UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21293

Nuveen Multi-Strategy Income and Growth Fund

(Exact name of registrant as specified in charter)

     333 West Wacker Drive, Chicago, Illinois 60606     
(Address of principal executive offices) (Zip code)

Kevin J. McCarthy—Vice President and Secretary
     333 West Wacker Drive, Chicago, Illinois 60606     
(Name and address of agent for service)

Registrant’s telephone number, including area code:      312-917-7700     

Date of fiscal year end:        12/31      

Date of reporting period:    9/30/2008   

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.

 

 

Item 1. Schedule of Investments

Shares				Description (1)								Value
				Common Stocks – 44.7% (26.9% of Total Investments)
				Aerospace & Defense – 0.7%
	11,150			Boeing Company								$	639,453
	2,570			Esterline Technologies Corporation, (2)									101,746
	10,700			Finmeccanica S.p.A.									231,950
	10,146			Lockheed Martin Corporation									1,112,712
	10,020			Orbital Sciences Corporation, (2)									240,179
	53,400			Thales S.A.									2,694,814
				Total Aerospace & Defense									5,020,854
				Air Freight & Logistics – 0.1%
	9,400			FedEx Corporation									742,976
				Airlines – 0.1%
	18,070			Lufthansa AG									353,238
				Auto Components – 0.2%
	34,320			Aisin Seiki Company Limited									840,500
	20,080			Magna International Inc., Class A									1,027,895
				Total Auto Components									1,868,395
				Automobiles – 0.5%
	20,460			Daimler-Chrysler AG									1,033,230
	28,730			Honda Motor Company Limited									865,060
	950			S.A. D’Ieteren N.V.									214,717
	14,510			Toyota Motor Corporation									1,244,958
	34,920			Yamaha Motor Company Limited									476,941
				Total Automobiles									3,834,906
				Beverages – 1.3%
	2,460			Boston Beer Company, (2)									116,825
	82,540			Coca Cola Amatil Limited									551,100
	19,280			Coca-Cola Company									1,019,526
	42,090			Coca-Cola Enterprises Inc.									705,849
	15,850			Diageo PLC, Sponsored ADR									1,091,431
	39,940			Fomento Economico Mexicano S.A.									1,523,312
	55,490			Heineken N.V.									2,229,440
	19,500			Molson Coors Brewing Company, Class B									911,625
	14,520			Pepsi Bottling Group, Inc.									423,548
	16,720			PepsiCo, Inc.									1,191,634
	6,940			SABMiller PLC									135,501
				Total Beverages									9,899,791
				Biotechnology – 1.0%
	9,800			Alnylam Pharmaceuticals, Inc., (2)									283,710
	69,500			Amgen Inc., (2), (14)									4,119,265
	14,570			Cephalon, Inc., (2)									1,129,029
	6,130			Genentech, Inc., (2)									543,608
	15,050			Genzyme Corporation, (2)									1,217,395
	11,580			Novo-Nordisk A/S									592,896
				Total Biotechnology									7,885,903
				Capital Markets – 1.3%
	25,432			Bank of New York Company, Inc.									828,575
	9,020			Calamos Asset Management, Inc. Class A									161,638
	21,480			Credit Suisse Group									1,037,054
	10,330			Credit Suisse Group, (2)									482,431
	136,250			Daiwa Securities Group Inc.									992,409
	5,740			Franklin Resources, Inc.									505,866
	33,420			Invesco LTD									701,152
	43,870			JPMorgan Chase & Co.									2,048,729
	12,780			Legg Mason, Inc.									486,407
	54,051			Man Group PLC									330,299
	3,440			Stifel Financial Corporation, (2)									171,656
	16,400			TD Ameritrade Holding Corporation, (2)									265,680
	111,272			UBS AG, (2), (14)									1,951,711
				Total Capital Markets									9,963,607
				Chemicals – 1.1%
	6,130			Air Products & Chemicals Inc.									419,844
	7,740			Bayer AG									566,855
	2,940			CF Industries Holdings, Inc.									268,892
	10,060			Eastman Chemical Company									553,904
	4,300			Lubrizol Corporation									185,502
	174,420			Mitusi Chemicals									768,941
	20,360			Mosaic Company									1,384,887
	113,740			Nissan Chemical Industries Limited									1,044,421
	13,980			Potash Corporation of Saskatchewan									1,812,375
	21,230			Shin-Etsu Chemical Company Limited									1,009,501
	3,960			Terra Industries, Inc.									116,424
	2,880			Wacker Chemie AG									411,172
				Total Chemicals									8,542,718
				Commercial Banks – 1.9%
	61,400			Allinaz S.E									841,794
	31,810			Banco Santander Central S.A.									477,786
	43,350			Barclays PLC									257,561
	18,800			BB&T Corporation									710,640
	21,630			BNP Paribas S.A.									2,064,746
	7,860			Community Bank System Inc.									197,679
	26,780			Credit Agricole S.A.									515,779
	161,640			DnB NOR ASA									1,253,970
	94,060			Hang Seng Bank, (2)									1,778,121
	45,150			IntesaSanpaolo SpA									248,306
	4,370			KB Financial Group Inc., (2)									199,665
	68,770			KeyCorp.									821,114
	17,850			Lloyds TSB Group PLC, Sponsored ADR									298,631
	2,244			National Bank of Greece S.A.									90,937
	23,520			National Bank of Greece S.A.									194,040
	329,160			Nishi-Nippon City Bank Limited									821,913
	9,240			Nordic Baltic Holdings FDR									110,316
	4,570			Northern Trust Corporation									329,954
	12,580			PNC Financial Services Group, Inc.									939,726
	3,660			Prosperity Bancshares, Inc.									124,403
	38,720			Standard Chartered PLC									952,726
	3,760			SVB Financial Group, (2)									217,779
	4,350			UMB Financial Corporation									228,462
	46,260			United Overseas Bank Limited									553,030
				Total Commercial Banks									14,229,078
				Commercial Services & Supplies – 1.2%
	415,000			Allied Waste Industries, Inc., (2), (14)									4,610,650
	47,130			Corrections Corporation of America, (2)									1,171,181
	3,230			Dun and Bradstreet Inc.									304,783
	22,220			Randstad Holding N.V.									584,265
	293,300			Toppan Printing Company Limited									2,287,374
				Total Commercial Services & Supplies									8,958,253
				Communications Equipment – 0.4%
	3,630			Comtech Telecom Corporation, (2)									178,741
	19,610			Nokia Oyj, Sponsored ADR									365,727
	58,600			QUALCOMM Inc.									2,518,042
				Total Communications Equipment									3,062,510
				Computers & Peripherals – 0.8%
	17,761			Apple, Inc., (2)									2,018,715
	38,390			Hewlett-Packard Company									1,775,154
	19,570			International Business Machines Corporation (IBM)									2,288,907
	6,690			NCR Corporation, (2)									147,515
				Total Computers & Peripherals									6,230,291
				Construction & Engineering – 0.6%
	186,760			AMEC PLC									2,142,210
	14,030			Fluor Corporation									781,471
	105,700			JGC Corporation									1,695,783
	4,060			Perini Corporation, (2)									104,707
				Total Construction & Engineering									4,724,171
				Consumer Finance – 0.4%
	17,210			Capitalsource Inc.									211,683
	6,300			MasterCard, Inc.									1,117,179
	18,040			Visa Inc.									1,107,476
	10,210			Western Union Company									251,881
				Total Consumer Finance									2,688,219
				Containers & Packaging – 0.1%
	14,820			Owens-Illinois, Inc., (2)									435,708
	12,370			Packaging Corp. of America									286,737
				Total Containers & Packaging									722,445
				Distributors – 0.1%
	47,310			Jardine Cycle & Carriage Limited									520,406
	18,480			Unilever PLC									502,487
				Total Distributors									1,022,893
				Diversified Consumer Services – 0.2%
	17,820			Apollo Group, Inc., (2)									1,056,726
	4,840			ITT Educational Services, Inc., (2)									391,604
				Total Diversified Consumer Services									1,448,330
				Diversified Financial Services – 0.6%
	24,020			Citigroup Inc.									492,650
	18,050			Deutsche Boerse AG									1,651,763
	8,870			Eaton Vance Corporation									312,490
	71,890			ING Groep N.V., Ordinary Shares									1,541,162
	16,410			ING Groep N.V., Sponsored ADR									351,174
	1,780			Orix Corporation									222,870
				Total Diversified Financial Services									4,572,109
				Diversified Telecommunication Services – 2.6%
	31,330			AT&T Inc.									874,734
	5,930			Cbeyond Inc., (2)									85,333
	16,710			Embarq Corporation									677,591
	16,410			France Telecom SA									459,644
	52,950			KT Corporation, Sponsored ADR, (14)									889,031
	387,100			Nippon Telegraph and Telephone Corporation, (14)									8,713,621
	460			Nippon Telegraph and Telephone Corporation, DD1									2,053,184
	207,000			Sprint Nextel Corporation, (2), (14)									1,262,700
	2,295,000			Telecom Italia S.p.A.									2,601,490
	20,730			Telefonica SA									1,481,988
	25,980			Telefonos de Mexico SA, Series L									668,985
				Total Diversified Telecommunication Services									19,768,301
				Electric Utilities – 2.2%
	37,600			Ameren Corporation, (14)									1,467,528
	4,810			Black Hills Corporation									149,447
	206,000			Centrais Electricas Brasileiras S.A., ADR Pref., (2)									2,560,910
	32,540			E.ON A.G., Sponsored ADR, (2)									1,640,895
	27,750			Edison International									1,107,225
	7,250			El Paso Electric Company, (2)									152,250
	6,790			Exelon Corporation									425,190
	10,660			FPL Group, Inc.									536,198
	100,500			IdaCorp, Inc., (14)									2,923,545
	268,500			Korea Electric Power Corporation, Sponsored ADR									3,326,715
	148,600			PNM Resources Inc.									1,521,664
	12,100			Progress Energy, Inc.									521,873
				Total Electric Utilities									16,333,440
				Electrical Equipment – 0.7%
	74,560			ABB Limited, (2)									1,444,855
	31,820			Emerson Electric Company									1,297,938
	1,000			First Solar Inc., (2)									188,910
	6,120			GrafTech International Ltd., (2)									92,473
	89,240			Hitachi Limited									602,457
	15,040			Nidec Corporation									925,242
	16,140			Nikon Corporation									387,183
	28,410			Prysmian SPA, (2)									558,848
				Total Electrical Equipment									5,497,906
				Electronic Equipment & Instruments – 0.6%
	5,380			Dolby Laboratories, Inc., (2)									189,322
	4,304			Itron Inc., (2)									381,033
	6,020			Mettler-Toledo International Inc., (2)									589,960
	4,377			Multi Fineline Electronix, Inc., (2)									64,736
	4,060			SunPower Corporation, (2)									287,976
	45,000			Tech Data Corporation, (2), (14)									1,343,250
	2,807			Teledyne Technologies Inc., (2)									160,448
	26,910			Thermo Fisher Scientific, Inc., (2)									1,480,050
				Total Electronic Equipment & Instruments									4,496,775
				Energy Equipment & Services – 1.2%
	231,500			BJ Services Company, (14)									4,428,595
	3,230			Cabot Oil & Gas Corporation									116,732
	22,860			Cooper Cameron Corporation, (2)									881,024
	1,620			Dawson Geophysical Company, (2)									75,638
	7,800			Dresser Rand Group, Inc., (2)									245,466
	18,960			FMC Technologies Inc., (2)									882,588
	9,130			Matrix Service Company, (2)									174,383
	3,900			National-Oilwell Varco Inc., (2)									195,897
	5,110			Noble Corporation									224,329
	19,510			Patterson-UTI Energy, Inc.									390,590
	14,570			Pride International Inc., (2)									431,418
	8,920			Superior Well Services, Inc., (2)									225,765
	10,600			Technip S.A.									595,627
	4,460			Transocean Inc., (2)									489,886
				Total Energy Equipment & Services									9,357,938
				Food & Staples Retailing – 0.7%
	15,390			Casino Guichard-Perrachon S.A.									1,373,240
	8,350			Costco Wholesale Corporation									542,166
	71,030			Koninklijke Ahold N.V., (2)									820,519
	31,550			Kroger Co.									866,994
	2,870			Nash Finch Company									123,754
	31,210			Safeway Inc.									740,301
	5,840			Wal-Mart Stores, Inc.									349,758
	50,570			William Morrison Supermarkets PLC									235,171
				Total Food & Staples Retailing									5,051,903
				Food Products – 2.2%
	22,000			Dean Foods Company, (2)									513,920
	5,190			Diamond Foods Inc.									145,476
	9,155			Flowers Foods Inc.									268,791
	9,400			General Mills, Inc.									645,968
	27,480			H.J. Heinz Company									1,373,176
	164,660			Jeronimo Martins SGPS									1,404,299
	7,800			Monsanto Company									772,044
	267,000			Smithfield Foods, Inc., (2), (14)									4,239,960
	481,100			Tyson Foods, Inc., Class A, (14)									5,744,334
	59,210			Unilever PLC									1,611,104
				Total Food Products									16,719,072
				Gas Utilities – 0.2%
	12,090			E. ON AG									608,573
	2,370			Energen Corporation									107,314
	5,920			Questar Corporation									242,246
	13,640			Spectra Energy Corporation									324,632
				Total Gas Utilities									1,282,765
				Health Care Equipment & Supplies – 0.7%
	1,850			Analogic Corporation									92,056
	24,080			Baxter International Inc.									1,580,370
	2,640			Conmed Corporation, (2)									84,480
	27,010			Fresenius SE									1,398,211
	1,390			Masimo Corporation, (2)									51,708
	109,400			Paramount Bed Company Limited									1,462,842
	22,300			Saint Jude Medical Inc., (2)									969,827
				Total Health Care Equipment & Supplies									5,639,494
				Health Care Providers & Services – 0.6%
	27,074			Express Scripts, Inc., (2)									1,998,603
	73,000			Health Net Inc., (2), (14)									1,722,800
	16,710			Omnicare, Inc.									480,747
	6,900			PharMerica Corporation, (2)									155,181
				Total Health Care Providers & Services									4,357,331
				Hotels, Restaurants & Leisure – 0.3%
	15,600			Burger King Holdings Inc.									383,136
	20,070			McDonald’s Corporation									1,238,319
	9,430			Pinnacle Entertainment Inc., (2)									71,291
	15,600			Starbucks Corporation, (2)									231,972
	2,220			WMS Industries Inc., (2)									67,865
				Total Hotels, Restaurants & Leisure									1,992,583
				Household Durables – 0.4%
	11,830			Desarrolladora Homex SAB de C.V., Sponsored ADR, (2)									523,123
	35,190			Jarden Corporation, (2)									825,206
	73,950			Matsushita Electric Industrial Co., Ltd									1,274,862
	6,990			MDC Holdings Inc.									255,764
				Total Household Durables									2,878,955
				Household Products – 0.2%
	24,890			Colgate-Palmolive Company									1,875,462
				Independent Power Producers & Energy Traders – 0.1%
	36,450			NRG Energy Inc., (2)									902,138
				Industrial Conglomerates – 0.5%
	16,810			East Asiatic Co LTD									706,345
	37,080			General Electric Company									945,540
	129,580			Keppel Corporation									716,033
	20,300			Mitsubishi Corporation									423,461
	3,480			Siemens AG, Sponsored ADR									326,737
	4,030			Teleflex Inc.									255,865
	15,300			Walter Industries Inc.									725,985
				Total Industrial Conglomerates									4,099,966
				Insurance – 1.1%
	10,970			Ace Limited									593,806
	22,735			AFLAC Incorporated									1,335,681
	8,400			Amtrust Financial Services, Inc.									114,156
	7,260			Arch Capital Group Limited, (2)									530,198
	3,260			Aspen Insurance Holdings Limited									89,650
	24,730			Assurant Inc.									1,360,150
	9,380			AXA									307,048
	10,980			Axis Capital Holdings Limited									348,176
	960			Fairfax Financial Holdings Limited									315,360
	10,050			HCC Insurance Holdings Inc.									271,350
	254,000			Mapfre S.A.									1,110,336
	15,700			Prudential Corporation PLC									143,152
	3,850			Sun Life Financial Inc.									136,175
	11,130			Travelers Companies, Inc.									503,076
	21,510			WR Berkley Corporation									506,561
	1,060			Zurich Financial Services AG									293,536
				Total Insurance									7,958,411
				Internet Software & Services – 0.3%
	60,000			eBay Inc., (2), (14)									1,342,800
	15,920			Sohu.com Inc., (2)									887,540
	9,510			Switch & Data Facilities Company, Inc., (2)									118,400
	2,780			Vocus, Inc., (2)									94,409
				Total Internet Software & Services									2,443,149
				IT Services – 0.2%
	28,430			Accenture Limited									1,080,340
	10,240			CGI Group Inc., (2)									90,522
	11,400			TNS Inc., (2)									220,818
				Total IT Services									1,391,680
				Leisure Equipment & Products – 0.1%
	13,580			Hasbro, Inc.									471,498
	8,990			Marvel Entertainment Inc., (2)									306,919
				Total Leisure Equipment & Products									778,417
				Life Sciences Tools & Services – 0.1%
	570			Bio-Rad Laboratories Inc., (2)									56,498
	2,180			Dionex Corporation, (2)									138,539
	17,080			Illumina Inc., (2)									692,252
				Total Life Sciences Tools & Services									887,289
				Machinery – 0.6%
	44,350			ABB Limited									860,390
	18,440			AGCO Corporation, (2)									785,728
	4,130			Badger Meter Inc.									193,904
	5,380			Cummins Inc.									235,214
	4,570			Eaton Corporation									256,743
	9,260			Flowserve Corporation									822,010
	5,488			Harsco Corporation									204,099
	9,850			MAN AG									663,165
	4,520			Parker Hannifin Corporation									239,560
	5,550			Robbins & Myers, Inc.									171,662
				Total Machinery									4,432,475
				Marine – 0.2%
	153,230			Kawasaki Kisen Kaisha Limited									947,982
	67,630			Nippon Yusen Kabushki Kaisha									440,853
	40,000			Stolt-Nielsen S.A.									474,673
				Total Marine									1,863,508
				Media – 0.7%
	36,770			Cablevision Systems Corporation									925,133
	4,460			Central European Media Enterprises Limited, (2)									291,684
	46,830			DIRECTV Group, Inc., (2)									1,225,541
	21,870			Regal Entertainment Group, Class A									345,109
	58,700			Scholastic Corporation, (14)									1,507,416
	13,720			Shaw Communication Inc.									277,687
	6,000			Thomson Corporation, (2)									163,620
	21,110			Walt Disney Company									647,866
				Total Media									5,384,056
				Metals & Mining – 4.5%
	196,000			AngloGold Ashanti Limited, Sponsored ADR, (14)									4,527,600
	204,700			Apex Silver Mines Limited, (2)									352,084
	198,000			Barrick Gold Corporation, (14)									7,274,520
	9,890			BHP Billiton PLC									224,050
	7,760			BHP Billiton PLC									356,262
	50,840			BHP Billiton PLC									1,315,262
	4,160			Cleveland-Cliffs Inc.									220,230
	2,770			Compass Minerals International, Inc.									145,120
	74,040			Cookson Group									623,370
	235,600			Crystallex International Corporation, (2)									190,836
	19,950			Freeport-McMoRan Copper & Gold, Inc.									1,134,158
	202,500			Gold Fields Limited Sponsored ADR, (14)									1,941,975
	126,000			Ivanhoe Mines Ltd., (2), (14)									763,560
	1,824,600			Lihir Gold Limited, (2)									3,706,635
	425,000			Minara Resources Limited									553,825
	366,510			Mitsubishi Materials									1,151,212
	182,300			Newmont Mining Corporation, (14)									7,065,948
	188,200			NovaGold Resources Inc., (2)									1,225,182
	2,720			Rio Tinto PLC, Sponsored ADR									678,640
	1,670			United States Steel Corporation									129,609
	19,700			Xstrata PLC									613,943
				Total Metals & Mining									34,194,021
				Multiline Retail – 0.5%
	28,500			Big Lots, Inc., (2)									793,155
	7,250			Dollar Tree Stores Inc., (2)									263,610
	33,410			Family Dollar Stores, Inc.									791,817
	67,730			Next PLC									1,248,822
	13,580			Target Corporation									666,099
				Total Multiline Retail									3,763,503
				Oil, Gas & Consumable Fuels – 4.1%
	1,600			Alpha Natural Resources Inc., (2)									82,288
	32,900			Arch Coal Inc., (14)									1,082,081
	41,380			BG Group PLC									750,470
	117,710			BP Amoco PLC, Sponsored ADR, (14)									5,905,511
	84,000			Cameco Corporation, (14)									1,874,040
	21,590			Chesapeake Energy Corporation									774,217
	34,620			Chevron Corporation, (14)									2,855,458
	2,338			Comstock Resources Inc., (2)									117,017
	26,920			Continental Resources Inc., (2)									1,056,072
	2,610			Devon Energy Corporation									238,032
	25,170			Eni S.p.A., Sponsored ADR									1,332,752
	13,670			Hess Corporation									1,122,034
	4,140			McMoran Exploration Corporation, (2)									97,870
	8,530			Murphy Oil Corporation									547,114
	60,100			Nexen Inc., (14)									1,396,123
	17,750			Occidental Petroleum Corporation									1,250,488
	22,380			Petrohawk Energy Corporation, (2)									484,079
	15,020			Petroleo Brasileiras S.A.									660,129
	30,520			Repsol YPF S.A.									905,223
	81,600			Royal Dutch Shell PLC, Class B, Sponsored ADR, (14)									4,658,544
	8,920			SandRidge Energy Inc., (2)									174,832
	61,410			Singapore Petroleum									199,558
	39,999			StatoilHydro ASA, Sponsored ADR									951,976
	16,600			Total S.A., Sponsored ADR									1,007,288
	6,640			Total S.A.									403,379
	990			Whiting Petroleum Corporation, (2)									70,547
	16,140			Woodside Petroleum Limited									651,263
				Total Oil, Gas & Consumable Fuels									30,648,385
				Paper & Forest Products – 0.2%
	216,400			AbitibiBowater Inc., (2), (14)									837,468
	4,940			Buckeye Technologies Inc., (2)									40,459
	5,810			Potlatch Corporation									269,526
	60,330			Sonae Industria-SPGS S.A.									190,254
				Total Paper & Forest Products									1,337,707
				Personal Products – 0.0%
	5,110			Herbalife, Limited									201,947
				Pharmaceuticals – 1.9%
	14,880			Astellas Pharma Inc.									625,246
	73,400			AstraZeneca Group, Sponsored ADR, (14)									3,220,792
	30,290			Bristol-Myers Squibb Company									631,547
	7,030			Daiichi Sankyo Company Limited									181,138
	17,060			Eli Lilly and Company									751,152
	5,590			GlaxoSmithKline PLC, Sponsored ADR									242,941
	17,490			H. Lundbeck A/S									332,524
	13,590			Johnson & Johnson									941,515
	12,260			Merck & Co. Inc.									386,926
	25,670			Novartis AG, (2)									1,351,513
	2,450			Novo Nordisk A/S									127,014
	182,000			Patheon Inc., (2)									598,544
	11,780			Perrigo Company									453,059
	40,210			Pfizer Inc.									741,472
	57,080			Sanofi-Aventis, Sponsored ADR									1,876,220
	30,170			Shionogi & Company Limited									611,075
	37,140			Warner Chilcott Limited, (2)									561,557
	13,580			Wyeth									501,645
				Total Pharmaceuticals									14,135,880
				Real Estate – 0.5%
	2,020			American Public Education Inc., (2)									97,526
	1,880			Essex Property Trust Inc.									222,460
	9,860			Kimco Realty Corporation									364,228
	6,380			Lexington Corporate Properties Trust									109,864
	22,580			Plum Creek Timber Company									1,125,839
	15,950			Rayonier Inc.									755,233
	8,221			Tanger Factory Outlet Centers									359,998
	8,923			Taubman Centers Inc.									446,150
				Total Real Estate									3,481,298
				Road & Rail – 0.5%
	20,070			CSX Corporation									1,095,220
	13,450			Kansas City Southern Industries, (2)									596,642
	6,180			Landstar System									272,291
	4,930			Norfolk Southern Corporation									326,415
	189,680			Stagocoach Group PLC									862,000
	8,880			Union Pacific Corporation									631,901
				Total Road & Rail									3,784,469
				Semiconductors & Equipment – 0.4%
	44,200			Broadcom Corporation, Class A, (2)									823,446
	21,460			Intel Corporation									401,946
	60,560			Marvell Technology Group Ltd., (2)									563,208
	8,690			Monolithic Power Systems, Inc., (2)									150,945
	12,760			ON Semiconductor Corporation, (2)									86,258
	7,370			Semtech Corporation, (2)									102,885
	71,658			Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR									671,435
				Total Semiconductors & Equipment									2,800,123
				Software – 1.2%
	33,450			Adobe Systems Incorporated, (2)									1,320,272
	5,390			Ansys Inc., (2)									204,119
	36,260			Autodesk, Inc., (2)									1,216,523
	4,720			Blackboard, Inc., (2)									190,169
	29,770			CA Inc.									594,209
	12,970			CommVault Systems, Inc., (2)									156,289
	8,070			Electronic Arts Inc. (EA), (2)									298,509
	46,000			Microsoft Corporation, (14)									1,227,740
	3,380			Nintendo Co., Ltd., (2)									1,433,707
	24,310			Salesforce.com, Inc., (2)									1,176,604
	2,660			SPSS Inc., (2)									78,098
	48,500			Symantec Corporation, (2)									949,630
	10,680			Wind River Systems Inc., (2)									106,800
				Total Software									8,952,669
				Specialty Retail – 0.3%
	5,165			Aeropostale, Inc., (2)									165,848
	2,160			Hennes & Mauritz AB									88,443
	28,060			Lowe’s Companies, Inc.									664,741
	7,930			NetFlix.com Inc., (2)									244,878
	20,170			RadioShack Corporation									348,538
	14,490			TJX Companies, Inc.									442,235
				Total Specialty Retail									1,954,683
				Textiles, Apparel & Luxury Goods – 0.2%
	1,680			Deckers Outdoor Corporation, (2)									174,854
	22,828			Guess Inc.									794,186
	51,570			Liz Claiborne, Inc.									847,295
				Total Textiles, Apparel & Luxury Goods									1,816,335
				Thrifts & Mortgage Finance – 0.3%
	136,450			Hudson City Bancorp, Inc.									2,517,503
				Tobacco – 0.4%
	8,220			British American Tobacco PLC									509,640
	48,590			Philip Morris International									2,337,179
	5,650			UST Inc.									375,951
				Total Tobacco									3,222,770
				Transportation Infrastructure – 0.1%
	269,000			Macquarie Airports									591,394
				Wireless Telecommunication Services – 0.5%
	7,890			Millicom International Cellular S.A., (2)									544,817
	14,050			Millicom International Cellular S.A., (2)									964,814
	1,330			NTT Mobile Communications, DD1									2,128,912
				Total Wireless Telecommunication Services									3,638,543
				Total Common Stocks (cost $413,800,349)									338,204,931
Shares				Description (1)		Coupon				Ratings (3)		Value
				Convertible Preferred Securities – 1.8% (1.1% of Total Investments)
				Capital Markets – 0.1%
	11,300			AMG Capital Trust II, Convertible Bond		5.150%				BB		$	342,530
				Commercial Banks – 0.2%
	10,250			Fifth Third Bancorp, Convertible Bond		8.500%				A-			1,065,898
	14,750			Sovereign Capital Trust IV, Convertible Security		4.375%				Baa2			313,438
				Total Commercial Banks									1,379,336
				Communications Equipment – 0.5%
	9,600			Lucent Technologies Capital Trust I		7.750%				B2			3,744,000
				Diversified Financial Services – 0.5%
	2,950			Bank of America Corporation		7.250%				A1			2,472,100
	39,650			Citigroup Inc., Series T		6.500%				A			1,625,650
				Total Diversified Financial Services									4,097,750
				Electric Utilities – 0.1%
	12,300			Centerpoint Energy Inc.		2.000%				BBB-			404,793
	4,000			CMS Energy Corporation, Convertible Bonds		4.500%				Ba2			261,500
				Total Electric Utilities									666,293
				Food Products – 0.1%
	4,200			Bunge Limited, Convertible Bonds		4.875%				BB			363,300
				Household Durables – 0.0%
	7,600			Newell Financial Trust I		5.250%				N/R			294,975
				Independent Power Producers & Energy Traders – 0.0%
	200			NRG Energy Inc., Convertible Bond		4.000%				B2			235,500
				Metals & Mining – 0.1%
	800			Freeport McMoran Copper & Gold, Inc.		5.500%				BB			1,061,200
				Oil, Gas & Consumable Fuels – 0.1%
	400			El Paso Corporation		4.990%				B			413,600
				Real Estate – 0.1%
	9,250			Simon Property Group, Inc., Series I		6.000%				N/R			727,790
				Total Convertible Preferred Securities (cost $21,303,614)									13,326,274
Shares				Description (1)		Coupon				Ratings (3)		Value
				$25 Par (or similar) Preferred Securities – 46.8% (28.2% of Total Investments)
				Capital Markets – 4.9%
	224,904			BNY Capital Trust V, Series F		5.950%				A		$	4,088,755
	945,217			Deutsche Bank Capital Funding Trust II		6.550%				A			13,705,647
	89,895			Deutsche Bank Contingent Capital Trust III		7.600%				A			1,626,201
	1,600			First Union Institutional Capital II (CORTS)		8.200%				A2			17,584
	400			Goldman Sachs Group Inc., Series 2004-06 (SATURNS)		6.000%				A1			6,028
	19,300			Goldman Sachs Group Inc., Series 2004-4 (CORTS)		6.000%				A1			265,761
	7,500			Goldman Sachs Group Inc., Series GSC-3 (PPLUS)		6.000%				A1			104,250
	28,490			JP Morgan Chase & Company		8.625%				A			711,965
	63,561			Merrill Lynch Preferred Capital Trust III		7.000%				A3			921,635
	115,400			Merrill Lynch Preferred Capital Trust IV		7.120%				A3			1,672,146
	341,000			Merrill Lynch Preferred Capital Trust V		7.280%				A3			5,012,700
	252,534			Morgan Stanley Capital Trust III		6.250%				A2			2,899,090
	324,444			Morgan Stanley Capital Trust IV		6.250%				A2			3,662,973
	185,029			Morgan Stanley Capital Trust VII		6.600%				A2			2,192,594
				Total Capital Markets									36,887,329
				Commercial Banks – 9.3%
	43,070			ABN AMRO Capital Fund Trust V		5.900%				A			385,907
	59,500			Allianz SE		8.375%				A+			1,198,925
	74,400			ASBC Capital I		7.625%				A3			1,338,456
	162,700			BAC Capital Trust III		7.000%				Aa3			3,099,435
	6,600			BAC Capital Trust IV		5.875%				Aa3			112,332
	4,100			BAC Capital Trust V		6.000%				A			73,800
	334,253			Banco Santander Finance		6.800%				Aa3			5,682,301
	323,506			Banco Santander Finance		6.500%				A+			5,347,554
	231,600			Banesto Holdings, Series A, 144A		10.500%				A1			5,992,650
	33,514			Bank One Capital Trust VI		7.200%				Aa3			678,659
	45,649			BB&T Capital Trust V		8.950%				A1			1,118,401
	86,212			Citizens Funding Trust I		7.500%				Baa1			646,590
	107,000			Cobank Agricultural Credit Bank		7.000%				N/R			5,100,262
	31,000			Cobank Agricultural Credit Bank		11.000%				A			1,561,603
	293,600			Credit Suisse		7.900%				A			5,989,440
	159,732			Fifth Third Capital Trust VI		7.250%				A-			1,461,548
	277,100			Fleet Capital Trust VIII		7.200%				Aa3			4,960,090
	699,533			HSBC Finance Corporation		6.875%				AA-			14,011,646
	55,036			KeyCorp Capital Trust IX		6.750%				A3			456,799
	427,625			National City Capital Trust II		6.625%				Baa1			2,522,988
	46,750			PNC Capital Trust		6.125%				A2			862,538
	18,129			Royal Bank of Scotland Group PLC, Series L		5.750%				A1			154,097
	84,395			Royal Bank of Scotland Group PLC, Series N		6.350%				A1			814,412
	1,300			Royal Bank of Scotland Group PLC, Series P		6.250%				A1			11,063
	7,300			Royal Bank of Scotland Group PLC		6.600%				Aa3			63,145
	48,600			SunTrust Capital Trust IX		7.875%				A-			854,388
	149,727			USB Capital Trust XI		6.600%				A+			2,964,595
	4,784			Wachovia Capital Trust IX		6.375%				A2			53,150
	74,402			Wells Fargo Capital Trust VII		5.850%				AA-			1,350,396
	71,200			Zions Capital Trust B		8.000%				Baa1			1,406,200
				Total Commercial Banks									70,273,370
				Diversified Financial Services – 3.8%
	2,673			American International Group, CORTS		6.125%				A3			10,692
	22,230			BAC Capital Trust XII		6.875%				A			426,816
	233,854			Citigroup Capital Trust VIII		6.950%				A1			3,914,716
	24,700			Citigroup Capital Trust IX		6.000%				A1			342,836
	2,800			Citigroup Capital Trust XI		6.000%				A1			38,080
	1,903			Citigroup Capital X		6.100%				A1			25,595
	39,929			Citigroup Capital XV		6.500%				A1			559,006
	11,600			Citigroup Capital XVII		6.350%				A1			157,760
	266,900			Citigroup Capital XIX		7.250%				A1			4,604,025
	9,200			Citigroup Capital XX		7.875%				A1			167,900
	111,800			Citigroup Inc., Series M		8.125%				A			1,844,700
	533,018			ING Groep N.V.		7.200%				A1			7,328,998
	731,175			ING Groep N.V.		7.050%				A			9,622,263
	5,900			ING Groep N.V.		6.125%				A			70,800
				Total Diversified Financial Services									29,114,187
				Diversified Telecommunication Services – 0.6%
	44,074			AT&T Inc.		6.375%				A			1,022,517
	95,968			BellSouth Capital Funding (CORTS)		7.120%				A			2,261,246
	18,300			BellSouth Corporation (CORTS)		7.000%				A			407,175
	17,500			Verizon Communications (CORTS)		7.625%				A			385,000
	7,700			Verizon Communications, Series 2004-1 (SATURNS)		6.125%				A			134,288
				Total Diversified Telecommunication Services									4,210,226
				Electric Utilities – 1.3%
	19,200			DTE Energy Trust I		7.800%				Baa3			439,680
	40,670			Entergy Louisiana LLC		7.600%				A-			924,836
	126,850			FPL Group Capital Inc.		6.600%				BBB+			2,656,239
	8,200			National Rural Utilities Cooperative Finance Corporation		6.100%				A3			140,302
	8,100			National Rural Utilities Cooperative Finance Corporation		5.950%				A3			149,121
	234,561			Xcel Energy Inc.		7.600%				BBB-			5,488,727
				Total Electric Utilities									9,798,905
				Food Products – 0.2%
	27,100			Dairy Farmers of America Inc., 144A		7.875%				BBB-			1,443,075
				Insurance – 9.4%
	982,600			Aegon N.V.		6.375%				A-			8,381,578
	5,700			Aegon N.V.		7.250%				A-			57,741
	25,700			Arch Capital Group Limited, Series B		7.875%				BBB-			474,165
	408,100			Arch Capital Group Limited		8.000%				BBB-			8,284,430
	1,221,900			Delphi Financial Group, Inc.		8.000%				BBB+			19,513,743
	3,000,000			Everest Reinsurance Holdings, Inc.		6.600%				Baa1			1,755,843
	323,757			EverestRe Capital Trust II		6.200%				Baa1			4,613,537
	82,200			Financial Security Assurance Holdings		6.250%				AA-			429,084
	2,200			Lincoln National Capital VI, Series F		6.750%				A-			34,980
	1,800			Markel Corporation		7.500%				BBB			37,440
	804,986			PartnerRe Limited, Series C		6.750%				BBB+			13,081,023
	82,200			PLC Capital Trust III		7.500%				BBB+			1,076,820
	32,200			PLC Capital Trust IV		7.250%				BBB+			437,920
	43,844			Protective Life Corporation		7.250%				BBB			609,432
	236,600			Prudential Financial Inc.		9.000%				A-			5,358,990
	37,400			Prudential PLC		6.750%				A-			394,570
	377,051			RenaissanceRe Holdings Limited, Series B		7.300%				BBB			5,750,028
	13,800			RenaissanceRe Holdings Limited, Series C		6.080%				BBB+			171,810
	75,000			RenaissanceRe Holdings Ltd		6.600%				N/R			1,089,000
				Total Insurance									71,552,134
				Media – 3.8%
	12,100			CBS Corporation		7.250%				BBB			204,490
	409,689			CBS Corporation		6.750%				BBB			6,550,927
	586,200			Comcast Corporation		7.000%				BBB+			11,249,178
	584,600			Viacom Inc.		6.850%				BBB			10,464,340
				Total Media									28,468,935
				Oil, Gas & Consumable Fuels – 1.3%
	475,400			Nexen Inc.		7.350%				Baa3			9,650,620
				Real Estate – 11.2%
	15,266			BRE Properties, Series C		6.750%				BBB-			275,857
	658,185			Developers Diversified Realty Corporation, Series G		8.000%				BBB-			10,800,816
	75,300			Developers Diversified Realty Corporation, Series H		7.375%				BBB-			1,058,718
	16,500			Duke Realty Corporation, Series K		6.500%				BBB			231,000
	12,300			Duke Realty Corporation, Series L		6.600%				BBB			189,912
	101,242			Duke Realty Corporation, Series O		8.375%				BBB-			1,871,965
	188,978			Equity Residential Properties Trust, Series N		6.480%				BBB			3,575,464
	6,300			First Industrial Realty Trust, Inc., Series J		7.250%				Baa3			105,210
	102,065			First Industrial Realty Trust, Inc., Series J		7.250%				BBB-			1,684,073
	135,567			HRPT Properties Trust, Series B		8.750%				BBB-			2,318,196
	653,700			HRPT Properties Trust, Series C		7.125%				BBB-			10,622,625
	450,487			Kimco Realty Corporation, Series F		6.650%				BBB+			8,559,253
	149,228			Kimco Realty Corporation, Series G		7.750%				BBB+			3,045,743
	32,982			Prologis Trust, Series C		8.540%				BBB			1,751,140
	12,500			Prologis Trust, Series G		6.750%				BBB-			213,750
	48,200			PS Business Parks, Inc., Series I		6.875%				BBB-			751,920
	2,000			PS Business Parks, Inc., Series K		7.950%				Baa3			42,200
	26,400			PS Business Parks, Inc., Series O		7.375%				Baa3			443,256
	19,900			PS Business Parks, Inc.		7.000%				BB+			345,862
	99,295			Public Storage, Inc., Series C		6.600%				BBB			1,672,128
	51,900			Public Storage, Inc., Series E		6.750%				BBB+			879,705
	16,700			Public Storage, Inc., Series F		6.450%				BBB			266,198
	9,359			Public Storage, Inc., Series H		6.950%				BBB+			164,625
	32,300			Public Storage, Inc., Series V		7.500%				BBB			629,204
	220,810			Public Storage, Inc.		6.750%				Baa1			3,815,597
	320,700			Realty Income Corporation		6.750%				Baa2			6,013,125
	119,284			Regency Centers Corporation		7.450%				BBB			2,210,333
	1,070,545			Wachovia Preferred Funding Corporation		7.250%				A2			9,945,363
	9,929			Weingarten Realty Investors Series F		6.500%				Baa2			178,722
	599,330			Weingarten Realty Trust, Preferred Securities		6.750%				A-			11,297,371
				Total Real Estate									84,959,331
				Thrifts & Mortgage Finance – 0.9%
	98,000			Countrywide Capital III		8.050%				Aa3			1,167,180
	609,840			Countrywide Capital Trust IV		6.750%				Aa3			5,427,576
	39,637			Countrywide Capital Trust V		7.000%				A+			315,114
				Total Thrifts & Mortgage Finance									6,909,870
				Wireless Telecommunication Services – 0.1%
	33,700			United States Cellular Corporation		8.750%				Baa2			603,222
				Total $25 Par (or similar) Preferred Securities (cost $564,915,917)									353,871,204
						Weighted
Principal						Average
Amount (000)				Description (1)		Coupon		Maturity (4)		Ratings (3)		Value
				Variable Rate Senior Loan Interests – 17.9% (10.8% of Total Investments) (5)
				Aerospace & Defense – 0.1%
$	574			DAE Aviation Holdings, Inc., Term Loan B-1		7.151%		7/31/14		BB-		$	534,256
	568			DAE Aviation Holdings, Inc., Term Loan B-2		6.550%		7/31/14		BB-			528,000
	1,142			Total Aerospace & Defense									1,062,256
				Airlines – 0.3%
	1,669			ACTS Aero Technical Support & Services Inc., Term Loan		6.041%		10/16/14		B-			1,034,840
	985			American Airlines, Inc., Term Loan		5.242%		12/17/10		BB-			872,000
	988			Delta Air Lines, Inc., Term Loan		6.954%		4/30/14		B			699,150
	3,642			Total Airlines									2,605,990
				Building Products – 0.6%
	2,562			Building Materials Corporation of America, Term Loan		5.563%		2/22/14		B+			2,024,168
	976			Stile Acquisition Corporation, Canadian Term Loan		6.500%		4/05/13		B			764,363
	986			Stile Acquisition Corporation, Term Loan B		6.000%		4/05/13		B			771,795
	980			TFS Acquisition, Term Loan		7.262%		8/11/13		B+			921,200
	5,504			Total Building Products									4,481,526
				Chemicals – 0.4%
	990			Celanese US Holdings LLC, Term Loan		4.283%		4/02/14		BB+			899,887
	1,980			Hercules Offshore, Inc., Term Loan		4.550%		7/11/13		BB			1,890,900
	2,970			Total Chemicals									2,790,787
				Commercial Services & Supplies – 0.3%
	159			Aramark Corporation, Letter of Credit		4.801%		1/24/14		BB			138,628
	2,509			Aramark Corporation, Term Loan		5.637%		1/24/14		BB			2,182,091
	2,668			Total Commercial Services & Supplies									2,320,719
				Communications Equipment – 0.2%
	1,194			CommScope Inc., Term Loan B		6.189%		12/26/14		BB-			1,116,376
				Diversified Consumer Services – 0.4%
	1,293			Laureate Education, Inc., Term Loan B		6.438%		8/17/14		B1			1,134,947
	194			Laureate Education, Inc., Delayed Term Loan		6.438%		8/17/14		B1			169,839
	1,980			Thomson Learning Center, Term Loan		6.200%		7/05/14		B+			1,628,550
	3,467			Total Diversified Consumer Services									2,933,336
				Diversified Telecommunication Services – 0.2%
	498			Intelsat, Tranche B2-A		5.288%		1/03/14		BB-			454,400
	498			Intelsat, Tranche B2-B		5.288%		1/03/14		BB-			454,263
	498			Intelsat, Tranche B2-C		5.288%		1/03/14		BB-			454,263
	1,494			Total Diversified Telecommunication Services									1,362,926
				Electric Utilities – 0.9%
	4,264			Calpine Corporation, DIP Term Loan		6.645%		3/31/14		B+			3,642,041
	2,970			TXU Corporation, Term Loan B-2		6.280%		10/10/14		Ba3			2,516,545
	990			TXU Corporation, Term Loan B-2		6.228%		10/10/14		Ba3			840,263
	8,224			Total Electric Utilities									6,998,849
				Electrical Equipment – 0.0%
	244			Allison Transmission Holdings, Inc., Term Loan		5.377%		8/07/14		BB-			202,846
				Energy Equipment & Services – 0.2%
	1,907			PGS Finance, Inc., Term Loan		5.510%		6/29/15		Ba2			1,835,167
				Health Care Equipment & Supplies – 0.5%
	48			Bausch & Lomb, Delayed Term Loan, (6)		4.707%		4/24/15		BB-			42,467
	318			Bausch & Lomb, Term Loan		7.012%		4/24/15		BB-			295,633
	3,960			Biomet, Inc., Term Loan		6.762%		3/24/15		BB-			3,658,050
	4,326			Total Health Care Equipment & Supplies									3,996,150
				Health Care Providers & Services – 2.9%
	336			Community Health Systems, Inc., Delayed Draw, Term Loan, (6), (7)		1.000%		7/25/14		BB			(40,306	)
	6,565			Community Health Systems, Inc., Term Loan		5.277%		7/25/14		BB			5,777,480
	494			Concentra, Inc., Term Loan		6.020%		6/25/14		B+			399,938
	1,162			HCA, Inc., Term Loan A		5.762%		11/18/12		BB			1,021,637
	5,900			HCA, Inc., Term Loan		6.012%		11/18/13		BB			5,188,257
	2,078			Health Management Associates, Inc., Term Loan		5.512%		2/28/14		BB-			1,761,045
	352			IASIS Healthcare LLC, Delayed Term Loan		5.704%		3/14/14		Ba2			315,988
	127			IASIS Healthcare LLC, Letter of Credit		3.604%		3/14/14		Ba2			114,255
	1,499			IASIS Healthcare LLC, Term Loan		5.704%		3/14/14		Ba2			1,346,543
	747			LifePoint Hospitals, Inc., Term Loan B		4.435%		4/18/12		Ba1			683,140
	986			Select Medical Corporation, Term Loan B-2		5.723%		2/24/12		Ba2			870,756
	1,835			Select Medical Corporation, Term Loan		4.871%		2/24/12		Ba2			1,621,111
	246			Sun Healthcare Group, Inc., Delayed Term Loan		5.422%		4/12/14		Ba2			224,161
	404			Sun Healthcare Group, Inc., Synthetic Letter of Credit		5.604%		4/19/14		Ba2			367,805
	1,799			Sun Healthcare Group, Inc., Term Loan		4.804%		4/19/14		Ba2			1,636,654
	985			Vanguard Health Holding Company II LLC, Replacement Term Loan		5.988%		9/23/11		Ba3			897,051
	25,515			Total Health Care Providers & Services									22,185,515
				Hotels, Restaurants & Leisure – 1.1%
	978			Cedar Fair LP, Term Loan		5.704%		8/30/12		BB			852,054
	1,194			Harrah’s Operating Company, Inc., Term Loan B2		5.805%		1/28/15		BB			966,543
	141			Isle of Capri Casinos, Inc., Delayed Term Loan A		5.512%		11/25/13		BB			113,965
	187			Isle of Capri Casinos, Inc., Delayed Term Loan B		5.512%		11/25/13		BB			151,187
	467			Isle of Capri Casinos, Inc., Delayed Term Loan		5.512%		11/25/13		BB			377,968
	134			Travelport LLC, Letter of Credit		6.012%		8/23/13		BB-			108,093
	669			Travelport LLC, Term Loan		6.012%		8/23/13		BB-			538,714
	1,197			Venetian Casino Resort LLC, Delayed Term Loan		5.520%		5/23/14		BB-			911,216
	4,740			Venetian Casino Resort LLC, Term Loan		5.520%		5/23/14		BB-			3,608,325
	899			Wintergames Holdings, Term Loan		6.960%		10/23/08		N/R			854,433
	10,606			Total Hotels, Restaurants & Leisure									8,482,498
				Independent Power Producers & Energy Traders – 0.4%
	1,084			NRG Energy Inc., Credit-Linked Deposit		2.701%		2/01/13		Ba1			957,407
	2,205			NRG Energy Inc., Term Loan		5.262%		2/01/13		Ba1			1,948,766
	3,289			Total Independent Power Producers & Energy Traders									2,906,173
				Insurance – 0.2%
	1,978			Conseco, Inc., Term Loan		5.709%		10/10/13		B+			1,488,567
				Internet Software & Services – 0.1%
	1,000			Sabre, Inc., Term Loan		5.165%		9/30/14		B+			680,000
				IT Services – 0.3%
	1,980			First Data Corporation, Term Loan B-1		5.963%		9/24/14		BB-			1,697,025
	409			Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan		7.520%		7/28/12		B+			317,750
	785			Infor Global Solutions Intermediate Holdings, Ltd., Term Loan		6.520%		7/30/12		B+			578,627
	3,174			Total IT Services									2,593,402
				Leisure Equipment & Products – 0.4%
	389			Herbst Gaming, Inc., Delayed Term Loan		10.500%		12/02/11		CCC-			243,371
	448			Herbst Gaming, Inc., Term Loan		10.500%		12/02/11		CCC-			280,102
	4,000			Wimar OpCo LLC, Term Loan, (8)		8.250%		1/03/12		N/R			2,726,000
	4,837			Total Leisure Equipment & Products									3,249,473
				Machinery – 0.5%
	2,993			LyondellBasell Finance Company, Term Loan B2		7.000%		12/22/14		Ba2			2,182,863
	1,780			Oshkosh Truck Corporation, Term Loan		4.322%		12/06/13		BB+			1,542,878
	4,773			Total Machinery									3,725,741
				Media – 3.3%
	4,148			Cequel Communications LLC, Term Loan B		4.792%		11/05/13		BB-			3,619,482
	4,044			Charter Communications Operating Holdings LLC, Term Loan		4.800%		3/06/14		B+			3,230,494
	1,500			Citadel Broadcasting Corporation, Term Loan		5.335%		6/12/14		BB-			1,113,750
	2,354			Discovery Communications LLC, Term Loan		5.762%		5/14/14		BB+			2,199,557
	1,167			Gray Television, Inc., Term Loan B		4.290%		12/31/14		B			910,348
	973			Idearc, Inc., Term Loan		5.767%		11/17/14		BB			574,822
	2,945			Neilsen Finance LLC, Term Loan		4.803%		8/09/13		Ba3			2,556,214
	942			Philadelphia Newspapers, Term Loan		9.500%		6/29/13		B2			452,013
	985			Readers Digest Association, Inc., Term Loan		4.706%		3/02/14		B1			709,200
	5,925			Tribune Company, Term Loan B		5.786%		6/04/14		B			3,155,063
	890			Tribune Company, Term Loan X		5.541%		6/04/09		B			823,162
	7,000			Univision Communications, Inc., Term Loan		5.121%		9/29/14		B1			4,539,500
	273			Valassis Communications, Inc., Delayed Term Loan		5.520%		3/02/14		BB			240,081
	823			Valassis Communications, Inc., Tranche B, Term Loan		5.520%		3/02/14		BB			724,054
	33,969			Total Media									24,847,740
				Metals & Mining – 0.1%
	796			John Maneely Company, Term Loan		6.043%		12/08/13		B+			764,721
				Oil, Gas & Consumable Fuels – 0.5%
	1,990			CCS Income Trust, Term Loan		6.704%		11/14/14		BB-			1,711,378
	2,388			Western Refining, Inc., Term Loan		7.750%		5/30/14		BB-			2,044,050
	4,378			Total Oil, Gas & Consumable Fuels									3,755,428
				Paper & Forest Products – 0.3%
	2,839			Georgia-Pacific Corporation, Term Loan B		4.694%		12/21/12		BB+			2,515,420
				Pharmaceuticals – 0.3%
	2,000			Royalty Pharma Finance Trust, Unsecured Term Loan		7.750%		5/21/15		Baa3			1,880,000
				Real Estate Management & Development – 0.4%
	880			LNR Property Corporation, Term Loan B		6.040%		7/12/11		BB			577,867
	2,963			Realogy Corporation, Delayed Term Loan		5.784%		10/10/13		B+			2,212,673
	3,843			Total Real Estate Management & Development									2,790,540
				Road & Rail – 0.5%
	5,419			Swift Transportation Company, Inc., Term Loan		6.063%		5/10/14		B+			3,535,640
				Software – 0.3%
	2,527			Dealer Computer Services, Inc., Term Loan		5.704%		10/26/12		BB			2,245,505
				Specialty Retail – 1.6%
	3,124			Blockbuster, Inc., Tranche B, Term Loan		6.684%		8/20/11		B1			2,772,633
	4,442			Burlington Coat Factory Warehouse Corporation, Term Loan		5.060%		5/28/13		B2			3,100,353
	3,433			Michaels Stores, Inc., Term Loan		4.863%		10/31/13		B			2,538,094
	1,500			TRU 2005 RE Holding Co I LLC, Term Loan		5.486%		12/08/08		B3			1,317,000
	2,400			Toys R Us – Delaware, Inc., Term Loan B		7.059%		7/19/12		BB-			2,121,600
	14,899			Total Specialty Retail									11,849,680
				Wireless Telecommunication Services – 0.6%
	4,000			Asurion Corporation, Term Loan		5.735%		7/03/14		B1			3,502,500
	987			Cricket Communications, Inc., Term Loan		7.262%		6/17/13		Ba2			945,410
	4,987			Total Wireless Telecommunication Services									4,447,910
$	167,732			Total Variable Rate Senior Loan Interests (cost $163,437,009)									135,650,881
Principal
Amount (000)				Description (1)		Coupon		Maturity		Ratings (3)		Value
				Convertible Bonds – 10.2% (6.2% of Total Investments)
				Aerospace & Defense – 0.2%
$	250			Alliant Techsystems, Inc., Convertible Bonds		2.750%		9/15/11		BB-		$	275,938
	250			Alliant Techsystems, Inc., Convertible Bonds		2.750%		2/15/24		BB-			305,625
	300			DRS Technologies, Inc., Convertible Bonds, 144A		2.000%		2/01/26		BB-			401,250
	600			L-3 Communications Corporation, Convertible Bond		3.000%		8/01/35		BB+			657,750
	1,400			Total Aerospace & Defense									1,640,563
				Airlines – 0.2%
	2,375			JetBlue Airways Corporation		3.750%		3/15/35		CCC			1,757,500
				Auto Components – 0.1%
	425			Magna International Inc., Class A		6.500%		3/31/10		N/R			401,299
				Beverages – 0.0%
	300			Molson Coors Brewing Company, Senior Convertible Notes		2.500%		7/30/13		BBB			325,875
				Biotechnology – 0.3%
	1,300			Amgen Inc, 144A		0.125%		2/01/11		A+			1,197,625
	1,100			Amgen Inc.		0.375%		2/01/13		A+			995,500
	350			Invitrogen Corporation		2.000%		8/01/23		BB+			411,688
	2,750			Total Biotechnology									2,604,813
				Capital Markets – 0.1%
	250			BlackRock Inc.		2.625%		2/15/35		AA-			483,438
				Commercial Banks – 0.1%
	550			National City Corporation, Convertible Senior Notes		4.000%		2/01/11		A-			258,500
	550			U.S. Bancorp, Convertible Bonds, Floating Rate		1.356%		12/11/35		AA			565,950
	1,100			Total Commercial Banks									824,450
				Commercial Services & Supplies – 0.4%
	3,532			Allied Waste Industries Inc., Convertible Debentures		4.250%		4/15/34		B+			3,328,910
				Communications Equipment – 0.4%
	600			Ciena Corporation, Convertible Bond		0.875%		6/15/17		B+			300,000
	200			CommScope Inc.		1.000%		3/15/24		B			320,250
	1,050			Lucent Technologies Inc., Series B		2.875%		6/15/25		BB-			733,688
	750			Lucent Technologies Inc.		2.875%		6/15/23		BB-			660,000
	450			Nortel Networks Corp.		1.750%		4/15/12		B-			231,750
	250			Nortel Networks Corp.		1.750%		4/15/12		B-			128,750
	600			Nortel Networks Corp.		2.125%		4/15/14		B-			290,250
	3,900			Total Communications Equipment									2,664,688
				Computers & Peripherals – 0.3%
	1,250			EMC Corporation, Convertible Bonds, 144A		1.750%		12/01/11		A-			1,245,313
	600			EMC Corporation, Convertible Bonds, 144A		1.750%		12/01/13		A-			585,750
	150			EMC Corporation, Convertible Bonds, 144A		1.750%		12/01/13		A-			146,438
	600			Sandisk Corporation, Convertible Bond		1.000%		5/15/13		B+			479,250
	2,600			Total Computers & Peripherals									2,456,751
				Construction & Engineering – 0.1%
	200			Fluor Corporation, Convertible Bonds		1.500%		2/15/24		A3			399,250
	250			Quanta Services, Inc., Convertible Bonds		4.500%		10/01/23		BB			607,500
	450			Total Construction & Engineering									1,006,750
				Containers & Packaging – 0.0%
	350			Sealed Air Corporation, 144A		3.000%		6/30/33		BBB-			329,438
				Diversified Financial Services – 0.1%
	150			Leucadia National Corporation, Convertible Bonds		3.750%		4/15/14		BB-			312,188
	400			NASDAQ Stock Market Inc., Convertible Bond		2.500%		8/15/13		BB+			345,000
	550			Total Diversified Financial Services									657,188
				Diversified Telecommunication Services – 0.1%
	600			Qwest Communications International Inc., Convertible Bond		3.500%		11/15/25		B+			512,250
				Electric Utilities – 0.0%
	300			Covanta Holding Corporation, Convertible Bonds		1.000%		2/01/27		B1			288,750
				Electrical Equipment – 0.0%
	450			General Cable Corporation, Convertible Bonds		1.000%		10/15/12		B+			348,750
				Electronic Equipment & Instruments – 0.1%
	300			Anixter International Inc., Convertible Bond		0.000%		7/07/33		BB-			272,250
	250			Itron Inc.		2.500%		8/01/26		B-			357,813
	550			Total Electronic Equipment & Instruments									630,063
				Energy Equipment & Services – 0.8%
	250			Cooper Cameron Corporation		1.500%		5/15/24		BBB+			559,375
	1,250			Nabors Industries Inc., Convertible Bond Series 144A		0.940%		5/15/11		BBB+			1,128,125
	350			Nabors Industries Inc., Convertible Bond Series 144A		0.940%		5/15/11		BBB+			315,875
	200			Schlumberger Limited		2.125%		6/01/23		A+			392,500
	250			SESI LLC, Convertible Bond, 144A		1.500%		12/15/26		BB+			219,375
	700			Transocean Inc., Convertible Bond		1.625%		12/15/37		BBB+			663,250
	1,800			Transocean Inc.		1.500%		12/15/37		BBB+			1,658,250
	1,000			Transocean Inc.		1.500%		12/15/37		BBB+			910,000
	5,800			Total Energy Equipment & Services									5,846,750
				Food Products – 0.1%
	250			Archer Daniels Midland Company, Convertible Bonds		0.875%		2/15/14		A			203,438
	350			Archer Daniels Midland Company, Convertible Bonds		0.875%		2/15/14		A			284,813
	250			Smithfield Foods Inc., Convertible Bond		4.000%		6/30/13		BB-			212,188
	850			Total Food Products									700,439
				Health Care Equipment & Supplies – 0.4%
	350			Advanced Medical Optics		2.500%		7/15/24		B-			312,813
	550			Advanced Medical Optics		3.250%		8/01/26		B-			361,625
	350			American Medical Systems Holdings, Convertible Bond		3.250%		7/01/36		B			356,563
	150			Beckman Coulter Inc., Convertible Bonds, 144A		2.500%		12/15/36		BBB			164,813
	1,100			Hologic Inc.		2.000%		12/15/37		B+			816,750
	350			Kinetic Concepts Inc., Convertible Bond		3.250%		4/15/15		B+			268,188
	375			Saint Jude Medical, Inc., Convertible Bonds		1.220%		12/15/08		A-			374,063
	3,225			Total Health Care Equipment & Supplies									2,654,815
				Health Care Providers & Services – 0.7%
	400			Laboratory Corporation of America Holdings		0.000%		9/11/21		BBB-			370,000
	250			LifePoint Hospitals, Inc., Convertible Bond		3.250%		8/15/25		B1			211,250
	350			Lifepoint Hospitals, Inc., Convertible Bonds		3.500%		5/15/14		B			287,875
	6,300			Omnicare, Inc.		3.250%		12/15/35		B+			4,158,000
	225			Saint Jude Medical, Inc., Convertible Bonds		1.220%		12/15/08		A-			224,438
	7,525			Total Health Care Providers & Services									5,251,563
				Hotels, Restaurants & Leisure – 0.2%
	600			Carnival Corporation		2.000%		4/15/21		A-			618,000
	500			International Game Technology		2.600%		12/15/36		BBB			470,000
	900			Punch Taverns Corporation, Convertible Bonds		5.000%		12/14/10		N/R			1,263,890
	2,000			Total Hotels, Restaurants & Leisure									2,351,890
				Insurance – 0.5%
	3,650			Prudential Financial Inc., Convertible Bond		0.417%		12/12/36		A+			3,589,775
				Internet & Catalog Retail – 0.2%
	150			Priceline.com, Inc., Convertible Bonds		0.500%		9/30/11		BB-			253,688
	150			Priceline.com, Inc., Convertible Bonds		0.750%		9/30/13		BB-			253,500
	300			Total Internet & Catalog Retail									507,188
				IT Services – 0.1%
	600			Electronic Data Systems Corporation, Convertible Bonds		3.875%		7/15/23		A			582,000
				Leisure Equipment & Products – 0.0%
	300			Eastman Kodak Company		3.375%		10/15/33		B			281,625
				Life Sciences Tools & Services – 0.1%
	250			Apogent Technologies, Inc., Convertible Bonds		1.566%		12/15/33		BBB+			482,750
	200			Charles River Laboratories International, Inc.		2.250%		6/15/13		BB+			246,500
	150			Fisher Scientific International, Inc., Convertible Bonds		2.500%		10/01/23		BBB+			349,500
	600			Total Life Sciences Tools & Services									1,078,750
				Machinery – 0.2%
	100			AGCO Corporation, Series B		1.750%		12/31/33		BB			194,875
	600			Danaher Corporation, Convertible Bonds		0.000%		1/22/21		A+			611,250
	500			Trinity Industries Inc., Convertible Bonds		3.875%		6/01/36		Ba2			365,000
	1,200			Total Machinery									1,171,125
				Marine – 0.0%
	400			Horizon Lines Inc., Convertible Bonds		4.250%		8/15/12		B			303,500
				Media – 1.0%
	200			ELF Special Financing Limited, Convertible Bonds, 144A		6.316%		6/15/09		Ba3			211,646
	600			ELF Special Financing Limited, Convertible Bonds, 144A		3.169%		6/15/09		Ba3			601,992
	1,050			Getty Images, Inc., Convertible Bonds, (9)		0.500%		6/09/23		Ba2			1,050,000
	300			Hasbro Inc.		2.750%		12/01/21		BBB			484,500
	250			Interpublic Group Companies Inc., Convertible Notes		4.750%		3/15/23		Ba3			245,313
	300			Interpublic Group Companies Inc., Convertible Notes		4.250%		3/15/23		Ba3			279,000
	1,000			Liberty Media Corporation Convertible Bonds		3.750%		2/15/30		BB+			455,000
	660			Liberty Media Corporation, Senior Debentures Exchangeable for Motorola Common Stock		3.500%		1/15/31		BB+			247,208
	350			Liberty Media Corporation, Senior Debentures, Exchangeable for Class B Viacom Common Stock		3.250%		3/15/31		BB+			166,250
	800			Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1		4.000%		11/15/29		BB+			427,000
	1,000			Liberty Media Corporation		0.750%		3/30/23		BB+			916,250
	750			Omnicom Group, Inc.		0.000%		7/31/32		Baa1			710,625
	550			Omnicom Group, Inc.		0.000%		7/01/38		A-			503,938
	850			Omnicom Group, Inc.		0.000%		2/07/31		A-			831,938
	250			Sinclair Broadcast Group, Inc., Convertible Bonds		3.000%		5/15/27		B			212,500
	8,910			Total Media									7,343,160
				Metals & Mining – 0.4%
	2,100			Coeur d’Alene Mines Corporation, Convertible Bond		1.250%		1/15/24		B-			1,535,625
	2,000			Gold Reserve, Inc., Convertible Bonds		5.500%		6/15/22		N/R			655,000
	650			Newmont Mining Corporation		1.625%		7/15/17		BBB+			663,000
	4,750			Total Metals & Mining									2,853,625
				Multiline Retail – 0.0%
	250			Saks, Inc., Convertible Bonds		2.000%		3/15/24		BB-			232,813
				Oil, Gas & Consumable Fuels – 0.5%
	150			Alpha Natural Resources Inc., Convertible Bond		2.375%		4/15/15		B			161,625
	700			Chesapeake Energy Corporation, 144A		2.750%		11/15/35		BB			754,250
	850			Chesapeake Energy Corporation, Convertible Bonds		2.500%		5/15/37		BB			817,063
	450			Chesapeake Energy Corporation, Convertible Bonds		2.250%		12/15/38		BB			311,625
	400			Massey Energy Company, Convertible Bond		3.250%		8/01/15		BB-			279,000
	500			Peabody Energy Corp., Convertible Bond		4.750%		12/15/66		Ba3			453,125
	350			Pioneer Natural Resources Company, Convertible Bond		2.875%		1/15/38		BB+			370,563
	1,075			USEC Inc., Convertible Bond		3.000%		10/01/14		CCC			615,438
	4,475			Total Oil, Gas & Consumable Fuels									3,762,689
				Pharmaceuticals – 0.4%
	700			Allergan Inc., Convertible Bond		1.500%		4/01/26		A			728,000
	650			Myland Labs, Inc., Convertible Bonds		1.250%		3/15/12		B+			502,938
	550			Watson Pharmaceuticals Inc., Convertible Bond		1.750%		3/15/23		BB+			515,625
	1,100			Wyeth, Convertible Bond		2.621%		1/15/24		A+			1,075,030
	3,000			Total Pharmaceuticals									2,821,593
				Real Estate – 1.0%
	1,050			Boston Properties Limited Partnership, Convertible Bonds, 144A		2.875%		2/15/37		A-			914,813
	250			Brandywine Operating Partnership, Convertible Bonds		3.875%		10/15/26		BBB-			206,250
	550			BRE Properties Inc., Convertible Bond		4.125%		8/15/26		BBB			479,875
	500			Developers Diversified Realty Corporation, Convertible Bonds		3.000%		3/15/12		N/R			396,875
	500			Duke Realty Corporation, Series D		3.750%		12/01/11		BBB+			434,375
	350			Health Care REIT, Inc., Convertible Bonds		4.750%		12/01/26		Baa2			402,500
	550			Hospitality Properties Trust, Convertible Bonds		3.800%		3/15/27		BBB			424,875
	300			Host Marriott LP, Convertible Bonds, 144A		3.250%		4/15/24		Ba1			295,875
	1,300			Prologis, Convertible Bonds, 144A		2.250%		4/01/37		BBB+			996,125
	900			Prologis, Convertible Bonds, 144A		1.875%		11/15/37		BBB+			632,250
	250			Ventas Inc., Convertible Bond		3.875%		11/15/11		BBB-			285,000
	1,600			Vornado Realty Trust, Convertible Bonds		2.850%		4/01/27		BBB			1,296,000
	600			Vornado Realty, Convertible Bond		3.875%		4/15/25		BBB			641,250
	450			Weingarten Realty Investment Trust, Convertible Bonds		3.950%		8/01/26		BBB+			397,688
	9,150			Total Real Estate									7,803,751
				Semiconductors & Equipment – 0.6%
	750			Advanced Micro Devices Inc., Convertible Bond		5.750%		8/15/12		B			431,250
	800			Advanced Micro Devices, Inc., Convertible Bonds		5.750%		8/15/12		B			460,000
	1,100			Intel Corporation, Convertible Bond		2.950%		12/15/35		A-			966,625
	1,450			Micron Technology, Inc.		1.875%		6/01/14		BB-			721,375
	400			ON Semiconductor Corporation		2.625%		12/15/26		B+			344,000
	2,500			Qimonda Finance LLC, Convertible Bond		6.750%		3/22/13		N/R			1,340,625
	300			Xilinx Inc., Convertible Bond, 144A		3.125%		3/15/37		BB			250,500
	7,300			Total Semiconductors & Equipment									4,514,375
				Software – 0.1%
	400			Amdocs Limited		0.500%		3/15/24		BBB			391,000
	250			Computer Associates International Inc., Convertible Bond, Series 144A		1.625%		12/15/09		BB+			263,125
	300			Red Hat Inc., Convertible Bond		0.500%		1/15/24		BB-			292,500
	950			Total Software									946,625
				Specialty Retail – 0.2%
	400			Best Buy Co., Inc.		2.250%		1/15/22		BBB-			393,000
	350			Charming Shoppes Inc., Convertible Bond		1.125%		5/01/14		B-			211,313
	500			TJX Companies, Inc.		0.000%		2/13/21		A-			503,750
	450			United Auto Group, Inc., Convertible Bonds		3.500%		4/01/26		B			387,000
	1,700			Total Specialty Retail									1,495,063
				Textiles, Apparel & Luxury Goods – 0.0%
	300			Iconix Brand Group, Inc., Convertible Notes		1.875%		6/30/12		B			225,375
				Wireless Telecommunication Services – 0.2%
	250			American Tower Corporation		3.000%		8/15/12		BB+			442,500
	750			Nextel Communications, Inc., Convertible Senior Notes		5.250%		1/15/10		Baa3			706,860
	1,000			Total Wireless Telecommunication Services									1,149,360
$	90,117			Total Convertible Bonds (cost $90,877,132)									77,729,325
Principal
Amount (000)				Description (1)		Coupon		Maturity		Ratings (3)		Value
				Corporate Bonds – 11.1% (6.7% of Total Investments)
				Aerospace & Defense – 0.1%
$	1,000			Hexcel Corporation, Term Loan		6.750%		2/01/15		B+		$	965,000
				Chemicals – 0.3%
	1,000			Momentive Performance Materials		9.750%		12/01/14		B			795,000
	1,500			Rockwood Specialties Group Inc., Series WI		7.500%		11/15/14		BB-			1,432,500
	2,500			Total Chemicals									2,227,500
				Commercial Services & Supplies – 0.1%
	800			Ticketmaster		10.750%		8/01/16		BB			756,000
				Containers & Packaging – 0.5%
	2,000			Owens-Brockway Glass Containers, Guaranteed Senior Note		8.250%		5/15/13		BB			2,000,000
	2,000			Owens-Illinois Inc.		7.800%		5/15/18		B+			1,950,000
	4,000			Total Containers & Packaging									3,950,000
				Electric Utilities – 0.1%
	1,000			Sierra Pacific Resources, Series 2006		6.750%		8/15/17		BB			919,159
				Energy Equipment & Services – 0.2%
	1,500			Pride International Inc.		7.375%		7/15/14		BB+			1,440,000
				Food & Staples Retailing – 0.2%
	2,000			Stater Brothers Holdings Inc.		8.125%		6/15/12		B+			1,970,000
				Food Products – 0.2%
	2,243			Dole Foods Company		8.750%		7/15/13		B-			1,985,055
				Health Care Providers & Services – 0.5%
	500			Biomet Inc.		10.000%		10/15/17		B-			512,500
	1,700			HCA Inc.		9.125%		11/15/14		BB-			1,657,500
	700			HCA Inc.		9.250%		11/15/16		BB-			682,500
	1,200			Select Medical Corporation		8.449%		9/15/15		CCC+			984,000
	4,100			Total Health Care Providers & Services									3,836,500
				Hotels, Restaurants & Leisure – 1.6%
	900			Boyd Gaming Corporation		7.750%		12/15/12		BB			796,500
	1,400			Jacobs Entertainment Inc.		9.750%		6/15/14		B			945,000
	2,000			Landry’s Restaurants Inc.		9.500%		12/15/14		B3			1,820,000
	1,600			Park Place Entertainment		8.125%		5/15/11		B-			952,000
	2,000			Pinnacle Entertainment Inc.		8.250%		3/15/12		B+			1,942,500
	750			Pinnacle Entertainment Inc.		8.750%		10/01/13		B+			721,875
	1,750			Seminole Hard Rock Entertainment, Inc.		5.314%		3/15/14		BB			1,321,250
	4,000			Universal City Development Partners		11.750%		4/01/10		B+			3,875,000
	14,400			Total Hotels, Restaurants & Leisure									12,374,125
				Household Products – 0.2%
	1,650			Central Garden & Pet Company, Senior Subordinate Notes		9.125%		2/01/13		CCC+			1,278,750
				Independent Power Producers & Energy Traders – 0.2%
	500			Mirant North America LLC		7.375%		12/31/13		B1			472,500
	400			NRG Energy Inc.		7.250%		2/01/14		B1			372,000
	400			NRG Energy Inc.		7.375%		2/01/16		B1			361,000
	1,300			Total Independent Power Producers & Energy Traders									1,205,500
				IT Services – 1.1%
	3,500			First Data Corporation		9.875%		9/24/15		B			2,751,875
	1,625			Global Cash Access LLC		8.750%		3/15/12		B			1,438,125
	4,750			Sungard Data Systems Inc.		9.125%		8/15/13		B			4,298,750
	9,875			Total IT Services									8,488,750
				Machinery – 0.2%
	2,000			Greenbrier Companies, Inc.		8.375%		5/15/15		B			1,730,000
				Media – 0.9%
	4,000			Allbritton Communications Company, Series B		7.750%		12/15/12		B+			3,440,000
	1,000			Cablevision Systems Corporation, Series B		8.125%		8/15/09		BB			992,500
	1,975			Medianews Group Inc.		6.375%		4/01/14		Caa2			602,375
	4,000			R.H. Donnelley Corporation		8.875%		10/15/17		B-			1,380,000
	2,000			Young Broadcasting Inc., Senior Subordinated Note		10.000%		3/01/11		CC			300,000
	12,975			Total Media									6,714,875
				Metals & Mining – 0.5%
	3,700			MagIndustries Corporation,		11.000%		12/14/12		N/R			3,456,274
				Multi-Utilities – 0.2%
	1,600			Dynegy Holdings, Inc., Term Loan		8.375%		5/01/16		B			1,400,000
				Oil, Gas & Consumable Fuels – 0.6%
	2,400			Baytex Energy Ltd		9.625%		7/15/10		B+			2,364,000
	400			Chaparral Energy Inc.		8.500%		12/01/15		B-			318,000
	1,000			Hilcorp Energy I LP/Hilcorp Finance Company, Series 144A		7.750%		11/01/15		BB-			865,000
	2,000			SemGroup LP, 144A, (10)		8.750%		11/15/15		C			210,000
	1,000			Whiting Petroleum Corporation		7.000%		2/01/14		BB-			855,000
	6,800			Total Oil, Gas & Consumable Fuels									4,612,000
				Paper & Forest Products – 0.9%
	5,000			Georgia-Pacific Corporation		8.125%		5/15/11		B+			4,975,000
	2,000			Georgia-Pacific Corporation		7.700%		6/15/15		B+			1,840,000
	7,000			Total Paper & Forest Products									6,815,000
				Personal Products – 0.2%
	1,500			Prestige Brands Inc.		9.250%		4/15/12		B-			1,432,500
				Real Estate – 0.5%
	3,000			Felcor Lodging Trust Inc., 144A		4.803%		12/01/11		Ba3			2,415,000
	1,000			Trustreet Properties, Inc.		7.500%		4/01/15		AAA			1,003,548
	500			Ventas Realty LP, Series WI		7.125%		6/01/15		BBB-			498,750
	4,500			Total Real Estate									3,917,298
				Semiconductors & Equipment – 0.4%
	1,600			Avago Technologies Finance Pte Limited		10.125%		12/01/13		BB-			1,624,000
	2,000			NXP BV		5.541%		10/15/13		B			1,327,500
	3,600			Total Semiconductors & Equipment									2,951,500
				Software – 0.4%
	3,250			Telcorida Technologies, Inc., (11)		6.566%		7/15/12		B			2,746,250
				Specialty Retail – 0.4%
	3,000			Warnaco Inc., Senior Notes		8.875%		6/15/13		BB+			3,037,500
				Textiles, Apparel & Luxury Goods – 0.4%
	3,000			Jostens IH Corporation		7.625%		10/01/12		B+			2,767,500
				Wireless Telecommunication Services – 0.2%
	1,500			IPCS, Inc.		4.926%		5/01/13		B1			1,230,000
$	100,793			Total Corporate Bonds (cost $101,337,404)									84,207,036
Principal
Amount (000)/
Shares				Description (1)		Coupon		Maturity		Ratings (3)		Value
				Capital Preferred Securities – 28.6% (17.2% of Total Investments)
				Capital Markets – 2.6%
	2,000			C.A. Preferred Funding Trust		7.000%		1/30/49		Aa3		$	1,264,572
	10,700			Dresdner Funding Trust I, 144A		8.151%		6/30/31		A2			8,237,877
	2,450			JPM Chase Capital XXV		6.800%		10/01/37		Aa3			1,883,046
	1,600			Kleinwort Benson Group PLC		3.392%		12/31/99		N/R			960,454
	1,600			MUFG Capital Finance		4.850%		7/25/56		BBB+			1,481,997
	5,600			UBS Preferred Funding Trust I		8.622%		10/29/49		A1			5,415,088
				Total Capital Markets									19,243,034
				Commercial Banks – 16.5%
	3,000			AB Svensk Exportkredit, 144A		6.375%		10/27/49		AA-			2,996,535
	9,050			Abbey National Capital Trust I		8.963%		6/30/50		A+			9,711,537
	2,155			AgFirst Farm Credit Bank		8.393%		12/15/16		A			1,291,254
	6,500			AgFirst Farm Credit Bank		7.300%		12/15/53		A			5,294,712
	3,000			Bank One Capital III		8.750%		9/01/30		Aa3			2,800,725
	2,000			BanPonce Trust I, Series A		8.327%		2/01/27		Baa1			1,857,928
	13,030			Barclays Bank PLC, 144A		8.550%		6/15/49		Aa3			11,970,140
	1,500			Barclays Bank PLC		7.434%		12/15/57		Aa3			1,223,369
	1,500			BBVA International Unipersonal		5.919%		4/18/58		Aa3			1,132,379
	3,500			Credit Agricole SA		6.637%		5/29/49		Aa3			2,363,421
	6,200			First Empire Capital Trust I		8.234%		2/01/27		A3			5,790,316
	2,000			First Midwest Bancorp Inc.		6.950%		12/01/33		Baa1			1,594,988
	12,700			HBOS PLC, Series 144A		6.413%		4/01/49		A1			7,178,980
	2,000			HBOS PLC, Series 144A		6.657%		11/21/57		A1			1,133,588
	750			HSBC Capital Funding LP, Debt		10.176%		6/30/50		A1			740,918
	11,000			KBC Bank Fund Trust III, 144A		9.860%		5/02/50		A1			10,995,820
	9,000			Mizuho Financial Group		8.375%		4/27/49		Aa3			7,740,135
	8,000			North Fork Capital Trust II		8.000%		12/15/27		Baa1			6,817,480
	4,500			Northgroup Preferred Capital Corporation, 144A		6.378%		10/15/57		A1			2,735,213
	600			Reliance Capital Trust I, Series B		8.170%		5/01/28		N/R			501,792
	2,500			Shinsei Finance II Cayman Limited, Perpetual Maturity, 144A		7.160%		7/25/49		Baa2			1,282,813
	8,000			Sparebanken Rogaland, Notes, 144A		6.443%		5/01/49		A2			7,981,048
	4,000			Standard Chartered PLC, 144A		7.014%		1/30/58		BBB+			3,373,520
	9,450			Swedbank ForeningsSparbanken AB, 144A		9.000%		9/17/50		A1			9,267,804
	4,000			Unicredito Italiano Capital Trust, 144A		9.200%		4/05/51		A1			3,835,240
	800			Union Bank of Norway		7.068%		11/19/49		A			1,051,007
	—	(12)		Union Planters Preferred Fund, 144A		7.750%		7/15/53		A3			12,075,000
				Total Commercial Banks									124,737,662
				Diversified Financial Services – 0.4%
	3,100			Fulton Capital Trust I		6.290%		2/01/36		A3			1,501,594
	2,800			Old Mutual Capital Funding, Notes		8.000%		6/22/53		Baa2			1,708,000
				Total Diversified Financial Services									3,209,594
				Diversified Telecommunication Services – 1.3%
	10			Centaur Funding Corporation, Series B, 144A		9.080%		4/21/20		BBB			9,988,116
				Insurance – 6.8%
	2,300			American General Capital II		8.500%		7/01/30		A3			425,114
	6,400			AXA S.A., 144A		6.463%		12/14/49		BBB+			3,660,858
	8,000			Great West Life & Annuity Capital I		6.625%		11/15/34		A-			6,002,784
	2,000			Hartford Financial Services Group Inc.		8.125%		6/15/68		AAA			1,706,134
	2,000			Liberty Mutual Group		7.800%		3/15/37		Baa3			1,210,322
	4,000			MetLife Capital Trust X		9.250%		4/08/68		BBB+			3,806,000
	1,150			Nationwide Financial Services Capital Trust		7.899%		3/01/37		Baa1			723,989
	6,500			Nationwide Financial Services Inc.		6.750%		5/15/67		Baa1			3,522,396
	5,500			Oil Insurance Limited, 144A		7.558%		12/30/49		Baa1			4,190,582
	7,600			Progressive Corporation		6.700%		6/15/67		A2			6,201,782
	3,000			Prudential Financial Inc.		8.875%		6/15/68		A-			2,828,013
	1,100			Prudential PLC		6.500%		6/29/49		A-			473,787
	9,900			QBE Capital Funding Trust II, 144A		6.797%		6/01/49		BBB			7,915,921
	14,600			XL Capital, Limited		6.500%		10/15/57		BBB			8,626,060
				Total Insurance									51,293,742
				Real Estate – 0.3%
	8,000			CBG Florida REIT Corporation		7.114%		11/15/49		BB+			2,177,280
				Road & Rail – 0.7%
	6,400			Burlington Northern Santa Fe Funding Trust I		6.613%		12/15/55		BBB			5,253,274
				Thrifts & Mortgage Finance – 0.0%
	8,260			Washington Mutual Preferred Funding Cayman, Series A-1, 144A		7.250%		3/15/49		C			51,625
	947			Washington Mutual Preferred Funding Trust II		6.665%		3/15/57		C			5,913
				Total Thrifts & Mortgage Finance									57,538
				Total Capital Preferred Securities (cost $310,814,914)									215,960,240
Shares				Description (1)								Value
				Investment Companies – 1.7% (0.9% of Total Investments)
	51,139			Blackrock Preferred and Corporate Income Strategies Fund								$	426,499
	476,659			Blackrock Preferred Income Strategies Fund									3,975,336
	41,890			Blackrock Preferred Opportunity Trust									400,050
	507,338			Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.									3,860,842
	65,157			Flaherty and Crumrine/Claymore Total Return Fund Inc.									502,360
	332,900			John Hancock Preferred Income Fund III									3,402,238
				Total Investment Companies (cost $29,719,808)									12,567,325
Principal
Amount (000)				Description (1)		Coupon		Maturity				Value
				Short-Term Investments – 3.3% (2.0% of Total Investments)
$	14,899			Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/08, repurchase price $14,899,302, collateralized by $10,600,000 U.S. Treasury Bonds, 8.875%, due 2/15/19, value $15,197,750		0.100%		10/01/08				$	14,899,261
	9,828			Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/08, repurchase price $9,828,021, collateralized by: $895,000 U.S. Treasury Notes, 4.875%, due 5/15/09, value $929,681, $1,850,000 U.S. Treasury Notes, 4.750%, due 2/28/09, value $1,882,375 and $7,100,000 U.S. Treasury Notes, 4.500%, due 3/31/09, value $7,215,375		0.100%		10/01/08					9,827,994
$	24,727			Total Short-Term Investments (cost $24,727,255)									24,727,255