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: MARCH 31, 2007
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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, 100 F Street, NE, Washington, DC
20549. The OMB has reviewed this collection of information under the clearance
requirements of 44 U.S.C. ss. 3507.
ITEM 1. SCHEDULE OF INVESTMENTS.
The Schedule(s) of Investments is attached herewith.
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS
MARCH 31, 2007 (UNAUDITED)
MARKET
SHARES DESCRIPTION VALUE
----------- ---------------------------------------------------- -----------
COMMON STOCKS (1) - 100.7%
AEROSPACE & DEFENSE - 4.6%
204,300 Honeywell International Inc..................... $ 9,410,058
114,300 United Technologies Corp........................ 7,429,500
---------------
16,839,558
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AIR FREIGHT & LOGISTICS - 1.7%
56,900 FedEx Corp...................................... 6,112,767
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BEVERAGES - 1.4%
82,600 PepsiCo, Inc.................................... 5,250,056
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BIOTECHNOLOGY - 4.0%
111,300 Amgen, Inc. (a)................................. 6,219,444
44,400 Genentech, Inc. (a)............................. 3,646,128
63,400 Gilead Sciences, Inc. (a)....................... 4,850,100
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14,715,672
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CAPITAL MARKETS - 8.2%
48,100 Bear Stearns Companies (The), Inc............... 7,231,835
36,700 Goldman Sachs Group (The), Inc.................. 7,583,321
139,100 Lehman Brothers Holdings, Inc................... 9,746,737
69,700 Merrill Lynch & Company, Inc.................... 5,692,399
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30,254,292
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CHEMICALS - 3.7%
67,000 DuPont Company ................................. 3,311,810
115,600 Monsanto Company................................ 6,353,376
84,900 The Dow Chemical Company........................ 3,893,514
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13,558,700
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COMMERCIAL BANKS - 3.8%
134,600 Wachovia Corp................................... 7,409,730
192,500 Wells Fargo & Company........................... 6,627,775
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14,037,505
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COMMUNICATIONS EQUIPMENT - 5.7%
287,900 Cisco Systems, Inc. (a)......................... 7,350,087
228,400 Corning, Inc. (a)............................... 5,193,816
159,600 Motorola, Inc................................... 2,820,132
135,200 QUALCOMM, Inc................................... 5,767,632
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21,131,667
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COMPUTERS & PERIPHERALS - 4.9%
76,200 Apple Computer, Inc. (a)........................ 7,079,742
80,800 Dell, Inc. (a).................................. 1,875,368
665,600 EMC Corp. (a)................................... 9,218,560
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18,173,670
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DIVERSIFIED FINANCIAL SERVICES - 7.4%
109,500 Bank of America Corp............................ 5,586,690
158,300 CIT Group, Inc.................................. 8,377,236
See Notes to Quarterly Portfolio of Investments. Page 1
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MARCH 31, 2007 (UNAUDITED)
MARKET
SHARES DESCRIPTION VALUE
----------- ---------------------------------------------------- -----------
COMMON STOCKS (1) - CONTINUED
DIVERSIFIED FINANCIAL SERVICES - (CONTINUED)
146,200 Citigroup, Inc.................................. $ 7,505,908
118,200 JPMorgan Chase & Company........................ 5,718,516
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27,188,350
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DIVERSIFIED TELECOMMUNICATION SERVICES - 3.5%
108,300 Amdocs Ltd. (a)................................. 3,950,784
315,200 Sprint Nextel Corp.............................. 5,976,192
75,600 Verizon Communications, Inc..................... 2,866,752
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12,793,728
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ELECTRICAL EQUIPMENT - 1.5%
130,800 Emerson Electric Company........................ 5,636,172
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ENERGY EQUIPMENT & SERVICES - 3.6%
78,400 Baker Hughes, Inc............................... 5,184,592
125,100 BJ Services Company............................. 3,490,290
65,100 Schlumberger Ltd................................ 4,498,410
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13,173,292
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FOOD & STAPLES RETAILING - 2.9%
78,900 Wal-Mart Stores, Inc............................ 3,704,355
88,800 Walgreen Company................................ 4,075,032
63,900 Whole Foods Market, Inc......................... 2,865,915
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10,645,302
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HEALTH CARE EQUIPMENT & SUPPLIES - 0.5%
37,100 Medtronic, Inc.................................. 1,820,126
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HEALTH CARE PROVIDERS & SERVICES - 3.8%
43,300 Cardinal Health, Inc............................ 3,158,735
113,050 Coventry Health Care, Inc. (a).................. 6,336,453
83,500 UnitedHealth Group, Inc......................... 4,422,995
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13,918,183
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HOTELS, RESTAURANTS & LEISURE - 0.7%
39,200 MGM MIRAGE (a).................................. 2,725,184
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HOUSEHOLD DURABLES - 2.5%
39,500 Centex Corp..................................... 1,650,310
118,400 Procter & Gamble (The) Company.................. 7,478,144
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9,128,454
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INDUSTRIAL CONGLOMERATES - 3.1%
324,100 General Electric Company........................ 11,460,176
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INSURANCE - 1.8%
99,500 American International Group, Inc............... 6,688,390
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INTERNET SOFTWARE & SERVICES - 2.8%
93,400 eBay, Inc. (a).................................. 3,096,210
228,900 Yahoo! Inc (a).................................. 7,162,281
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10,258,491
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Page 2 See Notes to Quarterly Portfolio of Investments.
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MARCH 31, 2007 (UNAUDITED)
MARKET
SHARES DESCRIPTION VALUE
----------- ---------------------------------------------------- -----------
COMMON STOCKS (1) - CONTINUED
MACHINERY - 2.6%
103,100 Caterpillar, Inc................................ $ 6,910,793
26,000 Deere & Company................................. 2,824,640
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9,735,433
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MEDIA - 2.6%
256,900 Comcast Corp., Class A (a)...................... 6,666,555
85,000 Walt Disney (The) Company....................... 2,926,550
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9,593,105
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MULTILINE RETAIL - 3.0%
123,100 Nordstrom, Inc.................................. 6,516,914
74,300 Target Corp..................................... 4,403,018
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10,919,932
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OIL, GAS & CONSUMABLE FUELS - 3.8%
79,500 Chevron Corp.................................... 5,879,820
289,400 Williams Companies (The), Inc................... 8,236,324
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14,116,144
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PHARMACEUTICALS - 2.5%
357,000 Pfizer, Inc..................................... 9,017,820
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ROAD & RAIL - 1.8%
80,500 Burlington Northern Santa Fe Corp............... 6,474,615
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SEMICONDUCTORS &
SEMICONDUCTOR EQUIPMENT - 4.2%
205,200 Broadcom Corp., Class A (a)..................... 6,580,764
268,200 Intel Corp...................................... 5,130,666
122,000 Texas Instruments, Inc.......................... 3,672,200
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15,383,630
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SOFTWARE - 3.0%
383,300 BEA Systems, Inc (a)............................ 4,442,447
136,300 Microsoft Corp.................................. 3,798,681
153,800 Symantec Corp. (a).............................. 2,660,740
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10,901,868
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SPECIALTY RETAIL - 1.7%
129,900 Best Buy Company, Inc........................... 6,328,728
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TEXTILES, APPAREL & LUXURY GOODS - 0.8%
29,200 Nike Inc., Class B.............................. 3,102,792
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WIRELESS TELECOMMUNICATION SERVICES - 2.6%
154,700 ALLTEL Corp..................................... 9,591,400
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TOTAL COMMON STOCKS (1).......................... 370,675,202
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(Cost $388,772,310)
See Notes to Quarterly Portfolio of Investments. Page 3
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MARCH 31, 2007 (UNAUDITED)
MARKET
VALUE
-----------
TOTAL INVESTMENTS - 100.7%...................... $ 370,675,202
(Cost $388,772,310) (2)
CALL OPTIONS WRITTEN - (1.5%)................... (5,495,161)
(Premiums received $8,518,722)
NET OTHER ASSETS & LIABILITIES - 0.8%........... 2,938,016
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NET ASSETS - 100.0%............................. $ 368,118,057
===============
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(a) Non-income producing security.
(1) Call options were written on either entire or partial Common Stock
positions; all Common Stocks are pledged as collateral.
(2) Aggregate cost for federal income tax and financial reporting
purposes.
NUMBER OF MARKET
CONTRACTS DESCRIPTION VALUE
------------ ------------------------------------------------ ------------
CALL OPTIONS WRITTEN - (1.5%)
1,547 ALLTEL Corp. Call
@ 65 due Apr 07 ............................. $ (77,350)
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722 Amdocs Ltd. Call
@ 40 due Jul 07 ............................. (50,540)
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American International Group, Inc. Calls
248 @ 70 due May 07.............................. (13,640)
498 @ 75 due Aug 07.............................. (22,410)
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(36,050)
---------------
557 Amgen, Inc. Call
@ 65 due May 07 ............................. (19,495)
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762 Apple Computer, Inc. Call
@ 95 due Apr 07 ............................. (121,920)
---------------
Baker Hughes, Inc. Calls
392 @ 65 due Apr 07.............................. (86,240)
392 @ 70 due May 07.............................. (47,040)
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(133,280)
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Bank of America Corp. Calls
303 @ 52.5 due Apr 07............................ (9,090)
435 @ 52.5 due May 07............................ (32,625)
357 @ 55 due Aug 07.............................. (24,990)
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(66,705)
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1,150 BEA Systems, Inc. Call
@ 12.5 due May 07 ........................... (28,750)
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417 Bear Stearns Companies (The), Inc. Call
@ 175 due Jul 07 ............................ (60,465)
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Page 4 See Notes to Quarterly Portfolio of Investments.
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MARCH 31, 2007 (UNAUDITED)
NUMBER OF MARKET
CONTRACTS DESCRIPTION VALUE
------------ ------------------------------------------------ ------------
CALL OPTIONS WRITTEN - CONTINUED
Best Buy Company, Inc. Calls
657 @ 52.5 due Jun 07............................ $ (67,671)
642 @ 55 due Jun 07.............................. (32,100)
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(99,771)
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BJ Services Company Calls
625 @ 27.5 due Apr 07............................ (78,125)
626 @ 30 due May 07.............................. (50,080)
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(128,205)
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Broadcom Corp. Calls
1,198 @ 35 due May 07.............................. (95,840)
854 @ 40 due Aug 07.............................. (72,590)
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(168,430)
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Burlington Northern Santa Fe Corp. Calls
444 @ 85 due Apr 07.............................. (19,980)
361 @ 90 due Jul 07.............................. (48,735)
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(68,715)
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433 Cardinal Health, Inc. Call
@ 75 due Jun 07 ............................. (67,115)
---------------
773 Caterpillar, Inc. Call
@ 70 due May 07 ............................. (79,619)
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Centex Corp. Calls
204 @ 50 due Apr 07.............................. (1,020)
170 @ 50 due Jul 07.............................. (15,300)
21 @ 55 due Jul 07.............................. (735)
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(17,055)
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Chevron Corp. Calls
283 @ 75 due May 07.............................. (52,355)
229 @ 75 due Jun 07.............................. (53,815)
283 @ 80 due Jun 07.............................. (18,395)
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(124,565)
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Cisco Systems, Inc. Calls
610 @ 27.5 due May 07............................ (21,350)
2,269 @ 30 due Jul 07.............................. (68,070)
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(89,420)
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1,583 CIT Group, Inc. Call
@ 55 due May 07 ............................. (166,215)
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Citigroup, Inc. Calls
717 @ 52.5 due May 07............................ (57,360)
745 @ 57.5 due Jun 07............................ (7,450)
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(64,810)
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1,285 Comcast Corp. Call
@ 27.5 due May 07 ........................... (44,975)
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2,284 Corning, Inc. Call
@ 25 due Aug 07 ............................. (228,400)
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See Notes to Quarterly Portfolio of Investments. Page 5
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MARCH 31, 2007 (UNAUDITED)
NUMBER OF MARKET
CONTRACTS DESCRIPTION VALUE
------------ ------------------------------------------------ ------------
CALL OPTIONS WRITTEN - CONTINUED
1,130 Coventry Health Care, Inc. Call
@ 60 due Jul 07 ............................. $ (141,250)
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260 Deere & Company Call
@ 115 due Jun 07 ............................ (91,000)
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808 Dell, Inc. Call
@ 25 due May 07 ............................. (28,280)
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470 E.I. du Pont de Nemours and Company Call
@ 55 due Oct 07 ............................. (44,650)
---------------
eBay, Inc. Calls
606 @ 35 due Apr 07.............................. (30,300)
328 @ 37.5 due Jul 07............................ (28,864)
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(59,164)
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EMC Corp. Calls
1,536 @ 14 due Apr 07.............................. (61,440)
773 @ 15 due Apr 07.............................. (7,730)
---------------
(69,170)
---------------
1,308 Emerson Electric Company Call
@ 45 due Jun 07 ............................. (85,020)
---------------
Fedex Corp. Calls
250 @ 115 due May 07............................. (23,750)
249 @ 125 due Jul 07............................. (17,430)
---------------
(41,180)
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444 Genentech, Inc. Call
@ 90 due Jun 07 ............................. (39,960)
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3,178 General Electric Company Call
@ 40 due Jun 07 ............................. (9,534)
---------------
634 Gilead Sciences, Inc. Call
@ 75 due May 07 ............................. (259,940)
---------------
367 Goldman Sachs Group (The), Inc. Call
@ 240 due Jul 07 ............................ (73,400)
---------------
Honeywell International Inc. Calls
1,519 @ 50 due Jun 07.............................. (60,760)
524 @ 50 due Sep 07.............................. (52,400)
---------------
(113,160)
---------------
Intel Corp. Calls
1,941 @ 25 due Jul 07.............................. (15,528)
541 @ 25 due Jan 08.............................. (21,640)
---------------
(37,168)
---------------
Page 6 See Notes to Quarterly Portfolio of Investments.
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MARCH 31, 2007 (UNAUDITED)
NUMBER OF MARKET
CONTRACTS DESCRIPTION VALUE
------------ ------------------------------------------------ ------------
CALL OPTIONS WRITTEN - CONTINUED
JPMorgan Chase & Company Calls
887 @ 52.5 due Jun 07............................ $ (39,915)
295 @ 55 due Sep 07.............................. (14,750)
---------------
(54,665)
---------------
Lehman Brothers Hodings, Inc. Calls
269 @ 75 due May 07.............................. (29,590)
1,122 @ 85 due Jul 07.............................. (50,490)
---------------
(80,080)
---------------
371 Medtronic, Inc. Call
@ 50 due Apr 07 ............................. (14,840)
---------------
630 Merrill Lynch & Company, Inc. Call
@ 90 due Jul 07 ............................. (107,100)
---------------
392 MGM MIRAGE Call
@ 70 due Apr 07 ............................. (70,560)
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815 Microsoft Corp. Call
@ 32.5 due Jul 07 ........................... (10,595)
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Monsanto Company Calls
190 @ 55 due Apr 07.............................. (28,500)
479 @ 60 due Apr 07.............................. (9,580)
487 @ 60 due Jul 07.............................. (73,050)
---------------
(111,130)
---------------
768 Motorola, Inc. Call
@ 20 due Jul 07 ............................. (33,024)
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Nike Inc. Calls
200 @ 110 due Apr 07............................. (12,000)
92 @ 120 due Jul 07............................. (6,440)
---------------
(18,440)
---------------
1,231 Nordstrom, Inc. Call
@ 60 due Jul 07 ............................. (153,875)
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PepsiCo, Inc. Calls
95 @ 65 due Apr 07.............................. (1,900)
731 @ 67.5 due Jul 07............................ (40,205)
---------------
(42,105)
---------------
2,231 Pfizer, Inc. Call
@ 30 due Jan 08 ............................. (78,085)
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Procter & Gamble (The) Company Calls
592 @ 65 due May 07.............................. (38,480)
592 @ 70 due Jul 07.............................. (11,840)
---------------
(50,320)
---------------
See Notes to Quarterly Portfolio of Investments. Page 7
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MARCH 31, 2007 (UNAUDITED)
NUMBER OF MARKET
CONTRACTS DESCRIPTION VALUE
------------ ------------------------------------------------ ------------
CALL OPTIONS WRITTEN - CONTINUED
QUALCOMM, Inc. Calls
752 @ 45 due Apr 07.............................. $ (30,080)
550 @ 47.5 due Jul 07............................ (71,500)
---------------
(101,580)
---------------
651 Schlumberger Ltd. Call
@ 67.5 due Apr 07 ........................... (193,673)
---------------
SPDR Trust Series I Calls
6,000 @ 149 due Apr 07............................. (30,000)
4,500 @ 150 due Apr 07............................. (18,000)
---------------
(48,000)
---------------
Sprint Nextel Corp. Calls
869 @ 19 due May 07.............................. (78,210)
2,283 @ 25 due Jan 08.............................. (68,490)
---------------
(146,700)
---------------
743 Target Corp. Call
@ 65 due Jul 07 ............................. (74,300)
---------------
1,220 Texas Instruments, Inc. Call
@ 32.5 due Jul 07 ........................... (113,460)
---------------
849 The Dow Chemical Company Call
@ 45 due Apr 07 ............................. (152,820)
---------------
United Technologies Corp. Calls
684 @ 70 due May 07.............................. (17,100)
345 @ 75 due Aug 07.............................. (9,488)
---------------
(26,588)
---------------
835 UnitedHealth Group, Inc. Call
@ 60 due Jun 07 ............................. (33,400)
---------------
756 Verizon Communications, Inc. Call
@ 40 due Jul 07 ............................. (41,580)
---------------
1,346 Wachovia Corp. Call
@ 60 due Jul 07 ............................. (53,840)
---------------
789 Wal-Mart Stores, Inc. Call
@ 50 due Jun 07 ............................. (43,395)
---------------
Walgreen Company Calls
542 @ 47.5 due Apr 07............................ (10,840)
346 @ 50 due Jul 07.............................. (25,950)
---------------
(36,790)
---------------
850 Walt Disney (The) Company Call
@ 35 due Jul 07 ............................. (127,500)
---------------
Page 8 See Notes to Quarterly Portfolio of Investments.
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
PORTFOLIO OF INVESTMENTS - (CONTINUED)
MARCH 31, 2007 (UNAUDITED)
NUMBER OF MARKET
CONTRACTS DESCRIPTION VALUE
------------ ------------------------------------------------ ------------
CALL OPTIONS WRITTEN - CONTINUED
828 Wells Fargo & Company Call
@ 35 due Apr 07 ............................. $ (33,120)
---------------
320 Whole Foods Market, Inc. Call
@ 50 due May 07 ............................. (20,800)
---------------
2,894 Williams Companies (The), Inc. Call
@ 30 due May 07 ............................. (159,170)
---------------
2,289 Yahoo! Inc. Call
@ 35 due Jul 07 ............................. (228,900)
---------------
TOTAL CALL OPTIONS WRITTEN....................... $ (5,495,161)
===============
(Premiums Received $8,518,722)
See Notes to Quarterly Portfolio of Investments. Page 9
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NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (UNAUDITED)
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FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
MARCH 31, 2007
1. VALUATION AND INVESTMENT PRACTICES
A. PORTFOLIO VALUATION:
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
session 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 Common Shares outstanding.
The Fund's investments are valued at market value or, in the absence of market
value with respect to any portfolio securities, at fair value 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. Portfolio
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 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 underlying 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 received by the fund; in this case, 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 ability of the Fund's sub-advisor, Fiduciary
Asset Management, LLC, 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.
Page 10
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NOTES TO QUARTERLY PORTFOLIO OF INVESTMENTS - (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
FIRST TRUST/FIDUCIARY ASSET MANAGEMENT COVERED CALL FUND
MARCH 31, 2007
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:
Securities transactions are recorded as of the trade date. Realized gains and
losses from securities transactions are recorded on the identified cost basis.
2. UNREALIZED APPRECIATION/(DEPRECIATION)
As of March 31, 2007, the aggregate gross unrealized appreciation for all
securities in which there was an excess of value over tax cost was $7,853,398
and the aggregate gross unrealized depreciation for all securities in which
there was an excess of tax cost over value was $22,926,945.
3. OPTION ACTIVITY
Option activity for the period December 31, 2006 through March 31, 2007 was as
follows:
NUMBER
OF
CONTRACTS PREMIUMS
Options outstanding at December 31, 2006............. 71,400 $ 8,241,701
Stock Splits......................................... -- --
Options written...................................... 121,095 13,879,521
Options expired...................................... (9,493) (1,105,881)
Options exercised.................................... -- --
Options closed ...................................... (97,350) (12,496,619)
---------- ------------
Options outstanding at March 31, 2007................ 85,652 $ 8,518,722
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Page 11
ITEM 2. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR
270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities
Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17
CFR 270.30a-3(d)) that occurred during the registrant's last fiscal
quarter that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
ITEM 3. EXHIBITS.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of
the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) FIRST TRUST/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 MAY 22, 2007
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /S/ JAMES A. BOWEN
-------------------------------------------------------
James A. Bowen, Chairman of the Board, President and
Chief Executive Officer
(principal executive officer)
Date MAY 22, 2007
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By (Signature and Title)* /S/ MARK R. BRADLEY
-------------------------------------------------------
Mark R. Bradley, Treasurer, Controller, Chief Financial
Officer and Chief Accounting Officer
(principal financial officer)
Date MAY 22, 2007
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* Print the name and title of each signing officer under his or her signature.