Edgar Filing: First Trust/Fiduciary Asset Management Covered Call Fund

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-21586

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
(Exact name of registrant as specified in charter)

1001 WARRENVILLE ROAD, SUITE 300
LISLE, IL 60532
(Address of principal executive offices) (Zip code)

W. SCOTT JARDINE, ESQ.
FIRST TRUST PORTFOLIOS L.P.
1001 WARRENVILLE ROAD, SUITE 300
LISLE, IL 60532
(Name and address of agent for service)

registrant's telephone number, including area code: (630) 241-4141

Date of fiscal year end: DECEMBER 31

Date of reporting period: DECEMBER 31, 2005

Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
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 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. REPORTS TO STOCKHOLDERS.

The Report to Shareholders is attached herewith.

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FIRST TRUST/FIDUCIARY ASSET MANAGEMENT
COVERED CALL FUND
ANNUAL REPORT
FOR THE YEAR ENDED DECEMBER 31, 2005
--------------------------------------------------------------------------------

--------------------------------------------------------------------------------
TABLE OF CONTENTS
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FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005

Shareholder Letter ........................................................ 1
Portfolio Commentary ...................................................... 2
Portfolio Components ...................................................... 4
Portfolio of Investments .................................................. 5
Statement of Assets and Liabilities ....................................... 12
Statement of Operations ................................................... 13
Statements of Changes in Net Assets ....................................... 14
Financial Highlights ...................................................... 15
Notes to Financial Statements ............................................. 16
Report of Independent Registered Public Accounting Firm ................... 20
Additional Information .................................................... 21
Dividend Reinvestment Plan
Proxy Voting Policies and Procedures
Portfolio Holdings
NYSE Certification Information
Tax Information
Submission of Matters to a Vote of Shareholders
By-Law Amendment
Trustees and Officers ..................................................... 23

CAUTION REGARDING FORWARD-LOOKING STATEMENTS

This Annual Report contains certain forward-looking statements within the
meaning of Section 27A of the Securities Act of 1933. Forward-looking statements
include statements regarding the goals, beliefs, plans or current expectations
of First Trust Advisors L.P. (the "Advisor") and/or Fiduciary Asset Management,
LLC (the "Sub-Advisor") and their respective representatives, taking into
account the information currently available to them. Forward-looking statements
include all statements that do not relate solely to current or historical fact.
For example, forward-looking statements include the use of words such as
"anticipate," "estimate," "intend," "expect," "believe," "plan," "may,"
"should," "would" or other words that convey uncertainty of future events or
outcomes.

Forward-looking statements involve known and unknown risks, uncertainties and
other factors that may cause the First Trust/Fiduciary Asset Management Covered
Call Fund's (the "Fund") actual results, performance or achievements to be
materially different from any future results, performance or achievements
expressed or implied by the forward-looking statements. When evaluating the
information included in this Annual Report, you are cautioned not to place undue
reliance on these forward-looking statements, which reflect the judgment of the
Advisor and Sub-Advisor and their respective representatives only as of the date
hereof. We undertake no obligation to publicly revise or update these
forward-looking statements to reflect events and circumstances that arise after
the date hereof.

HOW TO READ THIS REPORT

This report contains information that can help you evaluate your investment. It
includes details about the Fund and presents data and analysis that provide
insight into the Fund's performance and investment approach.

By reading the letter from the Fund's President, James A. Bowen, together with
the portfolio commentary by Mohammed Riad and K. Timothy Swanson, Co-Portfolio
Managers of the Sub-Advisor, you will obtain an understanding of how the market
environment affected the Fund's performance. The statistical information that
follows can help you understand the Fund's performance compared to that of
relevant market benchmarks.

It is important to keep in mind that the opinions expressed by Mr. Bowen and
personnel of the Advisor and Sub-Advisor are just that: informed opinions. They
should not be considered to be promises or advice. The opinions, like the
statistics, cover the period through the date on the cover of this report. Of
course, the risks of investing in the Fund are spelled out in the prospectus.

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SHAREHOLDER LETTER
--------------------------------------------------------------------------------

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND (FFA)
ANNUAL REPORT
DECEMBER 31, 2005

Dear Shareholders:

We are pleased to present you with this annual report on the First
Trust/Fiduciary Asset Management Covered Call Fund (NYSE: FFA). For the 2005
fiscal year, the Fund paid an annualized dividend rate of 8.0% on the $20 common
share IPO price. The Fund posted a total return of 3.5% based on the net asset
value ("NAV") and a market price total return of -6.9% for the fiscal year ended
December 31, 2005. This compared to a total return of 4.9% for the S&P 500 and
4.3% for the CBOE S&P 500 BuyWrite Index (BXM) for the same one-year period.

The Fund's investment objective is to provide a high level of current income and
gains and, to a lesser extent, capital appreciation. The Fund seeks to achieve
its investment objective by investing in a diversified portfolio of equity
securities and writing (selling) call options on at least 80% of the Fund's
managed assets. According to Chicago Board Options Exchange ("CBOE"), for the
second consecutive year, annual trading volume at the CBOE posted a new all-time
record. The 468.2 million contracts traded in 2005 represented the busiest year
in CBOE history and a 30% increase over 2004's then-record total of 361.1
million contracts.

Throughout the year the markets were confronted with many obstacles including
rising energy and oil prices, several short-term rate increases and natural
disasters. In spite of some of the difficulties of this past year, the American
economy continues to grow, posting an overall growth rate of 3.5% for 2005,
although this is down from 4.2% for 2004. According to U.S. News & World Report,
since April 2003 the economy has created a net 5.1 million new jobs and
unemployment, which was 4.9% in December 2005, is lower than the average for the
1970s, 1980s and 1990s. For calendar year 2005, core inflation was only 2.2% and
oil prices have come down from their post-hurricane peaks.

First Trust Advisors L.P. ("First Trust") serves as the Fund's investment
advisor and currently manages or supervises approximately $23 billion in assets.
Fiduciary Asset Management, LLC ("FAMCO") serves as the Fund's Sub-Advisor and
invests in a broad range of equity, hedged equity, master limited partnership
and fixed income strategies for institutional and high net worth clients.
FAMCO's clients include Fortune 500 companies, public pensions and large
endowments and foundations. FAMCO was established as an independent investment
firm in 1994 and has managed covered call option portfolios for clients since
1997. FAMCO currently manages and supervises approximately $16.5 billion in
client assets. I encourage you to read the commentary from the portfolio
management team found on the following pages. It includes a review of the Fund's
performance and the portfolio managers' outlook for the markets.

We thank you for your confidence in First Trust and FAMCO and will work
diligently to keep earning it.

Sincerely,

/s/ James A. Bowen

James A. Bowen
President of the First Trust/Fiduciary Asset Management Covered Call Fund
February 10, 2006

Page 1

[PHOTO OMITTED] MOHAMMED RIAD

MANAGING DIRECTOR, SENIOR PORTFOLIO MANAGER, CHIEF
DERIVATIVES STRATEGIST,
MEMBER OF STRATEGY COMMITTEE AND INVESTMENT COMMITTEE

Mr. Riad joined Fiduciary Asset Management in 1999 and has 13
years of investment industry experience. He is a member of
the portfolio management team and serves as senior portfolio
manager for FAMCO's institutional and hedged large-cap equity
strategies, as well as closed-end and open-end funds.
Additionally, Mr. Riad has been instrumental in the
development of industry-leading large scale derivatives
strategies. He is actively involved with the Strategy
Committee's macroeconomic assessment and top-down approach to
portfolio management. Prior to joining FAMCO, Mr. Riad worked
in management for six years at Legg Mason Wood Walker in the
Washington D.C. and New York offices. Mr. Riad holds a B.S.
in business from Wake Forest University and an M.B.A. from
Washington University in St. Louis.

[PHOTO OMITTED] K. TIMOTHY SWANSON, CFA

SENIOR VICE PRESIDENT, PORTFOLIO MANAGER, MEMBER OF
INVESTMENT COMMITTEE

Effective June 1, 2005, K. Timothy Swanson was added as a
Co-Portfolio Manager of the Fund Mr. Swanson performs
quantitative and qualitative research and holds portfolio
management duties for FAMCO's large-cap institutional equity
strategies. He implements portfolio management decisions for
hedged equity institutional portfolios, as well as closed-end
and open-end funds. Mr. Swanson provides the Strategy
Committee with statistical and quantitative analysis of
macroeconomic, sector, industry, and company-specific
recommendations and supporting data. He assists in designing,
structuring, and managing FAMCO's quantitative research
effort. Prior to joining Fiduciary Asset Management, he spent
two years as a portfolio manager for institutional and
high-net worth clients and spent nearly seven years at A.G.
Edwards & Sons as a senior analyst for beverage and tobacco
industries, earning eight Wall Street Journal All-Star
Analyst awards between 1997 and 2000. He is a Chartered
Financial Analyst (CFA) and member of the St. Louis Society
of Financial Analysts. Mr. Swanson received his M.B.A. from
Washington University in St. Louis and his bachelor of arts
degree from Colgate University.

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PORTFOLIO COMMENTARY
--------------------------------------------------------------------------------

Equity markets in 2005 presented a number of challenging headwinds, most notably
crude oil prices advancing from $45 per barrel in January 2005 to a summer peak
of nearly $70 per barrel, with contract pricing for NYMEX wholesale gasoline
spiking to $2.61 per gallon at the end of August 2005. Also there were eight
consecutive 25-basis point Fed funds target rate increases on the heels of four
tightenings during 2004 and lingering inflationary concerns throughout much of
the year. For a covered call writer, one would think that a tight overlay
strategy would be appropriate within this uncertain investment environment, and
for the most part this type of strategy paid off during the year. However,
periods of strength in the market throughout the year also caused a conservative
option strategy - and, by design, the First Trust/Fiduciary Asset Management
Covered Call Fund (the "Fund") - to sacrifice some of the upside participation
within the market for downside protection and income generation from call
premiums.

That said, the Fund produced a NAV total return of 3.5% for the full year - net
of fees - as compared to the S&P 500 Index performance of 4.9%. Another index,
the CBOE S&P 500 BuyWrite Index (BXM), returned 4.3% for the period.
Fixed-income investors faced an even more difficult 2005 environment with the
Lehman U.S. Aggregate Index returning 2.4%. The underlying equity positions in
the Fund advanced a solid 7.0% return for the year. The market price total
return of the Fund was -6.9%.

During 2005, the Fund declared and paid four-quarterly dividends to
shareholders. The aggregate amount of these dividends, $1.60 per share,
represented ordinary income earned by the Fund's investment portfolio throughout
the year, and computes to an annualized yield of 8.0% on the initial offering
price of $20.00 per share.

From a sector standpoint, the investment environment during calendar year 2005
can essentially be summed up in a single word: Energy. While the S&P 500 Index
generated a total return of 4.9% for the year, if the energy sector is excluded
it was up just over 3.0%. Although the Energy sector only represents just under
9% of the total S&P 500 composite, a key determinent of the Fund's return
throughout 2005 was under-owning the sector. Unfortunately this was the scene
where the Fund opened the year, armed with our assumption that $45 per barrel
crude oil was "most likely" unsustainable. However, strong demand from newly
industrialized Asian economies coupled with a supply imbalance pushed crude
higher throughout the year, peaking at the end of the summer months with the
advent of Hurricanes Katrina and Rita. Recognizing the growing demand for global
natural resources and with the supply scarcity within these markets becoming
more and more evident, we not only offset the Fund's underweight in oil
commodities as the year progressed, but additionally increased the Fund's
exposure in global infrastructure investments, including oil services, coal
transportation and mining materials.

Page 2

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PORTFOLIO COMMENTARY - CONTINUED
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Specifically, while the Fund's stock selection process in the Energy sector
generated returns in excess of the S&P Energy sector, the Fund's underweight in
the sector during the first quarter of 2005 negatively impacted performance for
the Fund through the year. The Fund's largest position within the Energy sector
was Valero Energy Corp. (representing 2.6% of the portfolio as of December 31,
2005), which advanced 52.8% since purchased for the Fund, and was the
top-performing equity within the S&P 500 for 2005 based on total return.

The under-performance within the Energy sector was nearly offset by excess
performance from the Fund's positions in the Materials and Industrial sectors, a
by-product of our global resources investment theme. Specifically, the Fund's
position in Phelps Dodge (representing 2.1% of the portfolio as of December 31,
2005) added approximately 90 basis points of excess performance versus the S&P
500 index, with the stock advancing just over 50% for the full year.

The Fund maintained a large overweight in the Technology sector for much of the
year, amounting to a 4.5% overweighting as compared to the technology weightings
within the S&P 500 composite, helping to add excess performance for the Fund.
The Fund's ownership in Apple Computer (representing 3.3% of the portfolio as of
December 31, 2005) turned in the best performance for the Fund during the year -
and, incidentally, the second best performing equity within the S&P 500 Index
for 2005 - advancing almost 115% while owned in the Fund, benefiting from
excitement in new product development and introductions. Conversely, the Fund's
positions in Dell Computer (representing 1.0% of the portfolio as of December
31, 2005) and Symantec (representing 1.0% of the portfolio as of December 31,
2005) negatively impacted the Fund's performance for the year, declining 29% and
32%, respectively.

The Fund's overweight in Healthcare - specifically Healthcare Services and
Biotechnology -- generated a large percentage of the Fund's excess performance
on a long-only basis. The Fund's largest position in the Healthcare Services
sector was UnitedHealth Group, Inc. (representing 4.3% of the portfolio as of
December 31, 2005), advancing 41.2% for the year. That said, the Fund's
ownership in Zimmer Holdings Inc. - a knee and hip replacement healthcare
equipment company - (representing 2.7% of the portfolio as of December 31, 2005)
declined over 17% during the year as the market became increasingly concerned
with product pricing. We still believe the demographic theme for Zimmer Holdings
Inc. remains intact and continued to hold the position through year-end.

Our underweight in the Financial sector modestly hindered overall performance on
a relative basis despite outperforming the S&P Financial sector on an individual
equity basis. Specifically, the Fund's largest position in the group was Lehman
Brothers Holdings, Inc. (representing 4.3% of the portfolio as of December 31,
2005), which increased just under 35% for the period held in the Fund.
Conversely, the Fund's ownership of MBNA Corp. and American International Group
Inc. - each owned earlier in the year -- negatively impacted overall performance
within the Financial sector, declining 6.1% and 17.0%, respectively.

As mentioned previously, the Fund maintained a relatively tight option overlay
for the first half of the year, as our investment strategy recognized more
downside risks than upside potential given the tightening Federal Reserve
monetary policy, a squeezing of monetary liquidity, and some inflationary
concerns. However, as we progressed through the first half of the year, we
became more convinced that the Federal Open Market Committee ("FOMC") was likely
closer to ending its tightening policy sooner than the market was expecting.
With this in mind, we loosened up the Fund's option overwriting strategy late in
the spring to take advantage of what we envisioned to be a strong earnings
period for the second quarter. Despite the market pull-back witnessed during the
month of October, the Fund's option strategy has remained more out-of-the-money
in an effort to capture greater underlying stock price appreciation.

We believe the overall economy remains in fine shape, which is noteworthy
considering this past summer's dramatic increase in energy prices and the varied
natural disasters that occurred over the summer. From an economic standpoint,
growth in the Gross Domestic Product ("GDP") remains above trend-line, while
core inflation has trended down since the beginning of the year. Personal
consumption has surprised on the upside with unemployment moderating, and
corporate profits remain robust. We continue to view current monetary policy as
tight, but expect these headwinds to moderate with the Federal Reserve off
"auto-pilot" and monetary liquidity resuming modest growth.

From a strategic standpoint we maintain that the market is currently exiting a
typical mid-cycle slowdown phase, caused principally by 13 consecutive Fed funds
interest rate target tightenings. The completion of this tightening cycle should
bode well for equities, given that corporate profits continued to proliferate
throughout this period despite the Fed's policy actions. The release from the
December 13th FOMC meeting indicated some promising signs of relief with respect
to further monetary tightening, helping to drive improved performance from
interest-rate sensitive sectors. Equity valuations remain particularly
attractive relative to other asset classes, especially given the low
interest-rate environment.

While earnings growth will likely moderate over the next 12 months, large cap
growth stocks should begin to outperform value investment styles as valuations
catch up with the recent profit performance. Business and capital spending
should begin to accelerate given clean corporate balance sheets, large cash
positions and growing activism from shareholders forcing management teams to
utilize cash for value-enhancing propositions or to distribute it to
shareholders. This revitalization in the corporate sector should help to more
than offset an expected slowing of growth in consumer spending if housing values
finally begin to moderate and equity-withdrawals from homes decline.

Page 3

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO COMPONENTS+
DECEMBER 31, 2005

[THE FOLLOWING TABLE WAS REPRESENTED AS A BAR CHART IN THE PRINTED MATERIAL.]

Capital Markets 11.0%
Health Care Providers & Services 10.5%
Communications Equipment 6.8%
Commercial Banks 5.2%
Semiconductors & Semiconductor Equipment 5.1%
Oil, Gas & Consumable Fuels 4.6%
Computers & Peripherals 4.3%
Machinery 4.0%
Health Care Equipment & Supplies 4.0%
Hotels, Restaurants & Leisure 4.0%
Specialty Retail 3.8%
Energy Equipment & Services 3.4%
Household Durables 3.3%
Aerospace & Defense 3.0%
Biotechnology 2.8%
Software 2.7%
Air Freight & Logistics 2.7%
Food & Staples Retailing 2.6%
Wireless Telecommunication Services 2.6%
Multiline Retail 2.5%
Metals & Mining 2.1%
Internet Software & Services 2.0%
Road & Rail 1.8%
Industrial Conglomerates 1.5%
Diversified Telecommunication Services 1.2%
Household Products 1.0%
Chemicals 1.0%
Consumer Finance 0.5%

+ Percentages are based on total investments. Please note that the
percentages shown on the Portfolio of Investments are based on net assets.

Page 4

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 2005

MARKET
SHARES VALUE
--------- ------------

COMMON STOCKS+ - 101.0%

AEROSPACE & DEFENSE - 3.0%
204,300 United Technologies Corp ............................ $ 11,422,413
------------
AIR FREIGHT & LOGISTICS - 2.7%
99,200 FedEx Corp .......................................... 10,256,288
------------
BIOTECHNOLOGY - 2.9%
86,300 Amgen, Inc.* ........................................ 6,805,618
43,400 Genentech, Inc.* .................................... 4,014,500
------------
10,820,118
------------
CAPITAL MARKETS - 11.1%
56,700 Legg Mason, Inc ..................................... 6,786,423
128,500 Lehman Brothers Holdings, Inc ....................... 16,469,845
76,700 The Bear Stearns Companies, Inc ..................... 8,861,151
77,000 The Goldman Sachs Group, Inc ........................ 9,833,670
------------
41,951,089
------------
CHEMICALS - 1.0%
83,300 The Dow Chemical Company ............................ 3,650,206
------------
COMMERCIAL BANKS - 5.2%
248,300 Bank of America Corp ................................ 11,459,045
158,500 Wachovia Corp ....................................... 8,378,310
------------
19,837,355
------------
COMMUNICATIONS EQUIPMENT - 6.9%
316,100 Cisco Systems, Inc.* ................................ 5,411,632
440,300 Motorola, Inc ....................................... 9,946,377
251,700 QUALCOMM, Inc ....................................... 10,843,236
------------
26,201,245
------------
COMPUTERS & PERIPHERALS - 4.3%
175,600 Apple Computer, Inc.* ............................... 12,623,884
127,900 Dell Inc.* .......................................... 3,835,721
------------
16,459,605
------------
CONSUMER FINANCE - 0.5%
38,200 American Express Company ............................ 1,965,772
------------
DIVERSIFIED TELECOMMUNICATION SERVICES - 1.2%
146,600 Verizon Communications, Inc ......................... 4,415,592
------------
ENERGY EQUIPMENT & SERVICES - 3.5%
177,700 BJ Services Company ................................. 6,516,259
68,300 Schlumberger Ltd .................................... 6,635,345
------------
13,151,604
------------
FOOD & STAPLES RETAILING - 2.6%
377,800 CVS Corp ............................................ 9,981,476
------------
HEALTH CARE EQUIPMENT & SUPPLIES - 4.1%
87,300 Medtronic, Inc ...................................... 5,025,861
154,600 Zimmer Holdings, Inc.* .............................. 10,426,224
------------
15,452,085
------------

See Notes to Financial Statements. Page 5

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2005

MARKET
SHARES VALUE
--------- ------------

COMMON STOCKS+ - CONTINUED

HEALTH CARE PROVIDERS & SERVICES - 10.7%
77,400 Cardinal Health, Inc ................................ $ 5,321,250
214,650 Coventry Health Care, Inc.* ......................... 12,226,464
128,000 Quest Diagnostics, Inc .............................. 6,589,440
261,700 UnitedHealth Group, Inc ............................. 16,262,038
------------
40,399,192
------------
HOTELS, RESTAURANTS & LEISURE - 4.0%
121,200 Harrah's Entertainment, Inc ......................... 8,640,348
178,400 MGM MIRAGE* ......................................... 6,541,928
------------
15,182,276
------------
HOUSEHOLD DURABLES - 3.4%
64,100 Centex Corp ......................................... 4,582,509
134,300 Lennar Corp., Class A ............................... 8,194,986
------------
12,777,495
------------
HOUSEHOLD PRODUCTS - 1.0%
66,500 The Procter & Gamble Company ........................ 3,849,020
------------
INDUSTRIAL CONGLOMERATES - 1.5%
160,600 General Electric Company ............................ 5,629,030
------------
INTERNET SOFTWARE & SERVICES - 2.0%
18,600 Google Inc., Class A* ............................... 7,716,396
------------
MACHINERY - 4.1%
268,300 Caterpillar, Inc .................................... 15,499,691
------------
METALS & MINING - 2.1%
55,700 Phelps Dodge Corp ................................... 8,013,559
------------
MULTILINE RETAIL - 2.6%
90,200 Federated Department Stores, Inc .................... 5,982,966
100,800 Nordstrom, Inc ...................................... 3,769,920
------------
9,752,886
------------
OIL, GAS & CONSUMABLE FUELS - 4.6%
43,600 Apache Corp ......................................... 2,987,472
81,700 Chevron Corp ........................................ 4,638,109
191,400 Valero Energy Corp .................................. 9,876,240
------------
17,501,821
------------
ROAD & RAIL - 1.8%
96,100 Burlington Northern Santa Fe Corp ................... 6,805,802
------------
SEMICONDUCTORS
& SEMICONDUCTOR EQUIPMENT - 5.1%
60,400 Broadcom Corp., Class A* ............................ 2,847,860
369,100 Intel Corp .......................................... 9,212,736
228,200 Texas Instruments Inc ............................... 7,318,374
------------
19,378,970
------------

Page 6 See Notes to Financial Statements.

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2005

MARKET
SHARES VALUE
--------- ------------

COMMON STOCKS+ - CONTINUED

SOFTWARE - 2.7%
694,800 BEA Systems, Inc.* ................................. $ 6,531,120
223,100 Symantec Corp.* .................................... 3,904,250
-------------
10,435,370
-------------
SPECIALTY RETAIL - 3.8%
106,600 Best Buy Company, Inc .............................. 4,634,968
146,500 Lowe's Companies, Inc. ............................. 9,765,690
-------------
14,400,658
-------------
WIRELESS TELECOMMUNICATION SERVICES - 2.6%
158,000 ALLTEL Corp ........................................ 9,969,800
-------------
TOTAL COMMON STOCKS+ ............................... 382,876,814
(Cost $388,666,420) -------------

TOTAL INVESTMENTS - 101.0% ......................... 382,876,814
(Cost $388,666,420)**

CALL OPTIONS WRITTEN - (1.4)% ...................... (5,328,910)
(Premiums received $8,930,333)**

NET OTHER ASSETS & LIABILITIES - 0.4% .............. 1,697,390
-------------
NET ASSETS - 100.0% ................................ $ 379,245,294
=============

--------------------------------------------------------------------------------
* Non-income producing security.

** Aggregate cost for federal income tax purposes is $388,842,782 for
investments and $6,600,806 for premiums received on options written.

+ Call options were written on either entire or partial common stock
positions; all Common Stocks are pledged as collateral.

NUMBER OF MARKET
CONTRACTS VALUE
--------- ------------
CALL OPTIONS WRITTEN - (1.4)%

ALLTEL Corp. Calls
180 @ 65 due Jan 06 ................................... $ (9,000)
1,322 @ 70 due Apr 06 ................................... (85,930)
------------
(94,930)
------------
American Express Company Calls
153 @ 52.5 due Jan 06 ................................. (8,415)
202 @ 55 due Apr 06 ................................... (21,210)
------------
(29,625)
------------
Amgen, Inc. Calls
326 @ 85 due Jan 06 ................................... (3,260)
342 @ 80 due Apr 06 ................................... (136,800)
114 @ 85 due Apr 06 ................................... (22,800)
------------
(162,860)
------------

See Notes to Financial Statements. Page 7

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2005

NUMBER OF MARKET
CONTRACTS VALUE
----------- ------------

CALL OPTIONS WRITTEN - CONTINUED

Apache Corp. Call
306 @ 70 due Jan 06 ..................................... $ (36,720)
------------
Apple Computer, Inc. Calls
362 @ 72.5 due Jan 06 ................................... (108,600)
1,085 @ 75 due Jan 06 ..................................... (211,575)
------------
(320,175)
------------
Bank of America Corp. Calls
1,955 @ 47.5 due Feb 06 ................................... (107,525)
136 @ 50 due Feb 06 ..................................... (1,360)
------------
(108,885)
------------
BEA Systems, Inc. Calls
5,730 @ 10 due Jan 06 ..................................... (57,300)
805 @ 12.5 due Jun 06 ................................... (8,050)
------------
(65,350)
------------
Best Buy Company, Inc. Calls
847 @ 45 due Jan 06 ..................................... (55,055)
219 @ 47.5 due Jan 06 ................................... (4,380)
------------
(59,435)
------------
BJ Services Company Calls
237 @ 37.5 due Jan 06 ................................... (20,145)
474 @ 40 due Jan 06 ..................................... (4,740)
711 @ 40 due Apr 06 ..................................... (103,095)
------------
(127,980)
------------
Broadcom Corp. Calls
302 @ 50 due Jan 06 ..................................... (12,080)
257 @ 50 due Feb 06 ..................................... (42,405)
------------
(54,485)
------------
Burlington Northern Santa Fe Corp. Calls
633 @ 70 due Apr 06 ..................................... (284,850)
274 @ 75 due Jul 06 ..................................... (101,380)
------------
(386,230)
------------
Cardinal Health, Inc. Call
493 @ 70 due Mar 06 ..................................... (108,460)
------------
Caterpillar, Inc. Calls
619 @ 60 due Jan 06 ..................................... (21,665)
1,919 @ 60 due Feb 06 ..................................... (249,470)
------------
(271,135)
------------
Centex Corp. Calls
407 @ 75 due Jan 06 ..................................... (22,385)
65 @ 75 due Feb 06 ..................................... (13,845)
------------
(36,230)
------------
Chevron Corp. Calls
82 @ 60 due Feb 06 ..................................... (6,068)
489 @ 60 due Mar 06 ..................................... (51,345)
------------
(57,413)
------------

Page 8 See Notes to Financial Statements.

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2005

NUMBER OF MARKET
CONTRACTS VALUE
--------- ------------

CALL OPTIONS WRITTEN - CONTINUED

Cisco Systems, Inc. Call
2,497 @ 20 due Jan 06 ..................................... $ (12,485)
------------
Coventry Health Care, Inc. Calls
1,310 @ 60 due Jan 06 ..................................... (26,200)
505 @ 60 due Jan 06* .................................... (13,256)
------------
(39,456)
------------
CVS Corp. Calls
273 @ 30 due Jan 06 ..................................... (1,365)
2,550 @ 30 due Feb 06 ..................................... (38,250)
303 @ 30 due May 06 ..................................... (19,695)
------------
(59,310)
------------
Dell Inc. Calls
128 @ 32.5 due Jan 06 ................................... (1,280)
461 @ 35 due Jan 06 ..................................... (2,305)
205 @ 37.5 due May 06 ................................... (6,150)
------------
(9,735)
------------
Federated Department Stores, Inc. Call
902 @ 70 due Jan 06 ..................................... (36,080)
------------
FedEx Corp. Call
795 @ 105 due Jan 06 .................................... (93,810)
------------
Genentech, Inc. Calls
22 @ 100 due Jan 06 .................................... (1,980)
65 @ 100 due Feb 06 .................................... (11,700)
258 @ 100 due Mar 06 .................................... (68,370)
------------
(82,050)
------------
General Electric Company Call
1,205 @ 37.5 due Jan 06 ................................... (4,820)
------------
Google Inc. Call
186 @ 450 due Jan 06 .................................... (35,340)
------------
Harrah's Entertainment, Inc. Calls
356 @ 70 due Jan 06 ..................................... (89,000)
535 @ 75 due Feb 06 ..................................... (74,900)
178 @ 75 due May 06 ..................................... (58,740)
------------
(222,640)
------------
Intel Corp. Calls
2,920 @ 27.5 due Jan 06 ................................... (14,600)
255 @ 30 due Jan 06 ..................................... (1,275)
------------
(15,875)
------------
Legg Mason, Inc. Calls
224 @ 125 due Jan 06 .................................... (17,920)
186 @ 125 due Feb 06 .................................... (51,150)
56 @ 130 due Feb 06 .................................... (7,280)
------------
(76,350)
------------

See Notes to Financial Statements. Page 9

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2005

NUMBER OF MARKET
CONTRACTS VALUE
--------- ------------

CALL OPTIONS WRITTEN - CONTINUED

Lehman Brothers Holdings, Inc. Calls
143 @ 130 due Jan 06 .................................... $ (22,165)
284 @ 135 due Jan 06 .................................... (9,940)
450 @ 130 due Apr 06 .................................... (274,500)
------------
(306,605)
------------
Lennar Corp. Calls
767 @ 65 due Feb 06 ..................................... (108,914)
270 @ 70 due May 06 ..................................... (56,025)
------------
(164,939)
------------
Lowe's Companies, Inc. Call
1,218 @ 70 due Jan 06 ..................................... (36,540)
------------
Medtronic, Inc. Calls
358 @ 60 due Jan 06 ..................................... (3,580)
515 @ 60 due Feb 06 ..................................... (36,050)
------------
(39,630)
------------
MGM MIRAGE Calls
633 @ 37.5 due Jan 06 ................................... (44,310)
803 @ 40 due Jan 06 ..................................... (16,060)
------------
(60,370)
------------
Motorola, Inc. Calls
1,857 @ 25 due Jan 06 ..................................... (27,855)
2,052 @ 25 due Apr 06 ..................................... (164,160)
------------
(192,015)
------------
Nordstrom, Inc. Call
860 @ 37.5 due Jan 06 ................................... (94,600)
------------
Phelps Dodge Corp. Calls
132 @ 145 due Jan 06 .................................... (52,800)
137 @ 150 due Jan 06 .................................... (28,085)
114 @ 150 due Apr 06 .................................... (114,000)
114 @ 155 due Apr 06 .................................... (91,200)
------------
(286,085)
------------
QUALCOMM, Inc. Calls
559 @ 45 due Jan 06 ..................................... (25,155)
1,116 @ 47.5 due Jan 06 ................................... (11,160)
559 @ 50 due Apr 06 ..................................... (41,925)
------------
(78,240)
------------
Quest Diagnostics, Inc. Calls
265 @ 52.5 due Jan 06 ................................... (10,600)
751 @ 52.5 due Feb 06 ................................... (80,733)
------------
(91,333)
------------
Schlumberger Ltd. Calls
299 @ 100 due Jan 06 .................................... (52,325)
212 @ 105 due Feb 06 .................................... (33,920)
------------
(86,245)
------------

Page 10 See Notes to Financial Statements.

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
DECEMBER 31, 2005

NUMBER OF MARKET
CONTRACTS VALUE
--------- -----------

CALL OPTIONS WRITTEN - CONTINUED

Symantec Corp. Calls
878 @ 20 due Jan 06 ................................... $ (4,390)
1,116 @ 25 due Jan 06 ................................... (5,580)
-----------
(9,970)
-----------
Texas Instruments, Inc. Call
1,683 @ 35 due Jan 06 ................................... (8,415)
-----------
The Bear Stearns Companies, Inc. Calls
115 @ 120 due Feb 06 .................................. (18,975)
215 @ 120 due Apr 06 .................................. (75,250)
213 @ 125 due Apr 06 .................................. (43,132)
-----------
(137,357)
-----------
The Dow Chemical Company Call
567 @ 50 due Mar 06 ................................... (14,175)
-----------
The Goldman Sachs Group, Inc. Calls
325 @ 135 due Jan 06 .................................. (8,125)
340 @ 135 due Feb 06 .................................. (39,100)
-----------
(47,225)
-----------
The Procter & Gamble Company Call
532 @ 60 due Apr 06 ................................... (79,800)
-----------
United Technologies Corp. Call
1,573 @ 60 due May 06 ................................... (180,895)
-----------
UnitedHealth Group, Inc. Calls
620 @ 65 due Jan 06 ................................... (24,800)
929 @ 65 due Mar 06 ................................... (171,865)
-----------
(196,665)
-----------
Valero Energy Corp. Call
1,639 @ 55 due Mar 06 ................................... (385,165)
-----------
Verizon Communications, Inc. Call
1,466 @ 32.5 due Jan 06 ................................. (10,262)
-----------
Wachovia Corp. Calls
430 @ 55 due Jan 06 ................................... (8,600)
1,079 @ 55 due Apr 06 ................................... (129,480)
-----------
(138,080)
-----------
Zimmer Holdings, Inc. Calls
465 @ 70 due Jan 06 ................................... (32,550)
439 @ 75 due Jan 06 ................................... (6,585)
373 @ 75 due Mar 06 ................................... (37,300)
-----------
(76,435)
-----------
TOTAL CALL OPTIONS WRITTEN ............................ $(5,328,910)
(Premiums received $8,930,333) ===========

--------------------------------------------------------------------------------

* Each call option represents 150 shares of Coventry Health Care, Inc.

See Notes to Financial Statements. Page 11

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 2005

ASSETS:
Investments, at value
(Cost $388,666,420) ................................................................. $ 382,876,814
Cash .................................................................................. 1,251,567
Prepaid expenses ...................................................................... 18,035
Receivables:
Investment securities sold .......................................................... 1,025,030
Dividends ........................................................................... 265,463
Interest ............................................................................ 1,459
-------------
Total Assets ..................................................................... 385,438,368
-------------
LIABILITIES:
Options written, at value (Premiums received $8,930,333) .............................. 5,328,910
Payables:
Investment advisory fees ............................................................ 327,796
Investment securities purchased ..................................................... 322,309
Printing fees ....................................................................... 68,387
Audit and legal fees ................................................................ 61,124
Custodian fees ...................................................................... 49,491
Administrative fees ................................................................. 29,621
Accrued expenses ...................................................................... 5,436
-------------
Total Liabilities ................................................................ 6,193,074
-------------
NET ASSETS ............................................................................ $ 379,245,294
=============
NET ASSETS CONSIST OF:
Accumulated net realized gain on investments sold ..................................... $ 739,330
Net unrealized depreciation of investments and options written ........................ (2,188,183)
Par value ............................................................................. 199,732
Paid-in capital ....................................................................... 380,494,415
-------------
Total Net Assets ................................................................. $ 379,245,294
=============
NET ASSET VALUE, per Common Share (par value $0.01 per Common Share) .................. $ 18.99
=============
Number of Common Shares outstanding ................................................... 19,973,164
=============

Page 12 See Notes to Financial Statements.

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 2005

INVESTMENT INCOME:
Dividends ........................................................................................ $ 4,625,818
Interest .......................................................................................... 192,326
------------
Total investment income ...................................................................... 4,818,144
------------
EXPENSES:
Investment advisory fees .......................................................................... 3,801,620
Administration fees ............................................................................... 344,130
Custodian fees .................................................................................... 180,142
Printing fees ..................................................................................... 126,757
Audit and legal fees .............................................................................. 73,418
Trustees' fees and expenses ....................................................................... 41,560
Transfer agent fees ............................................................................... 29,568
Other ............................................................................................. 80,911
------------
Total expenses ............................................................................... 4,678,106
------------
NET INVESTMENT INCOME ............................................................................. 140,038
------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gain/(loss) on:
Securities transactions ......................................................................... 46,700,526
Written option transactions ..................................................................... (14,130,561)
------------
Net realized gain on investments during the period ................................................ 32,569,965
------------
Net change in unrealized appreciation/(depreciation) of:
Securities transactions ......................................................................... (26,402,343)
Written option transactions ..................................................................... 6,036,051
------------
Net change in unrealized appreciation/(depreciation) of investments during the period ............. (20,366,292)
------------
Net realized and unrealized gain on investments ................................................... 12,203,673
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............................................. $ 12,343,711
============

See Notes to Financial Statements. Page 13

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
STATEMENTS OF CHANGES IN NET ASSETS

YEAR PERIOD
ENDED ENDED
12/31/2005 12/31/2004*
------------- -------------

OPERATIONS:
Net investment income/(loss) ......................................... $ 140,038 $ (124,798)
Net realized gain on investments during the period ................... 32,569,965 10,542,254
Net change in unrealized appreciation/(depreciation) of
investments during the period ........................................ (20,366,292) 18,178,109
------------- -------------
Net increase in net assets resulting from operations ................. 12,343,711 28,595,565

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................ (140,038) --
Net realized gains ................................................... (31,665,665) (10,582,426)
------------- -------------
Total distributions to shareholders .................................. (31,805,703) (10,582,426)

CAPITAL TRANSACTIONS:
Net proceeds from sale of 19,780,236 Common Shares ................... -- 377,802,507
Proceeds from 192,928 shares reinvested .............................. 3,682,849 --
Offering costs ....................................................... -- (791,209)
------------- -------------
Total capital transactions ........................................... 3,682,849 377,011,298
------------- -------------
Net increase/(decrease) in net assets ................................ (15,779,143) 395,024,437

NET ASSETS:
Beginning of period .................................................. 395,024,437 --
------------- -------------
End of period ........................................................ $ 379,245,294 $ 395,024,437
============= =============

Undistributed net investment income at end of period ................. $ -- $ --
============= =============

----------
* The Fund commenced operations on August 17, 2004.

Page 14 See Notes to Financial Statements.

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
FINANCIAL HIGHLIGHTS
FOR A COMMON SHARE OUTSTANDING THROUGHOUT EACH PERIOD

YEAR PERIOD
ENDED ENDED
12/31/2005 12/31/2004*
----------- -----------

Net asset value, beginning of period ...................................... $ 19.97 $ 19.10
----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) .............................................. 0.01 (0.01)
Net realized and unrealized gain on investments ........................... 0.61 1.46
----------- -----------
Total from investment operations .......................................... 0.62 1.45
----------- -----------
DISTRIBUTIONS PAID TO SHAREHOLDERS FROM:
Net investment income ..................................................... (0.01) --
Net realized gains ........................................................ (1.59) (0.54)
----------- -----------
Total from distributions .................................................. (1.60) (0.54)
----------- -----------
Common Shares offering costs charged to paid-in capital ................... -- (0.04)
----------- -----------
Net asset value, end of period ............................................ $ 18.99 $ 19.97
=========== ===========
Market value, end of period ............................................... $ 17.12 $ 20.00
=========== ===========
TOTAL RETURN BASED ON NET ASSET VALUE (A)+ ................................ 3.48% 7.29%
=========== ===========
TOTAL RETURN BASED ON MARKET VALUE (B)+ ................................... (6.85)% 2.62%
=========== ===========
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) ...................................... $ 379,245 $ 395,024
Ratio of total expenses to average net assets ............................. 1.23% 1.26%**
Ratio of net investment income/(loss) to average net assets ............... 0.04% (0.09)%**
Portfolio turnover rate ................................................... 265.86% 73.42%

----------
* The Fund commenced operations on August 17, 2004.

** Annualized.

(a) Total return based on net asset value is the combination of reinvested
dividend distributions and reinvested capital gains distributions, at
prices obtained by the Dividend Reinvestment Plan, if any, and changes in
net asset value per share and does not reflect sales load.

(b) Total return based on market value is the combination of reinvested
dividend distributions and reinvested capital gains distributions, at
prices obtained by the Dividend Reinvestment Plan, if any, and changes in
Common Share price per share, all based on market price per share.

+ Total return is not annualized for periods less than one year.

Page 15 See Notes to Financial Statements.

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005

1. FUND DESCRIPTION

First Trust/Fiduciary Asset Management Covered Call Fund (the "Fund") is a
diversified closed-end management investment company organized as a
Massachusetts business trust on May 20, 2004 and is registered with the
Securities and Exchange Commission ("SEC") under the Investment Company Act of
1940, as amended (the "1940 Act"). The Fund trades under the ticker symbol FFA
on the New York Stock Exchange ("NYSE").

The Fund's investment objective is to provide a high level of current income and
gains and, to a lesser extent, capital appreciation. The Fund seeks to achieve
its investment objective by investing in a diversified portfolio of equity
securities and writing (selling) call options on at least 80% of the Fund's
Managed Assets ("Managed Assets" is gross assets of the Fund minus the sum of
the Fund's accrued and unpaid dividends on Common Shares and accrued
liabilities, including the value of call options written). There can be no
assurance that the Fund's investment objective will be achieved.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. The
preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.

A. PORTFOLIO VALUATION:

The Fund determines the net asset value ("NAV") of its shares daily, as of the
close of regular session trading on the NYSE, normally 4:00 p.m. Eastern time,
on each day the NYSE is open for trading. The NAV 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 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 according to
procedures adopted by 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 as 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 traded
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. Short-term investments that
mature in less than 60 days are valued at amortized cost.

The Fund values exchange-traded options and other derivative contracts at the
closing price on the exchange on which they are principally traded, or if not
traded, or no closing price is available, at the mean between the last bid and
ask price.

B. OPTION CONTRACTS:

COVERED OPTIONS. When the Fund purchases equity securities, it simultaneously
writes (sells) covered call or put options ("options") on substantially all of
such equity securities. The number of 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 options. By writing (selling)
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. 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 options may also be adversely affected if the market for the
options becomes less liquid or smaller.

Options the Fund writes (sells) will either be exercised, expire or be cancelled
pursuant to a closing transaction. If the price of the underlying equity
security exceeds the option's exercise price, it is likely that the option
holder will exercise the option. If an option written (sold) by the Fund is
exercised, the Fund would be obligated to deliver the underlying equity security
to the option holder upon

Page 16

--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005

payment of the exercise price. In this case, the option premium received by the
Fund will be added to the amount realized on the sale of the equity security for
purposes of determining gain or loss. If the price of the underlying equity
security is less than the option's exercise price, the option will likely expire
without being exercised. The option premium will be treated as short-term
capital gain on the expiration date of the option. The Fund may also elect to
close out its position in an option prior to its expiration by purchasing an
option of the same series as the option written (sold) by the Fund.

The Fund writes (sells) options on at least 80% of the Fund's Managed Assets.
These options give the option holder the right, but not the obligation, to
purchase a security from the Fund at the strike price on or prior to the
option's expiration date. The ability to successfully implement the Fund's
investment strategy depends on Fiduciary Asset Management, LLC's ("FAMCO" or the
"Sub-Advisor") ability to predict pertinent market movements, which cannot be
assured. Thus, the use of options may require the Fund to sell portfolio
securities at inopportune times or for prices other than current market value,
may limit the amount of appreciation the Fund can realize on an investment, or
may cause the Fund to hold a security that it might otherwise sell. As the
writer (seller) of a covered option, the Fund forgoes, during the option's life,
the opportunity to profit from increases in the market value of the security
covering the option above the sum of the premium and the strike price of the
option, but has retained the risk of loss should the price of the underlying
security decline. The writer (seller) of an option has no control over the time
when it may be required to fulfill its obligation as a writer (seller) of the
option. Once an option writer (seller) has received an exercise notice, it
cannot effect a closing purchase transaction in order to terminate its
obligation under the option and must deliver the underlying security at the
exercise price.

C. SECURITIES TRANSACTIONS AND INVESTMENT INCOME:

Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Dividend income is recorded on the ex-dividend date. Interest income is recorded
on the accrual basis, including amortization of premiums and accretion of
discounts.

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 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.

D. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:

Dividends from net investment income of the Fund are declared and paid quarterly
or as the Board of Trustees may determine from time to time. Distributions of
any net capital gains earned by the Fund are distributed at least annually.
Distributions will automatically be reinvested into additional Common Shares
pursuant to the Fund's Dividend Reinvestment Plan unless cash distributions are
elected by the shareholder.

Distributions from income and capital gains are determined in accordance with
income tax regulations, which may differ from accounting principles generally
accepted in the United States of America. These differences are primarily due to
differing treatments of income and gains on various investment securities held
by the Fund, timing differences and differing characterization of distributions
made by the Fund. During the year ended December 31, 2005, there were no
permanent differences in book and tax accounting.

Page 17

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005

The tax character of distributions paid during the fiscal year ended December
31, 2005 and the period ended December 31, 2004 is as follows:

Distributions paid from:
2005 2004
---- ----
Ordinary Income .......................... $ 31,805,703 $10,582,426

As of December 31, 2005, the components of distributable earnings on a tax basis
were as follows:

Undistributed Ordinary Income ............ $ 3,245,219
Net Unrealized Depreciation .............. (4,694,072)

E. INCOME TAXES:

The Fund intends to continue to qualify as a regulated investment company by
complying with the requirements under Subchapter M of the Internal Revenue Code
of 1986, as amended, and by distributing substantially all of its net investment
income and net realized gains to shareholders. Accordingly, no provision has
been made for federal or state income taxes.

F. EXPENSES:

The Fund pays all expenses directly related to its operations.

G. ORGANIZATION AND OFFERING COSTS:

Organization costs consist of costs incurred to establish the Fund and enable it
to legally do business. These costs include filing fees, listing fees, legal
services pertaining to the organization of the business and audit fees relating
to the initial registration and auditing the initial statement of assets and
liabilities, among other fees. Offering costs consist of legal fees pertaining
to the Fund's shares offered for sale, registration fees, underwriting fees, and
printing of the initial prospectus, among other fees. First Trust Advisors L.P.
("First Trust") has paid all organization expenses. The Fund's share of Common
Share offering costs, $791,209, were recorded as a reduction of the proceeds
from the sale of Common Shares during the period ended December 31, 2004.

3. INVESTMENT ADVISORY FEE AND OTHER AFFILIATED TRANSACTIONS

First Trust is a limited partnership with one limited partner, Grace Partners of
DuPage L.P., and one general partner, The Charger Corporation. First Trust
serves as investment advisor to the Fund pursuant to an Investment Management
Agreement. First Trust is responsible for implementing the Fund's overall
investment strategy, including the allocation and periodic reallocation of the
portion of the Fund's assets to be invested in common stocks, managing the
Fund's business affairs and certain administrative services necessary for the
management of the Fund. For these services, First Trust is entitled to a monthly
fee calculated at an annual rate of 1.00% of the Fund's Managed Assets.

FAMCO serves as the Fund's Sub-Advisor and manages the Fund's portfolio subject
to First Trust's supervision. The Sub-Advisor receives an annual portfolio
management fee of 0.50% of Managed Assets that is paid monthly by First Trust
from its investment advisory fee.

PFPC Inc. ("PFPC"), an indirect, majority-owned subsidiary of The PNC Financial
Services Group, Inc., serves as the Fund's Administrator and Transfer Agent in
accordance with certain fee arrangements. PFPC Trust Company, an indirect,
majority-owned subsidiary of The PNC Financial Services Group, Inc., serves as
the Fund's Custodian in accordance with certain fee arrangements.

The Fund paid each Trustee who is not an officer or employee of First Trust or
any of its affiliates an annual retainer of $10,000, which included compensation
for all regular quarterly board meetings and regular committee meetings. No
additional meeting fees were paid in connection with regular quarterly board
meetings or regular committee meetings. Additional fees of $1,000 and $500 were
paid to non-interested Trustees for special board meetings and non-regular
committee meetings, respectively. These additional fees were shared by the funds
in the First Trust fund complex that participated in the particular meeting and
are not per fund fees. Trustees are also reimbursed for travel and out-of-pocket
expenses in connection with all meetings. Effective January 1, 2006, the
non-interested Trustees will no longer be paid additional fees of $1,000 and
$500 for special board meetings and non-regular committee meetings,
respectively.

Page 18

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005

4. PURCHASES AND SALES OF SECURITIES AND OPTIONS

Cost of purchases and proceeds from sales of investment securities, excluding
short-term investments, for the year ended December 31, 2005, aggregated amounts
were $1,026,862,602 and $1,078,254,833, respectively.

As of December 31, 2005, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was $12,131,927
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $16,825,999.

Written option activity for the Fund was as follows:

NUMBER
OF
CONTRACTS PREMIUMS
--------- --------
WRITTEN OPTIONS
Options outstanding at December 31, 2004 ...... 84,203 $ 24,108,747
Stock splits .................................. 10,426 --
Options written ............................... 657,993 114,260,107
Options expired ............................... (92,746) (7,217,960)
Options exercised ............................. (958) (129,935)
Options closed ................................ (592,032) (122,090,626)
-------- -------------
Options outstanding at December 31, 2005 ...... 66,886 $ 8,930,333
======== =============

5. COMMON SHARES

As of December 31, 2005, 19,973,164 of $0.01 par value Common Shares were
issued. An unlimited number of Common Shares has been authorized under the
Fund's Dividend Reinvestment Plan.

COMMON SHARE TRANSACTIONS WERE AS FOLLOWS:

YEAR ENDED PERIOD ENDED
DECEMBER 31, 2005 DECEMBER 31, 2004
----------------- -----------------
SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------

Proceeds from shares sold ................... $ -- 19,780,236 $ 377,802,507
Issued as reinvestment of dividends under the
Dividend Reinvestment Plan ................ 192,928 3,682,849 -- --
Offering Costs of Common Shares ............. -- -- -- (791,209)
---------- ----------- ------------ -------------
192,928 $ 3,682,849 19,780,236 $ 377,011,298
========== =========== ============ =============

Page 19

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
--------------------------------------------------------------------------------

TO THE BOARD OF TRUSTEES AND SHAREHOLDERS OF FIRST TRUST/FIDUCIARY ASSET
MANAGEMENT COVERED CALL FUND

We have audited the accompanying statement of assets and liabilities of First
Trust/Fiduciary Asset Management Covered Call Fund (the "Fund"), including the
portfolio of investments, as of December 31, 2005, the related statement of
operations for the year then ended and the statements of changes in net assets
and the financial highlights for the year then ended and for the period August
17, 2004 (inception) through December 31, 2004. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Fund
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of December 31, 2005, by correspondence with the Fund's
custodian and brokers. We believe that our audits provide a reasonable basis for
our opinion.

In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Fund as of December 31, 2005, the results of its operations and the changes in
its net assets, and the financial highlights for the respective stated periods,
in conformity with accounting principles generally accepted in the United States
of America.

/s/ Deloitte & Touche LLP

Chicago, Illinois
February 14, 2006

Page 20

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION
--------------------------------------------------------------------------------

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005 (UNAUDITED)

DIVIDEND REINVESTMENT PLAN

If your Common Shares are registered directly with the Fund or if you hold your
Common Shares with a brokerage firm that participates in the Fund's Dividend
Reinvestment Plan (the "Plan"), unless you elect, by written notice to the Fund,
to receive cash distributions, all dividends including any capital gain
distributions, on your Common Shares will be automatically reinvested by PFPC
Inc. (the "Plan Agent") in additional Common Shares under the Plan. If you elect
to receive cash distributions, you will receive all distributions in cash paid
by check mailed directly to you by PFPC Inc. as dividend paying agent.

If you decide to participate in the Plan, the number of Common Shares you will
receive will be determined as follows:

(1) If the Common Shares are trading at or above net asset value ("NAV")
at the time of valuation, the Fund will issue new shares at a price
equal to the greater of (i) NAV per Common Share on that date or
(ii) 95% of the market price on that date.

(2) If the Common Shares are trading below NAV at the time of valuation,
the Plan Agent will receive the dividend or distribution in cash and
will purchase Common Shares in the open market, on the New York
Stock Exchange or elsewhere, for the participants' accounts. It is
possible that the market price for the Common Shares may increase
before the Plan Agent has completed its purchases. Therefore, the
average purchase price per share paid by the Plan Agent may exceed
the market price at the time of valuation, resulting in the purchase
of fewer shares than if the dividend or distribution had been paid
in Common Shares issued by the Fund. The Plan Agent will use all
dividends and distributions received in cash to purchase Common
Shares in the open market within 30 days of the valuation date
except where temporary curtailment or suspension of purchases is
necessary to comply with federal securities laws. Interest will not
be paid on any uninvested cash payments.

You may elect to opt-out of or withdraw from the Plan at any time by giving
written notice to the Plan Agent, or by telephone at (800) 331-1710, in
accordance with such reasonable requirements as the Plan Agent and Fund may
agree upon. If you withdraw or the Plan is terminated, you will receive a
certificate for each whole share in your account under the Plan, and you will
receive a cash payment for any fraction of a share in your account. If you wish,
the Plan Agent will sell your shares and send you the proceeds, minus brokerage
commissions.

The Plan Agent maintains all Common shareholders' accounts in the Plan and gives
written confirmation of all transactions in the accounts, including information
you may need for tax records. Common Shares in your account will be held by the
Plan Agent in non-certificated form. The Plan Agent will forward to each
participant any proxy solicitation material and will vote any shares so held
only in accordance with proxies returned to the Fund. Any proxy you receive will
include all Common Shares you have received under the Plan.

There is no brokerage charge for reinvestment of your dividends or distributions
in Common Shares. However, all participants will pay a pro rata share of
brokerage commissions incurred by the Plan Agent when it makes open market
purchases.

Automatically reinvesting dividends and distributions does not mean that you do
not have to pay income taxes due upon receiving dividends and distributions.
Capital gains and income are realized, although cash is not received by you.
Consult your financial advisor for more information.

If you hold your Common Shares with a brokerage firm that does not participate
in the Plan, you will not be able to participate in the Plan and any dividend
reinvestment may be effected on different terms than those described above.

The Fund reserves the right to amend or terminate the Plan if in the judgment of
the Board of Trustees the change is warranted. There is no direct service charge
to participants in the Plan; however, the Fund reserves the right to amend the
Plan to include a service charge payable by the participants. Additional
information about the Plan may be obtained by writing PFPC Inc., 301 Bellevue
Parkway, Wilmington, Delaware 19809.

--------------------------------------------------------------------------------
PROXY VOTING POLICIES AND PROCEDURES

A description of the policies and procedures that the Fund uses to determine how
to vote proxies and information how the Fund voted proxies relating to portfolio
securities during the most recent 12-month period ended June 30 is available (1)
without charge, upon request, by calling (800) 988-5891; (2) on the Fund's
website located at http://www.ftportfolios.com; and (3) on the Securities and
Exchange Commission's website at http://www.sec.gov.

Page 21

--------------------------------------------------------------------------------
ADDITIONAL INFORMATION - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005 (UNAUDITED)

PORTFOLIO HOLDINGS

The Fund files its complete schedule of portfolio holdings with the Securities
and Exchange Commission ("SEC") for the first and third quarters of each fiscal
year on Form N-Q. The Fund's Forms N-Q are available (1) by calling (800)
988-5891; (2) on the Fund's website located at http://www.ftportfolios.com; (3)
on the SEC's website at http://www.sec.gov; and (4) for review and copying at
the SEC's Public Reference Room ("PRR") in Washington, DC. Information regarding
the operation of the PRR may be obtained by calling 1-800-SEC-0330.

NYSE CERTIFICATION INFORMATION

In accordance with Section 303A-12 of the New York Stock Exchange ("NYSE")
Listed Company Manual, the Fund's President has certified to the NYSE that, as
of May 17, 2005, he was not aware of any violation by the Fund of NYSE corporate
governance listing standards. In addition, the Fund's reports to the SEC on
Forms N-CSR and N-Q contain certifications by the Fund's principal executive
officer and principal financial officer that relate to the Fund's public
disclosure in such reports and that are required by Rule 30a-2 under the 1940
Act.

TAX INFORMATION

Of the ordinary income (including short-term capital gain) distributions made by
the Fund during the year ended December 31, 2005, 13.89% qualify for the
corporate dividend received deduction available to corporate shareholders.

The Fund hereby designates as qualified dividend income distributions 0.54% of
the ordinary income distributions (including short-term capital gain), for the
year ended December 31, 2005.

SUBMISSION OF MATTERS TO A VOTE OF SHAREHOLDERS

The Joint Annual Meeting of Shareholders of Energy Income and Growth Fund, First
Trust Value Line(R) 100 Fund, First Trust/Fiduciary Asset Management Covered
Call Fund and First Trust/Aberdeen Global Opportunity Income Fund was held on
April 18, 2005. At the Annual Meeting, the Fund's Board of Trustees, consisting
of James A. Bowen, Niel B. Nielson, Thomas R. Kadlec, Richard E. Erickson and
David M. Oster, were elected to serve an additional one-year term. The number of
votes cast for James A. Bowen was 16,962,539, the number of votes withheld was
122,155 and the number of abstentions was 2,695,542. The number of votes cast
for Niel B. Nielson was 16,946,858, the number of votes withheld was 137,836 and
the number of abstentions was 2,695,542. The number of votes cast for Richard E.
Erickson was 16,950,858, the number of votes withheld was 133,836 and the number
of abstentions was 2,695,542. The number of votes cast for Thomas R. Kadlec was
16,963,063, the number of votes withheld was 121,631 and the number of
abstentions was 2,695,542. The number of votes cast for David M. Oster was
16,965,609, the number of votes withheld was 119,085 and the number of
abstentions was 2,695,542.

BY-LAW AMENDMENT

On December 12, 2005, the Board of Trustees of the Fund approved certain changes
to the By-Laws of the Fund that may have the effect of delaying or preventing a
change of control of the Fund. To receive a copy of the revised By-Laws,
investors may call the Fund at (800) 988-5891.

Page 22

--------------------------------------------------------------------------------
TRUSTEES AND OFFICERS
--------------------------------------------------------------------------------

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005 (UNAUDITED)

BOARD OF TRUSTEES AND OFFICERS

Information pertaining to the Trustees and officers* of the Fund is set forth
below. The statement of additional information includes additional information
about the Trustees and is available without charge, upon request, by calling
(800) 988-5891.

NUMBER OF OTHER
PORTFOLIOS TRUSTEESHIPS/
NAME, D.O.B., ADDRESS AND TERM OF OFFICE AND PRINCIPAL OCCUPATION(S) IN FUND COMPLEX DIRECTORSHIPS
POSITION(S) WITH THE FUND LENGTH OF TIME SERVED DURING PAST 5 YEARS OVERSEEN BY TRUSTEE HELD BY TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------

DISINTERESTED TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------
Richard E. Erickson, Trustee o One year term Physician; President, 24 portfolios None
D.O.B. 04/51 o 19 months served Wheaton Orthopedics; Co-
c/o First Trust Advisors L.P. owner and Co-Director,
1001 Warrenville Road Sports Med Center for
Suite 300 Fitness; Limited Partner,
Lisle, IL 60532 Gundersen Real Estate
Partnership

Thomas R. Kadlec, Trustee o One year term Vice President and Chief 24 portfolios None
D.O.B. 11/57 o 19 months served Financial Officer (1990 to
c/o First Trust Advisors L.P. present), ADM Investor
1001 Warrenville Road Services, Inc. (Futures
Suite 300 Commission Merchant);
Lisle, IL 60532 Registered Representative
(2000 to present),
Segerdahl & Company,
Inc., an NASD member
(Broker-Dealer); President,
ADM Derivatives, Inc.
(May 2005 to present)

Niel B. Nielson, Trustee o One year term President, Covenant 24 portfolios Director of Good News
D.O.B. 03/54 o 19 months served College (June 2002 to Publishers-Crossway
c/o First Trust Advisors L.P. present); Pastor, College Books; Covenant
1001 Warrenville Road Church in Wheaton (1997 Transport, Inc.
Suite 300 to June 2002)
Lisle, IL 60532

David M. Oster, Trustee o One year term Trader (self-employed) 12 portfolios None
D.O.B. 03/64 o 19 months served (1987 to present) (Options
c/o First Trust Advisors L.P. Trading and Market
1001 Warrenville Road Making)
Suite 300
Lisle, IL 60532

Page 23

--------------------------------------------------------------------------------
TRUSTEES AND OFFICERS - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005 (UNAUDITED)

BOARD OF TRUSTEES AND OFFICERS (CONTINUED)

INTERESTED TRUSTEE
------------------------------------------------------------------------------------------------------------------------------------
James A. Bowen, Trustee o One year Trustee President, First Trust 24 portfolios None
President, Chairman of the term and indefinite Advisors L.P. and First
Board and CEO officer term Trust Portfolios L.P.;
D.O.B. 09/55 o 19 months served Chairman of the Board,
1001 Warrenville Road BondWave LLC and
Suite 300 Stonebridge Advisors LLC
Lisle, IL 60532

------------------------------------------------------------------------------------------------------------------------------------
OFFICERS WHO ARE NOT TRUSTEES
------------------------------------------------------------------------------------------------------------------------------------

Mark R. Bradley, Treasurer, o Indefinite term Chief Financial Officer, N/A N/A
Controller, Chief Financial o 19 months served Managing Director, First
Officer, Chief Accounting Trust Advisors L.P. and
Officer First Trust Portfolios L.P.;
D.O.B. 11/57 Chief Financial Officer,
1001 Warrenville Road BondWave LLC and
Suite 300 Stonebridge Advisors LLC
Lisle, IL 60532

Susan M. Brix o Indefinite term Representative, First Trust N/A N/A
Assistant Vice President o 19 months served Portfolios L.P.; Assistant
D.O.B. 01/60 Portfolio Manager, First
1001 Warrenville Road Trust Advisors L.P
Suite 300
Lisle, IL 60532

Robert F. Carey, Vice o Indefinite term Senior Vice President, First N/A N/A
President o 19 months served Trust Advisors L.P. and
D.O.B. 07/63 First Trust Portfolios L.P.
1001 Warrenville Road
Suite 300
Lisle, IL 60532

Page 24

--------------------------------------------------------------------------------
TRUSTEES AND OFFICERS - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005 (UNAUDITED)

BOARD OF TRUSTEES AND OFFICERS (CONTINUED)

OFFICERS WHO ARE NOT TRUSTEES - (CONTINUED)
------------------------------------------------------------------------------------------------------------------------------------
James M. Dykas o Indefinite term Vice President, First Trust N/A N/A
Assistant Treasurer o 1 month served Advisors L.P. and First
D.O.B. 01/66 Trust Portfolios L.P.
1001 Warrenville Road (January 2005 to present);
Suite 300 Executive Director, Van
Lisle, IL 60532 Kampen Asset
Management and Morgan
Stanley Investment
Management (1999-2005)

W. Scott Jardine, Secretary o Indefinite term General Counsel, First N/A N/A
and Chief Compliance Officer o 19 months served Trust Advisors L.P. and
D.O.B. 05/60 First Trust Portfolios L.P.;
1001 Warrenville Road Secretary, BondWave LLC
Suite 300 and Stonebridge Advisors
Lisle, IL 60532 LLC

Daniel J. Lindquist o Indefinite term Senior Vice President, N/A N/A
Vice President o 1 month served First Trust Advisors L.P.;
D.O.B. 02/70 Vice President, First Trust
1001 Warrenville Road Portfolios L.P. (April 2004
Suite 300 to present); Chief Operating
Lisle, IL 60532 Officer, Mina Capital
Management, LLC (January
2004-April 2004); Chief
Operating Officer,
Samaritan Asset
Management Services, Inc.
(April 2000-January 2004)

Kristi A. Maher o Indefinite term Assistant General Counsel, N/A N/A
Assistant Secretary o 19 months served First Trust Advisors L.P.
D.O.B. 12/66 and First Trust Portfolios
1001 Warrenville Road L.P. (March 2004 to
Suite 300 present); Associate,
Lisle, IL 60532 Chapman and Cutler LLP
(1995-2004)

Page 25

--------------------------------------------------------------------------------
TRUSTEES AND OFFICERS - (CONTINUED)
--------------------------------------------------------------------------------

FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
DECEMBER 31, 2005 (UNAUDITED)

BOARD OF TRUSTEES AND OFFICERS (CONTINUED)

OFFICERS WHO ARE NOT TRUSTEES - (CONTINUED)
------------------------------------------------------------------------------------------------------------------------------------
Roger F. Testin o Indefinite term Senior Vice President, First N/A N/A
Vice President o 19 months served Trust Advisors L.P. and
D.O.B. 06/66 First Trust Portfolios L.P.
1001 Warrenville Road (August 2001 to present);
Suite 300 Analyst, Dolan Capital
Lisle, IL 60532 Management (1998-2001)

----------

* The term "officer" means the president, vice president, secretary,
treasurer, controller or any other officer who performs a policy making
function.

Page 26

This Page Left Blank Intentionally.

ITEM 2. CODE OF ETHICS.

(a) The registrant, as of the end of the period covered by this report,
has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar
functions, regardless of whether these individuals are employed by
the registrant or a third party.

(c) There have been no amendments, during the period covered by this
report, to a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial
officer, principal accounting officer or controller, or persons
performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party, and
that relates to any element of the code of ethics description.

(d) The registrant has not granted any waivers, including an implicit
waiver, from a provision of the code of ethics that applies to the
registrant's principal executive officer, principal financial
officer, principal accounting officer or controller, or persons
performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party, that
relates to one or more of the items set forth in paragraph (b) of
this item's instructions.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

As of the end of the period covered by the report, the registrant's board of
trustees has determined that Thomas R. Kadlec is qualified to serve as an audit
committee financial expert serving on its audit committee and that he is
"independent," as defined by Item 3 of Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) AUDIT FEES (REGISTRANT) -- The aggregate fees billed for each of the
last two fiscal years for professional services rendered by the principal
accountant for the audit of the Registrant's annual financial statements or
services that are normally provided by the accountant in connection with
statutory and regulatory filings or engagements for such fiscal years were
$15,000 from the Registrant's inception on August 17, 2004 through December 31,
2004, and $26,250, from January 1, 2005, through December 31, 2005.

(b) AUDIT-RELATED FEES (REGISTRANT) -- The aggregate fees billed for each
of the last two fiscal years for assurance and related services by the principal
accountant that are reasonably related to the performance of the audit of the
Registrant's financial statements and are not reported under paragraph (a) of
this Item were $0 from the Registrant's inception on August 17, 2004, through
December 31, 2004, and $0 from January 1, 2005 through December 31, 2005.

AUDIT-RELATED FEES (INVESTMENT ADVISER) -- The aggregate fees billed for
each of the last two fiscal years for assurance and related services by the
principal accountant that are reasonably related

to the performance of the audit of the Registrant's financial statements and are
not reported under paragraph (a) of this Item were $0.

(c) TAX FEES (REGISTRANT) -- The aggregate fees billed in each of the last
two fiscal years for professional services rendered by the principal accountant
for tax compliance, tax advice, and tax planning to the Registrant were $0 from
the Registrant's inception on August 17, 2004 through December 31, 2004, and
$4,500, from January 1, 2005 through December 31, 2005.

TAX FEES (INVESTMENT ADVISER) -- The aggregate fees billed in each
of the last two fiscal years for professional services rendered by the principal
accountant for tax compliance, tax advice, and tax planning to the Registrant's
adviser were $0.

(d) ALL OTHER FEES (REGISTRANT) -- The aggregate fees billed in each of
the last two fiscal years for products and services provided by the principal
accountant to the Registrant, other than the services reported in paragraphs (a)
through (c) of this Item were $0 from the Registrant's inception on August 17,
2004 through December 31, 2004, and $6,592, from January 1, 2005 through
December 31, 2005. These fees were for services related to compliance program
evaluation.

ALL OTHER FEES (INVESTMENT ADVISER) -- The aggregate fees billed in
each of the last two fiscal years for products and services provided by the
principal accountant to the Registrant's investment adviser, other than services
reported in paragraphs (a) through (c) of this Item were $0 from the
Registrant's inception on August 17, 2004 through December 31, 2004, and
$68,619, from January 1, 2005 through December 31, 2005. These fees were for
services related to compliance program evaluation.

(e)(1) Disclose the audit committee's pre-approval policies and procedures
described in paragraph (c) (7) of Rule 2-01 of Regulation S-X.

Pursuant to its charter and its Audit and Non-Audit Services Pre-Approval
Policy adopted December 12, 2005, the Audit Committee (the "COMMITTEE") is
responsible for the pre-approval of all audit services and permitted non-audit
services (including the fees and terms thereof) to be performed for the
Registrant by its independent auditors. The Chairman of the Committee is
authorized to give such pre-approvals on behalf of the Committee up to $25,000
and report any such pre-approval to the full Committee.

The Committee is also responsible for the pre-approval of the independent
auditor's engagements for non-audit services with the Registrant's adviser (not
including a sub-adviser whose role is primarily portfolio management and is
sub-contracted or overseen by another investment adviser) and any entity
controlling, controlled by or under common control with the investment adviser
that provides ongoing services to the Registrant, if the engagement relates
directly to the operations and financial reporting of the Registrant, subject to
the DE MINIMIS exceptions for non-audit services described in Rule 2-01 of
Regulation S-X. If the independent auditor has provided non-audit services to
the Registrant's adviser (other than any sub-adviser whose role is primarily
portfolio management and is sub-contracted with or overseen by another
investment adviser) and any entity controlling, controlled by or under common
control with the investment adviser that provides ongoing services to the
Registrant that were not pre-approved pursuant to the DE MINIMIS exception, the
Committee will consider whether the provision of such non-audit services is
compatible with the auditor's independence.

(e)(2) The percentage of services described in each of paragraphs (b)
through (d) for the Registrant and the Registrant's investment adviser of this
Item that were approved by the audit committee pursuant to the pre-approval
exceptions included in paragraph (c)(7)(i)(C) or paragraph(C)(7)(ii) of Rule
2-01 of Regulation S-X are as follows:

(b) 0%.

(d) 0%.

(f) The percentage of hours expended on the principal accountant's
engagement to audit the Registrant's financial statements for the most recent
fiscal year that were attributed to work performed by persons other than the
principal accountant's full-time, permanent employees was less than fifty
percent.

(g) The aggregate non-audit fees billed by the Registrant's accountant for
services rendered to the Registrant, and rendered to the Registrant's investment
adviser (not including any sub-adviser whose role is primarily portfolio
management and is subcontracted with or overseen by another investment adviser),
and any entity controlling, controlled by, or under common control with the
adviser that provides ongoing services to the Registrant from the inception of
the Registrant on August 17, 2004 through December 31, 2004, were $0 for the
Registrant and $0 for the Registrant's investment adviser, and from January 1,
2005 through December 31, 2005 were $13,175 for the Registrant and $68,619 for
the Registrant's investment adviser.

(h) Not applicable. The audit committee pre-approved all non-audit
services rendered to the Registrant's investment adviser and any entity
controlling, controlled by or under common control with the adviser that
provides ongoing services to the Registrant.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

(a) The registrant has a separately designated audit committee
consisting of all the independent trustees of the registrant. The
members of the audit committee are: Thomas R. Kadlec, Niel B.
Nielson and Richard E. Erickson. Effective March 6, 2006, David M.
Oster resigned from his position as independent trustee and member
of the audit committee of the registrant.

ITEM 6. SCHEDULE OF INVESTMENTS.

Schedule of Investments in securities of unaffiliated issuers as of the close of
the reporting period is included as part of the report to shareholders filed
under Item 1 of this form.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.

The Proxy Voting Policies are attached herewith.

FIDUCIARY ASSET MANAGEMENT, LLC
PROXY VOTING POLICY

A. STATEMENT OF POLICY

1. It is the policy of Fiduciary Asset Management, LLC ("FAM") to vote all
proxies over which it has voting authority in the best interest of FAM's
clients.

B. Definitions

2. By "best interest of FAM's clients," FAM means clients' best economic
interest over the long term -- that is, the common interest that all clients
share in seeing the value of a common investment increase over time. Clients may
have differing political or social interests, but their best economic interest
is generally uniform.

3. By "material conflict of interest," FAM means circumstances when FAM itself
knowingly does business with a particular proxy issuer or closely affiliated
entity, and may appear to have a significant conflict of interest between its
own interests and the interests of clients in how proxies of that issuer are
voted.

C. FAM Invests With Managements That Seek Shareholders' Best Interests

4. Under its investment philosophy, FAM generally invests client funds in a
company only if FAM believes that the company's management seeks to serve
shareholders' best interests. Because FAM has confidence in the managements of
the companies in which it invests, it believes that management decisions and
recommendations on issues such as proxy voting generally are likely to be in
shareholders' best interests.

5. FAM may periodically reassess its view of company managements. If FAM
concludes that a company's management no longer serves shareholders' best
interests, FAM generally sells its clients' shares of the company. FAM believes
that clients do not usually benefit from holding shares of a poorly managed
company or engaging in proxy contests with management. There are times when FAM
believes management's position on a particular proxy issue is not in the best
interests of our clients but it does not warrant a sale of the client's shares.
In these circumstances, FAM will vote contrary to management's recommendations.

D. FAM's Proxy Voting Procedures

6. When companies in which FAM has invested client funds issue proxies, FAM
routinely votes the proxies as recommended by management, because it believes
that recommendations by these companies' managements generally are

in shareholders' best interests, and therefore in the best economic interest of
FAM's clients.

7. If FAM has decided to sell the shares of a company, whether because of
concerns about the company's management or for other reasons, FAM generally
abstains from voting proxies issued by the company after FAM has made the
decision to sell. FAM generally will not notify clients when this type of
routine abstention occurs.

8. FAM also may abstain from voting proxies in other circumstances. FAM may
determine, for example, that abstaining from voting is appropriate if voting may
be unduly burdensome or expensive, or otherwise not in the best economic
interest of clients, such as when foreign proxy issuers impose unreasonable
voting or holding requirements. FAM generally will not notify clients when this
type of routine abstention occurs.

9. The procedures in this policy apply to all proxy voting matters over which
FAM has voting authority, including changes in corporate governance structures,
the adoption or amendment of compensation plans (including stock options), and
matters involving social issues or corporate responsibility.

E. Alternative Procedures for Potential Material Conflicts of Interest

10. In certain circumstances, such as when the proponent of a proxy proposal is
also a client of FAM, an appearance might arise of a potential conflict between
FAM's interests and the interests of affected clients in how the proxies of that
issuer are voted.

11. Because FAM does not exercise discretion in voting proxies, but routinely
votes proxies as recommended by management, no potential conflict of interest
could actually affect FAM's voting of the proxies.

12.a. Nevertheless, when FAM itself knowingly does business with a particular
proxy issuer and a material conflict of interest between FAM's interests and
clients' interests may appear to exist, FAM generally would, to avoid any
appearance concerns, follow an alternative procedure rather than vote proxies as
recommended by management. Such an alternative procedure generally would involve
causing the proxies to be voted in accordance with the recommendations of an
independent service provider that FAM may use to assist in voting proxies. FAM
generally will not notify clients if it uses this procedure to resolve an
apparent material conflict of interest. FAM will document the identification of
any material conflict of interest and its procedure for resolving the particular
conflict.

12.b. In unusual cases, FAM may use other alternative procedures to address
circumstances when a material conflict of interest may appear to exist, such as,
without limitation:

(i) Notifying affected clients of the conflict of interest (if practical),
and seeking a waiver of the conflict to permit FAM to vote the proxies
under its usual policy;

(ii) Abstaining from voting the proxies; or

(iii) Forwarding the proxies to clients so that clients may vote the
proxies themselves.

FAM generally will notify affected clients if it uses one of these alternative
procedures to resolve a material conflict of interest.

F. Other Exceptions

13. On an exceptions basis, FAM may for other reasons choose to depart from its
usual procedure of routinely voting proxies as recommended by management.

G. Voting by Client Instead of FAM

14. A FAM client may vote its own proxies instead of directing FAM to do so. FAM
recommends this approach if a client believes that proxies should be voted based
on political or social interests.

15. FAM generally will not accept proxy voting authority from a client (and will
encourage the client to vote its own proxies) if the client seeks to impose
client-specific voting guidelines that may be inconsistent with FAM's guidelines
or with the client's best economic interest in FAM's view.

16. FAM generally will abstain from voting on (or otherwise participating in)
the commencement of legal proceedings such as shareholder class actions or
bankruptcy proceedings.

H. Persons Responsible for Implementing FAM's Policy

17. FAM's client services staff has primary responsibility for implementing
FAM's proxy voting procedures, including ensuring that proxies are timely
submitted. FAM also may use a service provider to assist in voting proxies,
recordkeeping, and other matters.

18. FAM's Senior Vice President, Client Relations will routinely confer with
FAM's Chief Investment Officer if there is a proxy proposal which would result
in a vote against managment.

I. Recordkeeping

19. FAM or a service provider maintains, in accordance with Rule 204-2 of the
Investment Advisers Act:

(i) Copies of all proxy voting policies and procedures;

(ii) Copies of proxy statements received (unless maintained elsewhere as
described below);

(iii) Records of proxy votes cast on behalf of clients;

(iv) Documents prepared by FAM that are material to a decision on how to
vote or memorializing the basis for a decision;

(v) Written client requests for proxy voting information, and (vi) written
responses by FAM to written or oral client requests.

20. FAM will obtain an undertaking from any service provider that the service
provider will provide copies of proxy voting records and other documents
promptly upon request if FAM relies on the service provider to maintain related
records.

21. FAM or its service provider may rely on the SEC's EDGAR system to keep
records of certain proxy statements if the proxy statements are maintained by
issuers on that system (as is generally true in the case of larger U.S.-based
issuers).

22. All proxy related records will be maintained in an easily accessible place
for five years (and an appropriate office of FAM or a service provider for the
first two years).

J. Availability of Policy and Proxy Voting Records to Clients

23. FAM will initially inform clients of this policy and how a client may learn
of FAM's voting record for the client's securities through summary disclosure in
Part II of FAM's Form ADV. Upon receipt of a client's request for more
information, FAM will provide to the client a copy of this proxy voting policy
and/or how FAM voted proxies for the client during the period since this policy
was adopted.

Adopted effective August 1, 2003 and as amended October 18, 2005

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

(A) ANNUAL REPORTS FOR CLOSED-END FUNDS FOR FISCAL YEARS ENDING ON OR AFTER
DECEMBER 31, 2005:

(A)(1) IDENTIFICATION OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS AND
DESCRIPTION OF ROLE OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS

As of December 31, 2005, Mohammed Riad and K. Timothy Swanson serve
as primary portfolio manager and co-portfolio manager of the Fund,
respectively. Mr. Riad is a Managing Director, Senior Portfolio Manager,
and Chief Derivatives Strategist and has been with Fiduciary Asset
Management, LLC ("FAMCO"), the Fund's sub-adviser, for six and a half
years. Mr. Riad joined FAMCO in 1999 and has over 14 years of investment
industry experience. He is a member of the portfolio management team and
serves as senior portfolio manager for FAMCO's institutional and hedged
large-cap equity strategies, as well as closed-end and open-end funds.
Additionally, Mr. Riad has been instrumental in the development of
industry leading large scale derivatives strategies. He is actively
involved with the Strategy Committee's macroeconomic assessment and
top-down approach to portfolio management. Prior to joining FAMCO, Mr.
Riad worked in management for six years at Legg Mason Wood Walker in the
Washington D.C. and New York offices.

Mr. Swanson is a Senior Vice President and Portfolio Manager and
has worked at FAMCO for two and a half years. Mr. Swanson performs
quantitative and qualitative research and holds portfolio management
duties for FAMCO's large-cap institutional equity strategies. He
implements portfolio management decisions for hedged equity institutional
portfolios, as well as closed-end and open-end funds. Mr. Swanson
provides the Strategy Committee with statistical and quantitative
analysis of macroeconomic, sector, industry, and company-specific
recommendations and supporting data. He assists in designing,
structuring, and managing FAMCO's quantitative research effort. Prior to
joining FAMCO, he spent two years as a portfolio manager for
institutional and high-net worth clients and spent nearly seven years at
A.G. Edwards & Sons as a senior analyst for beverage and tobacco
industries, earning eight Wall Street Journal All-Star Analyst awards
between 1997 and 2000. He is a Chartered Financial Analyst (CFA) and
member of the St. Louis Society of Financial Analysts.

(A)(2) OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBER
AND POTENTIAL CONFLICTS OF INTEREST

OTHER ACCOUNTS MANAGED BY PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBER

The information in the table below is as of December 31, 2005.

--------------------------------------------------------------------------------------------------------------
TOTAL ASSETS IN
TOTAL NO. OF ACCOUNTS ACCOUNTS WHERE
NAME OF PORTFOLIO NO. OF WHERE ADVISORY ADVISORY FEE IS
MANAGER OR TYPE OF ACCOUNTS TOTAL FEE IS BASED ON BASED ON
TEAM MEMBER ACCOUNTS MANAGED ASSETS PERFORMANCE PERFORMANCE
----------- --------- ------- ------- ----------- -----------
--------------------------------------------------------------------------------------------------------------

Mohammed Riad Registered 3 $113.9 mil 0 $0
Investment
Companies:
--------------------------------------------------------------------------------------------------------------
Other Pooled 1 $5.5 mil 0 $0
Investment
Vehicles:
--------------------------------------------------------------------------------------------------------------
Other Accounts: 40 $6,063 mil 0 $0
--------------------------------------------------------------------------------------------------------------
K. Timothy Swanson Registered 3 $113.9 mil 0 $0
Investment
Companies:
--------------------------------------------------------------------------------------------------------------
Other Pooled 1 $5.5 mil 0 $0
Investment
Vehicles:
--------------------------------------------------------------------------------------------------------------
Other Accounts: 36 $6,063 mil 0 $0
--------------------------------------------------------------------------------------------------------------

POTENTIAL CONFLICTS OF INTERESTS

Actual or apparent conflicts of interest may arise when a portfolio
manager has day-to-day management responsibilities with respect to more
than one Fund or other account. More specifically, portfolio managers who
manage multiple Funds and /or other accounts may be presented with one or
more of the following potential conflicts:

The management of multiple Funds and/or other accounts may result
in a portfolio manager devoting unequal time and attention to the
management of each fund and/or other account. FAMCO seeks to manage such
competing interests for the time and attention of a portfolio manager by
having the portfolio manager's focus on a particular investment
discipline. Most other accounts managed by a portfolio manager are
managed using the same investment models that are used in connection with
the management of the Fund.

If a portfolio manager identifies a limited investment opportunity
which may be suitable for more than one fund or other account, a fund may
not be able to take full advantage of that opportunity due to an
allocation of filled purchase or sale orders across all eligible funds
and other accounts. To deal with these situations, FAMCO has adopted
procedures for allocating portfolio transactions across multiple
accounts.

With respect to securities transactions for the funds, FAMCO
determines which broker to use to execute each order, consistent with its
duty to seek best execution of the transaction. However, with respect to
certain other accounts (such as mutual funds for which FAMCO acts as
sub-adviser, other pooled investment vehicles that are not registered
mutual funds, and other accounts managed for organizations and
individuals), FAMCO may be limited by the client with respect to the
selection of brokers or may be instructed to direct trades through a
particular

broker. In these cases, trades for a fund in a particular security may be
placed separately from, rather than aggregated with, such other accounts.
Having separate transactions with respect to a security may temporarily
affect the market price of the security or the execution of the
transaction, or both, to the possible detriment of the Fund or other
account(s) involved.

FAMCO has adopted certain compliance procedures which are designed
to address these types of conflicts. However, there is no guarantee that
such procedures will detect each and every situation in which a conflict
arises.

(A)(3) COMPENSATION STRUCTURE OF PORTFOLIO MANAGER(S) OR MANAGEMENT TEAM MEMBERS

As of December 31, 2005, the portfolio managers are paid a fixed
base salary by FAMCO which is set at a level determined to be appropriate
based upon the individual's experience and responsibilities through the
use of independent compensation surveys of the investment management
industry.

Mr. Riad is paid a variable annual bonus by FAMCO calculated as 25%
of the pre-tax profitability of the product line of FAMCO for which he is
responsible. The product line profitability is defined as the revenue
generated by all accounts within the portfolio manager's investment
discipline less the fixed and variable costs associated with supporting
that revenue. Such costs include employee costs, technology, office
administration, and similar costs.

Mr. Swanson is paid a quarterly bonus determined through a
subjective process that evaluates numerous qualitative and quantitative
factors. Part of Mr. Swanson's bonus will be based on investment
performance over one-, three-, five-, and 10-year periods. This is
primarily measured on a pre-tax basis though tax-efficiency is
considered. Relative performance is determined with reference to the S&P
500 Index and the target total return over a market cycle, though other
benchmarks may be used as well. Other qualitative factors such as Mr.
Swanson's contributions to the Investment and Strategy Committees as well
as his contribution to FAMCO's overall investment process are important
considerations. There is no set formula for any of the above components
of Mr. Swanson's compensation.

The portfolio managers also participate in benefit plans and
programs generally available to all employees of FAMCO.

(A)(4) DISCLOSURE OF SECURITIES OWNERSHIP

The information below is as of December 31, 2005:

NAME OF PORTFOLIO DOLLAR ($) RANGE OF
MANAGER OR FUND SHARES
TEAM MEMBER BENEFICIALLY OWNED
----------- ------------------

Mohammed Riad $10,001-$50,000
K. Timothy Swanson $0

(b) Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

On December 12, 2005, the Registrant's Board of Trustees adopted an
Amended Nominating and Governance Committee Charter which included some material
changes to the procedures by which shareholders may recommend nominees to the
Registrant's board of trustees as described below:

Any proposal to elect any person nominated by shareholders for election as
trustee may only be brought before an annual meeting of the Registrant if timely
written notice (the "Shareholder Notice") is provided to the secretary of the
Registrant. Unless a greater or lesser period is required under applicable law,
to be timely, the Shareholder Notice must be delivered to or mailed and received
at Registrant's address, 1001 Warrenville Road, Suite 300, Lisle, Illinois
60532, Attn: W. Scott Jardine, not less than forty-five (45) days nor more than
sixty (60) days prior to the first anniversary date of the date of the
Registrant's proxy statement released to shareholders for the prior year's
annual meeting; provided, however, if and only if the annual meeting is not
scheduled to be held within a period that commences thirty (30) days before the
first anniversary date of the annual meeting for the preceding year and ends
thirty (30) days after such anniversary date (an annual meeting date outside
such period being referred to herein as an "Other Annual Meeting Date"), such
Shareholder Notice must be given in the manner provided herein by the later of
the close of business on (i) the date forty-five (45) days prior to such Other
Annual Meeting Date or (ii) the tenth (10th) business day following the date
such Other Annual Meeting Date is first publicly announced or disclosed.

Any shareholder submitting a nomination of any person or persons (as the
case may be) for election as a trustee or trustees of the Registrant shall
deliver, as part of such Shareholder Notice: (i) a statement in writing setting
forth (A) the name, age, date of birth, business address, residence address and
nationality of the person or persons to be nominated; (B) the class or series
and number of all shares of the Registrant owned of record or beneficially by
each such person or persons, as reported to such shareholder by such nominee(s);
(C) any other information regarding each such person required by paragraphs (a),
(d), (e) and (f) of Item 401 of Regulation S-K or paragraph (b) of Item 22 of
Rule 14a-101 (Schedule 14A) under the Securities Exchange Act of 1934, as
amended (the "Exchange Act") (or any successor provision thereto); (D) any other
information regarding the person or persons to be nominated that would be
required to be disclosed in a proxy statement or other filings required to be
made in connection with solicitation of proxies for election of trustees or
directors pursuant to Section 14 of the Exchange Act and the rules and
regulations promulgated thereunder; and (E) whether such shareholder believes
any nominee is or will be an "interested person" of the Registrant (as defined
in the Investment Company Act of 1940) and, if not an "interested person,"
information regarding each nominee that will be sufficient for the Registrant to
make such determination; and (ii) the written and signed consent of any person
to be nominated to be named as a nominee and to serve as a trustee if elected.
In addition, the trustees may require any proposed nominee to furnish such other
information as they may reasonably require or deem necessary to determine the
eligibility of such proposed nominee to serve as a trustee.

Without limiting the foregoing, any shareholder who gives a Shareholder
Notice of any matter proposed to be brought before a shareholder meeting
(whether or not involving nominees for trustees)

shall deliver, as part of such Shareholder Notice: (i) the description of and
text of the proposal to be presented; (ii) a brief written statement of the
reasons why such shareholder favors the proposal; (iii) such shareholder's name
and address as they appear on the Registrant's books; (iv) any other information
relating to the shareholder that would be required to be disclosed in a proxy
statement or other filings required to be made in connection with the
solicitation of proxies with respect to the matter(s) proposed pursuant to
Section 14 of the Exchange Act; (v) the class or series and number of all shares
of the Registrant owned beneficially and of record by such shareholder; (vi) any
material interest of such shareholder in the matter proposed (other than as a
shareholder); (vii) a representation that the shareholder intends to appear in
person or by proxy at the shareholder meeting to act on the matter(s) proposed;
(viii) if the proposal involves nominee(s) for trustees, a description of all
arrangements or understandings between the shareholder and each proposed nominee
and any other person or persons (including their names) pursuant to which the
nomination(s) are to be made by the shareholder; and (ix) in the case of a
shareholder (a "BENEFICIAL OWNER") that holds shares entitled to vote at the
meeting through a nominee or "street name" holder of record, evidence
establishing such Beneficial Owner's indirect ownership of, and entitlement to
vote, shares at the meeting of shareholders. As used herein, shares
"beneficially owned" shall mean all shares which such person is deemed to
beneficially own pursuant to Rules 13d-3 and 13d-5 under the Exchange Act.

A copy of the amended Nominating and Governance Committee Charter is
available on the Registrant's website at www.ftportfolios.com.

ITEM 11. 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 second
fiscal quarter of the period covered by this report that has
materially affected, or is reasonably likely to materially affect,
the registrant's internal control over financial reporting.

ITEM 12. EXHIBITS.

(a)(1) Code of ethics, or any amendment thereto, that is the subject of
disclosure required by Item 2 is attached hereto.

(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3) Not applicable.

(b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and
Section 906 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, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)

Date March 7, 2006
----------------------------------------------------------------------------

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.

Date March 7, 2006
----------------------------------------------------------------------------

By (Signature and Title)* /s/ Mark R. Bradley
-------------------------------------------------------
Mark R. Bradley, Treasurer, Controller, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)

Date March 7, 2006
----------------------------------------------------------------------------

* Print the name and title of each signing officer under his or her signature.