nvq
Table of Contents

 
 
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 & 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:    9/30/2007   
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.
 
 

 


TABLE OF CONTENTS

Item 1. Schedule of Investments
Item 2. Controls and Procedures
Item 3. Exhibits
SIGNATURES
Certifications


Table of Contents

Item 1. Schedule of Investments
Portfolio of Investments (Unaudited)
Nuveen Multi-Strategy Income and Growth Fund (JPC)
September 30, 2007
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Common Stocks – 38.8% (25.2% of Total Investments)
 
 
                   
 
Aerospace & Defense – 0.6%
 
 
                   
  22,910    
Boeing Company
              $ 2,405,321  
  12,930    
Finmeccanica SpA
                376,679  
  17,656    
Lockheed Martin Corporation
                1,915,499  
  19,000    
Orbital Sciences Corporation, (2)
                422,560  
  43,900    
Thales S.A.
                2,573,453  
  12,730    
United Technologies Corporation
                1,024,510  
 
 
Total Aerospace & Defense
                8,718,022  
   
 
 
                   
 
Airlines – 0.1%
 
 
                   
  42,100    
Lufthansa AG
                1,210,855  
  2,000    
Ryanair Holdings PLC, (2)
                83,020  
 
 
Total Airlines
                1,293,875  
   
 
 
                   
 
Auto Components – 0.4%
 
 
                   
  5,630    
Aftermarket Tech, (2)
                178,696  
  40,810    
Aisin Seiki Company Limited
                1,630,766  
  9,980    
Cooper Tire & Rubber
                243,512  
  8,910    
Johnson Controls, Inc.
                1,052,360  
  23,950    
Magna International Inc., Class A
                2,306,625  
 
 
Total Auto Components
                5,411,959  
   
 
 
                   
 
Automobiles – 0.7%
 
 
                   
  24,530    
Daimler-Chrysler AG, (2)
                2,457,906  
  37,480    
Honda Motor Company Limited
                1,250,333  
  28,310    
Nissan Motor
                566,483  
  88,350    
Nissan Motor
                885,308  
  1,140    
S.A. D’Ieteren N.V
                508,791  
  18,840    
Toyota Motor Corporation
                2,201,642  
  3,640    
Volkswagen AG
                164,437  
  70,300    
Yamaha Motor Company Limited
                1,793,227  
 
 
Total Automobiles
                9,828,127  
   
 
 
                   
 
Beverages – 1.2%
 
 
                   
  99,780    
Coca Cola Amatil Limited
                796,858  
  48,470    
Coca-Cola Company
                2,785,571  
  28,640    
Coca-Cola Enterprises Inc.
                693,661  
  25,540    
Diageo PLC, Sponsored ADR
                2,240,624  
  54,690    
Fomento Economico Mexicano S.A.B.
                2,045,406  
  66,280    
Heineken N.V.
                4,349,440  
  8,270    
Molson Coors Brewing Company, Class B
                824,271  
  17,960    
Pepsi Bottling Group, Inc.
                667,573  
  41,410    
SABMiller PLC
                1,179,369  
 
 
Total Beverages
                15,582,773  
   
 
 
                   
 
Biotechnology – 0.6%
 
 
                   
  69,500    
Amgen, Inc., (2)
                3,931,615  
  17,770    
Cephalon, Inc., (2)
                1,298,276  
  23,340    
Genzyme Corporation, (2)
                1,446,146  
  4,090    
Invitrogen Corporation, (2)
                334,276  
  6,940    
Novo-Nordisk A/S
                840,018  
 
 
Total Biotechnology
                7,850,331  
   
 
 
                   
 
Capital Markets – 1.3%
 
 
                   
  5,460    
Ameriprise Financial, Inc.
                344,581  
  188,000    
Babcock & Brown Limited
                4,582,595  
  22,910    
Bank of New York Company, Inc.
                1,011,247  
  2,020    
BlackRock Inc.
                350,288  
  18,270    
Credit Suisse Group
                1,213,031  
  15,040    
Deutsche Bank AG
                1,930,986  
  60,300    
Invesco PLC
                1,646,190  
  105,390    
Investec PLC
                1,104,014  
  58,550    
JPMorgan Chase & Co.
                2,682,761  
  5,560    
Marketaxess, (2)
                83,400  
  20,480    
SEI Investments Company
                558,694  
  16,470    
UBS AG
                877,028  
 
 
Total Capital Markets
                16,384,815  
   
 
 
                   
 
Chemicals – 1.0%
 
 
                   
  570    
Agrium, Inc.
                30,997  
  15,280    
Air Products & Chemicals, Inc.
                1,493,773  
  14,260    
Ashland, Inc.
                858,595  
  940    
Bayer AG
                74,824  
  6,350    
CF Industries Holdings, Inc.
                482,029  
  8,080    
Lubrizol Corporation
                525,685  
  207,300    
Mitusi Chemicals
                2,059,194  
  38,670    
Mosaic Company, (2)
                2,069,618  
  67,230    
Shin-Etsu Chemical Company Limited
                4,647,249  
  7,830    
Syngenta AG
                339,274  
  14,060    
Terra Industries, Inc., (2)
                439,516  
 
 
Total Chemicals
                13,020,754  
   
 
 
                   
 
Commercial Banks – 1.9%
 
 
                   
  16,050    
Allied Irish Banks
                777,944  
  14,880    
Allied Irish Banks
                360,708  
  74,260    
Allianz SE, ADR
                1,728,030  
  91,180    
Banco Bilbao Vizcaya Argentaria S.A.
                2,122,670  
  12,960    
Banco Bradesco S.A., ADR
                380,635  
  40,870    
Banco Santander Central S.A.
                789,200  
  7,970    
BANK OF IRELAND
                148,311  
  24,090    
Bank of Montreal
                1,577,413  
  12,170    
Bank of Nova Scotia
                638,925  
  39,640    
Barclays PLC
                1,927,297  
  59,110    
Barclays PLC
                720,191  
  780    
Canadian Imperial Bank of Commerce
                77,953  
  17,570    
Colonial BancGroup, Inc.
                379,863  
  31,950    
Credit Agricole S.A.
                1,232,373  
  130,600    
DnB NOR ASA
                2,003,361  
  34,900    
ICICI Bank Limited, ADR
                1,839,928  
  17,510    
Kookmin Bank
                1,435,645  
  24,160    
Lloyds TSB Group PLC, Sponsored ADR
                1,074,154  
  2,600    
National Bank of Greece S.A.
                165,724  
  27,250    
National Bank of Greece S.A.
                351,798  
  11,460    
Northern Trust Corporation
                759,454  
  21,070    
PNC Financial Services Group, Inc.
                1,434,867  
  4,860    
Prosperity Bancshares, Inc.
                161,158  
  154,690    
Royal Bank of Scotland, PLC, (2)
                1,661,601  
  70    
Shinhan Financial Group Company Limited
                8,981  
  4,990    
SVB Financial Group, (2)
                236,326  
  20,920    
Sydbank A/S
                910,366  
  3,960    
UMB Financial Corporation
                169,726  
  3,840    
Wintrust Financial Corporation
                163,930  
 
 
Total Commercial Banks
                25,238,532  
   
 
 
                   
 
Commercial Services & Supplies – 0.8%
 
 
                   
  327,800    
Allied Waste Industries, Inc., (2)
                4,179,450  
  22,400    
Apollo Group, Inc., (2)
                1,347,360  
  5,140    
CLARCOR, Inc.
                175,839  
  3,576    
Consolidated Graphics, Inc., (2)
                224,537  
  3,250    
CSG Systems International, Inc., (2)
                69,063  
  6,100    
Dun and Bradstreet, Inc.
                601,521  
  170,960    
Michael Page International PLC
                1,442,858  
  11,120    
Republic Services, Inc.
                363,735  
  293,300    
Toppan Printing Company Limited
                3,020,710  
 
 
Total Commercial Services & Supplies
                11,425,073  
   
 
 
                   
 
Communications Equipment – 0.6%
 
 
                   
  1,630    
Comtech Telecom Corporation, (2)
                87,189  
  100,120    
Corning Incorporated
                2,467,958  
  13,810    
Juniper Networks, Inc., (2)
                505,584  
  79,780    
Nokia Oyj, Sponsored ADR
                3,026,055  
  5,800    
Polycom, Inc., (2)
                155,788  
  28,970    
QUALCOMM, Inc.
                1,224,272  
  6,470    
Tandberg ASA
                155,712  
 
 
Total Communications Equipment
                7,622,558  
   
 
 
                   
 
Computers & Peripherals – 0.7%
 
 
                   
  23,241    
Apple, Inc., (2)
                3,568,423  
  18,860    
Dell, Inc., (2)
                520,536  
  40,100    
Hewlett-Packard Company
                1,996,579  
  8,270    
International Business Machines Corporation (IBM)
                974,206  
  8,090    
NCR Corporation, (2)
                402,882  
  44,023    
Network Appliance, Inc., (2)
                1,184,659  
  7,520    
Novatel Wireless, (2)
                170,328  
  9,980    
SanDisk Corporation, (2)
                549,898  
 
 
Total Computers & Peripherals
                9,367,511  
   
 
 
                   
 
Construction & Engineering – 0.6%
 
 
                   
  315,280    
AMEC PLC
                4,779,912  
  6,140    
Fluor Corporation
                884,037  
  114,200    
JGC Corporation
                2,202,176  
 
 
Total Construction & Engineering
                7,866,125  
   
 
 
                   
 
Construction Materials – 0.0%
 
 
                   
  2,050    
Cemex S.A. de CV, Sponsored ADR, (2)
                61,336  
  1,790    
Texas Industries, Inc.
                140,515  
 
 
Total Construction Materials
                201,851  
   
 
 
                   
 
Consumer Finance – 0.2%
 
 
                   
  11,180    
MasterCard, Inc.
                1,654,305  
  45,600    
Takefuji Corporation
                905,132  
  35,920    
Western Union Company
                753,242  
 
 
Total Consumer Finance
                3,312,679  
   
 
 
                   
 
Distributors – 0.1%
 
 
                   
  82,910    
Jardine Cycle & Carriage Limited
                1,032,538  
 
 
 
                   
 
Diversified Consumer Services – 0.1%
 
 
                   
  12,370    
ITT Educational Services, Inc., (2)
                1,505,305  
 
 
 
                   
 
Diversified Financial Services – 0.5%
 
 
                   
  15,280    
CIT Group, Inc.
                614,256  
  30,160    
Credit Suisse Group, (2)
                2,000,513  
  22,400    
Eaton Vance Corporation
                895,104  
  3,780    
Fortis
                111,305  
  23,160    
ING Group N.V., Sponsored ADR
                1,026,220  
  14,060    
Nasdaq Stock Market, Inc., (2)
                529,781  
  19,090    
State Street Corporation
                1,301,174  
 
 
Total Diversified Financial Services
                6,478,353  
   
 
 
                   
 
Diversified Telecommunication Services – 1.9%
 
 
                   
  38,190    
AT&T, Inc.
                1,615,819  
  430    
Brasil Telecom
                32,087  
  15,830    
BT Group PLC
                994,599  
  10,700    
Cbeyond, Inc., (2)
                436,453  
  106,600    
Chunghwa Telecom Co., Ltd., Sponsored ADR
                1,969,968  
  19,700    
France Telecom S.A., Sponsored ADR
                658,768  
  145,650    
KT Corporation, Sponsored ADR
                3,648,533  
  389,550    
Nippon Telegraph and Telephone Corporation, ADR
                9,064,829  
  7,770    
Portugal Telecom S.A.
                109,091  
  14,940    
Royal KPN Nederland PTT N.V
                259,508  
  59,090    
Telecom Argentina S.A., (2)
                1,450,660  
  39,324    
Telecom Corporation of New Zealand, Limited
                666,942  
  39,031    
Telecom Corporation of New Zealand, Limited
                132,212  
  24,830    
Telefonica S.A.
                2,080,257  
  54,110    
Telefonos de Mexico S.A. de C.V., Series L
                1,778,596  
 
 
Total Diversified Telecommunication Services
                24,898,322  
   
 
 
                   
 
Electric Utilities – 2.3%
 
 
                   
  33,600    
Ameren Corporation
                1,764,000  
  6,390    
Black Hills Corporation
                262,118  
  263,700    
Centrais Electricas Brasileiras S.A., ADR
                3,698,393  
  1,080    
CPFL Energia S.A.
                62,888  
  11,450    
DPL Inc.
                300,677  
  40,600    
E.ON AG
                2,491,622  
  35,370    
Edison International
                1,961,267  
  9,640    
El Paso Electric Company, (2)
                222,973  
  9,940    
Enel S.p.A, Sponsored ADR
                560,318  
  15,810    
FPL Group, Inc.
                962,513  
  100,500    
IDACORP, Inc.
                3,290,370  
  245,500    
Korea Electric Power Corporation, Sponsored ADR
                5,683,325  
  34,370    
PG&E Corporation
                1,642,886  
  4,740    
Pike Electric Corporation, (2)
                88,922  
  148,600    
PNM Resources Inc.
                3,459,408  
  73,060    
Progress Energy, Inc.
                3,422,861  
  66,390    
Reliant Energy Inc., (2)
                1,699,584  
 
 
Total Electric Utilities
                31,574,125  
   
 
 
                   
 
Electrical Equipment – 0.4%
 
 
                   
  36,840    
ABB Limted
                970,165  
  2,880    
Acuity Brands Inc.
                145,382  
  59,420    
Emerson Electric Co.
                3,162,332  
  18,930    
Nikon Corporation
                650,969  
 
 
Total Electrical Equipment
                4,928,848  
   
 
 
                   
 
Electronic Equipment & Instruments – 0.7%
 
 
                   
  3,944    
Itron Inc., (2)
                367,068  
  4,390    
LG Philips LCD Company Limited, Sponsored ADR, (2)
                105,097  
  32,500    
MEMC Electronic Materials, (2)
                1,912,950  
  4,360    
Mettler-Toledo International Inc., (2)
                444,720  
  60,500    
Tech Data Corporation, (2)
                2,427,260  
  11,640    
Tektronix Inc.
                322,894  
  3,737    
Teledyne Technologies Inc., (2)
                199,518  
  69,070    
Thermo Fisher Scientific, Inc., (2)
                3,986,720  
 
 
Total Electronic Equipment & Instruments
                9,766,227  
   
 
 
                   
 
Energy Equipment & Services – 0.7%
 
 
                   
  19,630    
Dresser Rand Group, Inc., (2)
                838,397  
  43,600    
Global Industries, Limited, (2)
                1,123,136  
  8,260    
Matrix Service Company, (2)
                173,047  
  30,850    
National-Oilwell Varco Inc., (2)
                4,457,825  
  10,600    
Technip
                947,715  
  23,110    
Tidewater Inc.
                1,452,232  
  4,250    
Trico Marine Services Inc., (2)
                126,650  
 
 
Total Energy Equipment & Services
                9,119,002  
   
 
 
                   
 
Food & Staples Retailing – 0.4%
 
 
                   
  18,600    
Casino Guichard-Perrachon S.A.
                1,950,477  
  3,660    
Koninklijke Ahold N.V., (2)
                55,083  
  24,190    
Kroger Co.
                689,899  
  50,180    
Marks and Spencer Group PLC
                631,923  
  3,820    
Nash Finch Company
                152,151  
  38,820    
Safeway Inc.
                1,285,330  
 
 
Total Food & Staples Retailing
                4,764,863  
   
 
 
                   
 
Food Products – 1.2%
 
 
                   
  52,490    
ConAgra Foods, Inc.
                1,371,564  
  17,555    
Flowers Foods Inc.
                382,699  
  33,350    
H.J. Heinz Company
                1,540,770  
  198,950    
Jeronimo Martins SGPS
                1,222,716  
  6,050    
Kellogg Company
                338,800  
  22,230    
Monsanto Company
                1,906,000  
  460    
Nestle S.A.
                51,486  
  147,000    
Smithfield Foods, Inc., (2)
                4,630,500  
  98,450    
Tingyi Holding Corporation
                151,971  
  166,000    
Tyson Foods, Inc., Class A
                2,963,100  
  70,840    
Unilever PLC
                2,243,503  
 
 
Total Food Products
                16,803,109  
   
 
 
                   
 
Gas Utilities – 0.3%
 
 
                   
  1,440    
BG PLC
                124,452  
  4,850    
E.ON AG
                896,710  
  27,740    
Energen Corporation
                1,584,509  
  2,640    
Gas Natural SDG
                149,074  
  28,820    
Questar Corporation
                1,513,915  
 
 
Total Gas Utilities
                4,268,660  
   
 
 
                   
 
Health Care Equipment & Supplies – 0.4%
 
 
                   
  20,050    
Alfresa Holdings Corporation
                1,279,472  
  29,100    
Baxter International Inc.
                1,637,748  
  23,714    
Express Scripts, Inc., (2)
                1,323,715  
  2,970    
Lifecell Corporation, (2)
                111,583  
  109,400    
Paramount Bed Company Limited
                1,468,635  
  4,602    
Surmodics Inc., (2)
                225,544  
 
 
Total Health Care Equipment & Supplies
                6,046,697  
   
 
 
                   
 
Health Care Providers & Services – 0.4%
 
 
                   
  6,060    
Coventry Health Care, Inc., (2)
                376,993  
  31,500    
Humana Inc., (2)
                2,201,220  
  6,570    
Mentor Corporation
                302,549  
  24,223    
Wellcare Health Plans Inc., (2)
                2,553,831  
 
 
Total Health Care Providers & Services
                5,434,593  
   
 
 
                   
 
Hotels, Restaurants & Leisure – 0.2%
 
 
                   
  5,340    
Bally Technologies, Inc., (2)
                189,196  
  15,300    
Choice Hotels International, Inc.
                576,351  
  24,360    
McDonald’s Corporation
                1,326,889  
  13,910    
Multimedia Games, Inc., (2)
                118,513  
 
 
Total Hotels, Restaurants & Leisure
                2,210,949  
   
 
 
                   
 
Household Durables – 0.5%
 
 
                   
  460    
Koninklijke Philips Electronics N.V.
                20,672  
  78,750    
Matsushita Electric Industrial Co., Ltd., ADR
                1,460,813  
  30,821    
Newell Rubbermaid Inc.
                888,261  
  24,940    
PPR
                4,692,207  
 
 
Total Household Durables
                7,061,953  
   
 
 
                   
 
Household Products – 0.6%
 
 
                   
  39,640    
Colgate-Palmolive Company
                2,827,125  
  146,000    
KAO Corporation
                4,359,727  
  13,947    
Kimberly-Clark Corporation
                979,916  
 
 
Total Household Products
                8,166,768  
   
 
 
                   
 
Independent Power Producers & Energy Traders – 0.1%
 
 
                   
  22,910    
NRG Energy Inc., (2)
                968,864  
 
 
 
                   
 
Industrial Conglomerates – 0.4%
 
 
                   
  25,390    
General Electric Company
                1,051,146  
  250,340    
Keppel Corporation
                2,426,722  
  16,460    
Siemens AG, Sponsored ADR
                2,259,135  
  3,330    
Teleflex Inc.
                259,474  
 
 
Total Industrial Conglomerates
                5,996,477  
   
 
 
                   
 
Insurance – 1.1%
 
 
                   
  1,830    
Aegon N.V.
                34,825  
  27,475    
AFLAC Incorporated
                1,567,174  
  11,160    
Amtrust Financial Services, Inc.
                169,297  
  17,180    
Aon Corporation
                769,836  
  13,440    
Arch Capital Group Limited, (2)
                1,000,070  
  25,770    
AXA-UAP
                1,149,600  
  8,910    
Axis Capital Holdings Limited
                346,688  
  254,800    
Benfield Group, Limited
                1,511,829  
  8,570    
Delphi Financial Group, Inc.
                346,399  
  3,970    
Fairfax Financial Holdings Limited
                968,680  
  24,490    
HCC Insurance Holdings Inc.
                701,394  
  48,197    
Philadelphia Consolidated Holding Corporation, (2)
                1,992,464  
  6,550    
Power Financial Corporation
                273,287  
  9,010    
Seabright Insurance Holdings Inc., (2)
                153,801  
  8,120    
Security Capital Assurance Limited
                185,461  
  22,140    
Sun Life Financial Inc.
                1,161,243  
  5,914    
Tower Group Inc.
                154,829  
  3,870    
Universal American Financial Corporation, (2)
                88,555  
  66,930    
WR Berkley Corporation
                1,983,136  
  1,280    
ZURICH Financial Services AG
                383,973  
 
 
Total Insurance
                14,942,541  
   
 
 
                   
 
Internet & Catalog Retail – 0.1%
 
 
                   
  20,450    
Amazon.com, Inc., (2)
                1,904,918  
 
 
 
                   
 
Internet Software & Services – 0.1%
 
 
                   
  17,340    
Chordiant Software, Inc., (2)
                240,332  
  36,000    
eBay Inc., (2)
                1,404,720  
  4,110    
Open Text Corporation, (2)
                106,737  
 
 
Total Internet Software & Services
                1,751,789  
   
 
 
                   
 
IT Services – 0.2%
 
 
                   
  34,150    
Accenture Limited
                1,374,538  
  12,400    
CGI Group Inc., (2)
                141,360  
  7,320    
Convergys Corporation, (2)
                127,075  
  12,710    
FactSet Research Systems Inc.
                871,271  
  11,820    
Savvis Inc., (2)
                458,380  
 
 
Total IT Services
                2,972,624  
   
 
 
                   
 
Leisure Equipment & Products – 0.3%
 
 
                   
  19,150    
Canon Inc.
                1,039,654  
  34,730    
Fuji Photo Film Co., Ltd.
                1,605,505  
  8,040    
FujiFilm Holdings Corporation, ADR
                368,714  
  16,550    
Hasbro, Inc.
                461,414  
  11,940    
Marvel Entertainment Inc., (2)
                279,874  
  7,890    
Sturm, Ruger, & Company, (2)
                141,310  
 
 
Total Leisure Equipment & Products
                3,896,471  
   
 
 
                   
 
Life Sciences Tools & Services – 0.0%
 
 
                   
  7,990    
Illumina Inc., (2)
                414,521  
 
 
 
                   
 
Machinery – 1.0%
 
 
                   
  58,130    
ABB Limited
                1,524,750  
  115,720    
AGCO Corporation, (2)
                5,875,104  
  20,646    
Harsco Corporation
                1,223,688  
  29,760    
ITT Industries Inc.
                2,021,597  
  30,760    
Manitowoc Company Inc.
                1,362,053  
  156,840    
Mitsui Engineering & Shipbuilding Company Limited
                888,894  
  3,727    
Parker Hannifin Corporation
                416,790  
  8,580    
RBC Bearings Inc., (2)
                329,043  
  3,300    
Robbins & Myers, Inc.
                189,057  
  1,780    
Volvo AB
                30,883  
 
 
Total Machinery
                13,861,859  
   
 
 
                   
 
Marine – 0.2%
 
 
                   
  181,660    
Kawasaki Kisen Kaisha Limited
                2,668,005  
 
 
 
                   
 
Media – 0.8%
 
 
                   
  56,590    
DIRECTV Group, Inc., (2)
                1,374,005  
  47,270    
Echostar Communications Corporation, (2)
                2,212,709  
  42,860    
McGraw-Hill Companies, Inc.
                2,182,003  
  54,400    
Scholastic Corporation, (2)
                1,896,384  
  19,700    
Shaw Communication Inc.
                489,348  
  7,180    
Thomson Corporation
                301,057  
  46,460    
Walt Disney Company
                1,597,759  
  8,370    
WPP Group PLC
                564,975  
 
 
Total Media
                10,618,240  
   
 
 
                   
 
Metals & Mining – 4.4%
 
 
                   
  770    
Agnico-Eagle Mines, Limited
                38,346  
  6,700    
Alumina Limited, Sponsored ADR
                169,510  
  67,765    
Anglo American PLC, ADR
                2,266,729  
  199,200    
AngloGold Ashanti Limited, Sponsored ADR
                9,340,488  
  204,700    
Apex Silver Mines Limited, (2)
                3,981,415  
  213,500    
Barrick Gold Corporation
                8,599,780  
  9,290    
BHP Billiton PLC
                668,044  
  3,680    
Compass Minerals International, Inc.
                125,267  
  148,530    
Cookson Group
                2,318,697  
  235,600    
Crystallex International Corporation, (2)
                746,852  
  11,450    
Freeport-McMoRan Copper & Gold, Inc.
                1,200,991  
  169,800    
Gabriel Resources, Limited, (2)
                430,198  
  251,900    
Gold Fields Limited
                4,556,871  
  1,504,600    
Lihir Gold Limited, (2)
                5,260,321  
  500,810    
Mitsubishi Materials
                3,113,031  
  204,000    
Moto Goldmines, Limited, (2)
                607,088  
  183,700    
Newmont Mining Corporation
                8,216,901  
  58,800    
NovaGold Resources Inc., (2)
                970,788  
  496,500    
Orezone Resources Inc., (2)
                923,490  
  4,280    
Rio Tinto PLC, Sponsored ADR
                1,469,752  
  132,270    
SSAB Svenskt Stal AB
                4,895,392  
 
 
Total Metals & Mining
                59,899,951  
   
 
 
                   
 
Multiline Retail – 0.5%
 
 
                   
  15,850    
Big Lots, Inc., (2)
                472,964  
  34,540    
Costco Wholesale Corporation
                2,119,720  
  39,520    
Dollar Tree Stores Inc., (2)
                1,602,141  
  19,060    
Family Dollar Stores, Inc.
                506,234  
  15,180    
Kohl’s Corporation, (2)
                636,936  
  12,800    
Target Corporation
                813,696  
 
 
Total Multiline Retail
                6,151,691  
   
 
 
                   
 
Multi-Utilities – 0.3%
 
 
                   
  47,210    
National Grid Group PLC
                757,278  
  138,900    
Puget Energy, Inc.
                3,398,883  
 
 
Total Multi-Utilities
                4,156,161  
   
 
 
                   
 
Oil, Gas & Consumable Fuels – 3.0%
 
 
                   
  1,080    
Acergy S.A., Sponsored ADR
                32,076  
  60,500    
Arch Coal Inc.
                2,041,270  
  5,240    
Bill Barrett Corporation, (2)
                206,508  
  123,120    
BP Amoco PLC
                8,538,372  
  37,550    
Chesapeake Energy Corporation
                1,324,013  
  10,180    
Chevron Corporation
                952,644  
  9,410    
China Petroleum and Chemical Corporation
                1,158,465  
  30,200    
Eni S.p.A., Sponsored ADR
                2,227,552  
  9,980    
EOG Resources, Inc.
                721,853  
  15,280    
Equitable Resources Inc.
                792,574  
  21,410    
Frontier Oil Corporation
                891,512  
  10,910    
Hess Corporation
                725,842  
  13,530    
Murphy Oil Corporation
                945,612  
  52,600    
Nexen Inc.
                1,606,404  
  2,980    
Norsk Hydro ASA
                129,183  
  79,500    
Peabody Energy Corporation
                3,805,665  
  8,656    
Pioneer Drilling Company, (2)
                105,430  
  36,610    
Repsol YPF S.A.
                1,299,655  
  98,080    
Royal Dutch Shell PLC, Class B, Sponsored ADR
                8,052,368  
  8,090    
St Mary Land and Exploration Company
                288,570  
  56,750    
StatoilHydro ASA
                1,924,960  
  7,985    
Sunoco, Inc.
                565,178  
  21,120    
Total S.A., Sponsored ADR
                1,711,354  
  12,072    
Valero Energy Corporation
                810,997  
 
 
Total Oil, Gas & Consumable Fuels
                40,858,057  
   
 
 
                   
 
Paper & Forest Products – 0.3%
 
 
                   
  10,520    
Aracruz Celulose S.A.
                774,167  
  6,570    
Buckeye Technologies Inc., (2)
                99,470  
  7,730    
Potlatch Corporation
                348,082  
  17,950    
Rayonier Inc.
                862,318  
  8,400    
Stora Enso Oyj, R Shares
                163,619  
  55,210    
Votorantim Celulose e Papel S.A.
                1,580,110  
 
 
Total Paper & Forest Products
                3,827,766  
   
 
 
                   
 
Personal Products – 0.0%
 
 
                   
  9,430    
Herbalife, Limited
                428,688  
  3,400    
Oriflame Cosmetics
                206,297  
 
 
Total Personal Products
                634,985  
   
 
 
                   
 
Pharmaceuticals – 1.3%
 
 
                   
  9,650    
Abraxis Bioscience Inc., (2)
                220,310  
  17,900    
Astellas Pharma Inc.
                858,651  
  115,620    
AstraZeneca Group
                5,789,093  
  2,330    
Doctor Reddy’s Labortories Limited, Sponsored ADR
                38,119  
  6,790    
Eli Lilly and Company
                386,555  
  6,720    
GlaxoSmithKline PLC, ADR
                357,504  
  20,870    
H. Lundbeck A/S
                566,870  
  98,000    
Kissei Pharaceuticals Company Limited
                1,774,605  
  34,110    
Merck & Co. Inc.
                1,763,146  
  1,480    
Novo Nordisk A/S
                178,634  
  189,800    
Patheon Inc., (2)
                591,545  
  9,310    
Pozen Inc., (2)
                102,969  
  88,770    
Sanofi-Aventis, ADR
                3,765,623  
  35,760    
Shionogi & Company Limited
                551,351  
  17,880    
Warner Chilcott Limited, (2)
                317,728  
 
 
Total Pharmaceuticals
                17,262,703  
   
 
 
                   
 
Real Estate/Mortgage – 0.5%
 
 
                   
  119,090    
CFX Retail Property Trust
                252,562  
  548,950    
DB RREEF Trust
                979,093  
  3,180    
Essex Property Trust Inc.
                373,873  
  7,046    
LaSalle Hotel Properties
                296,496  
  8,480    
Lexington Corporate Properties Trust
                169,685  
  13,561    
SL Green Realty Corporation
                1,583,518  
  10,931    
Tanger Factory Outlet Centers
                443,689  
  21,703    
Taubman Centers Inc.
                1,188,239  
  719,470    
Wing Tai Holdings Limited
                1,869,508  
 
 
Total Real Estate/Mortgage
                7,156,663  
   
 
 
                   
 
Real Estate Management & Development – 0.0%
 
 
                   
  11,430    
IMMOFINANZ AG
                142,613  
  94,390    
New World Development Company, Limited
                262,267  
 
 
Total Real Estate Management & Development
                404,880  
   
 
 
                   
 
Road & Rail – 0.4%
 
 
                   
  31,360    
Canadian National Railways Company
                1,787,520  
  15,970    
Canadian Pacific Railway Limited
                1,122,531  
  33,430    
Hertz Global Holdings, Inc., (2)
                759,530  
  14,730    
Landstar System
                618,218  
  5,090    
Union Pacific Corporation
                575,475  
 
 
Total Road & Rail
                4,863,274  
   
 
 
                   
 
Semiconductors & Equipment – 0.9%
 
 
                   
  14,310    
ASM Lithography Holding N.V., (2)
                474,424  
  86,010    
ASM Lithography Holding N.V., (2)
                2,826,289  
  14,960    
Intel Corporation
                386,866  
  243,470    
Micron Technology, Inc., (2)
                2,702,517  
  3,460    
Monolithic Power Systems, Inc., (2)
                87,884  
  67,920    
National Semiconductor Corporation
                1,841,990  
  10,730    
Semtech Corporation, (2)
                219,750  
  56,580    
STMicroelectronics N.V.
                947,715  
  161,720    
Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR
                1,636,606  
  27,370    
Teradyne Inc., (2)
                377,706  
  23,050    
Trident Microsystems Inc., (2)
                366,265  
  9,040    
Zoran Corporation, (2)
                182,608  
 
 
Total Semiconductors & Equipment
                12,050,620  
   
 
 
                   
 
Software – 0.6%
 
 
                   
  7,170    
Ansys Inc., (2)
                244,999  
  9,075    
Aspen Technology Inc., (2)
                129,954  
  43,550    
Autodesk, Inc., (2)
                2,176,194  
  12,378    
Blackbaud, Inc.
                312,421  
  6,270    
Blackboard, Inc., (2)
                287,417  
  32,650    
Business Objects S.A., (2)
                1,465,006  
  28,000    
Cadence Design Systems, Inc., (2)
                621,320  
  17,110    
Cognos Inc., (2)
                710,578  
  42,040    
Intuit Inc., (2)
                1,273,812  
  6,210    
SPSS Inc., (2)
                255,479  
  23,580    
Synopsys Inc., (2)
                638,546  
 
 
Total Software
                8,115,726  
   
 
 
                   
 
Specialty Retail – 0.3%
 
 
                   
  6,865    
Aeropostale, Inc., (2)
                130,847  
  29,610    
American Eagle Outfitters, Inc.
                779,039  
  19,090    
Gap, Inc.
                352,020  
  5,430    
Gymboree Corporation, (2)
                191,353  
  2,610    
Hennes & Mauritz AB
                165,451  
  3,150    
J. Crew Group Inc., (2)
                130,725  
  5,210    
Luxottica Group S.p.A.
                176,619  
  10,780    
PetSmart Inc.
                343,882  
  53,180    
RadioShack Corporation
                1,098,699  
  19,620    
Sony Corporation
                942,937  
 
 
Total Specialty Retail
                4,311,572  
   
 
 
                   
 
Textiles, Apparel & Luxury Goods – 0.1%
 
 
                   
  3,780    
Deckers Outdoor Corporation, (2)
                415,044  
  1,100    
Gildan Activewear Inc, Sponsored ADR, (2)
                43,329  
  8,258    
Guess Inc.
                404,887  
  7,640    
VF Corporation
                616,925  
 
 
Total, Textiles Apparel & Luxury Goods
                1,480,185  
   
 
 
                   
 
Thrifts & Mortgage Finance – 0.0%
 
 
                   
  42,630    
Hudson City Bancorp, Inc.
                655,644  
 
 
 
                   
 
Tobacco – 0.3%
 
 
                   
  10,640    
British American Tobacco PLC
                765,867  
  7,800    
Imperial Tobacco Group
                715,728  
  260    
Japan Tobacco, Inc.
                1,428,280  
  34,550    
UST Inc.
                1,713,675  
 
 
Total Tobacco
                4,623,550  
   
 
 
                   
 
Trading Companies & Distributors – 0.0%
 
 
                   
  2,660    
W.W. Grainger, Inc.
                242,565  
 
 
 
                   
 
Transportation Infrastructure – 0.2%
 
 
                   
  630,470    
Macquarie Airports
                2,433,592  
 
 
 
                   
 
Wireless Telecommunication Services – 0.0%
 
 
                   
  7,200    
China Unicom Limited, WI/DD
                150,043  
  1,390    
Mobile Telesystems, Sponsored ADR
                96,341  
 
 
Total Wireless Telecommunication Services
                246,384  
   
 
Total Common Stocks (cost $496,896,485)
                526,557,575  
   


Table of Contents

                             
Shares     Description (1)   Coupon       Ratings (3)   Value  
 
 
 
                   
 
Convertible Preferred Securities – 1.8% (1.2% of Total Investments)
 
 
                   
 
Automobiles – 0.4%
 
 
                   
  27,250    
General Motors Corporation, Convertible Bonds
  1.500%       B-   $ 770,085  
  63,700    
General Motors Corporation, Convertible Notes, Senior Debentures, Series B
  5.250%       B-     1,356,173  
  119,500    
General Motors Corporation
  6.250%       B-     2,926,555  
 
 
Total Automobiles
                5,052,813  
   
 
 
                   
 
Capital Markets – 0.0%
 
 
                   
  4,900    
Affiliated Managers Group Inc., Convertible Bond
  5.100%       BB     278,075  
 
 
 
                   
 
Commercial Banks – 0.1%
 
 
                   
  14,750    
Sovereign Capital Trust IV, Convertible Security
  4.375%       Baa1     632,775  
  8,250    
Washington Mutual, Inc., Unit 1 Trust
  5.375%       A3     396,083  
 
 
Total Commercial Banks
                1,028,858  
   
 
 
                   
 
Communications Equipment – 0.7%
 
 
                   
  8,400    
Lucent Technologies Capital Trust I
  7.750%       B1     8,064,000  
 
 
 
                   
 
Containers & Packaging – 0.0%
 
 
                   
  12,500    
Owens-Illinois, Inc., Convertible Bonds
  4.750%       B-     562,500  
 
 
 
                   
 
Electric Utilities – 0.1%
 
 
                   
  18,850    
Centerpoint Energy Inc.
  2.000%       BBB-     651,268  
  6,500    
CMS Energy Corporation, Convertible Bonds
  4.500%       Ba2     572,813  
 
 
Total Electric Utilities
                1,224,081  
   
 
 
                   
 
Food Products – 0.0%
 
 
                   
  4,750    
Bunge Limited, Convertible Bonds
  4.875%       BB     637,094  
 
 
 
                   
 
Independent Power Producers & Energy Traders – 0.1%
 
 
                   
  500    
NRG Energy Inc., Convertible Bond
  4.000%       B2     1,079,765  
 
 
 
                   
 
Metals & Mining – 0.1%
 
 
                   
  800    
Freeport McMoran Copper & Gold, Inc.
  5.500%       B-     1,826,300  
 
 
 
                   
 
Oil, Gas & Consumable Fuels – 0.1%
 
 
                   
  7,750    
Chesapeake Energy Corporation
  5.000%       B     862,358  
  550    
El Paso Corporation
  4.990%       B     777,631  
 
 
Total Oil, Gas & Consumable Fuels
                1,639,989  
   
 
 
                   
 
Real Estate – 0.1%
 
 
                   
  20,550    
HRPT Properties Trust, Preferred Convertible Bonds
  6.500%       BBB-     472,034  
  9,050    
Simon Property Group, Inc., Series I
  6.000%       BBB+     727,892  
 
 
Total Real Estate
                1,199,926  
   
 
 
                   
 
U.S. Agency – 0.1%
 
 
                   
  19    
Federal National Mortgage Association
  5.375%       AA-     1,862,986  
 
 
Total Convertible Preferred Securities (cost $23,292,082)
                24,456,387  
   
                             
Shares     Description (1)   Coupon       Ratings (3)   Value  
 
 
 
                   
 
$25 Par (or similar) Preferred Securities – 46.8% (30.2% of Total Investments)
 
 
                   
 
Capital Markets – 6.2%
 
 
                   
  229,904    
BNY Capital Trust V, Series F
  5.950%       Aa3   $ 5,248,708  
  148,300    
Compass Capital Trust III
  7.350%       A2     3,668,942  
  7,000    
CSFB USA, Series 2002-10 (SATURNS)
  7.000%       Aa1     172,480  
  946,417    
Deutsche Bank Capital Funding Trust II
  6.550%       Aa3     22,572,045  
  34,200    
First Union Institutional Capital II (CORTS)
  8.200%       A1     929,898  
  3,900    
Goldman Sachs Capital I, Series A (CORTS)
  6.000%       A1     85,449  
  4,400    
Goldman Sachs Group Inc. (SATURNS)
  5.750%       AA-     93,676  
  4,800    
Goldman Sachs Group Inc., Series 2004-06 (SATURNS)
  6.000%       A1     105,072  
  40,400    
Goldman Sachs Group Inc., Series 2004-4 (CORTS)
  6.000%       A1     869,004  
  7,400    
Goldman Sachs Group Inc., Series GSC-3 (PPLUS)
  6.000%       A1     160,432  
  521,588    
Lehman Brothers Holdings Capital Trust III, Series K
  6.375%       A2     11,730,514  
  3,300    
Lehman Brothers Holdings Capital Trust IV, Series L
  6.375%       A2     75,834  
  106,161    
Merrill Lynch Preferred Capital Trust III
  7.000%       A1     2,622,177  
  122,400    
Merrill Lynch Preferred Capital Trust IV
  7.120%       A1     3,051,432  
  346,000    
Merrill Lynch Preferred Capital Trust V
  7.280%       A1     8,615,400  
  314,334    
Morgan Stanley Capital Trust III
  6.250%       A1     7,204,535  
  456,907    
Morgan Stanley Capital Trust IV
  6.250%       A1     10,380,927  
  305,429    
Morgan Stanley Capital Trust VII
  6.600%       A2     7,000,433  
 
 
Total Capital Markets
                84,586,958  
   
 
 
                   
 
Commercial Banks – 8.7%
 
 
                   
  72,670    
ABN AMRO Capital Fund Trust V
  5.900%       A1     1,558,045  
  73,600    
ASBC Capital I
  7.625%       A3     1,832,640  
  28,685    
BAC Capital Trust I
  7.000%       Aa2     716,551  
  80,855    
BAC Capital Trust II
  7.000%       Aa2     2,006,821  
  281,200    
BAC Capital Trust III
  7.000%       Aa2     6,990,632  
  2,200    
BAC Capital Trust IV
  5.875%       Aa2     49,500  
  1,200    
BAC Capital Trust VIII
  6.000%       Aa2     27,072  
  5,000    
BAC Capital Trust X
  6.250%       Aa2     116,300  
  334,086    
Banco Santander Series 144A
  6.800%       Aa3     7,757,076  
  201,906    
Banco Santander, 144A
  6.500%       A     4,675,396  
  13,731    
Banco Santander
  6.410%       Aa3     304,691  
  9,100    
BancorpSouth Capital Trust I
  8.150%       Baa1     228,774  
  231,600    
Banesto Holdings, Series A, 144A
  10.500%       A1     6,984,199  
  81,700    
Bank One Capital Trust VI
  7.200%       Aa3     2,049,036  
  4,000,000    
BNP Paribas
  7.195%       AA-     3,990,604  
  300    
Capital One Capital II Corporation
  7.500%       Baa1     7,392  
  217,300    
Citizens Funding Trust I
  7.500%       Baa2     5,104,377  
  107,000    
Cobank ABC, 144A, (8)
  7.000%       A     5,257,231  
  338,400    
Fleet Capital Trust VIII
  7.200%       Aa2     8,487,072  
  759,620    
HSBC Finance Corporation
  6.875%       AA-     18,838,576  
  16,860    
HSBC Holdings PLC, Series A
  6.200%       A1     378,676  
  137,400    
KeyCorp Capital Trust IX
  6.750%       Baa1     3,233,022  
  539,400    
National City Capital Trust II
  6.625%       A3     11,408,310  
  47,900    
National City Capital Trust IV
  0.000%       A2     1,202,530  
  43,550    
PNC Capital Trust
  6.125%       A2     987,714  
  13,129    
Royal Bank of Scotland Group PLC, Series L
  5.750%       A1     277,022  
  91,395    
Royal Bank of Scotland Group PLC, Series N
  6.350%       A1     2,051,818  
  100,000    
Royal Bank of Scotland PLC, Series T
  7.250%       Aa3     2,510,000  
  192,827    
USB Capital Trust XI
  6.600%       A1     4,527,578  
  30,060    
VNB Capital Trust I
  7.750%       A3     754,205  
  130,248    
Wachovia Capital Trust IX
  6.375%       A1     3,004,821  
  169,217    
Wachovia Trust IV
  6.375%       A1     3,952,909  
  80,735    
Wells Fargo Capital Trust V
  7.000%       Aa2     2,011,109  
  86,002    
Wells Fargo Capital Trust VII
  5.850%       Aa2     1,952,245  
  81,400    
Zions Capital Trust B
  8.000%       BBB-     2,048,838  
 
 
Total Commercial Banks
                117,282,782  
   
 
 
                   
 
Computers & Peripherals – 0.0%
 
 
                   
  4,447    
IBM Inc., Trust Certificates, Series 2001-2
  7.100%       A+     111,019  
 
 
 
                   
 
Diversified Financial Services – 4.1%
 
 
                   
  63,130    
BAC Capital Trust XII
  6.875%       Aa3     1,590,876  
  70,400    
Citigroup Capital Trust VII
  7.125%       Aa2     1,761,408  
  241,654    
Citigroup Capital Trust VIII
  6.950%       Aa2     5,918,106  
  30,600    
Citigroup Capital XIV
  6.875%       Aa2     761,940  
  367,800    
CitiGroup Capital XIX
  7.250%       Aa2     9,412,002  
  68,755    
Citigroup Capital XV
  6.500%       Aa3     1,617,118  
  54,800    
Citigroup Capital XVI
  6.450%       Aa2     1,282,868  
  19,000    
Citigroup Capital XVII
  6.350%       Aa2     436,050  
  11,000    
General Electric Capital Corporation
  6.050%       AAA     266,640  
  564,518    
ING Group N.V.
  7.200%       A1     13,746,013  
  786,475    
ING Group N.V.
  7.050%       A     19,016,966  
  6,300    
ING Group N.V.
  6.200%       A1     136,143  
 
 
Total Diversified Financial Services
                55,946,130  
   
 
 
                   
 
Diversified Telecommunication Services – 0.3%
 
 
                   
  67,000    
AT&T Inc.
  6.375%       A     1,595,940  
  21,900    
BellSouth Capital Funding (CORTS)
  7.100%       A     470,850  
  18,300    
BellSouth Corporation (CORTS)
  7.000%       A     431,194  
  17,500    
Verizon Communications (CORTS)
  7.625%       A     441,875  
  22,600    
Verizon Communications (CORTS)
  7.375%       A     574,492  
  3,700    
Verizon Communications, Series 2004-1 (SATURNS)
  6.125%       A+     87,875  
  1,800    
Verizon Global Funding Corporation Trust III, Series III (CORTS)
  6.250%       A     42,345  
  13,900    
Verizon New England Inc., Series B
  7.000%       A3     345,415  
 
 
Total Diversified Telecommunication Services
                3,989,986  
   
 
 
                   
 
Electric Utilities – 0.6%
 
 
                   
  22,200    
DTE Energy Trust I
  7.800%       Baa3     563,658  
  40,670    
Entergy Louisiana LLC
  7.600%       A-     1,017,563  
  135,100    
FPL Group Capital Inc.
  6.600%       A3     3,261,314  
  500    
Georgia Power Company
  5.750%       A     11,255  
  6,600    
National Rural Utilities Cooperative Finance Corporation
  6.100%       A3     149,490  
  4,900    
National Rural Utilities Cooperative Finance Corporation
  5.950%       A3     112,602  
  134,400    
Virginia Power Capital Trust
  7.375%       Baa2     3,372,096  
 
 
Total Electric Utilities
                8,487,978  
   
 
 
                   
 
Food Products – 0.2%
 
 
                   
  27,100    
Dairy Farmers of America Inc., 144A, (8)
  7.875%       BBB-     2,834,492  
 
 
 
                   
 
Insurance – 10.1%
 
 
                   
  556,210    
Ace Ltd., Series C
  7.800%       BBB     14,216,728  
  9,156    
Aegon N.V.
  6.875%       A-     218,554  
  976,600    
Aegon N.V., (8)
  6.375%       A-     21,729,350  
  1,000,000    
AMBAC Finanacial Group Inc.
  0.000%       Aa3     865,501  
  5,867    
AMBAC Financial Group Inc.
  5.950%       AA     130,541  
  25,700    
Arch Capital Group Limited, Series B
  7.785%       BBB-     643,785  
  408,100    
Arch Capital Group Limited
  8.000%       BBB-     10,426,955  
  14,700    
Berkley WR Corporation, Capital Trust II
  6.750%       BBB-     343,833  
  1,221,100    
Delphi Financial Group, Inc.
  8.000%       BBB+     31,174,683  
  3,000,000    
Everest Reinsurance Holdings, Inc.
  6.600%       Baa1     2,787,321  
  322,955    
EverestRe Capital Trust II
  6.200%       Baa1     7,017,812  
  113,400    
EverestRe Group Limited
  7.850%       Baa1     2,852,010  
  82,200    
Financial Security Assurance Holdings
  6.250%       AA     1,869,228  
  3,500    
Lincoln National Capital Trust VI
  6.750%       A-     84,350  
  1,800    
Markel Corporation
  7.500%       BBB-     45,324  
  809,050    
PartnerRe Limited, Series C
  6.750%       BBB+     18,689,055  
  82,200    
PLC Capital Trust III
  7.500%       BBB+     2,040,204  
  33,600    
PLC Capital Trust IV
  7.250%       BBB+     828,912  
  7,600    
PLC Capital Trust V
  6.125%       BBB+     166,440  
  47,900    
Protective Life Corporation
  7.250%       BBB     1,183,130  
  37,400    
Prudential PLC
  6.750%       A     897,600  
  377,051    
RenaissanceRe Holdings Limited, Series B
  7.300%       BBB     8,970,043  
  75,000    
RenaissanceRe Holdings Ltd
  6.600%       BBB     1,587,750  
  341,200    
XL Capital Ltd, Series B
  7.625%       Baa1     8,471,996  
 
 
Total Insurance
                137,241,105  
   
 
 
                   
 
Media – 2.9%
 
 
                   
  27,900    
CBS Corporation
  7.250%       BBB     696,663  
  410,172    
CBS Corporation
  6.750%       BBB     9,417,549  
  580,200    
Comcast Corporation
  7.000%       BBB+     14,475,990  
  605,900    
Viacom Inc.
  6.850%       BBB     14,444,656  
 
 
Total Media
                39,034,858  
   
 
 
                   
 
Oil, Gas & Consumable Fuels – 0.9%
 
 
                   
  477,800    
Nexen Inc.
  7.350%       Baa3     11,945,000  
 
 
 
                   
 
Real Estate/Mortgage – 10.8%
 
 
                   
  10,300    
AvalonBay Communities, Inc., Series H
  8.700%       BBB     268,315  
  15,266    
BRE Properties, Series C
  6.750%       BBB-     343,027  
  658,185    
Developers Diversified Realty Corporation, Series G
  8.000%       BBB-     16,665,244  
  74,900    
Developers Diversified Realty Corporation, Series H
  7.375%       BBB-     1,801,345  
  73,000    
Duke Realty Corporation, Series L
  6.600%       BBB     1,661,480  
  36,828    
Duke-Weeks Realty Corporation
  6.950%       BBB     859,934  
  389,370    
Equity Residential Properties Trust, Series N
  6.480%       BBB     8,827,018  
  267,400    
First Industrial Realty Trust, Inc., Series J
  7.250%       BBB-     6,382,838  
  232,400    
HRPT Properties Trust, Series B
  8.750%       BBB-     5,884,368  
  652,100    
HRPT Properties Trust, Series C
  7.125%       BBB-     16,054,702  
  456,287    
Kimco Realty Corporation, Series F
  6.650%       BBB+     10,768,373  
  32,982    
Prologis Trust, Series C
  8.540%       BBB     1,957,277  
  12,500    
Prologis Trust, Series G
  6.750%       BBB     289,250  
  2,000    
PS Business Parks, Inc., Series K
  7.950%       BBB-     50,300  
  51,900    
Public Storage, Inc., Series E
  6.750%       BBB+     1,177,092  
  15,000    
Public Storage, Inc., Series F
  6.450%       BBB+     328,350  
  8,259    
Public Storage, Inc., Series H
  6.950%       BBB+     192,682  
  149,400    
Public Storage, Inc., Series I
  7.250%       BBB+     3,670,758  
  1,700    
Public Storage, Inc., Series K
  7.250%       BBB+     41,480  
  226,441    
Public Storage, Inc., Series M
  6.625%       BBB+     5,015,668  
  32,300    
Public Storage, Inc., Series V
  7.500%       BBB+     809,761  
  228,400    
Public Storage, Inc.
  6.750%       BBB+     5,184,680  
  319,900    
Realty Income Corporation, Series E
  6.750%       BBB-     7,517,650  
  216,495    
Regency Centers Corporation
  7.450%       BBB-     5,293,303  
  9,100    
Regency Centers Corporation
  7.250%       BBB-     221,767  
  7,000    
Simon Property Group, Inc., Series G
  7.890%       BBB     349,020  
  1,000    
Vornado Realty Trust, Series F
  6.750%       BBB-     22,260  
  16,800    
Vornado Realty Trust, Series G
  6.625%       BBB-     375,984  
  3,400    
Vornado Realty Trust, Series H
  6.750%       BBB-     76,364  
  54,200    
Vornado Realty Trust, Series I
  6.625%       BBB-     1,203,240  
  1,113,245    
Wachovia Preferred Funding Corporation
  7.250%       A2     28,988,900  
  628,830    
Weingarten Realty Trust, Preferred Securities
  6.750%       A-     14,714,622  
 
 
Total Real Estate/Mortgage
                146,997,052  
   
 
 
                   
 
Thrifts & Mortgage Finance – 1.9%
 
 
                   
  99,700    
Countrywide Capital Trust III (PPLUS)
  8.050%       BBB     2,078,745  
  1,107,335    
Countrywide Capital Trust IV
  6.750%       BBB     21,316,199  
  121,978    
Countrywide Capital Trust V
  7.000%       BBB     2,348,077  
 
 
Total Thrifts & Mortgage Finance
                25,743,021  
   
 
 
                   
 
Wireless Telecommunication Services – 0.1%
 
 
                   
  33,900    
United States Cellular Corporation
  8.750%       A-     856,653  
 
 
Total $25 Par (or similar) Preferred Securities (cost $675,518,671)
                635,057,034  
   
                             
Principal         Weighted
Average
             
Amount (000)     Description (1)   Coupon   Maturity (5)   Ratings (3)   Value  
 
 
 
                   
 
Variable Rate Senior Loan Interests – 10.3% (6.6% of Total Investments) (4)
 
 
                   
 
 
                   
 
Airlines – 0.1%
 
 
                   
$ 995    
American Airlines, Term Loan
  7.414%   12/17/10   BB-   $ 974,843  
  998    
Delta Air Lines, Term Loan, WI/DD
  TBD   TBD   B     969,238  
 
  1,993    
Total Airlines
                1,944,081  
 
 
 
                   
 
Auto Components – 0.1%
 
 
                   
  1,500    
Federal Mogul Corporation, Term Loan A (11)
  6.890%   12/31/07   N/R     1,494,375  
 
 
 
                   
 
Building Products – 0.6%
 
 
                   
  2,588    
Building Materials Corporation of America
  8.125%   2/22/14   BB     2,390,684  
  2,992    
Nortek, Inc., Term Loan B
  7.610%   8/27/11   Ba2     2,887,558  
  997    
Stile Acquisition Corporation, Term Loan B
  7.360%   4/05/13   BB     940,954  
  998    
Stile Acquisition Corporation, Term Loan B
  7.360%   4/05/13   BB     942,559  
  990    
TFS Acquisition, Term Loan
  8.698%   8/11/13   B+     965,250  
 
  8,565    
Total Building Products
                8,127,005  
 
 
 
                   
 
Chemicals – 0.2%
 
 
                   
  1,000    
Celanese Corporation, Term Loan C, WI/DD
  TBD   TBD   BB     981,953  
  2,000    
Hercules Inc., Term Loan B
  7.110%   7/11/13   BB     1,972,500  
 
  3,000    
Total Chemicals
                2,954,453  
 
 
 
                   
 
Commercial Services & Supplies – 0.2%
 
 
                   
  2,509    
Aramark Corporation, Term Loan
  7.198%   1/24/14   BB-     2,468,965  
  179    
Aramark, Letter of Credit
  7.198%   1/24/14   BB-     176,459  
 
  2,688    
Total Commercial Services & Supplies
                2,645,424  
 
 
 
                   
 
Containers & Packaging – 0.1%
 
 
                   
  342    
Bluegrass Container Company LLC, 1st Lien Term Loan
  7.617%   6/30/13   BB     340,504  
  1,143    
Bluegrass Container Company, LLC, Term Loan B
  7.581%   6/30/13   BB     1,137,999  
 
  1,485    
Total Containers & Packaging
                1,478,503  
 
 
 
                   
 
Diversified Consumer Services – 0.3%
 
 
                   
  1,500    
Laureate Education Inc., Term Loan, WI/DD
  TBD   TBD   B1     1,456,875  
  2,000    
Thomson Learning Center, Term Loan
  7.950%   7/05/14   B+     1,943,334  
 
  3,500    
Total Diversified Consumer Services
                3,400,209  
 
 
 
                   
 
Diversified Telecommunication Services – 0.1%
 
 
                   
  1,510    
Intelsat, Ltd., Term Loan B
  7.360%   7/01/13   BB+     1,494,126  
 
 
 
                   
 
Electric Utilities – 0.3%
 
 
                   
  4,478    
Calpine Corporation
  7.448%   3/29/09   N/R     4,425,729  
 
 
 
                   
 
Energy Equipment & Services – 0.2%
 
 
                   
  1,455    
Kinder Morgan, Inc., Term Loan
  6.639%   5/30/14   Ba2     1,429,182  
  1,995    
Petroleum Geo-Services, Term Loan
  6.950%   7/01/12   Ba2     1,955,516  
 
  3,450    
Total Energy Equipment & Services
                3,384,698  
 
 
 
                   
 
Health Care Equipment & Supplies – 0.3%
 
 
                   
  4,000    
Biomet Term Loan, WI/DD
  TBD   TBD   BB-     3,959,286  
 
 
 
                   
 
Health Care Providers & Services – 1.6%
 
 
                   
  371    
Community Health Systems, Inc., Delayed Draw, Term Loan, (9) (10)
  0.500%   7/25/14   BB     (5,870 )
  5,629    
Community Health Systems, Inc., Term Loan
  7.756%   7/25/14   BB     5,539,765  
  500    
Concentra, Inc., Term Loan
  7.448%   6/25/14   B+     485,000  
  5,960    
HCA, Inc. Term Loan
  7.448%   11/18/13   BB     5,855,688  
  995    
Health Management Associates, Term Loan
  6.947%   2/28/14   Ba2     948,048  
  477    
IASIS Healthcare Corporation,
  5.960%   3/14/14   Ba2     331,777  
  127    
IASIS Healthcare Corporation
  5.024%   3/14/14   Ba2     121,542  
  1,389    
IASIS Healthcare LLC, Term Loan B
  7.359%   3/14/14   Ba2     1,327,255  
  747    
LifePoint Hospitals Holdings, Inc., Term Loan B
  7.165%   4/18/12   BB     729,735  
  1,858    
Select Medical Corporation, Term Loan
  7.477%   2/24/12   Ba2     1,777,034  
  998    
Select Medical Corporation, Term Loan
  7.198%   2/24/12   Ba2     954,275  
  320    
Sun Healthcare Group, Inc., Term Loan
  5.047%   4/12/14   Ba2     193,863  
  1,808    
Sun Healthcare Group, Inc., Term Loan
  7.367%   4/19/14   Ba2     1,753,574  
  404    
Sun Healthcare Group, Inc., Term Loan
  7.229%   4/19/14   Ba2     392,056  
  995    
Vanguard Health Holding Company, LLC, Replacement Term Loan
  7.448%   9/23/11   Ba3     966,400  
 
  22,578    
Total Health Care Providers & Services
                21,370,142  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 0.6%
 
 
                   
  988    
Cedar Fair LP, Term Loan
  7.129%   8/30/12   BB     969,807  
  999    
Intrawest Corporation, Term Loan
  7.182%   4/24/08   N/R     988,877  
  669    
Travelport, Term Loan
  7.448%   8/23/13   BB-     653,615  
  134    
Travelport, Term Loan
  7.448%   8/23/13   BB-     131,148  
  1,167    
Venetian Casino Resort, LLC, Delayed Draw, Term Loan, (9) (10)
  0.750%   5/23/08   BB     (27,951
  4,821    
Venetian Casino Resort, LLC, Term Loan, DD1
  6.950%   5/23/14   BB     4,705,742  
 
  8,778    
Total Hotels, Restaurants & Leisure
                7,421,238  
 
 
 
                   
 
Independent Power Producers & Energy Traders – 0.3%
 
 
                   
  800    
NRG Energy Inc., Delayed Draw, Term Loan (9)(10)
  0.500%   2/01/13   BB     (14,000
  2,603    
NRG Energy Inc., Term Loan
  6.948%   2/01/13   Ba1     2,560,284  
  1,084    
NRG Energy Inc., Term Loan
  6.848%   2/01/13   Ba1     1,065,571  
 
  4,487    
Total Independent Power Producers & Energy Traders
                3,611,855  
 
 
 
                   
 
Insurance – 0.1%
 
 
                   
  1,998    
Conseco, Inc., Term Loan
  7.129%   10/10/13   Ba3     1,895,899  
 
 
 
                   
 
Internet Software & Services – 0.1%
 
 
                   
  1,000    
Sabre Group Holdings, Inc., Term Loan
  7.358%   9/30/14   B+     952,875  
 
 
 
                   
 
IT Services – 0.1%
 
 
                   
  2,000    
First Data Term Loan, Tranche B, WI/DD
  TBD   TBD   BB-     1,923,334  
 
 
 
                   
 
Machinery – 0.1%
 
 
                   
  1,975    
Oshkosh Truck Corporation, Term Loan
  7.450%   12/06/13   BBB-     1,950,683  
 
 
 
                   
 
Media – 2.5%
 
 
                   
  1,993    
Blockbuster, Inc., Term Loan B
  9.623%   8/20/11   B     1,985,849  
  1,995    
Cequel Communications LLC., Term Loan B
  7.373%   11/05/13   B+     2,883,997  
  1,075    
Charter Communications Operating, LLC, Term Loan
  7.360%   3/06/14   B+     1,040,447  
  3,000    
Charter Communications Operating, LLC, Term Loan
  7.130%   3/06/14   B+     2,903,573  
  1,500    
Citadel Broadcasting Company, Term Loan
  6.794%   6/12/14   BB-     1,436,720  
  3,990    
Discovery Communications, Term Loan
  7.198%   5/14/14   N/R     3,925,163  
  983    
Idearc Inc., Term Loan, WI/DD
  TBD   TBD   BBB-     969,015  
  2,975    
Neilsen Finance LLC, Term Loan B
  7.360%   8/09/13   Ba3     2,896,886  
  954    
Philadelphia Newspapers, Term Loan
  8.860%   6/29/13   N/R     901,280  
  995    
Readers Digest Association, Term Loan, WI/DD
  TBD   TBD   B+     946,914  
  2,433    
Tribune Company, Term Loan
  7.860%   6/04/09   BB     2,390,750  
  6,000    
Tribune Company, Term Loan
  8.360%   6/04/14   BB     5,475,831  
  423    
Univision Communications, Delayed Draw, Term Loan, (9) (10)
  1.000%   9/29/14   B+     (19,644
  6,577    
Univision Communications, Term Loan
  7.610%   9/29/14   Ba3     6,271,615  
 
  34,893    
Total Media
                34,008,396  
 
 
 
                   
 
Paper & Forest Products – 0.3%
 
 
                   
  2,982    
Georgia-Pacific Corporation, Term Loan
  7.383%   12/21/12   BB+     2,927,016  
  1,439    
Ply Gem Industries Inc., Term Loan
  7.950%   8/15/11   BB-     1,356,458  
  54    
Ply Gem Industries Inc., Term Loan
  7.950%   8/15/11   BB-     50,687  
 
  4,475    
Total Paper & Forest Products
                4,334,161  
 
 
 
                   
 
Real Estate Management & Development – 0.3%
 
 
                   
  1,000    
LNR Property Corporation, Term Loan B
  8.110%   7/12/11   BB     970,834  
  3,000    
Realogy Corporation, Term Loan, WI/DD
  TBD   TBD   BB     2,817,000  
 
  4,000    
Total Real Estate Management & Development
                3,787,834  
 
 
 
                   
 
Road & Rail – 0.4%
 
 
                   
  5,419    
Swift Transportation, Term Loan
  8.375%   5/10/14   BB-     4,945,444  
 
 
 
                   
 
Software – 0.3%
 
 
                   
  2,860    
Dealer Computer Service, Term Loan
  7.198%   10/26/12   BB     2,785,163  
  1,256    
Intergraph Corporation, Term Loan
  7.474%   5/29/13   B+     1,225,455  
 
  4,116    
Total Software
                4,010,618  
 
 
 
                   
 
Specialty Retail – 0.7%
 
 
                   
  4,442    
Burlington Coat Factory Warehouse Corporation, Term Loan
  7.760%   5/28/11   B2     4,274,505  
  3,468    
Michaels Stores Inc., Term Loan
  7.638%   10/31/13   B     3,370,790  
  1,500    
Toys “R” Us, Inc., Term Loan
  8.665%   12/08/08   B3     1,489,531  
 
  9,410    
Total Specialty Retail
                9,134,826  
 
 
 
                   
 
Wireless Telecommunication Services – 0.4%
 
 
                   
  4,000    
Asurion Corporation, Term Loan
  8.360%   7/03/14   N/R     3,893,334  
  997    
Leap Wireless International Inc., Term Loan
  7.448%   1/10/12   Ba2     987,084  
 
  4,997    
Total Wireless Telecommunication Services
                4,880,418  
 
$ 146,295    
Total Variable Rate Senior Loan Interests (cost $142,360,980)
                139,535,612  
 


Table of Contents

                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity   Ratings (3)   Value  
 
 
 
                   
 
Convertible Bonds – 10.1% (6.5% of Total Investments)
 
 
                   
 
Aerospace & Defense – 0.2%
 
 
                   
$ 400    
Alliant Techsystems, Inc., Convertible Bonds
  2.750%   2/15/24   B+   $ 574,500  
  450    
DRS Technologies, Inc., Convertible Bonds, 144A
  2.000%   2/01/26   B+     486,000  
  800    
L-3 Communications Corporation, Convertible Bond
  3.000%   8/01/35   BB+     930,000  
  750    
Lockheed Martin Corporation
  5.325%   8/15/33   A-     1,144,200  
 
  2,400    
Total Aerospace & Defense
                3,134,700  
 
 
 
                   
 
Auto Components – 0.1%
 
 
                   
  300    
Goodyear Tire & Rubber Company, Convertible Bonds
  4.000%   6/15/34   B     767,250  
 
 
 
                   
 
Biotechnology – 0.5%
 
 
                   
  3,900    
Amgen Inc., 144A
  0.125%   2/01/11   A+     3,641,625  
  950    
Amgen Inc.
  0.375%   2/01/13   A+     868,063  
  650    
Cephalon, Inc., Series B
  2.000%   6/01/15   B-     1,096,063  
  1,000    
Genzyme Corporation
  1.250%   12/01/23   BBB     1,062,500  
 
  6,500    
Total Biotechnology
                6,668,251  
 
 
 
                   
 
Capital Markets – 0.0%
 
 
                   
  250    
BlackRock Inc.
  2.625%   2/15/35   A+     440,313  
 
 
 
                   
 
Commercial Banks – 0.2%
 
 
                   
  2,750    
U.S. Bancorp, Convertible Bonds
  3.606%   8/06/37   AA     2,740,925  
 
 
 
                   
 
Communications Equipment – 0.5%
 
 
                   
  750    
Ciena Corporation, Convertible Bond
  0.875%   6/15/17   B     847,500  
  2,750    
Ciena Corporation
  3.750%   2/01/08   B     2,743,125  
  200    
CommScope Inc.
  1.000%   3/15/24   Ba3     465,750  
  960    
Liberty Media Corporation, Senior Debentures Exchangeable for Motorola Common Stock
  3.500%   1/15/31   BB+     782,428  
  750    
Lucent Technologies Inc.
  2.750%   6/15/23   Ba2     719,063  
  469    
Nortel Networks Corp.
  4.250%   9/01/08   B-     462,551  
  450    
Nortel Networks Corporation, Convertible Bonds, 144A
  1.750%   4/15/12   B-     378,000  
  500    
Nortel Networks Corporation, Convertible Bonds, 144A
  2.125%   4/15/14   B-     408,750  
 
  6,829    
Total Communications Equipment
                6,807,167  
 
 
 
                   
 
Computers & Peripherals – 0.4%
 
 
                   
  1,250    
EMC Corporation, Convertible Bonds 144A
  1.750%   12/01/11   BBB+     1,778,125  
  1,000    
EMC Corporation, Convertible Bonds 144A
  1.750%   12/01/13   BBB+     1,433,750  
  350    
Maxtor Corporation, Convertible Bonds
  2.375%   8/15/12   BB+     550,813  
  1,250    
Sandisk Corporation, Convertible Bond
  1.000%   5/15/13   BB-     1,193,750  
 
  3,850    
Total Computers & Peripherals
                4,956,438  
 
 
 
                   
 
Construction & Engineering – 0.1%
 
 
                   
  250    
Fluor Corporation, Convertible Bonds
  1.500%   2/15/24   A3     644,688  
  350    
Quanta Services, Inc., Convertible Bonds
  4.500%   10/01/23   B+     847,000  
 
  600    
Total Construction & Engineering
                1,491,688  
 
 
 
                   
 
Consumer Finance – 0.0%
 
 
                   
  250    
Americredit Corp.
  1.750%   11/15/23   B+     267,813  
 
 
 
                   
 
Containers & Packaging – 0.0%
 
 
                   
  550    
Sealed Air Corporation, 144A
  3.000%   6/30/33   BBB     528,000  
 
 
 
                   
 
Diversified Financial Services – 0.0%
 
 
                   
  250    
Leucadia National Corporation, Convertible Bonds
  3.750%   4/15/14   BB-     553,438  
 
 
 
                   
 
Diversified Telecommunication Services – 0.1%
 
 
                   
  1,000    
Qwest Communications International Inc., Convertible Bond
  3.500%   11/15/25   Ba3     1,660,000  
 
 
 
                   
 
Electric Utilities – 0.1%
 
 
                   
  500    
Centerpoint Energy Inc., Convertible Bond
  3.750%   5/15/23   BBB-     724,375  
  500    
Covanta Holding Corporation, Convertible Bonds
  1.000%   2/01/27   B1     511,250  
 
  1,000    
Total Electric Utilities
                1,235,625  
 
 
 
                   
 
Electrical Equipment – 0.0%
 
 
                   
  250    
General Cable Corporation, Convertible Bonds
  0.875%   11/15/13   B+     365,313  
 
 
 
                   
 
Electronic Equipment & Instruments – 0.2%
 
 
                   
  500    
Anixter Internatinal Inc., Convertible Bond
  0.000%   7/07/33   BB-     624,375  
  700    
Roper Industries Inc.
  1.481%   1/15/34   BB+     579,250  
  500    
Solectron Corporation, Series B
  0.500%   2/15/34   BB-     492,500  
  500    
Tech Data Corporation, Convertible Bonds
  2.750%   12/15/26   BBB-     490,625  
  500    
Vishay Intertechnology Inc.
  3.625%   8/01/23   B+     500,625  
 
  2,700    
Total Electronic Equipment & Instruments
                2,687,375  
 
 
 
                   
 
Energy Equipment & Services – 1.2%
 
 
                   
  750    
Halliburton Company, Convertible Bond
  3.125%   7/15/23   A     1,546,875  
  4,125    
Nabors Industries Inc., Convertible Bond Series 144A
  0.940%   5/15/11   A-     3,975,469  
  850    
Nabors Industries Inc., Convertible Bond Series 144A
  0.940%   5/15/11   A-     819,188  
  4,850    
Nabors Industries Inc.
  0.000%   6/15/23   NA     5,068,250  
  750    
Schlumberger Limited, Convertible Bonds
  1.500%   6/01/23   A+     2,177,813  
  550    
Schlumberger Limited
  2.125%   6/01/23   A+     1,444,438  
  600    
Transocean Inc.
  1.500%   5/15/21   BBB+     946,500  
 
  12,475    
Total Energy Equipment & Services
                15,978,533  
 
 
 
                   
 
Food Products – 0.1%
 
 
                   
  900    
Archer Daniels Midland Company, Convertible Bonds, 144A
  0.875%   2/15/14   A     865,125  
  1,000    
General Mills, Inc., Convertible Bonds (12)
  5.733%   4/11/37   BBB+     1,006,926  
 
  1,900    
Total Food Products
                1,872,051  
 
 
 
                   
 
Health Care Equipment & Supplies – 0.4%
 
 
                   
  550    
Beckman Coulter Inc., Convertible Bonds, 144A
  2.500%   12/15/36   BBB     644,188  
  2,350    
Medtronic, Inc., Convertible Bond
  1.500%   4/15/11   AA-     2,611,438  
  800    
Medtronic, Inc., Convertible Bond
  1.625%   4/15/13   AA-     905,000  
  250    
Medtronic, Inc.
  1.500%   4/15/11   AA-     277,813  
  725    
Saint Jude Medical, Inc., Convertible Bonds
  1.220%   12/15/08   BBB+     740,406  
 
  4,675    
Total Health Care Equipment & Supplies
                5,178,845  
 
 
 
                   
 
Health Care Providers & Services – 0.7%
 
 
                   
  450    
AmeriGroup Corporation, Convertible Bond
  2.000%   5/15/12   BB     463,500  
  900    
Health Management Associates Inc.
  1.500%   8/01/23   Baa3     885,375  
  250    
Laboratory Corporation of America Holdings
  0.000%   9/11/21   BBB-     263,750  
  950    
Lifepoint Hospitals, Inc., Convertible Bonds
  3.500%   5/15/14   B     850,250  
  250    
Manor Care Inc., Convertible Bond
  2.000%   6/01/36   BBB     329,063  
  600    
Manor Care, Inc.
  2.125%   8/01/35   BBB-     879,750  
  6,090    
Omnicare, Inc.
  3.250%   12/15/35   BB-     4,955,738  
  225    
Saint Jude Medical, Inc., Convertible Bonds
  1.220%   12/15/08   BBB+     229,781  
 
  9,715    
Total Health Care Providers & Services
                8,857,207  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 0.5%
 
 
                   
  2,750    
Caesars Entertainment Inc.
  5.360%   4/15/24   Baa3     3,718,000  
  750    
Carnival Corporation
  2.000%   4/15/21   A-     945,938  
  500    
Hilton Hotels Corporation
  3.375%   4/15/23   BB+     1,036,250  
  1,150    
International Game Technology
  2.600%   12/15/36   BBB     1,147,125  
 
  5,150    
Total Hotels, Restaurants & Leisure
                6,847,313  
 
 
 
                   
 
Industrial Conglomerates – 0.1%
 
 
                   
  1,000    
3M Company
  0.000%   11/21/32   Aa1     930,000  
 
 
 
                   
 
Insurance – 0.4%
 
 
                   
  250    
American Equity Investment Life Holding Company
  5.250%   12/06/24   BB+     264,063  
  750    
American Financial Group Inc.
  1.486%   6/02/33   BBB     379,688  
  500    
Aon Corporation, Convertible Bonds
  3.500%   11/15/12   BBB+     1,045,000  
  2,750    
Prudential Financial, Inc., Convertible Bonds
  3.325%   12/12/36   A+     2,829,283  
 
  4,250    
Total Insurance
                4,518,034  
 
 
 
                   
 
Internet & Catalog Retail – 0.1%
 
 
                   
  500    
Amazon.com Inc., Convertible Bonds
  4.750%   2/01/09   Ba3     618,125  
  250    
Priceline.com, Inc., Convertible Bonds
  0.500%   9/30/11   B+     558,125  
  250    
Priceline.com, Inc., Convertible Bonds
  0.750%   9/30/13   B+     555,313  
 
  1,000    
Total Internet & Catalog Retail
                1,731,563  
 
 
 
                   
 
Internet Software & Services – 0.0%
 
 
                   
  500    
Yahoo! Inc., Convertible Bond
  0.000%   4/01/08   BBB-     662,500  
 
 
 
                   
 
IT Services – 0.1%
 
 
                   
  1,000    
Electronic Data Systems Corporation, Convertible Bonds
  3.875%   7/15/23   BBB-     1,007,500  
 
 
 
                   
 
Leisure Equipment & Products – 0.1%
 
 
                   
  500    
Eastman Kodak Company
  3.375%   10/15/33   B     533,125  
  300    
Hasbro Inc.
  2.750%   12/01/21   BBB     397,875  
 
  800    
Total Leisure Equipment & Products
                931,000  
 
 
 
                   
 
Life Sciences Tools & Services – 0.1%
 
 
                   
  350    
Apogent Technologies, Inc., Convertible Bonds
  4.396%   12/15/33   BBB+     708,995  
  500    
Charles River Laboratories International, Inc.
  2.250%   6/15/13   BB-     642,500  
  250    
Fisher Scientific International, Inc., Convertible Bonds
  2.500%   10/01/23   BBB+     621,250  
 
  1,100    
Total Life Sciences Tools & Services
                1,972,745  
 
 
 
                   
 
Machinery – 0.2%
 
 
                   
  1,000    
Danaher Corporation, Convertible Bonds
  0.000%   1/22/21   A+     1,208,750  
  250    
Kaydon Corporation, Convertible Bonds
  4.000%   5/23/23   BB-     449,063  
  500    
Trinity Industries Inc., Convertible Bonds
  3.875%   6/01/36   BB-     520,625  
 
  1,750    
Total Machinery
                2,178,438  
 
 
 
                   
 
Media – 0.7%
 
 
                   
  200    
ELF Special Financing Limited, Convertible Bonds, 144A
  6.082%   6/15/09   Ba3     221,020  
  600    
ELF Special Financing Limited, Convertible Bonds, 144A
  6.044%   6/15/09   Ba3     650,820  
  400    
Getty Images, Inc., Convertible Bonds
  0.500%   6/09/23   Ba2     385,500  
  500    
Interpublic Group Companies Inc.
  4.500%   3/15/23   Ba3     540,625  
  500    
Interpublic Group, Inc., Convertible Bonds
  4.250%   3/15/23   Ba3     554,375  
  300    
Lamar Advertising Company, Convertible
  2.875%   12/31/10   B1     345,375  
  1,100    
Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1
  4.000%   11/15/29   BB+     715,000  
  1,500    
Liberty Media Corporation
  0.750%   3/30/23   BB+     1,663,125  
  750    
Omnicom Group Inc.
  0.000%   7/01/38   A-     808,125  
  1,250    
Omnicom Group, Inc.
  0.000%   2/07/31   A-     1,292,188  
  500    
Sinclair Broadcast Group, Inc., Convertible Bonds
  3.000%   5/15/27   B     471,250  
  1,500    
Walt Disney Company, Convertible Senior Notes
  2.125%   4/15/23   A2     1,835,625  
 
  9,100    
Total Media
                9,483,028  
 
 
 
                   
 
Metals & Mining – 0.2%
 
 
                   
  1,511    
Coeur d’Alene Mines Corporation, Convertible Bond
  1.250%   1/15/24   B-     1,359,900  
  650    
Newmont Mining Corporation
  1.625%   7/15/17   BBB+     741,813  
 
  2,161    
Total Metals & Mining
                2,101,713  
 
 
 
                   
 
Multiline Retail – 0.0%
 
 
                   
  250    
Saks, Inc., Convertible Bonds
  2.000%   3/15/24   B+     375,938  
 
 
 
                   
 
Oil, Gas & Consumable Fuels – 0.7%
 
 
                   
  1,000    
Chesapeake Energy Corporation, 144A
  2.750%   11/15/35   BB     1,102,500  
  1,750    
Chesapeake Energy Corporation, Convertible Bonds
  2.500%   5/15/37   BB     1,795,938  
  250    
Devon Energy Corporation
  4.900%   8/15/08   Baa1     437,813  
  5,550    
Peabody Energy Corp., Convertible Bond
  4.750%   12/15/66   Ba3     5,855,250  
 
  8,550    
Total Oil, Gas & Consumable Fuels
                9,191,501  
 
 
 
                   
 
Pharmaceuticals – 0.4%
 
 
                   
  500    
Allergan Inc., Convertible Bond
  1.500%   4/01/26   A     580,625  
  750    
Bristol-Myers Squibb Company, Convertible Bond
  5.194%   9/15/23   A+     756,600  
  650    
Teva Pharmaceutical Finance, Series A
  0.500%   2/01/24   BBB     788,938  
  800    
Teva Pharmaceutical Finance, Series B
  0.250%   2/01/24   BBB     1,041,000  
  750    
Watson Pharmaceuticals Inc., Convertible Bond
  1.750%   3/15/23   BB+     732,188  
  1,500    
Wyeth, Convertible Bond
  4.888%   1/15/24   A+     1,588,155  
 
  4,950    
Total Pharmaceuticals
                5,487,506  
 
 
 
                   
 
Real Estate – 0.7%
 
 
                   
  550    
Archstone-Smith Trust, Corporate Bond Convertible
  4.000%   7/15/36   BBB+     576,125  
  1,250    
Boston Properties Limited Partnership, Convertible Bonds, 144A
  2.875%   2/15/37   BBB+     1,193,750  
  450    
Brandywine Operating Partnership, Convertible Bonds
  3.875%   10/15/26   BBB-     418,500  
  550    
BRE Properties Inc., Convertible Bond
  4.125%   8/15/26   BBB     559,625  
  750    
Developers Diversified Realty Corporation, Convertible Bonds
  3.000%   3/15/12   BBB     705,938  
  500    
Duke Realty Corporation, Series D
  3.750%   12/01/11   BBB+     474,375  
  250    
Health Care REIT, Inc., Convertible Bonds
  4.750%   12/01/26   Baa2     260,000  
  800    
Hospitality Properties Trust, Convertible Bonds
  3.800%   3/15/27   BBB     770,000  
  500    
Host Hotels & Resorts Inc, Convertible Bonds, 144A
  2.625%   4/15/27   BB     453,125  
  400    
Host Marriot LP, Convertible Bonds, 144A
  3.250%   4/15/24   Ba1     559,500  
  1,000    
Prologis, Convertible Bonds, 144A
  2.250%   4/01/37   BBB+     1,023,750  
  650    
Vornado Realty Trust, Convertible Bonds
  2.850%   4/01/27   BBB     611,813  
  700    
Vornado Realty, Convertible Bond
  3.875%   4/15/25   BBB     905,625  
  650    
Weingarten Realty Investment Trust, Convertible Bonds
  3.950%   8/01/26   A-     663,813  
 
  9,000    
Total Real Estate
                9,175,939  
 
 
 
                   
 
Real Estate Management & Development – 0.0%
 
 
                   
  400    
Forest City Enterprises, Inc., Convertible Bonds
  3.625%   10/15/11   BB-     411,040  
 
 
 
                   
 
Road & Rail – 0.0%
 
 
                   
  250    
CSX Corporation
  0.000%   10/30/21   BBB-     380,000  
 
 
 
                   
 
Semiconductors & Equipment – 0.5%
 
 
                   
  500    
Advanced Micro Devices Inc., Convertible Bond
  5.750%   8/15/12   B     516,250  
  1,000    
Advanced Micro Devices, Inc., Convertible Bonds
  6.000%   5/01/15   B     903,750  
  1,750    
Intel Corporation, Convertible Bond
  2.950%   12/15/35   A-     1,820,000  
  1,250    
Micron Technology, Inc.
  1.875%   6/01/14   BB-     1,223,438  
  250    
ON Semiconductor Corporation, Convertible Bonds
  0.000%   4/15/24   B     342,188  
  500    
ON Semiconductor Corporation
  2.625%   12/15/26   B     693,750  
  750    
Xilinx Inc., Convertible Bond, 144A
  3.125%   3/15/37   BB     735,000  
 
  6,000    
Total Semiconductors & Equipment
                6,234,376  
 
 
 
                   
 
Software – 0.1%
 
 
                   
  250    
Amdocs Limited
  0.500%   3/15/24   BBB-     264,375  
  250    
Computer Associates International Inc., Convertible Bond, Series 144A
  1.625%   12/15/09   Ba1     336,563  
  500    
Red Hat Inc., Convertible Bond
  0.500%   1/15/24   B+     505,625  
 
  1,000    
Total Software
                1,106,563  
 
 
 
                   
 
Specialty Retail – 0.1%
 
 
                   
  750    
TJX Companies, Inc.
  0.000%   2/13/21   A-     735,938  
  500    
United Auto Group, Inc., Convertible Bonds
  3.500%   4/01/26   B     528,750  
 
  1,250    
Total Specialty Retail
                1,264,688  
 
 
 
                   
 
Textiles, Apparel & Luxury Goods – 0.0%
 
 
                   
  250    
Iconix Brand Group, Inc.
  1.875%   6/30/12   B-     270,313  
 
 
 
                   
 
Thrifts & Mortgage Finance – 0.2%
 
 
                   
  2,500    
Countrywide Financial Corporation, Convertible Bonds, 144A
  1.860%   4/15/37   A     2,294,000  
 
 
 
                   
 
Wireless Telecommunication Services – 0.1%
 
 
                   
  400    
American Tower Corporation
  3.000%   8/15/12   BB+     868,000  
  1,150    
Liberty Media Corporation Convertible Bonds
  3.750%   2/15/30   BB+     672,750  
 
  1,550    
Total Wireless Telecommunication Services
                1,540,750  
 
$ 122,005    
Total Convertible Bonds (cost $131,777,954)
                136,287,380  
 


Table of Contents

                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity   Ratings (3)   Value  
 
 
 
                   
 
Corporate Bonds – 9.4% (6.0% of Total Investments)
 
 
                   
 
Aerospace & Defense – 0.1%
 
 
                   
$ 1,000    
Hexcel Corporation, Term Loan
  6.750%   2/01/15   B+   $ 992,500  
 
 
 
                   
 
Auto Components – 0.0%
 
 
                   
  500    
Keystone Automotive Operations Inc.
  9.750%   11/01/13   CCC+     410,000  
 
 
 
                   
 
Chemicals – 0.2%
 
 
                   
  1,000    
Nell AF Sarl
  8.375%   8/15/15   B     917,500  
  1,500    
Rockwood Specialties Group Inc., Series WI
  7.500%   11/15/14   B-     1,503,750  
 
  2,500    
Total Chemicals
                2,421,250  
 
 
 
                   
 
Commercial Services & Supplies – 0.0%
 
 
                   
  600    
Williams Scotsman Inc.
  8.500%   10/01/15   B+     663,000  
 
 
 
                   
 
Containers & Packaging – 0.3%
 
 
                   
  2,000    
Owens-Brockway Glass Containers, Guaranteed Senior Note
  8.250%   5/15/13   B     2,080,000  
  2,000    
Owens-Illinois Inc.
  7.800%   5/15/18   B     1,980,000  
 
  4,000    
Total Containers & Packaging
                4,060,000  
 
 
 
                   
 
Diversified Telecommunication Services – 0.2%
 
 
                   
  2,000    
Intelsat Subsidiary Holding Company Limited
  8.500%   1/15/13   B     2,040,000  
 
 
 
                   
 
Electric Utilities – 0.1%
 
 
                   
  500    
Mirant North America LLC
  7.375%   12/31/13   B2     510,000  
  1,000    
Sierra Pacific Resources, Series 2006
  6.750%   8/15/17   B1     988,750  
 
  1,500    
Total Electric Utilities
                1,498,750  
 
 
 
                   
 
Energy Equipment & Services – 0.1%
 
 
                   
  1,500    
Pride International Inc.
  7.375%   7/15/14   Ba2     1,545,000  
 
 
 
                   
 
Food & Staples Retailing – 0.2%
 
 
                   
  2,000    
Stater Brothers Holdings Inc.
  8.125%   6/15/12   B+     2,047,500  
 
 
 
                   
 
Food Products – 0.2%
 
 
                   
  2,243    
Dole Foods Company
  7.875%   7/15/13   B-     2,198,140  
 
 
 
                   
 
Health Care Providers & Services – 0.5%
 
 
                   
  2,000    
Community Health Systems, Inc.
  8.875%   7/15/15   B-     2,065,000  
  700    
HCA Inc.
  9.125%   11/15/14   BB-     740,250  
  700    
HCA Inc.
  9.250%   11/15/16   BB-     745,500  
  2,500    
U.S. Oncology Inc.
  10.750%   8/15/14   B3     2,593,750  
 
  5,900    
Total Health Care Providers & Services
                6,144,500  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 1.5%
 
 
                   
  2,000    
Boyd Gaming Corporation
  7.750%   12/15/12   Ba3     2,065,000  
  1,500    
Herbst Gaming Inc.
  7.000%   11/15/14   B-     1,237,500  
  1,400    
Jacobs Entertainment Inc.
  9.750%   6/15/14   B-     1,400,000  
  2,000    
Landry’s Restaurants Inc., Series B
  7.500%   12/15/14   B3     2,000,000  
  1,600    
Park Place Entertainment
  8.125%   5/15/11   Ba1     1,640,000  
  2,500    
Park Place Entertainment
  7.000%   4/15/13   Baa3     2,609,235  
  2,000    
Pinnacle Entertainment Inc.
  8.250%   3/15/12   B-     2,035,000  
  750    
Pinnacle Entertainment Inc.
  8.750%   10/01/13   B-     776,250  
  1,750    
Seminole Hard Rock Entertainment, Inc.
  8.220%   3/15/14   BB     1,717,188  
  4,000    
Universal City Development Partners
  11.750%   4/01/10   B1     4,190,000  
 
  19,500    
Total Hotels, Restaurants & Leisure
                19,670,173  
 
 
 
                   
 
Household Products – 0.1%
 
 
                   
  1,650    
Central Garden & Pet Company
  9.125%   2/01/13   B     1,555,125  
 
 
 
                   
 
Independent Power Producers & Energy Traders – 0.1%
 
 
                   
  400    
NRG Energy Inc.
  7.250%   2/01/14   B1     402,000  
  400    
NRG Energy Inc.
  7.375%   2/01/16   B1     402,000  
 
  800    
Total Independent Power Producers & Energy Traders
                804,000  
 
 
Insurance –0.7%
                   
  9,900    
Progressive Corporation
  6.700%       A2     9,621,652  
 
 
 
                   
 
IT Services – 0.5%
 
 
                   
  1,625    
Global Cash Access LLC
  8.750%   3/15/12   B-     1,690,000  
  4,750    
Sungard Data Systems Inc.
  9.125%   8/15/13   B-     4,963,750  
 
  6,375    
Total IT Services
                6,653,750  
 
 
 
                   
 
Machinery – 0.1%
 
 
                   
  2,000    
Greenbrier Companies, Inc.
  8.375%   5/15/15   B+     2,005,000  
 
 
 
                   
 
Media – 1.8%
 
 
                   
  4,000    
Allbritton Communications Company, Series B
  7.750%   12/15/12   B1     4,060,000  
  1,000    
Cablevision Systems Corporation, Series B
  8.125%   8/15/09   B+     1,020,000  
  5,000    
Cablevision Systems Corporation
  7.250%   7/15/08   B+     5,025,000  
  2,000    
Charter Communications Operating LLC, 144A
  8.000%   4/30/12   B+     2,000,000  
  1,975    
Medianews Group Inc.
  6.375%   4/01/14   B     1,471,375  
  1,950    
Panamsat Corporation
  9.000%   8/15/14   B2     2,018,250  
  4,550    
Vertis Inc.
  9.750%   4/01/09   B1     4,641,000  
  4,000    
Young Broadcasting Inc., Senior Subordinated Note
  10.000%   3/01/11   Caa1     3,710,000  
 
  24,475    
Total Media
                23,945,625  
 
 
 
                   
 
Multi-Utilities – 0.2%
 
 
                   
  1,400    
Bon-Ton Department Stores Inc.
  10.250%   3/15/14   B-     1,316,000  
  1,600    
Dynegy Holdings Inc.
  8.375%   5/01/16   B2     1,616,000  
 
  3,000    
Total Multi-Utilities
                2,932,000  
 
 
 
                   
 
Oil, Gas & Consumable Fuels – 0.7%
 
 
                   
  2,400    
Baytex Energy Ltd
  9.625%   7/15/10   B-     2,484,000  
  400    
Chaparral Energy Inc.
  8.500%   12/01/15   CCC+     377,000  
  2,345    
Chesapeake Energy Corporation
  7.750%   1/15/15   BB     2,424,144  
  1,000    
Hilcorp Energy I LP/Hilcorp Finance Company, Series 144A
  7.750%   11/01/15   B     982,500  
  2,000    
SemGroup LP, 144A
  8.750%   11/15/15   B1     1,965,000  
  1,000    
Whiting Petroleum Corporation
  7.000%   2/01/14   B1     965,000  
 
  9,145    
Total Oil, Gas & Consumable Fuels
                9,197,644  
 
 
 
                   
 
Paper & Forest Products – 0.5%
 
 
                   
  5,000    
Georgia-Pacific Corporation
  8.125%   5/15/11   B     5,100,000  
  2,000    
Georgia-Pacific Corporation
  7.700%   6/15/15   B     2,000,000  
 
  7,000    
Total Paper & Forest Products
                7,100,000  
 
 
 
                   
 
Personal Products – 0.1%
 
 
                   
  1,500    
Prestige Brands Inc.
  9.250%   4/15/12   B-     1,522,500  
 
 
 
                   
 
Real Estate – 0.3%
 
 
                   
  3,000    
Felcor Lodging Trust Inc., 144A
  0.000%   12/01/11   Ba3     2,992,500  
  1,000    
Trustreet Properties, Inc.
  7.500%   4/01/15   AAA     1,072,585  
  500    
Ventas Realty LP, Series WI
  7.125%   6/01/15   BB+     512,500  
 
  4,500    
Total Real Estate
                4,577,585  
 
 
 
                   
 
Semiconductors & Equipment – 0.3%
 
 
                   
  1,600    
Avago Technologies Finance Pte Limited
  10.375%   12/01/13   B     1,728,000  
  2,000    
NXP BV
  8.110%   10/15/13   BB     1,865,000  
 
  3,600    
Total Semiconductors & Equipment
                3,593,000  
 
 
 
                   
 
Software – 0.1%
 
 
                   
  2,000    
Telcorida Technologies, Inc.
  9.396%   7/15/12   B     1,875,000  
 
 
 
                   
 
Specialty Retail – 0.2%
 
 
                   
  3,000    
Warnaco Inc., Senior Notes
  8.875%   6/15/13   BB-     3,157,500  
 
 
 
                   
 
Textiles, Apparel & Luxury Goods – 0.2%
 
 
                   
  3,000    
Jostens IH Corporation
  7.625%   10/01/12   B1     3,067,500  
 
 
 
                   
 
Wireless Telecommunication Services – 0.1%
 
 
                   
  1,500    
IPCS, Inc.
  7.485%   5/01/13   B1     1,462,500  
 
$ 126,688    
Total Corporate Bonds (cost $128,882,721)
                126,761,194  
 


Table of Contents

                             
Principal
Amount (000)/
Shares
    Description (1)   Coupon   Maturity   Ratings (3)   Value  
 
 
 
                   
 
Capital Preferred Securities – 27.6% (17.8% of Total Investments)
 
 
                   
 
Capital Markets – 3.8%
 
 
                   
  1,250    
C.A. Preferred Fund Trust II
  7.000%   10/30/49   A1   $ 1,234,545  
  26,000    
C.A. Preferred Funding Trust
  7.000%   1/30/49   A1     25,614,862  
  10,700    
Dresdner Funding Trust I, 144A
  8.151%   6/30/31   A1     11,637,427  
  1,600    
Kleinwort Benson Group PLC
  5.848%   12/31/99   NA     1,367,512  
  1,600    
MUFG Capital Finance 2
  4.850%   7/25/56   BBB+     2,020,559  
  8,000    
UBS Preferred Funding Trust I
  8.622%   10/29/49   Aa2     8,694,248  
 
       
Total Capital Markets
                50,569,153  
   
 
 
                   
 
Commercial Banks – 16.3%
 
 
                   
  3,000    
AB Svensk Exportkredit, 144A
  6.375%   10/27/49   AA-     2,974,068  
  9,500    
Abbey National Capital Trust I
  8.963%   6/30/50   A+     11,626,376  
  2,155    
AgFirst Farm Credit Bank
  8.393%   12/15/16   A-     2,326,760  
  6,500    
AgFirst Farm Credit Bank
  7.300%   12/15/53   A-     6,408,721  
  3,000    
Bank One Capital III
  8.750%   9/01/30   Aa3     3,589,551  
  2,000    
BanPonce Trust I, Series A
  8.327%   2/01/27   A3     2,083,260  
  13,030    
Barclays Bank PLC, 144A
  8.550%   6/15/49   Aa3     14,100,206  
  1,500    
Barclays Bank PLC
  7.434%   12/15/57   Aa3     1,596,887  
  2,200    
BBVA International Perferred SA, Unipersonal
  5.919%   10/18/49   A1     1,972,157  
  700    
Capital One Capital IV Corporation
  6.745%   2/17/37   Baa1     625,976  
  8,000    
CBG Florida REIT Corporation
  7.114%   11/15/49   Baa3     7,732,528  
  3,000    
Centura Capital Trust I, 144A
  8.845%   6/01/27   A2     3,139,713  
  1,500    
DBS Capital Funding Corporation, 144A
  7.657%   3/15/49   Aa3     1,610,763  
  1,400    
Den Norske Bank, 144A
  7.729%   6/29/49   Aa3     1,482,011  
  6,200    
First Empire Capital Trust I
  8.234%   2/01/27   A3     6,466,495  
  2,000    
First Midwest Bancorp Inc.
  6.950%   12/01/33   Baa1     2,072,920  
  1,800    
HBOS Capital Funding LP, Notes
  6.850%   3/23/49   A1     1,719,158  
  16,200    
HBOS PLC, Series 144A
  6.413%   4/01/49   A1     14,384,336  
  2,400    
HSBC Capital Funding LP, 144A
  9.547%   12/31/49   A1     2,633,273  
  5,750    
HSBC Capital Funding LP, Debt
  10.176%   6/30/50   A1     7,719,617  
  11,000    
KBC Bank Fund Trust III, 144A
  9.860%   5/02/50   A1     12,060,939  
  6,800    
Lloyds TSB Bank PLC, Subordinated Note
  6.900%   11/22/49   Aa2     6,783,245  
  11,500    
Mizuho Financial Group
  8.375%   4/27/49   Aa3     11,981,689  
  5,000    
NB Capital Trust IV
  8.250%   4/15/27   Aa3     5,203,700  
  8,000    
North Fork Capital Trust II
  8.000%   12/15/27   Baa1     8,345,056  
  3,000    
Northgroup Preferred Capital Corporation, 144A
  6.378%   10/15/57   A1     2,794,806  
  600    
Reliance Capital Trust I, Series B
  8.170%   5/01/28   N/R     632,938  
  2,000    
Royal Bank of Scotland Group PLC, Series U, WI/DD
  0.000%   3/31/49   A1     2,090,000  
  2,500    
Shinsei Finance II Cayman Limited, Perpetual Maturity, 144A
  7.160%   7/25/49   Baa2     2,226,563  
  8,000    
Sparebanken Rogaland, Notes, 144A
  6.443%   5/01/49   A2     7,774,288  
  4,000    
Standard Chartered PLC, 144A
  7.014%   1/30/58   BBB+     3,808,664  
  9,450    
Swedbank ForeningsSparbanken AB, 144A
  9.000%   9/17/50   Aa3     10,208,259  
  4,000    
Unicredito Italiano Capital Trust, 144A
  9.200%   4/05/51   A1     4,374,452  
  800    
Union Bank of Norway
  7.068%   11/19/49   A2     1,210,814  
     
Union Planters Preferred Fund, 144A
  7.750%   7/15/53   A2     32,840,625  
  14,200    
Washington Mutual Preferred Funding Cayman, Series A-1, 144A
  7.250%   3/15/49   Baa1     12,635,870  
 
       
Total Commercial Banks
                221,236,684  
   
 
 
                   
 
Diversified Financial Services – 1.2%
 
 
                   
  3,100    
Fulton Capital Trust I
  6.290%   2/01/36   A3     2,923,198  
  10,400    
JPMorgan Chase Capital Trust XVIII
  6.950%   8/17/36   Aa3     10,254,847  
  2,800    
Old Mutual Capital Funding, Notes
  8.000%   6/22/53   Baa2     2,848,720  
 
       
Total Diversified Financial Services
                16,026,765  
   
 
 
                   
 
Diversified Telecommunication Services – 0.8%
 
 
                   
  10    
Centaur Funding Corporation, Series B, 144A
  9.080%   4/21/20   BBB     11,083,386  
 
 
 
                   
 
Insurance – 4.6%
 
 
                   
  2,300    
American General Capital II
  8.500%   7/01/30   Aa3     2,837,970  
  2,300    
American International Group, Inc.
  6.250%   3/15/37   Aa3     2,172,375  
  13,000    
AXA SA, 144A
  6.463%   12/14/49   BBB+     12,031,630  
  2,000    
Liberty Mutual Group
  7.800%   3/15/37   Baa3     1,951,914  
  5,700    
MetLife Inc.
  6.400%   12/15/66   BBB+     5,437,196  
  1,150    
Nationwide Financial Services Capital Trust
  7.899%   3/01/37   Baa1     1,276,040  
  6,600    
Nationwide Financial Services Inc.
  6.750%   5/15/67   Baa1     6,383,936  
  5,500    
Oil Insurance Limited, 144A
  7.558%   12/30/49   Baa1     5,622,117  
  1,100    
Prudential PLC
  6.500%   6/29/49   A     1,037,643  
  9,900    
QBE Capital Funding Trust II, 144A
  0.000%   6/01/49   BBB     9,724,552  
  14,600    
XL Capital, Limited
  6.500%   10/15/57   BBB     13,660,359  
 
       
Total Insurance
                62,135,732  
   
 
 
                   
 
Oil, Gas & Consumable Fuels – 0.4%
 
 
                   
  6,110    
KN Capital Trust III
  7.630%   4/15/28   B1     5,499,287  
 
 
 
                   
 
Road & Rail – 0.4%
 
 
                   
  6,400    
Burlington Northern Santa Fe Funding Trust I
  6.613%   12/15/55   BBB     5,788,429  
 
 
 
                   
 
Thrifts & Mortgage Finance – 0.1%
 
 
                   
  1,500    
Washington Mutual Preferred Funding Trust II
  6.665%   3/15/57   Baa1     1,294,844  
 
       
Total Capital Preferred Securities (cost $389,472,627)
                373,634,280  
   
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Investment Companies – 2.4% (1.5% of Total Investments)
 
 
                   
  65,094    
Blackrock Preferred and Corporate Income Strategies Fund
              $ 1,172,994  
  441,510    
Blackrock Preferred Income Strategies Fund
                7,792,652  
  57,893    
Blackrock Preferred Opportunity Trust
                1,196,648  
  542,663    
Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.
                9,887,320  
  110,426    
Flaherty and Crumrine/Claymore Total Return Fund Inc.
                2,053,924  
  388,926    
John Hancock Preferred Income Fund III
                7,840,748  
  52,411    
John Hancock Preferred Income Fund II
                1,154,614  
  50,586    
John Hancock Preferred Income Fund
                1,119,468  
 
 
Total Investment Companies (cost $35,406,896)
                32,218,368  
   
                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity       Value  
 
 
 
                   
 
Short-Term Investments – 7.8% (5.0% of Total Investments)
 
 
                   
 
U.S. Government and Agency Obligations – 0.6%
 
 
                   
$ 8,000    
United States of America Treasury Bills
  4.860%   1/10/08       $ 7,891,257  
 
 
 
                   
 
Repurchase Agreements – 7.2%
                   
  55,262    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/07, repurchase price $55,279,415, collateralized by: $42,990,000 U.S. Treasury Bonds, 7.250%, due 8/15/22, value $54,221,138, $2,025,000 U.S. Treasury Bonds, 5.250%, due 2/15/29, value $2,146,500
  3.750%   10/01/07         55,262,146  
  42,579    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/07, repurchase price $42,592,289 collateralized by $43,925,000 U.S. Treasury Bonds, 4.000%, due 2/15/14, value $43,430,844
  3.750%   10/01/07         42,578,983  
   
  97,841    
Total Repurchase Agreements
                97,841,129  
 
$ 105,841    
Total Short-Term Investments (cost $105,732,386)
                105,732,386  
 
 
Total Investments (cost $2,129,340,802) – 155.0
                2,100,240,216  
   
                             
Shares     Description               Value  
 
 
 
                   
 
Common Stocks Sold Short – (0.6)%
 
 
                   
 
Health Care Equipment & Supplies – (0.1)%
 
 
                   
  (8,000 )  
Alcon Inc.
              $ (1,151,360 )
 
 
 
                   
 
Internet Software & Services – (0.1)%
                   
 
 
                   
  (23,200 )  
Bankrate Inc., (2)
                (1,069,984 )
 
 
 
                   
 
Multiline Retail – (0.0)%
                   
 
 
                   
  (11,200 )  
Kohl’s Corporation, (2)
                (642,096 )
 
 
 
                   
 
Pharmaceuticals – (0.2)%
                   
 
 
                   
  (19,800 )  
Allergan, Inc.
                (1,276,506 )
  (32,100 )  
Merck & Co. Inc.
                (1,659,249 )
 
 
Total Pharmaceuticals
                (2,935,755 )
   
 
 
                   
 
Specialty Retail – (0.1)%
                   
 
 
                   
  (8,600 )  
AutoZone, Inc., (2)
                (998,804 )
 
 
 
                   
 
Textiles, Apparel & Luxury Goods – (0.1)%
                   
 
 
                   
  (22,900 )  
Coach, Inc., (2)
                (1,082,483 )
 
 
 
                   
 
Thrifts & Mortgage Finance – (0.0)%
                   
 
 
                   
  (200 )  
FirstFed Financial Corporation, (2)
                (9,910 )
 
 
Total Common Stocks Sold Short (proceeds $8,171,712)
                (7,890,392 )
   
                                     
            Notional     Expiration   Strike        
Contracts     Type   Amount (6)     Date   Price     Value  
 
 
 
                           
 
Call Options Written – (0.6)% (7)
                           
 
 
                           
  777    
AGCO Corporation
  3,108,000     1/19/08   40.0     (936,285 )
  2,100    
Allied Waste Industries
    2,625,000     1/19/08     12.5       (231,000 )
  1,175    
Allied Waste Industries
    1,468,750     1/19/08     12.5       (129,250 )
  330    
Ameren Corporation
    1,650,000     12/22/07     50.0       (118,800 )
  330    
Amgen, Inc.
    1,897,500     1/19/08     57.5       (102,300 )
  249    
Amgen, Inc.
    1,245,000     4/19/08