Edgar Filing: Nuveen Multi-Strategy Income & Growth Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21293

Nuveen Multi-Strategy Income and Growth Fund
(Exact name of registrant as specified in charter)
			333 West Wacker Drive, Chicago, Illinois 60606
			(Address of principal executive offices) (Zip code)
			Kevin J. McCarthy—Vice President and Secretary 333 West Wacker Drive, Chicago, Illinois 60606
			(Name and address of agent for service)
Registrant’s telephone number, including area code:				312-917-7700
Date of fiscal year end:	12/31
Date of reporting period:		9/30/2010

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, 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. § 3507.

Item 1. Schedule of Investments

		Portfolio of Investments (Unaudited)
		Nuveen Multi-Strategy Income and Growth Fund (JPC)
		September 30, 2010

Shares		Description (1)				Value
		Common Stocks – 33.9% (25.7% of Total Investments)
		Aerospace & Defense – 0.7%
29,962		Aveos Fleet Performance Inc., (2), (16)				$ 501,864
11,220		Boeing Company				746,579
2,220		Esterline Technologies Corporation, (2)				127,051
3,475		GeoEye, Inc., (2)				140,668
30,381		Lockheed Martin Corporation (3)				2,165,558
82,550		Thales S.A.				3,017,099
		Total Aerospace & Defense				6,698,819
		Air Freight & Logistics – 0.1%
8,500		United Parcel Service, Inc., Class B				566,865
		Auto Components – 0.1%
31,020		Johnson Controls, Inc.				946,110
3,010		TRW Automotive Holdings Corporation, (2)				125,096
		Total Auto Components				1,071,206
		Automobiles – 0.3%
63,589		Honda Motor Company Limited				2,256,998
25,580		Toyota Motor Corporation				918,649
		Total Automobiles				3,175,647
		Beverages – 0.7%
220,983		Coca Cola Amatil Limited				2,558,821
21,881		Coca Cola Femsa SAB de CV				1,711,532
19,910		Coca-Cola Company				1,165,133
14,825		Dr. Pepper Snapple Group				526,584
3,410		Molson Coors Brewing Company, Class B				161,020
		Total Beverages				6,123,090
		Biotechnology – 0.2%
3,665		Alnylam Pharmaceuticals, Inc., (2)				45,006
10,690		Amgen Inc., (2)				589,126
6,450		BioMarin Pharmaceutical Inc., (2)				144,158
2,570		Celgene Corporation, (2)				148,058
2,964		Cubist Pharmaceuticals Inc., (2)				69,328
14,270		Gilead Sciences, Inc., (2)				508,155
5,585		ISIS Pharmaceuticals, Inc., (2)				46,914
4,300		Targacept, Inc.				96,062
		Total Biotechnology				1,646,807
		Building Products – 0.2%
36,123		Masonite Worldwide Holdings, (2)				1,390,736
		Capital Markets – 0.6%
1,130		Affiliated Managers Group Inc., (2)				88,151
3,410		Ameriprise Financial, Inc.				161,395
4,380		Calamos Asset Management, Inc. Class A				50,370
21,610		Invesco LTD				458,780
15,295		Legg Mason, Inc.				463,591
262,861		Nomura Securities Company				1,272,111
3,410		T. Rowe Price Group Inc.				170,722
45,240		UBS AG				767,927
111,272		UBS AG, (2), (3)				1,894,962
		Total Capital Markets				5,328,009
		Chemicals – 0.8%
9,080		Celanese Corporation, Series A				291,468
3,980		Eastman Chemical Company				294,520
2,330		Lubrizol Corporation				246,910
3,060		Minerals Technologies Inc.				180,295
21,540		Mosaic Company				1,265,690
27,125		Nitto Denko Corporation				1,060,890
2,580		PPG Industries, Inc.				187,824
1,387		Shin-Etsu Chemical Company Limited, ADR, (16)				67,616
12,300		Solutia Inc., (2)				197,046
69,857		Umicore				3,019,825
3,410		Westlake Chemical Corporation				102,061
		Total Chemicals				6,914,145
		Commercial Banks – 2.2%
71,343		Associated Banc-Corp.				941,014
77,919		Banco Itau Holdings Financeira, S.A., Sponsred ADR				1,884,081
81,280		Banco Santander Central Hispano SA				1,119,226
86,145		Banco Santander Central Hispano SA				1,094,162
12,100		BNP Paribas SA				860,561
14,590		Canadian Imperial Bank of Commerce				1,058,551
6,300		Columbia Banking Systems Inc.				123,795
9,045		Commerce Bancshares Inc.				340,002
6,765		Community Bank System Inc.				155,663
199,562		DnB NOR ASA				2,716,295
7,720		East West Bancorp Inc.				125,682
5,090		First Financial Bancorp.				84,901
49,071		Hang Seng Bank				721,628
156,530		HSBC Holdings PLC				1,586,009
647,600		Krung Thai Bank Public Company Limited, (16)				360,608
2,880		M&T Bank Corporation				235,613
14,800		Societe Generale				852,440
108,773		Standard Chartered PLC				3,120,113
11,373		Sumitomo Trust & Banking Company, ADR, (16)				57,661
26,000		Toronto-Dominion Bank				1,881,330
27,620		U.S. Bancorp				597,144
800		UMB Financial Corporation				28,408
10,830		Umpqua Holdings Corporation				122,812
5,900		Wells Fargo & Company				148,267
		Total Commercial Banks				20,215,966
		Commercial Services & Supplies – 0.3%
27,660		Aggreko PLC				682,182
980		Clean Harbors, Inc., (2)				66,395
8,315		Republic Services, Inc.				253,524
7,957		Stericycle Inc., (2)				552,852
169,300		Toppan Printing Company Limited				1,324,304
4,170		Waste Management, Inc.				149,036
		Total Commercial Services & Supplies				3,028,293
		Communications Equipment – 0.3%
1,970		Comtech Telecom Corporation, (2)				53,880
7,425		Interdigital Inc., (2)				219,854
122,442		Nokia Corporation, ADR, (3)				1,228,093
6,410		Plantronics Inc.				216,530
18,000		QUALCOMM, Inc.				812,160
		Total Communications Equipment				2,530,517
		Computers & Peripherals – 0.4%
11,771		Apple, Inc., (2)				3,340,021
9,546		Hewlett-Packard Company				401,600
4,250		Network Appliance Inc., (2)				211,608
		Total Computers & Peripherals				3,953,229
		Construction & Engineering – 0.2%
27,130		Royal Boskalis Westminster NV				1,138,583
12,163		Shaw Group Inc., (2)				408,190
		Total Construction & Engineering				1,546,773
		Consumer Finance – 0.1%
18,090		American Express Company				760,323
11,540		Capital One Financial Corporation				456,407
		Total Consumer Finance				1,216,730
		Containers & Packaging – 0.0%
10,930		Boise Inc.				70,936
1,422		Rock-Tenn Company				70,830
		Total Containers & Packaging				141,766
		Diversified Consumer Services – 0.0%
4,260		Bridgepoint Education Inc., (2)				65,860
3,800		Sothebys Holdings Inc.				139,916
		Total Diversified Consumer Services				205,776
		Diversified Financial Services – 0.2%
83,490		Bank of America Corporation				1,094,554
3,072		Guoco Group Ltd, ADR, (16)				68,014
52,000		Guoco Group Ltd				573,358
4,300		Nasdaq Stock Market, Inc., (2)				83,549
7,854		PHH Corporation, (2)				165,405
		Total Diversified Financial Services				1,984,880
		Diversified Telecommunication Services – 0.7%
6,740		CenturyTel, Inc.				265,960
95,000		Deutsche Telekom AG, ADR, (3), (16)				1,294,850
924		Frontier Communications Corporation				7,549
37,500		KT Corporation, Sponsored ADR				767,250
100,167		Nippon Telegraph and Telephone Corporation, ADR, (3)				2,195,661
1,455,000		Telecom Italia S.p.A.				1,639,387
2,884		Telus Corporation				122,137
11,810		Verizon Communications Inc.				384,888
		Total Diversified Telecommunication Services				6,677,682
		Electric Utilities – 1.1%
149,954		Centrais Electricas Brasileiras S.A., PFD B ADR				2,243,312
9,530		DPL Inc.				249,019
14,490		Duke Energy Corporation				256,618
20,200		Electricite de France S.A				871,291
16,751		Exelon Corporation				713,258
141,662		Korea Electric Power Corporation, Sponsored ADR, (3)				1,831,690
4,650		Portland General Electric Company				94,302
69,910		Progress Energy, Inc., (3)				3,105,402
18,620		Southern Company				693,409
4,870		UIL Holdings Corporation				137,139
		Total Electric Utilities				10,195,440
		Electrical Equipment – 0.7%
51,392		ABB Limited, ADR				1,085,399
67,689		ABB Limited				1,426,591
1,850		Areva CI				777,032
13,085		GrafTech International Ltd., (2)				204,519
3,850		Harbin Electric, Inc., (2)				68,877
25,613		Nidec Corporation				2,276,575
8,070		Rockwell Automation, Inc.				498,161
		Total Electrical Equipment				6,337,154
		Electronic Equipment & Instruments – 0.4%
6,800		Daktronics Inc.				66,776
59,801		Hoya Corporation				1,457,775
5,685		Ingram Micro, Inc., Class A, (2)				95,849
125,982		Nippon Electric Glass Company Limited				1,717,388
1,459		Tech Data Corporation, (2)				58,798
		Total Electronic Equipment & Instruments				3,396,586
		Energy Equipment & Services – 0.6%
75,240		ACERGY S.A., ADR				1,388,086
126,281		AMEC PLC				1,955,975
1,677		Baker Hughes Incorporated				71,440
9,455		Cooper Cameron Corporation, (2)				406,187
9,805		FMC Technologies Inc., (2)				669,583
9,125		Halliburton Company				301,764
3,980		Hornbeck Offshore Services Inc.				77,570
7,970		Oil States International Inc., (2)				371,004
5,620		Schlumberger Limited				346,248
		Total Energy Equipment & Services				5,587,857
		Food & Staples Retailing – 1.1%
193,960		Jeronimo Martins SGPS				2,593,921
83,645		Koninklijke Ahold N.V.				1,127,519
46,974		Kroger Co.				1,017,457
97,580		Wal-Mart Stores, Inc., (3)				5,222,482
		Total Food & Staples Retailing				9,961,379
		Food Products – 1.6%
6,330		Archer-Daniels-Midland Company				202,054
11,540		Campbell Soup Company				412,555
6,200		Corn Products International, Inc.				232,500
13,030		General Mills, Inc.				476,116
12,340		H.J. Heinz Company				584,546
12,195		Hershey Foods Corporation				580,360
9,550		Kellogg Company				482,371
19,010		Mead Johnson Nutrition Company, Class A Shares				1,081,859
31,966		Nestle SA				1,702,967
178,887		Smithfield Foods, Inc., (2), (3)				3,010,668
180,510		Tyson Foods, Inc., Class A, (3)				2,891,770
38,382		Unilever PLC				1,116,916
76,130		Unilever PLC, ADR				2,201,699
		Total Food Products				14,976,381
		Gas Utilities – 0.0%
2,640		National Fuel Gas Company				136,778
		Health Care Equipment & Supplies – 0.4%
11,000		Align Technology, Inc., (2)				215,380
12,250		Becton, Dickinson and Company				907,725
1,870		C. R. Bard, Inc.				152,274
2,490		Cooper Companies, Inc.				115,088
5,370		Covidien PLC				215,820
11,740		Edwards Lifesciences Corporation, (2)				787,167
14,500		Hologic Inc., (2)				232,145
4,700		Hospira Inc., (2)				267,947
5,330		Masimo Corporation				145,562
2,390		Steris Corporation				79,396
1,344		Zimmer Holdings, Inc., (2)				70,332
		Total Health Care Equipment & Supplies				3,188,836
		Health Care Providers & Services – 1.0%
80,533		Aetna Inc., (3)				2,545,648
1,620		Air Methods Corporation, (2)				67,360
30,240		AmerisourceBergen Corporation				927,158
8,070		Centene Corporation, (2)				190,371
4,190		Community Health Systems, Inc., (2)				129,764
7,820		Express Scripts, Inc., (2)				380,834
39,243		Fresenius Medical Care, ADR				2,423,728
9,620		HealthSouth Corporation, (2)				184,704
8,610		Humana Inc., (2)				432,566
8,959		Lincare Holdings				224,781
13,860		McKesson HBOC Inc.				856,271
10,120		Medco Health Solutions, Inc., (2)				526,847
3,337		Omnicare, Inc.				79,688
4,920		Quest Diagnostics Incorporated				248,312
		Total Health Care Providers & Services				9,218,032
		Hotels, Restaurants & Leisure – 0.4%
6,270		Bally Technologies, Inc., (2)				219,137
46,885		Carnival Corporation				1,842,763
2,330		Chipotle Mexican Grill, (2)				400,760
10,020		Las Vegas Sands, (2)				349,197
2,260		Marriott International, Inc., Class A				80,976
14,440		Penn National Gaming, Inc., (2)				427,568
4,340		Royal Caribbean Cruises Limited, (2)				136,840
14,030		Starbucks Corporation				358,887
		Total Hotels, Restaurants & Leisure				3,816,128
		Household Durables – 0.2%
10,860		D.R. Horton, Inc.				120,763
7,220		Lennar Corporation, Class A				111,044
4,855		Meritage Corporation, (2)				95,255
26,990		Newell Rubbermaid Inc.				480,692
201,188		Oriental Weavers Group				1,166,205
4,705		Tempur Pedic International Inc., (2)				145,855
		Total Household Durables				2,119,814
		Household Products – 0.2%
10,700		Colgate-Palmolive Company				822,402
10,190		Kimberly-Clark Corporation				662,860
		Total Household Products				1,485,262
		Independent Power Producers & Energy Traders – 0.1%
18,970		Constellation Energy Group				611,593
		Industrial Conglomerates – 0.1%
3,850		3M Co.				333,834
5,340		Textron Inc.				109,790
		Total Industrial Conglomerates				443,624
		Insurance – 0.8%
3,900		AFLAC Incorporated				201,669
9,390		Allstate Corporation				296,255
1,362		Aon Corporation				53,268
1,844		Axis Capital Holdings Limited				60,741
231,793		China Life Insurance Company Limited				914,165
6,870		Delphi Financial Group, Inc.				171,681
42,354		Hannover Rueckversicherung AG				1,948,117
34,742		Lincoln National Corporation				831,029
1,315		Loews Corporation				49,839
5,759		Marsh & McLennan Companies, Inc.				138,907
29,901		Old Republic International Corporation				414,129
4,220		Primerica Inc.				85,835
105,446		Prudential Corporation PLC				1,054,331
6,440		Prudential Financial, Inc.				348,919
5,260		Tower Group Inc.				122,821
5,930		WR Berkley Corporation				160,525
		Total Insurance				6,852,231
		Internet & Catalog Retail – 0.0%
9,600		Expedia, Inc.				270,816
		Internet Software & Services – 0.5%
68,161		eBay Inc., (2), (3)				1,663,128
5,770		Equinix Inc., (2)				590,560
2,370		Google Inc., Class A, (2)				1,246,122
5,520		IAC/InterActiveCorp., (2)				145,010
10,180		Rackspace Hosting Inc., (2)				264,476
25,145		Tencent Holdings Limited				549,318
		Total Internet Software & Services				4,458,614
		IT Services – 0.5%
71,507		CGI Group Inc., (2)				1,074,750
5,670		CSG Systems International Inc., (2)				103,364
9,170		Global Payments Inc.				393,301
12,985		International Business Machines Corporation (IBM)				1,741,808
3,900		MasterCard, Inc.				873,600
1,980		Maximus Inc.				121,928
7,732		VeriFone Holdings Inc., (2)				240,233
5,045		Wright Express Corporation, (2)				180,157
		Total IT Services				4,729,141
		Life Sciences Tools & Services – 0.1%
950		Bio-Rad Laboratories Inc., (2)				85,985
7,780		Life Technologies Corporation, (2)				363,248
6,150		Waters Corporation, (2)				435,297
		Total Life Sciences Tools & Services				884,530
		Machinery – 0.8%
6,743		AGCO Corporation, (2)				263,044
2,240		Bucyrus International, Inc.				155,344
4,150		Caterpillar Inc.				326,522
11,610		Cummins Inc.				1,051,634
3,900		Danaher Corporation				158,379
3,890		Deere & Company				271,444
3,230		Eaton Corporation				266,443
35,991		Kone OYJ				1,859,554
2,390		Nordson Corporation				176,119
8,500		Parker Hannifin Corporation				595,510
14,140		Timken Company				542,410
11,080		Vallourec SA				1,100,688
		Total Machinery				6,767,091
		Marine – 0.1%
8,660		Genco Shipping and Trading Limited, (2)				138,040
68,000		Stolt-Nielsen S.A.				1,078,190
		Total Marine				1,216,230
		Media – 0.6%
13,900		Cablevision Systems Corporation				364,041
23,615		Comcast Corporation, Class A				426,959
34,276		DIRECTV Group, Inc., (2)				1,426,910
3,600		Madison Square Garden Inc., (2)				75,888
16,449		Readers Digest Association Inc., (2), (16)				320,756
10,180		Scripps Networks Interactive, Class A Shares				484,364
1,322		Time Warner Cable, Class A				71,375
184,860		WPP Group PLC				2,045,843
		Total Media				5,216,136
		Metals & Mining – 3.8%
31,000		AngloGold Ashanti Limited, Sponsored ADR, (3)				1,433,440
133,296		Barrick Gold Corporation, (3)				6,170,272
44,513		BHP Billiton PLC, ADR				1,674,065
17,235		Freeport-McMoRan Copper & Gold, Inc.				1,471,697
220,631		Gold Fields Limited, Sponsored ADR, (3)				3,369,035
31,200		Ivanhoe Mines Ltd., (2), (3)				730,392
15,729		Kinross Gold Corporation				295,548
5,413		Newcrest Mining Limited, Sponsored ADR, (16)				208,401
18,000		Newcrest Mining Limited				690,174
79,016		Newmont Mining Corporation, (3)				4,962,995
7,283		NovaGold Resources Inc.				63,653
538,658		NovaGold Resources Inc., 144A (2)				4,707,871
46,837		Polyus Gold Company, ADR, (16)				1,215,420
13,150		POSCO, ADR				1,498,837
31,660		Rio Tinto Limited				2,349,236
3,675		Silver Standard Resources, Inc., (2)				73,427
5,310		Steel Dynamics Inc.				74,924
97,730		Sterlite Industries India Ltd., ADR				1,463,995
20,000		United States Steel Corporation				876,800
14,130		Walter Industries Inc.				1,148,628
		Total Metals & Mining				34,478,810
		Multiline Retail – 0.3%
6,110		Big Lots, Inc., (2)				203,158
2,905		Dillard's, Inc., Class A				68,674
18,700		Macy's, Inc.				431,783
62,011		Next PLC				2,158,673
		Total Multiline Retail				2,862,288
		Multi-Utilities – 0.2%
15,781		Ameren Corporation				448,180
7,970		Consolidated Edison, Inc.				384,313
15,280		Dominion Resources, Inc.				667,125
3,470		Integrys Energy Group, Inc.				180,648
2,480		OGE Energy Corp.				98,878
3,000		Sempra Energy				161,400
		Total Multi-Utilities				1,940,544
		Office Electronics – 0.1%
23,343		Canon Inc.				1,089,135
		Oil, Gas & Consumable Fuels – 4.2%
56,569		Arch Coal Inc., (3)				1,510,958
66,040		BG Group PLC				1,160,356
157,723		BP PLC Sponsored ADR, (3)				6,493,456
199,873		Cameco Corporation, (3)				5,542,478
12,948		Chesapeake Energy Corporation				293,272
45,037		Chevron Corporation, (3)				3,650,249
4,710		Cimarex Energy Company				311,708
24,879		ConocoPhillips, (3)				1,428,801
22,890		Continental Resources Inc., (2)				1,061,180
4,830		Devon Energy Corporation				312,694
34,890		EnCana Corporation				1,054,262
66,200		Gazprom OAO, ADR				1,389,538
10,345		Hess Corporation				611,596
9,670		Newfield Exploration Company, (2)				555,445
40,100		Nexen Inc., (3)				806,010
4,525		Occidental Petroleum Corporation				354,308
1,706		Peabody Energy Corporation				83,611
7,492		Petrobras Energia S.A., ADR				123,918
13,500		Petrohawk Energy Corporation, (2)				217,890
1,700,000		PT Medco Energi Internasional TBK				633,333
7,865		Rosetta Resources, Inc., (2)				184,749
17,600		Royal Dutch Shell PLC, Class B, Sponsored ADR, (3)				1,034,704
3,300		SM Energy Company				123,618
61,190		StatoilHydro ASA				1,276,623
47,046		StatoilHydro ASA, Sponsored ADR				987,025
4,850		Stone Energy Corporation, (2)				71,441
74,576		Suncor Energy, Inc., (3)				2,427,449
213,096		Tesoro Corporation, (3)				2,846,963
7,825		Total SA				403,282
840		Whiting Petroleum Corporation, (2)				80,228
5,920		World Fuel Services Corporation				153,979
508,213		Yanzhou Coal Mining Company				1,247,140
		Total Oil, Gas & Consumable Fuels				38,432,264
		Personal Products – 0.0%
1,570		Medifast, Inc.				42,594
11,520		Prestige Brands Holdings Inc.				113,933
		Total Personal Products				156,527
		Pharmaceuticals – 1.8%
21,000		AstraZeneca Group, Sponsored ADR, (3)				1,064,700
37,930		AstraZeneca Group				1,926,656
30,052		Bristol-Myers Squibb Company				814,710
33,535		Eli Lilly and Company, (3)				1,225,034
40,200		Forest Laboratories, Inc., (2), (3)				1,243,386
22,560		Johnson & Johnson				1,397,818
21,236		Novartis AG				1,217,777
12,720		Novo Nordisk A/S				1,262,274
7,045		Perrigo Company				452,430
170,658		Pfizer Inc., (3)				2,930,198
20,817		Sanofi-Aventis, S.A.				1,387,013
21,610		Watson Pharmaceuticals Inc., (2)				914,319
		Total Pharmaceuticals				15,836,315
		Professional Services – 0.0%
8,950		Acacia Research, (2)				157,520
1,580		Towers Watson & Company, Class A Shares				77,704
		Total Professional Services				235,224
		Real Estate – 0.6%
11,160		Annaly Capital Management Inc.				196,416
29,900		Apartment Investment & Management Company, Class A				639,262
7,410		Boston Properties, Inc.				615,919
4,940		Camden Property Trust				236,972
10,970		Digital Realty Trust Inc.				676,849
11,180		Duke Realty Corporation				129,576
2,830		Equity Lifestyles Properties Inc.				154,178
1,430		Essex Property Trust Inc.				156,499
2,200		Home Properties New York, Inc.				116,380
8,950		Inland Real Estate Corporation				74,375
5,670		LaSalle Hotel Properties				132,621
4,410		Parkway Properties Inc.				65,268
2,362		PS Business Parks Inc.				133,618
5,770		Ramco-Gershenson Properties Trust				61,797
8,000		Rayonier Inc.				400,960
2,909		Simon Property Group, Inc.				269,781
2,450		Taubman Centers Inc.				109,295
4,460		Walter Investment Management Corporation				78,005
111,300		Westfield Group				1,318,894
		Total Real Estate				5,566,665
		Real Estate Management & Development – 0.2%
67,160		Brookfield Properties Corporation				1,048,947
119,956		Hysan Development Company				428,257
		Total Real Estate Management & Development				1,477,204
		Road & Rail – 0.1%
545		Canadian Pacific Railway Limited				33,207
2,870		Genesee & Wyoming Inc.				124,529
12,140		Kansas City Southern Industries, (2)				454,157
8,320		Norfolk Southern Corporation				495,123
426		Union Pacific Corporation				34,847
		Total Road & Rail				1,141,863
		Semiconductors & Equipment – 0.8%
46,880		ASM Lithography Holding NV				1,400,250
32,185		Broadcom Corporation, Class A				1,139,027
43,080		Intel Corporation				828,428
27,290		KLA-Tencor Corporation				961,427
35,220		Marvell Technology Group Ltd., (2)				616,702
12,110		Micron Technology, Inc., (2)				87,313
21,600		Novellus Systems, Inc., (2)				574,128
11,100		ON Semiconductor Corporation, (2)				80,031
104,020		Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR				1,054,763
4,510		Xilinx, Inc.				120,011
		Total Semiconductors & Equipment				6,862,080
		Software – 0.4%
1,690		Advent Software Inc., (2)				88,201
5,240		Ansys Inc., (2)				221,390
4,550		CommVault Systems, Inc., (2)				118,437
2,850		Manhattan Associates Inc., (2)				83,648
95,391		Microsoft Corporation, (3)				2,336,126
10,530		Rovi Corporation, (2)				530,817
3,755		Salesforce.com, Inc., (2)				419,809
3,510		VirnetX Holding Corporation				51,526
		Total Software				3,849,954
		Specialty Retail – 0.3%
6,750		Advance Auto Parts, Inc.				396,090
7,020		Best Buy Co., Inc.				286,627
2,230		Guess Inc.				90,605
14,630		Home Depot, Inc.				463,478
1,400		J. Crew Group Inc., (2)				47,068
3,740		OfficeMax Inc., (2)				48,957
4,220		PetSmart Inc.				147,700
7,860		Talbots, Inc., (2)				102,966
38,710		Williams-Sonoma Inc.				1,227,107
		Total Specialty Retail				2,810,598
		Textiles, Apparel & Luxury Goods – 0.4%
2,970		Deckers Outdoor Corporation, (2)				148,381
3,140		Fossil Inc., (2)				168,901
7,180		Jones Apparel Group, Inc.				141,015
13,340		Liz Claiborne, Inc.				81,107
9,710		LVMH Moet Hennessy				1,424,318
516,358		Yue Yuen Industrial Holdings Limited				1,910,009
		Total Textiles, Apparel & Luxury Goods				3,873,731
		Thrifts & Mortgage Finance – 0.0%
11,070		People's United Financial, Inc.				144,906
		Tobacco – 0.5%
41,410		Altria Group, Inc.				994,668
33,910		British American Tobacco PLC				1,264,877
30,795		Philip Morris International				1,725,136
7,380		Reynolds American Inc.				438,298
		Total Tobacco				4,422,979
		Trading Companies & Distributors – 0.3%
3,090		Applied Industrial Technologies Inc.				94,554
193,464		Mitsui & Company Limited				2,878,322
		Total Trading Companies & Distributors				2,972,876
		Water Utilities – 0.0%
823		Companhia de Saneamento Basico do Estado de Sao Paulo, ADR				37,455
		Wireless Telecommunication Services – 0.5%
9,722		Millicom International Cellular S.A.				927,436
19,414		Millicom International Cellular S.A.				1,862,773
1,400		TIM Participacoes S.A., ADR				46,186
4,123		Turkcell Iletisim Hizmetleri A.S., ADR				69,101
460,240		Vodafone Group PLC				1,135,819
		Total Wireless Telecommunication Services				4,041,315
		Total Common Stocks (cost $281,803,566)				308,519,322

Shares		Description (1)	Coupon		Ratings (4)		Value
		Convertible Preferred Securities – 1.8% (1.4% of Total Investments)
		Capital Markets – 0.1%
7,200		Affiliated Managers Group Inc., Convertible Bond	5.100%		BB		$ 298,800
5,800		AMG Capital Trust II, Convertible Bond	5.150%		BB		210,613
		Total Capital Markets					509,413
		Commercial Banks – 0.8%
3,500,000		Credit Suisse AG	7.875%		BBB+		3,625,475
5,150		Fifth Third Bancorp, Convertible Bond	8.500%		Ba1		662,342
2,750		Wells Fargo & Company, Convertible Bond	7.500%		A-		2,766,500
		Total Commercial Banks					7,054,317
		Communications Equipment – 0.2%
2,775		Lucent Technologies Capital Trust I	7.750%		B3		2,247,750
		Diversified Financial Services – 0.3%
2,950		Bank of America Corporation	7.250%		BB		2,898,375
		Food Products – 0.0%
5,300		Bunge Limited, Convertible Bonds	4.875%		Ba1		462,425
		Health Care Providers & Services – 0.0%
8,350		Omnicare Capital Trust II, Series B	4.000%		B		308,867
		Independent Power Producers & Energy Traders – 0.0%
8,250		AES Trust III, Convertible Preferred	6.750%		B		401,610
		Insurance – 0.1%
5,150		Aspen Insurance Holdings Limited	5.625%		BBB-		287,782
4,000		Reinsurance Group of America Inc.	5.750%		BBB		259,120
		Total Insurance					546,902
		Multi-Utilities – 0.1%
7,450		CMS Energy Corporation, Convertible Bonds	4.500%		Ba2		753,381
		Oil, Gas & Consumable Fuels – 0.1%
400		El Paso Corporation, 144A	4.990%		B		460,600
300		El Paso Corporation	4.990%		B		345,450
		Total Oil, Gas & Consumable Fuels					806,050
		Real Estate – 0.1%
27,361		Commonwealth REIT, Convertble Debt	6.500%		Baa3		607,960
		Total Convertible Preferred Securities (cost $15,340,267)					16,597,050

Shares		Description (1)	Coupon		Ratings (4)		Value
		$25 Par (or similar) Preferred Securities – 34.8% (26.3% of Total Investments)
		Capital Markets – 3.3%
91,000		Ameriprise Financial, Inc.	7.750%		A		$ 2,553,460
72,200		BNY Capital Trust V, Series F	5.950%		A1		1,818,718
96,244		Credit Suisse	7.900%		A3		2,633,236
886,830		Deutsche Bank Capital Funding Trust II	6.550%		BBB		21,780,545
8,300		Deutsche Bank Capital Funding Trust IX	6.625%		BBB		205,425
20,300		Goldman Sachs Group Inc., Series 2004-4 (CORTS)	6.000%		A3		478,877
7,500		Goldman Sachs Group Inc., Series GSC-3 (PPLUS)	6.000%		A3		178,200
600		Morgan Stanley Capital Trust III	6.250%		BBB		14,490
2,700		Morgan Stanley Capital Trust IV	6.250%		BBB		65,070
		Total Capital Markets					29,728,021
		Commercial Banks – 4.1%
407,582		Banco Santander Finance	10.500%		A-		11,526,419
14,600		Barclays Bank PLC	7.750%		A-		370,256
24,100		Barclays Bank PLC	7.100%		A+		600,090
59,300		BB&T Capital Trust VI	9.600%		A3		1,695,980
73,300		BB&T Capital Trust VII	8.100%		A3		2,028,211
108,000		Cobank Agricultural Credit Bank, 144A	7.000%		N/R		4,883,630
31,000		Cobank Agricultural Credit Bank	11.000%		A		1,703,063
2,000,000		HSBC Bank PLC	1.000%		A		1,195,000
401,487		HSBC Finance Corporation	6.875%		A		10,173,681
15,000		HSBC Holdings PLC	8.000%		A-		404,700
22,700		HSBC Holdings PLC	6.200%		A-		553,880
79,592		Merrill Lynch Preferred Capital Trust V	7.280%		Baa3		1,969,902
500,000		National Australia Bank	8.000%		A+		538,325
400		National City Capital Trust II	6.625%		BBB		9,964
		Total Commercial Banks					37,653,101
		Diversified Financial Services – 2.7%
5,400		Citigroup Capital Trust XII	8.500%		Ba1		142,614
117,000		Citigroup Capital XIII	7.875%		Ba1		2,964,580
16,300		Citigroup Capital XVII	6.350%		Ba1		378,160
32,600		Countrywide Capital Trust IV	6.750%		Baa3		785,334
644,975		ING Groep N.V	7.050%		Ba1		15,427,802
100		JP Morgan Chase & Company	7.900%		BBB+		107,527
115,500		JP Morgan Chase Capital Trust XI	5.875%		A2		2,865,555
38,700		JP Morgan Chase Capital Trust XXIX	6.700%		A2		982,980
36,250		Merrill Lynch Capital Trust II	6.450%		Baa3		871,813
		Total Diversified Financial Services					24,526,365
		Diversified Telecommunication Services – 0.1%
27,599		BellSouth Capital Funding (CORTS)	7.120%		A		702,913
9,464		BellSouth Corporation (CORTS)	7.000%		A		237,192
		Total Diversified Telecommunication Services					940,105
		Electric Utilities – 0.2%
59,800		Entergy Texas Inc.	7.875%		BBB+		1,763,502
		Food Products – 0.2%
25,000		Dairy Farmers of America Inc., 144A	7.875%		BBB-		2,208,595
		Insurance – 7.6%
624,430		Aegon N.V.	6.375%		BBB		14,599,173
16,100		Allianz SE	8.375%		A+		438,725
6,500		Arch Capital Group Limited, Series B	7.875%		BBB		166,400
353,466		Arch Capital Group Limited	8.000%		BBB		9,031,056
71,300		Assured Guaranty Municipal Holdings	6.250%		A+		1,676,263
4,000		Axis Capital Holdings Limited	7.250%		BBB		100,040
3,000		Credit Suisse First Boston Debenture Backed Structured Asset Trust	0.000%		Aa1		75,900
307,998		Delphi Financial Group, Inc.	8.000%		BBB		7,900,149
277,157		EverestRe Capital Trust II	6.200%		Baa1		6,712,743
651,374		PartnerRe Limited, Series C	6.750%		BBB+		16,492,790
62,457		PLC Capital Trust III	7.500%		BBB		1,575,790
5,800		PLC Capital Trust IV	7.250%		BBB		145,000
364,959		RenaissanceRe Holdings Limited, Series B	7.300%		BBB+		9,200,616
2,000		RenaissanceRe Holdings Limited, Series C	6.080%		BBB+		46,940
32,400		RenaissanceRe Holdings Limited, Series D	6.600%		BBB+		807,408
		Total Insurance					68,968,993
		Media – 4.6%
6,800		CBS Corporation	7.250%		BBB-		170,952
464,395		CBS Corporation	6.750%		BBB-		11,749,194
481,431		Comcast Corporation	7.000%		BBB+		12,579,792
97,000		Comcast Corporation	6.625%		BBB+		2,516,180
577,046		Viacom Inc.	6.850%		BBB+		15,135,917
		Total Media					42,152,035
		Multi-Utilities – 1.2%
216,300		Dominion Resources Inc.	8.375%		BBB		6,296,493
158,561		Xcel Energy Inc.	7.600%		BBB		4,369,941
		Total Multi-Utilities					10,666,434
		Oil, Gas & Consumable Fuels – 1.2%
429,300		Nexen Inc.	7.350%		BB+		10,869,876
		Real Estate – 9.6%
632,300		Commomwealth REIT	7.125%		Baa3		15,624,133
98,785		Developers Diversified Realty Corporation, Series G	8.000%		Ba1		2,478,516
1,400		Harris Preferred Capital Corporation, Series A	7.375%		A-		35,504
340,287		Kimco Realty Corporation, Series F	6.650%		Baa2		8,306,406
109,832		Kimco Realty Corporation, Series G	7.750%		Baa2		2,813,896
29,562		Kimco Realty Corporation, Series H	6.900%		Baa2		731,068
32,982		Prologis Trust, Series C	8.540%		Baa3		1,731,555
216,310		Public Storage, Inc.	6.750%		Baa1		5,494,274
33,774		Public Storage, Inc., Series C	6.600%		Baa1		848,741
43,700		Public Storage, Inc., Series E	6.750%		Baa1		1,092,500
9,359		Public Storage, Inc., Series H	6.950%		Baa1		235,940
205,058		Realty Income Corporation	6.750%		Baa2		5,196,170
113,040		Regency Centers Corporation	7.450%		Baa3		2,848,043
103,728		Vornado Realty LP	7.875%		BBB		2,771,612
857,862		Wachovia Preferred Funding Corporation	7.250%		A-		22,167,154
583,830		Weingarten Realty Trust, Preferred Securities	6.750%		Baa3		14,414,760
		Total Real Estate					86,790,272
		Wireless Telecommunication Services – 0.0%
1,500		Telephone and Data Systems Inc.	7.600%		Baa2		37,710
		Total $25 Par (or similar) Preferred Securities (cost $312,935,989)					316,305,009

			Weighted
Principal			Average
Amount (000)		Description (1)	Coupon	Maturity (5)	Ratings (4)		Value
		Variable Rate Senior Loan Interests – 6.9% (5.2% of Total Investments) (6)
		Aerospace & Defense – 0.2%
$ 276		Aveos Fleet Performance, Inc., ABL Term Loan	11.250%	3/12/13	B		$ 275,522
286		Aveos Fleet Performance, Inc., Term Loan	8.500%	3/12/15	B		267,338
574		DAE Aviation Holdings, Inc., Term Loan B1	4.230%	7/31/14	B		529,947
556		DAE Aviation Holdings, Inc., Term Loan B2	4.230%	7/31/14	B		513,161
600		McKechnie Aerospace Holdings, Inc., Term Loan	5.260%	5/11/15	N/R		593,887
2,292		Total Aerospace & Defense					2,179,855
		Airlines – 0.1%
968		Delta Air Lines, Inc., Term Loan	3.507%	4/30/14	B		913,078
		Automobiles – 0.1%
1,101		Ford Motor Company, Term Loan	3.030%	12/15/13	Ba1		1,081,862
		Building Products – 0.2%
1,333		Building Materials Corporation of America, Term Loan	3.063%	2/22/14	BBB		1,317,358
		Chemicals – 0.0%
397		Hercules Offshore, Inc., Term Loan	6.000%	7/11/13	B2		343,125
		Communications Equipment – 0.2%
1,974		Avaya, Inc., Term Loan	3.058%	10/24/14	B1		1,754,367
		Containers & Packaging – 0.1%
150		Reynolds Group Holdings, Inc., Term Loan A, WI/DD	TBD	TBD	Ba3		150,281
900		Reynolds Group Holdings, Inc., Term Loan D, WI/DD	TBD	TBD	Ba3		905,412
1,050		Total Containers & Packaging					1,055,693
		Diversified Consumer Services – 0.1%
960		Cengage Learning Acquisitions, Inc., Term Loan	2.540%	7/03/14	B+		864,945
		Diversified Financial Services – 0.1%
1,050		Pinafore LLC, Term Loan, WI/DD	TBD	TBD	BB		1,060,824
		Electric Utilities – 0.2%
375		Calpine Corporation, DIP Term Loan	3.165%	3/29/14	B+		367,367
970		TXU Corporation, Term Loan B2	3.923%	10/10/14	B+		754,916
1,338		TXU Corporation, Term Loan B3	3.758%	10/10/14	B+		1,038,526
2,683		Total Electric Utilities					2,160,809
		Electrical Equipment – 0.0%
231		Allison Transmission Holdings, Inc., Term Loan	3.020%	8/07/14	B		217,710
		Food Products – 0.2%
900		NBTY, Inc., Term Loan, WI/DD	TBD	TBD	BB-		910,446
1,000		Pierre Foods, Inc., Term Loan, WI/DD	TBD	TBD	B+		990,000
1,900		Total Food Products					1,900,446
		Health Care Providers & Services – 0.6%
65		Community Health Systems, Inc., Delayed Term Loan	2.549%	7/25/14	BB		61,423
1,302		Community Health Systems, Inc., Term Loan	2.549%	7/25/14	BB		1,236,939
471		Concentra, Inc., Term Loan	2.540%	6/25/14	Ba3		457,033
750		HCA, Inc., Tranche B1, Term Loan, WI/DD	TBD	TBD	BB		724,688
514		Health Management Associates, Inc., Term Loan	2.039%	2/28/14	BB-		486,426
181		IASIS Healthcare LLC, Delayed Term Loan	2.256%	3/14/14	Ba2		174,118
49		IASIS Healthcare LLC, Letter of Credit	2.256%	3/14/14	Ba2		47,500
524		IASIS Healthcare LLC, Term Loan	2.256%	3/14/14	Ba2		503,068
981		Select Medical Corporation, Term Loan B2	2.339%	2/24/12	Ba2		969,384
585		Select Medical Corporation, Term Loan	2.339%	2/24/12	Ba2		577,997
5,422		Total Health Care Providers & Services					5,238,576
		Hotels, Restaurants & Leisure – 0.5%
1,435		CCM Merger, Inc., Term Loan B	8.500%	7/13/12	BB-		1,423,827
507		Harrah's Operating Company, Inc., Term Loan B2	3.498%	1/28/15	B		438,163
134		Travelport LLC, Letter of Credit	2.789%	8/23/13	Ba3		129,460
669		Travelport LLC, Term Loan	2.760%	8/23/13	Ba3		645,201
509		Venetian Casino Resort LLC, Delayed Term Loan	3.030%	11/23/16	B		463,606
1,757		Venetian Casino Resort LLC, Tranche B, Term Loan	3.030%	11/23/16	B		1,600,621
5,011		Total Hotels, Restaurants & Leisure					4,700,878
		Insurance – 0.2%
1,502		Conseco, Inc., Term Loan	7.500%	10/10/13	B2		1,477,651
		IT Services – 0.5%
731		First Data Corporation, Term Loan B1	3.006%	9/24/14	B+		645,539
483		Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, WI/DD	TBD	TBD	B+		445,908
821		Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Draw Term Loan, DD1	6.100%	7/28/15	B+		726,418
476		Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien, WI/DD	TBD	TBD	B+		439,714
1,573		Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, DD1	6.100%	7/28/15	B+		1,431,659
786		SunGard Data Systems, Inc., Term Loan B	2.008%	2/28/14	BB		760,319
4,870		Total IT Services					4,449,557
		Leisure Equipment & Products – 0.1%
486		Cedar Fair LP, Term Loan	5.500%	12/15/16	Ba2		490,603
384		Herbst Gaming, Inc., Delayed Term Loan, (7)	10.500%	12/02/11	N/R		213,752
442		Herbst Gaming, Inc., Term Loan, (7)	10.500%	12/02/11	N/R		246,011
1,312		Total Leisure Equipment & Products					950,366
		Media – 1.5%
559		Cequel Communications LLC, Term Loan B	2.258%	11/05/13	BB-		544,995
2,947		Charter Communications Operating Holdings LLC, Term Loan C	3.540%	9/06/16	BB+		2,882,536
363		Charter Communications Operating Holdings LLC, Term Loan	2.260%	3/06/14	BB+		354,946
548		Citadel Broadcasting Corporation, Term Loan, (17)	11.000%	6/03/15	BB+		579,418
685		Gray Television, Inc., Term Loan B	3.760%	12/31/14	B		658,008
790		Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (7), (8)	18.500%	4/09/12	N/R		348,474
34		Nielsen Finance LLC, Term Loan A	2.258%	8/09/13	BB-		32,840
1,234		Nielsen Finance LLC, Term Loan B	4.008%	5/02/16	BB-		1,205,035
546		Nielsen Finance LLC, Term Loan C	4.008%	5/02/16	BB-		527,238
944		Philadelphia Newspapers, Term Loan, (7), (9)	6.500%	6/29/13	N/R		259,628
347		SuperMedia, Term Loan	11.000%	12/31/15	B-		270,845
1,425		Tribune Company, Term Loan B, (7), (9)	3.000%	6/04/14	Ca		932,358
5,332		Univision Communications, Inc., Term Loan	2.506%	9/29/14	B2		4,684,471
15,754		Total Media					13,280,792
		Metals & Mining – 0.1%
1,299		John Maneely Company, Term Loan	3.775%	12/09/13	B		1,268,376
		Oil, Gas & Consumable Fuels – 0.2%
1,950		CCS Income Trust, Term Loan	3.256%	11/14/14	B		1,686,642
		Pharmaceuticals – 0.3%
1,000		Royalty Pharma Finance Trust, Unsecured Term Loan	7.750%	5/15/15	Baa3		1,050,000
906		Warner Chilcott Corporation, Term Loan B3	6.500%	2/22/16	BB		911,056
294		Warner Chilcott Corporation, Term Loan B4	6.500%	2/22/16	BB		295,825
2,200		Total Pharmaceuticals					2,256,881
		Real Estate Management & Development – 0.3%
1,207		LNR Property Corporation, Term Loan B	3.760%	7/12/11	B2		1,174,450
1,626		Realogy Corporation, Delayed Term Loan	3.309%	10/10/13	B1		1,453,026
2,833		Total Real Estate Management & Development					2,627,476
		Road & Rail – 0.3%
998		Hertz Corporation, Term Loan, WI/DD	TBD	TBD	Ba1		977,549
1,900		Swift Transportation Company, Inc., Term Loan	8.250%	5/12/14	B		1,859,742
2,898		Total Road & Rail					2,837,291
		Specialty Retail – 0.6%
1,157		Toys "R" Us - Delaware, Inc., Term Loan	6.000%	9/01/16	BB-		1,161,005
2,360		Burlington Coat Factory Warehouse Corporation, Term Loan	2.535%	5/28/13	B-		2,277,030
887		Michaels Stores, Inc., Term Loan B1	2.634%	10/31/13	B		858,850
1,194		Michaels Stores, Inc., Term Loan B2	4.884%	7/31/16	B		1,172,741
5,598		Total Specialty Retail					5,469,626
		Wireless Telecommunication Services – 0.2%
2,000		Clear Channel Communications, Inc., Tranche B, Term Loan	3.906%	11/13/15	Caa1		1,582,750
$ 68,588		Total Variable Rate Senior Loan Interests (cost $64,535,420)					62,676,934

Principal
Amount (000)		Description (1)	Coupon	Maturity	Ratings (4)		Value
		Convertible Bonds – 10.4% (7.9% of Total Investments)
		Aerospace & Defense - 0.2%
$ 350		Alliant Techsystems Inc., Convertible Bonds	2.750%	9/15/11	BB-		$ 355,688
250		Alliant Techsystems Inc., Convertible Bonds	2.750%	2/15/24	BB-		251,563
900		L-3 Communications Corporation, Convertible Bond	3.000%	8/01/35	BB+		911,250
1,500		Total Aerospace & Defense					1,518,501
		Auto Components – 0.1%
500		BorgWarner Inc.	3.500%	4/15/12	BBB		835,000
		Automobiles – 0.4%
2,100		Ford Motor Company, Convertible Bonds	4.250%	11/15/16	B		3,144,750
350		Ford Motor Company, Convertible Bonds	4.250%	12/15/36	B		521,063
2,450		Total Automobiles					3,665,813
		Beverages – 0.0%
250		Molson Coors Brewing Company, Convertible Notes	2.500%	7/30/13	BBB-		282,188
		Biotechnology – 0.3%
1,800		Amgen Inc.	0.375%	2/01/13	A+		1,793,250
400		BioMarin Pharmaceutical Inc.	1.875%	4/23/17	B-		499,000
2,200		Total Biotechnology					2,292,250
		Capital Markets – 0.1%
450		Affiliated Managers Group Inc.	3.950%	8/15/38	BBB-		457,875
		Commercial Banks – 0.3%
1,790		National City Corporation, Convertible Senior Notes	4.000%	2/01/11	A		1,814,613
300		SVB Financial Group, Convertible Bond, 144A	3.875%	4/15/11	A3		305,250
600		U.S. Bancorp, Convertible Bonds, Floating Rate	0.000%	12/11/35	Aa3		598,890
2,690		Total Commercial Banks					2,718,753
		Commercial Services & Supplies – 0.1%
300		Covanta Holding Corporation, Convertible Bonds	3.250%	6/01/14	Ba3		338,625
500		Covanta Holding Corporation, Convertible Bonds	1.000%	2/01/27	Ba3		485,625
800		Total Commercial Services & Supplies					824,250
		Communications Equipment – 0.2%
400		Ciena Corporation, Convertible Bond	0.250%	5/01/13	B		359,000
400		Ciena Corporation, Convertible Bond	0.875%	6/15/17	B		293,500
350		CommScope Inc.	3.250%	7/01/15	B		399,438
650		Liberty Media Corporation, Senior Debentures, Exchangeable for Motorola Common Stock	3.500%	1/15/31	BB-		348,517
500		Lucent Technologies Inc., Series B	2.875%	6/15/25	B1		455,625
2,300		Total Communications Equipment					1,856,080
		Computers & Peripherals – 0.5%
1,000		EMC Corporation, Convertible Bonds, 144A	1.750%	12/01/11	A-		1,317,500
600		EMC Corporation, Convertible Bonds, 144A	1.750%	12/01/13	A-		828,750
500		EMC Corporation, Convertible Bonds	1.750%	12/01/11	A-		658,750
750		EMC Corporation, Convertible Bonds	1.750%	12/01/13	A-		1,035,938
850		Sandisk Corporation, Convertible Bond	1.000%	5/15/13	BB-		784,125
3,700		Total Computers & Peripherals					4,625,063
		Construction & Engineering – 0.0%
200		Fluor Corporation, Convertible Bonds	1.500%	2/15/24	A3		356,750
		Consumer Finance – 0.0%
250		Americredit Corporation	0.750%	9/15/11	B-		250,000
		Diversified Consumer Services – 0.0%
250		Sotheby's Holdings Inc., Convertible Bond	3.125%	6/15/13	BB-		315,313
		Diversified Financial Services – 0.1%
600		NASDAQ Stock Market Inc., Convertible Bond	2.500%	8/15/13	BBB		594,750
350		PHH Corporation	4.000%	4/15/12	Ba2		410,813
950		Total Diversified Financial Services					1,005,563
		Diversified Telecommunication Services – 0.2%
850		Qwest Communications International Inc.	3.500%	11/15/25	Ba3		1,118,813
350		Time Warner Telecom Inc., Convertible Bond	2.375%	4/01/26	B-		410,375
1,200		Total Diversified Telecommunication Services					1,529,188
		Electrical Equipment – 0.1%
487		General Cable Corporation, Convertible Bonds	0.875%	11/15/13	Ba3		438,909
323		General Cable Corporation, Convertible Bonds	4.500%	11/15/29	B		325,826
350		Roper Industries Inc.	0.000%	1/15/34	BB+		278,250
1,160		Total Electrical Equipment					1,042,985
		Electronic Equipment & Instruments – 0.2%
450		Anixter International Inc., Convertible Bond	0.000%	7/07/33	B+		367,313
350		Itron Inc.	2.500%	8/01/26	B-		392,438
650		Tech Data Corporation, Convertible Bonds	2.750%	12/15/26	BBB-		665,438
1,450		Total Electronic Equipment & Instruments					1,425,189
		Energy Equipment & Services – 1.0%
1,280		Bristow Group Convertible Bond	3.000%	6/15/38	BB		1,161,600
396		Cameron International Corporation, Convertible Bonds	2.500%	6/15/26	BBB+		513,315
350		Exterran Holdings Inc., Convertible Bond	4.250%	6/15/14	BB		420,875
800		Nabors Industries Inc., 144A	0.940%	5/15/11	BBB		797,000
950		Nabors Industries Inc.	0.940%	5/15/11	BBB		946,438
500		SESI LLC, Convertible Bond, 144A	1.500%	12/15/26	BB+		486,875
900		Transocean Inc., Convertible Bond	1.625%	12/15/37	BBB		897,750
2,000		Transocean Inc.	1.500%	12/15/37	BBB		1,967,500
1,950		Transocean Inc.	1.500%	12/15/37	BBB		1,874,438
9,126		Total Energy Equipment & Services					9,065,791
		Food Products – 0.3%
250		Archer Daniels Midland Company, Convertible Bonds, 144A	0.875%	2/15/14	A		262,813
750		Archer Daniels Midland Company, Convertible Bonds	0.875%	2/15/14	A		788,438
300		Chiquita Brands International Inc., Convertible Bond	4.250%	8/15/16	B		284,625
350		Smithfield Foods Inc., Convertible Bond	4.000%	6/30/13	B-		371,000
500		Tyson Foods inc., Convertible Bond	3.250%	10/15/13	BB+		591,875
2,150		Total Food Products					2,298,751
		Health Care Equipment & Supplies – 0.7%
250		Alere Inc., Convertible Bond	3.000%	5/15/16	B-		238,438
100		Beckman Coulter Inc., Convertible Bonds, 144A	2.500%	12/15/36	BBB		102,125
500		Beckman Coulter Inc., Convertible Bonds	2.500%	12/15/36	BBB		510,625
1,850		Hologic Inc.	2.000%	12/15/37	BB+		1,720,500
600		Kinetic Concepts Inc., Convertible Bond, 144A	3.250%	4/15/15	BB-		603,750
1,216		Medtronic, Inc., Convertible Bond	1.500%	4/15/11	AA-		1,223,600
2,000		Medtronic, Inc., Convertible Bond	1.625%	4/15/13	AA-		2,007,500
6,516		Total Health Care Equipment & Supplies					6,406,538
		Health Care Providers & Services – 0.5%
400		AmeriGroup Corporation, Convertible Bond	2.000%	5/15/12	BB		461,000
300		LifePoint Hospitals, Inc., Convertible Bond	3.250%	8/15/25	B		294,375
650		LifePoint Hospitals, Inc., Convertible Bonds	3.500%	5/15/14	B		650,000
3,552		Omnicare, Inc.	3.250%	12/15/35	B+		3,072,480
250		PSS World Medical Inc. Convertible Note, 144A	3.125%	8/01/14	BB		296,250
5,152		Total Health Care Providers & Services					4,774,105
		Hotels, Restaurants & Leisure – 0.3%
900		Carnival Corporation	2.000%	4/15/21	A3		921,375
250		Host Hotels and Resorts Inc., Convertible Bond, 144A	2.500%	10/15/29	BB+		305,313
800		International Game Technology	3.250%	5/01/14	BBB		874,000
250		Wyndham Worldwide Corporation, Convertible Bond	3.500%	5/01/12	BBB-		557,813
2,200		Total Hotels, Restaurants & Leisure					2,658,501
		Household Durables – 0.1%
400		D.R. Horton, Inc.	2.000%	5/15/14	BB-		441,000
250		Lennar Corporation	2.000%	12/01/20	BB-		236,563
650		Total Household Durables					677,563
		Independent Power Producers & Energy Traders – 0.0%
300		Allegheny Technologies Inc., Convetible Bond	4.250%	6/01/14	BBB-		408,750
		Industrial Conglomerates – 0.1%
500		Textron Inc.	4.500%	5/01/13	BBB-		855,000
		Insurance – 0.0%
300		Old Republic International Corporation	8.000%	5/15/12	BBB+		391,875
		Internet Software & Services – 0.1%
500		Equinix Inc., Convertible Bond	3.000%	10/15/14	B-		554,375
450		Equinix Inc.t	4.750%	6/15/16	B-		640,125
950		Total Internet Software & Services					1,194,500
		IT Services – 0.1%
150		Macrovision Corporation, Convertible Bonds	2.625%	8/15/11	BB-		270,563
250		Verifone Holdings Inc.	1.375%	6/15/12	B		248,750
400		Total IT Services					519,313
		Life Sciences Tools & Services – 0.1%
400		Charles River Laboratories International, Inc.	2.250%	6/15/13	BB+		393,500
300		Invitrogen Corporation, Convertible Bond	1.500%	2/15/24	BBB-		340,125
700		Total Life Sciences Tools & Services					733,625
		Machinery – 0.2%
600		Danaher Corporation, Convertible Bonds	0.000%	1/22/21	A+		711,000
250		Ingersoll Rand	4.500%	4/15/12	BBB+		510,625
500		Navistar International Corporation, Convertible Bond	3.000%	10/15/14	B1		564,375
200		Terex Corporation	4.000%	6/01/15	B		314,750
1,550		Total Machinery					2,100,750
		Media – 0.2%
600		Interpublic Group Companies Inc., Convertible Notes	4.250%	3/15/23	BB		652,500
850		Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1	4.000%	11/15/29	BB-		489,813
400		Liberty Media Corporation	3.125%	3/30/23	BB-		442,500
550		Omnicom Group Inc., Convertible Bond	0.000%	7/01/38	BBB+		547,938
2,400		Total Media					2,132,751
		Metals & Mining – 0.6%
350		Alcoa Inc., Convertible Bond	5.250%	3/15/14	Baa3		703,938
2,000		Gold Reserve, Inc., Convertible Bonds	5.500%	6/15/22	N/R		1,510,000
150		Newmont Mining Corp., Senior Convertible Note	1.625%	7/15/17	BBB+		222,000
450		Newmont Mining Corporation, 144A	1.625%	7/15/17	BBB+		666,000
600		Newmont Mining Corporation	1.250%	7/15/14	BBB+		876,750
250		Steel Dynamics, Inc.	5.125%	6/15/14	BB+		284,063
650		United States Steel Corporation	4.000%	5/15/14	BB		1,005,875
4,450		Total Metals & Mining					5,268,626
		Multiline Retail – 0.0%
350		Saks, Inc., Convertible Bonds	2.000%	3/15/24	B+		325,063
		Oil, Gas & Consumable Fuels – 0.7%
400		Alpha Natural Resouces Inc., Convertible Bond	2.375%	4/15/15	BB		449,000
450		Chesapeake Energy Corporation, Convertible Bonds	2.750%	11/15/35	BB		429,188
750		Chesapeake Energy Corporation, Convertible Bonds	2.500%	5/15/37	BB		656,250
800		Chesapeake Energy Corporation, Convertible Bonds	2.250%	12/15/38	BB		619,000
920		Goodrich Petroleum Corporation, Convertible	5.000%	10/01/29	N/R		841,800
500		Massey Energy Company, Convertible Bond	3.250%	8/01/15	BB-		446,250
800		Peabody Energy Corp., Convertible Bond	4.750%	12/15/66	Ba3		896,000
300		Penn Virginia Corporation	4.500%	11/15/12	B		294,000
500		Pioneer Natural Resouces Company, Convertible Bond	2.875%	1/15/38	BB+		628,750
1,075		USEC Inc., Convertible Bond	3.000%	10/01/14	Caa2		855,969
6,495		Total Oil, Gas & Consumable Fuels					6,116,207
		Pharmaceuticals – 0.5%
600		Allergan Inc., Convertible Bond	1.500%	4/01/26	A+		688,500
500		King Pharmaceuticals Inc., Convertible Bonds	1.250%	4/01/26	BB		470,000
600		Mylan Labs, Inc., Convertible Bonds, 144A	3.750%	9/15/15	BB-		948,750
550		Mylan Labs, Inc., Convertible Bonds	1.250%	3/15/12	BB-		572,688
950		Teva Pharmaceutical Finance Company B.V., Series D	1.750%	2/01/26	A-		1,113,875
350		Teva Pharmaceutical Finance Company LLC, Convertible Bonds	0.250%	2/01/26	A-		426,125
175		Valeant Pharmaceuticals International Convertible Bond	4.000%	11/15/13	B		335,344
3,725		Total Pharmaceuticals					4,555,282
		Real Estate – 0.9%
1,250		Boston Properties Limited Partnership, Convertible Bonds, 144A	3.625%	2/15/14	A-		1,328,125
850		Boston Properties Limited Partnership, Convertible Bonds, 144A	2.875%	2/15/37	A-		862,750
250		Boston Properties Limited Partnership, Convertible Bonds	2.875%	2/15/37	A2		253,750
300		Duke Realty Corporation, Series D, 144A	3.750%	12/01/11	BBB-		304,500
450		ERP Operating LP	3.850%	8/15/26	BBB+		463,320
200		Health Care REIT, Inc., Convertible Bonds	4.750%	12/01/26	Baa2		222,250
200		Health Care REIT, Inc., Convertible Bonds	4.750%	7/15/27	Baa2		222,500
850		Host Hotels and Resorts Inc., Convertible Bond, 144A	2.625%	4/15/27	BB+		833,000
450		Host Marriot LP, Convertible Bonds, 144A	3.250%	4/15/24	BB+		472,500
250		Prologis Trust, Convertible Bonds, 144A	2.250%	4/01/37	BBB-		243,125
1,250		Prologis Trust, Convertible Bonds	2.250%	4/01/37	BBB-		1,215,625
250		Rayonier Trust Holdings Inc., Convertible Bond	3.750%	10/15/12	BBB		274,688
200		Ventas Inc., Convertible Bond, 144A	3.875%	11/15/11	BBB-		239,750
800		Vornado Realty, Convertible Bond	3.875%	4/15/25	BBB		918,000
7,550		Total Real Estate					7,853,883
		Semiconductors & Equipment – 1.0%
2,237		Advanced Micro Devices, Inc., Convertible Bonds, 144A	6.000%	5/01/15	B+		2,211,834
637		Advanced Micro Devices, Inc., Convertible Bonds	5.750%	8/15/12	B+		651,333
1,250		Intel Corporation, Convertible Bond	2.950%	12/15/35	A-		1,242,185
1,850		Intel Corporation, Convertible Bond	3.250%	8/01/39	A2		2,169,122
1,750		Micron Technology, Inc.	1.875%	6/01/14	B		1,564,060
750		ON Semiconductor Corporation	2.625%	12/15/26	B+		760,310
300		Xilinx Inc., Convertible Bond, 144A	3.125%	3/15/37	BB		293,622
100		Xilinx Inc., Convertible Bond	3.125%	3/15/37	BB		97,872
8,874		Total Semiconductors & Equipment					8,990,338
		Software – 0.0%
300		Nuance Communications Inc.	2.750%	8/15/27	B-		327,375
		Specialty Retail – 0.1%
500		Best Buy Co., Inc.	2.250%	1/15/22	Baa3		550,625
		Textiles, Apparel & Luxury Goods – 0.0%
336		Iconix Brand Group, Inc., Convertible Notes, 144A	1.875%	6/30/12	B+		328,020
		Trading Companies & Distributors – 0.0%
290		WESCO International Inc., Convertible Bond	6.000%	9/15/29	B		471,613
		Wireless Telecommunication Services – 0.1%
850		Liberty Media Corporation, Convertible Bonds	3.750%	2/15/30	BB-		480,250
$ 88,914		Total Convertible Bonds (cost $87,003,840)					94,485,856

Principal
Amount (000)		Description (1)	Coupon	Maturity	Ratings (4)		Value
		Corporate Bonds – 12.2% (9.2% of Total Investments)
		Aerospace & Defense - 0.2%
$ 400		Bombardier Inc., CLass B Shares, 144A	7.500%	3/15/18	BB+		$ 432,000
800		Hawker Beechcraft Acquisition Company	8.500%	4/01/15	CCC-		621,000
1,000		Hexcel Corporation, Term Loan	6.750%	2/01/15	B+		1,007,500
2,200		Total Aerospace & Defense					2,060,500
		Airlines – 0.1%
600		Continental Airlines, inc., 144A	6.750%	9/15/15	Ba2		611,250
600		United Airlines Inc., 144A	12.000%	11/01/13	B3		666,000
1,200		Total Airlines					1,277,250
		Auto Components – 0.3%
800		Cooper Standard Automitve	8.500%	5/01/18	B+		834,000
1,200		Titan Wheels International Inc., 144A, WI/DD	7.875%	10/01/17	B1		1,218,000
400		TRW Automotive Inc., 144A	8.875%	12/01/17	BB		440,000
2,400		Total Auto Components					2,492,000
		Building Products – 0.0%
400		Libbey Glass Inc., 144A	10.000%	2/15/15	B		432,000
		Chemicals – 0.7%
1,950		Hexion US Finance Corporation	8.875%	2/01/18	B3		1,920,750
1,550		Momentive Performance Materials	9.750%	12/01/14	Caa1		1,596,500
800		NOVA Chemicals Corporation	8.625%	11/01/19	B+		853,000
350		Phibro Animal Health Corporation, 144A	9.250%	7/01/18	B		364,000
1,400		Rockwood Specialties Group Inc., Series WI	7.500%	11/15/14	B		1,438,500
400		Solutia Inc.	7.875%	3/15/20	B+		429,500
6,450		Total Chemicals					6,602,250
		Commercial Banks – 0.3%
2,300		LBG Capital I PLC, 144A	7.875%	11/01/20	BB-		2,277,000
		Commercial Services & Supplies – 0.3%
300		International Lease Finance Corporation, 144A	8.625%	9/15/15	BB+		321,750
1,000		International Lease Finance Corporation, 144A	8.750%	3/15/17	BB+		1,075,000
800		Ticketmaster	10.750%	8/01/16	B1		880,000
2,100		Total Commercial Services & Supplies					2,276,750
		Communications Equipment – 0.1%
350		Avaya Inc.	10.125%	11/01/15	CCC+		333,375
800		IntelSat Bermuda Limited	11.250%	2/04/17	CCC+		861,000
1,150		Total Communications Equipment					1,194,375
		Construction Materials – 0.1%
1,200		Headwaters Inc.	11.375%	11/01/14	B+		1,284,000
		Consumer Finance – 0.0%
200		GMAC Inc.	8.000%	3/15/20	B		219,000
		Containers & Packaging – 0.0%
400		Boise Paper Holdings Company	8.000%	4/01/20	BB-		416,000
		Diversified Financial Services – 0.6%
600		Ally Financial Inc.	7.500%	9/15/20	B		642,000
650		CIT Group Inc.	7.000%	5/01/17	B+		639,438
3,800		Fortis Hybrid Financing	8.250%	8/27/49	BBB		3,828,500
5,050		Total Diversified Financial Services					5,109,938
		Diversified Telecommunication Services – 0.6%
800		Cequel Communication Holdings I, 144A	8.625%	11/15/17	B-		848,000
1,650		Cincinnati Bell Inc.	8.250%	10/15/17	B2		1,674,750
800		Frontier Communications Corporation	8.500%	4/15/20	BB		887,000
200		Insight Communications, 144A	9.375%	7/15/18	B-		213,500
800		IntelSat Jackson Holding, 144A	7.250%	10/15/20	B+		808,000
800		Windstream Corporation	7.875%	11/01/17	Ba3		838,000
5,050		Total Diversified Telecommunication Services					5,269,250
		Electric Utilities – 0.2%
400		Calpine Corporation, 144A	7.875%	7/31/20	B+		413,000
1,000		Sierra Pacific Resources, Series 2006	6.750%	8/15/17	BB		1,034,302
1,200		Texas Competitive Electric Holdings	10.250%	11/01/15	CCC		792,000
2,600		Total Electric Utilities					2,239,302
		Electrical Equipment – 0.1%
600		Energy Future Holdings	10.000%	1/15/20	B+		598,656
		Electronic Equipment & Instruments – 0.1%
800		Kemet Corporation, Convertible Bonds, 144A	10.500%	5/01/18	B1		841,000
		Energy Equipment & Services – 0.1%
800		Hercules Offshore LLC, 144A	10.500%	10/15/17	B2		668,000
		Food & Staples Retailing – 0.2%
2,000		Stater Brothers Holdings Inc.	8.125%	6/15/12	B+		2,012,500
		Food Products – 0.4%
800		Dole Foods Company, 144A	8.000%	10/01/16	B+		841,000
2,243		Dole Foods Company	8.750%	7/15/13	B-		2,394,403
400		Tops Markets, 144A	10.125%	10/15/15	B		431,500
3,443		Total Food Products					3,666,903
		Health Care Equipment & Supplies – 0.1%
500		Biomet Inc.	10.000%	10/15/17	B-		554,375
		Health Care Providers & Services – 1.0%
350		Capella Healthcare Inc., 144A	9.250%	7/01/17	B		375,375
2,000		Community Health Systems, Inc.	8.875%	7/15/15	B		2,130,000
1,000		HCA Inc.	9.250%	11/15/16	BB-		1,085,000
1,200		HCA Inc.	8.500%	4/15/19	BB		1,344,000
2,750		Select Medical Corporation	7.625%	2/01/15	B-		2,698,438
1,200		Select Medical Corporation	6.237%	9/15/15	CCC+		1,065,000
8,500		Total Health Care Providers & Services					8,697,813
		Hotels, Restaurants & Leisure – 1.0%
900		Boyd Gaming Corporation	7.750%	12/15/12	B-		909,000
800		CCM Merger Inc., 144A	8.000%	8/01/13	CCC+		736,000
800		GWR Operating Partnership, 144A	10.875%	4/01/17	BB-		818,000
1,550		Harrah's Operating Company, Inc.	11.250%	6/01/17	B		1,705,000
600		Landry's Restaurants Inc.	11.625%	12/01/15	B		636,000
200		MGM Mirage Inc., 144A	9.000%	3/15/20	B1		211,500
300		MGM Mirage Inc.	6.750%	9/01/12	CCC+		285,000
400		Peninsula Gaming LLC	8.375%	8/15/15	BB		418,000
400		Penn National Gaming Inc.	8.750%	8/15/19	BB-		427,000
800		Pinnacle Entertainment Inc.	8.750%	5/15/20	B		792,000
1,750		Seminole Hard Rock Entertainment, Inc., 144A	2.793%	3/15/14	BB		1,544,375
400		Universal City Development Partners	8.875%	11/15/15	B3		414,500
8,900		Total Hotels, Restaurants & Leisure					8,896,375
		Household Products – 0.1%
1,150		Central Garden & Pet Company, Senior Subordinate Notes	8.250%	3/01/18	B		1,180,188
		Independent Power Producers & Energy Traders – 0.1%
1,000		NRG Energy Inc.	7.375%	1/15/17	BB-		1,027,500
		Internet Software & Services – 0.2%
2,000		Open Solutions Inc., 144A	9.750%	2/01/15	CCC+		1,420,000
		IT Services – 0.9%
500		Fidelity National Information Services Inc., 144A	7.875%	7/15/20	Ba2		541,250
400		Fidelity National Information Services Inc.	7.625%	7/15/17	Ba2		429,000
1,200		First Data Corporation, 144A	8.875%	8/15/20	B+		1,251,000
887		First Data Corporation, DD1	10.550%	9/24/15	B-		721,492
1,359		Global Cash Access LLC	8.750%	3/15/12	B		1,352,205
400		ManTech International Company	7.250%	4/15/18	BB+		417,000
750		Seagate HDD Cayman	6.875%	5/01/20	BB+		736,875
2,250		Sungard Data Systems Inc.	9.125%	8/15/13	B		2,309,063
7,746		Total IT Services					7,757,885
		Machinery – 0.2%
2,000		Greenbrier Companies, Inc.	8.375%	5/15/15	CCC		1,950,000
		Media – 0.3%
400		Allbritton Communications Company, 144A	8.000%	5/15/18	B		403,000
300		Cablevision Systems Corporation	7.750%	4/15/18	B+		318,750
200		Cablevision Systems Corporation	8.000%	4/15/20	B+		216,250
700		Clear Channel Communications, Inc.	10.750%	8/01/16	CCC-		549,500
350		Clear Channel Worldwide Holdings Inc., 144A	9.250%	12/15/17	B		375,375
1,975		Medianews Group Inc., (10), (17)	6.375%	4/01/14	CC		198
200		NexStar Mission Broadcast, 144A	8.875%	4/15/17	B		209,500
600		Nielsen Finance LLC Co, WI/DD	7.750%	10/15/18	B		595,602
4,725		Total Media					2,668,175
		Metals & Mining – 0.6%
400		Consol Energy Inc., 144A	8.000%	4/01/17	BB		435,000
400		Consol Energy Inc., 144A	8.250%	4/01/20	BB		439,000
600		Essar Steel Algoma Inc., 144A	9.375%	3/15/15	B+		606,000
3,700		MagIndustries Corporation, (10)	11.000%	12/14/12	N/R		3,623,251
5,100		Total Metals & Mining					5,103,251
		Multiline Retail – 0.7%
2,150		Neiman Marcus Group Inc., Term Loan	9.000%	10/15/15	B-		2,244,063
2,050		Sears Holding Corporation, 144A, WI/DD	6.625%	10/15/18	BB+		2,066,011
800		Sprectum Brands Inc., 144A	9.500%	6/15/18	B		859,000
1,000		Toys R Us Property Company II LLC, 144A	8.500%	12/01/17	Ba1		1,062,500
6,000		Total Multiline Retail					6,231,574
		Multi-Utilities – 0.1%
800		Bon-Ton Department Stores Inc.	10.250%	3/15/14	CCC+		792,000
		Oil, Gas & Consumable Fuels – 0.5%
400		Anadarko Petroleum Corporation	6.375%	9/15/17	BBB-		441,406
450		Chaparral Energy Inc.	8.500%	12/01/15	B+		439,875
1,650		Chaparral Energy Inc.	8.875%	2/01/17	B+		1,612,875
600		OPTI Canada Inc.	7.875%	12/15/14	B-		454,500
300		Western Refining Inc., 144A	10.750%	6/15/14	BB-		286,500
700		Western Refining Inc.	11.250%	6/15/17	B		661,500
1,000		Whiting Petroleum Corporation	7.000%	2/01/14	BB		1,060,000
5,100		Total Oil, Gas & Consumable Fuels					4,956,656
		Paper & Forest Products – 0.2%
1,000		Georgia-Pacific Corporation	7.700%	6/15/15	BB		1,112,500
600		Solo Cup Company	8.500%	2/15/14	CCC+		517,500
1,600		Total Paper & Forest Products					1,630,000
		Personal Products – 0.2%
1,200		Prestige Brands Inc.	8.250%	4/01/18	B+		1,248,000
400		Revlon Consumer Products	9.750%	11/15/15	B-		422,000
1,600		Total Personal Products					1,670,000
		Pharmaceuticals – 0.1%
600		Angiotech Pharmaceuticals Inc., (15)	7.750%	4/01/14	C		223,500
600		Mylan Inc., 144A	7.875%	7/15/20	BB-		645,750
400		Warner Chilcott Company LLC, 144A	7.750%	9/15/18	B+		413,000
1,600		Total Pharmaceuticals					1,282,250
		Real Estate – 0.1%
800		Entertainment Properties Trust, 144A	7.750%	7/15/20	Baa3		813,000
		Road & Rail – 0.2%
600		Avis Budget Car Rental	9.625%	3/15/18	B		637,500
1,200		Swift Transportation Company, 144A	8.126%	5/15/15	CCC		1,125,000
1,800		Total Road & Rail					1,762,500
		Semiconductors & Equipment – 0.2%
350		Amkor Technology Inc., 144A	7.375%	5/01/18	BB-		356,125
1,400		Freescale Semiconductor Inc.	9.250%	4/15/18	B2		1,463,000
200		NXP BV	3.276%	10/15/13	CCC+		189,750
1,950		Total Semiconductors & Equipment					2,008,875
		Specialty Retail – 0.3%
600		Brookstone Company Inc.	12.000%	10/15/12	Caa3		519,000
900		Claires Stores, Inc.	9.250%	6/01/15	CCC+		824,621
800		Claires Stores, Inc.	10.500%	6/01/17	CCC		694,000
200		Express LLC	8.750%	3/01/18	B		212,000
800		Michael's Stores	11.375%	11/01/16	CCC		873,000
3,300		Total Specialty Retail					3,122,621
		Textiles, Apparel & Luxury Goods – 0.0%
400		Hanesbrands Inc.	8.000%	12/15/16	B+		424,500
		Wireless Telecommunication Services – 0.7%
1,000		Clearwire Communications Finance	12.000%	12/01/15	B-		1,085,000
1,500		IPCS, Inc.	2.591%	5/01/13	Ba2		1,432,500
2,450		Sprint Nextel Corporation	8.375%	8/15/17	BB-		2,670,500
800		Trilogy International Partners LLC	10.250%	8/15/16	CCC+		748,000
5,750		Total Wireless Telecommunication Services					5,936,000
$ 112,664		Total Corporate Bonds (cost $106,884,249)					110,822,212

Principal
Amount (000)/
Shares		Description (1)	Coupon	Maturity	Ratings (4)		Value
		Capital Preferred Securities – 25.1% (19.0% of Total Investments)
		Capital Markets – 0.5%
$ 6,445		Credit Suisse Guernsey	1.066%	5/15/17	A3		$ 4,551,781
		Commercial Banks – 11.0%
2,155		AgFirst Farm Credit Bank	8.393%	12/15/11	A		2,106,513
2,600		AgFirst Farm Credit Bank	7.300%	12/15/53	A		2,279,134
2,784		Banco Santander Finance	10.500%	9/29/49	A-		3,162,012
1,500		Barclays Bank PLC, 144A	7.434%	12/15/17	A-		1,545,000
3,500		Barclays Bank PLC	6.278%	12/15/34	A-		3,132,500
800		BB&T Capital Trust I	5.850%	8/18/35	A3		773,068
300		BB&T Capital Trust IV	6.820%	6/12/37	A3		301,125
3,350		BBVA International Unipersonal	5.919%	4/18/17	A-		2,899,740
2,300		BNP Paribas, 144A	7.195%	12/25/37	A		2,300,000
3,135		Credit Agricole, S.A, 144A	8.375%	12/31/49	A-		3,370,125
7,436		Credit Agricole, S.A	9.750%	12/26/54	A-		8,060,624
500		Credit Suisse thru Claudius Limited	8.250%	6/27/49	A3		530,000
6,200		First Empire Capital Trust I	8.234%	2/01/27	Baa2		6,037,076
600		First Union Institutional Capital II	7.850%	1/01/27	A-		624,994
3,100		Fulton Capital Trust I	6.290%	2/01/36	BBB-		2,518,471
300		HBOS Capital Funding LP, 144A	6.071%	6/30/14	Ba2		267,000
1,000		HSBC Bank PLC	0.850%	6/11/49	A		600,000
550		HSBC Capital Funding LP, Debt	10.176%	6/30/50	A-		721,875
900		NB Capital Trust II	7.830%	12/15/26	Baa3		930,420
4,200		Nordea Bank AB	8.375%	3/25/15	A-		4,517,100
8,000		North Fork Capital Trust II	8.000%	12/15/27	Baa3		8,140,000
2,000		Northgroup Preferred Capital Corporation, 144A	6.378%	10/15/57	A		1,938,584
8,645		Rabobank Nederland, 144A	11.000%	6/30/19	AA-		11,271,775
600		Reliance Capital Trust I, Series B	8.170%	5/01/28	N/R		505,011
11,624		Societe Generale	8.750%	10/07/49	BBB+		12,259,833
2,000		Sparebanken Rogaland, Notes, 144A	6.443%	5/01/49	Ba1		1,830,492
3,300		Standard Chartered PLC, 144A	7.014%	7/30/37	BBB		3,214,474
800		Suntrust Capital Trust VIII	6.100%	12/01/66	Baa3		746,334
-	(11)	Union Planters Preferred Fund, 144A	7.750%	7/15/53	Ba3		13,827,938
		Total Commercial Banks					100,411,218
		Diversified Financial Services – 1.3%
6		AMG Capital Trust II, Convertible Bond	5.150%	10/15/37	BB		234,216
1,200		Bank One Capital III	8.750%	9/01/30	A2		1,457,118
7,500		JP Morgan Chase Capital Trust XX Ser T	6.550%	9/29/36	A2		7,628,820
2,450		JP Morgan Chase Capital XXV	6.800%	10/01/37	A2		2,497,949
		Total Diversified Financial Services					11,818,103
		Diversified Telecommunication Services – 1.2%
10		Centaur Funding Corporation, Series B	9.080%	4/21/20	BBB		10,871,799
		Insurance – 10.3%
2,193		Allstate Corporation	6.125%	5/15/17	Baa1		2,050,455
2,600		AXA SA, 144A	6.463%	12/14/18	Baa1		2,281,500
1,000		AXA SA, 144A	6.379%	12/14/36	Baa1		877,500
15		Axis Capital Holdings Limited	7.500%	12/01/15	BBB		1,317,200
4,000		Catlin Insurance Company Limited	7.249%	1/19/17	BBB+		3,280,000
7,825		Glen Meadows Pass Through Trust	6.505%	2/15/17	Ba1		6,260,000
8,000		Great West Life & Annuity Capital I, 144A	6.625%	11/15/34	A-		8,010,740
4,500		Liberty Mutual Group, 144A	7.800%	3/15/37	Baa3		4,297,500
3,500		Lincoln National Corporation	6.050%	4/20/17	BBB		3,088,750
7,300		MetLife Capital Trust IV, 144A	7.875%	12/15/37	BBB		7,701,500
7,600		National Financial Services Inc.	6.750%	5/15/37	Baa2		6,646,390
1,150		Nationwide Financial Services Capital Trust	7.899%	3/01/37	Baa2		957,275
6,400		Oil Insurance Limited, 144A	7.558%	6/30/11	Baa1		5,691,770
2,500		Old Mutual Capital Funding, Notes	8.000%	6/22/53	Baa3		2,493,750
5,600		Progressive Corporation	6.700%	6/15/67	A2		5,565,398
10,200		Prudential Financial Inc.	8.875%	6/15/18	BBB+		11,475,000
6,200		Prudential PLC	6.500%	6/29/49	A-		5,948,900
13,600		XL Capital Ltd	6.500%	10/15/57	BBB-		11,356,000
4,700		ZFS FINANCE USA TRUST II 144A	6.450%	12/15/65	A		4,512,000
		Total Insurance					93,811,628
		Road & Rail – 0.7%
6,400		Burlington Northern Santa Fe Funding Trust I	6.613%	1/15/26	BBB		6,447,898
		U.S. Agency – 0.1%
1		Farm Credit Bank of Texas	10.000%	12/15/60	A3		1,042,188
		Total Capital Preferred Securities (cost $228,953,092)					228,954,615

Shares		Description (1)					Value
		Investment Companies – 1.5% (1.1% of Total Investments)
354,750		BlackRock Credit Allocation Income Trust II					$ 3,710,685
298,160		Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.					5,038,904
259,567		John Hancock Preferred Income Fund III					4,534,635
		Total Investment Companies (cost $17,741,876)					13,284,224

Shares		Description (1)					Value
		Warrants – 0.1% (0.1% of Total Investments)
32,027		Citadel Broadcasting Corporation					$ 768,648
		Total Warrants (cost $976,023)					768,648

Principal
Amount (000)		Description (1)	Coupon	Maturity			Value
		Short–Term Investments – 5.4% (4.1% of Total Investments)
$ 28,772		Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/10, repurchase price $28,771,888, collateralized by $27,580,000 U.S. Treasury Notes, 4.625%, due 2/29/12, value $29,347,878	0.080%	10/01/10			$ 28,771,824
20,511		Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/10, repurchase price $20,511,049, collateralized by $19,175,000 U.S. Treasury Notes, 3.375%, due 11/15/19, value $20,924,719	0.080%	10/01/10			20,511,003
$ 49,283		Total Short-Term Investments (cost $49,282,827)					49,282,827
		Total Investments (cost $1,165,457,149) – 132.1%					1,201,696,697

Shares		Description (1)					Value
		Common Stocks Sold Short - (0.5)%
		Chemicals – (0.1)%
(10,500	)	Sigma-Aldrich Corporation					$ (633,990)
		Food Products – (0.0)%
(9,000	)	Green Mountain Coffee Roasters Inc., (2)					(280,710)
		Hotels, Restaurants & Leisure – (0.1)%
(2,000	)	Chipotle Mexican Grill, (2)					(344,000)
(7,100	)	P.F. Changs China Bistro, Inc.					(328,020)
(3,500	)	Panera Bread Company, (2)					(310,135)
		Total Hotels, Rstaurants & Leisure					(982,155)
		Household Products – (0.0)%
(5,300	)	Reckitt Benckiser Group PLC					(291,485)
		Internet & Catalog Retail – (0.1)%
(4,200	)	NetFlix.com Inc., (2)					(681,072)
(2,800	)	Amazon.com, Inc., (2)					(439,768)
		Total Internet & Catalog Retail					(1,120,840)
		Software – (0.0)%
(2,600	)	Salesforce.com, Inc., (2)					(290,680)
		Specialty Retail – (0.1)%
(17,000	)	Urban Outfitters, Inc., (2)					(534,480)
		Trading Companies & Distributors – (0.1)%
(5,800	)	Fastenal Company					(308,502)
		Total Common Stocks Sold Short (proceeds $3,696,308)					(4,442,842)
		Borrowings - (29.7)% (12), (13)					(270,000,000)
		Other Assets Less Liabilities - (1.9)%					(17,575,468)
		Net Assets Applicable to Common Shares - 100%					$ 909,678,387

Investments in Derivatives

Put Options Purchased outstanding at September 30, 2010:

Number of		Notional	Expiration	Strike
Contracts	Type	Amount (14)	Date	Price	Value
71	Autozone Inc.	$ 1,420,000	1/21/12	$ 200.0	$ 98,690
71	Total Put Options Purchased (cost $158,961)	$ 1,420,000			$ 98,690

Call Options Written outstanding at September 30, 2010:

Number of		Notional	Expiration	Strike
Contracts	Type	Amount (14)	Date	Price	Value
(745)	Aetna, Inc.	$ (2,235,000)	1/22/11	$ 30.0	$ (242,125)
(155)	AngloGold Ashanti Limited	(620,000)	1/22/11	40.0	(113,925)
(386)	Arch Coal, Inc.	(965,000)	1/22/11	25.0	(133,170)
(210)	AstraZeneca PLC	(945,000)	1/22/11	45.0	(148,050)
(638)	Barrick Gold Corporation	(2,552,000)	1/22/11	40.0	(462,550)
(720)	BP PLC	(2,520,000)	1/22/11	35.0	(516,600)
(543)	BP PLC	(2,986,500)	1/22/11	55.0	(6,516)
(122)	BP PLC	(793,000)	1/22/11	65.0	(427)
(831)	Cameco Corporation	(2,077,500)	1/22/11	25.0	(307,470)
(600)	Cameco Corporation	(2,100,000)	1/22/11	35.0	(9,000)
(442)	Chevron Corporation	(2,873,000)	1/22/11	65.0	(732,615)
(218)	ConocoPhillips	(981,000)	1/22/11	45.0	(278,495)
(950)	Deutsche Telekom AG	(950,000)	1/22/11	10.0	(346,750)
(640)	eBay, Inc.	(1,920,000)	1/22/11	30.0	(15,360)
(202)	Electricite de France S.A.	(848,400)	12/18/10	42.0	(275)
(312)	Eli Lilly & Company	(1,092,000)	1/22/11	35.0	(70,200)
(402)	Forest Laboratories, Inc.	(1,206,000)	1/22/11	30.0	(103,515)
(1,040)	Gold Fields Limited	(1,300,000)	1/22/11	12.5	(308,360)
(565)	Gold Fields Limited	(847,500)	1/22/11	15.0	(68,648)
(312)	Ivanhoe Mines Ltd.	(624,000)	1/22/11	20.0	(143,520)
(1,007)	Korea Electric Power Corporation	(1,510,500)	12/18/10	15.0	(15,105)
(280)	Lockheed Martin Corporation	(2,100,000)	1/22/11	75.0	(47,600)
(360)	Microsoft Corporation	(1,116,000)	10/16/10	31.0	(360)
(550)	Newmont Mining Corporation	(2,750,000)	1/22/11	50.0	(731,500)
(925)	Nippon Telegraph & Telephone Corporation	(2,081,250)	12/18/10	22.5	(46,250)
(1,190)	Nokia Corporation	(1,071,000)	1/22/11	9.0	(174,335)
(1,600)	Pfizer Inc.	(2,800,000)	1/22/11	17.5	(118,400)
(572)	Progress Energy, Inc.	(2,288,000)	10/16/10	40.0	(251,680)
(176)	Royal Dutch Shell PLC	(1,056,000)	10/16/10	60.0	(9,240)
(1,746)	Smithfield Foods, Inc.	(3,055,500)	1/22/11	17.5	(213,885)
(537)	Suncor Energy, Inc.	(1,611,000)	1/22/11	30.0	(204,060)
(1,408)	Tesoro Corporation	(1,760,000)	1/22/11	12.5	(228,800)
(347)	Tesoro Corporation	(520,500)	1/22/11	15.0	(17,003)
(1,755)	Tyson Foods, Inc.	(3,510,000)	1/22/11	20.0	(35,100)
(1,112)	UBS AG	(1,946,000)	1/22/11	17.5	(127,880)
(394)	Wal-Mart Stores, Inc.	(2,068,500)	1/22/11	52.5	(101,652)
(434)	Wal-Mart Stores, Inc.	(2,387,000)	1/22/11	55.0	(54,033)
(24,426)	Total Call Options Written (premiums received $6,294,331)	$ (64,067,150)			$ (6,384,454)

Fair Value Measurements

In determining the fair value of the Fund's investments, various inputs are used. These inputs are summarized in the three broad levels listed below:

Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – Significant unobservable inputs (including management's assumptions in determining the fair value of investments).

The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund's fair value measurements as of September 30, 2010:

	Level 1			Level 2				Level 3				Total
Investments:
Common Stocks*	$	304,424,132		$	4,095,190			$	—			$		308,519,322
Preferred Securities**	308,085,260			253,771,414				—				561,856,674
Variable Rate Senior Loan Interests	—			62,676,934				—				62,676,934
Convertible Bonds	—			94,485,856				—				94,485,856
Corporate Bonds	—			107,198,763				3,623,449				110,822,212
Investment Companies	13,284,224			—				—				13,284,224
Warrants	—			768,648				—				768,648
Short-Term Investments	49,282,827			—				—				49,282,827
Common Stocks Sold Short	(4,442,842		)	—				—				(4,442,842					)
Derivatives:												—
Put Options Purchased	98,690			—				—				98,690
Call Options Written	(6,384,454		)	—				—				(6,384,454					)
Total	$	664,347,837		$	522,996,805			$	3,623,449			$		1,190,968,091
* Refer to the Fund's Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2.
* Preferred Securities includes Convertible Preferred Securities, $25 Par (or similar) Preferred Securities and Capital Preferred Securities held by the Fund at the end of the reporting period, if any.
The following is a reconciliation of the Fund's Level 3 investments held at the beginning and end of the measurement period:

						Level 3				Level 3					Level 3
						Corporate Bonds				Warrants					Total
Balance at the beginning of period						$	3,348,500			$	6,725				$	3,355,225
Gains (losses):
Net realized gains (losses)						—				1,206					1,206
Net change in unrealized appreciation (depreciation)						233,585				(6,725			)		226,860
Net purchases at cost (sales at proceeds)						—				(1,206			)		(1,206			)
Net discounts (premiums)						41,166				—					41,166
Net transfers in to (out of) at end of period fair value						198				—					198
Balance at the end of period						$	3,623,449			$	—				$	3,623,449

Derivative Instruments and Hedging Activities
The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
The following table presents the fair value of all derivative instruments held by the Fund as of September 30, 2010, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.

Location on the Statement of Assets and Liabilities

Underlying

Derivative

Asset Derivatives

Liability Derivatives

Risk Exposure

Instrument

Location

Value

Location

Value

Equity Price

Options

Put options purchased, at value

98,690

Call options written at value

6,384,454


Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, recognition of premium amortization, timing differences in the recognition of income on REIT investments and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.
At September 30, 2010, the cost of investments (excluding securities sold short and investments in derivatives), was $1,174,040,775.
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding securities sold short and investments in derivatives), at September 30, 2010, were as follows:

Gross unrealized:
Appreciation	$ 82,105,931
Depreciation	(54,450,009	)
Net unrealized appreciation (depreciation) of investments	$ 27,655,922

			For Fund portfolio compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub classifications into sectors for reporting ease.
		(1)	All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
		(2)	Non-income producing; issuer has not declared a dividend within the past twelve months.
		(3)	Investment, or portion of investment, has been pledged as collateral for call options written.
		(4)	Ratings: Using the highest of Standard & Poor’s Group ("Standard & Poor's"), Moody’s Investor Service, Inc. ("Moody's") or Fitch, Inc. ("Fitch") rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
		(5)	Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
		(6)	Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
			Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
		(7)	At or subsequent to September 30, 2010, this issue was under the protection of the Federal Bankruptcy Court.
		(8)	The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
		(9)	Non-income producing security, in the case of a Senior Loan, denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
		(10)	Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3.
		(11)	Principal Amount (000) rounds to less than $1,000.
		(12)	Borrowings as a percentage of Total Investments is 22.5%.
		(13)	The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of September 30, 2010, investments with a value of $655,699,386 have been pledged as collateral for Borrowings.
		(14)	For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.
		(15)	Subsequent to the reporting period, the Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
		(16)	For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
		(17)	The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
		N/R	Not rated.
		DD1	Investment, or portion of investment, purchased on a delayed delivery basis.
		WI/DD	Purchased on a when-issued or delayed delivery basis.
		144A	Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.
		ADR	American Depositary Receipt.
		CORTS	Corporate Backed Trust Securities.
		PPLUS	PreferredPlus Trust.
		TBD	Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

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 this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (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.

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT 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)

Nuveen Multi-Strategy Income and Growth Fund

By (Signature and Title)*	/s/ Kevin J. McCarthy
	Kevin J. McCarthy
	Vice President and Secretary

Date November 29, 2010

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/ Gifford R. Zimmerman
	Gifford R. Zimmerman
	Chief Administrative Officer (principal executive officer)

Date November 29, 2010

By (Signature and Title)*	/s/ Stephen D. Foy
	Stephen D. Foy
	Vice President and Controller (principal financial officer)

Date November 29, 2010

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