 Indonesia Treasury Bond (IDR) ........... 5.25% 05/15/18 506,170
13,371,000,000 Indonesia Treasury Bond (IDR) ........... 8.38% 03/15/34 1,023,474
440,000 Pertamina Persero PT (USD) (c)........... 4.30% 05/20/23 430,292
-------------
2,488,925
-------------
IRAQ - 0.7%
880,000 Iraq International Bond (USD) ........... 5.80% 01/15/28 609,356
-------------
IVORY COAST - 0.5%
470,000 Ivory Coast Government International Bond
(USD) ................................ 5.75% 12/31/32 435,925
-------------
JAMAICA - 0.6%
477,000 Jamaica Government International Bond
(USD) ................................ 7.88% 07/28/45 485,347
-------------
KAZAKHSTAN - 1.4%
480,000 KazMunayGas National Co., JSC (USD)...... 9.13% 07/02/18 525,233
603,000 KazMunayGas National Co., JSC (USD)...... 7.00% 05/05/20 635,562
-------------
1,160,795
-------------
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2016 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
------------------ ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
KENYA - 0.2%
200,000 Kenya Government International Bond
(USD) ................................ 6.88% 06/24/24 $ 189,500
-------------
MEXICO - 3.1%
15,000,000 Mexican Bonos (MXN) ..................... 8.50% 12/13/18 950,109
3,850,000 Mexican Bonos (MXN) ..................... 6.50% 06/09/22 233,836
20,590,000 Mexican Bonos (MXN) ..................... 8.50% 11/18/38 1,446,761
-------------
2,630,706
-------------
MONGOLIA - 1.3%
340,000 Development Bank of Mongolia LLC (USD)... 5.75% 03/21/17 329,044
230,000 Mongolia Government International Bond
(USD) (c)............................. 10.88% 04/06/21 230,000
700,000 Mongolia Government International Bond
(USD) ................................ 5.13% 12/05/22 547,215
-------------
1,106,259
-------------
PARAGUAY - 0.2%
200,000 Paraguay Government International Bond
(USD) (c)............................. 5.00% 04/15/26 201,500
-------------
PERU - 0.6%
1,750,000 Peruvian Government International Bond
(PEN) ................................ 6.90% 08/12/37 501,925
-------------
POLAND - 2.5%
4,050,000 Poland Government Bond (PLN) ............ 4.75% 04/25/17 1,123,912
3,270,000 Poland Government Bond (PLN) ............ 4.00% 10/25/23 965,830
-------------
2,089,742
-------------
ROMANIA - 2.2%
3,300,000 Romania Government Bond (RON) ........... 5.80% 07/26/27 1,004,556
700,000 Romanian Government International Bond
(USD) ................................ 6.75% 02/07/22 830,673
-------------
1,835,229
-------------
RUSSIA - 3.7%
211,500,000 Russian Federal Bond - OFZ (RUB) ........ 7.05% 01/19/28 2,739,791
410,000 Vnesheconombank Via VEB Finance PLC
(USD) ................................ 6.90% 07/09/20 424,346
-------------
3,164,137
-------------
RWANDA - 0.6%
300,000 Rwanda International Government Bond
(USD) ................................ 6.63% 05/02/23 291,000
200,000 Rwanda International Government Bond
(USD) (c)............................. 6.63% 05/02/23 194,000
-------------
485,000
-------------
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2016 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
------------------ ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
SENEGAL - 0.5%
380,000 Senegal Government International Bond
(USD) ................................ 8.75% 05/13/21 $ 411,350
-------------
SOUTH AFRICA - 3.5%
210,000 Eskom Holdings SOC Ltd. (USD) (c)........ 6.75% 08/06/23 194,775
6,813,023 South Africa Government Bond (ZAR) ...... 10.50% 12/21/26 504,658
7,860,000 South Africa Government Bond (ZAR) ...... 8.00% 01/31/30 471,177
30,300,000 South Africa Government Bond (ZAR) ...... 6.25% 03/31/36 1,431,995
380,000 South Africa Government International
Bond (USD) ........................... 5.88% 09/16/25 412,414
-------------
3,015,019
-------------
TANZANIA - 0.3%
266,667 Tanzania Government International Bond
(USD) (d)............................. 6.89% 03/09/20 270,667
-------------
TURKEY - 3.4%
3,010,000 Turkey Government Bond (TRY) ............ 6.30% 02/14/18 1,009,725
2,650,000 Turkey Government Bond (TRY) ............ 10.40% 03/20/24 977,598
800,000 Turkey Government International Bond
(USD) ................................ 6.25% 09/26/22 891,421
-------------
2,878,744
-------------
UKRAINE - 1.2%
297,000 Ukraine Government International Bond
(USD) (c)............................. 7.75% 09/01/20 279,254
115,000 Ukraine Government International Bond
(USD) (c)............................. 7.75% 09/01/21 107,012
635,000 Ukraine Government International Bond
(USD) (c)............................. 7.75% 09/01/24 570,706
188,000 Ukraine Government International Bond
(USD) (c)............................. 0.00% 05/31/40 62,200
-------------
1,019,172
-------------
URUGUAY - 0.5%
183,000 Uruguay Government International Bond
(USD) ................................ 7.63% 03/21/36 234,240
6,993,905 Uruguay Government International Bond,
Inflation Adjusted Bond (UYU) (e)..... 5.00% 09/14/18 220,306
-------------
454,546
-------------
VENEZUELA - 0.2%
550,000 Venezuela Government International Bond
(USD) ................................ 7.75% 10/13/19 209,000
-------------
ZAMBIA - 0.2%
240,000 Zambia Government International Bond
(USD) (c)............................. 8.97% 07/30/27 199,200
-------------
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2016 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
------------------ ----------------------------------------- -------------- --------------- -------------
FOREIGN SOVEREIGN BONDS AND NOTES (CONTINUED)
TOTAL FOREIGN SOVEREIGN BONDS AND NOTES................................... $ 36,142,697
(Cost $38,657,559) -------------
FOREIGN CORPORATE BONDS AND NOTES (F) - 12.3%
BANGLADESH - 0.3%
250,000 Banglalink Digital Communications Ltd.
(USD) (c)............................. 8.63% 05/06/19 260,000
-------------
BARBADOS - 0.3%
250,000 Sagicor Finance 2015 Ltd. (USD) (c)...... 8.88% 08/11/22 274,500
-------------
BRAZIL - 1.9%
520,000 Marfrig Overseas Ltd. (USD) ............. 9.50% 05/04/20 527,800
350,000 OAS Finance Ltd. (USD) (b) (c) (g) (h)... 8.88% (i) 2,170
200,000 OAS Investments GmbH (USD) (b) (c) (g)... 8.25% 10/19/19 1,240
280,000 Petrobras Global Finance BV (USD) ....... 5.75% 01/20/20 243,950
610,000 Petrobras Global Finance BV (USD) ....... 5.38% 01/27/21 505,769
460,908 QGOG Atlantic/Alaskan Rigs Ltd. (USD) ... 5.25% 07/30/18 347,986
-------------
1,628,915
-------------
GEORGIA - 0.6%
480,000 Georgian Railway JSC (USD) .............. 7.75% 07/11/22 512,400
-------------
GUATEMALA - 0.7%
200,000 Comcel Trust via Comunicaciones
Celulares SA (USD) (c)................ 6.88% 02/06/24 188,000
400,000 Industrial Subordinated Trust (USD) ..... 8.25% 07/27/21 422,000
-------------
610,000
-------------
HONG KONG - 0.3%
260,000 Shimao Property Holdings Ltd. (USD) ..... 8.38% 02/10/22 285,011
-------------
INDIA - 0.3%
260,000 ICICI Bank Ltd. (USD) (h)................ 6.38% 04/30/22 266,350
-------------
KAZAKHSTAN - 0.9%
480,000 Kazakhstan Temir Zholy Finance BV
(USD) ................................ 6.38% 10/06/20 474,470
400,000 Zhaikmunai LLP (USD) (c)................. 7.13% 11/13/19 318,000
-------------
792,470
-------------
MEXICO - 1.7%
270,000 Alfa SAB de CV (USD) .................... 6.88% 03/25/44 271,350
230,000 Cemex SAB de CV (USD) (c)................ 7.75% 04/16/26 236,302
4,800,000 Petroleos Mexicanos (MXN) ............... 7.19% 09/12/24 241,454
400,000 Sixsigma Networks Mexico S.A. de CV
(USD) (c)............................. 8.25% 11/07/21 379,000
290,000 Unifin Financiera SAPI de CV SOFOM ENR
(USD) ................................ 6.25% 07/22/19 278,400
-------------
1,406,506
-------------
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2016 (UNAUDITED)
PRINCIPAL
VALUE
(LOCAL STATED STATED VALUE
CURRENCY) DESCRIPTION COUPON MATURITY (US DOLLARS)
------------------ ----------------------------------------- -------------- --------------- -------------
FOREIGN CORPORATE BONDS AND NOTES (F) (CONTINUED)
MOZAMBIQUE - 0.6%
574,000 EMATUM Via Mozambique EMATUM Finance
2020 BV (USD) ........................ 6.31% 09/11/20 $ 502,250
-------------
NIGERIA - 0.4%
400,000 Zenith Bank PLC (USD) (c)................ 6.25% 04/22/19 363,920
-------------
PARAGUAY - 0.4%
350,000 Banco Regional SAECA (USD) (c)........... 8.13% 01/24/19 361,550
-------------
PERU - 0.4%
160,000 InRetail Consumer (USD) (c).............. 5.25% 10/10/21 160,800
200,000 Union Andina de Cementos SAA (USD) ...... 5.88% 10/30/21 201,000
-------------
361,800
-------------
RUSSIA - 1.8%
400,000 Alfa Bank AO Via Alfa Bond Issuance PLC
(USD) ................................ 7.75% 04/28/21 432,780
430,000 Evraz Group S.A. (USD) (c)............... 6.50% 04/22/20 413,772
350,000 Lukoil International Finance BV (USD) ... 4.56% 04/24/23 335,526
310,000 Sberbank of Russia Via SB Capital S.A.
(USD) ................................ 6.13% 02/07/22 321,812
-------------
1,503,890
-------------
TURKEY - 0.6%
200,000 Arcelik AS (USD) (c)..................... 5.00% 04/03/23 190,234
300,000 Yasar Holdings AS (USD) (c).............. 8.88% 05/06/20 309,360
-------------
499,594
-------------
UNITED ARAB EMIRATES - 0.8%
600,000 Jafz Sukuk Ltd. (USD) ................... 7.00% 06/19/19 671,400
-------------
VENEZUELA - 0.3%
193,333 Petroleos de Venezuela S.A. (USD) ....... 8.50% 11/02/17 102,950
270,000 Petroleos de Venezuela S.A. (USD) ....... 9.00% 11/17/21 101,250
-------------
204,200
-------------
TOTAL FOREIGN CORPORATE BONDS AND NOTES................................... 10,504,756
(Cost $11,176,537) -------------
TOTAL INVESTMENTS - 106.2%................................................ 90,516,308
(Cost $87,425,701) (j)
OUTSTANDING LOAN - (6.8%)................................................. (5,800,000)
NET OTHER ASSETS AND LIABILITIES - 0.6%................................... 483,971
-------------
NET ASSETS - 100.0%....................................................... $ 85,200,279
=============
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (A) (CONTINUED)
MARCH 31, 2016 (UNAUDITED)
-----------------------------
(a) All of these securities are available to serve as collateral for the
outstanding loans.
(b) This issuer is in default and interest is not being accrued by the Fund.
(c) This security, sold within the terms of a private placement memorandum, is
exempt from registration 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 Fund's investment advisor. At March 31,
2016 , securities noted as such amounted to $9,552,533 or 11.2% of net
assets.
(d) Floating rate security. The interest rate shown reflects the rate in
effect at March 31, 2016.
(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) This borrower has filed for protection in federal bankruptcy court.
(h) Fixed-to-floating or fixed-to-variable rate security. The interest rate
shown reflects the fixed rate in effect at March 31, 2016. At a
predetermined date, the fixed rate will change to a floating rate or a
variable rate.
(i) Perpetual maturity
(j) Aggregate cost for financial reporting purposes, which approximates the
aggregate cost for federal income tax purposes. As of March 31, 2016, the
aggregate gross unrealized appreciation for all securities in which there
was an excess of value over tax cost was $14,354,980 and the aggregate
gross unrealized depreciation for all securities in which there was an
excess of tax cost over value was $11,264,373.
ADR American Depositary Receipt
Currency Abbreviations:
ARS Aregntine Peso PEN Peruvian New Sol
BRL Brazilian Real PHP Philippines Peso
EUR Euro PLN Polish Zloty
GBP British Pound Sterling RON Romanian Leu
HKD Hong Kong Dollar RUB Russian Ruble
HUF Hungarian Forint THB Thailand Baht
IDR Indonesian Rupiah TRY Turkish Lira
INR Indian Rupee TWD Taiwan New Dollar
KRW South Korean Won USD United States Dollar
MXN Mexican Peso UYU Uruguayan Peso
MYR Malaysian Ringgit ZAR South African Rand
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2016 (UNAUDITED)
-----------------------------
VALUATION INPUTS
A summary of the inputs used to value the Fund's investments as of March 31,
2016 is as follows (see Note 2A - Portfolio Valuation in the Notes to Portfolio
of Investments):
ASSETS TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
3/31/2016 PRICES INPUTS INPUTS
---------------------------------------------- --------------- ------------- --------------- --------------
Common Stocks*................................ $ 43,868,855 $ 43,868,855 $ -- $ --
Foreign Sovereign Bonds and Notes*............ 36,142,697 -- 36,142,697 --
Foreign Corporate Bonds and Notes*............ 10,504,756 -- 10,504,756 --
--------------- ------------- --------------- --------------
Total Investments............................. $ 90,516,308 $ 43,868,855 $ 46,647,453 $ --
=============== ============= =============== ==============
Forward Foreign Currency Contracts**.......... 70,344 -- 70,344 --
--------------- ------------- --------------- --------------
Total......................................... 90,586,652 -- 46,717,797 --
=============== ============= =============== ==============
LIABILITIES TABLE
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
3/31/2016 PRICES INPUTS INPUTS
--------------- ------------- --------------- --------------
Forward Foreign Currency Contracts**.......... $ (96,561) $ -- $ (96,561) $ --
=============== ============= =============== ==============
* See Portfolio of Investments for country breakout.
** See the Forward Foreign Currency Contracts table 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 March
31, 2016, the Fund transferred common stocks valued at $32,458,686 from Level 2
to Level 1 of the fair value hierarchy. The common stocks that transferred from
Level 2 to Level 1 did so as a result of being valued based on quoted prices at
March 31, 2016. Previously, these common stocks were fair valued using a factor
provided by a pricing service due to the change in value between the foreign
markets' close and the New York Stock Exchange close on December 31, 2015
exceeding a certain threshold.
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2016 (UNAUDITED)
--------------------------------------------------
CURRENCY EXPOSURE % OF TOTAL
DIVERSIFICATION INVESTMENTS #
--------------------------------------------------
USD 39.2%
INR 8.3
BRL 6.5
HKD 6.1
ZAR 5.6
TRY 4.8
MXN 4.7
IDR 4.2
PLN 3.2
KRW 3.0
TWD 2.5
RUB 2.4
THB 2.2
PHP 2.0
HUF 1.2
RON 1.1
MYR 1.0
EUR 0.7
PEN 0.6
GBP 0.5
UYU 0.2
----------------------------------------------
Total 100.0%
======
# The weightings include the impact of currency forwards.
------------------------------------------------------------
% OF TOTAL
INDUSTRY CLASSIFICATION INVESTMENTS
------------------------------------------------------------
Sovereigns 36.3%
Banks 12.0
Real Estate Management & Development 3.7
Food & Staples Retailing 3.5
Construction Materials 3.3
Oil, Gas & Consumable Fuels 2.9
Automobiles 2.7
Wireless Telecommunications Services 2.5
Beverages 2.4
Technology Hardware, Storage & Peripherals 2.4
Semiconductors 2.1
Exploration & Production 1.9
Insurance 1.4
Inegrated Oils 1.4
Thrifts & Mortgage Finance 1.4
Metals & Mining 1.3
Tobacco 1.3
Government Agencies 1.2
IT Services 1.2
Transportation Infrastructure 1.2
Railroad 1.1
Real Estate 1.1
Diversified Financial Services 1.0
Financial Services 1.0
Hotels, Restaurants & Leisure 0.9
Pipeline 0.9
Specialty Retail 0.9
Government Development Banks 0.8
Household Products 0.8
Energy Equipment & Services 0.8
Food & Beverage 0.6
Multiline Retail 0.6
Pharmaceuticals 0.6
Construction Materials Manufacturing 0.5
Food Products 0.5
Oil & Gas Services & Equipment 0.4
Software & Services 0.4
Chemicals 0.3
Wireline Telecommunications Services 0.3
Home Improvement 0.2
Supermarkets & Pharmacies 0.2
Industrial Other 0.0*
---------------------------------------------------------
Total 100.0%
======
* Amount is less than 0.1%
--------------------------------------------------
% OF TOTAL
FIXED-INCOME
CREDIT QUALITY(1) INVESTMENTS
--------------------------------------------------
A 10.9%
A- 1.1
BBB+ 1.1
BBB 15.8
BBB- 20.0
BB+ 15.4
BB 1.2
BB- 7.5
B+ 10.3
B 8.2
B- 2.2
CCC 0.9
Not Rated 5.4
----------------------------------------------
Total 100.0%
======
See Notes to Portfolio of Investments
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2016
(1) The credit quality and ratings information presented above reflects the
ratings assigned by one or more nationally recognized statistical rating
organizations (NRSROs), including Standard & Poor's Ratings Group, a
division of the McGraw-Hill Companies, Inc., Moody's Investors Service,
Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a
security is rated by more than one NRSRO and the ratings are not
equivalent, the highest ratings are used. The credit ratings shown relate
to the credit worthiness of the issuers of the underlying securities in
the Fund, and not to the Fund or its shares. Credit ratings are subject to
change.
FORWARD FOREIGN CURRENCY CONTRACTS (SEE NOTE 2C - FORWARD FOREIGN CURRENCY
CONTRACTS IN THE NOTES TO PORTFOLIO OF INVESTMENTS):
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, 2016 MARCH 31, 2016 (DEPRECIATION)
---------- -------------- -------------------- ------------------ -------------- -------------- --------------
05/24/16 JPM INR 62,674,000 USD 901,654 $ 936,885 $ 901,654 $ 35,231
05/24/16 JPM USD 437,147 INR 30,456,000 437,147 455,273 (18,126)
05/24/16 JPM ARS 6,935,000 USD 424,159 447,769 424,159 23,610
05/24/16 JPM USD 1,372,919 RUB 98,960,000 1,372,919 1,451,354 (78,435)
05/24/16 JPM USD 459,272 ARS 6,935,000 459,272 447,769 11,503
------------
Net Unrealized Appreciation (Depreciation) ......................................................... $ (26,217)
============
(a) Please see Portfolio of Investments for currency descriptions.
Counterparty Abbreviations:
JPM JPMorgan Chase
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
MARCH 31, 2016 (UNAUDITED)
1. ORGANIZATION
First Trust/Aberdeen Emerging Opportunity Fund (the "Fund") is a diversified,
closed-end management investment company organized as a Massachusetts business
trust on May 16, 2006 and is registered with the Securities and Exchange
Commission under the Investment Company Act of 1940, as amended (the "1940
Act"). The Fund trades under the ticker symbol FEO on the New York Stock
Exchange ("NYSE").
The Fund, which is an investment company within the scope of Financial
Accounting Standards Board ("FASB") Accounting Standards Update 2013-08, follows
accounting and reporting guidance under FASB Accounting Standards Codification
Topic 946, "Financial Services-Investment Companies."
2. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION
The net asset value ("NAV") of the Common Shares of the Fund is determined
daily, as of the close of regular trading on the 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 at market value or, in absence of market
value with respect to any portfolio securities, at fair value. Market value
prices represent last sale or official closing prices from a national or foreign
exchange (i.e., a regulated market) and are primarily obtained from third party
pricing services. Fair value prices represent any prices not considered market
value prices and are either obtained from a third party pricing service or are
determined by the Pricing Committee of the Fund's investment advisor, First
Trust Advisors L.P.'s ("First Trust" or the "Advisor"), in accordance with
valuation procedures adopted by the Fund's Board of Trustees, and in accordance
with provisions of the 1940 Act. Investments valued by the Advisor's Pricing
Committee, if any, are footnoted as such in the footnotes to the Portfolio of
Investments. The Fund's investments are valued as follows:
Corporate bonds, corporate 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.
Fixed income and other debt securities having a remaining maturity of
sixty days or less when purchased are fair valued at cost adjusted for
amortization of premiums and accretions of discounts (amortized cost),
provided the Advisor's Pricing Committee has determined that the use of
amortized cost is an appropriate reflection of fair value given market and
issuer-specific conditions existing at the time of the determination.
Factors that may be considered in determining the appropriateness of the
use of amortized cost include, but are not limited to, the following:
1) the credit conditions in the relevant market and changes
thereto;
2) the liquidity conditions in the relevant market and changes
thereto;
3) the interest rate conditions in the relevant market and
changes thereto (such as significant changes in interest
rates);
4) issuer-specific conditions (such as significant credit
deterioration); and
5) any other market-based data the Advisor's Pricing Committee
considers relevant. In this regard, the Advisor's Pricing
Committee may use last-obtained market-based data to assist it
when valuing portfolio securities using amortized cost.
Common stocks and other securities listed on any national or foreign
exchange (excluding The Nasdaq Stock Market, LLC ("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 or,
for Nasdaq and AIM securities, the official closing price. Securities
traded on more than one securities exchange are valued at the last sale
price or official closing price, as applicable, at the close of the
securities exchange representing the principal market for such securities.
Securities traded in an over-the-counter market are fair valued at the
mean of their most recent bid and asked price, if available, and otherwise
at their closing bid price.
NOTES TO PORTFOLIO OF INVESTMENTS
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
MARCH 31, 2016 (UNAUDITED)
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.
Certain securities may not be able to be priced by pre-established pricing
methods. Such securities may be valued by the Fund's Board of Trustees or its
delegate, the Advisor's Pricing Committee, at fair value. These securities
generally include, but are not limited to, restricted securities (securities
which may not be publicly sold without registration under the Securities Act of
1933, as amended) for which a pricing service is unable to provide a market
price; securities whose trading has been formally suspended; a security whose
market or fair value price is not available from a pre-established pricing
source; a security with respect to which an event has occurred that is likely to
materially affect the value of the security after the market has closed but
before the calculation of a Fund's NAV or make it difficult or impossible to
obtain a reliable market quotation; and a security whose price, as provided by
the pricing service, does not reflect the security's fair value. As a general
principle, the current fair value of a security would appear to be the amount
which the owner might reasonably expect to receive for the security upon its
current sale. When fair value prices are used, generally they will differ from
market quotations or official closing prices on the applicable exchanges. A
variety of factors may be considered in determining the fair value of such
securities, 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 Aberdeen Asset Management Inc.'s or external analysis;
6) the information as to any transactions in or offers for the
security;
7) the price and extent of public trading in similar securities (or
equity securities) of the issuer/borrower, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing
the security;
10) the business prospects of the issuer, including any ability to
obtain money or resources from a parent or affiliate and an
assessment of the issuer's management (for corporate debt only);
11) the economic, political and social prospects/developments of the
country of issue and the assessment of the country's governmental
leaders/officials (for sovereign debt only);
12) the prospects for the issuer's industry, and multiples (of earnings
and/or cash flows) being paid for similar businesses in that
industry (for corporate debt only); and
13) other relevant factors.
Fair valuation of an equity security will be based on the consideration of all
available information, including, but not limited to, the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the
appropriate stock exchange;
8) an analysis of the issuer's financial statements; and
9) the existence of merger proposals or tender offers that might affect
the value of the security.
If the equity security in question is a foreign security, the following
additional information may be considered:
1) the value of similar foreign securities traded on other foreign
markets;
2) ADR trading of similar securities;
3) closed-end fund trading of similar securities;
4) foreign currency exchange activity;
5) the trading prices of financial products that are tied to baskets of
foreign securities;
6) factors relating to the event that precipitated the pricing problem;
7) whether the event is likely to recur; and
8) whether the effects of the event are isolated or whether they affect
entire markets, countries or regions.
NOTES TO PORTFOLIO OF INVESTMENTS
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
MARCH 31, 2016 (UNAUDITED)
Because foreign markets may be open on different days than the days during which
investors may transact in the shares of the Fund, the value of the Fund's
securities may change on the days when investors are not able to transact in the
share of the Fund. The value of securities denominated in foreign currencies is
converted into U.S. dollars using exchange rates determined daily as of the
close of regular trading on the NYSE.
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 methodologies 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 March 31, 2016, is
included with the Fund's Portfolio of Investments.
B. SECURITIES TRANSACTIONS
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Securities purchased on a when-issued, delayed-delivery or forward purchase
commitment basis may have extended settlement periods. The value of the security
so purchased is subject to market fluctuations during this period. The Fund
maintains liquid assets with a current value at least equal to the amount of its
when-issued, delayed-delivery or forward purchase commitments until payment is
made. At March 31, 2016, 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
between two parties ("Counterparties") to exchange one currency for another at a
future date and at a specified price. The Fund uses 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 Forward Foreign Currency Contracts table in the Portfolio of
Investments. 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 Forward Foreign Currency Contracts table
in the Portfolio of Investments. In the event of default by the Counterparty,
the Fund will provide notice to the Counterparty of the Fund's intent to convert
the currency held by the Fund into the currency that the Counterparty agreed to
exchange with the Fund. If a Counterparty becomes bankrupt or otherwise fails to
perform its obligations due to financial difficulties, the Fund may experience
significant delays in obtaining any recovery in a bankruptcy or other
reorganization proceeding. The Fund may obtain only limited recovery or may
obtain no recovery in such circumstances.
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 investments and items of income and expense are
translated on the respective dates of such transactions. Net realized foreign
NOTES TO PORTFOLIO OF INVESTMENTS
FIRST TRUST/ABERDEEN EMERGING OPPORTUNITY FUND (FEO)
MARCH 31, 2016 (UNAUDITED)
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.
3. DERIVATIVES TRANSACTIONS
For the fiscal year-to-date period (January 1, 2016 through March 31, 2016),
notional values of forward foreign currency contracts opened and closed were
$13,894,315 and $8,705,945, respectively.
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 M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: May 19, 2016
----------------
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 M. Dykas
----------------------------------------
James M. Dykas, President and
Chief Executive Officer
(principal executive officer)
Date: May 19, 2016
----------------
By (Signature and Title)* /s/ Donald P. Swade
----------------------------------------
Donald P. Swade, Treasurer,
Chief Financial Officer and
Chief Accounting Officer
(principal financial officer)
Date: May 19, 2016
----------------
* Print the name and title of each signing officer under his or her signature.