Edgar Filing: FIRST FINANCIAL FUND INC

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

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Investment Company Act file number 811-04605
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First Financial Fund, Inc.
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(Exact name of registrant as specified in charter)

1680 38th Street, Suite 800

Boulder, Co 80301
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(Address of principal executive offices) (Zip code)

Stephen C. Miller, Esq.
1680 38th Street, Suite 800
Boulder, Co 80301
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(Name and address of agent for service)

Registrant's telephone number, including area code: 303-444-5483
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Date of fiscal year end: March 31, 2004
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Date of reporting period: March 31, 2004
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 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. REPORTS TO STOCKHOLDERS.

The Report to Shareholders is attached herewith.

LETTER FROM THE CHAIRMAN MARCH 31, 2004

FELLOW SHAREHOLDERS:

The Board of Directors is very pleased with the Fund's performance for fiscal
year ending March 31, 2004. A 55.00% return is an outstanding performance. The
Board is also proud of the Fund's recognition by Lipper as having achieved the
highest 10 year return for any closed-end equity fund for the period ending
December 31, 2003. Speaking for the entire Board, we wish to recognize and thank
the Fund's adviser, Wellington Management Company, LLP, and more specifically
Nick Adams, the Fund's portfolio manager. The Fund's fine performance is an
illustration of their commitment to us as shareholders. We continue to support
Wellington Management and Mr. Adams in ways they feel will benefit the Fund.

To that end, you will receive shortly the Fund's Proxy Statement with regard to
the upcoming annual meeting of stockholders. The Proxy Statement will contain a
number of proposals, including a proposal to broaden the Fund's concentration
policy. Currently, the Fund must invest at least 65% of its assets in securities
issued by "savings and banking institutions, mortgage banking institutions" or
their holding companies. The proposal would broaden the universe of financial
companies in which the Fund might invest and is intended to give the Fund's
portfolio manager needed investment flexibility and options. Please refer to
Nick's letter for additional information on this issue. The Fund's investment
objective and other fundamental policies would remain unchanged.

The Proxy Statement will also recommend a comprehensive set of proposals to
implement a number of what might be referred to as "shareholder-friendly"
practices in the corporate governance area, including one which seeks to
declassify the Board. Generally, these proposals seek to eliminate or modify a
number of current charter or bylaw provisions that are often viewed as limiting
accountability and insulating management from stockholders. Further details may
be found in the upcoming Proxy Statement.

When you receive your Proxy Statement, please respond promptly so that the Fund
can save on proxy solicitation expenses.

Thank you for your support of the Fund. We remain committed to providing a
quality investment fund to you, our fellow shareholders.

Sincerely,

/S/ SIG
Joel Looney
Chairman of the Board

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1

LETTER FROM THE ADVISER MARCH 31, 2004

DEAR FELLOW SHAREHOLDERS:

Our Fund returned 55.00% for the fiscal year ending March 31, 2004,
outperforming comparative benchmarks. These results came notwithstanding an
outsized cash position for most of the year. Once again, our cautious outlook
proved wrong or at least, premature. On a more positive note, the Fund had the
highest returns of any closed-end equity fund, according to Lipper, for the 10
years ending December 31, 2003. The achievements could not have occurred without
the support of our shareholders and Board of Directors. Thank you.

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TOTAL RETURN
FOR THE PERIODS ENDED 3/31/04
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6 MOS. 1 YEAR 3 YEARS 5 YEARS

FIRST FINANCIAL FUND'S NAV 22.6% 55.0% 33.1% 28.4%
S&P 500 14.1 35.1 0.6 -1.2
NASDAQ Composite* 11.9 49.3 2.9 -4.0
NASDAQ Banks* 13.7 35.3 16.1 11.0
SNL All Daily* 19.1 44.6 21.4 17.5
SNL MBS REITS* 34.5 70.2 47.0 24.0
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Sources: Lipper Analytical Services, Inc. and Wellington Management Company, LLP
* Principal Only

This past fiscal year was characterized by a grudging but determined rebound in
the economy and a very steep yield curve made possible by an exceedingly
accommodative Fed. Such an environment was ideal for mortgage bankers, mortgage
REIT's and banks indulging in the "carry" trade - borrowing short and lending
long. Low rates, lots of liquidity and a punk commercial lending environment all
contributed to an acceleration in bank acquisition activity. Finally, an
extended hard market in property and casualty insurance fueled a continued
rebound in the stocks of this sector. 2003 was a propitious year for almost all
of financial services.

After the strong run of the past few years, the Fund reduced its allocation to
mortgage REIT's (4%). Finding new names in the insurance area (13%) increased
that sector's weighting, while the banks and thrifts (59%) grew mostly through
appreciation. Our emphasis on mortgage bankers (11%) proved beneficial in the
low rate, steep yield curve environment. This years top contributor was
Countrywide Financial Corporation, a mortgage banker that continues to gain
share, intelligently diversify and deliver mortgage related products at the
lowest prices. Their strength in loan servicing and interest rate risk
management should leave them well positioned even as interest rates rise. Hudson
City

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Bancorp, another top contributor, benefited from the steep yield curve and
speculation over its converting from a mutual holding company to full stock.
Fueling Resource America's outsized returns were successful liquidations of a
number of discount real-estate loans and a well-run subsidiary in the natural
gas exploration, production and syndication business.

Looking ahead, we harbor a number of concerns. Interest rates, at long last, are
on the rise. Higher rates will slow many areas of mortgage lending as well as
challenge those dependent on the "carry trade." We wonder whether higher rates
will also hurt real estate values, the primary source of collateral for most
thrifts and community banks. Higher rates mean fewer refinancings. Refinancing
to lower the debt burden has been an important stimulant to both the consumer
and business. It has also kept some loans from going bad ("the rolling loan
gathers no loss"). The economy will surely miss refinancings. Another of our
worries concerns pricing. Core deposit pricing (including NSF charges), loan
pricing and insurance pricing all have remained reasonably disciplined. However,
as capital builds in the system with few areas of distress, the urge to offset
margin pressures with volume may be the trigger that ignites irrational and
ultimately destructive pricing. We will be on the look out for early signs.
Finally, financial stocks have done well for a very long time now. As a percent
of stock market capitalization, they have once again eclipsed technology and are
approaching what energy represented back in the energy crisis of 1980. We are
overdue for a correction.

Consolidation and aggregation of financial services has increased markedly since
the Fund's inception 18 years ago. Banks, for example, are now in the insurance
and investment banking business. Mortgage REIT's do what used to be the mainstay
of the thrift industry. Consumer and commercial finance companies make loans
that banks used to make and even offer wholesale deposits. As a result, we need
your support for increased flexibility in the Fund's concentration limit. A new,
more up-to-date definition of financial services companies will be outlined in
the Fund's upcoming annual proxy. Be assured that this request does not reflect
a change in the Fund's investment philosophy but rather a recognition of the
changing structure and nomenclature of financial services in the United States.

We appreciate your continued interest in and support of the Fund.

Sincerely,

/S/ SIG
Nicholas C. Adams

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PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2004 FIRST FINANCIAL FUND, INC.
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SHARES DESCRIPTION VALUE (NOTE 1)
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LONG TERM INVESTMENTS-99.3%
COMMON STOCKS-DOMESTIC-94.2%
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BANKS & THRIFTS-32.6%
53,500 Bank of America Corporation $ 4,332,430
32,400 Bank of Oak Ridge* 437,400
538,450 Bay View Capital Corporation 1,200,743
164,000 Boston Private Financial
Holdings, Inc. 4,592,000
50,400 Cardinal Financial Corporation* 483,840
112,485 CB Bancshares, Inc. 7,861,577
188,007 CCF Holding Company (e) 5,019,787
142,700 City National Corporation 8,547,730
62,000 Coast Financial Holdings, Inc.* 918,220
60,000 Community Bank San Jose
California (a)(b) 2,707,800
195,000 Dime Bancorp, Inc.* 37,050
9,000 Fidelity Southern Corporation 132,840
20,199 First Citizens BancShares, Inc.,
Class A 2,484,477
16,600 First Indiana Corporation 334,490
50,000 First Regional Bancorp* (a) 1,361,250
230,250 First Republic Bank 8,878,440
242,200 FleetBoston Financial Corporation 10,874,780
71,468 F.N.B Corporation 1,522,983
325,100 Franklin Bank Corporation* (a)(c) 5,439,248
30,000 Hanmi Financial Corporation 797,700
198,316 Hanmi Financial Pipe (a) 4,745,900
280,000 Hibernia Corporation, Class A 6,577,200
71,500 IBERIABANK Corporation 4,207,775
219,600 MetroCorp Bancshares, Inc. 3,228,120
336,000 North Valley Bancorp (e) 5,967,360
292,459 Pacific Union Bank 8,583,672
37,500 Signature Bank* 783,750
271,100 Southwest Bancorp, Inc. 4,690,030
100,000 Sterling Eagle (a)(b) (e) 1,000,000
249,400 Sun Bancorp, Inc.* 6,307,326
335,542 Taylor Capital Group, Inc. 7,734,243
21,100 Team Financial, Inc. 255,521
23,700 Texas United Bancshares, Inc. 449,826
18,400 The Bank Holdings, Inc.* 278,760
218,900 The Bancorp Bank* 3,940,200
130,000 Transatlantic Bank* (a) 1,267,500
35,000 TriCo Bancshares 1,308,300
36,400 Trustmark Corporation 1,059,240
59,500 UMB Financial Corporation 3,016,650
150,400 UnionBanCal Corporation 7,879,456
36,750 Westbank Corporation 841,575
36,700 Yardville National Bancorp 906,490
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142,993,679
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SAVINGS & LOANS-25.9%
12,800 Abington Bancorp, Inc. 578,418
98,600 Bank Mutual Corporation 1,103,334
60,900 BostonFed Bancorp, Inc. 2,088,870
129,280 Broadway Financial Corporation (e) 1,745,280
162,700 CFS Bancorp, Inc. 2,383,555

SHARES DESCRIPTION VALUE (NOTE 1)
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SAVINGS & LOANS - CONTINUED
24,400 Charter Financial Corporation $ 960,628
71,800 Chesterfield Financial Corporation 1,866,800
238,500 Citizens First Bancorp, Inc. 5,762,160
37,600 Commercial Federal Corporation 1,037,760
120,900 Downey Financial Corporation 6,395,610
413,565 Fidelity Federal Bancorp* 822,994
169,600 First Federal Bancshares, Inc. (e) 5,512,000
24,000 First PacTrust Bancorp, Inc. 543,360
163,100 FirstFed America Bancorp, Inc. 4,545,597
252,000 FirstFed Bancorp, Inc. (e) 2,018,520
151,600 FloridaFirst Bancorp, Inc. 4,090,168
114,400 Golden West Financial Corporation 12,807,080
99,300 Greenpoint Financial Corporation 4,340,403
103,100 Hawthorne Financial Corporation* 4,535,369
90,000 HMN Financial, Inc. 2,471,400
170,400 Hudson City Bancorp, Inc. 6,447,936
116,500 Northeast Pennsylvania Financial
Corporation 2,143,600
200,400 Ocwen Financial Corporation* 1,937,868
163,300 Pacific Premier Bancorp, Inc.* 2,188,057
94,800 Parkvale Financial Corporation 2,716,968
25,300 People's Bank 1,176,197
165,930 Perpetual Federal Savings Bank (e) 3,982,320
450,000 Provident Bancorp, Inc. 5,332,500
456,525 Provident Financial Holdings, Inc.(e) 11,860,519
36,000 Rainier Pacific Financial Group, Inc. 580,320
40,650 Redwood Financial, Inc.*(e) 733,733
90,000 River Valley Bancorp (e) 2,088,090
32,500 St. Landry Financial
Corporation* (d)(e)
(12/01/98-cost $471,413) 858,000
172,000 Woronoco Bancorp, Inc. 6,140,400
------------
113,795,814
------------

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MORTGAGE & REITS-15.6%
68,000 Accredited Home Lenders Holding
Company* 2,679,200
89,700 American Home Mortgage Investment
Corporation 2,583,360
77,000 Arbor Realty Trust, Inc.*(a)(c)(e);
REIT 5,775,000
424,000 Bimini Mortgage Management, Inc.(a) 6,360,000
242,633 Countrywide Financial Corporation 23,268,505
254,900 Freddie Mac 15,054,394
104,300 Luminent Mortgage Capital, Inc.;
REIT 1,475,845
272,590 Medical Office Properties, Inc.*(a)(c);
REIT 3,219,288
419,500 Medical Properties Trust, Inc. (a)(c);
REIT 4,195,000
91,204 Newcastle Investment Corporation;
REIT 3,073,575
155,504 Newcastle Investment Holdings
Corporation (a)(b); REIT 777,520
------------
68,461,687
------------

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See Notes to Financial Statements. 4

PORTFOLIO OF INVESTMENTS AS OF MARCH 31, 2004 FIRST FINANCIAL FUND, INC.
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SHARES DESCRIPTION VALUE (NOTE 1)
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INSURANCE-13.7%
310,800 21St Century Insurance Group $ 4,475,520
124,900 Aspen Insurance Holdings, Ltd. 3,216,175
88,000 Assurant, Inc.* 2,213,200
204,200 Bristol West Holdings, Inc.* 4,165,680
279,100 Mercer Insurance Group, Inc.* 3,564,107
394,500 Ohio Casualty Corporation* 7,886,055
44,900 Old Republic International
Corporation 1,102,744
220,100 Penn-America Group, Inc. 3,226,666
128,500 Platinum Underwriters Holdings, Ltd. 4,118,425
163,400 Safety Insurance Group, Inc. 3,104,600
36,600 The CHUBB Corporation 2,545,164
120,300 Travelers Property Casualty
Corporation, Class A 2,063,145
263,900 United National Group, Ltd.* 4,475,744
26,100 White Mountains Insurance Group,
Ltd. 13,689,450
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59,846,675
------------
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DIVERSIFIED FINANCIAL SERVICES-3.3%
600,000 Centennial Bank Holdings, Inc. (a) 6,000,000
25,000 CMET Finance Holdings, Inc. (a) 2,500,000
250,000 Online Resources Corporation* 1,492,500
456,700 Spirit Finance Corporation 4,567,000
------------
14,559,500
------------
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OTHER-3.1%
729,186 Resource America, Inc., Class A 13,489,941
------------
Total common stocks-domestic
(cost $278,637,979) 413,147,296
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COMMON STOCKS-FOREIGN-3.0%
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BERMUDA-1.9%
410,000 Alea Group Holdings AG* 1,808,457
103,100 IPC Holdings Ltd., ADR 4,061,109
58,400 Montpelier Re Holdings Ltd. 2,174,816
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8,044,382
------------
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CANADA-1.1%
152,300 Canadian Western Bank 4,930,846
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Total common stocks-foreign
(cost $10,591,713) 12,975,228
------------
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CONVERTIBLE PREFERRED STOCKS-1.3%
22,650 Capital One Financial Corporation,
Conv. Pfd., 6.25%, 5/17/05 1,234,425
161,940 Taylor Capital Trust 1, Cum.
Conv. Pfd., 9.75%, 10/21/32 (e) 4,675,208
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Total Convertible Preferred Stocks
(cost $4,791,690) 5,909,633
------------

SHARES DESCRIPTION VALUE (NOTE 1)
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WARRANTS-0.0%**
1 Citigroup, Inc., Litigation Tracking
Warrant, Expires 12/31/50* $ 1
3,680 The Bank Holdings, Inc., Warrant,
Expires 5/21/06* 18,400
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Total Warrants
(cost $0.00) 18,401
------------
PRINCIPAL
AMOUNT
(000)
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CONVERTIBLE BONDS-0.8%
$3,200 First Regional Bancorp,
6.00%, 10/30/23 (a)(e)
(cost $3,200,000) 3,664,960
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Total long-term investments
(cost $297,221,382) 435,715,518
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SHORT TERM INVESTMENTS-4.5%
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REPURCHASE AGREEMENT-4.5%
19,600 Agreement with Gold Tri-Party, 1.08%,
dated 3/31/04, to be repurchased at
$19,600,588 on 4/1/04, collateralized by
$19,992,000 market value of a U.S.
Treasury Bond, 5.00%, 3/1/34
(cost $19,600,000) 19,600,000
------------
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TOTAL INVESTMENTS-103.8%
(cost $316,821,382***) 455,315,518
Liabilities in excess of other
assets-(3.8%) (16,742,605)
------------
Net Assets-100% $438,572,913
============

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* Non-income producing security.
** Amount represents less than 0.1% of the net assets.
*** Aggregate cost for Federal tax purposes is $318,086,071.
(a) Indicates a fair valued security. Total market value for fair valued
securities is $49,013,466, representing 11.18% of the total net assets.
(b) Private Placement restricted as to resale and does not have a readily
available market.
(c) Security exempt from registration pursuant to Rule 144A under the Securities
Act of 1933, as amended.
(d) The security has been determined by the Manager to be an illiquid security
because it is restricted or because there is exceptionally low trading
volume in the primary trading market for the security at March 31, 2004.
Date represents acquisition date.
(e) Affiliated Company. See Note 9 to Financial Statements.
ADR-American Depository Receipt.
REIT-Real Estate Investment Trust.

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See Notes to Financial Statements. 5

STATEMENT OF ASSETS AND LIABILITIES FIRST FINANCIAL FUND, INC.
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ASSETS MARCH 31, 2004
--------------

Investments, at value (Cost $316,821,382) (Note 1)
See accompanying schedule ..................................................... $ 455,315,518
Cash .............................................................................. 92,221
Receivable for investments sold . ................................................. 3,914,710
Dividends and interest receivable . ............................................... 598,324
Prepaid expenses and other assets ................................................. 216,275
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Total Assets ................................................................... 460,137,048
--------------
LIABILITIES
Payable for investments purchased ................................................. 20,685,632
Investment advisory fee payable (Note 2) .......................................... 685,535
Administration and Co-administration fees payable (Note 2) ........................ 76,202
Audit fees and expenses payable ................................................... 27,815
Directors' fees and expenses payable (Note 2) ..................................... 20,396
Accrued expenses and other payables ............................................... 68,555
--------------
Total liabilities .............................................................. 21,564,135
--------------
NET ASSETS ........................................................................ $ 438,572,913
==============
Net assets consist of:
Undistributed net investment income ............................................ $ 1,402,664
Accumulated net realized gain on investments sold .............................. 49,153,160
Unrealized appreciation of investments ......................................... 138,494,269
Par value of Common Stock ...................................................... 22,791
Paid-in capital in excess of par value of Common Stock ......................... 249,500,029
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Total Net Assets ............................................................... $ 438,572,913
==============
Net Asset Value, ($438,572,913 / 22,791,382 shares of common stock outstanding) ... $ 19.24
==============

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See Notes to Financial Statements. 6

FIRST FINANCIAL FUND, INC.
STATEMENT OF OPERATIONS
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YEAR
ENDED
NET INVESTMENT INCOME MARCH 31, 2004
--------------------
Income
Dividends .......................... $ 5,630,409
Dividends from affiliated companies 1,635,994
Interest ........................... 595,323
--------------
Total Investment Income ...... 7,861,726
--------------
Expenses
Investment advisory fee (Note 2) ... 2,648,691
Legal fees ......................... 573,775
Administration and
co-administration fees (Note 2) . 495,326
Insurance expense .................. 203,155
Custodian fees ..................... 114,931
Directors' fees and expenses (Note 2) 100,968
Transfer agent's fees and expenses . 36,734
Interest expense ................... 29,515
Audit fee .......................... 27,812
Other .............................. 185,634
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Total expenses ............... 4,416,541
--------------
Net Investment Income ................. 3,445,185
--------------
REALIZED AND UNREALIZED
GAIN ON INVESTMENTS
Net realized gain/(loss) on:
Securities ......................... 90,705,243
Foreign currencies and net other assets (7,007)
--------------
Net realized gain on investments
during the year .................... 90,698,236
--------------
Net change in unrealized appreciation of:
Securities ......................... 79,697,913
Foreign currencies and net other assets 133
--------------
Net change in unrealized appreciation of
investments during the year ........ 79,698,046
--------------
NET REALIZED AND UNREALIZED GAIN
ON INVESTMENTS ........................ 170,396,282
--------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ............. $ 173,841,467
==============

FIRST FINANCIAL FUND, INC.
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------

YEAR ENDED YEAR ENDED
INCREASE/(DECREASE) IN MARCH 31, MARCH 31,
NET ASSETS 2004 2003
------------ ------------

Operations
Net investment income .................. $ 3,445,185 $ 3,657,629
Net realized gain on investments
sold during the year ................ 90,698,236 57,512,075
Net change in unrealized
appreciation/(depreciation)
of investments during the
year ................................ 79,698,046 (16,492,824)
------------ ------------
Net increase in net assets
resulting from operations ........... 173,841,467 44,676,880
------------ ------------
Dividends and Distributions (Note 1)
Dividends paid from net
investment income ................... (3,576,093) (3,937,223)
Distributions paid from net
realized capital gain to
shareholders ........................ (59,098,053) (65,919,006)
Cost of Fund shares reacquired ............ (11,983,796) (638,426)
------------ ------------
Net increase/(decrease) in net
assets for the year .................... 99,183,525 (25,817,775)

NET ASSETS
Beginning of year ......................... 339,389,388 365,207,163
------------ ------------
End of year (including
undistributed net investment
income of $1,402,664 and
$1,578,010 respectively) ............... $438,572,913 $339,389,388
============ ============

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See Notes to Financial Statements. 7

FINANCIAL HIGHLIGHTS FIRST FINANCIAL FUND, INC.
--------------------------------------------------------------------------------

YEAR ENDED MARCH 31,
-----------------------------------------------------
2004 2003 2002 2001 2000
-------- -------- -------- -------- --------

PER SHARE OPERATING PERFORMANCE:
Net asset value, beginning of year ................................. $ 14.40 $ 15.46 $ 12.86 $ 8.72 $ 8.85
-------- -------- -------- -------- --------
Net investment income .............................................. 0.15 0.16 0.19 0.14 0.12
Net realized and unrealized gain/(loss) on investments ............. 7.36 1.72 3.99 4.09 (0.20)
-------- -------- -------- -------- --------
Total from investment operations ............................. 7.51 1.88 4.18 4.23 (0.08)
-------- -------- -------- -------- --------
DISTRIBUTIONS
Dividends paid from net investment income .......................... (0.16) (0.17) (0.20) (0.10) (0.08)
Distributions paid from net realized capital gains ................. (2.59) (2.80) (1.46) -- --
-------- -------- -------- -------- --------
Total dividends and distributions ............................ (2.75) (2.97) (1.66) (0.10) (0.08)
-------- -------- -------- -------- --------
Net Increase resulting from Fund share repurchase .................. 0.08 0.03 0.08 0.01 0.03
-------- -------- -------- -------- --------
Net asset value, end of year (a) ................................... $ 19.24 $ 14.40 $ 15.46 $ 12.86 $ 8.72
======== ======== ======== ======== ========
Market price per share, end of year (a) ............................ $ 18.30 $ 13.97 $ 15.75 $ 11.29 $ 7.8125
======== ======== ======== ======== ========
TOTAL INVESTMENT RETURN BASED ON
MARKET VALUE(B) ................................................ 51.96% 8.24% 35.20% 49.40% 7.93%

RATIOS AND SUPPLEMENTAL DATA:
Ratio of expenses to average net assets ............................ 1.10% 1.29% 1.00% 2.12% 2.20%
Ratio of net investment income to average net assets ............... 0.86% 0.99% 1.32% 1.33% 1.33%

SUPPLEMENTAL DATA:
Portfolio Turnover Rate ............................................ 87% 74% 114% 85% 63%
Net assets, end of year (in 000's) . ............................... $438,573 $339,389 $365,207 $315,392 $214,662
Number of shares outstanding at the end of year (in 000's) ......... 22,791 23,576 23,622 24,525 24,629

------------
(a) NAV and Market Value are published in The Wall Street Journal each Monday.
(b) Total investment return is calculated assuming a purchase of common stock at
the current market value on the first day and a sale at the current market
value on the last day of each year reported. Dividends and distributions are
assumed for purposes of this calculation to be reinvested at prices obtained
under the dividend reinvestment plan. This calculation does not reflect
brokerage commissions.

Contained above is selected data for a share of common stock outstanding, total
investment return, ratios to average net assets and other supplemental data for
the year indicated. This information has been determined based upon information
provided in the financial statements and market price data for the Fund's
shares.

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See Notes to Financial Statements. 8

NOTES TO FINANCIAL STATEMENTS FIRST FINANCIAL FUND, INC.
--------------------------------------------------------------------------------

First Financial Fund, Inc. (the "Fund") was incorporated in Maryland on March 3,
1986, as a closed-end, diversified management investment company. The Fund's
primary investment objective is to achieve long-term capital appreciation with
the secondary objective of current income by investing at least 80% of
investable assets in finance and financial service-related companies, including
savings and banking institutions and their holding companies.

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NOTE 1. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements.

SECURITIES VALUATION: Securities for which market quotations are readily
available-including securities listed on national securities exchanges and those
traded over-the-counter-are valued at the last quoted sales price on the
valuation date on which the security is traded. If such securities were not
traded on the valuation date, but market quotations are readily available, they
are valued at the most recently quoted bid price provided by an independent
pricing service or by principal market makers. Securities traded via NASDAQ are
valued at the NASDAQ Official Close Price ("NOCP"). Securities for which market
quotations are not readily available or for which the pricing agent or market
maker does not provide a valuation or methodology, or provides a valuation or
methodology that, in the judgement of the adviser, does not represent fair
value, are valued at fair value by a Pricing Committee appointed by the Board of
Directors, in consultation with the adviser.

Short-term securities which mature in more than 60 days are valued at current
market quotations. Short-term securities which mature in 60 days or less are
valued at amortized cost, which approximates fair value.

REPURCHASE AGREEMENTS: In connection with the repurchase agreement transactions
with United States financial institutions, it is the Fund's policy that its
custodian take possession of the underlying collateral securities, the value of
which exceeds the principal amount of the repurchase transaction, including
accrued interest. To the extent that any repurchase transaction exceeds one busi
ness day, the value of the collateral is marked-to-market on a daily basis to
maintain the adequacy of the collateral. If the seller defaults, and the value
of the collateral declines or if bankruptcy proceedings are commenced with
respect to the seller of the security, realization of the collateral by the Fund
may be delayed or limited.

FOREIGN CURRENCY: The books and records of the Fund are maintained in US
dollars. Foreign currencies, investments and other assets and liabilities are
translated into US dollars at the exchange rate prevailing at the end of the
period, and purchases and sales of investment securities, income and expenses
are translated on the dates of such transactions. Unrealized gains and losses
which result from changes in foreign currency exchange rates have been included
in the unrealized appreciation (depreciation) of currencies and net other
assets. Net realized foreign currency gains and losses between trade date and
settlement date on investments, securities transactions, foreign currency
transactions and the difference between the amounts of interest and dividends
recorded on the books of the Fund and the amounts actually received. The portion
of foreign currency gains and losses related to fluctuation in the exchange
rates between the initial purchase trade date and subsequent sale trade date is
included in realized gains and losses on investment securities sold.

SECURITIES TRANSACTIONS AND NET INVESTMENT INCOME: Securities transactions are
recorded on the trade date. Realized gains or losses on sales of securities are
calculated on the identified cost basis. Dividend income is recorded on the
ex-dividend date; interest income including amortization of premium and
accretion of discount on debt securities, as required is recorded on the accrual
basis, which may require the use of certain estimates by management.

FEDERAL INCOME TAX: It is the Fund's policy to continue to meet the requirements
of the Internal Revenue Code applicable to regulated investment companies and to
distribute all of its taxable net income and capital gains, if any, to
shareholders. Therefore, no federal income tax provision is required.

DIVIDENDS AND DISTRIBUTIONS: The Fund expects to declare and pay dividends from
net investment income and distributions of net realized capital gains, if any,
annually.

--------------------------------------------------------------------------------
See Notes to Financial Statements. 9

NOTES TO FINANCIAL STATEMENTS FIRST FINANCIAL FUND, INC.
--------------------------------------------------------------------------------

Dividends and distributions to shareholders, which are determined in accordance
with federal income tax regulations and which may differ from generally accepted
accounting principles, are recorded on the ex-dividend date. Permanent book/tax
differences related to income and gains are reclassified to paid-in capital when
they arise.

OTHER: The preparation of financial statements in accordance with accounting
principles generally accepted in the United States of America requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual results could differ from
those estimates.

--------------------------------------------------------------------------------
NOTE 2. AGREEMENTS

Wellington Management Company, LLP serves as the Investment Adviser (the
"Investment Adviser"). The Investment Adviser makes investment decisions on
behalf of the Fund. The Fund pays a quarterly fee at the following annualized
rates: 0.75% of the Fund's average month-end net assets up to and including $50
million, and 0.625% of such assets in excess of $50 million.

Fund Administrative Services, LLC ("FAS") serves as the Fund's Administrator.
Under the Administration Agreement, FAS provides certain administrative and
executive management services to the Fund including: providing the Fund's
principal offices and executive officers, overseeing and administering all
contracted service providers, making recommendations to the Board regarding
policies of the Fund, conducting shareholder relations, authorizing expenses and
other administrative tasks. Under the Administration Agreement the Fund pays FAS
a monthly fee, calculated at an annual rate of 0.15% of the value of the Fund's
average monthly net assets. The equity owners of FAS are Evergreen Atlantic,
LLC, a Colorado limited liability company ("EALLC") and the Lola Brown Trust No.
1B (the "Lola Trust"). The Lola Trust is a shareholder of the Fund and
considered to be an "affiliated person" of the Fund as that term is defined in
the 1940 Act.

The Fund pays each Director who is not a director, officer or employee of the
Adviser or FAS a fee of $8,000 per annum, plus $4,000 for each in-person meeting
of the Board of Directors and $500 for each telephone meeting. In addition, the
Chairman of the Board and the Chairman of the Audit Committee receive $1,000 per
meeting and each member of the Audit Committee receives $500 per meeting. The
Fund will reimburse all Directors for travel and out-of-pocket expenses incurred
in connection with such meetings.

PFPC Inc. ("PFPC"), an indirect, majority-owned subsidiary of The PNC Financial
Services Group Inc., serves as the Fund's Co-Administrator. As Co-Administrator,
PFPC calculates the net asset value of the Fund's shares and generally assists
in all aspects of the Fund's administration and operation. The Fund pays PFPC a
fee on a monthly basis based on average net assets. PFPC Trust Company, an
indirect subsidiary of The PNC Financial Services Group Inc. serves as the
Fund's Custodian. As compensation to PFPC Trust Company, the Fund pays PFPC
Trust Company a monthly fee based on the Fund's average monthly gross assets.

EquiServe Trust Company, N.A. ("EquiServe") serves as the Fund's Common Stock
servicing agent ("Transfer Agent"), dividend paying agent and registrar, and as
compensation for EquiServe's services as such, the Fund pays EquiServe a monthly
fee plus certain out-of-pocket expenses.

--------------------------------------------------------------------------------
NOTE 3. PURCHASES AND SALES OF SECURITIES

Cost of purchases and proceeds from sales of securities for the year ended March
31, 2004, excluding short-term investments, aggregated $323,187,416 and
$365,255,021, respectively.

On March 31, 2004, aggregate gross unrealized appreciation for all securities in
which there is an excess of value over tax cost was $143,330,073 and aggregate
gross unrealized depreciation for all securities in which there is an excess
of tax cost over value was $6,100,626.

--------------------------------------------------------------------------------
NOTE 4. CAPITAL

At March 31, 2004, 50,000,000 of $0.001 par value Common Stock were authorized
and 22,791,382 shares were issued and outstanding.

--------------------------------------------------------------------------------
10

NOTES TO FINANCIAL STATEMENTS FIRST FINANCIAL FUND, INC.
--------------------------------------------------------------------------------

NOTE 5. SHARE REPURCHASE PROGRAM

In accordance with Section 23 (c) of the Investment Company Act of 1940, as
amended, the Fund hereby gives notice that it may from time to time repurchase
shares of the Fund in the open market at the option of the Board of Directors
and upon such terms as the Directors shall determine.

For the years ended March 31, 2004 and March 31, 2003, the Fund repurchased
784,800 and 46,205, of its own shares at a weighted average discount of 15.0%
and 15.5% with a value of $11,983,796 and $638,426, respectively.

--------------------------------------------------------------------------------
NOTE 6. SIGNIFICANT SHAREHOLDERS

On March 31, 2004, the Lola Trust and other entities affiliated with Stewart R.
Horejsi and the Horejsi family owned 9,343,500 shares of Common Stock of the
Fund, representing approximately 41.00% of the total Fund shares.

--------------------------------------------------------------------------------
NOTE 7. BORROWINGS

An agreement (the "Agreement") between the Fund and the Custodial Trust Company
of Bear Stearns was reached, in which the Fund may borrow from the Custodial
Trust Company an aggregate amount of up to the lesser of $50,000,000 or the
maximum the Fund is permitted to borrow under the Investment Company Act of
1940. At March 31, 2004, there were no loans outstanding.

--------------------------------------------------------------------------------
NOTE 8. DISTRIBUTIONS AND TAX INFORMATION

For the year ended March 31, 2004, the tax character of dividends paid was
$24,498,582 of ordinary income (including short-term capital gain) and
$38,175,564 of long-term capital gains. As of March 31, 2003, the tax character
of dividends paid was $35,717,917 of ordinary income and $34,138,312 of
long-term capital gains.

As of March 31, 2004, the components of distributable earnings on a tax basis
were $1,402,664 of ordinary income (including short-term capital gain),
$50,417,848 of accumulated gains and $137,229,447 of unrealized appreciation.

NOTE 9. TRANSACTIONS WITH AFFILIATED COMPANIES

Transactions during the year with companies in which the Fund owned at least 5%
of the voting securities were as follows:

NAME OF PURCHASE SALES DIVIDEND MARKET
AFFILIATE COST COST INCOME VALUE
--------- ---- ---- ------ -----
Arbor Realty Trust, Inc. $5,775,000 $ -- $338,800 $5,775,000
Broadway Financial
Corporation -- -- 24,240 1,745,280
CCF Holding Company -- 161,694 60,456 5,019,787
First Federal
Bancshares, Inc. 89,926 91,028 89,258 5,512,000
First Regional Bancorp 1,475,000 -- -- 3,664,960
FirstFed Bancorp, Inc. -- -- 105,868 2,018,520
North Valley Bancorp -- -- 168,000 5,967,360
Perpetual Federal
Savings Bank -- -- 147,678 3,982,320
Provident Financial
Holdings, Inc. -- 37,767 92,475 11,860,519
Redwood Financial, Inc. -- -- -- 733,733
River Valley Bancorp -- -- 68,850 2,088,090
St. Landry Financial
Corporation -- -- 6,500 858,000
Sterling Eagle -- -- 7,000 1,000,000
Taylor Capital Trust 1, 9.75% -- 2,710,625 526,869 4,675,208

--------------------------------------------------------------------------------
11

INDEPENDENT AUDITORS' REPORT FIRST FINANCIAL FUND, INC.
--------------------------------------------------------------------------------

Board of Directors and Shareholders
First Financial Fund, Inc.

We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments of First Financial Fund, Inc., as of March 31,
2004, and the related statement of operations, statement of changes in net
assets and financial highlights for the year then ended. These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audit. The statement of changes
in net assets for the year ended March 31, 2003 and financial highlights for
each of the years in the four-year period ended March 31, 2003 were audited by
other auditors whose report dated May 28, 2003 expressed an unqualified opinion
on that statement and those financial highlights.

We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform our audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned as of March 31, 2004 by correspondence with the custodian. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audit provides a reasonable basis
for our opinion.

In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of First
Financial Fund, Inc. as of March 31, 2004, and the results of its operations,
changes in its net assets, and financial highlights for the year then ended in
conformity with accounting principles generally accepted in the United States of
America.

[GRAPHIC OMITTED]
KPMG LOGO

Boston, Massachusetts
May 21, 2004

--------------------------------------------------------------------------------
12

TAX INFORMATION (UNAUDITED) FIRST FINANCIAL FUND, INC.
--------------------------------------------------------------------------------

For the fiscal year ended March 31, 2004, the amount of long-term capital gain
designated by the Fund was $67,114,745, which is taxable as a 20% rate gain for
federal income tax purposes.

Of the ordinary income (including short-term capital gain) distributions made by
the Fund during the fiscal year ended March 31, 2004, 22.81% qualify for the
dividend received deduction available to shareholders.

For the fiscal year ended March 31, 2004, 14.65% of the taxable investment
income qualifies for the 15% dividend tax rate as of January 1, 2003.

OTHER INFORMATION (UNAUDITED) FIRST FINANCIAL FUND, INC.
--------------------------------------------------------------------------------

DIVIDEND REINVESTMENT PLAN. Shareholders may elect to have all distributions of
dividends and capital gains automatically reinvested in Fund shares (Shares)
pursuant to the Fund's Dividend Reinvestment Plan (the Plan). Shareholders who
do not participate in the Plan will normally receive all distributions in cash
paid by check in United States dollars mailed directly to the shareholders of
record (or if the shares are held in street name or other nominee name, then to
the nominee) by the custodian, as dividend disbursing agent, unless the Fund
declares a distribution payable in shares, absent a shareholder's specific
election to receive cash.

Equiserve Trust Company, N.A. (the Plan Agent) serves as agent for the
shareholders in administering the Plan. After the Fund declares a dividend or a
capital gains distribution, if (1) the market price is lower than net asset
value, the participants in the Plan will receive the equivalent in Shares valued
at the market price determined as of the time of purchase (generally, following
the payment date of the dividend or distribution); or if (2) the market price of
Shares on the payment date of the dividend or distribution is equal to or
exceeds their net asset value, participants will be issued Shares at the higher
of net asset value or 95% of the market price. If the Fund declares a dividend
or other distribution payable only in cash and the net asset value exceeds the
market price of Shares on the valuation date, the Plan Agent will, as agent for
the participants, receive the cash payment and use it to buy Shares on the open
market. If, before the Plan Agent has completed its purchases, the market price
exceeds the net asset value per share, the Plan Agent will halt open-market
purchases of the Fund's shares for this purpose, and will request that the Fund
pay the remainder, if any, in the form of newly-issued shares. The Fund will not
issue Shares under the Plan below net asset value.

There is no charge to participants for reinvesting dividends or capital gain
distributions, except for certain brokerage commissions, as described below. The
Plan Agent's fees for the handling of the reinvestment of dividends and
distributions will be paid by the Fund. There will be brokerage commissions
charged with respect to shares issued directly by the Fund. However, each
participant will pay a pro rata share of brokerage commissions incurred with
respect to the Plan Agent's open market purchase in connection with the
reinvestment of dividends and distributions. The automatic reinvestment of
dividends and distributions will not relieve participants of any federal income
tax that may be payable on such dividends or distributions.

The Fund reserves the right to amend or terminate the Plan upon 90 days' written
notice to shareholders of the Fund.

Participants in the Plan may withdraw from the Plan upon written notice to the
Plan Agent or by telephone in accordance with specific procedures and will
receive certificates for whole Shares and cash for fractional Shares.

All correspondence concerning the Plan should be directed to the Plan Agent,
Equiserve Trust Company, N.A., P.O. Box 43011, Providence, RI 02940-3011.

--------------------------------------------------------------------------------
13

OTHER INFORMATION (UNAUDITED) FIRST FINANCIAL FUND, INC.
--------------------------------------------------------------------------------

CHANGE IN INDEPENDENT AUDITORS. PricewaterhouseCoopers LLP ("PWC") was the
Fund's auditor for the fiscal year ending March 31, 2003, and for the 4 years
preceding. PWC's audit reports on the Fund's financial statements for the fiscal
years ended March 31, 2003 and March 31, 2002 contained no adverse opinion or
disclaimer of opinion, nor were their reports qualified or modified as to
uncertainty, audit scope, or accounting principles. During the Fund's fiscal
years ended March 31, 2003 and March 31, 2002 and the interim period commencing
April 1, 2003 and ending January 23, 2004, (i) there were no disagreements
between the Fund and PWC on any matter of accounting principles or practices,
financial statement disclosure or auditing scope or procedure, which
disagreements, if not resolved to the satisfaction of PWC, would have caused
them to make reference to the subject matter of the disagreements in connection
with their reports on the financial statements for such years, and (ii) there
were no "reportable events" of the kind described in Item 304(a)(1)(v) of
Regulation S-K under the Securities Exchange Act of 1934, as amended.

On January 23, 2004, the Audit Committee and the Board of Directors voted to
appoint KPMG LLP as the Fund's independent auditors for the fiscal year ended
March 31, 2004. During the Fund's fiscal years ended March 31, 2003 and March
31, 2002 and the interim period commencing April 1, 2003 and ending January 23,
2004, neither the Fund nor anyone on its behalf had consulted KPMG LLP on items
which (i) concerned the application of accounting principles to a specified
transaction, either completed or proposed, or the type of audit opinion that
might be rendered on the Fund's financial statements or (ii) concerned the
subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of
Regulation S-K or reportable events (as described in paragraph (a)(1)(v) of said
Item 304).

--------------------------------------------------------------------------------
14

MANAGEMENT OF THE FUND (UNAUDITED) FIRST FINANCIAL FUND, INC.
--------------------------------------------------------------------------------

INFORMATION ABOUT DIRECTORS AND OFFICERS
Set forth in the following table is information about the Directors of the Fund,
together with their address, age, position with the Fund, term of office, length
of time served and principal occupation during the last five years.

NAME, ADDRESS, AGE* POSITION, LENGTH OF PRINCIPAL OCCUPATION(S) AND OTHER DIRECTORSHIPS
TERM SERVED, AND HELD
TERM OF OFFICE DURING THE PAST FIVE YEARS
---------------------------------------------------------------------------------------------------------------------------

DISINTERESTED DIRECTORS
---------------------------------------------------------------------------------------------------------------------------

RICHARD I. BARR Director of the Fund Retired; from 1963-2001, Manager of
Age: 65 since August 2001. Advantage Sales and Marketing, Inc.;
Current term expires Director and Chairman of the Board,
at Annual Meeting Boulder Total Return Fund, Inc.,
for 2004 since 1999; Director, Boulder Growth &
Income Fund, Inc., since January 2002.
---------------------------------------------------------------------------------------------------------------------------
DR. DEAN JACOBSON Director of the Fund Founder and President of Forensic
Age: 64 since August 2003. Engineering, Inc. (expert witness for
Current term expires litigation) since 1977; Professor Emeritus
at Annual Meeting for at Arizona State University since 1997.
2006

---------------------------------------------------------------------------------------------------------------------------
JOEL W. LOONEY Director and Chairman Partner, Financial Management Group,
Age: 42 of the Board since August LLC since July 1999; CFO, Bethany College
2003. Current term expires from 1995-1999; Director, Boulder Total
at Annual Meeting Return Fund, Inc., since January 2001; for
2005 Director, Boulder Growth & Income
Fund, Inc., since January 2002.
---------------------------------------------------------------------------------------------------------------------------

INTERESTED DIRECTORS**
---------------------------------------------------------------------------------------------------------------------------
SUSAN L. CICIORA Director of the Fund Owner, Superior Interiors (interior
Age: 40 since August 2003. design for custom homes) since 1995;
Current term expires at Corporate Secretary, Ciciora Custom
Annual Meeting Builders, LLC since 1995; Trustee of the
for 2005 Brown Trust and the EH Trust; Director,
Boulder Total Return Fund, Inc., since
November 2001; Director, Boulder Growth
& Income Fund, Inc. since January 2002.

---------------------------------------------------------------------------------------------------------------------------
STEPHEN C. MILLER Director of the Fund President and General Counsel of
Age: 51 since August 2003. Boulder Investment Advisers, LLC ("BIA");
President of the Fund. Manager, Fund Administrative Services,
Current term expires at LLC ("FAS"); Vice President of Stewart
Annual Meeting for Investment Advisers ("SIA"); Director
2005 and President of Boulder Total Return
Fund, Inc., since 1999; Director and Chairman
of the Board, Boulder Growth & Income Fund,
Inc., since January 2002; President and General
Counsel, Horejsi, Inc. (liquidated in 1999);
General Counsel, Brown Welding Supply, LLC
(sold in 1999); Of Counsel, Krassa & Miller,
LLC since 1991.

---------------------------------------------------------------------------------------------------------------------------
* Unless otherwise specified, the Directors' respective addresses are c/o First Financial Fund,
Inc., 1680 38th Street, Suite 800, Boulder, Colorado 80301.
** Mr. Miller is an "interested person" because he is an officer of FAS, the Fund's Administrator.
Ms. Ciciora is an "interested person" as a result of the extent of her beneficial ownership of
Fund shares and by virtue of her indirect beneficial ownership of FAS.

--------------------------------------------------------------------------------
15

MANAGEMENT OF THE FUND (UNAUDITED) FIRST FINANCIAL FUND, INC.
--------------------------------------------------------------------------------

The names of the executive officers of the Fund (other than Mr. Miller, who is
described above) are listed in the table below. Each officer was elected to
office by the Board at a meeting held on August 19, 2003. This table also shows
certain additional information. Each officer will hold such office until a
successor has been elected by the Board.

CARL D. JOHNS Chief Financial Officer, Vice President and Treasurer of BIA and Assistant
1680 38th Street, Chief Accounting Manager of FAS, since April, 1999; Vice President,
Suite 800 Officer, Vice President Chief Financial Officer and Chief Accounting Officer,
Boulder, CO 80301 and Treasurer since Boulder Total Return Fund, Inc., since 1999 and
Age: 41 August 2003. Boulder Growth & Income Fund, Inc., since January
Appointed annually. 2002.
----------------------------------------------------------------------------------------------------------------------------------

STEPHANIE J. KELLEY Secretary since August Secretary, Boulder Total Return Fund, Inc., since
1680 38th Street, 2003. Appointed October 27, 2000 and Boulder Growth & Income
Suite 800 annually. Fund Inc., since January 2002; Assistant Secretary and
Boulder, CO 80301 Assistant Treasurer of various Horejsi Affiliates;
Age: 47 employee of FAS since March 1999.
----------------------------------------------------------------------------------------------------------------------------------

NICOLE L. MURPHEY Assistant Secretary Assistant Secretary, Boulder Total Return Fund, Inc.,
1680 38th Street, since August 2003. since October 27, 2000 and Boulder Growth &
Suite 800 Appointed annually. Income Fund, Inc., since January 2002; employee of
Boulder, CO 80301 FAS since July 1999.
Age: 27
----------------------------------------------------------------------------------------------------------------------------------

--------------------------------------------------------------------------------
16

This Page Left Blank Intentionally.

DIRECTORS
Richard I. Barr
Susan L. Ciciora
Dean Jacobson
Joel W. Looney
Stephen C. Miller

INVESTMENT ADVISER
Wellington Management Company, LLP
75 State Street
Boston, MA 02109

ADMINISTRATOR
Fund Administrative Services, LLC
1680 38th Street, Suite 800
Boulder, CO 80301

CUSTODIAN
PFPC Trust Company
8800 Tinicum Boulevard
Philadelphia, PA 19153

TRANSFER AGENT
EquiServe Trust Company, N.A.
P.O. Box 43011
Providence, RI 02940-3011

INDEPENDENT ACCOUNTANTS
KPMG LLP
99 HighStreet
Boston, MA 02110-2371

LEGAL COUNSEL
Willkie Farr & Gallagher, LLP
787 Seventh Avenue
New York, NY 10019-6099

The views expressed in this report and the information about the Fund's
portfolio holdings are for the period covered by this report and are subject to
change thereafter.

This report is for stockholder information. This is not a prospectus intended
for use in the purchase or sale of Fund shares.

First Financial Fund, Inc.
1680 38th Street, Suite 800
Boulder, CO 80301

If you have questions regarding shares held in a brokerage account contact your
broker, or, if you have physical possession of your shares in certificate form,
contact the Fund's Transfer Agent and Shareholder Servicing Agent - EquiServe
Trust Company, N.A. at

P.O. Box 43011
Providence, RI 02940-3011
(800) 451-6788

www.firstfinancialfund.com

The Fund's CUSIP number is:

320228109

[GRAPHIC OMITTED]
FIRST FINANCIAL FUND LOGO

THE FUND NOW HAS A WEBSITE.
YOU CAN VISIT IT AT
WWW.FIRSTFINANCIALFUND.COM

ANNUAL REPORT
MARCH 31, 2004

ITEM 2. CODE OF ETHICS.

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

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

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

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

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

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

AUDIT FEES
----------

(a) The aggregate fees billed for each of the last two fiscal years for
professional services rendered by the principal accountant for the
audit of the registrant's annual financial statements or services that
are normally provided by the accountant in connection with statutory
and regulatory filings or engagements for those fiscal years are
$26,000 for year ending March 31, 2003 and $23,600 for year ending
March 31, 2004.

AUDIT-RELATED FEES
------------------

(b) The aggregate fees billed in each of the last two fiscal years for
assurance and related services by the principal accountant that are
reasonably related to the performance of the audit of the registrant's
financial statements and are not reported under paragraph (a) of this
Item are $0 for fiscal year ending March 31, 2003 and $0 for fiscal
year ending March 31, 2004.

TAX FEES
--------

(c) The aggregate fees billed in each of the last two fiscal years for
professional services rendered by the principal accountant for tax
compliance, tax advice, and tax planning are $5,600 for year ending
March 31, 2004.

ALL OTHER FEES
--------------
(d) The aggregate fees billed in each of the last two fiscal years for
products and services provided by the principal accountant, other
than the services reported in paragraphs (a) through (c) of this
Item are $0.

(e)(1) Disclose the audit committee's pre-approval policies and
procedures described in paragraph (c)(7) of Rule 2-01 of
Regulation S-X. (e)(1) Disclose the audit committee's pre-approval
policies and procedures described in paragraph (c)(7) of Rule 2-01
of Regulation S-X. Following is Sections 4(d) and (e) of the
Fund's Audit Committee Charter covering pre-approval:

[The Audit Committee shall have the following duties and powers] .
. .

(4)(d) to review and pre-approve all auditing services and
permissible non-audit services (e.g., tax services) to be provided
to the Fund by the auditor, including the fees therefore. The
Committee may delegate to one or more of its members the authority
to grant pre-approvals. In connection with such delegation, the
Committee shall establish pre-approval policies and procedures,
including the requirement that the decisions of any member to whom
authority is delegated under this sub-section (d) shall be
presented to the full Committee at each of its scheduled meetings.

Pre-approval for a permitted non-audit service shall not be
required if: (1) the aggregate amount of all such non-audit
services is not more than 5% of the total revenues paid by the
Fund to the auditor in the fiscal year in which the non-audit
services are provided; (2) such services were not recognized by
the Fund at the time of the engagement to be non-audit services;
and (3) such services are promptly brought to the attention of the
Committee and approved prior to the completion of the audit by the
Committee or by one or more members of the Committee to whom
authority to grant such approvals has been delegated by the
Committee.

Additionally, the Committee shall pre-approve the auditor's
engagements for non-audit services with the Fund's investment
advisers (each, an "Adviser") and any service providers
controlling, controlled by or under common control with an Adviser
("affiliate") that provides ongoing services to the Fund in
accordance with the foregoing paragraph, if the engagement relates
directly to the operations and financial reporting of the Fund,
unless the aggregate amount of all services provided constitutes
no more than 5% of the total amount of

revenues paid to the auditor by the Fund, an Adviser and any
affiliate of the Adviser that provides ongoing services to the
Fund during the fiscal year in which the services are provided
that would have to be pre-approved by the Committee pursuant to
this paragraph (without regard to this exception).

Prohibited Services - The auditor may not perform
contemporaneously any of the following non-audit services for the
Fund: bookkeeping or other services related to the accounting
records or financial statements of the Fund; financial information
systems design and implementation; appraisal or valuation
services, fairness opinions, or contribution-in-kind reports;
actuarial services; internal audit outsourcing services;
management functions or human resources; broker or dealer,
investment adviser, or investment banking services; legal services
and expert services unrelated to the audit; and any other service
that the Public Company Accounting Oversight Board determines, by
regulation, is impermissible.

(4)(e) to consider whether the provision by the Fund's auditor of
non-audit services to its investment adviser or adviser affiliate
that provides ongoing services to the Fund, which services were
not pre-approved by the Audit Committee, is compatible with
maintaining the auditor's independence . . .

(e)(2) The percentage of services described in each of paragraphs (b)
through (d) of this Item that were approved by the audit committee
pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X
are as follows:

(b) N/A

(d) N/A

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

(g) The aggregate non-audit fees billed by the registrant's accountant for
services rendered to the registrant, and rendered to the registrant's
investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by
another investment adviser), and any entity controlling, controlled by,
or under common control with the adviser that provides ongoing services
to the registrant for each of the last two fiscal years of the
registrant was $0.

(h) The registrant's audit committee of the board of directors HAS
considered whether the provision of non-audit services that were
rendered to the registrant's investment adviser (not including any
sub-adviser whose role is primarily portfolio management and is
subcontracted with or overseen by another investment adviser), and any
entity controlling, controlled by, or under common control with the
investment adviser that provides ongoing services to the registrant
that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule
2-01 of Regulation S-X is compatible with maintaining the principal
accountant's independence.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. [RESERVED]

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

The Proxy Voting Policies are attached herewith.

First Financial Fund, Inc.

PROXY VOTING PROCEDURES

The Board of Directors of First Financial Fund, Inc. (the "FUND")
hereby adopts the following policies and procedures with respect to voting
proxies relating to portfolio securities held by the Fund (collectively, the
"VOTING POLICIES").

1. POLICY. It is the policy of the Board of Directors of the Fund (the
"BOARD") to delegate certain responsibilities for voting proxies relating to
portfolio securities held by the Funds to an authorized officer of the Fund,
subject to the Board's continuing oversight.1 Proxy voting policies and
procedures are required by Rule 206 (4)-6 of the Investment Advisers Act of
1940.

2. FIDUCIARY DUTY. The right to vote a proxy with respect to portfolio
securities held by the Funds is a significant asset of the Fund. The Board and
other authorized persons exercising this voting responsibility do so as a
fiduciary, and must vote proxies in a manner consistent with the best interest
of the Fund and its shareholders, and with the goal of maximizing the value of
the Fund and the shareholders' investments. Although typically an investment
company's adviser votes proxies, for reasons disclosed to and discussed by the
Board (e.g., the possibility of aggregating securities of issuers regulated by
the Office of Thrift Supervision with like securities of other clients of
Wellington Management), the Board has instead delegated its proxy voting
responsibility to a Proxy Committee (defined below) made up of Board members and
has authorized officers of the Fund to vote proxies that are considered routine
(e.g., approval of auditors and uncontested director elections).

3. PROCEDURES. The following are the procedures adopted by the Board for the
administration of this policy:

a. Review of Proxy Voting Procedures. Management, with advice and counsel
from the Board, shall present to the Board its policies, procedures and other
guideline for voting proxies at least annually (the "VOTING GUIDELINES"), and
must notify the Board promptly of any material changes. In accordance with the
foregoing, Management has developed the Voting Guidelines which are attached
hereto as EXHIBIT A.

b. Voting of Routine Proxies. An authorized Officer of the Fund will vote
all routine proxy items for the Fund in accordance with the Voting Guidelines.

c. Voting of Non-Routine Proxies. With respect to non-routine proxy issues
("NON-ROUTINE PROXIES"), Stephen C. Miller or his successor (i.e., President of
the Fund and member of the Board) and at least one independent director (the
"PROXY COMMITTEE"), after conducting such necessary due diligence as the Proxy
Committee deems appropriate, will make a determination of how to vote, and
direct an authorized Officer of the Fund to cause such vote to be cast.

d. Seeking Advice from the Fund's Adviser. To the extent permitted by law,
and to the extent assistance will not adversely affect the ability of Wellington
Management ("Wellington") to invest in financial services company securities for
other clients, the Proxy Committee may seek, and Wellington has agreed to
provide the Proxy Committee with, notice of any special issues that might not be
covered by the Voting Guidelines and use its best efforts to keep the Board and
Management informed when Non- Routine matters arise or are anticipated. In
addition, Wellington has agreed to assist in any discussions to review relevant
issues related to the voting of a particular proxy, but shall not recommend how
the Fund should vote.

e. Voting Record Reporting. To the extent any Non-Routine Proxies are
voted, the Proxy Committee will present a summary of such actions for the Board
at the next regular quarterly meeting.

------------------------------
1 This policy is adopted for the purpose of the disclosure requirements adopted
by the Securities and Exchange Commission, Releases No. 33-8188, 34-47304,
IC-25922.

Voting Policies and Procedures

No less than annually, Management shall report to the Board a record of each
proxy voted with respect to portfolio securities of the Funds during the
respective year. With respect to those proxies the Proxy Committee has
identified as involving a conflict of interest2, the Proxy Committee shall
submit a separate report indicating the nature of the conflict of interest and
how that conflict was resolved with respect to the voting of the proxy.

4. REVOCATION. The delegation by the Board of the authority to vote proxies
relating to portfolio securities of the Funds is entirely voluntary and may be
revoked by the Board, in whole or in part, at any time. This disclosure shall be
included in any registration statement filed on behalf of the Funds after July
1, 2003.

5. ANNUAL FILING. The Fund shall file an annual report of each proxy voted
with respect to portfolio securities of the Funds during the twelve-month period
ended June 30 on Form N-PX not later than August 31 of each year. The Fund must
file the complete proxy voting record on an annual basis on this form. Form N-PX
must contain complete proxy voting records for the 12 month period stated above,
and must be signed on behalf of the Fund by the principal executive officers.
This form must provide the following information:

1. Name of the issuer of the portfolio security 2. Exchange ticker
symbol
3. CUSIP # 4. Shareholder meeting date
5. Brief indication of the matter voted on
6. Whether matter was proposed by the issuer or by a security holder
7. Whether the Fund cast its vote on the matter
8. How the Fund cast its vote
9. Whether the Fund cast its vote for or against management

6. DISCLOSURES.

a. The Fund shall include in any future registration statement:

i. A description of the Voting Policies and the Voting Guidelines3; and

ii. A statement disclosing that information regarding how the Fund voted
proxies relating to portfolio securities during the most recent
12-month period ended June 30 is available without charge, upon
request, by calling the Funds' toll-free telephone number; or through
a specified Internet address; or both; and on the SEC website.4

b. The Fund shall include in its Annual and Semi-Annual Reports to
shareholders:

i. A statement disclosing that the Voting Policies and Voting Guidelines
are available without charge, upon request, by calling the Fund's
telephone number; or through a specified Internet address; and on the
SEC website.5

ii. A statement disclosing that information regarding how the Fund voted
proxies relating to portfolio securities during the most recent
12-month period ended June 30 is available without

----------------------------
2 As it is used in this document, the term "conflict of interest" refers to a
situation in which the Adviser or affiliated persons of the adviser have a
financial interest in a matter presented by a proxy other than the obligation it
incurs as investment adviser to the Fund.

3 This disclosure shall be included in the registration statement next filed on
behalf of the Funds after July 1, 2003.

4 This disclosure shall be included in the registration statement next filed on
behalf of the Funds after August 31, 2004.

5 This disclosure shall be included in the report next filed on behalf of the
Funds after July 1, 2003.

Page 2

Voting Policies and Procedures

charge, upon request, by calling the Fund's telephone number; or
through a specified Internet address; or both; and on the SEC
website.6

7. RECORDKEEPING REQUIREMENTS. SEC Rule 204-2, as amended, requires the Fund to
retain:

1. Proxy voting policies and procedures
2. Proxy statements received regarding client securities
3. Records of votes cast on behalf of clients
4. Records of written client requests
5. Any documents prepared by Management material to making a
decision how to vote, or that memorialized the basis for the
decision.

8. REVIEW OF POLICY. At least annually, the Board shall review this Policy to
determine its sufficiency and shall make and approve any changes that it deems
necessary from time to time.

--------------------------
6 This disclosure shall be included in the report next filed on behalf of the
Funds after August 31, 2004.

Page 3

EXHIBIT A - VOTING GUIDLINES

The Fund's proxy voting principles are summarized below, with specific examples
of voting decisions for the types of proposals that are most frequently
presented:

CATEGORY GUIDELINE VOTING

BOARD OF DIRECTOR ISSUES The board of directors' primary role is to
protect the interests of all shareholders. Key
functions of the board are to approve the
direction of corporate strategy, ensure
succession of management and evaluate
performance of the corporation as well as
senior management. The board is accountable to
shareholders, and must operate independently
from management.

Routine Elections Generally we will vote with management's Generally FOR
recommendation

Board Classification Generally we are opposed to entrenchment Generally AGAINST
mechanisms and will vote against proposals to
classify a board. We prefer annual election of
directors in order that shareholders have more
power to replace directors deemed to not be
acting in the shareholders' interest.

Independence of Directors The majority of board members should be We will generally support boards
independent from the corporation, management that have a majority of board
or a majority shareholder. An independent members classified as
member should not be a former employee of the independent.
company or a representative of a key supplier
to or a key client of the company.

Director Indemnification Mandatory indemnification of directors and Generally FOR
officers is necessary to attract quality
candidates.

Director Attendance Board membership requires a significant amount We look for attendance records
of time in order for responsibilities to be to be in the 75% participation
executed, and attendance at Board and range.
Committee meetings is noted.

Term Limits We are more concerned with the performance of Generally AGAINST but will look
directors and not with the term limits at on a case-by-case basis.

Separation of Chair and CEO In most cases it is advisable for there to be In most cases we would support a
a separation between the CEO and the Chair to recommendation to separate the
enhance separation of management interests and Chair from the CEO. Lead
shareholders. directors are considered
acceptable, and in this
situation an independent
Corporate Governance committee
must also be in place.

Committees of the Board Audit, Compensation, Governance We support the establishment of
and Nominating committees are these committees, however
the most significant committees independent director membership
of the board. on these committees is the
primary concern. Two-thirds
independent membership is
satisfactory, provided that the
chair of each committee is
independent.

Audit Process The members of an audit committee should be We will generally support the
independent directors, and the auditor must choice of auditors recommended
also be independent. The auditor should report by the Audit Voting Policies and
directly to the Audit committee and not to Procedures Committee. In the
management. event that the auditor supplies
other services for a fee other
than the audit, each situation
will be reviewed on a
case-by-case basis.

Page A-2

CATEGORY GUIDELINE VOTING

VOTING AND ENTRENCHMENT
ISSUES

Shareholder Right to Call Generally FOR
Special Meeting

Shareholder Right to Act by Generally FOR
Written Consent

Cumulative Voting Our experience has been that cumulative voting Generally AGAINST, although we
is generally proposed by large shareholders may consider if the board has
who may wish to exert undue influence on the been unresponsive to
board. shareholders.

Confidentiality of Shareholder Like any other electoral system, the voting at We will support any proposals to
Voting annual and special meetings should be introduce or maintain
confidential and free from any potential confidential voting.
coercion and/or impropriety.

Size of Board of Directors Generally boards should be comprised of a The independence of the board is
minimum of seven to a maximum of fifteen. a greater concern than the
However the complexity of the company has an number of members. However
impact on required board size. should a change in board size be
proposed as potentially an
anti-takeover measure we would
vote against.

COMPENSATION ISSUES

Director Compensation Directors should be compensated fairly for the We support recommendations where
time and expertise they devote on behalf of a portion of the remuneration is
shareholders. We favor directors personally to be in the form of common
owning shares in the corporation, and that stock. We do not support options
they receive a substantial portion of their for directors, and do not
remuneration in the form of shares. support retirement bonuses or
benefits for directors.

MANAGEMENT COMPENSATION Compensation plans for executives should be Executive compensation will be
designed to attract and retain the right considered on a case-by-case
people with exceptional skills to manage the basis.
company successfully long-term. These plans
should be competitive within the company's
respective industry without being excessive
and should attempt to align the executive's
interests with the long-term interest of
shareholders.

Stock Options and Incentive Compensation plans should be designed to We will not support plans with
Compensation Plans reward good performance of executives. They options priced below current
should also encourage management to own stock market value or the lowering of
so as to align their financial interests with the exercise price on any
those of the shareholders. It is important previously granted options. We
that these plans are disclosed to the will not support any plan
shareholders in detail for their approval. amendment that is not Voting
Policies and Procedures capped
or that results in anything but
negligible dilution. We believe
that shareholders should have a
say in all aspects of option
plans and therefore will not
support omnibus stock option
plans or plans where the Board
is given discretion to set the
terms. Plans will be considered
on a case-by-case basis.

Page A-3

CATEGORY GUIDELINE VOTING

Adopt/Amend Employee Considered on a case-by-case
Stock Purchase Plans basis.

Golden Parachutes Although we believe that "golden parachutes" Generally opposed but will
may be a good way to attract, retain and consider on a case-by-case
encourage objectivity of qualified executives basis.
by providing financial security in the case of
a change in the structure or control of a
company, golden parachutes can be excessive.

Require Shareholder Approval Generally FOR
of Golden Parachutes

TAKEOVER PROTECTIONS Some companies adopt shareholder rights plans We will review each situation on
that incorporate anti-takeover measures, which a case-bycase basis. We will
may include: poison pills, crown jewel generally support proposals that
defense, payment of greenmail, going private protect the rights and share
transactions, leveraged buyouts, lock-up value of shareholders.
arrangements, Fair price amendments,
Re-incorporation. Rights plans should be
designed to ensure that all shareholders are
treated equally in the event there is a change
in control of a company. These plans should
also provide the Board with sufficient time to
ensure that the appropriate course of action
is chosen to ensure shareholder interests have
been protected. However, many shareholder
rights plans can be used to prevent bids that
might in fact be in the shareholders best
interests. Depending on their contents, these
plans may also adversely influence current
share prices and long-term shareholder value.

Dual Class Shares It is not unusual for certain classes of Generally AGAINST.
shares to have more than one vote per share.
This is referred to as a dual class share
structure and can result in a minority of
shareholders having the ability to make
decisions that may not be in the best
interests of the majority of shareholders.

Super-Majority Voting Super-majority voting (e.g., 67% of votes cast Generally AGAINST. We will
Provisions or a majority of outstanding shares), although generally oppose proposals for
fairly common, can, from a practical point of voting requirements that are
view, be difficult to obtain, and essentially greater than a majority of votes
are a bar from effective challenges to cast. That said, we will review
entrenched management, regardless of supermajority proposals on a
performance or popularity. A very high case-by-case basis.
requirement can be unwieldy and therefore not
in the best interest of the majority of
shareholders.

Page A-3

Voting Policies and Procedures

CATEGORY GUIDELINE VOTING

Issuance of Authorized Shares Generally FOR

Issuance of Unlimited or Corporations may increase their Generally AGAINST. We will
Additional Shares authorized number of shares in generally oppose proposals to
order to implement a stock increase the number of
split, to support an acquisition authorized shares to
or restructuring plan, to use in "unlimited", but will consider
a stock option plan or to any proposals to increase the
implement an anti-takeover plan. number of authorized shares on a
Shareholders should approve of case-by case basis for a valid
the specific business need for business purpose.
the increase in the number of
shares and should understand
that the issuance of new shares
can have a significant effect on
the value of existing shares.

Shareholder Proposals Shareholders should have the opportunity to Shareholder proposals will be
raise their concerns or issues to company reviewed on a case-by-case
management, the board and other shareholders. basis.
As long as these proposals deal with
appropriate issues and are not for the
purposes of airing personal grievances or to
obtain publicity, they should be included on
the proxy ballot for consideration.

OTHER MATTERS

Stock Repurchase Plans Generally FOR

Stock Splits Generally FOR

Require Shareholder Approval
to issue Preferred Stock Generally FOR

Corporate Loans to Employees Corporate loans, or the guaranteeing of loans, Generally AGAINST.
to enable employees to purchase company stock
or options should be avoided. These types of
loans can be risky if the company stock
declines or the employee is terminated.

Blank-cheque The authorization of blank-cheque preferred Generally AGAINST.
Preferred Shares shares gives the board of directors' complete
discretion to fix voting, dividend, conversion
and other rights and privileges. Once these
shares have been authorized, the shareholders
have no authority to determine how or when
they will be allocated. There may be valid
business reasons for the issuance of these
shares but the potential for abuse outweighs
the benefits.

ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR
240.14a-101), or this Item.

ITEM 10. 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) During the period covered by this report , the Fund implemented a
protocol for insuring that communications of fair value pricing
information for illiquid securities are provided to the Fund's
administrator and that appropriate checks and tests are conducted to
assure that such communications are timely and accurate.

ITEM 11. EXHIBITS.

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

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

(a)(3) Not yet effective.

(b) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

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

(registrant) First Financial Fund, Inc.
---------------------------------------------------------------------

By (Signature and Title)* /S/ Stephen C. Miller
-------------------------------------------------------
Stephen C. Miller, President & Chief Executive Officer
(principal executive officer)

Date June 7, 2004
----------------------------------------------------------------------------

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/ Stephen C. Miller
-------------------------------------------------------
Stephen C. Miller, President & Chief Executive Officer
(principal executive officer)

Date June 7, 2004
----------------------------------------------------------------------------

By (Signature and Title)* /S/ Carl D. Johns
-------------------------------------------------------
Carl D. Johns, Vice President and Treasurer
(principal financial officer)

Date June 1, 2004
----------------------------------------------------------------------------

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