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 811-21586
---------------------------
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
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(Exact name of registrant as specified in charter)
1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 241-4141
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Date of fiscal year end: DECEMBER 31, 2004
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Date of reporting period: SEPTEMBER 30, 2004
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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, 450 Fifth Street, NW, Washington,
DC 20549-0609. 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 of Investments is attached herewith.
First Trust/Fiduciary Asset Management Covered Call Fund
Portfolio of Investments
September 30, 2004 (Unaudited)
MARKET
SHARES VALUE
------------ ------------
COMMON STOCKS+ - 99.7%
DIVERSIFIED FINANCIALS - 13.9%
162,000 American Express Company $ 8,336,520
183,000 Citigroup Inc. 8,073,960
77,000 Goldman Sachs Group, Inc. 7,179,480
475,000 MBNA Corp. 11,970,000
215,500 Merrill Lynch & Company, Inc. 10,714,660
129,000 Wachovia Corp. 6,056,550
---------------
52,331,170
---------------
CAPITAL GOODS - 11.6%
113,600 Caterpillar, Inc. 9,139,120
91,500 Emerson Electric Company 5,662,935
36,000 General Dynamics Corp. 3,675,600
327,500 General Electric Company 10,997,450
260,000 Tyco International Ltd. 7,971,600
67,000 United Technologies Corp. 6,256,460
---------------
43,703,165
---------------
HEALTH CARE EQUIPMENT & SERVICES - 8.9%
230,500 Boston Scientific Corp.* 9,157,765
65,000 Medtronic Inc. 3,373,500
64,000 Quest Diagnostics, Inc. 5,646,080
161,000 UnitedHealth Group, Inc. 11,872,140
47,000 Zimmer Holdings, Inc.* 3,714,880
---------------
33,764,365
---------------
TELECOMMUNICATION SERVICES - 7.0%
85,500 ALLTEL Corp. 4,694,805
137,000 Amdocs Ltd.* 2,990,710
276,500 Nextel Communications, Inc., Class A* 6,591,760
137,000 QUALCOMM, Inc. 5,348,480
169,000 Verizon Communications, Inc. 6,655,220
---------------
26,280,975
---------------
RETAIL - 6.5%
98,700 Best Buy Company, Inc. 5,353,488
116,000 CVS Corp. 4,887,080
70,000 Lowe's Companies, Inc. 3,804,500
114,700 Nordstrom, Inc. 4,386,128
160,500 The Home Depot, Inc. 6,291,600
---------------
24,722,796
---------------
SOFTWARE - 5.4%
144,000 Computer Associates International, Inc. 3,787,200
210,000 Electronic Arts, Inc.* 9,657,900
75,000 First Data Corp. 3,262,500
180,000 PeopleSoft, Inc.* 3,573,000
---------------
20,280,600
---------------
SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT - 5.1%
320,000 Applied Materials, Inc.* 5,276,800
134,000 Broadcom Corp., Class A* 3,656,860
278,000 Intel Corp. 5,576,680
228,500 Texas Instruments, Inc. 4,862,480
---------------
19,372,820
---------------
1
First Trust/Fiduciary Asset Management Covered Call Fund - (Continued)
Portfolio of Investments
September 30, 2004 (Unaudited)
MARKET
SHARES VALUE
------------ ------------
COMMON STOCKS+ - (CONTINUED)
COMPUTERS & PERIPHERALS - 4.9%
155,500 Apple Computer, Inc.* $ 6,025,625
176,500 Dell, Inc.* 6,283,400
150,000 Hewlett-Packard Company 2,812,500
265,000 Micron Technology, Inc.* 3,187,950
---------------
18,309,475
---------------
CONSUMER DURABLES & APPAREL - 4.2%
120,000 Centex Corp. 6,055,200
79,200 Lennar Corp., Class A 3,769,920
78,000 NIKE, Inc., Class B 6,146,400
---------------
15,971,520
---------------
PHARMACEUTICALS & BIOTECHNOLOGY - 4.0%
74,500 Amgen, Inc.* 4,222,660
68,000 Genentech, Inc.* 3,564,560
242,500 Pfizer, Inc. 7,420,500
---------------
15,207,720
---------------
HOTELS, RESTAURANTS & LEISURE - 4.0%
75,000 Harley-Davidson, Inc. 4,458,000
70,500 Harrah's Entertainment, Inc. 3,735,090
194,500 International Game Technology 6,992,275
---------------
15,185,365
---------------
ENERGY - 3.8%
113,000 Apache Corp. 5,662,430
69,500 Kinder Morgan, Inc. 4,365,990
76,500 Occidental Petroleum Corp. 4,278,645
---------------
14,307,065
---------------
INTERNET SOFTWARE & SERVICES - 3.7%
111,500 Amazon.com, Inc.* 4,555,890
35,000 eBay, Inc.* 3,217,900
112,500 Symantec Corp.* 6,174,000
---------------
13,947,790
---------------
MATERIALS - 3.6%
187,600 Alcoa, Inc. 6,301,484
50,300 Phelps Dodge Corp. 4,629,109
73,500 United States Steel Corp. 2,765,070
---------------
13,695,663
---------------
TRANSPORTATION - 3.1%
134,900 FedEx Corp. 11,559,581
---------------
BANKS - 2.9%
135,000 Bank of America Corp. 5,849,550
127,000 Washington Mutual, Inc. 4,963,160
---------------
10,812,710
---------------
INSURANCE - 2.8%
89,500 American International Group, Inc. 6,085,105
69,000 MGIC Investment Corp. 4,591,950
---------------
10,677,055
---------------
2
First Trust/Fiduciary Asset Management Covered Call Fund - (Continued)
Portfolio of Investments
September 30, 2004 (Unaudited)
MARKET
SHARES VALUE
------------ -----------
COMMON STOCKS+ - (CONTINUED)
COMMUNICATIONS EQUIPMENT - 1.7%
364,000 Cisco Systems, Inc.* $ 6,588,400
---------------
MEDIA - 1.0%
43,000 Gannett Company, Inc. 3,601,680
---------------
COMMERCIAL SERVICES - 0.8%
75,000 Automatic Data Processing, Inc. 3,099,000
---------------
ELECTRONIC EQUIPMENT & INSTRUMENTS - 0.8%
95,000 Eastman Kodak Company 3,060,900
---------------
TOTAL COMMON STOCKS 376,479,815
---------------
(Cost $366,942,389)
PRINCIPAL
VALUE
------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES - 3.7%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 3.7%
$ 7,000,000 1.795%, 12/15/04++ 6,973,820
7,000,000 1.945%, 3/16/05++ 6,934,802
---------------
13,908,622
---------------
TOTAL U.S. GOVERNMENT AGENCY DISCOUNT NOTES 13,908,622
---------------
(Cost $13,911,043)
TOTAL INVESTMENTS - 103.4% 390,388,437
(Cost $380,853,431)**
CALL OPTIONS WRITTEN - (5.2%) (19,614,615)
(Premiums received $18,065,657)
NET OTHER ASSETS & LIABILITIES - 1.8% 6,815,583
---------------
NET ASSETS - 100.0% $ 377,589,405
===============
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* Non-income producing security.
** Aggregate cost for federal tax purposes.
+ Securities or partial securities on which call options
were written.
++ Rate represents annualized yield at date of purchase.
NUMBER OF MARKET
CONTRACTS VALUE
------------ ------------
CALL OPTIONS WRITTEN - (5.2%)
Alcoa, Inc. Call
350 @ 32.5 due Oct 04 $ (50,750)
905 @ 32.5 due Jan 05 (235,300)
106 @ 35 due Jan 05 (13,780)
515 @ 35 due Apr 05 (97,850)
---------------
(397,680)
---------------
ALLTEL Corp. Call
150 @ 55 due Oct 04 (7,500)
480 @ 55 due Jan 05 (81,600)
225 @ 60 due Apr 05 (14,625)
---------------
(103,725)
---------------
3
First Trust/Fiduciary Asset Management Covered Call Fund - (Continued)
Portfolio of Investments
September 30, 2004 (Unaudited)
NUMBER OF MARKET
CONTRACTS VALUE
------------ ----------
CALL OPTIONS WRITTEN - (CONTINUED)
Amazon.com, Inc. Call
225 @ 42.5 due Nov 04 $ (43,875)
560 @ 40 due Jan 05 (240,800)
330 @ 42.5 due Apr 05 (148,500)
---------------
(433,175)
---------------
Amdocs Ltd. Call
250 @ 22.5 due Oct 04 (5,000)
590 @ 22.5 due Jan 05 (88,500)
530 @ 25 due Apr 05 (63,600)
---------------
(157,100)
---------------
American Express Company Call
810 @ 50 due Jan 05 (226,800)
810 @ 55 due Apr 05 (101,250)
---------------
(328,050)
---------------
American International Group, Inc. Call
175 @ 70 due Oct 04 (5,250)
360 @ 70 due Nov 04 (37,800)
360 @ 75 due Feb 05 (36,000)
---------------
(79,050)
---------------
Amgen, Inc. Call
120 @ 60 due Oct 04 (1,800)
450 @ 60 due Jan 05 (78,750)
175 @ 65 due Apr 05 (21,000)
---------------
(101,550)
---------------
Apache Corp. Call
225 @ 50 due Nov 04 (42,750)
565 @ 45 due Jan 05 (350,300)
340 @ 50 due Apr 05 (136,000)
---------------
(529,050)
---------------
Apple Computer, Inc. Call
300 @ 35 due Oct 04 (126,000)
780 @ 37.5 due Jan 05 (343,200)
475 @ 37.5 due Apr 05 (251,750)
---------------
(720,950)
---------------
Applied Materials, Inc. Call
640 @ 17.5 due Oct 04 (9,600)
1,280 @ 17.5 due Jan 05 (121,600)
1,280 @ 18 due Apr 05 (153,600)
---------------
(284,800)
---------------
Automatic Data Processing, Inc. Call
150 @ 42.5 due Nov 04 (11,250)
300 @ 42.5 due Jan 05 (42,000)
300 @ 45 due Feb 05 (25,500)
---------------
(78,750)
---------------
4
First Trust/Fiduciary Asset Management Covered Call Fund - (Continued)
Portfolio of Investments
September 30, 2004 (Unaudited)
NUMBER OF MARKET
CONTRACTS VALUE
------------ ----------
CALL OPTIONS WRITTEN - (CONTINUED)
Bank of America Corp. Call
270 @ 45 due Nov 04 $ (9,450)
540 @ 45 due Jan 05 (35,100)
540 @ 45 due Feb 05 (45,900)
---------------
(90,450)
---------------
Best Buy Company, Inc. Call
97 @ 50 due Dec 04 (53,350)
290 @ 55 due Dec 04 (71,050)
300 @ 50 due Jan 05 (186,000)
300 @ 55 due Jan 05 (96,000)
---------------
(406,400)
---------------
Boston Scientific Corp. Call
395 @ 37.5 due Nov 04 (122,450)
955 @ 40 due Jan 05 (276,950)
955 @ 40 due Feb 05 (305,600)
---------------
(705,000)
---------------
Broadcom Corp. Call
355 @ 27.5 due Nov 04 (74,550)
315 @ 30 due Nov 04 (36,225)
355 @ 30 due Jan 05 (81,650)
315 @ 30 due Feb 05 (78,750)
---------------
(271,175)
---------------
Caterpillar, Inc. Call
336 @ 75 due Nov 04 (211,680)
360 @ 75 due Jan 05 (288,000)
440 @ 80 due Feb 05 (220,000)
---------------
(719,680)
---------------
Centex Corp. Call
100 @ 50 due Nov 04 (25,500)
800 @ 50 due Jan 05 (272,000)
300 @ 55 due Apr 05 (84,000)
---------------
(381,500)
---------------
Cisco Systems, Inc. Call
730 @ 20 due Oct 04 (3,650)
1,820 @ 20 due Jan 05 (127,400)
1,090 @ 22.5 due Apr 05 (43,600)
---------------
(174,650)
---------------
Citigroup Inc. Call
365 @ 47.5 due Dec 04 (10,950)
825 @ 47.5 due Jan 05 (41,250)
640 @ 50 due Mar 05 (22,400)
---------------
(74,600)
---------------
Computer Associates International, Inc. Call
290 @ 25 due Nov 04 (62,350)
575 @ 25 due Jan 05 (158,125)
575 @ 27.5 due Feb 05 (92,000)
---------------
(312,475)
---------------
5
First Trust/Fiduciary Asset Management Covered Call Fund - (Continued)
Portfolio of Investments
September 30, 2004 (Unaudited)
NUMBER OF MARKET
CONTRACTS VALUE
------------ ----------
CALL OPTIONS WRITTEN - (CONTINUED)
CVS Corp. Call
210 @ 40 due Nov 04 $ (55,650)
400 @ 40 due Jan 05 (136,000)
400 @ 42.5 due Feb 05 (84,000)
150 @ 45 due May 05 (33,750)
---------------
(309,400)
---------------
Dell, Inc. Call
355 @ 35 due Nov 04 (51,475)
705 @ 37.5 due Jan 05 (59,925)
705 @ 37.5 due Feb 05 (81,075)
---------------
(192,475)
---------------
Eastman Kodak Company Call
190 @ 30 due Oct 04 (44,650)
475 @ 30 due Jan 05 (161,500)
285 @ 32.5 due Apr 05 (71,250)
---------------
(277,400)
---------------
eBay, Inc. Call
70 @ 85 due Oct 04 (50,400)
175 @ 85 due Jan 05 (201,250)
105 @ 90 due Apr 05 (108,150)
---------------
(359,800)
---------------
Electronic Arts, Inc. Call
250 @ 50 due Oct 04 (2,500)
150 @ 45 due Dec 04 (49,500)
565 @ 50 due Dec 04 (70,625)
450 @ 47.5 due Jan 05 (119,250)
435 @ 52.5 due Jan 05 (45,675)
250 @ 50 due Mar 05 (61,250)
---------------
(348,800)
---------------
Emerson Electric Company Call
185 @ 65 due Dec 04 (12,950)
410 @ 65 due Jan 05 (45,100)
320 @ 65 due Mar 05 (52,800)
---------------
(110,850)
---------------
FedEx Corp. Call
180 @ 85 due Oct 04 (27,000)
899 @ 85 due Jan 05 (386,570)
270 @ 90 due Apr 05 (91,800)
---------------
(505,370)
---------------
First Data Corp. Call
150 @ 42.5 due Nov 04 (27,750)
300 @ 45 due Jan 05 (42,000)
300 @ 45 due Feb 05 (52,500)
---------------
(122,250)
---------------
Gannett Company, Inc. Call
60 @ 85 due Oct 04 (2,400)
120 @ 85 due Nov 04 (16,800)
155 @ 85 due Jan 05 (34,100)
95 @ 90 due Apr 05 (14,250)
---------------
(67,550)
---------------
6
First Trust/Fiduciary Asset Management Covered Call Fund - (Continued)
Portfolio of Investments
September 30, 2004 (Unaudited)
NUMBER OF MARKET
CONTRACTS VALUE
------------ ----------
CALL OPTIONS WRITTEN - (CONTINUED)
Genentech, Inc. Call
240 @ 50 due Dec 04 $ (103,200)
200 @ 55 due Dec 04 (40,000)
240 @ 52.5 due Jan 05 (98,400)
---------------
(241,600)
---------------
General Dynamics Corp. Call
72 @ 100 due Nov 04 (27,360)
144 @ 100 due Jan 05 (76,320)
144 @ 105 due Feb 05 (48,960)
---------------
(152,640)
---------------
General Electric Company Call
280 @ 35 due Dec 04 (11,200)
1,945 @ 35 due Jan 05 (116,700)
1,050 @ 35 due Mar 05 (94,500)
---------------
(222,400)
---------------
Goldman Sachs Group, Inc. Call
120 @ 90 due Oct 04 (42,000)
470 @ 95 due Jan 05 (150,400)
180 @ 95 due Apr 05 (88,200)
---------------
(280,600)
---------------
Harley-Davidson, Inc. Call
150 @ 65 due Nov 04 (6,000)
300 @ 65 due Jan 05 (34,500)
300 @ 65 due Feb 05 (48,000)
---------------
(88,500)
---------------
Harrah's Entertainment, Inc. Call
285 @ 50 due Nov 04 (96,900)
285 @ 50 due Jan 05 (119,700)
135 @ 55 due Jan 05 (20,250)
---------------
(236,850)
---------------
Hewlett-Packard Company Call
300 @ 17.5 due Nov 04 (54,000)
600 @ 17.5 due Jan 05 (120,000)
600 @ 20 due Feb 05 (51,000)
---------------
(225,000)
---------------
Intel Corp. Call
560 @ 22.5 due Oct 04 (2,800)
1,390 @ 22.5 due Jan 05 (83,400)
830 @ 25 due Apr 05 (37,350)
---------------
(123,550)
---------------
International Game Technology Call
1,410 @ 35 due Jan 05 (465,300)
535 @ 35 due Apr 05 (214,000)
---------------
(679,300)
---------------
Kinder Morgan, Inc. Call
175 @ 60 due Nov 04 (49,875)
345 @ 65 due Jan 05 (37,950)
175 @ 65 due Feb 05 (22,750)
---------------
(110,575)
---------------
7
First Trust/Fiduciary Asset Management Covered Call Fund - (Continued)
Portfolio of Investments
September 30, 2004 (Unaudited)
NUMBER OF MARKET
CONTRACTS VALUE
------------ ----------
CALL OPTIONS WRITTEN - (CONTINUED)
Lennar Corp. Call
140 @ 50 due Nov 04 $ (15,400)
372 @ 50 due Jan 05 (81,840)
280 @ 52.5 due Jan 05 (37,800)
---------------
(135,040)
---------------
Lowe's Companies, Inc. Call
490 @ 55 due Jan 05 (132,300)
210 @ 55 due Apr 05 (84,000)
---------------
(216,300)
---------------
MBNA Corp. Call
945 @ 25 due Dec 04 (108,675)
2,140 @ 25 due Jan 05 (299,600)
1,665 @ 25 due Mar 05 (291,375)
---------------
(699,650)
---------------
Medtronic Inc. Call
215 @ 50 due Jan 05 (75,250)
435 @ 55 due May 05 (84,825)
---------------
(160,075)
---------------
Merrill Lynch & Company, Inc. Call
395 @ 50 due Oct 04 (35,550)
185 @ 50 due Nov 04 (27,750)
985 @ 55 due Jan 05 (73,875)
590 @ 55 due Apr 05 (85,550)
---------------
(222,725)
---------------
MGIC Investment Corp. Call
120 @ 65 due Dec 04 (49,200)
320 @ 70 due Dec 04 (52,800)
250 @ 75 due Mar 05 (37,500)
---------------
(139,500)
---------------
Micron Technology, Inc. Call
500 @ 13 due Nov 04 (12,500)
1,200 @ 11 due Jan 05 (204,000)
250 @ 12.5 due Jan 05 (22,500)
700 @ 13 due Apr 05 (70,000)
---------------
(309,000)
---------------
Nextel Communications, Inc. Call
455 @ 22.5 due Nov 04 (95,550)
920 @ 25 due Jan 05 (119,600)
1,390 @ 25 due Feb 05 (208,500)
---------------
(423,650)
---------------
NIKE, Inc. Call
390 @ 75 due Jan 05 (230,100)
160 @ 80 due Jan 05 (49,600)
230 @ 80 due Apr 05 (101,200)
---------------
(380,900)
---------------
8
First Trust/Fiduciary Asset Management Covered Call Fund - (Continued)
Portfolio of Investments
September 30, 2004 (Unaudited)
NUMBER OF MARKET
CONTRACTS VALUE
------------ ----------
CALL OPTIONS WRITTEN - (CONTINUED)
Nordstrom, Inc. Call
767 @ 40 due Jan 05 $ (138,060)
230 @ 40 due Apr 05 (62,100)
150 @ 45 due Apr 05 (18,750)
---------------
(218,910)
---------------
Occidental Petroleum Corp. Call
465 @ 55 due Jan 05 (139,500)
300 @ 55 due Feb 05 (105,000)
---------------
(244,500)
---------------
Peoplesoft, Inc. Call
500 @ 20 due Oct 04 (17,500)
1,300 @ 20 due Jan 05 (175,500)
---------------
(193,000)
---------------
Pfizer, Inc. Call
450 @ 32.5 due Oct 04 (6,750)
75 @ 30 due Nov 04 (10,500)
1,025 @ 32.5 due Dec 04 (51,250)
75 @ 30 due Jan 05 (14,625)
800 @ 35 due Mar 05 (40,000)
---------------
(123,125)
---------------
Phelps Dodge Corp. Call
215 @ 80 due Jan 05 (316,050)
85 @ 90 due Jan 05 (72,250)
130 @ 80 due Apr 05 (214,500)
73 @ 90 due Apr 05 (75,920)
---------------
(678,720)
---------------
QUALCOMM, Inc. Call
275 @ 37.5 due Oct 04 (52,250)
685 @ 37.5 due Jan 05 (246,600)
410 @ 40 due April 05 (135,300)
---------------
(434,150)
---------------
Quest Diagnostics, Inc. Call
160 @ 85 due Nov 04 (72,000)
160 @ 90 due Jan 05 (49,600)
320 @ 90 due Feb 05 (118,400)
---------------
(240,000)
---------------
Symantec Corp. Call
790 @ 50 due Jan 05 (529,300)
335 @ 50 due Apr 05 (274,700)
---------------
(804,000)
---------------
Texas Instruments, Inc. Call
625 @ 22.5 due Jan 05 (84,375)
760 @ 22.5 due Apr 05 (167,200)
900 @ 25 due Apr 05 (94,500)
---------------
(346,075)
---------------
9
First Trust/Fiduciary Asset Management Covered Call Fund - (Continued)
Portfolio of Investments
September 30, 2004 (Unaudited)
NUMBER OF MARKET
CONTRACTS VALUE
------------ ----------
CALL OPTIONS WRITTEN - (CONTINUED)
The Home Depot, Inc. Call
325 @ 37.5 due Nov 04 $ (78,000)
640 @ 37.5 due Jan 05 (185,600)
640 @ 40 due Feb 05 (115,200)
---------------
(378,800)
---------------
Tyco International Ltd. Call
450 @ 32.5 due Oct 04 (2,250)
1,475 @ 32.5 due Jan 05 (110,625)
675 @ 35 due Apr 05 (47,250)
---------------
(160,125)
---------------
United States Steel Corp. Call
150 @ 35 due Oct 04 (48,000)
370 @ 35 due Jan 05 (188,700)
215 @ 35 due Apr 05 (131,150)
---------------
(367,850)
---------------
United Technologies Corp. Call
135 @ 95 due Oct 04 (7,425)
335 @ 95 due Nov 04 (65,325)
200 @ 100 due Feb 05 (36,000)
---------------
(108,750)
---------------
UnitedHealth Group, Inc. Call
725 @ 70 due Dec 04 (384,250)
320 @ 75 due Jan 05 (92,800)
565 @ 70 due Mar 05 (389,850)
---------------
(866,900)
---------------
Verizon Communications, Inc. Call
340 @ 40 due Oct 04 (8,500)
850 @ 40 due Jan 05 (97,750)
500 @ 42.5 due Apr 05 (37,500)
---------------
(143,750)
---------------
Wachovia Corp. Call
260 @ 47.5 due Oct 04 (7,800)
645 @ 47.5 due Jan 05 (83,850)
385 @ 47.5 due Apr 05 (67,375)
---------------
(159,025)
---------------
Washington Mutual, Inc. Call
255 @ 40 due Oct 04 (5,100)
635 @ 40 due Jan 05 (76,200)
380 @ 40 due Apr 05 (66,500)
---------------
(147,800)
---------------
Zimmer Holdings, Inc. Call
95 @ 80 due Nov 04 (27,075)
210 @ 75 due Dec 04 (138,600)
165 @ 75 due Mar 05 (141,900)
---------------
(307,575)
---------------
TOTAL CALL OPTIONS WRITTEN (19,614,615)
---------------
(Premiums received $18,065,657)
10
First Trust/Fiduciary Asset Management Covered Call Fund
September 30, 2004 (Unaudited)
1. VALUATION AND INVESTMENT PRACTICES
PORTFOLIO VALUATION:
The Fund will determine the net asset value of its Common Shares daily, as of
4:15 p.m. Eastern Time, every day on which the New York Stock Exchange is open.
Net asset value is computed by dividing the value of all assets of the Fund
(including accrued interest and dividends), less all liabilities (including
accrued expenses, the value of call options written (sold) and dividends
declared but unpaid), by the total number of Common Shares outstanding.
The Fund's investments are valued at market value or, in the absence of market
value with respect to any portfolio securities, at fair value as determined by,
or under the direction of the Fund's Board of Trustees. Portfolio securities
listed on any exchange other than the NASDAQ National Market ("NASDAQ") are
valued at the last sale price on the business day of which such value is being
determined. If there has been no sale on such day, the securities are valued at
the mean of the most recent bid and asked prices on such day. Securities trading
on the NASDAQ are valued at the NASDAQ Official Closing Price as determined by
NASDAQ. Portfolio securities traded on more than one securities exchange are
valued at the last sale price 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, are valued at the closing bid
prices. Fixed income securities with a remaining maturity of 60 days or more
will be valued by the Fund using a pricing service. When price quotes are not
available, fair market value is based on prices of comparable securities.
Short-term investments that mature in 60 days or less are valued at amortized
cost.
The Fund values exchange-traded options and other derivative contracts at the
closing price on the exchange on which it is principally traded, or if not
traded, or no closing price is available, at the mean between the last bid and
asked price.
OPTION CONTRACTS:
Covered Call Options. When the Fund purchases equity securities, it will
simultaneously write (sell) covered call options on substantially all of such
equity securities. The number of call options the Fund can write (sell) is
limited by the amount of equity securities the Fund holds in its portfolio. The
Fund will not write (sell) "naked" or uncovered call options. By writing
(selling) call options, the Fund seeks to generate additional income, in the
form of premiums received for writing (selling) the options, and provide a
partial hedge against a market decline in the underlying equity security. Call
options are marked-to-market daily and their value will be affected by changes
in the value and dividend rates of the underlying equity securities, an increase
in interest rates, changes in the actual or perceived volatility of the
securities markets and the underlying equity securities and the remaining time
to the options' expiration. The value of call options may also be adversely
affected if the market for the options becomes less liquid or smaller.
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.
11
First Trust/Fiduciary Asset Management Covered Call Fund
September 30, 2004 (Continued) (Unaudited)
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 is not accrued
until settlement date. The Fund instructs the custodian to segregate assets of
the Fund with a current value at least equal to the amount of its when-issued
purchase commitments.
2. UNREALIZED APPRECIATION/(DEPRECIATION)
On September 30, 2004, net unrealized appreciation for Federal tax purposes was
$9,535,006 consisting of $12,895,292 aggregate gross unrealized appreciation for
all securities in which there is an excess of value over tax cost and $3,360,286
aggregate gross unrealized depreciation for all securities in which there is an
excess of tax cost over value.
12
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/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
--------------------------------------------------------------------
By (Signature and Title)* /S/ JAMES A. BOWEN
-------------------------------------------------------
James A. Bowen, President, Chairman of the Board
and Trustee
(principal executive officer)
Date November 24, 2004
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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, President, Chairman of the Board
and Trustee
(principal executive officer)
Date November 24, 2004
----------------------------------------------------------------------------
By (Signature and Title)* /S/ MARK R. BRADLEY
-------------------------------------------------------
Mark R. Bradley, Chief Financial Officer
and Treasurer
(principal financial officer)
Date November 24, 2004
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* Print the name and title of each signing officer under his or her signature.