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 and Growth Fund
(Exact name of registrant as specified in charter)
     333 West Wacker Drive, Chicago, Illinois 60606     
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy—Vice President and Secretary
     333 West Wacker Drive, Chicago, Illinois 60606     
(Name and address of agent for service)
Registrant’s telephone number, including area code:      312-917-7700     
Date of fiscal year end:        12/31      
Date of reporting period:    3/31/2008   
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)
March 31, 2008
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Common Stocks – 39.5% (24.4% of Total Investments)
 
 
                   
 
Aerospace & Defense – 0.6%
 
 
                   
  22,110    
Boeing Company
              $ 1,644,321  
  12,930    
Finmeccanica S.p.A
                440,264  
  11,836    
Lockheed Martin Corporation
                1,175,315  
  8,890    
Orbital Sciences Corporation, (2)
                214,249  
  43,900    
Thales S.A.
                2,841,402  
  12,210    
United Technologies Corporation
                840,292  
 
 
Total Aerospace & Defense
                7,155,843  
         
 
 
                   
 
Airlines – 0.1%
 
 
                   
  42,100    
Lufthansa AG
                1,140,099  
  1,810    
Ryanair Holdings PLC, (2)
                51,187  
 
 
Total Airlines
                1,191,286  
         
 
 
                   
 
Auto Components – 0.3%
 
 
                   
  40,810    
Aisin Seiki Company Limited
                1,539,099  
  9,060    
Cooper Tire & Rubber
                135,628  
  13,430    
Johnson Controls, Inc.
                453,934  
  24,730    
Magna International Inc., Class A
                1,784,270  
 
 
Total Auto Components
                3,912,931  
         
 
 
                   
 
Automobiles – 0.6%
 
 
                   
  24,530    
Daimler-Chrysler AG
                2,098,542  
  37,160    
Honda Motor Company Limited
                1,070,580  
  1,140    
S.A. D’Ieteren N.V.
                405,190  
  18,340    
Toyota Motor Corporation
                1,850,323  
  1,720    
Volkswagen AG
                100,242  
  70,300    
Yamaha Motor Company Limited
                1,306,525  
 
 
Total Automobiles
                6,831,402  
         
 
 
                   
 
Beverages – 1.3%
 
 
                   
  1,490    
Boston Beer Company, (2)
                70,835  
  99,780    
Coca-Cola Amatil Limited
                776,575  
  52,780    
Coca-Cola Company
                3,212,719  
  37,770    
Coca-Cola Enterprises Inc.
                914,034  
  18,970    
Diageo PLC, Sponsored ADR
                1,542,640  
  47,380    
Fomento Economico Mexicano S.A.
                1,979,536  
  66,280    
Heineken N.V.
                3,849,497  
  22,840    
Molson Coors Brewing Company, Class B
                1,200,699  
  29,970    
Pepsi Bottling Group, Inc.
                1,016,283  
  41,410    
SABMiller PLC
                908,220  
 
 
Total Beverages
                15,471,038  
         
 
 
                   
 
Biotechnology – 0.7%
 
 
                   
  2,332    
Abraxis Bioscience Inc., (2)
                137,775  
  69,500    
Amgen Inc., (2), (11)
                2,903,710  
  17,050    
Cephalon, Inc., (2)
                1,098,020  
  7,150    
Genentech, Inc., (2)
                580,437  
  22,760    
Genzyme Corporation, (2)
                1,696,530  
  5,490    
Invitrogen Corporation, (2)
                469,230  
  13,880    
Novo-Nordisk A/S
                961,051  
 
 
Total Biotechnology
                7,846,753  
         
 
 
                   
 
Building Products – 0.1%
 
 
                   
  207,110    
Sonae Industria-SPGS S.A., (2)
                1,439,183  
 
 
 
                   
 
Capital Markets – 1.0%
 
 
                   
  6,790    
Ameriprise Financial, Inc.
                352,062  
  188,000    
Babcock & Brown Limited
                2,548,278  
  36,630    
Bank of New York Company, Inc.
                1,528,570  
  12,410    
BGC Partners, Inc.
                144,700  
  1,990    
BlackRock Inc.
                406,318  
  11,340    
Calamos Asset Management, Inc. Class A
                184,615  
  30,030    
Credit Suisse Group
                1,527,926  
  12,290    
Credit Suisse Group
                625,781  
  27,470    
Invesco LTD
                669,169  
  25,030    
JPMorgan Chase & Co.
                1,075,039  
  11,310    
SEI Investments Company
                279,244  
  7,940    
State Street Corporation
                627,260  
  78,500    
UBS AG, (11)
                2,260,800  
 
 
Total Capital Markets
                12,229,762  
         
 
 
                   
 
Chemicals – 1.3%
 
 
                   
  11,600    
Air Products & Chemicals Inc.
                1,067,200  
  620    
Bayer AG
                49,907  
  2,500    
CF Industries Holdings, Inc.
                259,050  
  7,910    
Eastman Chemical Company
                493,980  
  4,880    
Lubrizol Corporation
                270,889  
  207,300    
Mitsui Chemicals
                1,389,858  
  38,540    
Mosaic Company, (2)
                3,954,204  
  335,480    
Nissan Chemical Industries Limited
                3,574,473  
  280    
Potash Corporation of Saskatchewan
                43,459  
  16,640    
Potash Corporation of Saskatchewan
                2,585,689  
  24,960    
Shin-Etsu Chemical Company Limited
                1,299,686  
  7,310    
Terra Industries, Inc., (2)
                259,724  
 
 
Total Chemicals
                15,248,119  
         
 
 
                   
 
Commercial Banks – 2.3%
 
 
                   
  800    
Allied Irish Banks
                34,544  
  14,880    
Allied Irish Banks
                317,263  
  77,570    
Allinaz S.E.
                1,525,026  
  1,500    
Banco Bilbao Vizcaya Argentaria S.A.
                32,985  
  1,530    
Banco Bradesco S.A., ADR
                42,473  
  1,860    
Banco Itau Holdings Financeira, S.A.
                42,334  
  40,640    
Banco Santander Central S.A.
                810,362  
  24,090    
Bank of Montreal
                1,079,473  
  1,510    
Barclays PLC
                54,662  
  22,020    
BB&T Corporation
                705,961  
  25,720    
BNP Paribas S.A.
                2,593,403  
  6,820    
Comerica Incorporated
                239,246  
  9,490    
Community Bank System Inc.
                233,074  
  31,950    
Credit Agricole S.A.
                987,824  
  246,750    
DnB NOR ASA
                3,767,055  
  111,360    
Hang Seng Bank
                2,027,449  
  34,900    
ICICI Bank Limited, ADR
                1,332,831  
  17,430    
Kookmin Bank
                976,952  
  23,880    
Lloyds TSB Group PLC, Sponsored ADR
                857,292  
  13,620    
Marshall and Ilsley Corporation
                315,984  
  2,600    
National Bank of Greece S.A.
                136,882  
  29,940    
National Bank of Greece S.A.
                316,166  
  859,260    
Nishi-Nippon City Bank Limited
                2,275,348  
  22,830    
Northern Trust Corporation
                1,517,510  
  9,830    
PNC Financial Services Group, Inc.
                644,553  
  4,410    
Prosperity Bancshares, Inc.
                126,391  
  154,690    
Royal Bank of Scotland, PLC
                1,036,297  
  46,010    
Standard Chartered PLC
                1,573,342  
  4,540    
SVB Financial Group, (2)
                198,126  
  20,920    
Sydbank A/S
                764,495  
  5,250    
UMB Financial Corporation
                216,300  
 
 
Total Commercial Banks
                26,781,603  
         
 
 
                   
 
Commercial Services & Supplies – 0.8%
 
 
                   
  327,800    
Allied Waste Industries, Inc., (2), (11)
                3,543,518  
  2,246    
Consolidated Graphics Inc., (2)
                125,888  
  1,850    
Dun and Bradstreet Inc.
                150,553  
  208,260    
Michael Page International PLC
                1,250,581  
  26,410    
Randstad Holding N.V.
                1,236,738  
  293,300    
Toppan Printing Company Limited
                3,429,926  
 
 
Total Commercial Services & Supplies
                9,737,204  
         
 
 
                   
 
Communications Equipment – 0.9%
 
 
                   
  4,380    
Comtech Telecom Corporation, (2)
                170,820  
  96,460    
Corning Incorporated
                2,318,898  
  6,330    
Interdigital Inc., (2)
                125,397  
  85,000    
LM Ericsson Telefonaktiebolaget, (11)
                1,670,250  
  79,430    
Nokia Oyj, Sponsored ADR
                2,528,257  
  75,230    
QUALCOMM Inc.
                3,084,430  
  6,470    
Tandberg ASA
                97,590  
 
 
Total Communications Equipment
                9,995,642  
         
 
 
                   
 
Computers & Peripherals – 0.8%
 
 
                   
  22,461    
Apple, Inc., (2)
                3,223,154  
  72,610    
Hewlett-Packard Company
                3,315,373  
  7,940    
International Business Machines Corporation (IBM)
                914,212  
  7,950    
NCR Corporation, (2)
                181,499  
  85,013    
Network Appliance Inc., (2)
                1,704,511  
  7,950    
Teradata Corporation, (2)
                175,377  
 
 
Total Computers & Peripherals
                9,514,126  
         
 
 
                   
 
Construction & Engineering – 0.7%
 
 
                   
  315,280    
AMEC PLC
                4,528,379  
  9,140    
Fluor Corporation
                1,290,202  
  151,790    
JGC Corporation
                2,329,425  
  4,900    
Perini Corporation, (2)
                177,527  
 
 
Total Construction & Engineering
                8,325,533  
         
 
 
                   
 
Consumer Finance – 0.3%
 
 
                   
  9,130    
MasterCard, Inc.
                2,035,899  
  48,840    
Western Union Company
                1,038,827  
 
 
Total Consumer Finance
                3,074,726  
         
 
 
                   
 
Containers & Packaging – 0.1%
 
 
                   
  10,400    
Owens-Illinois, Inc., (2)
                586,872  
 
 
 
                   
 
Distributors – 0.1%
 
 
                   
  82,910    
Jardine Cycle & Carriage Limited
                1,186,960  
 
 
 
                   
 
Diversified Consumer Services – 0.0%
 
 
                   
  2,320    
Apollo Group, Inc., (2)
                100,224  
  2,820    
ITT Educational Services, Inc., (2)
                129,523  
 
 
Total Diversified Consumer Services
                229,747  
         
 
 
                   
 
Diversified Financial Services – 0.6%
 
 
                   
  60,440    
Citigroup Inc.
                1,294,625  
  21,380    
Deutsche Boerse AG
                3,445,741  
  16,690    
Eaton Vance Corporation
                509,212  
  22,820    
ING Group N.V.
                852,783  
  13,430    
Nasdaq Stock Market, Inc., (2)
                519,204  
 
 
Total Diversified Financial Services
                6,621,565  
         
 
 
                   
 
Diversified Telecommunication Services – 1.7%
 
 
                   
  36,630    
AT&T Inc.
                1,402,929  
  390    
Brasil Telecom
                25,529  
  7,160    
Cbeyond Inc., (2)
                134,536  
  1,509    
Chunghwa Telecom Co., Ltd., Sponsored ADR
                39,688  
  21,180    
France Telecom S.A.
                711,224  
  105,430    
KT Corporation, Sponsored ADR, (11)
                2,503,963  
  389,300    
Nippon Telegraph and Telephone Corporation, ADR, (11)
                8,440,024  
  59,090    
Telecom Argentina S.A., (2)
                1,251,526  
  455,000    
Telecom Italia S.p.A.
                751,828  
  24,830    
Telefonica S.A.
                2,148,043  
  54,110    
Telefonos de Mexico SA, de C.V., Series L
                2,034,536  
 
 
Total Diversified Telecommunication Services
                19,443,826  
         
 
 
                   
 
Electric Utilities – 1.8%
 
 
                   
  600    
Ameren Corporation
                26,424  
  5,800    
Black Hills Corporation
                207,524  
  263,700    
Centrais Electricas Brasileiras S.A., ADR
                3,823,149  
  40,440    
E.ON A.G.
                2,522,210  
  32,310    
Edison International
                1,583,836  
  8,760    
El Paso Electric Company, (2)
                187,201  
  15,260    
FPL Group, Inc.
                957,412  
  100,500    
IDACORP, INC
                3,227,055  
  268,500    
Korea Electric Power Corporation, Sponsored ADR
                4,038,240  
  148,600    
PNM Resources Inc.
                1,853,042  
  8,330    
Progress Energy, Inc.
                347,361  
  62,880    
Reliant Energy Inc., (2)
                1,487,112  
 
 
Total Electric Utilities
                20,260,566  
         
 
 
                   
 
Electrical Equipment – 0.4%
 
 
                   
  36,840    
ABB Limited
                992,917  
  48,740    
Emerson Electric Co.
                2,508,160  
  1,370    
First Solar Inc., (2)
                316,662  
  18,930    
Nikon Corporation
                506,652  
 
 
Total Electrical Equipment
                4,324,391  
         
 
 
                   
 
Electronic Equipment & Instruments – 0.7%
 
 
                   
  1,624    
Itron Inc., (2)
                146,534  
  73,760    
LG Philips LCD Company Limited, Sponsored ADR
                1,647,061  
  18,050    
MEMC Electronic Materials, (2)
                1,279,745  
  7,030    
Mettler-Toledo International Inc., (2)
                682,754  
  60,500    
Tech Data Corporation, (2), (11)
                1,984,400  
  3,387    
Teledyne Technologies Inc., (2)
                159,189  
  29,910    
Thermo Fisher Scientific, Inc., (2)
                1,700,084  
 
 
Total Electronic Equipment & Instruments
                7,599,767  
         
 
 
                   
 
Energy Equipment & Services – 1.3%
 
 
                   
  1,460    
Atwood Oceanics Inc., (2)
                133,911  
  231,500    
BJ Services Company, (11)
                6,600,065  
  26,660    
Cooper Cameron Corporation, (2)
                1,110,122  
  1,950    
Dawson Geophysical Company, (2)
                131,625  
  9,530    
Dresser Rand Group, Inc., (2)
                293,048  
  11,780    
FMC Technologies Inc., (2)
                670,164  
  42,390    
Global Industries, Limited, (2)
                682,055  
  7,500    
Matrix Service Company, (2)
                128,850  
  16,510    
National-Oilwell Varco Inc., (2)
                963,854  
  9,160    
Noble Corporation
                454,977  
  34,050    
Patterson-UTI Energy, Inc.
                891,429  
  10,600    
Technip S.A.
                825,706  
  9,830    
Tidewater Inc.
                541,731  
  5,080    
Transocean Inc., (2)
                686,816  
  3,860    
Trico Marine Services Inc., (2)
                150,424  
  6,760    
Unit Corporation, (2)
                382,954  
 
 
Total Energy Equipment & Services
                14,647,731  
         
 
 
                   
 
Food & Staples Retailing – 0.5%
 
 
                   
  18,600    
Casino Guichard-Perrachon S.A.
                2,229,572  
  3,290    
Koninklijke Ahold N.V., (2)
                49,004  
  111,040    
Marks and Spencer Group PLC
                854,369  
  3,470    
Nash Finch Company
                117,911  
  33,110    
Safeway Inc.
                971,779  
  26,010    
Wal-Mart Stores, Inc.
                1,370,207  
  58,780    
William Morrison Supermarkets PLC
                320,489  
 
 
Total Food & Staples Retailing
                5,913,331  
         
 
 
                   
 
Food Products – 1.9%
 
 
                   
  22,490    
ConAgra Foods, Inc.
                538,636  
  15,935    
Flowers Foods Inc.
                394,391  
  32,080    
H.J. Heinz Company
                1,506,798  
  198,950    
Jeronimo Martins SGPS
                1,600,048  
  4,550    
Monsanto Company
                507,325  
  410    
Nestle S.A.
                51,429  
  267,000    
Smithfield Foods, Inc., (2), (11)
                6,877,920  
  98,450    
Tingyi Holding Corporation
                129,751  
  481,100    
Tyson Foods, Inc., Class A, (11)
                7,673,545  
  70,840    
Unilever PLC
                2,388,725  
 
 
Total Food Products
                21,668,568  
         
 
 
                   
 
Gas Utilities – 0.5%
 
 
                   
  1,050    
BG PLC
                121,770  
  4,850    
E. ON AG
                897,376  
  25,340    
Energen Corporation
                1,578,682  
  8,030    
Equitable Resources Inc.
                472,967  
  2,640    
Gas Natural SDG
                163,114  
  40,890    
Questar Corporation
                2,312,738  
  18,780    
Spectra Energy Corporation
                427,245  
 
 
Total Gas Utilities
                5,973,892  
         
 
 
                   
 
Health Care Equipment & Supplies – 0.6%
 
 
                   
  20,050    
Alfresa Holdings Corporation
                1,591,032  
  2,230    
Analogic Corporation
                148,384  
  9,750    
Applera Corporation-Applied Biosystems Group
                320,385  
  28,090    
Baxter International Inc.
                1,624,164  
  534    
Fresenius Medical Care, ADR
                26,871  
  31,920    
Fresenius Medical Care, ADR
                1,606,348  
  109,400    
Paramount Bed Company Limited
                1,498,193  
  9,100    
Patterson Companies Inc., (2)
                330,330  
  4,172    
Surmodics Inc., (2)
                174,723  
 
 
Total Health Care Equipment & Supplies
                7,320,430  
         
 
 
                   
 
Health Care Providers & Services – 0.1%
 
 
                   
  20,284    
Express Scripts, Inc., (2)
                1,304,667  
  4,640    
Mentor Corporation
                119,341  
 
 
Total Health Care Providers & Services
                1,424,008  
         
 
 
                   
 
Hotels, Restaurants & Leisure – 0.3%
 
 
                   
  2,160    
Bally Technologies, Inc., (2)
                74,174  
  19,360    
Burger King Holdings Inc.
                535,498  
  880    
Carnival Corporation
                35,482  
  23,410    
McDonald’s Corporation
                1,305,576  
  24,360    
Royal Caribbean Cruises Limited
                801,444  
  2,680    
WMS Industries Inc., (2)
                96,400  
  7,670    
Wynn Resorts Ltd.
                771,909  
 
 
Total Hotels, Restaurants & Leisure
                3,620,483  
         
 
 
                   
 
Household Durables – 0.0%
 
 
                   
  1,480    
Desarrolladora Homex SAB de C.V., Sponsored ADR, (2)
                85,914  
  3,160    
Matsushita Electric Industrial Co., Ltd.
                68,604  
  4,540    
Tupperware Corporation
                175,607  
 
 
Total Household Durables
                330,125  
         
 
 
                   
 
Household Products – 0.4%
 
 
                   
  38,160    
Colgate-Palmolive Company
                2,973,046  
  56,000    
KAO Corporation
                1,593,425  
 
 
Total Household Products
                4,566,471  
         
 
 
                   
 
Independent Power Producers & Energy Traders – 0.1%
 
 
                   
  21,980    
NRG Energy Inc., (2)
                857,000  
 
 
 
                   
 
Industrial Conglomerates – 0.5%
 
 
                   
  19,860    
East Asiatic Co., LTD
                1,744,751  
  250,340    
Keppel Corporation
                1,822,368  
  16,460    
Siemens AG, Sponsored ADR
                1,793,152  
  3,240    
Teleflex Inc.
                154,580  
 
 
Total Industrial Conglomerates
                5,514,851  
         
 
 
                   
 
Insurance – 1.0%
 
 
                   
  750    
Aegon N.V.
                10,980  
  34,025    
AFLAC Incorporated
                2,209,924  
  7,940    
American International Group, Inc.
                343,405  
  10,140    
Amtrust Financial Services, Inc.
                164,369  
  16,480    
Aon Corporation
                662,496  
  12,930    
Arch Capital Group Limited, (2)
                887,903  
  3,940    
Aspen Insurance Holdings Limited, (2)
                103,937  
  8,550    
Axis Capital Holdings Limited
                290,529  
  254,800    
Benfield Group, Limited
                1,260,213  
  3,970    
Fairfax Financial Holdings Limited
                1,139,787  
  9,720    
HCC Insurance Holdings Inc.
                220,547  
  5,250    
Philadelphia Consolidated Holding Corporation, (2)
                169,050  
  6,550    
Power Financial Corporation
                224,045  
  8,190    
Seabright Insurance Holdings Inc., (2)
                120,639  
  23,850    
Sun Life Financial Inc.
                1,111,410  
  5,364    
Tower Group Inc.
                135,012  
  64,750    
WR Berkley Corporation
                1,792,928  
  1,280    
Zurich Financial Services AG
                403,467  
 
 
Total Insurance
                11,250,641  
         
 
 
                   
 
Internet & Catalog Retail – 0.2%
 
 
                   
  16,590    
Amazon.com, Inc., (2)
                1,182,867  
  133,350    
Home Retail Group
                692,177  
 
 
Total Internet & Catalog Retail
                1,875,044  
         
 
 
                   
 
Internet Software & Services – 0.2%
 
 
                   
  7,750    
Blue Coat Systems Inc.
                170,810  
  60,000    
eBay Inc., (2), (11)
                1,790,400  
 
 
Total Internet Software & Services
                1,961,210  
         
 
 
                   
 
IT Services – 0.3%
 
 
                   
  33,160    
Accenture Limited
                1,166,237  
  12,400    
CGI Group Inc., (2)
                131,440  
  7,120    
Convergys Corporation, (2)
                107,227  
  100,000    
Electronic Data Systems Corporation, (11)
                1,665,000  
  6,190    
Savvis Inc., (2)
                100,711  
  5,600    
TNS Inc., (2)
                115,584  
 
 
Total IT Services
                3,286,199  
         
 
 
                   
 
Leisure Equipment & Products – 0.2%
 
 
                   
  2,040    
Canon Inc.
                94,595  
  13,990    
Fuji Photo Film Co., Ltd.
                500,042  
  7,950    
FujiFilm Holdings Corporation, ADR
                282,543  
  29,290    
Hasbro, Inc.
                817,191  
  10,850    
Marvel Entertainment Inc., (2)
                290,672  
 
 
Total Leisure Equipment & Products
                1,985,043  
         
 
 
                   
 
Life Sciences Tools & Services – 0.1%
 
 
                   
  2,630    
Dionex Corporation, (2)
                202,484  
  5,470    
Illumina Inc., (2)
                415,173  
 
 
Total Life Sciences Tools & Services
                617,657  
         
 
 
                   
 
Machinery – 0.9%
 
 
                   
  57,690    
ABB Limited
                1,553,015  
  32,770    
AGCO Corporation, (2)
                1,962,268  
  7,980    
Deere & Company
                641,911  
  19,946    
Harsco Corporation
                1,104,609  
  7,860    
ITT Industries Inc.
                407,227  
  11,620    
MAN AG
                1,543,197  
  30,480    
Manitowoc Company Inc.
                1,243,584  
  156,840    
Mitsui Engineering & Shipbuilding Company Limited
                424,927  
  8,370    
Pall Corporation
                293,536  
  5,580    
Parker Hannifin Corporation
                386,527  
  7,790    
RBC Bearings Inc., (2)
                289,243  
  4,200    
Robbins & Myers, Inc.
                137,130  
 
 
Total Machinery
                9,987,174  
         
 
 
                   
 
Marine – 0.1%
 
 
                   
  181,660    
Kawasaki Kisen Kaisha Limited
                1,783,133  
 
 
 
                   
 
Media – 0.3%
 
 
                   
  54,610    
DIRECTV Group, Inc., (2)
                1,353,782  
  5,950    
Echostar Communications Corporation, (2)
                170,944  
  47,130    
Eniro AB
                343,534  
  16,220    
ProSiebensati Media AG
                350,446  
  400    
Scholastic Corporation, (2)
                12,108  
  620    
Shaw Communication Inc.
                11,272  
  7,180    
Thomson Corporation
                240,745  
  22,590    
Walt Disney Company
                708,874  
  780    
WPP Group PLC
                46,519  
 
 
Total Media
                3,238,224  
         
 
 
                   
 
Metals & Mining – 3.8%
 
 
                   
  196,300    
AngloGold Ashanti Limited, Sponsored ADR, (11)
                6,666,348  
  204,700    
Apex Silver Mines Limited, (2)
                2,480,964  
  107,500    
Barrick Gold Corporation
                4,670,875  
  12,710    
BHP Billiton PLC
                374,359  
  9,960    
BHP Billiton PLC
                585,150  
  60,500    
BHP Billiton PLC
                1,988,090  
  3,350    
Compass Minerals International, Inc.
                197,583  
  148,530    
Cookson Group
                1,959,667  
  235,600    
Crystallex International Corporation, (2)
                534,812  
  18,830    
Freeport-McMoRan Copper & Gold, Inc.
                1,811,823  
  202,500    
Gold Fields Limited, (11)
                2,800,575  
  1,504,600    
Lihir Gold Limited, (2)
                4,801,075  
  431,790    
Mitsubishi Materials
                1,895,615  
  182,300    
Newmont Mining Corporation, (11)
                8,258,190  
  188,200    
NovaGold Resources Inc., (2), (11)
                1,451,022  
  3,440    
Olympic Steel Inc.
                155,144  
  4,360    
Rio Tinto PLC, Sponsored ADR
                1,795,622  
  58,590    
SSAB Svenskt Stal AB
                1,650,143  
  5,050    
Stillwater Mining Company, (2)
                78,124  
 
 
Total Metals & Mining
                44,155,181  
         
 
 
                   
 
Multiline Retail – 0.5%
 
 
                   
  30,850    
Big Lots, Inc., (2)
                687,955  
  40,340    
Costco Wholesale Corporation
                2,620,890  
  8,610    
Dollar Tree Stores Inc., (2)
                237,550  
  116,870    
Next PLC
                2,647,417  
 
 
Total Multiline Retail
                6,193,812  
         
 
 
                   
 
Multi-Utilities – 0.1%
 
 
                   
  47,210    
National Grid Group PLC
                652,398  
 
 
 
                   
 
Oil, Gas & Consumable Fuels – 3.4%
 
 
                   
  15,500    
Arch Coal Inc.
                674,250  
  123,120    
BP Amoco PLC, (11)
                7,467,228  
  7,020    
Cabot Oil & Gas Corporation
                356,897  
  2,760    
Carrizo Oil & Gas, Inc., (2)
                163,585  
  42,640    
Chesapeake Energy Corporation
                1,967,836  
  13,170    
Chevron Corporation
                1,124,191  
  4,190    
Comstock Resources Inc., (2)
                168,857  
  20,800    
Denbury Resources Inc., (2)
                593,840  
  30,200    
Eni S.p.A., Sponsored ADR
                2,056,922  
  10,560    
EOG Resources, Inc.
                1,267,200  
  7,280    
Frontier Oil Corporation
                198,453  
  27,790    
Hess Corporation
                2,450,522  
  24,110    
Murphy Oil Corporation
                1,980,395  
  60,100    
Nexen Inc., (11)
                1,779,561  
  17,090    
Occidental Petroleum Corporation
                1,250,475  
  7,810    
Petrohawk Energy Corporation, (2)
                157,528  
  15,930    
Petroquest Energy Inc., (2)
                276,226  
  16,466    
Pioneer Drilling Company, (2)
                262,303  
  36,610    
Repsol YPF S.A.
                1,259,750  
  82,100    
Royal Dutch Shell PLC, Class B, Sponsored ADR, (11)
                5,531,898  
  72,950    
Singapore Petroleum
                360,859  
  190,269    
StatoilHydro ASA, (11)
                5,683,335  
  21,220    
Total S.A., Sponsored ADR
                1,570,492  
  6,340    
Total S.A.
                469,692  
  3,560    
Valero Energy Corporation
                174,832  
  5,850    
XTO Energy, Inc.
                361,881  
 
 
Total Oil, Gas & Consumable Fuels
                39,609,008  
         
 
 
                   
 
Paper & Forest Products – 0.3%
 
 
                   
  10,520    
Aracruz Celulose S.A.
                718,095  
  5,960    
Buckeye Technologies Inc., (2)
                66,514  
  7,020    
Potlatch Corporation
                289,715  
  9,960    
Rayonier Inc.
                432,662  
  8,400    
Stora Enso Oyj, R Shares
                97,137  
  55,050    
Votorantim Celulose e Papel S.A.
                1,569,476  
 
 
Total Paper & Forest Products
                3,173,599  
         
 
 
                   
 
Personal Products – 0.1%
 
 
                   
  17,190    
Herbalife, Limited
                816,525  
  3,400    
Oriflame Cosmetics S.A.
                226,021  
 
 
Total Personal Products
                1,042,546  
         
 
 
                   
 
Pharmaceuticals – 1.6%
 
 
                   
  17,900    
Astellas Pharma Inc.
                702,994  
  130,970    
AstraZeneca PLC
                4,975,550  
  81,770    
Daiichi Sankyo Company Limited
                2,425,818  
  27,340    
Eli Lilly and Company
                1,410,471  
  6,720    
GlaxoSmithKline PLC, ADR
                285,130  
  20,870    
H. Lundbeck A/S
                523,479  
  98,000    
Kissei Pharmaceuticals Company Limited
                2,067,838  
  20,920    
Merck & Co. Inc.
                793,914  
  2,960    
Novo Nordisk A/S
                203,693  
  189,800    
Patheon Inc., (2)
                560,275  
  32,970    
Pfizer Inc.
                690,062  
  8,450    
Pozen Inc., (2)
                87,542  
  62,010    
Sanofi-Aventis, ADR, (11)
                2,327,855  
  35,760    
Shionogi & Company Limited
                614,992  
  15,610    
Shire Pharmaceuticals Group
                302,167  
  39,640    
Warner Chilcott Limited, (2)
                713,520  
 
 
Total Pharmaceuticals
                18,685,300  
         
 
 
                   
 
Real Estate/Mortgage – 0.4%
 
 
                   
  22,200    
Annaly Capital Management Inc.
                340,104  
  6,396    
LaSalle Hotel Properties
                183,757  
  7,700    
Lexington Corporate Properties Trust
                110,957  
  6,500    
Macerich Company
                456,755  
  7,431    
SL Green Realty Corporation
                605,404  
  9,921    
Tanger Factory Outlet Centers
                381,661  
  14,953    
Taubman Centers Inc.
                779,051  
  791,417    
Wing Tai Holdings Limited
                1,268,948  
 
 
Total Real Estate/Mortgage
                4,126,637  
         
 
 
                   
 
Real Estate Management & Development – 0.0%
 
 
                   
  94,390    
New World Development Company, Limited
                232,180  
 
 
 
                   
 
Road & Rail – 0.4%
 
 
                   
  900    
Canadian National Railways Company
                43,488  
  43,010    
CSX Corporation
                2,411,571  
  18,570    
Hertz Global Holdings, Inc., (2)
                223,954  
  12,920    
Kansas City Southern Industries, (2)
                518,221  
  14,570    
Landstar System
                759,971  
  5,950    
Union Pacific Corporation
                746,011  
 
 
Total Road & Rail
                4,703,216  
         
 
 
                   
 
Semiconductors & Equipment – 0.2%
 
 
                   
  12,180    
Amkor Technology Inc., (2)
                130,326  
  6,240    
Monolithic Power Systems, Inc., (2)
                110,011  
  66,420    
National Semiconductor Corporation
                1,216,814  
  4,870    
Rubicon Technology Inc., (2)
                141,133  
  14,690    
Semtech Corporation, (2)
                210,508  
  84,930    
Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR
                872,231  
 
 
Total Semiconductors & Equipment
                2,681,023  
         
 
 
                   
 
Software – 0.7%
 
 
                   
  45,040    
Activision Inc., (2)
                1,230,042  
  38,760    
Adobe Systems Incorporated, (2)
                1,379,468  
  6,510    
Ansys Inc., (2)
                224,725  
  42,780    
Autodesk, Inc., (2)
                1,346,714  
  5,838    
Blackbaud, Inc.
                141,747  
  5,690    
Blackboard, Inc., (2)
                189,648  
  46,000    
Microsoft Corporation, (11)
                1,305,480  
  20,950    
Salesforce.com, Inc., (2)
                1,212,377  
  5,640    
SPSS Inc., (2)
                218,719  
  56,560    
Symantec Corporation, (2)
                940,027  
 
 
Total Software
                8,188,947  
         
 
 
                   
 
Specialty Retail – 0.3%
 
 
                   
  6,235    
Aeropostale, Inc., (2)
                169,031  
  12,810    
GameStop Corporation, (2)
                662,405  
  18,320    
Gap, Inc.
                360,538  
  2,610    
Hennes & Mauritz AB
                160,669  
  4,520    
J. Crew Group Inc., (2)
                199,648  
  10,070    
NetFlix.com Inc., (2)
                348,926  
  540    
Sony Corporation
                21,638  
  42,910    
TJX Companies, Inc.
                1,419,034  
 
 
Total Specialty Retail
                3,341,889  
         
 
 
                   
 
Textiles, Apparel & Luxury Goods – 0.1%
 
 
                   
  2,030    
Deckers Outdoor Corporation, (2)
                218,875  
  620    
Gildan Activewear Inc, Sponsored ADR, (2)
                23,163  
  14,258    
Guess Inc.
                577,021  
 
 
Total Textiles, Apparel & Luxury Goods
                819,059  
         
 
 
                   
 
Thrifts & Mortgage Finance – 0.2%
 
 
                   
  162,930    
Hudson City Bancorp, Inc.
                2,880,602  
 
 
 
                   
 
Tobacco – 0.4%
 
 
                   
  21,800    
Altria Group, Inc.
                483,959  
  11,550    
British American Tobacco PLC
                874,914  
  260    
Japan Tobacco, Inc., (2)
                1,300,648  
  21,800    
Philip Morris International
                1,102,643  
  22,280    
UST Inc.
                1,214,705  
 
 
Total Tobacco
                4,976,869  
         
 
 
                   
 
Transportation Infrastructure – 0.2%
 
 
                   
  885,990    
Macquarie Airports
                2,633,468  
 
 
 
                   
 
Wireless Telecommunication Services – 0.1%
 
 
                   
  16,960    
Millicom International Cellular S.A., (2)
                1,603,567  
  1,240    
Mobile Telesystems, Sponsored ADR
                94,053  
 
 
Total Wireless Telecommunication Services
                1,697,620  
         
 
Total Common Stocks (cost $478,077,379)
                456,623,414  
         
                             
Shares     Description (1)   Coupon       Ratings (3)   Value  
 
 
 
                   
 
Convertible Preferred Securities – 1.6% (1.0% of Total Investments)
 
 
                   
 
Automobiles – 0.3%
 
 
                   
  30,200    
General Motors Corporation, Convertible Bonds
  1.500%       B-   $ 691,580  
  56,800    
General Motors Corporation, Convertible Notes, Senior Debentures, Series B
  5.250%       B-     921,864  
  92,750    
General Motors Corporation
  6.250%       B-     1,530,375  
 
 
Total Automobiles
                3,143,819  
         
 
 
                   
 
Capital Markets – 0.0%
 
 
                   
  11,300    
AMG Capital Trust II, Convertible Bond
  5.150%       BB     433,638  
 
 
 
                   
 
Commercial Banks – 0.0%
 
 
                   
  14,750    
Sovereign Capital Trust IV, Convertible Security
  4.375%       Baa1     451,719  
 
 
 
                   
 
Communications Equipment – 0.6%
 
 
                   
  9,200    
Lucent Technologies Capital Trust I
  7.750%       B2     6,440,000  
 
 
 
                   
 
Diversified Financial Services – 0.1%
 
 
                   
  30,800    
Citigroup Inc., Series T
  6.500%       A     1,462,384  
 
 
 
                   
 
Electric Utilities – 0.1%
 
 
                   
  18,850    
Centerpoint Energy Inc.
  2.000%       BBB-     546,273  
  4,000    
CMS Energy Corporation, Convertible Bonds
  4.500%       Ba2     287,750  
 
 
Total Electric Utilities
                834,023  
         
 
 
                   
 
Food Products – 0.0%
 
 
                   
  2,850    
Bunge Limited, Convertible Bonds
  4.875%       BB     324,188  
 
 
 
                   
 
Household Durables – 0.0%
 
 
                   
  12,000    
Newell Financial Trust I
  5.250%       BBB-     544,500  
 
 
 
                   
 
Independent Power Producers & Energy Traders – 0.1%
 
 
                   
  300    
NRG Energy Inc., Convertible Bond
  4.000%       B2     600,840  
 
 
 
                   
 
Metals & Mining – 0.1%
 
 
                   
  800    
Freeport McMoran Copper & Gold, Inc.
  5.500%       B-     1,697,000  
 
 
 
                   
 
Oil, Gas & Consumable Fuels – 0.1%
 
 
                   
  550    
El Paso Corporation
  4.990%       B     748,000  
 
 
 
                   
 
Real Estate – 0.1%
 
 
                   
  9,350    
Simon Property Group, Inc., Series I
  6.000%       BBB+     709,478  
 
 
 
                   
 
Thrifts & Mortgage Finance – 0.1%
 
 
                   
  30,450    
Washington Mutual, Inc., Unit 1 Trust
  5.375%       A3     864,780  
 
 
 
                   
 
U.S. Agency – 0.0%
 
 
                   
  5    
Federal National Mortgage Association
  5.375%       AA-     335,624  
 
 
Total Convertible Preferred Securities (cost $22,323,638)
                18,589,993  
         
                             
Shares     Description (1)   Coupon       Ratings (3)   Value  
 
 
 
                   
 
$25 Par (or similar) Preferred Securities – 52.2% (32.2% of Total Investments)
 
 
                   
 
Capital Markets – 6.1%
 
 
                   
  224,404    
BNY Capital Trust V, Series F
  5.950%       Aa3   $ 4,813,466  
  950,117    
Deutsche Bank Capital Funding Trust II
  6.550%       Aa3     20,693,548  
  86,700    
Deutsche Bank Contingent Capital Trust III
  7.600%       Aa3     2,150,160  
  34,300    
First Union Institutional Capital II (CORTS)
  8.200%       A1     857,500  
  3,900    
Goldman Sachs Capital I, Series A (CORTS)
  6.000%       A1     79,794  
  4,700    
Goldman Sachs Group Inc. (SATURNS)
  5.750%       AA-     94,940  
  300    
Goldman Sachs Group Inc., Series 2004-06 (SATURNS)
  6.000%       A1     6,105  
  41,500    
Goldman Sachs Group Inc., Series 2004-4 (CORTS)
  6.000%       A1     852,410  
  7,500    
Goldman Sachs Group Inc., Series GSC-3 (PPLUS)
  6.000%       A1     144,075  
  480,888    
Lehman Brothers Holdings Capital Trust III, Series K
  6.375%       A2     8,559,806  
  101,461    
Merrill Lynch Preferred Capital Trust III
  7.000%       A2     2,065,746  
  115,400    
Merrill Lynch Preferred Capital Trust IV
  7.120%       A2     2,456,866  
  341,000    
Merrill Lynch Preferred Capital Trust V
  7.280%       A2     7,297,400  
  307,334    
Morgan Stanley Capital Trust III
  6.250%       A1     6,229,660  
  456,907    
Morgan Stanley Capital Trust IV
  6.250%       A1     9,188,400  
  2,100    
Morgan Stanley Capital Trust V
  5.750%       A+     40,215  
  239,129    
Morgan Stanley Capital Trust VII
  6.600%       A1     5,117,361  
 
 
Total Capital Markets
                70,647,452  
         
 
 
                   
 
Commercial Banks – 10.2%
 
 
                   
  69,570    
ABN AMRO Capital Fund Trust V
  5.900%       A1     1,381,660  
  74,400    
ASBC Capital I
  7.625%       A3     1,852,560  
  78,055    
BAC Capital Trust II
  7.000%       Aa2     1,890,492  
  213,600    
BAC Capital Trust III
  7.000%       Aa2     5,181,936  
  8,200    
BAC Capital Trust IV
  5.875%       Aa2     174,824  
  8,000    
BAC Capital Trust V
  6.000%       Aa3     170,000  
  10,200    
BAC Capital Trust VIII
  6.000%       Aa2     215,628  
  358,086    
Banco Santander Finance
  6.800%       Aa3     7,967,414  
  323,606    
Banco Santander Finance
  6.500%       A     6,876,628  
  8,300    
BancorpSouth Capital Trust I
  8.150%       Baa1     206,421  
  231,600    
Banesto Holdings, Series A, 144A
  10.500%       A1     7,331,599  
  63,700    
Bank One Capital Trust VI
  7.200%       Aa3     1,575,301  
  200    
Capital One Capital II Corporation
  7.500%       Baa1     3,940  
  212,400    
Citizens Funding Trust I
  7.500%       Baa1     3,653,280  
  107,000    
Cobank ABC, 144A,
  7.000%       A     4,788,785  
  394,900    
Credit Suisse Guernsey
  7.900%       Aa3     9,946,544  
  347,358    
Fifth Third Capital Trust VI
  7.250%       A1     7,555,037  
  338,400    
Fleet Capital Trust VIII
  7.200%       Aa2     8,121,600  
  718,820    
HSBC Finance Corporation
  6.875%       AA-     17,330,750  
  136,400    
KeyCorp Capital Trust IX
  6.750%       A3     2,726,636  
  539,400    
National City Capital Trust II
  6.625%       BBB+     9,115,860  
  43,750    
PNC Capital Trust
  6.125%       A2     951,563  
  2,900    
Royal Bank of Scotland Group PLC
  6.600%       Aa3     64,670  
  13,129    
Royal Bank of Scotland Group PLC, Series L
  5.750%       A1     258,641  
  97,395    
Royal Bank of Scotland Group PLC, Series N
  6.350%       A1     2,150,482  
  2,400    
Royal Bank of Scotland Group PLC, Series P
  6.250%       A1     51,936  
  58,600    
SunTrust Capital Trust IX
  7.875%       A1     1,435,700  
  175,327    
USB Capital Trust XI
  6.600%       Aa3     3,995,702  
  25,720    
VNB Capital Trust I
  7.750%       A3     643,000  
  129,348    
Wachovia Capital Trust IX
  6.375%       A1     2,760,286  
  143,417    
Wachovia Trust IV
  6.375%       A1     3,061,953  
  86,002    
Wells Fargo Capital Trust VII
  5.850%       Aa2     1,873,984  
  81,700    
Zions Capital Trust B
  8.000%       BBB-     2,011,454  
 
 
Total Commercial Banks
                117,326,266  
         
 
 
                   
 
Computers & Peripherals – 0.0%
 
 
                   
  4,447    
IBM Inc., Trust Certificates, Series 2001-2
  7.100%       A+     111,175  
 
 
 
                   
 
Diversified Financial Services – 4.7%
 
 
                   
  20,700    
Allied Capital Corporation
  6.875%       BBB+     370,530  
  45,230    
BAC Capital Trust XII
  6.875%       Aa3     1,070,142  
  29,700    
Citigroup Capital Trust IX
  6.000%       A1     585,981  
  51,300    
Citigroup Capital Trust VII
  7.125%       A1     1,134,756  
  241,654    
Citigroup Capital Trust VIII
  6.950%       A1     5,280,140  
  15,900    
Citigroup Capital Trust XI
  6.000%       A1     312,276  
  2,600    
Citigroup Capital X
  6.100%       A1     50,440  
  68,755    
Citigroup Capital XV
  6.500%       A1     1,434,229  
  48,801    
Citigroup Capital XVI
  6.450%       A1     990,660  
  15,200    
Citigroup Capital XVII
  6.350%       A1     301,112  
  333,300    
Citigroup Capital XIX
  7.250%       A1     7,659,234  
  63,900    
Citigroup Capital XX
  7.875%       Aa3     1,585,519  
  85,000    
Citigroup Inc., Series M
  8.125%       A     2,045,313  
  13,900    
General Electric Capital Corporation
  6.050%       AAA     352,921  
  543,418    
ING Groep N.V.
  7.200%       A1     13,085,505  
  785,175    
ING Groep N.V.
  7.050%       A     18,412,354  
  5,000    
Royal Bank of Scotland Group PLC, Series R
  6.125%       A1     106,250  
 
 
Total Diversified Financial Services
                54,777,362  
         
 
 
                   
 
Diversified Telecommunication Services – 0.4%
 
 
                   
  67,000    
AT&T Inc.
  6.375%       A     1,673,660  
  95,968    
BellSouth Capital Funding (CORTS)
  7.100%       A     2,174,280  
  18,300    
BellSouth Corporation (CORTS)
  7.000%       A     412,894  
  17,500    
Verizon Communications (CORTS)
  7.625%       A     438,900  
  7,200    
Verizon Communications, Series 2004-1 (SATURNS)
  6.125%       A     174,456  
  1,800    
Verizon Global Funding Corporation Trust III, Series III (CORTS)
  6.250%       A     45,432  
 
 
Total Diversified Telecommunication Services
                4,919,622  
         
 
 
                   
 
Electric Utilities – 1.3%
 
 
                   
  20,400    
DTE Energy Trust I
  7.800%       Baa3     518,568  
  40,670    
Entergy Louisiana LLC
  7.600%       A-     1,025,697  
  135,100    
FPL Group Capital Inc.
  6.600%       A3     3,392,361  
  800    
Georgia Power Company
  5.750%       A     19,136  
  7,100    
National Rural Utilities Cooperative Finance Corporation
  6.100%       A3     160,886  
  4,900    
National Rural Utilities Cooperative Finance Corporation
  5.950%       A3     113,484  
  132,500    
Virginia Power Capital Trust
  7.375%       BBB     3,335,025  
  234,561    
Xcel Energy Inc.
  7.600%       Baa2     5,831,773  
 
 
Total Electric Utilities
                14,396,930  
         
 
 
                   
 
Food Products – 0.2%
 
 
                   
  27,100    
Dairy Farmers of America Inc., 144A
  7.875%       BBB-     2,322,131  
 
 
 
                   
 
Insurance – 10.1%
 
 
                   
  557,010    
Ace Ltd., Series C
  7.800%       BBB     13,780,427  
  2,556    
Aegon N.V.
  6.875%       A-     57,536  
  982,600    
Aegon N.V.
  6.375%       A-     19,946,780  
  2,567    
AMBAC Financial Group Inc.
  5.950%       AA     34,680  
  25,700    
Arch Capital Group Limited, Series B
  7.785%       BBB-     648,925  
  408,100    
Arch Capital Group Limited
  8.000%       BBB-     10,414,712  
  15,400    
Berkley WR Corporation, Capital Trust II
  6.750%       BBB-     321,860  
  1,221,900    
Delphi Financial Group, Inc.
  8.000%       BBB+     28,115,919  
  3,000,000    
Everest Reinsurance Holdings, Inc.
  6.600%       Baa1     2,532,720  
  322,955    
EverestRe Capital Trust II
  6.200%       Baa1     6,478,477  
  82,200    
Financial Security Assurance Holdings
  6.250%       AA     1,758,258  
  1,800    
Markel Corporation
  7.500%       BBB-     44,280  
  809,050    
PartnerRe Limited, Series C
  6.750%       BBB+     18,381,616  
  82,200    
PLC Capital Trust III
  7.500%       BBB+     1,965,402  
  32,200    
PLC Capital Trust IV
  7.250%       BBB+     760,886  
  7,200    
PLC Capital Trust V
  6.125%       BBB+     144,000  
  46,300    
Protective Life Corporation
  7.250%       BBB     1,108,422  
  37,400    
Prudential PLC
  6.750%       A     888,250  
  377,051    
RenaissanceRe Holdings Limited, Series B
  7.300%       BBB     8,223,482  
  75,000    
RenaissanceRe Holdings Ltd.
  6.600%       BBB     1,548,750  
 
 
Total Insurance
                117,155,382  
         
 
 
                   
 
Media – 3.2%
 
 
                   
  18,900    
CBS Corporation
  7.250%       BBB     457,947  
  410,172    
CBS Corporation
  6.750%       BBB     9,060,699  
  586,200    
Comcast Corporation
  7.000%       BBB+     13,805,010  
  605,900    
Viacom Inc.
  6.850%       BBB     14,099,293  
 
 
Total Media
                37,422,949  
         
 
 
                   
 
Oil, Gas & Consumable Fuels – 1.0%
 
 
                   
  477,800    
Nexen Inc.
  7.350%       Baa3     11,462,422  
 
 
 
                   
 
Real Estate/Mortgage – 12.5%
 
 
                   
  10,300    
AvalonBay Communities, Inc., Series H
  8.700%       BBB     262,444  
  15,266    
BRE Properties, Series C
  6.750%       BBB-     326,387  
  658,185    
Developers Diversified Realty Corporation, Series G
  8.000%       BBB-     15,796,440  
  75,300    
Developers Diversified Realty Corporation, Series H
  7.375%       BBB-     1,613,679  
  16,500    
Duke Realty Corporation, Series K
  6.500%       BBB     333,630  
  73,000    
Duke Realty Corporation, Series L
  6.600%       BBB     1,612,570  
  69,500    
Duke Realty Corporation, Series O
  8.375%       BBB     1,706,225  
  38,128    
Duke-Weeks Realty Corporation
  6.950%       BBB     856,736  
  388,070    
Equity Residential Properties Trust, Series N
  6.480%       BBB     8,510,375  
  5,900    
First Industrial Realty Trust, Inc., Series J
  7.250%       BBB-     123,605  
  267,400    
First Industrial Realty Trust, Inc., Series J
  7.250%       BBB-     5,521,810  
  135,567    
HRPT Properties Trust, Series B
  8.750%       BBB-     3,248,185  
  652,100    
HRPT Properties Trust, Series C
  7.125%       BBB-     12,520,320  
  450,487    
Kimco Realty Corporation, Series F
  6.650%       BBB+     9,617,897  
  212,100    
Kimco Realty Corporation, Series G
  7.750%       BBB+     5,053,283  
  32,982    
Prologis Trust, Series C
  8.540%       BBB     1,750,107  
  12,500    
Prologis Trust, Series G
  6.750%       BBB     293,125  
  19,900    
PS Business Parks, Inc.
  7.000%       BBB-     434,616  
  6,000    
PS Business Parks, Inc.
  6.700%       BBB-     120,060  
  48,200    
PS Business Parks, Inc., Series I
  6.875%       BBB-     1,014,610  
  2,000    
PS Business Parks, Inc., Series K
  7.950%       BBB-     47,700  
  26,400    
PS Business Parks, Inc., Series O
  7.375%       BBB-     588,060  
  228,400    
Public Storage, Inc.
  6.750%       BBB+     4,967,700  
  99,295    
Public Storage, Inc., Series C
  6.600%       BBB+     2,124,913  
  51,900    
Public Storage, Inc., Series E
  6.750%       BBB+     1,123,635  
  15,000    
Public Storage, Inc., Series F
  6.450%       BBB+     305,250  
  9,359    
Public Storage, Inc., Series H
  6.950%       BBB+     211,607  
  149,400    
Public Storage, Inc., Series I
  7.250%       BBB+     3,572,154  
  1,700    
Public Storage, Inc., Series K
  7.250%       BBB+     40,273  
  253,741    
Public Storage, Inc., Series M
  6.625%       BBB+     5,280,350  
  32,300    
Public Storage, Inc., Series V
  7.500%       BBB+     780,691  
  320,700    
Realty Income Corporation, Series E
  6.750%       BBB-     6,769,977  
  216,495    
Regency Centers Corporation
  7.450%       BBB     4,998,870  
  9,200    
Regency Centers Corporation
  7.250%       BBB-     207,460  
  16,800    
Vornado Realty Trust, Series G
  6.625%       BBB-     350,280  
  3,400    
Vornado Realty Trust, Series H
  6.750%       BBB-     71,774  
  54,900    
Vornado Realty Trust, Series I
  6.625%       BBB-     1,166,625  
  1,110,545    
Wachovia Preferred Funding Corporation
  7.250%       A2     26,297,706  
  5,800    
Weingarten Realty Investors Series F
  6.500%       BBB     120,930  
  616,030    
Weingarten Realty Trust, Preferred Securities
  6.750%       A-     14,433,583  
 
 
Total Real Estate/Mortgage
                144,175,642  
         
 
 
                   
 
Thrifts & Mortgage Finance – 2.0%
 
 
                   
  99,700    
Countrywide Capital Trust III (PPLUS)
  8.050%       BBB-     1,730,792  
  900,448    
Countrywide Capital Trust IV
  6.750%       BBB-     15,325,625  
  84,888    
Countrywide Capital Trust V
  7.000%       BBB-     1,417,630  
  129,000    
Federal Home Loan Mortgage Corporation
  8.375%       AA-     3,147,600  
  60,800    
Federal Home Loan Mortgage Corporation, Notes
  5.570%       AA-     1,161,280  
  31,400    
Federal Home Loan Mortgage Corporation
  6.550%       AA-     704,930  
 
 
Total Thrifts & Mortgage Finance
                23,487,857  
         
 
 
                   
 
U.S. Agency – 0.4%
 
 
                   
  99,500    
Federal National Mortgage Association
  7.000%       AA-     4,508,594  
 
 
 
                   
 
Wireless Telecommunication Services – 0.1%
 
 
                   
  33,900    
United States Cellular Corporation
  8.750%       A-     847,838  
 
 
Total $25 Par (or similar) Preferred Securities (cost $683,811,520)
                603,561,622  
         


Table of Contents

                             
          Weighted              
Principal         Average              
Amount (000)     Description (1)   Coupon   Maturity (4)   Ratings (3)   Value  
 
 
 
                   
 
Variable Rate Senior Loan Interests – 12.3% (7.5% of Total Investments) (5)
 
 
                   
 
Aerospace & Defense – 0.1%
 
 
                   
$ 574    
DAE Aviation Holdings, Inc., Term Loan B-1
  6.990%   7/31/14   BB-   $ 555,439  
  571    
DAE Aviation Holdings, Inc., Term Loan B-2
  6.990%   7/31/13   BB-     551,708  
 
  1,145    
Total Aerospace & Defense
                1,107,147  
 
 
 
                   
 
Airlines – 0.3%
 
 
                   
  1,669    
ACTS Aero Technical Support & Services Inc., Term Loan
  7.305%   10/01/14   N/R     1,452,115  
  992    
American Airlines, Inc., Term Loan
  6.801%   12/17/10   BB-     912,616  
  993    
Delta Air Lines, Inc., Term Loan
  8.082%   4/30/14   B     792,511  
 
  3,654    
Total Airlines
                3,157,242  
 
 
 
                   
 
Building Products – 0.6%
 
 
                   
  2,575    
Building Materials Corporation of America, Term Loan
  6.688%   2/22/14   BB     2,069,274  
  2,977    
Nortek, Inc., Term Loan B
  5.350%   8/27/11   Ba3     2,579,948  
  989    
Stile Acquisition Corporation, Canadian Term Loan
  5.184%   4/05/13   BB-     852,288  
  991    
Stile Acquisition Corporation, Term Loan B
  5.183%   4/05/13   BB-     853,738  
  985    
TFS Acquisition, Term Loan
  6.196%   8/11/13   B+     916,050  
 
  8,517    
Total Building Products
                7,271,298  
 
 
 
                   
 
Chemicals – 0.2%
 
 
                   
  995    
Celanese Holdings LLC, Term Loan C
  6.229%   4/02/14   BB+     930,313  
  1,985    
Hercules Offshore, Inc., Term Loan
  4.450%   7/11/13   BB     1,890,713  
 
  2,980    
Total Chemicals
                2,821,026  
 
 
 
                   
 
Commercial Services & Supplies – 0.2%
 
 
                   
  159    
Aramark Corporation, Letter of Credit
  0.000%   1/24/14   BB-     148,900  
  2,509    
Aramark Corporation, Term Loan
  4.571%   1/24/14   BB-     2,343,779  
 
  2,668    
Total Commercial Services & Supplies
                2,492,679  
 
 
 
                   
 
Diversified Consumer Services – 0.2%
 
 
                   
  193    
Laureate Education, Inc. Delayed Draw, Term Loan B, (6), (7)
  0.500%   8/17/14   B     (18,677 )
  1,303    
Laureate Education, Inc. Term Loan B
  6.068%   8/17/14   B1     1,177,428  
  1,990    
Thomson Learning Center, Term Loan
  5.200%   7/05/14   B+     1,716,375  
 
  3,486    
Total Diversified Consumer Services
                2,875,126  
 
 
 
                   
 
Diversified Telecommunication Services – 0.3%
 
 
                   
  1,990    
Alltel Communications, Inc., Term Loan B3
  5.568%   5/18/15   BB-     1,800,120  
  501    
Intelsat Tranche B-2, Term Loan A
  5.611%   1/03/14   BB-     459,529  
  501    
Intelsat Tranche B-2, Term Loan B
  5.611%   1/03/14   BB-     459,391  
  501    
Intelsat Tranche B-2, Term Loan C
  5.611%   1/03/14   BB-     459,391  
 
  3,493    
Total Diversified Telecommunication Services
                3,178,431  
 
 
 
                   
 
Electric Utilities – 0.6%
 
 
                   
  4,285    
Calpine Corporation, DIP Term Loan
  5.575%   3/31/14   B+     3,814,712  
  998    
TXU Corporation, Term Loan B-2
  6.579%   10/10/14   Ba3     910,786  
  2,993    
TXU Corporation, Term Loan B-3
  6.583%   10/10/14   Ba3     2,724,671  
 
  8,276    
Total Electric Utilities
                7,450,169  
 
 
 
                   
 
Electrical Equipment – 0.0%
 
 
                   
  250    
Allison Transmission Holdings, Inc., Term Loan
  5.746%   8/07/14   BB-     220,357  
 
 
 
                   
 
Energy Equipment & Services – 0.2%
 
 
                   
  1,907    
PGS Finance, Inc., Term Loan
  4.450%   6/29/15   Ba2     1,797,033  
 
 
 
                   
 
Health Care Equipment & Supplies – 0.4%
 
 
                   
  40    
Bausch & Lomb, Inc., Delayed Draw Term Loan, (6)
  3.473%   4/24/15   BB-     37,864  
  319    
Bausch & Lomb, Inc., Term Loan
  5.946%   4/24/15   BB-     310,676  
  3,980    
Biomet, Inc., Term Loan
  5.696%   12/25/13   BB-     3,834,730  
 
  4,379    
Total Health Care Equipment & Supplies
                4,183,270  
 
 
 
                   
 
Health Care Providers & Services – 2.0%
 
 
                   
  336    
Community Health Systems, Inc., Delayed Draw, Term Loan, (6), (7)
  0.750%   7/25/14   BB     (25,547 )
  6,565    
Community Health Systems, Inc., Term Loan
  5.335%   7/25/14   BB     6,065,976  
  496    
Concentra, Inc., Term Loan
  4.946%   6/25/14   B+     420,572  
  5,930    
HCA, Inc., Term Loan
  4.946%   11/18/13   BB     5,462,450  
  1,187    
HCA, Inc., Term Loan A
  4.196%   11/18/12   Ba3     1,081,668  
  2,147    
Health Management Associates, Inc., Term Loan
  4.446%   2/28/14   BB-     1,870,075  
  353    
IASIS Healthcare LLC, Delayed Term Loan
  4.979%   3/14/14   Ba2     321,176  
  127    
IASIS Healthcare LLC, Letter of Credit
  2.609%   3/14/14   Ba2     115,739  
  1,506    
IASIS Healthcare LLC, Term Loan B
  5.244%   3/14/14   Ba2     1,370,382  
  747    
LifePoint Hospitals, Inc., Term Loan B
  4.710%   4/18/12   BB     691,651  
  1,848    
Select Medical Corporation, Term Loan
  5.074%   2/24/12   Ba2     1,641,046  
  993    
Select Medical Corporation, Term Loan B-2
  4.631%   2/24/12   Ba2     881,340  
  257    
Sun Healthcare Group, Inc., Delayed Term Loan
  4.654%   4/12/14   Ba2     233,415  
  404    
Sun Healthcare Group, Inc., Synthetic Letter of Credit
  4.596%   4/19/14   Ba2     367,805  
  1,799    
Sun Healthcare Group, Inc., Term Loan
  5.539%   4/19/14   Ba2     1,636,654  
  990    
Vanguard Health Holding Company II LLC, Replacement Term Loan
  4.954%   9/23/11   Ba3     921,147  
 
  25,685    
Total Health Care Providers & Services
                23,055,549  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 0.6%
 
 
                   
  983    
Cedar Fair LP, Term Loan
  4.704%   8/30/12   BB     911,576  
  922    
Intrawest Corporation, Term Loan
  5.971%   4/24/08   N/R     894,305  
  469    
Isle of Capri Casinos, Inc., Term Loan
  4.446%   11/25/13   BB+     397,860  
  141    
Isle of Capri Casinos, Inc., Delayed Term Loan A
  4.446%   11/25/13   BB+     119,959  
  188    
Isle of Capri Casinos, Inc., Delayed Term Loan B
  4.446%   11/25/13   BB+     159,144  
  134    
Travelport, LLC, Letter of Credit
  4.946%   8/23/13   BB-     117,563  
  669    
Travelport, LLC, Term Loan
  4.954%   8/23/13   BB-     585,908  
  1,200    
Venetian Casino Resort, LLC, Delayed Draw, Term Loan, (6), (7)
  0.750%   5/23/14   BB     (136,772 )
  4,764    
Venetian Casino Resort, LLC, Term Loan
  4.450%   5/23/14   BB     4,221,014  
 
  9,470    
Total Hotels, Restaurants & Leisure
                7,270,557  
 
 
 
                   
 
Independent Power Producers & Energy Traders – 0.3%
 
 
                   
  1,084    
NRG Energy, Inc., Credit Linked Deposit
  2.560%   2/01/13   Ba1     1,016,549  
  2,225    
NRG Energy, Inc., Term Loan
  4.196%   2/01/13   Ba1     2,087,543  
 
  3,309    
Total Independent Power Producers & Energy Traders
                3,104,092  
 
 
 
                   
 
Insurance – 0.1%
 
 
                   
  1,988    
Conseco, Inc., Term Loan
  4.704%   10/10/13   Ba3     1,547,512  
 
 
 
                   
 
Internet Software & Services – 0.1%
 
 
                   
  1,000    
Sabre, Inc., Term Loan
  5.244%   9/30/14   B+     823,500  
 
 
 
                   
 
IT Services – 0.2%
 
 
                   
  1,990    
First Data Corporation, Term Loan, B-1
  5.355%   9/24/14   BB-     1,797,080  
 
 
 
                   
 
Leisure Equipment & Products – 0.4%
 
 
                   
  267    
Herbst Gaming Inc., Delayed Draw Term Loan
  0.000%   12/02/11   B2     191,200  
  533    
Herbst Gaming Inc., Term Loan, WI/DD
  TBD   TBD   B2     382,400  
  4,000    
Wimar OpCo LLC, Term Loan
  8.500%   1/03/12   B-     3,827,500  
 
  4,800    
Total Leisure Equipment & Products
                4,401,100  
 
 
 
                   
 
Machinery – 0.2%
 
 
                   
  1,975    
Oshkosh Truck Corporation, Term Loan
  4.760%   12/06/13   BBB-     1,843,786  
 
 
 
                   
 
Media – 2.6%
 
 
                   
  4,172    
Cequel Communications LLC, Term Loan B
  6.510%   11/05/13   N/R     3,535,656  
  4,075    
Charter Communications Operating Holdings, LLC, Term Loan
  5.260%   3/06/14   B+     3,452,713  
  1,500    
Citadel Broadcasting Corporation, Term Loan
  4.319%   6/12/14   BB-     1,236,563  
  3,970    
Discovery Communications Holdings LLC, Term Loan
  4.696%   5/14/14   N/R     3,654,881  
  1,300    
Gray Television Inc., Term Loan B
  6.210%   12/31/14   B1     1,093,300  
  978    
Idearc, Inc., Term Loan
  4.700%   11/17/14   BBB-     786,582  
  2,960    
Neilsen Finance LLC, Term Loan
  5.346%   8/09/13   Ba3     2,678,766  
  947    
Philadelphia Newspapers, Term Loan
  6.600%   6/29/13   N/R     785,604  
  990    
Readers Digest Association, Inc., Term Loan
  5.075%   3/02/14   B+     818,235  
  5,955    
Tribune Company, Term Loan B
  5.542%   6/04/14   BB-     4,005,803  
  2,433    
Tribune Company, Term Loan X
  7.396%   6/04/09   BB-     2,188,696  
  235    
Univision Communications, Inc., Delayed Term Loan, (6), (7)
  1.000%   9/29/14   Ba3     (49,035 )
  6,765    
Univision Communications, Inc., Term Loan
  5.494%   9/29/14   Ba3     5,352,886  
  286    
Valassis Communications, Inc. Delayed Term Loan, (6), (7)
  1.000%   3/02/14   BB     (20,043 )
  866    
Valassis Communications, Inc. Tranche B, Term Loan
  4.450%   3/02/14   BB     805,660  
 
  37,432    
Total Media
                30,326,267  
 
 
 
                   
 
Metals & Mining – 0.1%
 
 
                   
  800    
John Maneely Company, Term Loan
  7.461%   12/08/13   B+     691,429  
 
 
 
                   
 
Paper & Forest Products – 0.3%
 
 
                   
  2,967    
Georgia-Pacific Corporation, Term Loan B
  4.727%   12/21/12   BB+     2,756,628  
  45    
Ply Gem Industries, Inc., Canadian Term Loan
  5.450%   8/15/11   BB-     38,305  
  1,435    
Ply Gem Industries, Inc., Term Loan B-3
  5.450%   8/15/11   BB-     1,227,541  
 
  4,447    
Total Paper & Forest Products
                4,022,474  
 
 
 
                   
 
Real Estate Management & Development – 0.3%
 
 
                   
  880    
LNR Property Corporation, Term Loan B
  6.360%   7/12/11   BB     693,733  
  2,985    
Realogy Corporation, Delayed Draw Term Loan
  7.505%   10/01/13   BB-     2,429,680  
 
  3,865    
Total Real Estate Management & Development
                3,123,413  
 
 
 
                   
 
Road & Rail – 0.4%
 
 
                   
  5,419    
Swift Transportation Company, Inc., Term Loan
  6.500%   5/10/14   BB-     4,087,179  
 
 
 
                   
 
Software – 0.3%
 
 
                   
  2,688    
Dealer Computer Services, Inc., Term Loan
  4.678%   10/26/12   BB     2,446,013  
  1,256    
Intergraph Corporation, Term Loan
  5.061%   5/29/14   BB-     1,139,885  
 
  3,944    
Total Software
                3,585,898  
 
 
 
                   
 
Specialty Retail – 0.9%
 
 
                   
  1,966    
Blockbuster, Inc., Tranche B, Term Loan
  8.572%   8/20/11   B     1,770,094  
  4,442    
Burlington Coat Factory Warehouse Corporation, Term Loan
  5.340%   5/28/13   B2     3,719,286  
  3,451    
Michaels Stores, Inc., Term Loan
  5.345%   10/31/13   B     2,900,049  
  1,500    
TRU 2005 RE Holding Co I LLC, Term Loan
  6.119%   12/08/08   B3     1,350,750  
  1,200    
TRU 2005 RE Holding Co I LLC, Term Loan B, WI/DD
  TBD   TBD   BB-     1,093,200  
 
  12,559    
Total Specialty Retail
                10,833,379  
 
 
 
                   
 
Wireless Telecommunication Services – 0.4%
 
 
                   
  4,000    
Asurion Corporation, Term Loan
  6.095%   7/03/14   N/R     3,406,666  
  992    
Leap Wireless International Inc., Term Loan
  5.696%   6/17/13   Ba2     943,354  
 
  4,992    
Total Wireless Telecommunication Services
                4,350,020  
 
$ 164,390    
Total Variable Rate Senior Loan Interests (cost $158,476,432)
                141,417,013  
 
                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity   Ratings (3)   Value  
 
 
 
                   
 
Convertible Bonds – 9.5% (5.8% of Total Investments)
 
 
                   
 
Aerospace & Defense – 0.3%
 
 
                   
$ 250    
Alliant Techsystems, Inc., Convertible Bonds
  2.750%   9/15/11   B+   $ 310,625  
  250    
Alliant Techsystems, Inc., Convertible Bonds
  2.750%   2/15/24   B+     341,563  
  450    
DRS Technologies, Inc., Convertible Bonds, 144A
  2.000%   2/01/26   BB-     509,063  
  600    
L-3 Communications Corporation, Convertible Bond
  3.000%   8/01/35   BB+     752,250  
  900    
Lockheed Martin Corporation
  2.818%   8/15/33   A-     1,237,140  
 
  2,450    
Total Aerospace & Defense
                3,150,641  
 
 
 
                   
 
Beverages – 0.0%
 
 
                   
  300    
Molson Coors Brewing Company, Senior Convertible Notes
  2.500%   7/30/13   BBB     370,123  
 
 
 
                   
 
Biotechnology – 0.3%
 
 
                   
  3,350    
Amgen Inc., 144A
  0.125%   2/01/11   A+     3,052,688  
  600    
Genzyme Corporation
  1.250%   12/01/23   BBB+     698,250  
 
  3,950    
Total Biotechnology
                3,750,938  
 
 
 
                   
 
Capital Markets – 0.1%
 
 
                   
  250    
BlackRock Inc.
  2.625%   2/15/35   A+     515,623  
 
 
 
                   
 
Commercial Banks – 0.0%
 
 
                   
  500    
National City Corporation, Convertible Senior Notes
  4.000%   2/01/11   A     413,123  
 
 
 
                   
 
Commercial Services & Supplies – 0.3%
 
 
                   
  3,800    
Allied Waste Industries Inc., Convertible Debentures
  4.250%   4/15/34   B+     3,496,000  
 
 
 
                   
 
Communications Equipment – 0.4%
 
 
                   
  600    
Ciena Corporation, Convertible Bond
  0.875%   6/15/17   B+     576,750  
  200    
CommScope Inc.
  1.000%   3/15/24   B     332,500  
  250    
Juniper Networks Inc., Convertible Subordinated Notes
  0.000%   6/15/08   BB     316,563  
  660    
Liberty Media Corporation, Senior Debentures Exchangeable for Motorola Common Stock
  3.500%   1/15/31   BB+     388,766  
  500    
Lucent Technologies Inc., Series B
  2.750%   6/15/25   BB-     386,250  
  750    
Lucent Technologies Inc.
  2.750%   6/15/23   BB-     668,438  
  719    
Nortel Networks Corp.
  4.250%   9/01/08   B-     713,608  
  750    
Nortel Networks Corporation, Convertible Bonds, 144A
  1.750%   4/15/12   B-     510,000  
  600    
Nortel Networks Corporation, Convertible Bonds, 144A
  2.125%   4/15/14   B-     375,750  
 
  5,029    
Total Communications Equipment
                4,268,625  
 
 
 
                   
 
Computers & Peripherals – 0.3%
 
 
                   
  1,250    
EMC Corporation, Convertible Bonds 144A
  1.750%   12/01/11   BBB+     1,476,563  
  600    
EMC Corporation, Convertible Bonds 144A
  1.750%   12/01/13   BBB+     707,250  
  150    
EMC Corporation, Convertible Bonds 144A
  1.750%   12/01/13   BBB+     176,813  
  1,300    
Sandisk Corporation, Convertible Bond
  1.000%   5/15/13   BB-     962,000  
 
  3,300    
Total Computers & Peripherals
                3,322,626  
 
 
 
                   
 
Construction & Engineering – 0.1%
 
 
                   
  250    
Fluor Corporation, Convertible Bonds
  1.500%   2/15/24   A3     633,750  
  300    
Quanta Services, Inc., Convertible Bonds
  4.500%   10/01/23   BB     631,875  
 
  550    
Total Construction & Engineering
                1,265,625  
 
 
 
                   
 
Containers & Packaging – 0.1%
 
 
                   
  550    
Sealed Air Corporation, 144A
  3.000%   6/30/33   BBB     540,373  
 
 
 
                   
 
Diversified Financial Services – 0.1%
 
 
                   
  250    
Leucadia National Corporation, Convertible Bonds
  3.750%   4/15/14   BB-     522,186  
 
 
 
                   
 
Diversified Telecommunication Services – 0.1%
 
 
                   
  1,000    
Qwest Communications International Inc., Convertible Bond
  3.500%   11/15/25   B+     1,032,500  
 
 
 
                   
 
Electric Utilities – 0.1%
 
 
                   
  500    
Centerpoint Energy Inc., Convertible Bond
  3.750%   5/15/23   BBB-     634,375  
  300    
Covanta Holding Corporation, Convertible Bonds
  1.000%   2/01/27   B1     333,750  
 
  800    
Total Electric Utilities
                968,125  
 
 
 
                   
 
Electrical Equipment – 0.1%
 
 
                   
  600    
General Cable Corporation, Convertible Bonds
  1.000%   10/15/12   B+     594,750  
 
 
 
                   
 
Electronic Equipment & Instruments – 0.1%
 
 
                   
  500    
Anixter International Inc., Convertible Bond
  0.000%   7/07/33   BB-     495,000  
  350    
Itron Inc.
  2.500%   8/01/26   B-     546,875  
  100    
Tech Data Corporation, Convertible Bonds
  2.750%   12/15/26   BBB-     94,250  
  500    
Vishay Intertechnology Inc.
  3.625%   8/01/23   B+     500,000  
 
  1,450    
Total Electronic Equipment & Instruments
                1,636,125  
 
 
 
                   
 
Energy Equipment & Services – 1.6%
 
 
                   
  200    
Cooper Cameron Corporation
  1.500%   5/15/24   BBB+     487,750  
  650    
Halliburton Company, Convertible Bond
  3.125%   7/15/23   A     1,369,063  
  4,125    
Nabors Industries Inc., Convertible Bond Series 144A
  0.940%   5/15/11   BBB+     4,238,438  
  800    
Nabors Industries Inc., Convertible Bond Series 144A
  0.940%   5/15/11   BBB+     822,000  
  4,850    
Nabors Industries Inc.
  0.000%   6/15/23   BBB+     5,128,875  
  300    
Pride International Inc.
  3.250%   5/01/33   BB+     410,250  
  550    
Schlumberger Limited
  2.125%   6/01/23   A+     1,214,813  
  250    
SESI LLC, Convertible Bond, 144A
  1.500%   12/15/26   BB     271,250  
  700    
Transocean Inc., Convertible Bond
  1.625%   12/15/37   BBB+     769,125  
  1,800    
Transocean Inc.
  1.500%   12/15/37   BBB+     1,982,250  
  1,250    
Transocean Inc.
  1.500%   12/15/37   BBB+     1,378,125  
 
  15,475    
Total Energy Equipment & Services
                18,071,939  
 
 
 
                   
 
Food & Staples Retailing – 0.0%
 
 
                   
  200    
Great Atlantic & Pacific Tea Company Inc.
  6.750%   12/15/12   CCC+     196,750  
 
 
 
                   
 
Food Products – 0.1%
 
 
                   
  400    
Archer Daniels Midland Company, Convertible Bonds
  0.875%   2/15/14   A     466,500  
  200    
Archer Daniels Midland Company, Convertible Bonds
  0.875%   2/15/14   A     233,250  
  1,000    
General Mills, Inc., Convertible Bonds
  2.820%   4/11/37   BBB+     1,001,700  
 
  1,600    
Total Food Products
                1,701,450  
 
 
 
                   
 
Health Care Equipment & Supplies – 0.5%
 
 
                   
  550    
Advanced Medical Optics
  3.250%   8/01/26   B-     400,813  
  350    
American Medical Systems Holdings, Convertible Bond
  3.250%   7/01/36   B     343,000  
  350    
Beckman Coulter Inc., Convertible Bonds, 144A
  2.500%   12/15/36   BBB     384,563  
  1,100    
Hologic Inc.
  2.000%   12/15/37   B     1,062,875  
  2,500    
Medtronic, Inc., Convertible Bond
  1.500%   4/15/11   AA-     2,646,875  
  250    
Medtronic, Inc.
  1.500%   4/15/11   AA-     264,688  
  725    
Saint Jude Medical, Inc., Convertible Bonds
  1.220%   12/15/08   BBB+     738,594  
 
  5,825    
Total Health Care Equipment & Supplies
                5,841,408  
 
 
 
                   
 
Health Care Providers & Services – 0.5%
 
 
                   
  700    
Health Management Associates Inc.
  1.500%   8/01/23   Baa3     699,125  
  400    
Laboratory Corporation of America Holdings
  0.000%   9/11/21   BBB-     405,000  
  700    
LifePoint Hospitals, Inc., Convertible Bonds
  3.500%   5/15/14   B     591,500  
  6,350    
Omnicare, Inc.
  3.250%   12/15/35   B+     4,238,625  
  225    
Saint Jude Medical, Inc., Convertible Bonds
  1.220%   12/15/08   BBB+     229,219  
 
  8,375    
Total Health Care Providers & Services
                6,163,469  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 0.1%
 
 
                   
  600    
Carnival Corporation
  2.000%   4/15/21   A-     660,750  
  500    
International Game Technology
  2.600%   12/15/36   BBB     506,250  
 
  1,100    
Total Hotels, Restaurants & Leisure
                1,167,000  
 
 
 
                   
 
Insurance – 0.2%
 
 
                   
  2,750    
Prudential Financial, Inc., Convertible Bonds
  0.539%   12/12/36   A+     2,676,300  
 
 
 
                   
 
Internet & Catalog Retail – 0.1%
 
 
                   
  500    
Amazon.com, Inc., Convertible Bonds
  4.750%   2/01/09   Ba2     528,750  
  150    
Priceline.com, Inc., Convertible Bonds
  0.500%   9/30/11   B+     457,125  
  150    
Priceline.com, Inc., Convertible Bonds
  0.750%   9/30/13   B+     457,688  
 
  800    
Total Internet & Catalog Retail
                1,443,563  
 
 
 
                   
 
Internet Software & Services – 0.0%
 
 
                   
  350    
Yahoo! Inc., Convertible Bond
  0.000%   4/01/08   BBB-     350,000  
 
 
 
                   
 
IT Services – 0.1%
 
 
                   
  800    
Electronic Data Systems Corporation, Convertible Bonds
  3.875%   7/15/23   BBB-     783,000  
 
 
 
                   
 
Leisure Equipment & Products – 0.0%
 
 
                   
  500    
Eastman Kodak Company
  3.375%   10/15/33   B     486,875  
 
 
 
                   
 
Life Sciences Tools & Services – 0.2%
 
 
                   
  350    
Apogent Technologies, Inc., Convertible Bonds
  1.514%   12/15/33   BBB+     684,530  
  350    
Charles River Laboratories International, Inc.
  2.250%   6/15/13   BB+     467,250  
  250    
Fisher Scientific International, Inc., Convertible Bonds
  2.500%   10/01/23   BBB+     607,813  
 
  950    
Total Life Sciences Tools & Services
                1,759,593  
 
 
 
                   
 
Machinery – 0.1%
 
 
                   
  800    
Danaher Corporation, Convertible Bonds
  0.000%   1/22/21   A+     906,000  
  250    
Kaydon Corporation, Convertible Bonds
  4.000%   5/23/23   BB-     379,063  
  500    
Trinity Industries Inc., Convertible Bonds
  3.875%   6/01/36   Ba2     426,250  
 
  1,550    
Total Machinery
                1,711,313  
 
 
 
                   
 
Media – 0.7%
 
 
                   
  200    
ELF Special Financing Limited, Convertible Bonds, 144A
  6.008%   6/15/09   Ba3     214,480  
  600    
ELF Special Financing Limited, Convertible Bonds, 144A
  3.150%   6/15/09   Ba3     579,000  
  1,850    
Getty Images, Inc., Convertible Bonds
  0.500%   6/09/23   Ba2     1,836,125  
  500    
Interpublic Group, Inc., Convertible Bonds
  4.250%   3/15/23   Ba3     495,000  
  300    
Lamar Advertising Company, Convertible
  2.875%   12/31/10   B1     303,375  
  650    
Liberty Media Corporation, Senior Debentures, Exchangeable for Class B Viacom Common Stock
  3.250%   3/15/31   BB+     442,000  
  700    
Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1
  4.000%   11/15/29   BB+     381,500  
  950    
Omnicom Group, Inc.
  0.000%   7/31/32   A-     957,125  
  550    
Omnicom Group, Inc.
  0.000%   7/01/38   A-     580,938  
  1,050    
Omnicom Group, Inc.
  0.000%   2/07/31   A-     1,044,750  
  250    
Sinclair Broadcast Group, Inc., Convertible Bonds
  3.000%   5/15/27   B     227,500  
  850    
Walt Disney Company, Convertible Senior Notes
  2.125%   4/15/23   A     911,625  
 
  8,450    
Total Media
                7,973,418  
 
 
 
                   
 
Metals & Mining – 0.2%
 
 
                   
  2,000    
Gold Reserve, Inc., Convertible Bonds
  5.500%   6/15/22   N/A     1,790,000  
  650    
Newmont Mining Corporation
  1.625%   7/15/17   BBB+     797,063  
 
  2,650    
Total Metals & Mining
                2,587,063  
 
 
 
                   
 
Multiline Retail – 0.0%
 
 
                   
  250    
Saks, Inc., Convertible Bonds
  2.000%   3/15/24   B+     293,123  
 
 
 
                   
 
Oil, Gas & Consumable Fuels – 0.4%
 
 
                   
  800    
Chesapeake Energy Corporation, 144A
  2.750%   11/15/35   BB     1,072,000  
  1,000    
Chesapeake Energy Corporation, Convertible Bonds
  2.500%   5/15/37   BB     1,265,000  
  500    
Devon Energy Corporation
  4.900%   8/15/08   BBB+     800,000  
  600    
Peabody Energy Corp., Convertible Bond
  4.750%   12/15/66   Ba3     684,000  
  1,075    
USEC Inc., Convertible Bond
  3.000%   10/01/14   CCC     630,219  
 
  3,975    
Total Oil, Gas & Consumable Fuels
                4,451,219  
 
 
 
                   
 
Pharmaceuticals – 0.5%
 
 
                   
  500    
Allergan Inc., Convertible Bond
  1.500%   4/01/26   A     553,750  
  750    
Bristol-Myers Squibb Company, Convertible Bond
  2.300%   9/15/23   A+     747,225  
  650    
Myland Labs, Inc., Convertible Bonds
  1.250%   3/15/12   B+     543,563  
  500    
Teva Pharmaceutical Finance, Series A
  0.500%   2/01/24   BBB+     623,125  
  600    
Teva Pharmaceutical Finance, Series B
  0.250%   2/01/24   BBB+     818,250  
  750    
Watson Pharmaceuticals Inc., Convertible Bond
  1.750%   3/15/23   BB+     725,625  
  1,300    
Wyeth, Convertible Bond
  3.581%   1/15/24   A+     1,310,361  
 
  5,050    
Total Pharmaceuticals
                5,321,899  
 
 
 
                   
 
Real Estate – 0.8%
 
 
                   
  1,050    
Boston Properties Limited Partnership, Convertible Bonds, 144A
  2.875%   2/15/37   A-     997,500  
  450    
Brandywine Operating Partnership, Convertible Bonds
  3.875%   10/15/26   BBB-     383,625  
  550    
BRE Properties Inc., Convertible Bond
  4.125%   8/15/26   BBB     511,500  
  750    
Developers Diversified Realty Corporation, Convertible Bonds
  3.000%   3/15/12   BBB     637,500  
  500    
Duke Realty Corporation, Series D
  3.750%   12/01/11   BBB+     438,750  
  350    
Health Care REIT, Inc., Convertible Bonds
  4.750%   12/01/26   Baa2     382,375  
  550    
Hospitality Properties Trust, Convertible Bonds
  3.800%   3/15/27   BBB     489,500  
  500    
Host Hotels & Resorts Inc, Convertible Bonds, 144A
  2.625%   4/15/27   BB     421,250  
  650    
Host Marriot LP, Convertible Bonds, 144A
  3.250%   4/15/24   Ba1     729,625  
  1,550    
Prologis, Convertible Bonds, 144A
  2.250%   4/01/37   BBB+     1,478,313  
  1,350    
Prologis, Convertible Bonds, 144A
  1.875%   11/15/37   BBB+     1,221,750  
  650    
Vornado Realty Trust, Convertible Bonds
  2.850%   4/01/27   BBB     554,938  
  650    
Weingarten Realty Investment Trust, Convertible Bonds
  3.950%   8/01/26   BBB+     623,188  
 
  9,550    
Total Real Estate
                8,869,814  
 
 
 
                   
 
Road & Rail – 0.0%
 
 
                   
  150    
CSX Corporation
  0.000%   10/30/21   BBB-     299,061  
 
 
 
                   
 
Semiconductors & Equipment – 0.6%
 
 
                   
  1,000    
Advanced Micro Devices, Inc., Convertible Bonds
  5.750%   8/15/12   B     710,000  
  400    
Advanced Micro Devices, Inc., Convertible Bonds
  5.750%   8/15/12   B     284,000  
  1,000    
Advanced Micro Devices, Inc., Convertible Bonds
  6.000%   5/01/15   B     633,750  
  900    
Advanced Micro Devices, Inc., Convertible Bonds
  6.000%   5/01/15   B     570,375  
  1,550    
Intel Corporation, Convertible Bond
  2.950%   12/15/35   A-     1,528,688  
  2,500    
Qimonda Finance LLC, Convertible Bond
  6.750%   3/22/13   N/A     2,281,250  
  750    
Xilinx Inc., Convertible Bond, 144A
  3.125%   3/15/37   BB     680,625  
  250    
Xilinx Inc., Convertible Bond, 144A
  3.125%   3/15/37   BB     226,875  
 
  8,350    
Total Semiconductors & Equipment
                6,915,563  
 
 
 
                   
 
Software – 0.1%
 
 
                   
  550    
Amdocs Limited
  0.500%   3/15/24   BBB-     547,250  
  400    
Computer Associates International Inc., Convertible Bond, Series 144A
  1.625%   12/15/09   Ba1     493,500  
  500    
Red Hat Inc., Convertible Bond
  0.500%   1/15/24   BB-     495,625  
 
  1,450    
Total Software
                1,536,375  
 
 
 
                   
 
Specialty Retail – 0.1%
 
 
                   
  500    
TJX Companies, Inc.
  0.000%   2/13/21   A-     558,750  
 
 
 
                   
 
Textiles, Apparel & Luxury Goods – 0.0%
 
 
                   
  300    
Iconix Brand Group, Inc., Convertible Notes
  1.875%   6/30/12   B     273,375  
 
 
 
                   
 
Thrifts & Mortgage Finance – 0.1%
 
 
                   
  1,550    
Countrywide Financial Corporation, Convertible Bonds, 144A
  0.498%   4/15/37   BBB+     1,379,500  
 
 
 
                   
 
Wireless Telecommunication Services – 0.1%
 
 
                   
  300    
American Tower Corporation
  3.000%   8/15/12   BB+     591,375  
  650    
Liberty Media Corporation Convertible Bonds
  3.750%   2/15/30   BB+     321,750  
 
  950    
Total Wireless Telecommunication Services
                913,125  
 
$ 108,229    
Total Convertible Bonds (cost $112,940,384)
                109,572,328  
 
                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity   Ratings (3)   Value  
 
 
 
                   
 
Corporate Bonds – 10.2% (6.3% of Total Investments)
 
 
                   
 
Aerospace & Defense – 0.1%
 
 
                   
$ 1,000    
Hexcel Corporation, Term Loan
  6.750%   2/01/15   B+   $ 972,500  
 
 
 
                   
 
Auto Components – 0.0%
 
 
                   
  500    
Keystone Automotive Operations Inc.
  9.750%   11/01/13   CCC     282,500  
 
 
 
                   
 
Capital Markets – 0.0%
 
 
                   
  500    
LVB Acquisition Merger LLC
  10.000%   10/15/17   B-     526,250  
 
 
 
                   
 
Chemicals – 0.2%
 
 
                   
  1,000    
Momentive Performance Materials
  9.750%   12/01/14   B     902,500  
  1,500    
Rockwood Specialties Group Inc., Series WI
  7.500%   11/15/14   BB-     1,462,500  
 
  2,500    
Total Chemicals
                2,365,000  
 
 
 
                   
 
Containers & Packaging – 0.4%
 
 
                   
  2,000    
Owens-Brockway Glass Containers, Guaranteed Senior Note
  8.250%   5/15/13   BB     2,080,000  
  2,000    
Owens-Illinois Inc.
  7.800%   5/15/18   B+     1,990,000  
 
  4,000    
Total Containers & Packaging
                4,070,000  
 
 
 
                   
 
Diversified Telecommunication Services – 0.3%
 
 
                   
  2,000    
Intelsat Subsidiary Holding Company Limited
  8.500%   1/15/13   BB-     2,025,000  
  1,950    
PanAmSat Corporation
  9.000%   8/15/14   BB-     1,974,375  
 
  3,950    
Total Diversified Telecommunication Services
                3,999,375  
 
 
 
                   
 
Electric Utilities – 0.1%
 
 
                   
  1,000    
Sierra Pacific Resources, Series 2006
  6.750%   8/15/17   BB-     969,342  
 
 
 
                   
 
Energy Equipment & Services – 0.1%
 
 
                   
  1,500    
Pride International Inc.
  7.375%   7/15/14   BB+     1,567,500  
 
 
 
                   
 
Food & Staples Retailing – 0.2%
 
 
                   
  2,000    
Stater Brothers Holdings Inc.
  8.125%   6/15/12   B+     2,015,000  
 
 
 
                   
 
Food Products – 0.1%
 
 
                   
  2,243    
Dole Foods Company
  7.875%   7/15/13   CCC+     1,693,465  
 
 
 
                   
 
Health Care Providers & Services – 0.7%
 
 
                   
  3,000    
Community Health Systems, Inc.
  8.875%   7/15/15   B     3,026,250  
  1,700    
HCA Inc.
  9.125%   11/15/14   BB-     1,755,250  
  700    
HCA Inc.
  9.250%   11/15/16   BB-     728,000  
  2,500    
US Oncology Inc.
  10.750%   8/15/14   B3     2,481,250  
 
  7,900    
Total Health Care Providers & Services
                7,990,750  
 
 
 
                   
 
Hotels, Restaurants & Leisure – 1.2%
 
 
                   
  2,000    
Boyd Gaming Corporation
  7.750%   12/15/12   BB     1,860,000  
  1,400    
Jacobs Entertainment Inc.
  9.750%   6/15/14   B     1,057,000  
  2,000    
Landry’s Restaurants Inc.
  9.500%   12/15/14   B3     1,960,000  
  1,600    
Park Place Entertainment
  8.125%   5/15/11   B-     1,352,000  
  2,000    
Pinnacle Entertainment Inc.
  8.250%   3/15/12   B+     1,895,000  
  750    
Pinnacle Entertainment Inc.
  8.750%   10/01/13   B+     742,500  
  1,750    
Seminole Hard Rock Entertainment, Inc.
  5.500%   3/15/14   BB     1,395,625  
  4,000    
Universal City Development Partners
  11.750%   4/01/10   B+     4,120,000  
 
  15,500    
Total Hotels, Restaurants & Leisure
                14,382,125  
 
 
 
                   
 
Household Products – 0.1%
 
 
                   
  1,650    
Central Garden & Pet Company, Senior Subordinate Notes
  9.125%   2/01/13   CCC+     1,340,625  
 
 
 
                   
 
Independent Power Producers & Energy Traders – 0.1%
 
 
                   
  500    
Mirant North America LLC
  7.375%   12/31/13   B1     507,500  
  400    
NRG Energy Inc.
  7.250%   2/01/14   B1     396,000  
  400    
NRG Energy Inc.
  7.375%   2/01/16   B1     393,000  
 
  1,300    
Total Independent Power Producers & Energy Traders
                1,296,500  
 
 
 
                   
 
Insurance – 0.6%
 
 
                   
  8,000    
Great West Life & Annuity Capital I
  6.625%   11/15/34   A-     6,549,568  
 
 
 
                   
 
IT Services – 0.8%
 
 
                   
  3,500    
First Data Corporation
  9.875%   9/24/15   B     2,883,125  
  1,625    
Global Cash Access LLC
  8.750%   3/15/12   B     1,604,688  
  4,750    
Sungard Data Systems Inc.
  9.125%   8/15/13   B+     4,821,250  
 
  9,875    
Total IT Services
                9,309,063  
 
 
 
                   
 
Machinery – 0.2%
 
 
                   
  2,000    
Greenbrier Companies, Inc.
  8.375%   5/15/15   B     1,890,000  
 
 
 
                   
 
Media – 1.5%
 
 
                   
  4,000    
Allbritton Communications Company, Series B
  7.750%   12/15/12   B+     3,940,000  
  1,000    
Cablevision Systems Corporation, Series B
  8.125%   8/15/09   BB     1,012,500  
  5,000    
Cablevision Systems Corporation
  7.250%   7/15/08   BB     5,012,500  
  2,000    
Charter Communications Operating LLC, 144A
  8.000%   4/30/12   B-     1,845,000  
  1,975    
Medianews Group Inc.
  6.375%   4/01/14   B3     928,250  
  4,000    
R.H. Donnelley Corporation
  8.875%   10/15/17   B     2,520,000  
  2,000    
Young Broadcasting Inc., Senior Subordinated Note
  10.000%   3/01/11   Caa2     1,265,000  
 
  19,975    
Total Media
                16,523,250  
 
 
 
                   
 
Metals & Mining – 0.3%
 
 
                   
  3,700    
MagIndustries Corporation
  11.000%   12/14/12   N/A     3,482,965  
 
 
 
                   
 
Multi-Utilities – 0.1%
 
 
                   
  1,600    
Dynegy Holdings, Inc., Term Loan
  8.375%   5/01/16   B     1,592,000  
 
 
 
                   
 
Oil, Gas & Consumable Fuels – 0.8%
 
 
                   
  2,400    
Baytex Energy Ltd
  9.625%   7/15/10   B     2,436,000  
  400    
Chaparral Energy Inc.
  8.500%   12/01/15   CCC+     350,000  
  2,345    
Chesapeake Energy Corporation
  7.750%   1/15/15   BB     2,427,075  
  1,000    
Hilcorp Energy I LP/Hilcorp Finance Company, Series 144A
  7.750%   11/01/15   B+     942,500  
  2,000    
SemGroup LP, 144A
  8.750%   11/15/15   B1     1,840,000  
  1,000    
Whiting Petroleum Corporation
  7.000%   2/01/14   B1     995,000  
 
  9,145    
Total Oil, Gas & Consumable Fuels
                8,990,575  
 
 
 
                   
 
Paper & Forest Products – 0.6%
 
 
                   
  5,000    
Georgia-Pacific Corporation
  8.125%   5/15/11   B+     4,987,500  
  2,000    
Georgia-Pacific Corporation
  7.700%   6/15/15   B+     1,890,000  
 
  7,000    
Total Paper & Forest Products
                6,877,500  
 
 
 
                   
 
Personal Products – 0.1%
 
 
                   
  1,500    
Prestige Brands Inc.
  9.250%   4/15/12   B-     1,455,000  
 
 
 
                   
 
Real Estate – 0.4%
 
 
                   
  3,000    
Felcor Lodging Trust Inc., 144A
  6.788%   12/01/11   Ba3     2,662,500  
  1,000    
Trustreet Properties, Inc.
  7.500%   4/01/15   AAA     1,090,314  
  500    
Ventas Realty LP, Series WI
  7.125%   6/01/15   BBB-     498,750  
 
  4,500    
Total Real Estate
                4,251,564  
 
 
 
                   
 
Semiconductors & Equipment – 0.3%
 
 
                   
  1,600    
Avago Technologies Finance Pte Limited
  10.375%   12/01/13   BB-     1,696,000  
  2,000    
NXP BV
  7.008%   10/15/13   BB-     1,657,500  
 
  3,600    
Total Semiconductors & Equipment
                3,353,500  
 
 
 
                   
 
Software – 0.2%
 
 
                   
  3,250    
Telcorida Technologies, Inc., (12)
  6.514%   7/15/12   B     2,486,250  
 
 
 
                   
 
Specialty Retail – 0.3%
 
 
                   
  3,000    
Warnaco Inc., Senior Notes
  8.875%   6/15/13   BB     3,120,000  
 
 
 
                   
 
Textiles, Apparel & Luxury Goods – 0.3%
 
 
                   
  3,000    
Jostens IH Corporation
  7.625%   10/01/12   B+     2,932,500  
 
 
 
                   
 
Wireless Telecommunication Services – 0.1%
 
 
                   
  1,500    
IPCS, Inc.
  5.364%   5/01/13   B1     1,162,500  
 
$ 127,188    
Total Corporate Bonds (cost $126,618,678)
                117,447,167  
 
                             
Principal                        
Amount (000)/                        
Shares     Description (1)   Coupon   Maturity   Ratings (3)   Value  
 
 
 
                   
 
Capital Preferred Securities – 28.0% (17.2% of Total Investments)
 
 
                   
 
Capital Markets – 3.2%
 
 
                   
  250    
C.A. Preferred Fund Trust II
  7.000%   10/30/49   A1   $ 230,583  
  17,800    
C.A. Preferred Funding Trust
  7.000%   1/30/49   A1     16,415,925  
  10,700    
Dresdner Funding Trust I, 144A
  8.151%   6/30/31   A1     9,482,147  
  1,600    
Kleinwort Benson Group PLC
  5.377%   12/31/99   N/A     744,000  
  1,600    
MUFG Capital Finance 2
  4.850%   7/25/56   BBB+     1,791,640  
  8,000    
UBS Preferred Funding Trust I
  8.622%   10/29/49   Aa2     7,945,712  
 
       
Total Capital Markets
                36,610,007  
         
 
 
                   
 
Commercial Banks – 16.5%
 
 
                   
  3,000    
AB Svensk Exportkredit, 144A
  6.375%   10/27/49   AA-     2,991,837  
  9,050    
Abbey National Capital Trust I
  8.963%   6/30/50   A+     10,738,757  
  2,155    
AgFirst Farm Credit Bank
  8.393%   12/15/16   A-     2,018,569  
  6,500    
AgFirst Farm Credit Bank
  7.300%   12/15/53   A-     6,100,257  
  3,000    
Bank One Capital III
  8.750%   9/01/30   Aa3     3,348,036  
  2,000    
BanPonce Trust I, Series A
  8.327%   2/01/27   Baa1     1,962,070  
  13,030    
Barclays Bank PLC, 144A
  8.550%   6/15/49   Aa3     13,634,266  
  1,500    
Barclays Bank PLC
  7.434%   12/15/57   Aa3     1,358,378  
  2,200    
BBVA International Preferred S.A., Unipersonal
  5.919%   10/18/49   A1     1,739,566  
  4,000    
BNP Paribas
  7.195%   12/25/57   AA-     3,552,648  
  700    
Capital One Capital IV Corporation
  6.745%   2/17/37   Baa1     501,056  
  8,000    
CBG Florida REIT Corporation
  7.114%   11/15/49   BB+     4,542,672  
  3,000    
Centura Capital Trust I, 144A
  8.845%   6/01/27   A2     3,137,802  
  1,500    
DBS Capital Funding Corporation, 144A
  7.657%   3/15/49   Aa3     1,508,666  
  1,100    
Den Norske Bank, 144A
  7.729%   6/29/49   Aa3     1,108,715  
  6,200    
First Empire Capital Trust I
  8.234%   2/01/27   A3     6,333,951  
  2,000    
First Midwest Bancorp Inc.
  6.950%   12/01/33   Baa1     1,567,520  
  800    
HBOS Capital Funding LP, Notes
  6.850%   3/23/49   A1     560,908  
  13,400    
HBOS PLC, Series 144A
  6.413%   4/01/49   A1     9,622,218  
  3,000    
HBOS PLC, Series 144A
  6.657%   11/21/57   A1     2,148,876  
  2,400    
HSBC Capital Funding LP, 144A
  9.547%   12/31/49   A1     2,580,830  
  5,750    
HSBC Capital Funding LP, Debt
  10.176%   6/30/50   A1     6,903,559  
  11,000    
KBC Bank Fund Trust III, 144A
  9.860%   5/02/50   A1     11,910,195  
  2,800    
Lloyds TSB Bank PLC, Subordinated Note
  6.900%   11/22/49   Aa2     2,677,976  
  11,500    
Mizuho Financial Group
  8.375%   4/27/49   Aa3     11,460,325  
  8,000    
North Fork Capital Trust II
  8.000%   12/15/27   Baa1     6,919,672  
  4,500    
Northgroup Preferred Capital Corporation, 144A
  6.378%   10/15/57   A1     3,356,757  
  3,000    
PNC Preferred Funding Trust III, (8)
  8.700%   3/15/58   A-     2,895,000  
  600    
Reliance Capital Trust I, Series B
  8.170%   5/01/28   N/R     516,696  
  2,000    
Royal Bank of Scotland Group PLC, Series U
  7.640%   3/31/49   A1     1,725,120  
  2,500    
Shinsei Finance II Cayman Limited, Perpetual Maturity, 144A
  7.160%   7/25/49   Baa2     1,806,250  
  8,000    
Sparebanken Rogaland, Notes, 144A
  6.443%   5/01/49   A2     8,117,240  
  4,000    
Standard Chartered PLC, 144A
  7.014%   1/30/58   BBB+     3,492,188  
  9,450    
Swedbank ForeningsSparbanken AB, 144A
  9.000%   9/17/50   Aa3     9,516,188  
  4,000    
Unicredito Italiano Capital Trust, 144A
  9.200%   4/05/51   A1     3,943,352  
  800    
Union Bank of Norway
  7.068%   11/19/49   A2     1,263,567  
  (9)  
Union Planters Preferred Fund, 144A
  7.750%   7/15/53   A3     33,506,250  
 
       
Total Commercial Banks
                191,067,933  
   
 
 
                   
 
Diversified Financial Services – 1.3%
 
 
                   
  3,100    
Fulton Capital Trust I
  6.290%   2/01/36   A3     2,244,711  
  10,400    
JPMorgan Chase Capital Trust XVIII
  6.950%   8/17/36   Aa3     9,607,375  
  2,800    
Old Mutual Capital Funding, Notes
  8.000%   6/22/53   Baa2     2,646,000  
 
       
Total Diversified Financial Services
                14,498,086  
       
 
 
                   
 
Diversified Telecommunication Services – 0.8%
 
 
                   
  10    
Centaur Funding Corporation, Series B, 144A
  9.080%   4/21/20   BBB     9,412,479  
 
 
 
                   
 
Insurance – 4.8%
 
 
                   
  1,000    
AMBAC Financial Group Inc.
  6.150%   2/15/87   A+     381,150  
  2,300    
American General Capital II
  8.500%   7/01/30   Aa3     2,576,805  
  13,000    
AXA S.A., 144A
  6.463%   12/14/49   BBB+     10,452,754  
  2,000    
Liberty Mutual Group
  7.800%   3/15/37   Baa3     1,690,432  
  2,100    
MetLife Inc.
  6.400%   12/15/66   BBB+     1,673,511  
  1,150    
Nationwide Financial Services Capital Trust
  7.899%   3/01/37   Baa1     1,063,424  
  6,500    
Nationwide Financial Services Inc.
  6.750%   5/15/67   Baa1     5,424,737  
  5,500    
Oil Insurance Limited, 144A
  7.558%   12/30/49   Baa1     4,810,569  
  7,600    
Progressive Corporation
  6.700%   6/15/37   A2     6,779,875  
  1,100    
Prudential PLC
  6.500%   6/29/49   A     924,187  
  9,900    
QBE Capital Funding Trust II, 144A
  6.797%   6/01/49   BBB     8,983,586  
  14,600    
XL Capital, Limited
  6.500%   10/15/57   BBB     10,960,482  
 
       
Total Insurance
                55,721,512  
   
 
 
                   
 
Road & Rail – 0.5%
 
 
                   
  6,400    
Burlington Northern Santa Fe Funding Trust I
  6.613%   12/15/55   BBB     5,828,412  
 
 
 
                   
 
Thrifts & Mortgage Finance – 0.9%
 
 
                   
  14,200    
Washington Mutual Preferred Funding Cayman, Series A-1, 144A
  7.250%   3/15/49   BB+     9,025,335  
  1,500    
Washington Mutual Preferred Funding Trust II
  6.665%   3/15/57   BB+     811,124  
 
       
Total Thrifts & Mortgage Finance
                9,836,459  
   
       
Total Capital Preferred Securities (cost $371,732,795)
                322,974,888  
         
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Investment Companies – 2.4% (1.5% of Total Investments)
 
 
                   
  65,094    
Blackrock Preferred and Corporate Income Strategies Fund
              $ 967,297  
  504,716    
Blackrock Preferred Income Strategies Fund
                7,666,636  
  59,226    
Blackrock Preferred Opportunity Trust
                975,452  
  542,663    
Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.
                8,053,119  
  81,797    
Flaherty and Crumrine/Claymore Total Return Fund Inc.
                1,283,395  
  50,586    
John Hancock Preferred Income Fund
                953,039  
  52,411    
John Hancock Preferred Income Fund II
                995,809  
  388,926    
John Hancock Preferred Income Fund III
                6,697,307  
 
 
Total Investment Companies (cost $35,729,339)
                27,592,054  
         
                             
Shares     Description (1)               Value  
 
 
 
               
 
Warrants – 0.0% (0.0% of Total Investments)
 
 
               
  647,500    
MagIndustries Corporation
              $ 537,770  
 
 
Total Warrants (cost $281,919)
                537,770  
         
                             
Principal                        
Amount (000)     Description (1)   Coupon   Maturity       Value  
 
 
 
                   
        Short-Term Investments – 6.6% (4.1% of Total Investments)
 
 
                   
$ 40,783    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/08, repurchase price $40,783,707, collateralized by: $26,635,000 U.S. Treasury Bonds, 5.250%, due 11/15/28, value $30,830,013, $10,485,000 U.S. Treasury Bonds, 4.375%, due 2/15/38, value $10,773,338
  1.100%   4/01/08       $ 40,782,461  
  35,130    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/08, repurchase price $35,131,116, collateralized by: $6,130,000 U.S. Treasury Bonds, 6.000%, due 2/15/26, value $7,494,379, $22,470,000 U.S. Treasury Bonds, 6.125%, due 8/15/29, value $28,340,288
  1.100%   4/01/08         35,130,043  
 
$ 75,913    
Total Short-Term Investments (cost $75,912,504)
                75,912,504  
   
 
Total Investments (cost $2,065,904,588) – 162.3%
                1,874,228,753  
         
                             
Shares     Description (1)               Value  
 
 
 
                   
 
Common Stocks Sold Short – (0.6)%
 
 
                   
 
Beverages – (0.0)%
 
 
                   
  (14,800 )  
Hansen Natural Corporation, (2)
              $ (522,440 )
 
 
 
                   
 
Computers & Peripherals – (0.0)%