Edgar Filing: Nuveen Multi-Strategy Income & Growth Fund

nvq

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21293

Nuveen Multi-Strategy Income and Growth Fund

(Exact name of registrant as specified in charter)

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

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

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

Date of fiscal year end: 12/31

Date of reporting period: 3/31/2008

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

TABLE OF CONTENTS


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

Item 1. Schedule of Investments

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income and Growth Fund (JPC)
March 31, 2008


Shares		Description (1)	Value


		Common Stocks – 39.5% (24.4% of Total Investments)

		Aerospace & Defense – 0.6%

	22,110	Boeing Company	$	1,644,321
	12,930	Finmeccanica S.p.A		440,264
	11,836	Lockheed Martin Corporation		1,175,315
	8,890	Orbital Sciences Corporation, (2)		214,249
	43,900	Thales S.A.		2,841,402
	12,210	United Technologies Corporation		840,292

		Total Aerospace & Defense		7,155,843


		Airlines – 0.1%

	42,100	Lufthansa AG		1,140,099
	1,810	Ryanair Holdings PLC, (2)		51,187

		Total Airlines		1,191,286


		Auto Components – 0.3%

	40,810	Aisin Seiki Company Limited		1,539,099
	9,060	Cooper Tire & Rubber		135,628
	13,430	Johnson Controls, Inc.		453,934
	24,730	Magna International Inc., Class A		1,784,270

		Total Auto Components		3,912,931


		Automobiles – 0.6%

	24,530	Daimler-Chrysler AG		2,098,542
	37,160	Honda Motor Company Limited		1,070,580
	1,140	S.A. D’Ieteren N.V.		405,190
	18,340	Toyota Motor Corporation		1,850,323
	1,720	Volkswagen AG		100,242
	70,300	Yamaha Motor Company Limited		1,306,525

		Total Automobiles		6,831,402


		Beverages – 1.3%

	1,490	Boston Beer Company, (2)		70,835
	99,780	Coca-Cola Amatil Limited		776,575
	52,780	Coca-Cola Company		3,212,719
	37,770	Coca-Cola Enterprises Inc.		914,034
	18,970	Diageo PLC, Sponsored ADR		1,542,640
	47,380	Fomento Economico Mexicano S.A.		1,979,536
	66,280	Heineken N.V.		3,849,497
	22,840	Molson Coors Brewing Company, Class B		1,200,699
	29,970	Pepsi Bottling Group, Inc.		1,016,283
	41,410	SABMiller PLC		908,220

		Total Beverages		15,471,038


		Biotechnology – 0.7%

	2,332	Abraxis Bioscience Inc., (2)		137,775
	69,500	Amgen Inc., (2), (11)		2,903,710
	17,050	Cephalon, Inc., (2)		1,098,020
	7,150	Genentech, Inc., (2)		580,437
	22,760	Genzyme Corporation, (2)		1,696,530
	5,490	Invitrogen Corporation, (2)		469,230
	13,880	Novo-Nordisk A/S		961,051

		Total Biotechnology		7,846,753


		Building Products – 0.1%

	207,110	Sonae Industria-SPGS S.A., (2)		1,439,183


		Capital Markets – 1.0%

	6,790	Ameriprise Financial, Inc.		352,062
	188,000	Babcock & Brown Limited		2,548,278
	36,630	Bank of New York Company, Inc.		1,528,570
	12,410	BGC Partners, Inc.		144,700
	1,990	BlackRock Inc.		406,318
	11,340	Calamos Asset Management, Inc. Class A		184,615
	30,030	Credit Suisse Group		1,527,926
	12,290	Credit Suisse Group		625,781
	27,470	Invesco LTD		669,169
	25,030	JPMorgan Chase & Co.		1,075,039
	11,310	SEI Investments Company		279,244
	7,940	State Street Corporation		627,260
	78,500	UBS AG, (11)		2,260,800

		Total Capital Markets		12,229,762


		Chemicals – 1.3%

	11,600	Air Products & Chemicals Inc.		1,067,200
	620	Bayer AG		49,907
	2,500	CF Industries Holdings, Inc.		259,050
	7,910	Eastman Chemical Company		493,980
	4,880	Lubrizol Corporation		270,889
	207,300	Mitsui Chemicals		1,389,858
	38,540	Mosaic Company, (2)		3,954,204
	335,480	Nissan Chemical Industries Limited		3,574,473
	280	Potash Corporation of Saskatchewan		43,459
	16,640	Potash Corporation of Saskatchewan		2,585,689
	24,960	Shin-Etsu Chemical Company Limited		1,299,686
	7,310	Terra Industries, Inc., (2)		259,724

		Total Chemicals		15,248,119


		Commercial Banks – 2.3%

	800	Allied Irish Banks		34,544
	14,880	Allied Irish Banks		317,263
	77,570	Allinaz S.E.		1,525,026
	1,500	Banco Bilbao Vizcaya Argentaria S.A.		32,985
	1,530	Banco Bradesco S.A., ADR		42,473
	1,860	Banco Itau Holdings Financeira, S.A.		42,334
	40,640	Banco Santander Central S.A.		810,362
	24,090	Bank of Montreal		1,079,473
	1,510	Barclays PLC		54,662
	22,020	BB&T Corporation		705,961
	25,720	BNP Paribas S.A.		2,593,403
	6,820	Comerica Incorporated		239,246
	9,490	Community Bank System Inc.		233,074
	31,950	Credit Agricole S.A.		987,824
	246,750	DnB NOR ASA		3,767,055
	111,360	Hang Seng Bank		2,027,449
	34,900	ICICI Bank Limited, ADR		1,332,831
	17,430	Kookmin Bank		976,952
	23,880	Lloyds TSB Group PLC, Sponsored ADR		857,292
	13,620	Marshall and Ilsley Corporation		315,984
	2,600	National Bank of Greece S.A.		136,882
	29,940	National Bank of Greece S.A.		316,166
	859,260	Nishi-Nippon City Bank Limited		2,275,348
	22,830	Northern Trust Corporation		1,517,510
	9,830	PNC Financial Services Group, Inc.		644,553
	4,410	Prosperity Bancshares, Inc.		126,391
	154,690	Royal Bank of Scotland, PLC		1,036,297
	46,010	Standard Chartered PLC		1,573,342
	4,540	SVB Financial Group, (2)		198,126
	20,920	Sydbank A/S		764,495
	5,250	UMB Financial Corporation		216,300

		Total Commercial Banks		26,781,603


		Commercial Services & Supplies – 0.8%

	327,800	Allied Waste Industries, Inc., (2), (11)		3,543,518
	2,246	Consolidated Graphics Inc., (2)		125,888
	1,850	Dun and Bradstreet Inc.		150,553
	208,260	Michael Page International PLC		1,250,581
	26,410	Randstad Holding N.V.		1,236,738
	293,300	Toppan Printing Company Limited		3,429,926

		Total Commercial Services & Supplies		9,737,204


		Communications Equipment – 0.9%

	4,380	Comtech Telecom Corporation, (2)		170,820
	96,460	Corning Incorporated		2,318,898
	6,330	Interdigital Inc., (2)		125,397
	85,000	LM Ericsson Telefonaktiebolaget, (11)		1,670,250
	79,430	Nokia Oyj, Sponsored ADR		2,528,257
	75,230	QUALCOMM Inc.		3,084,430
	6,470	Tandberg ASA		97,590

		Total Communications Equipment		9,995,642


		Computers & Peripherals – 0.8%

	22,461	Apple, Inc., (2)		3,223,154
	72,610	Hewlett-Packard Company		3,315,373
	7,940	International Business Machines Corporation (IBM)		914,212
	7,950	NCR Corporation, (2)		181,499
	85,013	Network Appliance Inc., (2)		1,704,511
	7,950	Teradata Corporation, (2)		175,377

		Total Computers & Peripherals		9,514,126


		Construction & Engineering – 0.7%

	315,280	AMEC PLC		4,528,379
	9,140	Fluor Corporation		1,290,202
	151,790	JGC Corporation		2,329,425
	4,900	Perini Corporation, (2)		177,527

		Total Construction & Engineering		8,325,533


		Consumer Finance – 0.3%

	9,130	MasterCard, Inc.		2,035,899
	48,840	Western Union Company		1,038,827

		Total Consumer Finance		3,074,726


		Containers & Packaging – 0.1%

	10,400	Owens-Illinois, Inc., (2)		586,872


		Distributors – 0.1%

	82,910	Jardine Cycle & Carriage Limited		1,186,960


		Diversified Consumer Services – 0.0%

	2,320	Apollo Group, Inc., (2)		100,224
	2,820	ITT Educational Services, Inc., (2)		129,523

		Total Diversified Consumer Services		229,747


		Diversified Financial Services – 0.6%

	60,440	Citigroup Inc.		1,294,625
	21,380	Deutsche Boerse AG		3,445,741
	16,690	Eaton Vance Corporation		509,212
	22,820	ING Group N.V.		852,783
	13,430	Nasdaq Stock Market, Inc., (2)		519,204

		Total Diversified Financial Services		6,621,565


		Diversified Telecommunication Services – 1.7%

	36,630	AT&T Inc.		1,402,929
	390	Brasil Telecom		25,529
	7,160	Cbeyond Inc., (2)		134,536
	1,509	Chunghwa Telecom Co., Ltd., Sponsored ADR		39,688
	21,180	France Telecom S.A.		711,224
	105,430	KT Corporation, Sponsored ADR, (11)		2,503,963
	389,300	Nippon Telegraph and Telephone Corporation, ADR, (11)		8,440,024
	59,090	Telecom Argentina S.A., (2)		1,251,526
	455,000	Telecom Italia S.p.A.		751,828
	24,830	Telefonica S.A.		2,148,043
	54,110	Telefonos de Mexico SA, de C.V., Series L		2,034,536

		Total Diversified Telecommunication Services		19,443,826


		Electric Utilities – 1.8%

	600	Ameren Corporation		26,424
	5,800	Black Hills Corporation		207,524
	263,700	Centrais Electricas Brasileiras S.A., ADR		3,823,149
	40,440	E.ON A.G.		2,522,210
	32,310	Edison International		1,583,836
	8,760	El Paso Electric Company, (2)		187,201
	15,260	FPL Group, Inc.		957,412
	100,500	IDACORP, INC		3,227,055
	268,500	Korea Electric Power Corporation, Sponsored ADR		4,038,240
	148,600	PNM Resources Inc.		1,853,042
	8,330	Progress Energy, Inc.		347,361
	62,880	Reliant Energy Inc., (2)		1,487,112

		Total Electric Utilities		20,260,566


		Electrical Equipment – 0.4%

	36,840	ABB Limited		992,917
	48,740	Emerson Electric Co.		2,508,160
	1,370	First Solar Inc., (2)		316,662
	18,930	Nikon Corporation		506,652

		Total Electrical Equipment		4,324,391


		Electronic Equipment & Instruments – 0.7%

	1,624	Itron Inc., (2)		146,534
	73,760	LG Philips LCD Company Limited, Sponsored ADR		1,647,061
	18,050	MEMC Electronic Materials, (2)		1,279,745
	7,030	Mettler-Toledo International Inc., (2)		682,754
	60,500	Tech Data Corporation, (2), (11)		1,984,400
	3,387	Teledyne Technologies Inc., (2)		159,189
	29,910	Thermo Fisher Scientific, Inc., (2)		1,700,084

		Total Electronic Equipment & Instruments		7,599,767


		Energy Equipment & Services – 1.3%

	1,460	Atwood Oceanics Inc., (2)		133,911
	231,500	BJ Services Company, (11)		6,600,065
	26,660	Cooper Cameron Corporation, (2)		1,110,122
	1,950	Dawson Geophysical Company, (2)		131,625
	9,530	Dresser Rand Group, Inc., (2)		293,048
	11,780	FMC Technologies Inc., (2)		670,164
	42,390	Global Industries, Limited, (2)		682,055
	7,500	Matrix Service Company, (2)		128,850
	16,510	National-Oilwell Varco Inc., (2)		963,854
	9,160	Noble Corporation		454,977
	34,050	Patterson-UTI Energy, Inc.		891,429
	10,600	Technip S.A.		825,706
	9,830	Tidewater Inc.		541,731
	5,080	Transocean Inc., (2)		686,816
	3,860	Trico Marine Services Inc., (2)		150,424
	6,760	Unit Corporation, (2)		382,954

		Total Energy Equipment & Services		14,647,731


		Food & Staples Retailing – 0.5%

	18,600	Casino Guichard-Perrachon S.A.		2,229,572
	3,290	Koninklijke Ahold N.V., (2)		49,004
	111,040	Marks and Spencer Group PLC		854,369
	3,470	Nash Finch Company		117,911
	33,110	Safeway Inc.		971,779
	26,010	Wal-Mart Stores, Inc.		1,370,207
	58,780	William Morrison Supermarkets PLC		320,489

		Total Food & Staples Retailing		5,913,331


		Food Products – 1.9%

	22,490	ConAgra Foods, Inc.		538,636
	15,935	Flowers Foods Inc.		394,391
	32,080	H.J. Heinz Company		1,506,798
	198,950	Jeronimo Martins SGPS		1,600,048
	4,550	Monsanto Company		507,325
	410	Nestle S.A.		51,429
	267,000	Smithfield Foods, Inc., (2), (11)		6,877,920
	98,450	Tingyi Holding Corporation		129,751
	481,100	Tyson Foods, Inc., Class A, (11)		7,673,545
	70,840	Unilever PLC		2,388,725

		Total Food Products		21,668,568


		Gas Utilities – 0.5%

	1,050	BG PLC		121,770
	4,850	E. ON AG		897,376
	25,340	Energen Corporation		1,578,682
	8,030	Equitable Resources Inc.		472,967
	2,640	Gas Natural SDG		163,114
	40,890	Questar Corporation		2,312,738
	18,780	Spectra Energy Corporation		427,245

		Total Gas Utilities		5,973,892


		Health Care Equipment & Supplies – 0.6%

	20,050	Alfresa Holdings Corporation		1,591,032
	2,230	Analogic Corporation		148,384
	9,750	Applera Corporation-Applied Biosystems Group		320,385
	28,090	Baxter International Inc.		1,624,164
	534	Fresenius Medical Care, ADR		26,871
	31,920	Fresenius Medical Care, ADR		1,606,348
	109,400	Paramount Bed Company Limited		1,498,193
	9,100	Patterson Companies Inc., (2)		330,330
	4,172	Surmodics Inc., (2)		174,723

		Total Health Care Equipment & Supplies		7,320,430


		Health Care Providers & Services – 0.1%

	20,284	Express Scripts, Inc., (2)		1,304,667
	4,640	Mentor Corporation		119,341

		Total Health Care Providers & Services		1,424,008


		Hotels, Restaurants & Leisure – 0.3%

	2,160	Bally Technologies, Inc., (2)		74,174
	19,360	Burger King Holdings Inc.		535,498
	880	Carnival Corporation		35,482
	23,410	McDonald’s Corporation		1,305,576
	24,360	Royal Caribbean Cruises Limited		801,444
	2,680	WMS Industries Inc., (2)		96,400
	7,670	Wynn Resorts Ltd.		771,909

		Total Hotels, Restaurants & Leisure		3,620,483


		Household Durables – 0.0%

	1,480	Desarrolladora Homex SAB de C.V., Sponsored ADR, (2)		85,914
	3,160	Matsushita Electric Industrial Co., Ltd.		68,604
	4,540	Tupperware Corporation		175,607

		Total Household Durables		330,125


		Household Products – 0.4%

	38,160	Colgate-Palmolive Company		2,973,046
	56,000	KAO Corporation		1,593,425

		Total Household Products		4,566,471


		Independent Power Producers & Energy Traders – 0.1%

	21,980	NRG Energy Inc., (2)		857,000


		Industrial Conglomerates – 0.5%

	19,860	East Asiatic Co., LTD		1,744,751
	250,340	Keppel Corporation		1,822,368
	16,460	Siemens AG, Sponsored ADR		1,793,152
	3,240	Teleflex Inc.		154,580

		Total Industrial Conglomerates		5,514,851


		Insurance – 1.0%

	750	Aegon N.V.		10,980
	34,025	AFLAC Incorporated		2,209,924
	7,940	American International Group, Inc.		343,405
	10,140	Amtrust Financial Services, Inc.		164,369
	16,480	Aon Corporation		662,496
	12,930	Arch Capital Group Limited, (2)		887,903
	3,940	Aspen Insurance Holdings Limited, (2)		103,937
	8,550	Axis Capital Holdings Limited		290,529
	254,800	Benfield Group, Limited		1,260,213
	3,970	Fairfax Financial Holdings Limited		1,139,787
	9,720	HCC Insurance Holdings Inc.		220,547
	5,250	Philadelphia Consolidated Holding Corporation, (2)		169,050
	6,550	Power Financial Corporation		224,045
	8,190	Seabright Insurance Holdings Inc., (2)		120,639
	23,850	Sun Life Financial Inc.		1,111,410
	5,364	Tower Group Inc.		135,012
	64,750	WR Berkley Corporation		1,792,928
	1,280	Zurich Financial Services AG		403,467

		Total Insurance		11,250,641


		Internet & Catalog Retail – 0.2%

	16,590	Amazon.com, Inc., (2)		1,182,867
	133,350	Home Retail Group		692,177

		Total Internet & Catalog Retail		1,875,044


		Internet Software & Services – 0.2%

	7,750	Blue Coat Systems Inc.		170,810
	60,000	eBay Inc., (2), (11)		1,790,400

		Total Internet Software & Services		1,961,210


		IT Services – 0.3%

	33,160	Accenture Limited		1,166,237
	12,400	CGI Group Inc., (2)		131,440
	7,120	Convergys Corporation, (2)		107,227
	100,000	Electronic Data Systems Corporation, (11)		1,665,000
	6,190	Savvis Inc., (2)		100,711
	5,600	TNS Inc., (2)		115,584

		Total IT Services		3,286,199


		Leisure Equipment & Products – 0.2%

	2,040	Canon Inc.		94,595
	13,990	Fuji Photo Film Co., Ltd.		500,042
	7,950	FujiFilm Holdings Corporation, ADR		282,543
	29,290	Hasbro, Inc.		817,191
	10,850	Marvel Entertainment Inc., (2)		290,672

		Total Leisure Equipment & Products		1,985,043


		Life Sciences Tools & Services – 0.1%

	2,630	Dionex Corporation, (2)		202,484
	5,470	Illumina Inc., (2)		415,173

		Total Life Sciences Tools & Services		617,657


		Machinery – 0.9%

	57,690	ABB Limited		1,553,015
	32,770	AGCO Corporation, (2)		1,962,268
	7,980	Deere & Company		641,911
	19,946	Harsco Corporation		1,104,609
	7,860	ITT Industries Inc.		407,227
	11,620	MAN AG		1,543,197
	30,480	Manitowoc Company Inc.		1,243,584
	156,840	Mitsui Engineering & Shipbuilding Company Limited		424,927
	8,370	Pall Corporation		293,536
	5,580	Parker Hannifin Corporation		386,527
	7,790	RBC Bearings Inc., (2)		289,243
	4,200	Robbins & Myers, Inc.		137,130

		Total Machinery		9,987,174


		Marine – 0.1%

	181,660	Kawasaki Kisen Kaisha Limited		1,783,133


		Media – 0.3%

	54,610	DIRECTV Group, Inc., (2)		1,353,782
	5,950	Echostar Communications Corporation, (2)		170,944
	47,130	Eniro AB		343,534
	16,220	ProSiebensati Media AG		350,446
	400	Scholastic Corporation, (2)		12,108
	620	Shaw Communication Inc.		11,272
	7,180	Thomson Corporation		240,745
	22,590	Walt Disney Company		708,874
	780	WPP Group PLC		46,519

		Total Media		3,238,224


		Metals & Mining – 3.8%

	196,300	AngloGold Ashanti Limited, Sponsored ADR, (11)		6,666,348
	204,700	Apex Silver Mines Limited, (2)		2,480,964
	107,500	Barrick Gold Corporation		4,670,875
	12,710	BHP Billiton PLC		374,359
	9,960	BHP Billiton PLC		585,150
	60,500	BHP Billiton PLC		1,988,090
	3,350	Compass Minerals International, Inc.		197,583
	148,530	Cookson Group		1,959,667
	235,600	Crystallex International Corporation, (2)		534,812
	18,830	Freeport-McMoRan Copper & Gold, Inc.		1,811,823
	202,500	Gold Fields Limited, (11)		2,800,575
	1,504,600	Lihir Gold Limited, (2)		4,801,075
	431,790	Mitsubishi Materials		1,895,615
	182,300	Newmont Mining Corporation, (11)		8,258,190
	188,200	NovaGold Resources Inc., (2), (11)		1,451,022
	3,440	Olympic Steel Inc.		155,144
	4,360	Rio Tinto PLC, Sponsored ADR		1,795,622
	58,590	SSAB Svenskt Stal AB		1,650,143
	5,050	Stillwater Mining Company, (2)		78,124

		Total Metals & Mining		44,155,181


		Multiline Retail – 0.5%

	30,850	Big Lots, Inc., (2)		687,955
	40,340	Costco Wholesale Corporation		2,620,890
	8,610	Dollar Tree Stores Inc., (2)		237,550
	116,870	Next PLC		2,647,417

		Total Multiline Retail		6,193,812


		Multi-Utilities – 0.1%

	47,210	National Grid Group PLC		652,398


		Oil, Gas & Consumable Fuels – 3.4%

	15,500	Arch Coal Inc.		674,250
	123,120	BP Amoco PLC, (11)		7,467,228
	7,020	Cabot Oil & Gas Corporation		356,897
	2,760	Carrizo Oil & Gas, Inc., (2)		163,585
	42,640	Chesapeake Energy Corporation		1,967,836
	13,170	Chevron Corporation		1,124,191
	4,190	Comstock Resources Inc., (2)		168,857
	20,800	Denbury Resources Inc., (2)		593,840
	30,200	Eni S.p.A., Sponsored ADR		2,056,922
	10,560	EOG Resources, Inc.		1,267,200
	7,280	Frontier Oil Corporation		198,453
	27,790	Hess Corporation		2,450,522
	24,110	Murphy Oil Corporation		1,980,395
	60,100	Nexen Inc., (11)		1,779,561
	17,090	Occidental Petroleum Corporation		1,250,475
	7,810	Petrohawk Energy Corporation, (2)		157,528
	15,930	Petroquest Energy Inc., (2)		276,226
	16,466	Pioneer Drilling Company, (2)		262,303
	36,610	Repsol YPF S.A.		1,259,750
	82,100	Royal Dutch Shell PLC, Class B, Sponsored ADR, (11)		5,531,898
	72,950	Singapore Petroleum		360,859
	190,269	StatoilHydro ASA, (11)		5,683,335
	21,220	Total S.A., Sponsored ADR		1,570,492
	6,340	Total S.A.		469,692
	3,560	Valero Energy Corporation		174,832
	5,850	XTO Energy, Inc.		361,881

		Total Oil, Gas & Consumable Fuels		39,609,008


		Paper & Forest Products – 0.3%

	10,520	Aracruz Celulose S.A.		718,095
	5,960	Buckeye Technologies Inc., (2)		66,514
	7,020	Potlatch Corporation		289,715
	9,960	Rayonier Inc.		432,662
	8,400	Stora Enso Oyj, R Shares		97,137
	55,050	Votorantim Celulose e Papel S.A.		1,569,476

		Total Paper & Forest Products		3,173,599


		Personal Products – 0.1%

	17,190	Herbalife, Limited		816,525
	3,400	Oriflame Cosmetics S.A.		226,021

		Total Personal Products		1,042,546


		Pharmaceuticals – 1.6%

	17,900	Astellas Pharma Inc.		702,994
	130,970	AstraZeneca PLC		4,975,550
	81,770	Daiichi Sankyo Company Limited		2,425,818
	27,340	Eli Lilly and Company		1,410,471
	6,720	GlaxoSmithKline PLC, ADR		285,130
	20,870	H. Lundbeck A/S		523,479
	98,000	Kissei Pharmaceuticals Company Limited		2,067,838
	20,920	Merck & Co. Inc.		793,914
	2,960	Novo Nordisk A/S		203,693
	189,800	Patheon Inc., (2)		560,275
	32,970	Pfizer Inc.		690,062
	8,450	Pozen Inc., (2)		87,542
	62,010	Sanofi-Aventis, ADR, (11)		2,327,855
	35,760	Shionogi & Company Limited		614,992
	15,610	Shire Pharmaceuticals Group		302,167
	39,640	Warner Chilcott Limited, (2)		713,520

		Total Pharmaceuticals		18,685,300


		Real Estate/Mortgage – 0.4%

	22,200	Annaly Capital Management Inc.		340,104
	6,396	LaSalle Hotel Properties		183,757
	7,700	Lexington Corporate Properties Trust		110,957
	6,500	Macerich Company		456,755
	7,431	SL Green Realty Corporation		605,404
	9,921	Tanger Factory Outlet Centers		381,661
	14,953	Taubman Centers Inc.		779,051
	791,417	Wing Tai Holdings Limited		1,268,948

		Total Real Estate/Mortgage		4,126,637


		Real Estate Management & Development – 0.0%

	94,390	New World Development Company, Limited		232,180


		Road & Rail – 0.4%

	900	Canadian National Railways Company		43,488
	43,010	CSX Corporation		2,411,571
	18,570	Hertz Global Holdings, Inc., (2)		223,954
	12,920	Kansas City Southern Industries, (2)		518,221
	14,570	Landstar System		759,971
	5,950	Union Pacific Corporation		746,011

		Total Road & Rail		4,703,216


		Semiconductors & Equipment – 0.2%

	12,180	Amkor Technology Inc., (2)		130,326
	6,240	Monolithic Power Systems, Inc., (2)		110,011
	66,420	National Semiconductor Corporation		1,216,814
	4,870	Rubicon Technology Inc., (2)		141,133
	14,690	Semtech Corporation, (2)		210,508
	84,930	Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR		872,231

		Total Semiconductors & Equipment		2,681,023


		Software – 0.7%

	45,040	Activision Inc., (2)		1,230,042
	38,760	Adobe Systems Incorporated, (2)		1,379,468
	6,510	Ansys Inc., (2)		224,725
	42,780	Autodesk, Inc., (2)		1,346,714
	5,838	Blackbaud, Inc.		141,747
	5,690	Blackboard, Inc., (2)		189,648
	46,000	Microsoft Corporation, (11)		1,305,480
	20,950	Salesforce.com, Inc., (2)		1,212,377
	5,640	SPSS Inc., (2)		218,719
	56,560	Symantec Corporation, (2)		940,027

		Total Software		8,188,947


		Specialty Retail – 0.3%

	6,235	Aeropostale, Inc., (2)		169,031
	12,810	GameStop Corporation, (2)		662,405
	18,320	Gap, Inc.		360,538
	2,610	Hennes & Mauritz AB		160,669
	4,520	J. Crew Group Inc., (2)		199,648
	10,070	NetFlix.com Inc., (2)		348,926
	540	Sony Corporation		21,638
	42,910	TJX Companies, Inc.		1,419,034

		Total Specialty Retail		3,341,889


		Textiles, Apparel & Luxury Goods – 0.1%

	2,030	Deckers Outdoor Corporation, (2)		218,875
	620	Gildan Activewear Inc, Sponsored ADR, (2)		23,163
	14,258	Guess Inc.		577,021

		Total Textiles, Apparel & Luxury Goods		819,059


		Thrifts & Mortgage Finance – 0.2%

	162,930	Hudson City Bancorp, Inc.		2,880,602


		Tobacco – 0.4%

	21,800	Altria Group, Inc.		483,959
	11,550	British American Tobacco PLC		874,914
	260	Japan Tobacco, Inc., (2)		1,300,648
	21,800	Philip Morris International		1,102,643
	22,280	UST Inc.		1,214,705

		Total Tobacco		4,976,869


		Transportation Infrastructure – 0.2%

	885,990	Macquarie Airports		2,633,468


		Wireless Telecommunication Services – 0.1%

	16,960	Millicom International Cellular S.A., (2)		1,603,567
	1,240	Mobile Telesystems, Sponsored ADR		94,053

		Total Wireless Telecommunication Services		1,697,620

		Total Common Stocks (cost $478,077,379)		456,623,414


Shares		Description (1)	Coupon	Ratings (3)	Value


		Convertible Preferred Securities – 1.6% (1.0% of Total Investments)

		Automobiles – 0.3%

	30,200	General Motors Corporation, Convertible Bonds	1.500%	B-	$	691,580
	56,800	General Motors Corporation, Convertible Notes, Senior Debentures, Series B	5.250%	B-		921,864
	92,750	General Motors Corporation	6.250%	B-		1,530,375

		Total Automobiles				3,143,819


		Capital Markets – 0.0%

	11,300	AMG Capital Trust II, Convertible Bond	5.150%	BB		433,638


		Commercial Banks – 0.0%

	14,750	Sovereign Capital Trust IV, Convertible Security	4.375%	Baa1		451,719


		Communications Equipment – 0.6%

	9,200	Lucent Technologies Capital Trust I	7.750%	B2		6,440,000


		Diversified Financial Services – 0.1%

	30,800	Citigroup Inc., Series T	6.500%	A		1,462,384


		Electric Utilities – 0.1%

	18,850	Centerpoint Energy Inc.	2.000%	BBB-		546,273
	4,000	CMS Energy Corporation, Convertible Bonds	4.500%	Ba2		287,750

		Total Electric Utilities				834,023


		Food Products – 0.0%

	2,850	Bunge Limited, Convertible Bonds	4.875%	BB		324,188


		Household Durables – 0.0%

	12,000	Newell Financial Trust I	5.250%	BBB-		544,500


		Independent Power Producers & Energy Traders – 0.1%

	300	NRG Energy Inc., Convertible Bond	4.000%	B2		600,840


		Metals & Mining – 0.1%

	800	Freeport McMoran Copper & Gold, Inc.	5.500%	B-		1,697,000


		Oil, Gas & Consumable Fuels – 0.1%

	550	El Paso Corporation	4.990%	B		748,000


		Real Estate – 0.1%

	9,350	Simon Property Group, Inc., Series I	6.000%	BBB+		709,478


		Thrifts & Mortgage Finance – 0.1%

	30,450	Washington Mutual, Inc., Unit 1 Trust	5.375%	A3		864,780


		U.S. Agency – 0.0%

	5	Federal National Mortgage Association	5.375%	AA-		335,624

		Total Convertible Preferred Securities (cost $22,323,638)				18,589,993


Shares		Description (1)	Coupon	Ratings (3)	Value


		$25 Par (or similar) Preferred Securities – 52.2% (32.2% of Total Investments)

		Capital Markets – 6.1%

	224,404	BNY Capital Trust V, Series F	5.950%	Aa3	$	4,813,466
	950,117	Deutsche Bank Capital Funding Trust II	6.550%	Aa3		20,693,548
	86,700	Deutsche Bank Contingent Capital Trust III	7.600%	Aa3		2,150,160
	34,300	First Union Institutional Capital II (CORTS)	8.200%	A1		857,500
	3,900	Goldman Sachs Capital I, Series A (CORTS)	6.000%	A1		79,794
	4,700	Goldman Sachs Group Inc. (SATURNS)	5.750%	AA-		94,940
	300	Goldman Sachs Group Inc., Series 2004-06 (SATURNS)	6.000%	A1		6,105
	41,500	Goldman Sachs Group Inc., Series 2004-4 (CORTS)	6.000%	A1		852,410
	7,500	Goldman Sachs Group Inc., Series GSC-3 (PPLUS)	6.000%	A1		144,075
	480,888	Lehman Brothers Holdings Capital Trust III, Series K	6.375%	A2		8,559,806
	101,461	Merrill Lynch Preferred Capital Trust III	7.000%	A2		2,065,746
	115,400	Merrill Lynch Preferred Capital Trust IV	7.120%	A2		2,456,866
	341,000	Merrill Lynch Preferred Capital Trust V	7.280%	A2		7,297,400
	307,334	Morgan Stanley Capital Trust III	6.250%	A1		6,229,660
	456,907	Morgan Stanley Capital Trust IV	6.250%	A1		9,188,400
	2,100	Morgan Stanley Capital Trust V	5.750%	A+		40,215
	239,129	Morgan Stanley Capital Trust VII	6.600%	A1		5,117,361

		Total Capital Markets				70,647,452


		Commercial Banks – 10.2%

	69,570	ABN AMRO Capital Fund Trust V	5.900%	A1		1,381,660
	74,400	ASBC Capital I	7.625%	A3		1,852,560
	78,055	BAC Capital Trust II	7.000%	Aa2		1,890,492
	213,600	BAC Capital Trust III	7.000%	Aa2		5,181,936
	8,200	BAC Capital Trust IV	5.875%	Aa2		174,824
	8,000	BAC Capital Trust V	6.000%	Aa3		170,000
	10,200	BAC Capital Trust VIII	6.000%	Aa2		215,628
	358,086	Banco Santander Finance	6.800%	Aa3		7,967,414
	323,606	Banco Santander Finance	6.500%	A		6,876,628
	8,300	BancorpSouth Capital Trust I	8.150%	Baa1		206,421
	231,600	Banesto Holdings, Series A, 144A	10.500%	A1		7,331,599
	63,700	Bank One Capital Trust VI	7.200%	Aa3		1,575,301
	200	Capital One Capital II Corporation	7.500%	Baa1		3,940
	212,400	Citizens Funding Trust I	7.500%	Baa1		3,653,280
	107,000	Cobank ABC, 144A,	7.000%	A		4,788,785
	394,900	Credit Suisse Guernsey	7.900%	Aa3		9,946,544
	347,358	Fifth Third Capital Trust VI	7.250%	A1		7,555,037
	338,400	Fleet Capital Trust VIII	7.200%	Aa2		8,121,600
	718,820	HSBC Finance Corporation	6.875%	AA-		17,330,750
	136,400	KeyCorp Capital Trust IX	6.750%	A3		2,726,636
	539,400	National City Capital Trust II	6.625%	BBB+		9,115,860
	43,750	PNC Capital Trust	6.125%	A2		951,563
	2,900	Royal Bank of Scotland Group PLC	6.600%	Aa3		64,670
	13,129	Royal Bank of Scotland Group PLC, Series L	5.750%	A1		258,641
	97,395	Royal Bank of Scotland Group PLC, Series N	6.350%	A1		2,150,482
	2,400	Royal Bank of Scotland Group PLC, Series P	6.250%	A1		51,936
	58,600	SunTrust Capital Trust IX	7.875%	A1		1,435,700
	175,327	USB Capital Trust XI	6.600%	Aa3		3,995,702
	25,720	VNB Capital Trust I	7.750%	A3		643,000
	129,348	Wachovia Capital Trust IX	6.375%	A1		2,760,286
	143,417	Wachovia Trust IV	6.375%	A1		3,061,953
	86,002	Wells Fargo Capital Trust VII	5.850%	Aa2		1,873,984
	81,700	Zions Capital Trust B	8.000%	BBB-		2,011,454

		Total Commercial Banks				117,326,266


		Computers & Peripherals – 0.0%

	4,447	IBM Inc., Trust Certificates, Series 2001-2	7.100%	A+		111,175


		Diversified Financial Services – 4.7%

	20,700	Allied Capital Corporation	6.875%	BBB+		370,530
	45,230	BAC Capital Trust XII	6.875%	Aa3		1,070,142
	29,700	Citigroup Capital Trust IX	6.000%	A1		585,981
	51,300	Citigroup Capital Trust VII	7.125%	A1		1,134,756
	241,654	Citigroup Capital Trust VIII	6.950%	A1		5,280,140
	15,900	Citigroup Capital Trust XI	6.000%	A1		312,276
	2,600	Citigroup Capital X	6.100%	A1		50,440
	68,755	Citigroup Capital XV	6.500%	A1		1,434,229
	48,801	Citigroup Capital XVI	6.450%	A1		990,660
	15,200	Citigroup Capital XVII	6.350%	A1		301,112
	333,300	Citigroup Capital XIX	7.250%	A1		7,659,234
	63,900	Citigroup Capital XX	7.875%	Aa3		1,585,519
	85,000	Citigroup Inc., Series M	8.125%	A		2,045,313
	13,900	General Electric Capital Corporation	6.050%	AAA		352,921
	543,418	ING Groep N.V.	7.200%	A1		13,085,505
	785,175	ING Groep N.V.	7.050%	A		18,412,354
	5,000	Royal Bank of Scotland Group PLC, Series R	6.125%	A1		106,250

		Total Diversified Financial Services				54,777,362


		Diversified Telecommunication Services – 0.4%

	67,000	AT&T Inc.	6.375%	A		1,673,660
	95,968	BellSouth Capital Funding (CORTS)	7.100%	A		2,174,280
	18,300	BellSouth Corporation (CORTS)	7.000%	A		412,894
	17,500	Verizon Communications (CORTS)	7.625%	A		438,900
	7,200	Verizon Communications, Series 2004-1 (SATURNS)	6.125%	A		174,456
	1,800	Verizon Global Funding Corporation Trust III, Series III (CORTS)	6.250%	A		45,432

		Total Diversified Telecommunication Services				4,919,622


		Electric Utilities – 1.3%

	20,400	DTE Energy Trust I	7.800%	Baa3		518,568
	40,670	Entergy Louisiana LLC	7.600%	A-		1,025,697
	135,100	FPL Group Capital Inc.	6.600%	A3		3,392,361
	800	Georgia Power Company	5.750%	A		19,136
	7,100	National Rural Utilities Cooperative Finance Corporation	6.100%	A3		160,886
	4,900	National Rural Utilities Cooperative Finance Corporation	5.950%	A3		113,484
	132,500	Virginia Power Capital Trust	7.375%	BBB		3,335,025
	234,561	Xcel Energy Inc.	7.600%	Baa2		5,831,773

		Total Electric Utilities				14,396,930


		Food Products – 0.2%

	27,100	Dairy Farmers of America Inc., 144A	7.875%	BBB-		2,322,131


		Insurance – 10.1%

	557,010	Ace Ltd., Series C	7.800%	BBB		13,780,427
	2,556	Aegon N.V.	6.875%	A-		57,536
	982,600	Aegon N.V.	6.375%	A-		19,946,780
	2,567	AMBAC Financial Group Inc.	5.950%	AA		34,680
	25,700	Arch Capital Group Limited, Series B	7.785%	BBB-		648,925
	408,100	Arch Capital Group Limited	8.000%	BBB-		10,414,712
	15,400	Berkley WR Corporation, Capital Trust II	6.750%	BBB-		321,860
	1,221,900	Delphi Financial Group, Inc.	8.000%	BBB+		28,115,919
	3,000,000	Everest Reinsurance Holdings, Inc.	6.600%	Baa1		2,532,720
	322,955	EverestRe Capital Trust II	6.200%	Baa1		6,478,477
	82,200	Financial Security Assurance Holdings	6.250%	AA		1,758,258
	1,800	Markel Corporation	7.500%	BBB-		44,280
	809,050	PartnerRe Limited, Series C	6.750%	BBB+		18,381,616
	82,200	PLC Capital Trust III	7.500%	BBB+		1,965,402
	32,200	PLC Capital Trust IV	7.250%	BBB+		760,886
	7,200	PLC Capital Trust V	6.125%	BBB+		144,000
	46,300	Protective Life Corporation	7.250%	BBB		1,108,422
	37,400	Prudential PLC	6.750%	A		888,250
	377,051	RenaissanceRe Holdings Limited, Series B	7.300%	BBB		8,223,482
	75,000	RenaissanceRe Holdings Ltd.	6.600%	BBB		1,548,750

		Total Insurance				117,155,382


		Media – 3.2%

	18,900	CBS Corporation	7.250%	BBB		457,947
	410,172	CBS Corporation	6.750%	BBB		9,060,699
	586,200	Comcast Corporation	7.000%	BBB+		13,805,010
	605,900	Viacom Inc.	6.850%	BBB		14,099,293

		Total Media				37,422,949


		Oil, Gas & Consumable Fuels – 1.0%

	477,800	Nexen Inc.	7.350%	Baa3		11,462,422


		Real Estate/Mortgage – 12.5%

	10,300	AvalonBay Communities, Inc., Series H	8.700%	BBB		262,444
	15,266	BRE Properties, Series C	6.750%	BBB-		326,387
	658,185	Developers Diversified Realty Corporation, Series G	8.000%	BBB-		15,796,440
	75,300	Developers Diversified Realty Corporation, Series H	7.375%	BBB-		1,613,679
	16,500	Duke Realty Corporation, Series K	6.500%	BBB		333,630
	73,000	Duke Realty Corporation, Series L	6.600%	BBB		1,612,570
	69,500	Duke Realty Corporation, Series O	8.375%	BBB		1,706,225
	38,128	Duke-Weeks Realty Corporation	6.950%	BBB		856,736
	388,070	Equity Residential Properties Trust, Series N	6.480%	BBB		8,510,375
	5,900	First Industrial Realty Trust, Inc., Series J	7.250%	BBB-		123,605
	267,400	First Industrial Realty Trust, Inc., Series J	7.250%	BBB-		5,521,810
	135,567	HRPT Properties Trust, Series B	8.750%	BBB-		3,248,185
	652,100	HRPT Properties Trust, Series C	7.125%	BBB-		12,520,320
	450,487	Kimco Realty Corporation, Series F	6.650%	BBB+		9,617,897
	212,100	Kimco Realty Corporation, Series G	7.750%	BBB+		5,053,283
	32,982	Prologis Trust, Series C	8.540%	BBB		1,750,107
	12,500	Prologis Trust, Series G	6.750%	BBB		293,125
	19,900	PS Business Parks, Inc.	7.000%	BBB-		434,616
	6,000	PS Business Parks, Inc.	6.700%	BBB-		120,060
	48,200	PS Business Parks, Inc., Series I	6.875%	BBB-		1,014,610
	2,000	PS Business Parks, Inc., Series K	7.950%	BBB-		47,700
	26,400	PS Business Parks, Inc., Series O	7.375%	BBB-		588,060
	228,400	Public Storage, Inc.	6.750%	BBB+		4,967,700
	99,295	Public Storage, Inc., Series C	6.600%	BBB+		2,124,913
	51,900	Public Storage, Inc., Series E	6.750%	BBB+		1,123,635
	15,000	Public Storage, Inc., Series F	6.450%	BBB+		305,250
	9,359	Public Storage, Inc., Series H	6.950%	BBB+		211,607
	149,400	Public Storage, Inc., Series I	7.250%	BBB+		3,572,154
	1,700	Public Storage, Inc., Series K	7.250%	BBB+		40,273
	253,741	Public Storage, Inc., Series M	6.625%	BBB+		5,280,350
	32,300	Public Storage, Inc., Series V	7.500%	BBB+		780,691
	320,700	Realty Income Corporation, Series E	6.750%	BBB-		6,769,977
	216,495	Regency Centers Corporation	7.450%	BBB		4,998,870
	9,200	Regency Centers Corporation	7.250%	BBB-		207,460
	16,800	Vornado Realty Trust, Series G	6.625%	BBB-		350,280
	3,400	Vornado Realty Trust, Series H	6.750%	BBB-		71,774
	54,900	Vornado Realty Trust, Series I	6.625%	BBB-		1,166,625
	1,110,545	Wachovia Preferred Funding Corporation	7.250%	A2		26,297,706
	5,800	Weingarten Realty Investors Series F	6.500%	BBB		120,930
	616,030	Weingarten Realty Trust, Preferred Securities	6.750%	A-		14,433,583

		Total Real Estate/Mortgage				144,175,642


		Thrifts & Mortgage Finance – 2.0%

	99,700	Countrywide Capital Trust III (PPLUS)	8.050%	BBB-		1,730,792
	900,448	Countrywide Capital Trust IV	6.750%	BBB-		15,325,625
	84,888	Countrywide Capital Trust V	7.000%	BBB-		1,417,630
	129,000	Federal Home Loan Mortgage Corporation	8.375%	AA-		3,147,600
	60,800	Federal Home Loan Mortgage Corporation, Notes	5.570%	AA-		1,161,280
	31,400	Federal Home Loan Mortgage Corporation	6.550%	AA-		704,930

		Total Thrifts & Mortgage Finance				23,487,857


		U.S. Agency – 0.4%

	99,500	Federal National Mortgage Association	7.000%	AA-		4,508,594


		Wireless Telecommunication Services – 0.1%

	33,900	United States Cellular Corporation	8.750%	A-		847,838

		Total $25 Par (or similar) Preferred Securities (cost $683,811,520)				603,561,622


			Weighted
Principal			Average
Amount (000)		Description (1)	Coupon	Maturity (4)	Ratings (3)	Value


		Variable Rate Senior Loan Interests – 12.3% (7.5% of Total Investments) (5)

		Aerospace & Defense – 0.1%

$	574	DAE Aviation Holdings, Inc., Term Loan B-1	6.990%	7/31/14	BB-	$	555,439
	571	DAE Aviation Holdings, Inc., Term Loan B-2	6.990%	7/31/13	BB-		551,708

	1,145	Total Aerospace & Defense					1,107,147


		Airlines – 0.3%

	1,669	ACTS Aero Technical Support & Services Inc., Term Loan	7.305%	10/01/14	N/R		1,452,115
	992	American Airlines, Inc., Term Loan	6.801%	12/17/10	BB-		912,616
	993	Delta Air Lines, Inc., Term Loan	8.082%	4/30/14	B		792,511

	3,654	Total Airlines					3,157,242


		Building Products – 0.6%

	2,575	Building Materials Corporation of America, Term Loan	6.688%	2/22/14	BB		2,069,274
	2,977	Nortek, Inc., Term Loan B	5.350%	8/27/11	Ba3		2,579,948
	989	Stile Acquisition Corporation, Canadian Term Loan	5.184%	4/05/13	BB-		852,288
	991	Stile Acquisition Corporation, Term Loan B	5.183%	4/05/13	BB-		853,738
	985	TFS Acquisition, Term Loan	6.196%	8/11/13	B+		916,050

	8,517	Total Building Products					7,271,298


		Chemicals – 0.2%

	995	Celanese Holdings LLC, Term Loan C	6.229%	4/02/14	BB+		930,313
	1,985	Hercules Offshore, Inc., Term Loan	4.450%	7/11/13	BB		1,890,713

	2,980	Total Chemicals					2,821,026


		Commercial Services & Supplies – 0.2%

	159	Aramark Corporation, Letter of Credit	0.000%	1/24/14	BB-		148,900
	2,509	Aramark Corporation, Term Loan	4.571%	1/24/14	BB-		2,343,779

	2,668	Total Commercial Services & Supplies					2,492,679


		Diversified Consumer Services – 0.2%

	193	Laureate Education, Inc. Delayed Draw, Term Loan B, (6), (7)	0.500%	8/17/14	B		(18,677	)
	1,303	Laureate Education, Inc. Term Loan B	6.068%	8/17/14	B1		1,177,428
	1,990	Thomson Learning Center, Term Loan	5.200%	7/05/14	B+		1,716,375

	3,486	Total Diversified Consumer Services					2,875,126


		Diversified Telecommunication Services – 0.3%

	1,990	Alltel Communications, Inc., Term Loan B3	5.568%	5/18/15	BB-		1,800,120
	501	Intelsat Tranche B-2, Term Loan A	5.611%	1/03/14	BB-		459,529
	501	Intelsat Tranche B-2, Term Loan B	5.611%	1/03/14	BB-		459,391
	501	Intelsat Tranche B-2, Term Loan C	5.611%	1/03/14	BB-		459,391

	3,493	Total Diversified Telecommunication Services					3,178,431


		Electric Utilities – 0.6%

	4,285	Calpine Corporation, DIP Term Loan	5.575%	3/31/14	B+		3,814,712
	998	TXU Corporation, Term Loan B-2	6.579%	10/10/14	Ba3		910,786
	2,993	TXU Corporation, Term Loan B-3	6.583%	10/10/14	Ba3		2,724,671

	8,276	Total Electric Utilities					7,450,169


		Electrical Equipment – 0.0%

	250	Allison Transmission Holdings, Inc., Term Loan	5.746%	8/07/14	BB-		220,357


		Energy Equipment & Services – 0.2%

	1,907	PGS Finance, Inc., Term Loan	4.450%	6/29/15	Ba2		1,797,033


		Health Care Equipment & Supplies – 0.4%

	40	Bausch & Lomb, Inc., Delayed Draw Term Loan, (6)	3.473%	4/24/15	BB-		37,864
	319	Bausch & Lomb, Inc., Term Loan	5.946%	4/24/15	BB-		310,676
	3,980	Biomet, Inc., Term Loan	5.696%	12/25/13	BB-		3,834,730

	4,379	Total Health Care Equipment & Supplies					4,183,270


		Health Care Providers & Services – 2.0%

	336	Community Health Systems, Inc., Delayed Draw, Term Loan, (6), (7)	0.750%	7/25/14	BB		(25,547	)
	6,565	Community Health Systems, Inc., Term Loan	5.335%	7/25/14	BB		6,065,976
	496	Concentra, Inc., Term Loan	4.946%	6/25/14	B+		420,572
	5,930	HCA, Inc., Term Loan	4.946%	11/18/13	BB		5,462,450
	1,187	HCA, Inc., Term Loan A	4.196%	11/18/12	Ba3		1,081,668
	2,147	Health Management Associates, Inc., Term Loan	4.446%	2/28/14	BB-		1,870,075
	353	IASIS Healthcare LLC, Delayed Term Loan	4.979%	3/14/14	Ba2		321,176
	127	IASIS Healthcare LLC, Letter of Credit	2.609%	3/14/14	Ba2		115,739
	1,506	IASIS Healthcare LLC, Term Loan B	5.244%	3/14/14	Ba2		1,370,382
	747	LifePoint Hospitals, Inc., Term Loan B	4.710%	4/18/12	BB		691,651
	1,848	Select Medical Corporation, Term Loan	5.074%	2/24/12	Ba2		1,641,046
	993	Select Medical Corporation, Term Loan B-2	4.631%	2/24/12	Ba2		881,340
	257	Sun Healthcare Group, Inc., Delayed Term Loan	4.654%	4/12/14	Ba2		233,415
	404	Sun Healthcare Group, Inc., Synthetic Letter of Credit	4.596%	4/19/14	Ba2		367,805
	1,799	Sun Healthcare Group, Inc., Term Loan	5.539%	4/19/14	Ba2		1,636,654
	990	Vanguard Health Holding Company II LLC, Replacement Term Loan	4.954%	9/23/11	Ba3		921,147

	25,685	Total Health Care Providers & Services					23,055,549


		Hotels, Restaurants & Leisure – 0.6%

	983	Cedar Fair LP, Term Loan	4.704%	8/30/12	BB		911,576
	922	Intrawest Corporation, Term Loan	5.971%	4/24/08	N/R		894,305
	469	Isle of Capri Casinos, Inc., Term Loan	4.446%	11/25/13	BB+		397,860
	141	Isle of Capri Casinos, Inc., Delayed Term Loan A	4.446%	11/25/13	BB+		119,959
	188	Isle of Capri Casinos, Inc., Delayed Term Loan B	4.446%	11/25/13	BB+		159,144
	134	Travelport, LLC, Letter of Credit	4.946%	8/23/13	BB-		117,563
	669	Travelport, LLC, Term Loan	4.954%	8/23/13	BB-		585,908
	1,200	Venetian Casino Resort, LLC, Delayed Draw, Term Loan, (6), (7)	0.750%	5/23/14	BB		(136,772	)
	4,764	Venetian Casino Resort, LLC, Term Loan	4.450%	5/23/14	BB		4,221,014

	9,470	Total Hotels, Restaurants & Leisure					7,270,557


		Independent Power Producers & Energy Traders – 0.3%

	1,084	NRG Energy, Inc., Credit Linked Deposit	2.560%	2/01/13	Ba1		1,016,549
	2,225	NRG Energy, Inc., Term Loan	4.196%	2/01/13	Ba1		2,087,543

	3,309	Total Independent Power Producers & Energy Traders					3,104,092


		Insurance – 0.1%

	1,988	Conseco, Inc., Term Loan	4.704%	10/10/13	Ba3		1,547,512


		Internet Software & Services – 0.1%

	1,000	Sabre, Inc., Term Loan	5.244%	9/30/14	B+		823,500


		IT Services – 0.2%

	1,990	First Data Corporation, Term Loan, B-1	5.355%	9/24/14	BB-		1,797,080


		Leisure Equipment & Products – 0.4%

	267	Herbst Gaming Inc., Delayed Draw Term Loan	0.000%	12/02/11	B2		191,200
	533	Herbst Gaming Inc., Term Loan, WI/DD	TBD	TBD	B2		382,400
	4,000	Wimar OpCo LLC, Term Loan	8.500%	1/03/12	B-		3,827,500

	4,800	Total Leisure Equipment & Products					4,401,100


		Machinery – 0.2%

	1,975	Oshkosh Truck Corporation, Term Loan	4.760%	12/06/13	BBB-		1,843,786


		Media – 2.6%

	4,172	Cequel Communications LLC, Term Loan B	6.510%	11/05/13	N/R		3,535,656
	4,075	Charter Communications Operating Holdings, LLC, Term Loan	5.260%	3/06/14	B+		3,452,713
	1,500	Citadel Broadcasting Corporation, Term Loan	4.319%	6/12/14	BB-		1,236,563
	3,970	Discovery Communications Holdings LLC, Term Loan	4.696%	5/14/14	N/R		3,654,881
	1,300	Gray Television Inc., Term Loan B	6.210%	12/31/14	B1		1,093,300
	978	Idearc, Inc., Term Loan	4.700%	11/17/14	BBB-		786,582
	2,960	Neilsen Finance LLC, Term Loan	5.346%	8/09/13	Ba3		2,678,766
	947	Philadelphia Newspapers, Term Loan	6.600%	6/29/13	N/R		785,604
	990	Readers Digest Association, Inc., Term Loan	5.075%	3/02/14	B+		818,235
	5,955	Tribune Company, Term Loan B	5.542%	6/04/14	BB-		4,005,803
	2,433	Tribune Company, Term Loan X	7.396%	6/04/09	BB-		2,188,696
	235	Univision Communications, Inc., Delayed Term Loan, (6), (7)	1.000%	9/29/14	Ba3		(49,035	)
	6,765	Univision Communications, Inc., Term Loan	5.494%	9/29/14	Ba3		5,352,886
	286	Valassis Communications, Inc. Delayed Term Loan, (6), (7)	1.000%	3/02/14	BB		(20,043	)
	866	Valassis Communications, Inc. Tranche B, Term Loan	4.450%	3/02/14	BB		805,660

	37,432	Total Media					30,326,267


		Metals & Mining – 0.1%

	800	John Maneely Company, Term Loan	7.461%	12/08/13	B+		691,429


		Paper & Forest Products – 0.3%

	2,967	Georgia-Pacific Corporation, Term Loan B	4.727%	12/21/12	BB+		2,756,628
	45	Ply Gem Industries, Inc., Canadian Term Loan	5.450%	8/15/11	BB-		38,305
	1,435	Ply Gem Industries, Inc., Term Loan B-3	5.450%	8/15/11	BB-		1,227,541

	4,447	Total Paper & Forest Products					4,022,474


		Real Estate Management & Development – 0.3%

	880	LNR Property Corporation, Term Loan B	6.360%	7/12/11	BB		693,733
	2,985	Realogy Corporation, Delayed Draw Term Loan	7.505%	10/01/13	BB-		2,429,680

	3,865	Total Real Estate Management & Development					3,123,413


		Road & Rail – 0.4%

	5,419	Swift Transportation Company, Inc., Term Loan	6.500%	5/10/14	BB-		4,087,179


		Software – 0.3%

	2,688	Dealer Computer Services, Inc., Term Loan	4.678%	10/26/12	BB		2,446,013
	1,256	Intergraph Corporation, Term Loan	5.061%	5/29/14	BB-		1,139,885

	3,944	Total Software					3,585,898


		Specialty Retail – 0.9%

	1,966	Blockbuster, Inc., Tranche B, Term Loan	8.572%	8/20/11	B		1,770,094
	4,442	Burlington Coat Factory Warehouse Corporation, Term Loan	5.340%	5/28/13	B2		3,719,286
	3,451	Michaels Stores, Inc., Term Loan	5.345%	10/31/13	B		2,900,049
	1,500	TRU 2005 RE Holding Co I LLC, Term Loan	6.119%	12/08/08	B3		1,350,750
	1,200	TRU 2005 RE Holding Co I LLC, Term Loan B, WI/DD	TBD	TBD	BB-		1,093,200

	12,559	Total Specialty Retail					10,833,379


		Wireless Telecommunication Services – 0.4%

	4,000	Asurion Corporation, Term Loan	6.095%	7/03/14	N/R		3,406,666
	992	Leap Wireless International Inc., Term Loan	5.696%	6/17/13	Ba2		943,354

	4,992	Total Wireless Telecommunication Services					4,350,020

$	164,390	Total Variable Rate Senior Loan Interests (cost $158,476,432)					141,417,013


Principal
Amount (000)		Description (1)	Coupon	Maturity	Ratings (3)	Value


		Convertible Bonds – 9.5% (5.8% of Total Investments)

		Aerospace & Defense – 0.3%

$	250	Alliant Techsystems, Inc., Convertible Bonds	2.750%	9/15/11	B+	$	310,625
	250	Alliant Techsystems, Inc., Convertible Bonds	2.750%	2/15/24	B+		341,563
	450	DRS Technologies, Inc., Convertible Bonds, 144A	2.000%	2/01/26	BB-		509,063
	600	L-3 Communications Corporation, Convertible Bond	3.000%	8/01/35	BB+		752,250
	900	Lockheed Martin Corporation	2.818%	8/15/33	A-		1,237,140

	2,450	Total Aerospace & Defense					3,150,641


		Beverages – 0.0%

	300	Molson Coors Brewing Company, Senior Convertible Notes	2.500%	7/30/13	BBB		370,123


		Biotechnology – 0.3%

	3,350	Amgen Inc., 144A	0.125%	2/01/11	A+		3,052,688
	600	Genzyme Corporation	1.250%	12/01/23	BBB+		698,250

	3,950	Total Biotechnology					3,750,938


		Capital Markets – 0.1%

	250	BlackRock Inc.	2.625%	2/15/35	A+		515,623


		Commercial Banks – 0.0%

	500	National City Corporation, Convertible Senior Notes	4.000%	2/01/11	A		413,123


		Commercial Services & Supplies – 0.3%

	3,800	Allied Waste Industries Inc., Convertible Debentures	4.250%	4/15/34	B+		3,496,000


		Communications Equipment – 0.4%

	600	Ciena Corporation, Convertible Bond	0.875%	6/15/17	B+		576,750
	200	CommScope Inc.	1.000%	3/15/24	B		332,500
	250	Juniper Networks Inc., Convertible Subordinated Notes	0.000%	6/15/08	BB		316,563
	660	Liberty Media Corporation, Senior Debentures Exchangeable for Motorola Common Stock	3.500%	1/15/31	BB+		388,766
	500	Lucent Technologies Inc., Series B	2.750%	6/15/25	BB-		386,250
	750	Lucent Technologies Inc.	2.750%	6/15/23	BB-		668,438
	719	Nortel Networks Corp.	4.250%	9/01/08	B-		713,608
	750	Nortel Networks Corporation, Convertible Bonds, 144A	1.750%	4/15/12	B-		510,000
	600	Nortel Networks Corporation, Convertible Bonds, 144A	2.125%	4/15/14	B-		375,750

	5,029	Total Communications Equipment					4,268,625


		Computers & Peripherals – 0.3%

	1,250	EMC Corporation, Convertible Bonds 144A	1.750%	12/01/11	BBB+		1,476,563
	600	EMC Corporation, Convertible Bonds 144A	1.750%	12/01/13	BBB+		707,250
	150	EMC Corporation, Convertible Bonds 144A	1.750%	12/01/13	BBB+		176,813
	1,300	Sandisk Corporation, Convertible Bond	1.000%	5/15/13	BB-		962,000

	3,300	Total Computers & Peripherals					3,322,626


		Construction & Engineering – 0.1%

	250	Fluor Corporation, Convertible Bonds	1.500%	2/15/24	A3		633,750
	300	Quanta Services, Inc., Convertible Bonds	4.500%	10/01/23	BB		631,875

	550	Total Construction & Engineering					1,265,625


		Containers & Packaging – 0.1%

	550	Sealed Air Corporation, 144A	3.000%	6/30/33	BBB		540,373


		Diversified Financial Services – 0.1%

	250	Leucadia National Corporation, Convertible Bonds	3.750%	4/15/14	BB-		522,186


		Diversified Telecommunication Services – 0.1%

	1,000	Qwest Communications International Inc., Convertible Bond	3.500%	11/15/25	B+		1,032,500


		Electric Utilities – 0.1%

	500	Centerpoint Energy Inc., Convertible Bond	3.750%	5/15/23	BBB-		634,375
	300	Covanta Holding Corporation, Convertible Bonds	1.000%	2/01/27	B1		333,750

	800	Total Electric Utilities					968,125


		Electrical Equipment – 0.1%

	600	General Cable Corporation, Convertible Bonds	1.000%	10/15/12	B+		594,750


		Electronic Equipment & Instruments – 0.1%

	500	Anixter International Inc., Convertible Bond	0.000%	7/07/33	BB-		495,000
	350	Itron Inc.	2.500%	8/01/26	B-		546,875
	100	Tech Data Corporation, Convertible Bonds	2.750%	12/15/26	BBB-		94,250
	500	Vishay Intertechnology Inc.	3.625%	8/01/23	B+		500,000

	1,450	Total Electronic Equipment & Instruments					1,636,125


		Energy Equipment & Services – 1.6%

	200	Cooper Cameron Corporation	1.500%	5/15/24	BBB+		487,750
	650	Halliburton Company, Convertible Bond	3.125%	7/15/23	A		1,369,063
	4,125	Nabors Industries Inc., Convertible Bond Series 144A	0.940%	5/15/11	BBB+		4,238,438
	800	Nabors Industries Inc., Convertible Bond Series 144A	0.940%	5/15/11	BBB+		822,000
	4,850	Nabors Industries Inc.	0.000%	6/15/23	BBB+		5,128,875
	300	Pride International Inc.	3.250%	5/01/33	BB+		410,250
	550	Schlumberger Limited	2.125%	6/01/23	A+		1,214,813
	250	SESI LLC, Convertible Bond, 144A	1.500%	12/15/26	BB		271,250
	700	Transocean Inc., Convertible Bond	1.625%	12/15/37	BBB+		769,125
	1,800	Transocean Inc.	1.500%	12/15/37	BBB+		1,982,250
	1,250	Transocean Inc.	1.500%	12/15/37	BBB+		1,378,125

	15,475	Total Energy Equipment & Services					18,071,939


		Food & Staples Retailing – 0.0%

	200	Great Atlantic & Pacific Tea Company Inc.	6.750%	12/15/12	CCC+		196,750


		Food Products – 0.1%

	400	Archer Daniels Midland Company, Convertible Bonds	0.875%	2/15/14	A		466,500
	200	Archer Daniels Midland Company, Convertible Bonds	0.875%	2/15/14	A		233,250
	1,000	General Mills, Inc., Convertible Bonds	2.820%	4/11/37	BBB+		1,001,700

	1,600	Total Food Products					1,701,450


		Health Care Equipment & Supplies – 0.5%

	550	Advanced Medical Optics	3.250%	8/01/26	B-		400,813
	350	American Medical Systems Holdings, Convertible Bond	3.250%	7/01/36	B		343,000
	350	Beckman Coulter Inc., Convertible Bonds, 144A	2.500%	12/15/36	BBB		384,563
	1,100	Hologic Inc.	2.000%	12/15/37	B		1,062,875
	2,500	Medtronic, Inc., Convertible Bond	1.500%	4/15/11	AA-		2,646,875
	250	Medtronic, Inc.	1.500%	4/15/11	AA-		264,688
	725	Saint Jude Medical, Inc., Convertible Bonds	1.220%	12/15/08	BBB+		738,594

	5,825	Total Health Care Equipment & Supplies					5,841,408


		Health Care Providers & Services – 0.5%

	700	Health Management Associates Inc.	1.500%	8/01/23	Baa3		699,125
	400	Laboratory Corporation of America Holdings	0.000%	9/11/21	BBB-		405,000
	700	LifePoint Hospitals, Inc., Convertible Bonds	3.500%	5/15/14	B		591,500
	6,350	Omnicare, Inc.	3.250%	12/15/35	B+		4,238,625
	225	Saint Jude Medical, Inc., Convertible Bonds	1.220%	12/15/08	BBB+		229,219

	8,375	Total Health Care Providers & Services					6,163,469


		Hotels, Restaurants & Leisure – 0.1%

	600	Carnival Corporation	2.000%	4/15/21	A-		660,750
	500	International Game Technology	2.600%	12/15/36	BBB		506,250

	1,100	Total Hotels, Restaurants & Leisure					1,167,000


		Insurance – 0.2%

	2,750	Prudential Financial, Inc., Convertible Bonds	0.539%	12/12/36	A+		2,676,300


		Internet & Catalog Retail – 0.1%

	500	Amazon.com, Inc., Convertible Bonds	4.750%	2/01/09	Ba2		528,750
	150	Priceline.com, Inc., Convertible Bonds	0.500%	9/30/11	B+		457,125
	150	Priceline.com, Inc., Convertible Bonds	0.750%	9/30/13	B+		457,688

	800	Total Internet & Catalog Retail					1,443,563


		Internet Software & Services – 0.0%

	350	Yahoo! Inc., Convertible Bond	0.000%	4/01/08	BBB-		350,000


		IT Services – 0.1%

	800	Electronic Data Systems Corporation, Convertible Bonds	3.875%	7/15/23	BBB-		783,000


		Leisure Equipment & Products – 0.0%

	500	Eastman Kodak Company	3.375%	10/15/33	B		486,875


		Life Sciences Tools & Services – 0.2%

	350	Apogent Technologies, Inc., Convertible Bonds	1.514%	12/15/33	BBB+		684,530
	350	Charles River Laboratories International, Inc.	2.250%	6/15/13	BB+		467,250
	250	Fisher Scientific International, Inc., Convertible Bonds	2.500%	10/01/23	BBB+		607,813

	950	Total Life Sciences Tools & Services					1,759,593


		Machinery – 0.1%

	800	Danaher Corporation, Convertible Bonds	0.000%	1/22/21	A+		906,000
	250	Kaydon Corporation, Convertible Bonds	4.000%	5/23/23	BB-		379,063
	500	Trinity Industries Inc., Convertible Bonds	3.875%	6/01/36	Ba2		426,250

	1,550	Total Machinery					1,711,313


		Media – 0.7%

	200	ELF Special Financing Limited, Convertible Bonds, 144A	6.008%	6/15/09	Ba3		214,480
	600	ELF Special Financing Limited, Convertible Bonds, 144A	3.150%	6/15/09	Ba3		579,000
	1,850	Getty Images, Inc., Convertible Bonds	0.500%	6/09/23	Ba2		1,836,125
	500	Interpublic Group, Inc., Convertible Bonds	4.250%	3/15/23	Ba3		495,000
	300	Lamar Advertising Company, Convertible	2.875%	12/31/10	B1		303,375
	650	Liberty Media Corporation, Senior Debentures, Exchangeable for Class B Viacom Common Stock	3.250%	3/15/31	BB+		442,000
	700	Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1	4.000%	11/15/29	BB+		381,500
	950	Omnicom Group, Inc.	0.000%	7/31/32	A-		957,125
	550	Omnicom Group, Inc.	0.000%	7/01/38	A-		580,938
	1,050	Omnicom Group, Inc.	0.000%	2/07/31	A-		1,044,750
	250	Sinclair Broadcast Group, Inc., Convertible Bonds	3.000%	5/15/27	B		227,500
	850	Walt Disney Company, Convertible Senior Notes	2.125%	4/15/23	A		911,625

	8,450	Total Media					7,973,418


		Metals & Mining – 0.2%

	2,000	Gold Reserve, Inc., Convertible Bonds	5.500%	6/15/22	N/A		1,790,000
	650	Newmont Mining Corporation	1.625%	7/15/17	BBB+		797,063

	2,650	Total Metals & Mining					2,587,063


		Multiline Retail – 0.0%

	250	Saks, Inc., Convertible Bonds	2.000%	3/15/24	B+		293,123


		Oil, Gas & Consumable Fuels – 0.4%

	800	Chesapeake Energy Corporation, 144A	2.750%	11/15/35	BB		1,072,000
	1,000	Chesapeake Energy Corporation, Convertible Bonds	2.500%	5/15/37	BB		1,265,000
	500	Devon Energy Corporation	4.900%	8/15/08	BBB+		800,000
	600	Peabody Energy Corp., Convertible Bond	4.750%	12/15/66	Ba3		684,000
	1,075	USEC Inc., Convertible Bond	3.000%	10/01/14	CCC		630,219

	3,975	Total Oil, Gas & Consumable Fuels					4,451,219


		Pharmaceuticals – 0.5%

	500	Allergan Inc., Convertible Bond	1.500%	4/01/26	A		553,750
	750	Bristol-Myers Squibb Company, Convertible Bond	2.300%	9/15/23	A+		747,225
	650	Myland Labs, Inc., Convertible Bonds	1.250%	3/15/12	B+		543,563
	500	Teva Pharmaceutical Finance, Series A	0.500%	2/01/24	BBB+		623,125
	600	Teva Pharmaceutical Finance, Series B	0.250%	2/01/24	BBB+		818,250
	750	Watson Pharmaceuticals Inc., Convertible Bond	1.750%	3/15/23	BB+		725,625
	1,300	Wyeth, Convertible Bond	3.581%	1/15/24	A+		1,310,361

	5,050	Total Pharmaceuticals					5,321,899


		Real Estate – 0.8%

	1,050	Boston Properties Limited Partnership, Convertible Bonds, 144A	2.875%	2/15/37	A-		997,500
	450	Brandywine Operating Partnership, Convertible Bonds	3.875%	10/15/26	BBB-		383,625
	550	BRE Properties Inc., Convertible Bond	4.125%	8/15/26	BBB		511,500
	750	Developers Diversified Realty Corporation, Convertible Bonds	3.000%	3/15/12	BBB		637,500
	500	Duke Realty Corporation, Series D	3.750%	12/01/11	BBB+		438,750
	350	Health Care REIT, Inc., Convertible Bonds	4.750%	12/01/26	Baa2		382,375
	550	Hospitality Properties Trust, Convertible Bonds	3.800%	3/15/27	BBB		489,500
	500	Host Hotels & Resorts Inc, Convertible Bonds, 144A	2.625%	4/15/27	BB		421,250
	650	Host Marriot LP, Convertible Bonds, 144A	3.250%	4/15/24	Ba1		729,625
	1,550	Prologis, Convertible Bonds, 144A	2.250%	4/01/37	BBB+		1,478,313
	1,350	Prologis, Convertible Bonds, 144A	1.875%	11/15/37	BBB+		1,221,750
	650	Vornado Realty Trust, Convertible Bonds	2.850%	4/01/27	BBB		554,938
	650	Weingarten Realty Investment Trust, Convertible Bonds	3.950%	8/01/26	BBB+		623,188

	9,550	Total Real Estate					8,869,814


		Road & Rail – 0.0%

	150	CSX Corporation	0.000%	10/30/21	BBB-		299,061


		Semiconductors & Equipment – 0.6%

	1,000	Advanced Micro Devices, Inc., Convertible Bonds	5.750%	8/15/12	B		710,000
	400	Advanced Micro Devices, Inc., Convertible Bonds	5.750%	8/15/12	B		284,000
	1,000	Advanced Micro Devices, Inc., Convertible Bonds	6.000%	5/01/15	B		633,750
	900	Advanced Micro Devices, Inc., Convertible Bonds	6.000%	5/01/15	B		570,375
	1,550	Intel Corporation, Convertible Bond	2.950%	12/15/35	A-		1,528,688
	2,500	Qimonda Finance LLC, Convertible Bond	6.750%	3/22/13	N/A		2,281,250
	750	Xilinx Inc., Convertible Bond, 144A	3.125%	3/15/37	BB		680,625
	250	Xilinx Inc., Convertible Bond, 144A	3.125%	3/15/37	BB		226,875

	8,350	Total Semiconductors & Equipment					6,915,563


		Software – 0.1%

	550	Amdocs Limited	0.500%	3/15/24	BBB-		547,250
	400	Computer Associates International Inc., Convertible Bond, Series 144A	1.625%	12/15/09	Ba1		493,500
	500	Red Hat Inc., Convertible Bond	0.500%	1/15/24	BB-		495,625

	1,450	Total Software					1,536,375


		Specialty Retail – 0.1%

	500	TJX Companies, Inc.	0.000%	2/13/21	A-		558,750


		Textiles, Apparel & Luxury Goods – 0.0%

	300	Iconix Brand Group, Inc., Convertible Notes	1.875%	6/30/12	B		273,375


		Thrifts & Mortgage Finance – 0.1%

	1,550	Countrywide Financial Corporation, Convertible Bonds, 144A	0.498%	4/15/37	BBB+		1,379,500


		Wireless Telecommunication Services – 0.1%

	300	American Tower Corporation	3.000%	8/15/12	BB+		591,375
	650	Liberty Media Corporation Convertible Bonds	3.750%	2/15/30	BB+		321,750

	950	Total Wireless Telecommunication Services					913,125

$	108,229	Total Convertible Bonds (cost $112,940,384)					109,572,328


Principal
Amount (000)		Description (1)	Coupon	Maturity	Ratings (3)	Value


		Corporate Bonds – 10.2% (6.3% of Total Investments)

		Aerospace & Defense – 0.1%

$	1,000	Hexcel Corporation, Term Loan	6.750%	2/01/15	B+	$	972,500


		Auto Components – 0.0%

	500	Keystone Automotive Operations Inc.	9.750%	11/01/13	CCC		282,500


		Capital Markets – 0.0%

	500	LVB Acquisition Merger LLC	10.000%	10/15/17	B-		526,250


		Chemicals – 0.2%

	1,000	Momentive Performance Materials	9.750%	12/01/14	B		902,500
	1,500	Rockwood Specialties Group Inc., Series WI	7.500%	11/15/14	BB-		1,462,500

	2,500	Total Chemicals					2,365,000


		Containers & Packaging – 0.4%

	2,000	Owens-Brockway Glass Containers, Guaranteed Senior Note	8.250%	5/15/13	BB		2,080,000
	2,000	Owens-Illinois Inc.	7.800%	5/15/18	B+		1,990,000

	4,000	Total Containers & Packaging					4,070,000


		Diversified Telecommunication Services – 0.3%

	2,000	Intelsat Subsidiary Holding Company Limited	8.500%	1/15/13	BB-		2,025,000
	1,950	PanAmSat Corporation	9.000%	8/15/14	BB-		1,974,375

	3,950	Total Diversified Telecommunication Services					3,999,375


		Electric Utilities – 0.1%

	1,000	Sierra Pacific Resources, Series 2006	6.750%	8/15/17	BB-		969,342


		Energy Equipment & Services – 0.1%

	1,500	Pride International Inc.	7.375%	7/15/14	BB+		1,567,500


		Food & Staples Retailing – 0.2%

	2,000	Stater Brothers Holdings Inc.	8.125%	6/15/12	B+		2,015,000


		Food Products – 0.1%

	2,243	Dole Foods Company	7.875%	7/15/13	CCC+		1,693,465


		Health Care Providers & Services – 0.7%

	3,000	Community Health Systems, Inc.	8.875%	7/15/15	B		3,026,250
	1,700	HCA Inc.	9.125%	11/15/14	BB-		1,755,250
	700	HCA Inc.	9.250%	11/15/16	BB-		728,000
	2,500	US Oncology Inc.	10.750%	8/15/14	B3		2,481,250

	7,900	Total Health Care Providers & Services					7,990,750


		Hotels, Restaurants & Leisure – 1.2%

	2,000	Boyd Gaming Corporation	7.750%	12/15/12	BB		1,860,000
	1,400	Jacobs Entertainment Inc.	9.750%	6/15/14	B		1,057,000
	2,000	Landry’s Restaurants Inc.	9.500%	12/15/14	B3		1,960,000
	1,600	Park Place Entertainment	8.125%	5/15/11	B-		1,352,000
	2,000	Pinnacle Entertainment Inc.	8.250%	3/15/12	B+		1,895,000
	750	Pinnacle Entertainment Inc.	8.750%	10/01/13	B+		742,500
	1,750	Seminole Hard Rock Entertainment, Inc.	5.500%	3/15/14	BB		1,395,625
	4,000	Universal City Development Partners	11.750%	4/01/10	B+		4,120,000

	15,500	Total Hotels, Restaurants & Leisure					14,382,125


		Household Products – 0.1%

	1,650	Central Garden & Pet Company, Senior Subordinate Notes	9.125%	2/01/13	CCC+		1,340,625


		Independent Power Producers & Energy Traders – 0.1%

	500	Mirant North America LLC	7.375%	12/31/13	B1		507,500
	400	NRG Energy Inc.	7.250%	2/01/14	B1		396,000
	400	NRG Energy Inc.	7.375%	2/01/16	B1		393,000

	1,300	Total Independent Power Producers & Energy Traders					1,296,500


		Insurance – 0.6%

	8,000	Great West Life & Annuity Capital I	6.625%	11/15/34	A-		6,549,568


		IT Services – 0.8%

	3,500	First Data Corporation	9.875%	9/24/15	B		2,883,125
	1,625	Global Cash Access LLC	8.750%	3/15/12	B		1,604,688
	4,750	Sungard Data Systems Inc.	9.125%	8/15/13	B+		4,821,250

	9,875	Total IT Services					9,309,063


		Machinery – 0.2%

	2,000	Greenbrier Companies, Inc.	8.375%	5/15/15	B		1,890,000


		Media – 1.5%

	4,000	Allbritton Communications Company, Series B	7.750%	12/15/12	B+		3,940,000
	1,000	Cablevision Systems Corporation, Series B	8.125%	8/15/09	BB		1,012,500
	5,000	Cablevision Systems Corporation	7.250%	7/15/08	BB		5,012,500
	2,000	Charter Communications Operating LLC, 144A	8.000%	4/30/12	B-		1,845,000
	1,975	Medianews Group Inc.	6.375%	4/01/14	B3		928,250
	4,000	R.H. Donnelley Corporation	8.875%	10/15/17	B		2,520,000
	2,000	Young Broadcasting Inc., Senior Subordinated Note	10.000%	3/01/11	Caa2		1,265,000

	19,975	Total Media					16,523,250


		Metals & Mining – 0.3%

	3,700	MagIndustries Corporation	11.000%	12/14/12	N/A		3,482,965


		Multi-Utilities – 0.1%

	1,600	Dynegy Holdings, Inc., Term Loan	8.375%	5/01/16	B		1,592,000


		Oil, Gas & Consumable Fuels – 0.8%

	2,400	Baytex Energy Ltd	9.625%	7/15/10	B		2,436,000
	400	Chaparral Energy Inc.	8.500%	12/01/15	CCC+		350,000
	2,345	Chesapeake Energy Corporation	7.750%	1/15/15	BB		2,427,075
	1,000	Hilcorp Energy I LP/Hilcorp Finance Company, Series 144A	7.750%	11/01/15	B+		942,500
	2,000	SemGroup LP, 144A	8.750%	11/15/15	B1		1,840,000
	1,000	Whiting Petroleum Corporation	7.000%	2/01/14	B1		995,000

	9,145	Total Oil, Gas & Consumable Fuels					8,990,575


		Paper & Forest Products – 0.6%

	5,000	Georgia-Pacific Corporation	8.125%	5/15/11	B+		4,987,500
	2,000	Georgia-Pacific Corporation	7.700%	6/15/15	B+		1,890,000

	7,000	Total Paper & Forest Products					6,877,500


		Personal Products – 0.1%

	1,500	Prestige Brands Inc.	9.250%	4/15/12	B-		1,455,000


		Real Estate – 0.4%

	3,000	Felcor Lodging Trust Inc., 144A	6.788%	12/01/11	Ba3		2,662,500
	1,000	Trustreet Properties, Inc.	7.500%	4/01/15	AAA		1,090,314
	500	Ventas Realty LP, Series WI	7.125%	6/01/15	BBB-		498,750

	4,500	Total Real Estate					4,251,564


		Semiconductors & Equipment – 0.3%

	1,600	Avago Technologies Finance Pte Limited	10.375%	12/01/13	BB-		1,696,000
	2,000	NXP BV	7.008%	10/15/13	BB-		1,657,500

	3,600	Total Semiconductors & Equipment					3,353,500


		Software – 0.2%

	3,250	Telcorida Technologies, Inc., (12)	6.514%	7/15/12	B		2,486,250


		Specialty Retail – 0.3%

	3,000	Warnaco Inc., Senior Notes	8.875%	6/15/13	BB		3,120,000


		Textiles, Apparel & Luxury Goods – 0.3%

	3,000	Jostens IH Corporation	7.625%	10/01/12	B+		2,932,500


		Wireless Telecommunication Services – 0.1%

	1,500	IPCS, Inc.	5.364%	5/01/13	B1		1,162,500

$	127,188	Total Corporate Bonds (cost $126,618,678)					117,447,167


Principal
Amount (000)/
Shares			Description (1)	Coupon	Maturity	Ratings (3)	Value


			Capital Preferred Securities – 28.0% (17.2% of Total Investments)

			Capital Markets – 3.2%

	250		C.A. Preferred Fund Trust II	7.000%	10/30/49	A1	$	230,583
	17,800		C.A. Preferred Funding Trust	7.000%	1/30/49	A1		16,415,925
	10,700		Dresdner Funding Trust I, 144A	8.151%	6/30/31	A1		9,482,147
	1,600		Kleinwort Benson Group PLC	5.377%	12/31/99	N/A		744,000
	1,600		MUFG Capital Finance 2	4.850%	7/25/56	BBB+		1,791,640
	8,000		UBS Preferred Funding Trust I	8.622%	10/29/49	Aa2		7,945,712

			Total Capital Markets					36,610,007


			Commercial Banks – 16.5%

	3,000		AB Svensk Exportkredit, 144A	6.375%	10/27/49	AA-		2,991,837
	9,050		Abbey National Capital Trust I	8.963%	6/30/50	A+		10,738,757
	2,155		AgFirst Farm Credit Bank	8.393%	12/15/16	A-		2,018,569
	6,500		AgFirst Farm Credit Bank	7.300%	12/15/53	A-		6,100,257
	3,000		Bank One Capital III	8.750%	9/01/30	Aa3		3,348,036
	2,000		BanPonce Trust I, Series A	8.327%	2/01/27	Baa1		1,962,070
	13,030		Barclays Bank PLC, 144A	8.550%	6/15/49	Aa3		13,634,266
	1,500		Barclays Bank PLC	7.434%	12/15/57	Aa3		1,358,378
	2,200		BBVA International Preferred S.A., Unipersonal	5.919%	10/18/49	A1		1,739,566
	4,000		BNP Paribas	7.195%	12/25/57	AA-		3,552,648
	700		Capital One Capital IV Corporation	6.745%	2/17/37	Baa1		501,056
	8,000		CBG Florida REIT Corporation	7.114%	11/15/49	BB+		4,542,672
	3,000		Centura Capital Trust I, 144A	8.845%	6/01/27	A2		3,137,802
	1,500		DBS Capital Funding Corporation, 144A	7.657%	3/15/49	Aa3		1,508,666
	1,100		Den Norske Bank, 144A	7.729%	6/29/49	Aa3		1,108,715
	6,200		First Empire Capital Trust I	8.234%	2/01/27	A3		6,333,951
	2,000		First Midwest Bancorp Inc.	6.950%	12/01/33	Baa1		1,567,520
	800		HBOS Capital Funding LP, Notes	6.850%	3/23/49	A1		560,908
	13,400		HBOS PLC, Series 144A	6.413%	4/01/49	A1		9,622,218
	3,000		HBOS PLC, Series 144A	6.657%	11/21/57	A1		2,148,876
	2,400		HSBC Capital Funding LP, 144A	9.547%	12/31/49	A1		2,580,830
	5,750		HSBC Capital Funding LP, Debt	10.176%	6/30/50	A1		6,903,559
	11,000		KBC Bank Fund Trust III, 144A	9.860%	5/02/50	A1		11,910,195
	2,800		Lloyds TSB Bank PLC, Subordinated Note	6.900%	11/22/49	Aa2		2,677,976
	11,500		Mizuho Financial Group	8.375%	4/27/49	Aa3		11,460,325
	8,000		North Fork Capital Trust II	8.000%	12/15/27	Baa1		6,919,672
	4,500		Northgroup Preferred Capital Corporation, 144A	6.378%	10/15/57	A1		3,356,757
	3,000		PNC Preferred Funding Trust III, (8)	8.700%	3/15/58	A-		2,895,000
	600		Reliance Capital Trust I, Series B	8.170%	5/01/28	N/R		516,696
	2,000		Royal Bank of Scotland Group PLC, Series U	7.640%	3/31/49	A1		1,725,120
	2,500		Shinsei Finance II Cayman Limited, Perpetual Maturity, 144A	7.160%	7/25/49	Baa2		1,806,250
	8,000		Sparebanken Rogaland, Notes, 144A	6.443%	5/01/49	A2		8,117,240
	4,000		Standard Chartered PLC, 144A	7.014%	1/30/58	BBB+		3,492,188
	9,450		Swedbank ForeningsSparbanken AB, 144A	9.000%	9/17/50	Aa3		9,516,188
	4,000		Unicredito Italiano Capital Trust, 144A	9.200%	4/05/51	A1		3,943,352
	800		Union Bank of Norway	7.068%	11/19/49	A2		1,263,567
	–	(9)	Union Planters Preferred Fund, 144A	7.750%	7/15/53	A3		33,506,250

			Total Commercial Banks					191,067,933


			Diversified Financial Services – 1.3%

	3,100		Fulton Capital Trust I	6.290%	2/01/36	A3		2,244,711
	10,400		JPMorgan Chase Capital Trust XVIII	6.950%	8/17/36	Aa3		9,607,375
	2,800		Old Mutual Capital Funding, Notes	8.000%	6/22/53	Baa2		2,646,000

			Total Diversified Financial Services					14,498,086


			Diversified Telecommunication Services – 0.8%

	10		Centaur Funding Corporation, Series B, 144A	9.080%	4/21/20	BBB		9,412,479


			Insurance – 4.8%

	1,000		AMBAC Financial Group Inc.	6.150%	2/15/87	A+		381,150
	2,300		American General Capital II	8.500%	7/01/30	Aa3		2,576,805
	13,000		AXA S.A., 144A	6.463%	12/14/49	BBB+		10,452,754
	2,000		Liberty Mutual Group	7.800%	3/15/37	Baa3		1,690,432
	2,100		MetLife Inc.	6.400%	12/15/66	BBB+		1,673,511
	1,150		Nationwide Financial Services Capital Trust	7.899%	3/01/37	Baa1		1,063,424
	6,500		Nationwide Financial Services Inc.	6.750%	5/15/67	Baa1		5,424,737
	5,500		Oil Insurance Limited, 144A	7.558%	12/30/49	Baa1		4,810,569
	7,600		Progressive Corporation	6.700%	6/15/37	A2		6,779,875
	1,100		Prudential PLC	6.500%	6/29/49	A		924,187
	9,900		QBE Capital Funding Trust II, 144A	6.797%	6/01/49	BBB		8,983,586
	14,600		XL Capital, Limited	6.500%	10/15/57	BBB		10,960,482

			Total Insurance					55,721,512


			Road & Rail – 0.5%

	6,400		Burlington Northern Santa Fe Funding Trust I	6.613%	12/15/55	BBB		5,828,412


			Thrifts & Mortgage Finance – 0.9%

	14,200		Washington Mutual Preferred Funding Cayman, Series A-1, 144A	7.250%	3/15/49	BB+		9,025,335
	1,500		Washington Mutual Preferred Funding Trust II	6.665%	3/15/57	BB+		811,124

			Total Thrifts & Mortgage Finance					9,836,459

			Total Capital Preferred Securities (cost $371,732,795)					322,974,888


Shares		Description (1)	Value


		Investment Companies – 2.4% (1.5% of Total Investments)

	65,094	Blackrock Preferred and Corporate Income Strategies Fund	$	967,297
	504,716	Blackrock Preferred Income Strategies Fund		7,666,636
	59,226	Blackrock Preferred Opportunity Trust		975,452
	542,663	Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.		8,053,119
	81,797	Flaherty and Crumrine/Claymore Total Return Fund Inc.		1,283,395
	50,586	John Hancock Preferred Income Fund		953,039
	52,411	John Hancock Preferred Income Fund II		995,809
	388,926	John Hancock Preferred Income Fund III		6,697,307

		Total Investment Companies (cost $35,729,339)		27,592,054

Shares

Description (1)

Value

Warrants – 0.0% (0.0% of Total Investments)

647,500

MagIndustries Corporation

537,770

Total Warrants (cost $281,919)

537,770

Principal

Amount (000)

Description (1)

Coupon

Maturity

Value

Short-Term Investments – 6.6% (4.1% of Total Investments)

40,783

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/08, repurchase price $40,783,707, collateralized by: $26,635,000 U.S. Treasury Bonds, 5.250%, due 11/15/28, value $30,830,013, $10,485,000 U.S. Treasury Bonds, 4.375%, due 2/15/38, value $10,773,338

1.100%

4/01/08

40,782,461

35,130

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/08, repurchase price $35,131,116, collateralized by: $6,130,000 U.S. Treasury Bonds, 6.000%, due 2/15/26, value $7,494,379, $22,470,000 U.S. Treasury Bonds, 6.125%, due 8/15/29, value $28,340,288

1.100%

4/01/08

35,130,043

75,913

Total Short-Term Investments (cost $75,912,504)

75,912,504

Total Investments (cost $2,065,904,588) – 162.3%

1,874,228,753


Shares			Description (1)	Value


			Common Stocks Sold Short – (0.6)%

			Beverages – (0.0)%

	(14,800	)	Hansen Natural Corporation, (2)	$	(522,440	)


			Computers & Peripherals – (0.0)%

	(3,600	)	Apple, Inc., (2)		(516,600	)


			Health Care Equipment & Supplies – (0.1)%

	(8,000	)	Alcon Inc.		(1,138,000	)
	(6,000	)	Chattem Inc., (2)		(398,040	)

			Total Health Care Equipment & Supplies		(1,536,040	)


			Hotels, Restaurants & Leisure – (0.0)%

	(12,400	)	Tim Hortons Inc.		(422,220	)


			Household Products – (0.0)%

	(7,000	)	Procter & Gamble Company		(490,490	)


			Internet Software & Services – (0.1)%

	(23,200	)	Bankrate Inc., (2)		(1,157,448	)


			Pharmaceuticals – (0.1)%

	(19,800	)	Allergan, Inc.		(1,116,522	)


			Specialty Retail – (0.1)%

	(8,600	)	AutoZone, Inc., (2)		(978,938	)
	(14,100	)	Urban Outfitters, Inc., (2)		(442,035	)

			Total Specialty Retail		(1,420,973	)

			Total Common Stocks Sold Short (proceeds $8,015,486)		(7,182,733	)


				Notional			Expiration	Strike
Contracts			Type	Amount (10)			Date	Price			Value

			Call Options Written – (0.7)%
	(2,445	)	Allied Waste Industries, Inc.	$	(2,445,000	)	1/17/09	$	10.0	$		(433,988	)
	(833	)	Allied Waste Industries, Inc.		(1,041,250	)	1/17/09		12.5			(54,145	)
	(249	)	Amgen, Inc.		(1,245,000	)	4/19/08		50.0			(1,245	)
	(446	)	Amgen, Inc.		(2,453,000	)	1/17/09		55.0			(60,210	)
	(981	)	AngloGold Ashanti Limited		(3,924,000	)	1/17/09		40.0			(318,825	)
	(560	)	AstraZeneca PLC		(2,520,000	)	7/19/08		45.0			(39,200	)
	(734	)	AstraZeneca PLC		(3,670,000	)	1/17/09		50.0			(53,215	)
	(2,315	)	BJ Services Company		(5,208,750	)	1/17/09		22.5			(1,747,825	)
	(910	)	BP Amoco, PLC		(6,370,000	)	1/17/09		70.0			(222,950	)
	(600	)	eBay, Inc.		(1,800,000	)	1/17/09		30.0			(270,000	)
	(1,000	)	Electronic Data Systems Corporation		(2,000,000	)	1/17/09		20.0			(90,000	)
	(1,012	)	Gold Fields Limited		(1,771,000	)	7/19/08		17.5			(60,720	)
	(375	)	KT Corporation		(937,500	)	7/19/08		25.0			(60,000	)
	(850	)	LM Ericsson Telefonaktiebolaget		(1,912,500	)	1/17/09		22.5			(142,375	)
	(460	)	Microsoft Corporation		(1,380,000	)	1/17/09		30.0			(114,540	)
	(1,823	)	Newmont Mining Corporation		(9,115,000	)	1/17/09		50.0			(893,270	)
	(601	)	Nexen Inc.		(1,803,000	)	1/17/09		30.0			(249,415	)
	(3,870	)	Nippon Telegraph & Telephone Corporation		(9,675,000	)	6/21/08		25.0			(67,725	)
	(1,410	)	NovaGold Resources Inc.		(2,115,000	)	6/21/08		15.0			(21,150	)
	(605	)	Royal Dutch Shell PLC		(4,235,000	)	7/19/08		70.0			(178,475	)
	(400	)	Sanofi-Aventis		(1,700,000	)	9/20/08		42.5			(42,000	)
	(1,335	)	Smithfield Foods, Inc.		(4,005,000	)	1/17/09		30.0			(250,312	)
	(1,400	)	StatoilHydro ASA		(3,500,000	)	7/19/08		25.0			(742,000	)
	(450	)	Tech Data Corporation		(1,800,000	)	1/17/09		40.0			(48,375	)
	(3,608	)	Tyson Foods, Inc.		(5,412,000	)	1/17/09		15.0			(1,019,260	)
	(380	)	UBS AG		(1,140,000	)	1/17/09		30.0			(205,200	)
	(405	)	UBS AG		(1,620,000	)	1/17/09		40.0			(72,900	)

	(30,057	)	Total Call Options Written (premiums received $(8,783,854))		(84,798,000	)						(7,459,320	)

			Other Assets Less Liabilities – 0.3%									3,337,530

			FundPreferred Shares, at Liquidation Value – (61.3)% (13)									(708,000,000	)

			Net Assets Applicable to Common Shares – 100%							$		1,154,924,230

Interest Rate Swaps outstanding at March 31, 2008:

Fund

Floating

Fixed Rate

Unrealized

Notional

Pay/Receive

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

(581,776

)

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, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.

(5)		Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.

		Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.

(6)		Position or portion of position represents an unfunded Senior Loan commitment outstanding at March 31, 2008.

(7)		Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at March 31, 2008.

(8)		Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees.

(9)		Principal Amount (000)/Shares rounds to less than $1,000.

(10)		For disclosure purposes, Notional Amount is calculated by multiplying the number of Contracts by the Strike Price by 100.

(11)		Investment has been pledged as collateral to cover call options written.

(12)		Portion of investment, with an aggregate market value of $535,500, has been pledged to collateralize the net payment obligations under interest rate swap contracts.

(13)		FundPreferred Shares, at Liquidation Value as a percentage of total investment is (37.8)%.

N/A		Not applicable.

N/R		Not rated.

WI/DD		Purchased on a when-issued or delayed delivery basis.

144A		Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.

ADR		American Depositary Receipt.

CORTS		Corporate Backed Trust Securities.

PPLUS		PreferredPlus Trust.

SATURNS		Structured Asset Trust Unit Repackaging.

TBD		Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.

Fair Value Measurements

During the current fiscal period, the Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157). SFAS 157 defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles, and expands disclosure about fair value measurements. In determining the value of the Fund’s investments various inputs are used. These inputs are summarized in the three broad levels listed below:

Level 1 -

Quoted prices in active markets for identical securities.

Level 2 -

Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3 -

Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the Fund’s fair value measurements as of March 31, 2008:


		Level 1			Level 2			Level 3		Total

Investments	$	1,001,886,726		$	869,447,027		$	2,895,000	$	1,874,228,753
Derivatives*		—			(581,776	)		—		(581,776	)
Securities sold short		(7,182,733	)		—			—		(7,182,733	)
Call options written		(7,459,320	)		—			—		(7,459,320	)

Total	$	987,244,673		$	868,865,251		$	2,895,000	$	1,859,004,924

* Represents net unrealized appreciation (depreciation).

The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the measurement period:


	Level 3 Investments

Balance as of December 31, 2007	$	4,003,008
Gains (losses):
Net realized gains (losses)		—
Net change in unrealized appreciation (depreciation)		(99,215	)
Net purchases at cost (sales at proceeds)		3,000,000
Net discounts (premiums)		11,942
Net transfers in to (out of) at end of period fair value		(4,020,735	)

Balance as of March 31, 2008	$	2,895,000

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the recognition of premium amortization, timing differences in the recognition of income on REIT investments and timing differences in recognizing taxable market discount and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund.

At March 31, 2008, the cost of investments was $2,068,563,171.

Gross unrealized appreciation and gross unrealized depreciation of investments at March 31, 2008, were as follows:




Gross unrealized:
Appreciation	$ 44,715,418
Depreciation	(239,049,836	)



Net unrealized appreciation (depreciation) of investments	$(194,334,418	)

Item 2. Controls and Procedures.

	a.		The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

	b.		There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

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

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant) Nuveen Multi-Strategy Income and Growth Fund



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

Date May 30, 2008

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



By (Signature and Title)*	/s/ Gifford R. Zimmerman
	Gifford R. Zimmerman
	Chief Administrative Officer (principal executive officer)

Date May 30, 2008



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

Date May 30, 2008


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

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