UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21586
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FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
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(Exact name of registrant as specified in charter)
1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Address of principal executive offices) (Zip code)
W. Scott Jardine, Esq.
First Trust Portfolios L.P.
1001 Warrenville Road, Suite 300
LISLE, IL 60532
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(Name and address of agent for service)
Registrant's telephone number, including area code: (630) 241-4141
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Date of fiscal year end: DECEMBER 31
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Date of reporting period: SEPTEMBER 30, 2005
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Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (ss.ss. 239.24 and 274.5 of
this chapter), to file reports with the Commission, not later than 60 days after
the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use
the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and
the Commission will make this information public. A registrant is not required
to respond to the collection of information contained in Form N-Q unless the
Form displays a currently valid Office of Management and Budget ("OMB") control
number. Please direct comments concerning the accuracy of the information
collection burden estimate and any suggestions for reducing the burden to the
Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington,
DC 20549-0609. The OMB has reviewed this collection of information under the
clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
The Schedule(s) of Investments is attached herewith.
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS
SEPTEMBER 30, 2005 (UNAUDITED)
MARKET
SHARES VALUE
--------- ------------
COMMON STOCKS+ - 102.2%
AEROSPACE & DEFENSE - 2.8%
204,300 United Technologies Corp. ............................. $ 10,590,912
------------
AIR FREIGHT & LOGISTICS - 2.3%
99,200 FedEx Corp. ........................................... 8,643,296
------------
BIOTECHNOLOGY - 2.6%
80,700 Amgen, Inc.* .......................................... 6,429,369
43,400 Genentech, Inc.* ...................................... 3,654,714
------------
10,084,083
------------
CAPITAL MARKETS - 10.2%
56,700 Legg Mason, Inc. ...................................... 6,219,423
128,500 Lehman Brothers Holdings, Inc. ........................ 14,967,680
76,700 The Bear Stearns Companies, Inc. ...................... 8,417,825
77,000 The Goldman Sachs Group, Inc. ......................... 9,361,660
------------
38,966,588
------------
CHEMICALS - 0.9%
83,300 The Dow Chemical Company .............................. 3,471,111
------------
COMMERCIAL BANKS - 3.2%
166,700 Bank of America Corp. ................................. 7,018,070
107,900 Wachovia Corp. ........................................ 5,134,961
------------
12,153,031
------------
COMMUNICATIONS EQUIPMENT - 6.8%
316,100 Cisco Systems, Inc.* .................................. 5,667,673
380,700 Motorola, Inc. ........................................ 8,409,663
264,600 QUALCOMM, Inc. ........................................ 11,840,850
------------
25,918,186
------------
COMPUTERS & PERIPHERALS - 5.0%
175,600 Apple Computer, Inc.* ................................. 9,413,916
284,100 Dell Inc.* ............................................ 9,716,220
------------
19,130,136
------------
CONSUMER FINANCE - 0.9%
56,600 American Express Company .............................. 3,251,104
------------
ENERGY EQUIPMENT & SERVICES - 2.2%
77,600 Baker Hughes Inc. ..................................... 4,631,168
104,900 BJ Services Company ................................... 3,775,351
------------
8,406,519
------------
FOOD & STAPLES RETAILING - 0.9%
123,700 CVS Corp. ............................................. 3,588,537
------------
HEALTH CARE EQUIPMENT & SUPPLIES - 4.5%
108,200 Medtronic, Inc. ....................................... 5,801,684
164,300 Zimmer Holdings, Inc.* ................................ 11,318,627
------------
17,120,311
------------
See Notes to Quarterly Portfolio of Investments Page 1
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
SEPTEMBER 30, 2005 (UNAUDITED)
MARKET
SHARES VALUE
--------- ------------
COMMON STOCKS+ - CONTINUED
HEALTH CARE PROVIDERS & SERVICES - 11.8%
118,800 Cardinal Health, Inc. ................................. $ 7,536,672
151,500 Coventry Health Care, Inc.* ........................... 13,032,030
128,000 Quest Diagnostics, Inc. ............................... 6,469,120
320,700 UnitedHealth Group, Inc. .............................. 18,023,340
------------
45,061,162
------------
HOTELS, RESTAURANTS & LEISURE - 3.7%
92,600 Harrah's Entertainment, Inc. .......................... 6,036,594
179,600 MGM MIRAGE* ........................................... 7,861,092
------------
13,897,686
------------
HOUSEHOLD DURABLES - 4.1%
99,500 Centex Corp. .......................................... 6,425,710
154,300 Lennar Corp., Class A ................................. 9,220,968
------------
15,646,678
------------
HOUSEHOLD PRODUCTS - 2.8%
179,500 The Procter & Gamble Company .......................... 10,673,070
------------
INDUSTRIAL CONGLOMERATES - 2.0%
223,700 General Electric Company .............................. 7,531,979
------------
MACHINERY - 3.8%
244,500 Caterpillar, Inc. ..................................... 14,364,375
------------
METALS & MINING - 2.9%
85,700 Phelps Dodge Corp. .................................... 11,135,001
------------
MULTILINE RETAIL - 2.5%
84,000 Federated Department Stores, Inc. ..................... 5,617,080
112,000 Nordstrom, Inc. ....................................... 3,843,840
------------
9,460,920
------------
OIL, GAS & CONSUMABLE FUELS - 8.9%
53,000 Apache Corp. .......................................... 3,986,660
211,100 Exxon Mobil Corp. ..................................... 13,413,294
43,800 Occidental Petroleum Corp. ............................ 3,741,834
112,600 Valero Energy Corp. ................................... 12,730,556
------------
33,872,344
------------
PHARMACEUTICALS - 0.9%
143,900 Pfizer, Inc. .......................................... 3,593,183
------------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT - 5.5%
97,300 Broadcom Corp., Class A* .............................. 4,564,343
343,600 Intel Corp. ........................................... 8,469,740
228,200 Texas Instruments Inc. ................................ 7,735,980
------------
20,770,063
------------
Page 2 See Notes to Quarterly Portfolio of Investments
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
SEPTEMBER 30, 2005 (UNAUDITED)
MARKET
SHARES VALUE
--------- ------------
COMMON STOCKS+ - CONTINUED
SOFTWARE - 4.6%
226,900 Amdocs Ltd.* ........................................ $ 6,291,937
694,800 BEA Systems, Inc.* .................................. 6,239,304
223,100 Symantec Corp.* ..................................... 5,055,446
------------
17,586,687
------------
SPECIALTY RETAIL - 3.7%
155,950 Best Buy Company, Inc. .............................. 6,788,504
114,700 Lowe's Companies, Inc. .............................. 7,386,680
------------
14,175,184
------------
WIRELESS TELECOMMUNICATION SERVICES - 2.7%
158,000 ALLTEL Corp. ........................................ 10,287,380
------------
TOTAL COMMON STOCKS+ ................................ 389,379,526
(Cost $390,794,477) ------------
U.S. TREASURY BILL - 0.8%
3,000,000 United States Treasury Bill, 3.163% ++, 10/06/05 ... 2,998,682
------------
TOTAL U.S. TREASURY BILL ............................ 2,998,682
(Cost $2,998,682) ------------
TOTAL INVESTMENTS - 103.0% .......................... 392,378,208
(Cost $393,793,159)**
CALL OPTIONS WRITTEN - (3.8)% ....................... (14,464,244)
(Premiums received $14,044,570)
PUT OPTIONS WRITTEN - (0.0)% ........................ (15,250)
(Premiums Received $23,976)
NET OTHER ASSETS & LIABILITIES - 0.8% ............... 3,184,361
------------
NET ASSETS - 100.0% ................................. $381,083,075
============
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* Non-income producing security
** Aggregate cost for federal income tax and financial reporting
purposes
+ Securities or partial securities on which call and put options were
written; all Common Stocks are pledged as collateral.
++ Rate represents annualized yield at date of purchase
See Notes to Quarterly Portfolio of Investments Page 3
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF MARKET
CONTRACTS VALUE
---------- ------------
CALL OPTIONS WRITTEN - (3.8)%
ALLTEL Corp. Calls
516 @ 65 due Oct 05 ................................... $ (65,790)
1,064 @ 65 due Jan 06 ................................... (303,240)
------------
(369,030)
------------
Amdocs Ltd. Calls
1,474 @ 30 due Oct 05 ................................... (22,110)
795 @ 30 due Jan 06 ................................... (65,588)
------------
(87,698)
------------
American Express Company Call
566 @ 60 due Jan 06 ................................... (84,900)
------------
Amgen, Inc. Calls
211 @ 80 due Oct 05 ................................... (50,640)
211 @ 85 due Oct 05 ................................... (14,770)
385 @ 85 due Jan 06 ................................... (96,250)
------------
(161,660)
------------
Apache Corp. Call
530 @ 80 due Jan 06 ................................... (196,100)
------------
Apple Computer, Inc. Calls
1,463 @ 52.5 due Oct 05 ................................. (416,955)
293 @ 55 due Oct 05 ................................... (46,880)
------------
(463,835)
------------
Baker Hughes Inc. Calls
394 @ 65 due Jan 06 ................................... (78,800)
382 @ 65 due Apr 06 ................................... (126,060)
------------
(204,860)
------------
Bank of America Corp. Calls
1,227 @ 42.5 due Oct 05 ................................. (67,485)
440 @ 45 due Nov 05 ................................... (8,800)
------------
(76,285)
------------
BEA Systems, Inc. Calls
3,498 @ 10 due Dec 05 ................................... (87,450)
2,756 @ 10 due Jan 06 ................................... (82,680)
------------
(170,130)
------------
Best Buy Company, Inc. Call
1,559 @ 42.5 due Oct 05 ................................. (257,235)
------------
BJ Services Company Calls
537 @ 37.5 due Nov 05 ................................. (59,070)
512 @ 37.5 due Jan 06 ................................. (97,280)
------------
(156,350)
------------
Broadcom Corp. Calls
708 @ 45 due Nov 05 ................................... (240,720)
265 @ 45 due Jan 06 ................................... (127,200)
------------
(367,920)
------------
Page 4 See Notes to Quarterly Portfolio of Investments
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF MARKET
CONTRACTS VALUE
---------- ------------
CALL OPTIONS WRITTEN - CONTINUED
Cardinal Health, Inc. Calls
232 @ 65 due Nov 05 ................................... $ (34,800)
291 @ 65 due Dec 05 ................................... (53,835)
665 @ 65 due Jan 06 ................................... (156,275)
------------
(244,910)
------------
Caterpillar, Inc. Calls
1,058 @ 60 due Nov 05 ................................... (190,440)
1,387 @ 60 due Jan 06 ................................... (395,295)
------------
(585,735)
------------
Centex Corp. Calls
332 @ 65 due Oct 05 ................................... (50,464)
663 @ 70 due Oct 05 ................................... (16,575)
------------
(67,039)
------------
Cisco Systems, Inc. Calls
664 @ 20 due Oct 05 ................................... (3,320)
2,497 @ 20 due Jan 06 ................................... (62,425)
------------
(65,745)
------------
Coventry Health Care, Inc. Calls
758 @ 85 due Nov 05 ................................... (303,200)
757 @ 90 due Jan 06 ................................... (264,950)
------------
(568,150)
------------
CVS Corp. Calls
182 @ 30 due Nov 05 ................................... (14,560)
1,055 @ 30 due Jan 06 ................................... (147,700)
------------
(162,260)
------------
Dell Inc. Call
2,841 @ 37.5 due Nov 05 ................................. (85,230)
------------
Exxon Mobil Corp. Call
2,111 @ 65 due Jan 06 ................................... (527,750)
------------
Federated Department Stores, Inc. Calls
278 @ 65 due Oct 05 ................................... (84,095)
449 @ 70 due Nov 05 ................................... (81,942)
113 @ 70 due Jan 06 ................................... (35,030)
------------
(201,067)
------------
FedEx Corp. Calls
662 @ 85 due Nov 05 ................................... (258,180)
330 @ 85 due Jan 06 ................................... (165,000)
------------
(423,180)
------------
Genentech, Inc. Calls
217 @ 85 due Oct 05 ................................... (54,250)
217 @ 90 due Oct 05 ................................... (17,360)
------------
(71,610)
------------
See Notes to Quarterly Portfolio of Investments Page 5
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF MARKET
CONTRACTS VALUE
---------- ------------
CALL OPTIONS WRITTEN - CONTINUED
General Electric Company Calls
1,443 @ 35 due Oct 05 ................................... $ (7,215)
794 @ 37.5 due Dec 05 ................................. (7,940)
------------
(15,155)
------------
Harrah's Entertainment, Inc. Call
926 @ 65 due Oct 05 ................................... (180,570)
------------
Intel Corp. Calls
1,718 @ 25 due Oct 05 ................................... (68,720)
1,718 @ 27.5 due Jan 06 ................................. (68,720)
------------
(137,440)
------------
Legg Mason, Inc. Calls
189 @ 105 due Oct 05 .................................. (113,400)
206 @ 110 due Oct 05 .................................. (56,650)
172 @ 110 due Nov 05 .................................. (77,400)
------------
(247,450)
------------
Lehman Brothers Holdings, Inc. Calls
415 @ 110 due Jan 06 .................................. (417,075)
870 @ 120 due Jan 06 .................................. (330,600)
------------
(747,675)
------------
Lennar Corp. Call
1,543 @ 60 due Oct 05 ................................... (308,600)
------------
Lowe's Companies, Inc. Calls
967 @ 65 due Oct 05 ................................... (135,380)
180 @ 70 due Jan 06 ................................... (26,100)
------------
(161,480)
------------
Medtronic, Inc. Calls
567 @ 55 due Nov 05 ................................... (53,865)
515 @ 60 due Jan 06 ................................... (18,025)
------------
(71,890)
------------
MGM MIRAGE Calls
1,602 @ 45 due Oct 05 ................................... (144,180)
194 @ 45 due Dec 05 ................................... (43,650)
------------
(187,830)
------------
Motorola, Inc. Calls
1,595 @ 22.5 due Oct 05 ................................. (79,750)
1,106 @ 22.5 due Jan 06 ................................. (149,310)
1,106 @ 25 due Apr 06 ................................... (105,070)
------------
(334,130)
------------
Nordstrom, Inc. Calls
138 @ 35 due Oct 05 ................................... (11,040)
215 @ 35 due Jan 06 ................................... (54,825)
767 @ 37.5 due Jan 06 ................................. (107,380)
------------
(173,245)
------------
Occidental Petroleum Corp. Call
438 @ 90 due Nov 05 ................................... (91,980)
------------
Page 6 See Notes to Quarterly Portfolio of Investments
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF MARKET
CONTRACTS VALUE
---------- ------------
CALL OPTIONS WRITTEN - CONTINUED
Pfizer, Inc. Calls
590 @ 25 due Oct 05 ................................... $ (32,450)
849 @ 27.5 due Jan 06 ................................. (42,450)
------------
(74,900)
------------
Phelps Dodge Corp. Call
857 @ 130 due Jan 06 .................................. (1,071,250)
------------
QUALCOMM, Inc. Calls
1,117 @ 42.5 due Jan 06 ................................. (469,140)
1,529 @ 45 due Jan 06 ................................... (405,185)
------------
(874,325)
------------
Quest Diagnostics, Inc. Call
1,280 @ 52.5 due Nov 05 ................................. (86,400)
------------
Symantec Corp. Call
2,231 @ 22.5 due Oct 05 ................................. (156,170)
------------
Texas Instruments, Inc. Call
2,282 @ 35 due Jan 06 ................................... (353,710)
------------
The Bear Stearns Companies Inc. Call
767 @ 105 due Oct 05 .................................. (383,500)
------------
The Dow Chemical Company Call
833 @ 45 due Oct 05 ................................... (12,495)
------------
The Goldman Sachs Group, Inc. Calls
570 @ 120 due Nov 05 .................................. (235,410)
200 @ 120 due Jan 06 .................................. (128,000)
------------
(363,410)
------------
The Procter & Gamble Company Calls
1,630 @ 57.5 due Jan 06 ................................. (521,600)
165 @ 60 due Jan 06 ................................... (28,875)
------------
(550,475)
------------
United Technologies Corp. Call
2,043 @ 52.5 due Nov 05 ................................. (214,515)
------------
UnitedHealth Group, Inc. Calls
1,382 @ 55 due Dec 05 ................................... (414,600)
912 @ 55 due Jan 06 ................................... (310,080)
913 @ 57.5 due Jan 06 ................................. (214,555)
------------
(939,235)
------------
Valero Energy Corp. Calls
563 @ 115 due Nov 05 .................................. (388,470)
563 @ 115 due Dec 05 .................................. (456,030)
------------
(844,500)
------------
Wachovia Corp. Call
1,079 @ 47.5 due Oct 05 ................................. (102,505)
------------
See Notes to Quarterly Portfolio of Investments Page 7
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF MARKET
CONTRACTS VALUE
---------- ------------
CALL OPTIONS WRITTEN - CONTINUED
Zimmer Holdings, Inc. Call
1,643 @ 70 due Oct 05 ................................... $ (180,730)
------------
TOTAL CALL OPTIONS WRITTEN ........................ $(14,464,244)
(Premiums Received $14,044,570) ============
PUT OPTIONS WRITTEN - (0.0)%
Best Buy Company, Inc. Put
500 @ 40 due Oct 05 ................................... $ (10,000)
------------
Zimmer Holdings, Inc. Put
150 @ 65 due Oct 05 ................................... (5,250)
------------
TOTAL PUT OPTIONS WRITTEN ......................... $ (15,250)
(Premiums Received $23,976) ============
Page 8 See Notes to Quarterly Portfolio of Investments
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NOTES TO PORTFOLIO OF INVESTMENTS (UNAUDITED)
--------------------------------------------------------------------------------
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
SEPTEMBER 30, 2005
1. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
The First Trust/Fiduciary Asset Management Covered Call Fund (the "Fund")
determines the net asset value ("NAV") of its shares daily, as of the close of
regular trading on the New York Stock Exchange ("NYSE"), normally 4:00 p.m.
Eastern time, on each day the NYSE is open for trading. 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 as determined
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
asked price.
B. OPTION CONTRACTS:
COVERED CALL 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 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 the Sub-Advisor's 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
realized 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
Page 9
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NOTES TO PORTFOLIO OF INVESTMENTS (UNAUDITED) - (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
SEPTEMBER 30, 2005
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:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after the trade date; interest income on such securities
is not accrued until settlement date. The Fund instructs the custodian to
segregate assets of the Fund with a current value at least equal to the amount
of its when-issued purchase commitments.
2. UNREALIZED APPRECIATION/(DEPRECIATION) AND OPTIONS
As of September 30, 2005, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was $13,898,577
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $15,313,528.
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 ................................... 7,725 --
Options written ................................ 461,061 79,864,127
Options expired ................................ (58,625) (4,853,680)
Options exercised .............................. (958) (129,935)
Options closed ................................. (411,829) (84,920,713)
-------- ------------
Options outstanding at September 30, 2005 ...... 81,577 $ 14,068,546
======== ============
Page 10
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's last fiscal
quarter that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
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By (Signature and Title)* /S/ JAMES A. BOWEN
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James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date NOVEMBER 23, 2005
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /S/ JAMES A. BOWEN
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James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date NOVEMBER 23, 2005
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By (Signature and Title)* /S/MARK R. BRADLEY
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Mark R. Bradley, Treasurer, Controller, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)
Date NOVEMBER 23, 2005
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* Print the name and title of each signing officer under his or her signature.