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

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21905

First Trust/Aberdeen Emerging Opportunity Fund
(Exact name of registrant as specified in charter)

120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Address of principal executive offices) (Zip code)

 

W. Scott Jardine, Esq.
First Trust Portfolios L.P.
120 East Liberty Drive, Suite 400
Wheaton, IL 60187
(Name and address of agent for service)

 

registrant's telephone number, including area code: 630-765-8000

Date of fiscal year end: December 31

Date of reporting period: March 31, 2018

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 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. § 3507.

 
 

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

 

First Trust/Aberdeen Emerging Opportunity Fund (FEO)
Portfolio of Investments
March 31, 2018 (Unaudited)
Principal
Value
(Local
Currency)
  Description   Stated
Coupon
  Stated
Maturity
  Value
(US Dollars)
FOREIGN SOVEREIGN BONDS AND NOTES (a) – 42.8%
    Argentina – 2.2%            
10,000,000  
Argentina POM Politica Monetaria, Argentina Central Bank 7 day repurchase reference rate (ARS) (b)

  27.25%   06/21/20   $528,462
380,000  
Argentine Republic Government International Bond (EUR)

  5.25%   01/15/28   457,051
266,387  
Argentine Republic Government International Bond (USD)

  8.28%   12/31/33   286,899
350,000  
Argentine Republic Government International Bond (USD)

  7.13%   07/06/36   337,750
420,000  
Argentine Republic Government International Bond (USD)

  6.88%   01/11/48   384,038
        1,994,200
    Bahrain – 0.6%            
270,000  
Bahrain Government International Bond (USD)

  7.00%   01/26/26   272,302
278,000  
Bahrain Government International Bond (USD) (c)

  7.00%   10/12/28   268,534
        540,836
    Belarus – 0.3%            
307,000  
Republic of Belarus International Bond (USD) (c)

  6.20%   02/28/30   304,321
    Brazil – 4.3%            
10,960,000  
Brazil Notas do Tesouro Nacional, Series F (BRL)

  10.00%   01/01/25   3,449,815
1,560,000  
Brazil Notas do Tesouro Nacional, Series F (BRL)

  10.00%   01/01/27   488,769
        3,938,584
    Dominican Republic – 1.2%            
53,000,000  
Dominican Republic Bond (DOP) (c)

  10.50%   04/07/23   1,127,475
    Ecuador – 1.5%            
230,000  
Ecuador Government International Bond (USD) (c)

  8.75%   06/02/23   236,727
1,100,000  
Ecuador Government International Bond (USD)

  9.65%   12/13/26   1,164,625
        1,401,352
    Egypt – 2.2%            
246,000  
Egypt Government International Bond (USD) (c)

  6.13%   01/31/22   255,007
200,000  
Egypt Government International Bond (USD) (c)

  8.50%   01/31/47   223,464
280,000  
Egypt Government International Bond (USD) (c)

  7.90%   02/21/48   295,250
22,000,000  
Egypt Treasury Bills (EGP)

  (d)   05/29/18   1,220,837
        1,994,558
    El Salvador – 0.6%            
280,000  
El Salvador Government International Bond (USD)

  5.88%   01/30/25   275,881
300,000  
El Salvador Government International Bond (USD)

  7.65%   06/15/35   317,802
        593,683
    Ethiopia – 0.6%            
540,000  
Ethiopia International Bond (USD) (c)

  6.63%   12/11/24   557,034
    Ghana – 1.6%            
2,150,000  
Ghana Government Bond (GHS)

  21.50%   03/09/20   533,073
840,000  
Ghana Government International Bond (USD)

  8.13%   01/18/26   903,090
        1,436,163
    Honduras – 0.5%            
410,000  
Honduras Government International Bond (USD) (c)

  7.50%   03/15/24   453,800
    Indonesia – 2.0%            
23,200,000,000  
Indonesia Treasury Bond (IDR)

  8.38%   03/15/34   1,836,790
See Notes to Portfolio of Investments

First Trust/Aberdeen Emerging Opportunity Fund (FEO)
Portfolio of Investments (Continued)
March 31, 2018 (Unaudited)
Principal
Value
(Local
Currency)
  Description   Stated
Coupon
  Stated
Maturity
  Value
(US Dollars)
FOREIGN SOVEREIGN BONDS AND NOTES (a) (Continued)
    Iraq – 0.9%            
200,000  
Iraq International Bond (USD) (c)

  6.75%   03/09/23   $203,438
610,000  
Iraq International Bond (USD)

  5.80%   01/15/28   584,380
        787,818
    Kenya – 0.2%            
200,000  
Kenya Government International Bond (USD)

  6.88%   06/24/24   209,385
    Malaysia – 1.3%            
4,700,000  
Malaysia Government Bond (MYR)

  3.89%   03/15/27   1,196,997
    Mexico – 3.6%            
15,200,000  
Mexican Bonos (MXN)

  6.50%   06/09/22   815,206
22,600,000  
Mexican Bonos (MXN)

  5.75%   03/05/26   1,130,000
23,200,000  
Mexican Bonos (MXN)

  7.75%   11/13/42   1,296,533
        3,241,739
    Mongolia – 0.3%            
290,000  
Mongolia Government International Bond (USD)

  5.13%   12/05/22   284,302
    Nigeria – 0.5%            
200,000  
Nigeria Government International Bond (USD) (c)

  7.88%   02/16/32   218,244
200,000  
Nigeria Government International Bond (USD) (c)

  7.63%   11/28/47   207,464
        425,708
    Oman – 0.3%            
270,000  
Oman Government International Bond (USD) (c)

  6.75%   01/17/48   259,817
    Pakistan – 0.3%            
280,000  
Pakistan Government International Bond (USD) (c)

  6.88%   12/05/27   265,653
    Peru – 2.4%            
6,010,000  
Peruvian Government International Bond (PEN)

  6.90%   08/12/37   2,150,692
    Poland – 2.8%            
4,450,000  
Republic of Poland Government Bond (PLN)

  4.00%   10/25/23   1,400,525
4,100,000  
Republic of Poland Government Bond (PLN)

  2.50%   07/25/27   1,140,117
        2,540,642
    Russia – 4.6%            
223,550,000  
Russian Federal Bond - OFZ (RUB)

  7.05%   01/19/28   3,934,363
200,000  
Russian Foreign Bond - Eurobond (USD)

  5.88%   09/16/43   222,750
        4,157,113
    Rwanda – 0.6%            
200,000  
Rwanda International Government Bond (USD) (c)

  6.63%   05/02/23   207,145
300,000  
Rwanda International Government Bond (USD)

  6.63%   05/02/23   310,717
        517,862
    South Africa – 3.6%            
24,800,000  
Republic of South Africa Government Bond (ZAR)

  10.50%   12/21/26   2,423,702
820,000  
Republic of South Africa Government International Bond (USD)

  4.88%   04/14/26   819,139
        3,242,841
    Sri Lanka – 0.6%            
570,000  
Sri Lanka Government International Bond (USD) (c)

  6.20%   05/11/27   562,112
See Notes to Portfolio of Investments

First Trust/Aberdeen Emerging Opportunity Fund (FEO)
Portfolio of Investments (Continued)
March 31, 2018 (Unaudited)
Principal
Value
(Local
Currency)
  Description   Stated
Coupon
  Stated
Maturity
  Value
(US Dollars)
FOREIGN SOVEREIGN BONDS AND NOTES (a) (Continued)
    Suriname – 0.3%            
270,000  
Republic of Suriname (USD) (c)

  9.25%   10/26/26   $278,100
    Tanzania – 0.1%            
133,335  
Tanzania Government International Bond, 6 Mo. LIBOR + 6.00% (USD) (b)

  8.24%   03/09/20   139,110
    Turkey – 1.4%            
4,700,000  
Turkey Government Bond (TRY)

  8.80%   09/27/23   1,000,684
1,140,000  
Turkey Government Bond (TRY)

  10.40%   03/20/24   262,368
        1,263,052
    Ukraine – 1.2%            
115,000  
Ukraine Government International Bond (USD) (c)

  7.75%   09/01/21   120,657
865,000  
Ukraine Government International Bond (USD) (c)

  7.75%   09/01/24   892,669
188,000  
Ukraine Government International Bond (USD) (c) (e)

  (d)   05/31/40   131,676
        1,145,002
    Uruguay – 0.2%            
5,076,079  
Uruguay Government International Bond (UYU)

  4.38%   12/15/28   194,171
   
Total Foreign Sovereign Bonds and Notes

  39,040,912
    (Cost $35,986,694)            
FOREIGN CORPORATE BONDS AND NOTES (a) (f) – 17.3%
    Argentina – 0.2%            
200,000  
Genneia S.A. (USD) (c)

  8.75%   01/20/22   215,928
    Azerbaijan – 0.6%            
495,000  
Southern Gas Corridor CJSC (USD) (c)

  6.88%   03/24/26   546,800
    Barbados – 0.3%            
250,000  
Sagicor Finance 2015 Ltd. (USD) (c)

  8.88%   08/11/22   280,000
    Brazil – 3.3%            
277,000  
Azul Investments LLP (USD) (c)

  5.88%   10/26/24   273,538
270,000  
Caixa Economica Federal (USD) (e)

  7.25%   07/23/24   279,450
280,000  
CSN Resources S.A. (USD) (c)

  7.63%   02/13/23   262,850
330,000  
GTL Trade Finance, Inc. (USD)

  7.25%   04/16/44   371,250
280,000  
MARB BondCo PLC (USD) (c)

  6.88%   01/19/25   256,620
350,000  
OAS Finance Ltd. (USD) (e) (g) (h) (i)

  8.88%   (j)   21,438
200,000  
OAS Investments GmbH (USD) (g) (h) (i)

  8.25%   10/19/19   12,250
282,600  
Odebrecht Drilling Norbe VIII/IX Ltd. (USD)

  6.35%   12/01/21   276,948
350,000  
Petrobras Global Finance BV (USD) (c)

  5.30%   01/27/25   346,062
650,000  
Petrobras Global Finance BV (USD)

  8.75%   05/23/26   765,602
155,000  
QGOG Atlantic/Alaskan Rigs Ltd. (USD)

  5.25%   07/30/18   151,900
        3,017,908
    China – 0.5%            
260,000  
Shimao Property Holdings Ltd. (USD)

  8.38%   02/10/22   279,541
200,000  
Yingde Gases Investment Ltd. (USD) (c)

  6.25%   01/19/23   197,265
        476,806
    Colombia – 0.2%            
207,000  
Banco GNB Sudameris S.A. (USD) (c) (e)

  6.50%   04/03/27   213,469
See Notes to Portfolio of Investments

First Trust/Aberdeen Emerging Opportunity Fund (FEO)
Portfolio of Investments (Continued)
March 31, 2018 (Unaudited)
Principal
Value
(Local
Currency)
  Description   Stated
Coupon
  Stated
Maturity
  Value
(US Dollars)
FOREIGN CORPORATE BONDS AND NOTES (a) (f) (Continued)
    Dominican Republic – 0.9%            
720,000  
AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad Itabo (USD) (c)

  7.95%   05/11/26   $771,804
    El Salvador – 0.4%            
310,000  
Grupo Unicomer Co., Ltd. (USD) (c)

  7.88%   04/01/24   336,505
    Georgia – 0.6%            
200,000  
BGEO Group JSC (USD) (c)

  6.00%   07/26/23   202,750
350,000  
Georgian Oil and Gas Corp. JSC (USD) (c)

  6.75%   04/26/21   364,294
        567,044
    Ghana – 0.3%            
278,000  
Tullow Oil PLC (USD) (c)

  7.00%   03/01/25   278,347
    Guatemala – 0.5%            
400,000  
Comunicaciones Celulares S.A. Via Comcel Trust (USD) (c)

  6.88%   02/06/24   419,356
    Honduras – 0.3%            
280,000  
Inversiones Atlantida S.A. (USD) (c)

  8.25%   07/28/22   291,900
    India – 1.0%            
40,000,000  
NTPC Ltd. (INR)

  7.25%   05/03/22   614,862
275,000  
Vedanta Resources PLC (USD) (c)

  6.13%   08/09/24   269,402
        884,264
    Indonesia – 0.2%            
200,000  
Medco Platinum Road Pte Ltd. (USD) (c)

  6.75%   01/30/25   191,467
    Kazakhstan – 0.3%            
308,000  
Tengizchevroil Finance Co. International Ltd. (USD) (c)

  4.00%   08/15/26   295,141
    Mexico – 1.1%            
270,000  
Axtel SAB de CV (USD) (c)

  6.38%   11/14/24   275,400
230,000  
Cemex SAB de CV (USD) (c)

  7.75%   04/16/26   253,966
4,800,000  
Petroleos Mexicanos (MXN)

  7.19%   09/12/24   238,706
279,000  
Unifin Financiera SAB de CV SOFOM ENR (USD) (c) (e)

  8.88%   (j)   273,420
        1,041,492
    Nigeria – 1.6%            
290,000  
Access Bank PLC (USD) (c)

  10.50%   10/19/21   326,227
290,000  
IHS Netherlands Holdco BV (USD) (c)

  9.50%   10/27/21   305,019
290,000  
SEPLAT Petroleum Development Co., PLC (USD) (c)

  9.25%   04/01/23   290,725
270,000  
United Bank for Africa PLC (USD) (c)

  7.75%   06/08/22   279,831
200,000  
Zenith Bank PLC (USD) (c)

  7.38%   05/30/22   206,818
        1,408,620
    Paraguay – 0.4%            
350,000  
Banco Regional SAECA (USD) (c)

  8.13%   01/24/19   362,757
    Russia – 1.0%            
290,000  
Credit Bank of Moscow Via CBOM Finance PLC (USD) (e)

  7.50%   10/05/27   270,219
394,000  
Evraz Group S.A. (USD) (c)

  5.38%   03/20/23   398,728
200,000  
GTH Finance BV (USD) (c)

  7.25%   04/26/23   217,936
        886,883
    South Africa – 1.3%            
17,000,000  
Eskom Holdings SOC Ltd. (ZAR)

  7.50%   09/15/33   1,159,676
See Notes to Portfolio of Investments

First Trust/Aberdeen Emerging Opportunity Fund (FEO)
Portfolio of Investments (Continued)
March 31, 2018 (Unaudited)
Principal
Value
(Local
Currency)
  Description   Stated
Coupon
  Stated
Maturity
  Value
(US Dollars)
FOREIGN CORPORATE BONDS AND NOTES (a) (f) (Continued)
    Turkey – 1.3%            
339,000  
Hazine Mustesarligi Varlik Kiralama AS (USD) (c)

  5.00%   04/06/23   $342,296
280,000  
Odea Bank AS (USD) (c) (e)

  7.63%   08/01/27   267,775
288,000  
Turkiye Vakiflar Bankasi TAO (USD)

  6.00%   11/01/22   280,940
300,000  
Yasar Holdings AS (USD) (c)

  8.88%   05/06/20   304,122
        1,195,133
    Ukraine – 1.0%            
267,720  
Metinvest BV (USD) (k)

  9.37%   12/31/21   281,374
322,000  
MHP LUX S.A. (USD) (c)

  6.95%   04/03/26   321,936
280,000  
Ukreximbank Via Biz Finance PLC (USD)

  9.63%   04/27/22   295,912
        899,222
   
Total Foreign Corporate Bonds and Notes

  15,740,522
    (Cost $15,791,282)            
    
Shares   Description   Value
COMMON STOCKS (a) – 45.0%
    Brazil – 5.5%    
103,750  
Ambev S.A.

  760,813
99,061  
Banco Bradesco S.A., ADR

  1,176,845
42,377  
BRF S.A. (l)

  293,043
66,401  
Lojas Renner S.A.

  686,848
24,054  
Multiplan Empreendimentos Imobiliarios S.A., Preference Shares

  502,654
35,196  
Ultrapar Participacoes S.A.

  762,458
68,053  
Vale S.A., ADR

  865,634
        5,048,295
    Chile – 1.1%    
15,959  
Banco Santander Chile S.A., ADR

  534,786
50,382  
SACI Falabella

  485,825
        1,020,611
    China – 8.7%    
120,500  
Anhui Conch Cement Co., Ltd., Class H (m)

  663,107
564,000  
Beijing Capital International Airport Co., Ltd., Class H (m)

  761,726
114,000  
China Mobile Ltd. (m)

  1,044,855
278,000  
China Resources Land Ltd. (m)

  1,021,556
80,500  
Ping An Insurance Group Co. of China Ltd., Class H (m)

  830,010
49,500  
Tencent Holdings Ltd. (m)

  2,657,139
21,879  
YUM China Holdings, Inc.

  907,978
        7,886,371
    Hong Kong – 2.8%    
128,200  
AIA Group Ltd. (m)

  1,095,941
226,000  
Hang Lung Group Ltd. (m)

  741,162
20,899  
Hong Kong Exchanges and Clearing Ltd. (m)

  688,351
        2,525,454
    Hungary – 0.4%    
15,300  
Richter Gedeon Nyrt (m)

  319,733
    India – 6.5%    
71,414  
Aditya Birla Capital Ltd. (l) (m)

  161,061
48,010  
Grasim Industries Ltd. (m)

  778,770
See Notes to Portfolio of Investments

First Trust/Aberdeen Emerging Opportunity Fund (FEO)
Portfolio of Investments (Continued)
March 31, 2018 (Unaudited)
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    India (Continued)    
10,537  
Hero MotoCorp Ltd. (m)

  $575,218
29,600  
Hindustan Unilever Ltd. (m)

  607,629
56,900  
Housing Development Finance Corp., Ltd. (m)

  1,602,766
214,459  
ITC Ltd. (m)

  845,526
27,500  
Kotak Mahindra Bank Ltd. (m)

  444,099
12,702  
Tata Consultancy Services Ltd. (m)

  556,600
5,428  
UltraTech Cement Ltd. (m)

  330,385
        5,902,054
    Indonesia – 2.1%    
1,684,100  
Astra International Tbk PT (m)

  895,611
375,000  
Bank Central Asia Tbk PT (m)

  637,045
317,600  
Indocement Tunggal Prakarsa Tbk PT (m)

  371,487
        1,904,143
    Malaysia – 0.6%    
86,200  
Public Bank Bhd (m)

  535,959
    Mexico – 2.3%    
9,500  
Fomento Economico Mexicano, S.A.B. de C.V., ADR

  868,585
14,000  
Grupo Aeroportuario del Centro Norte, S.A.B. de C.V., ADR

  551,740
113,838  
Grupo Financiero Banorte, S.A.B. de C.V., O Shares

  695,864
        2,116,189
    Philippines – 1.7%    
1,134,100  
Ayala Land, Inc. (m)

  897,461
275,959  
Bank of the Philippine Islands (m)

  621,662
        1,519,123
    Poland – 0.4%    
10,396  
Bank Pekao S.A. (m)

  375,014
    Portugal – 0.5%    
23,692  
Jeronimo Martins SGPS S.A. (m)

  430,925
    Russia – 1.0%    
7,200  
Lukoil PJSC, ADR

  498,384
5,496  
Magnit PJSC (m)

  445,555
        943,939
    South Africa – 1.7%    
33,910  
Massmart Holdings Ltd. (m)

  459,844
52,100  
MTN Group Ltd.

  523,784
65,263  
Truworths International Ltd. (m)

  594,933
        1,578,561
    South Korea – 4.4%    
1,020  
Amorepacific Corp. (m)

  153,596
2,341  
Amorepacific Group (m)

  302,090
1,166  
LG Chem Ltd. (m)

  425,624
933  
NAVER Corp. (m)

  694,361
1,266  
Samsung Electronics Co., Ltd. (Preference Shares) (m)

  2,434,433
        4,010,104
    Taiwan – 2.2%    
235,954  
Taiwan Semiconductor Manufacturing Co., Ltd. (m)

  1,998,578
See Notes to Portfolio of Investments

First Trust/Aberdeen Emerging Opportunity Fund (FEO)
Portfolio of Investments (Continued)
March 31, 2018 (Unaudited)
Shares   Description   Value
COMMON STOCKS (a) (Continued)
    Thailand – 1.7%    
53,700  
Siam Cement (The) PCL (m)

  $848,839
142,400  
Siam Commercial Bank Public Co., Ltd. (m)

  654,705
        1,503,544
    Turkey – 1.1%    
107,935  
Akbank Turk A.S. (m)

  262,447
26,944  
BIM Birlesik Magazalar A.S. (m)

  488,589
103,000  
Turkiye Garanti Bankasi A.S. (m)

  285,602
        1,036,638
    United Kingdom – 0.3%    
31,539  
Standard Chartered PLC (m)

  316,095
   
Total Common Stocks

  40,971,330
    (Cost $30,499,278)    
   
Total Investments – 105.1%

  95,752,764
    (Cost $82,277,254) (n)    
   
Outstanding Loan – (6.4)%

  (5,800,000)
   
Net Other Assets and Liabilities – 1.3%

  1,170,302
   
Net Assets – 100.0%

  $91,123,066
    
Forward Foreign Currency Contracts
Settlement
Date
  Counterparty   Amount
Purchased
  Amount
Sold
  Purchase
Value as of
3/31/2018
  Sale
Value as of
3/31/2018
  Unrealized
Appreciation/
(Depreciation)
05/04/18   BAR   UAH 15,609,000   USD 564,521   $ 581,485   $ 564,521   $  16,964
04/10/18   DB   ZAR 6,837,000   USD 599,491    614,480    599,491     14,989
04/10/18   CIT   USD 542,546   ZAR 6,837,000    542,546    576,555    (34,009)
Net Unrealized Appreciation (Depreciation)

  $(2,056)
    
Counterparty Abbreviations
BAR Barclays Bank
CIT Citibank, NA
DB Deutsche Bank
See Note 2C – Forward Foreign Currency Contracts in the Notes to Portfolio of Investments.

(a) All of these securities are available to serve as collateral for the outstanding loans.
(b) Floating rate security.
(c) This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the Securities Act of 1933, as amended (the “1933 Act”), and may be resold in transactions exempt from registration, normally to qualified institutional buyers. Pursuant to procedures adopted by the Fund’s Board of Trustees, this security has been determined to be liquid by Aberdeen Asset Management Inc. (the “Sub-Advisor”). Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security specific factors and assumptions, which require subjective judgment. At March 31, 2018, securities noted as such amounted to $17,509,041 or 19.2% of net assets.
(d) Zero coupon bond.
(e) Fixed-to-floating or fixed-to-variable rate security. The interest rate shown reflects the fixed rate in effect at March 31, 2018. At a predetermined date, the fixed rate will change to a floating rate or a variable rate.
(f) Portfolio securities are included in a country based upon their underlying credit exposure as determined by the Sub-Advisor.
(g) This security, sold within the terms of a private placement memorandum, is exempt from registration upon resale under Rule 144A under the 1933 Act, and may be resold in transactions exempt from registration, normally to qualified institutional buyers (see Note 2E - Restricted Securities in the Notes to Portfolio of Investments).
(h) This issuer is in default and interest is not being accrued by the Fund, nor paid by the issuer.
(i) This issuer has filed for bankruptcy protection in a São Paulo state court.
(j) Perpetual maturity.
See Notes to Portfolio of Investments

First Trust/Aberdeen Emerging Opportunity Fund (FEO)
Portfolio of Investments (Continued)
March 31, 2018 (Unaudited)
(k) These notes are Senior Payment-In-Kind (“PIK”) Toggle Notes whereby the issuer pays interest on the notes in cash at the rate of 2.793% per annum (“Cash-pay Interest Amount”). In addition to the Cash-pay Interest Amount, the issuer pays interest on the notes at the rate of 6.5795% per annum, in cash, only if any Notes Cash Sweep Amount is available, and otherwise in PIK Notes. For the fiscal year-to-date period (January 1, 2018 to March 31, 2018), this security paid all of its interest in cash.
(l) Non-income producing security.
(m) This security is fair valued by the Advisor’s Pricing Committee in accordance with procedures adopted by the Fund’s Board of Trustees and in accordance with provisions of the Investment Company Act of 1940, as amended. At March 31, 2018, securities noted as such are valued at $30,856,089 or 33.9% of net assets. Certain of these securities are fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the New York Stock Exchange (“NYSE”) close exceeding a certain threshold. On days when this threshold is not exceeded, these securities are typically valued at the last sale price on the exchange on which they are principally traded.
(n) Aggregate cost for financial reporting purposes approximates the aggregate cost for federal income tax purposes. As of March 31, 2018, the aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost was $18,572,253 and the aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value was $5,098,799. The net unrealized appreciation was $13,473,454. The amounts presented are inclusive of derivative contracts.
    
ADR American Depositary Receipt
LIBOR London Interbank Offered Rate

Valuation Inputs
A summary of the inputs used to value the Fund’s investments as of March 31, 2018 is as follows (see Note 2A - Portfolio Valuation in the Notes to Portfolio of Investments):
ASSETS TABLE
  Total
Value at
3/31/2018
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Foreign Sovereign Bonds and Notes*

$39,040,912 $$39,040,912 $
Foreign Corporate Bonds and Notes*

15,740,522 15,740,522
Common Stocks:        
Brazil

5,048,295 5,048,295
Chile

1,020,611 1,020,611
China

7,886,371 907,978 6,978,393
Mexico

2,116,189 2,116,189
Russia

943,939 498,384 445,555
South Africa

1,578,561 523,784 1,054,777
Other Country Categories*

22,377,364 22,377,364
Total Investments

$95,752,764 $10,115,241 $85,637,523 $
Forward Foreign Currency Contracts

31,953 31,953
Total

$95,784,717 $10,115,241 $85,669,476 $
 
LIABILITIES TABLE
  Total
Value at
3/31/2018
Level 1
Quoted
Prices
Level 2
Significant
Observable
Inputs
Level 3
Significant
Unobservable
Inputs
Forward Foreign Currency Contracts

$(34,009) $$(34,009) $
    
* See Portfolio of Investments for country breakout.
All transfers in and out of the Levels during the period are assumed to occur on the last day of the period at their current value. As of March 31, 2018, the Fund transferred common stocks valued at $30,201,384 from Level 1 to Level 2 of the fair value hierarchy. The common stocks that transferred from Level 1 to Level 2 did so as a result of being fair valued using a factor provided by a third-party pricing service due to the change in value between the foreign markets’ close and the NYSE close on the last business day of the period exceeding a certain threshold. Previously, these common stocks were valued based on quoted prices.
See Notes to Portfolio of Investments

First Trust/Aberdeen Emerging Opportunity Fund (FEO)
Portfolio of Investments (Continued)
March 31, 2018 (Unaudited)
Credit Quality % of Total
Fixed-Income
Investments
A 4.6%
A- 12.5
BBB 11.4
BBB- 11.4
BB+ 5.6
BB 10.2
BB- 7.5
B+ 11.0
B 15.5
B- 5.6
CCC+ 0.3
Not Rated 4.4
Total 100.0%
    
The credit quality and ratings information presented above reflect the ratings assigned by one or more nationally recognized statistical rating organizations (NRSROs), including Standard & Poor’s Ratings Group, a division of the McGraw-Hill Companies, Inc., Moody’s Investors Service, Inc., Fitch Ratings or a comparably rated NRSRO. For situations in which a security is rated by more than one NRSRO and the ratings are not equivalent, the highest rating is used. Sub-investment grade ratings are those rated BB+/Ba1 or lower. Investment grade ratings are those rated BBB-/Baa3 or higher. The credit ratings shown relate to the credit worthiness of the issuers of the underlying securities in the Fund, and not to the Fund or its shares. Credit ratings are subject to change.
    
Industry Classification % of Total
Investments
Sovereigns 41.1%
Banks 9.9
Internet Software & Services 3.5
Real Estate Management & Development 3.3
Construction Materials 3.1
Metals & Mining 2.6
Technology Hardware, Storage & Peripherals 2.5
Wireless Telecommunication Services 2.3
Semiconductors & Semiconductor Equipment 2.1
Utilities 2.0
Insurance 2.0
Food & Staples Retailing 1.9
Beverages 1.7
Thrifts & Mortgage Finance 1.7
Automobiles 1.5
Integrated Oils 1.4
Transportation Infrastructure 1.4
Oil, Gas & Consumable Fuels 1.3
Multiline Retail 1.2
Exploration & Production 1.1
Pipelines 1.0
Hotels, Restaurants & Leisure 1.0
Food & Beverage 0.9
Tobacco 0.9
Power Generation 0.9
Capital Markets 0.7
Oil & Gas Services & Equipment 0.7
Household Products 0.6
Specialty Retail 0.6
IT Services 0.6
Personal Products 0.5
Chemicals 0.4
Retail - Consumer Discretionary 0.4
Pharmaceuticals 0.3
Communications Equipment 0.3
Government Development Banks 0.3
Food Products 0.3
Life Insurance 0.3
Real Estate 0.3
Wireline Telecommunication Services 0.3
Airlines 0.3
Commercial Finance 0.3
Construction Materials Manufacturing 0.3
Diversified Financial Services 0.2
Industrial Other 0.0*
Total 100.0%
    
* Amount is less than 0.05%.
    
 
 
See Notes to Portfolio of Investments

First Trust/Aberdeen Emerging Opportunity Fund (FEO)
Portfolio of Investments (Continued)
March 31, 2018 (Unaudited)
Currency Exposure
Diversification
% of Total
Investments†
USD 32.3%
HKD 9.9
BRL 7.3
INR 6.8
ZAR 5.4
RUB 4.6
MXN 4.4
KRW 4.2
IDR 3.9
PLN 3.0
TRY 2.4
PEN 2.2
TWD 2.1
MYR 1.8
PHP 1.6
THB 1.6
EGP 1.3
DOP 1.2
EUR 0.9
UAH 0.6
GHS 0.6
ARS 0.6
CLP 0.5
HUF 0.3
GBP 0.3
UYU 0.2
Total 100.0%
    
The weightings include the impact of currency forwards.
    
Currency Abbreviations
ARS Argentine Peso
BRL Brazilian Real
CLP Chilean Peso
DOP Dominican Peso
EGP Egyptian Pound
EUR Euro
GBP British Pound Sterling
GHS Ghanaian Cedis
HKD Hong Kong Dollar
HUF Hungarian Forint
IDR Indonesian Rupiah
INR Indian Rupee
KRW South Korean Won
MXN Mexican Peso
MYR Malaysian Ringgit
PEN Peruvian Nuevo Sol
PHP Philippine Peso
PLN Polish Zloty
RUB Russian Ruble
THB Thai Baht
TRY Turkish Lira
TWD New Taiwan Dollar
UAH Ukrainian Hryvnia
USD United States Dollar
UYU Uruguay Peso
ZAR South African Rand
See Notes to Portfolio of Investments

Notes to Portfolio of Investments
First Trust/Aberdeen Emerging Opportunity Fund (FEO)
March 31, 2018 (Unaudited)
1. Organization
First Trust/Aberdeen Emerging Opportunity Fund (the “Fund”) is a diversified, closed-end management investment company organized as a Massachusetts business trust on May 16, 2006, and is registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “1940 Act”). The Fund trades under the ticker symbol FEO on the New York Stock Exchange (“NYSE”).
The Fund is considered an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board Accounting Standards Codification Topic 946, “Financial Services-Investment Companies.”
2. Valuation and Investment Practices
A. Portfolio Valuation
The net asset value (“NAV”) of the Common Shares of the Fund is determined daily as of the close of regular trading on the NYSE, normally 4:00 p.m. Eastern time, on each day the NYSE is open for trading. If the NYSE closes early on a valuation day, the NAV is determined as of that time. Domestic debt securities and foreign securities are priced using data reflecting the earlier closing of the principal markets for those securities. The Fund’s NAV per Common Share is calculated by dividing the value of all assets of the Fund (including accrued interest and dividends), less all liabilities (including accrued expenses, dividends declared but unpaid and any borrowings of the Fund), by the total number of Common Shares outstanding.
The Fund’s investments are valued daily at market value or, in the absence of market value with respect to any portfolio securities, at fair value. Market value prices represent last sale or official closing prices from a national or foreign exchange (i.e., a regulated market) and are primarily obtained from third-party pricing services. Fair value prices represent any prices not considered market value prices and are either obtained from a third-party pricing service or are determined by the Pricing Committee of the Fund’s investment advisor, First Trust Advisors L.P. (“First Trust” or the “Advisor”), in accordance with valuation procedures adopted by the Fund’s Board of Trustees, and in accordance with provisions of the 1940 Act. Investments valued by the Advisor’s Pricing Committee, if any, are footnoted as such in the footnotes to the Portfolio of Investments. The Fund’s investments are valued as follows:
Bonds, notes, and other debt securities are fair valued on the basis of valuations provided by dealers who make markets in such securities or by a third-party pricing service approved by the Fund’s Board of Trustees, which may use the following valuation inputs when available:
1) benchmark yields;
2) reported trades;
3) broker/dealer quotes;
4) issuer spreads;
5) benchmark securities;
6) bids and offers; and
7) reference data including market research publications.
Fixed income and other debt securities having a remaining maturity of sixty days or less when purchased are fair valued at cost adjusted for amortization of premiums and accretion of discounts (amortized cost), provided the Advisor’s Pricing Committee has determined that the use of amortized cost is an appropriate reflection of fair value given market and issuer-specific conditions existing at the time of the determination. Factors that may be considered in determining the appropriateness of the use of amortized cost include, but are not limited to, the following:
1) the credit conditions in the relevant market and changes thereto;
2) the liquidity conditions in the relevant market and changes thereto;
3) the interest rate conditions in the relevant market and changes thereto (such as significant changes in interest rates);
4) issuer-specific conditions (such as significant credit deterioration); and
5) any other market-based data the Advisor’s Pricing Committee considers relevant. In this regard, the Advisor’s Pricing Committee may use last-obtained market-based data to assist it when valuing portfolio securities using amortized cost.
Common stocks and other equity securities listed on any national or foreign exchange (excluding The Nasdaq Stock Market LLC (“Nasdaq”) and the London Stock Exchange Alternative Investment Market (“AIM”)) are valued at the last sale price on the exchange on which they are principally traded or, for Nasdaq and AIM securities, the official closing price. Securities traded on more than one securities exchange are valued at the last sale price or official closing price, as applicable, at the close of the securities exchange representing the principal market for such securities.

Notes to Portfolio of Investments (Continued)
First Trust/Aberdeen Emerging Opportunity Fund (FEO)
March 31, 2018 (Unaudited)
Securities traded in an over-the-counter market are fair valued at the mean of their most recent bid and asked price, if available, and otherwise at their closing bid price.
Forward foreign currency contracts are valued at the current day’s interpolated foreign exchange rate, as calculated using the current day’s spot rate, and the thirty, sixty, ninety, and one-hundred eighty day forward rates provided by a third-party pricing service.
Certain securities may not be able to be priced by pre-established pricing methods. Such securities may be valued by the Fund’s Board of Trustees or its delegate, the Advisor’s Pricing Committee, at fair value. These securities generally include, but are not limited to, restricted securities (securities which may not be publicly sold without registration under the Securities Act of 1933, as amended (the “1933 Act”)) for which a third-party pricing service is unable to provide a market price; securities whose trading has been formally suspended; a security whose market or fair value price is not available from a pre-established pricing source; a security with respect to which an event has occurred that is likely to materially affect the value of the security after the market has closed but before the calculation of the Fund’s NAV or make it difficult or impossible to obtain a reliable market quotation; and a security whose price, as provided by the third-party pricing service, does not reflect the security’s fair value. As a general principle, the current fair value of a security would appear to be the amount which the owner might reasonably expect to receive for the security upon its current sale. When fair value prices are used, generally they will differ from market quotations or official closing prices on the applicable exchanges. A variety of factors may be considered in determining the fair value of such securities, including, but not limited to, the following:
1) the fundamental business data relating to the issuer, or economic data relating to the country of issue;
2) an evaluation of the forces which influence the market in which these securities are purchased and sold;
3) the type, size and cost of security;
4) the financial statements of the issuer, or the financial condition of the country of issue;
5) the credit quality and cash flow of the issuer, or country of issue, based on Aberdeen Asset Management Inc.’s (“Aberdeen” or the “Sub-Advisor”) or external analysis;
6) the information as to any transactions in or offers for the security;
7) the price and extent of public trading in similar securities (or equity securities) of the issuer/borrower, or comparable companies;
8) the coupon payments;
9) the quality, value and salability of collateral, if any, securing the security;
10) the business prospects of the issuer, including any ability to obtain money or resources from a parent or affiliate and an assessment of the issuer’s management (for corporate debt only);
11) the economic, political and social prospects/developments of the country of issue and the assessment of the country’s governmental leaders/officials (for sovereign debt only);
12) the prospects for the issuer’s industry, and multiples (of earnings and/or cash flows) being paid for similar businesses in that industry (for corporate debt only); and
13) other relevant factors.
Fair valuation of an equity security will be based on the consideration of all available information, including, but not limited to the following:
1) the type of security;
2) the size of the holding;
3) the initial cost of the security;
4) transactions in comparable securities;
5) price quotes from dealers and/or third-party pricing services;
6) relationships among various securities;
7) information obtained by contacting the issuer, analysts, or the appropriate stock exchange;
8) an analysis of the issuer’s financial statements; and
9) the existence of merger proposals or tender offers that might affect the value of the security.
If the securities in question are foreign securities, the following additional information may be considered:
1) the value of similar foreign securities traded on other foreign markets;
2) ADR trading of similar securities;
3) closed-end fund trading of similar securities;

Notes to Portfolio of Investments (Continued)
First Trust/Aberdeen Emerging Opportunity Fund (FEO)
March 31, 2018 (Unaudited)
4) foreign currency exchange activity;
5) the trading prices of financial products that are tied to baskets of foreign securities;
6) factors relating to the event that precipitated the pricing problem;
7) whether the event is likely to recur; and
8) whether the effects of the event are isolated or whether they affect entire markets, countries or regions.
Because foreign markets may be open on different days than the days during which investors may transact in the shares of the Fund, the value of the Fund’s securities may change on the days when investors are not able to transact in the shares of the Fund. The value of securities denominated in foreign currencies is converted into U.S. dollars using exchange rates determined daily as of the close of regular trading on the NYSE.
The Fund is subject to fair value accounting standards that define fair value, establish the framework for measuring fair value and provide a three-level hierarchy for fair valuation based upon the inputs to the valuation as of the measurement date. The three levels of the fair value hierarchy are as follows:
Level 1 – Level 1 inputs are quoted prices in active markets for identical investments. An active market is a market in which transactions for the investment occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
Level 2 – Level 2 inputs are observable inputs, either directly or indirectly, and include the following:
o Quoted prices for similar investments in active markets.
o Quoted prices for identical or similar investments in markets that are non-active. A non-active market is a market where there are few transactions for the investment, the prices are not current, or price quotations vary substantially either over time or among market makers, or in which little information is released publicly.
o Inputs other than quoted prices that are observable for the investment (for example, interest rates and yield curves observable at commonly quoted intervals, volatilities, prepayment speeds, loss severities, credit risks, and default rates).
o Inputs that are derived principally from or corroborated by observable market data by correlation or other means.
Level 3 – Level 3 inputs are unobservable inputs. Unobservable inputs may reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the investment.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Fund’s investments as of March 31, 2018, is included with the Fund’s Portfolio of Investments.
B. Securities Transactions
Securities transactions are recorded as of the trade date. Realized gains and losses from securities transactions are recorded on the identified cost basis.
Securities purchased or sold on a when-issued, delayed-delivery or forward purchase commitment basis may have extended settlement periods. The value of the security so purchased is subject to market fluctuations during this period. The Fund maintains liquid assets with a current value at least equal to the amount of its when-issued, delayed-delivery or forward purchase commitments until payment is made. At March 31, 2018, the Fund had no when-issued, delayed-delivery or forward purchase commitments.
C. Forward Foreign Currency Contracts
The Fund is subject to foreign currency risk in the normal course of pursuing its investment objectives. Forward foreign currency contracts are agreements between two parties (“Counterparties”) to exchange one currency for another at a future date and at a specified price. The Fund uses forward foreign currency contracts to facilitate transactions in foreign securities and to manage the Fund’s foreign currency exposure. These contracts are valued daily, and the Fund’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included on the Forward Foreign Currency Contracts table in the Portfolio of Investments. Risks arise from the possible inability of Counterparties to meet the terms of their contracts and from movement in currency, securities values and interest rates. Due to the risks, the Fund could incur losses in excess of the net unrealized value shown on the Forward Foreign Currency Contracts table in the Portfolio of Investments. In the event of default by the Counterparty, the Fund will provide notice to the Counterparty of the Fund’s intent to convert the currency held by the Fund into the currency that the Counterparty agreed to exchange with the Fund. If a Counterparty becomes bankrupt or otherwise fails to perform its obligations due

Notes to Portfolio of Investments (Continued)
First Trust/Aberdeen Emerging Opportunity Fund (FEO)
March 31, 2018 (Unaudited)
to financial difficulties, the Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Fund may obtain only limited recovery or may obtain no recovery in such circumstances.
D. Foreign Currency
The books and records of the Fund are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the exchange rates prevailing at the end of the period. Purchases and sales of investments and items of income and expense are translated on the respective dates of such transactions.
E. Restricted Securities
The Fund invests in restricted securities, which are securities that may not be offered for public sale without first being registered under the 1933 Act. Prior to registration, restricted securities may only be resold in transactions exempt from registration under Rule 144A under the 1933 Act, normally to qualified institutional buyers. As of March 31, 2018, the Fund held restricted securities as shown in the following table that the Sub-Advisor has deemed illiquid pursuant to procedures adopted by the Fund’s Board of Trustees. Although market instability can result in periods of increased overall market illiquidity, liquidity for each security is determined based on security-specific factors and assumptions, which require subjective judgment. The Fund does not have the right to demand that such securities be registered. These securities are valued according to the valuation procedures as stated in the Portfolio Valuation note (Note 2A) and are not expressed as a discount to the carrying value of a comparable unrestricted security. There are no unrestricted securities with the same maturity dates and yields for these issuers.
Security Acquisition
Date
Principal
Values
Price Carrying
Cost
  Value   % of
Net
Assets
OAS Finance Ltd., 8.88% 4/18/2013 $350,000 $6.13 $350,000   $21,438   0.02%
OAS Investments GmbH, 8.25%, 10/19/19 10/15/2012 200,000 6.13 200,000   12,250   0.01
        $550,000   $33,688   0.03%
3. Derivative Transactions
For the fiscal year-to-date period (January 1, 2018 through March 31, 2018), the notional values of forward foreign currency contracts opened and closed were $11,866,109 and $12,134,776, respectively.

 

Item 2. Controls and Procedures.

(a)The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b)There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

  

Item 3. Exhibits.

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

 

SIGNATURES

 



Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(registrant)

First Trust/Aberdeen Emerging Opportunity Fund

   

 

By (Signature and Title)* /s/ James M. Dykas    
  James M. Dykas, President and Chief Executive Officer
(principal executive officer)
   

Date:May 29, 2018

 

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)* /s/ James M. Dykas    
  James M. Dykas, President and Chief Executive Officer
(principal executive officer)
   
Date:May 29, 2018

 

By (Signature and Title)* /s/ Donald P. Swade    
  Donald P. Swade, Treasurer, Chief Financial Officer
and Chief Accounting Officer
(principal financial officer)
   
Date:May 29, 2018

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