N-Q
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:    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.
 
 

 


TABLE OF CONTENTS

Item 1. Schedule of Investments
Item 2. Controls and Procedures
Item 3. Exhibits
SIGNATURES
EX-99.CERT


Table of Contents

Item 1. Schedule of Investments
Portfolio of Investments (Unaudited)
Nuveen Multi-Strategy Income and Growth Fund (JPC)
September 30, 2008
                             
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  
 
                                     
Number of         Notional     Expiration   Strike      
Contracts     Type   Amount (13)     Date   Price     Value  
 
  850     Call Options Purchased – 0.0% (0.0% of Total Investments)

LM Ericsson Telephone Company
  $ 1,912,500     1/17/09   $ 22.5     $ 42,500  
   
 
Total Call Options Purchased (cost $59,313)
                        42,500  
         
 
Total Investments (cost $1,720,992,715) – 166.1%
                        1,256,286,971  
         
 


Table of Contents

                             
Shares     Description (1)               Value  
 
 
 
                   
 
Common Stocks Sold Short – (1.1)%
 
 
                   
 
Chemicals – (0.2)%
 
 
                   
  (29,200 )  
Sigma-Aldrich Corporation
              $ (1,530,664 )
 
 
 
                   
 
Health Care Equipment & Supplies – (0.2)%
 
 
                   
  (14,300 )  
C.R. Bard, Inc.
                (1,356,641 )
  (6,000 )  
Chattem Inc., (2)
                (469,080 )
 
 
Total Health Care Equipment & Supplies
                (1,825,721 )
         
 
 
                   
 
Pharmaceuticals – (0.4)%
 
 
                   
  (50,700 )  
Abbott Laboratories
                (2,919,306 )
 
 
 
                   
 
Specialty Retail – (0.3)%
 
 
                   
  (8,600 )  
Auto Zone, Inc., (2)
                (1,060,724 )
  (26,100 )  
Urban Outfitters, Inc. (2)
                (831,807 )
 
       
Total Specialty Retail
                (1,892,531 )
         
       
Total Common Stocks Sold Short (proceeds $8,298,192)
                (8,168,222 )
         
                                     
Number of         Notional     Expiration   Strike      
Contracts     Type   Amount (13)     Date   Price     Value  
 
 
Call Options Written – (0.5)%
                           
  (2,164 )  
AbitibiBowater, Inc.
  $ (2,705,000 )   1/17/09   $ 12.5     $ (32,460 )
  (2,445 )  
Allied Waste Industries
    (2,445,000 )   1/17/09     10.0       (519,563 )
  (1,705 )  
Allied Waste Industries
    (2,131,250 )   1/17/09     12.5       (102,300 )
  (376 )  
Ameren Corporation
    (1,692,000 )   12/20/08     45.0       (8,460 )
  (249 )  
Amgen, Inc.
    (1,245,000 )   1/17/09     50.0       (282,615 )
  (446 )  
Amgen, Inc.
    (2,453,000 )   1/17/09     55.0       (350,110 )
  (981 )  
AngloGold Ashanti Limited
    (3,924,000 )   1/17/09     40.0       (22,073 )
  (174 )  
Arch Coal Inc.
    (870,000 )   1/17/09     50.0       (26,100 )
  (155 )  
Arch Coal Inc.
    (852,500 )   1/17/09     55.0       (15,500 )
  (734 )  
AstraZeneca Group
    (3,670,000 )   1/17/09     50.0       (82,575 )
  (1,980 )  
Barrick Gold Corporation
    (9,900,000 )   1/17/09     50.0       (267,300 )
  (2,315 )  
BJ Services Company
    (5,208,750 )   1/17/09     22.5       (266,225 )
  (910 )  
BP Amoco, PLC
    (6,370,000 )   1/17/09     70.0       (18,200 )
  (460 )  
Cameco Corporation
    (1,610,000 )   1/17/09     35.0       (18,400 )
  (380 )  
Cameco Corporation
    (1,140,000 )   3/21/09     30.0       (52,250 )
  (200 )  
Chevron Corporation
    (1,700,000 )   1/17/09     85.0       (104,000 )
  (600 )  
eBay, Inc.
    (1,800,000 )   1/17/09     30.0       (17,100 )
  (1,012 )  
Gold Fields Limited
    (1,518,000 )   1/17/09     15.0       (45,540 )
  (300 )  
Health Net Inc.
    (900,000 )   10/18/08     30.0       (4,500 )
  (430 )  
Health Net Inc.
    (1,075,000 )   1/17/09     25.0       (81,700 )
  (1,005 )  
IdaCorp Inc.
    (3,015,000 )   11/22/08     30.0       (50,250 )
  (1,260 )  
Ivanhoe Mines Ltd.
    (1,575,000 )   1/17/09     12.5       (25,200 )
  (375 )  
KT Corporation
    (843,750 )   1/17/09     22.5       (31,875 )
  (850 )  
LM Ericsson Telephone Company
    (1,912,500 )   1/17/09     22.5       (8,500 )
  (460 )  
Microsoft Corporation
    (1,380,000 )   1/17/09     30.0       (37,720 )
  (1,823 )  
Newmont Mining Corporation
    (9,115,000 )   1/17/09     50.0       (274,362 )
  (601 )  
Nexen Inc.
    (1,803,000 )   1/17/09     30.0       (63,105 )
  (3,871 )  
Nippon Telegraph & Telephone Corporation
    (9,677,500 )   12/20/08     25.0       (145,163 )
  (612 )  
Royal Dutch Shell PLC
    (4,590,000 )   1/17/09     75.0       (61,200 )
  (1,335 )  
Smithfield Foods Inc.
    (4,005,000 )   1/17/09     30.0       (46,725 )
  (2,070 )  
Sprint Nextel Corporation
    (1,656,000 )   2/21/09     8.0       (103,500 )
  (450 )  
Tech Data Corporation
    (1,800,000 )   1/17/09     40.0       (9,000 )
  (106 )  
Technip S.A.
    (636,000 )   12/20/08     60.0       (1,343 )
  (3,608 )  
Tyson Foods, Inc.
    (5,412,000 )   1/17/09     15.0       (234,520 )
  (1,203 )  
Tyson Foods, Inc.
    (2,105,250 )   1/17/09     17.5       (24,060 )
  (380 )  
UBS AG
    (1,140,000 )   1/17/09     30.0       (12,350 )
  (405 )  
UBS AG
    (1,620,000 )   1/17/09     40.0       (8,098 )
 
  (38,430 )  
Total Call Options Written (premiums received $(10,794,458))
    (105,495,500 )                 (3,453,942 )
 
 
Borrowings Payable – (32.2)% (15)(16)
                        (243,250,000 )
         
 
Other Assets Less Liabilities – 1.8%
                        12,921,754  
         
 
FundPreferred Shares, at Liquidation Value – (34.1)% (15)
                        (258,000,000 )
         
 
Net Assets Applicable to Common Shares – 100%
                      $ 756,336,561  
         
Interest Rate Swaps outstanding at September 30, 2008:
                                     
            Fund           Fixed Rate       Unrealized  
    Notional     Pay/Receive   Floating Rate   Fixed Rate   Payment   Termination   Appreciation  
Counterparty   Amount     Floating Rate   Index   (Annualized)   Frequency   Date   (Depreciation)  
 
Morgan Stanley
  $ 71,000,000     Receive   1-Month USD-LIBOR   3.406%   Monthly   1/22/09     $105,669  
 
USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)
     
 (1)  
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
   
 
 (2)  
Non-income producing.
   
 
 (3)  
Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating.
   
Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.
   
 
 (4)  
Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepaym