Edgar Filing: Nuveen Multi-Strategy Income & Growth Fund 2

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 811-21333

Nuveen Multi-Strategy Income and Growth Fund 2
(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:		3/31/2010

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

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

Item 1. Schedule of Investments

		Portfolio of Investments (Unaudited)

		Nuveen Multi-Strategy Income and Growth Fund 2 (JQC)
		March 31, 2010

Shares	Description (1)	Value
	Common Stocks – 34.7% (26.5% of Total Investments)
	Aerospace & Defense – 0.9%
1,910	Alliant Techsystems Inc., (2)	$ 155,283
44,943	Aveos Fleet Performance Inc., (2), (16)	741,560
3,285	Esterline Technologies Corporation	162,378
7,885	GeoEye, Inc., (2)	232,608
44,602	Lockheed Martin Corporation, (3)	3,711,778
25,110	Raytheon Company	1,434,283
126,200	Thales S.A.	5,065,836
	Total Aerospace & Defense	11,503,726
	Air Freight & Logistics – 0.1%
12,340	United Parcel Service, Inc., Class B	794,819
	Auto Components – 0.1%
45,300	Johnson Controls, Inc.	1,494,447
2,600	Magna International Inc., Class A, (2)	160,810
	Total Auto Components	1,655,257
	Automobiles – 0.4%
94,011	Honda Motor Company Limited	3,318,390
37,820	Toyota Motor Corporation	1,514,984
	Total Automobiles	4,833,374
	Beverages – 0.9%
325,953	Coca-Cola Amatil Limited	3,364,996
26,850	Coca-Cola Femsa SAB de CV	1,784,183
29,490	Coca-Cola Company	1,621,950
30,305	Coca-Cola Enterprises Inc.	838,236
25,088	Diageo PLC, Sponsored ADR	1,692,186
11,835	Dr. Pepper Snapple Group	416,237
45,106	Heineken N.V.	2,318,099
	Total Beverages	12,035,887
	Biotechnology – 0.3%
7,615	Alnylam Pharmaceuticals, Inc., (2)	129,607
15,460	Amgen Inc., (2)	923,890
6,340	Biogen Idec Inc., (2)	363,662
9,345	BioMarin Pharmaceutical Inc., (2)	218,393
3,820	Celgene Corporation, (2)	236,687
2,241	Cubist Pharmaceuticals Inc., (2)	50,512
39,650	Gilead Sciences, Inc., (2)	1,803,282
15,045	ISIS Pharmaceuticals, Inc., (2)	164,291
	Total Biotechnology	3,890,324
	Building Products – 0.1%
9,371	Apogee Enterprises, Inc.	148,156
8,430	Masco Corporation	130,834
36,123	Masonite Worldwide Holdings, (2), (16)	1,557,804
	Total Building Products	1,836,794
	Capital Markets – 0.6%
1,640	Affiliated Managers Group Inc., (2)	129,560
4,950	Ameriprise Financial, Inc.	224,532
6,590	Calamos Asset Management, Inc. Class A	94,501
31,180	Invesco LTD	683,154
22,050	Legg Mason, Inc.	632,174
406,499	Nomura Securities Company	2,995,805
3,250	Piper Jaffray Companies, (2)	130,975
4,800	Stifel Financial Corporation	258,000
4,960	T. Rowe Price Group Inc.	272,453
161,387	UBS AG, (2)	2,627,380
	Total Capital Markets	8,048,534
	Chemicals – 0.8%
13,210	Celanese Corporation, Series A	420,739
5,790	Eastman Chemical Company	368,707
3,380	Lubrizol Corporation	310,014
4,540	Minerals Technologies Inc.	235,354
31,790	Mosaic Company	1,931,878
121,591	Nissan Chemical Industries Limited	1,701,156
39,275	Nitto Denko Corporation	1,524,957
18,220	Solutia Inc., (2)	293,524
112,013	Umicore	3,911,614
5,055	Westlake Chemical Corporation	130,368
	Total Chemicals	10,828,311
	Commercial Banks – 2.3%
42,682	Banco Itau Holdings Financeira, S.A.	938,577
205,965	Banco Santander Central Hispano S.A.	2,737,357
34,526	Bank of Nova Scotia	1,729,614
15,070	BB&T Corporation	488,117
6,320	Columbia Banking Systems Inc.	128,359
13,371	Commerce Bancshares Inc.	550,083
10,020	Community Bank System Inc.	228,256
112,370	Credit Agricole SA	1,966,973
294,358	DnB NOR ASA, (2)	3,362,988
123,550	Fifth Third Bancorp.	1,679,045
7,540	First Financial Bancorp.	134,137
6,220	Hancock Holding Company	260,058
26,242	ICICI Bank Limited, ADR	1,120,533
2,750,000	Krung Thai Bank Public Company Limited, Foreign Shares	1,020,566
156,985	Nordic Baltic Holdings FDR, (2)	1,549,065
29,155	Royal Bank of Canada	1,706,270
10,130	Shinhan Financial Group Company Limited	805,335
160,447	Standard Chartered PLC	4,376,520
16,873	Sumitomo Trust & Banking Company, ADR, (16)	98,707
4,820	SunTrust Banks, Inc.	129,128
2,810	SVB Financial Group	131,115
114,070	Svenska Handelbanken AB, A Shares	3,342,826
33,240	U.S. Bancorp	860,251
16,040	Umpqua Holdings Corporation	212,690
22,780	Wells Fargo & Company	708,914
	Total Commercial Banks	30,265,484
	Commercial Services & Supplies – 0.2%
11,985	Republic Services, Inc.	347,805
11,698	Stericycle Inc., (2)	637,541
203,000	Toppan Printing Company Limited	1,832,624
6,200	Waste Management, Inc.	213,466
	Total Commercial Services & Supplies	3,031,436
	Communications Equipment – 0.3%
2,920	Comtech Telecom Corporation, (2)	93,411
10,990	Interdigital Inc., (2)	306,181
9,495	Plantronics Inc.	297,004
432,669	ZTE Corporation	2,621,899
	Total Communications Equipment	3,318,495
	Computers & Peripherals – 0.7%
17,265	Apple, Inc.	4,056,066
13,800	Hewlett-Packard Company	733,470
19,095	International Business Machines Corporation (IBM)	2,448,934
6,150	Network Appliance Inc., (2)	200,244
35,170	Seagate Technology, (2)	642,204
40,625	Western Digital Corporation, (2)	1,583,969
	Total Computers & Peripherals	9,664,887
	Construction & Engineering – 0.3%
75,103	JGC Corporation	1,339,949
39,730	Royal Boskalis Westminster NV	1,522,641
44,998	Shaw Group Inc., (2)	1,548,831
	Total Construction & Engineering	4,411,421
	Consumer Finance – 0.1%
26,910	American Express Company	1,110,307
16,620	Capital One Financial Corporation	688,234
	Total Consumer Finance	1,798,541
	Containers & Packaging – 0.0%
7,680	Packaging Corp. of America	189,005
5,160	Rock-Tenn Company	235,141
	Total Containers & Packaging	424,146
	Diversified Consumer Services – 0.0%
8,770	Bridgepoint Education Inc., (2)	215,567
	Diversified Financial Services – 0.1%
91,725	Bank of America Corporation	1,637,291
2,300	Guoco Group Ltd., (16)	47,495
11,632	PHH Corporation, (2)	274,166
	Total Diversified Financial Services	1,958,952
	Diversified Telecommunication Services – 1.6%
5,870	CenturyTel, Inc.	208,150
43,300	KT Corporation, Sponsored ADR, (2)	898,908
340,628	Nippon Telegraph and Telephone Corporation, ADR, (3)	7,160,001
289,900	Portugal Telecom SGPS S.A.	3,241,280
3,270,000	Telecom Italia S.p.A., (2)	3,687,884
169,051	Telus Corporation, (3)	6,055,407
5,730	Verizon Communications Inc.	177,745
	Total Diversified Telecommunication Services	21,429,375
	Electric Utilities – 1.0%
204,942	Centrais Electricas Brasileiras S.A., PFD B ADR, (2)	3,709,450
15,070	E.ON A.G.	556,385
40,690	E.ON A.G., ADR, (2), (16)	1,501,054
22,000	Electricite de France S.A., (2)	1,200,458
24,240	Exelon Corporation	1,061,954
202,034	Korea Electric Power Corporation, Sponsored ADR, (2), (3)	3,281,032
18,900	Progress Energy, Inc.	743,904
12,600	Southern Company	417,816
	Total Electric Utilities	12,472,053
	Electrical Equipment – 0.5%
75,818	ABB Limited, ADR, (2)	1,655,865

99,841	ABB Limited, ADR, (2)	2,180,708
1,913	Areva CI, DD1	992,565
19,370	GrafTech International Ltd., (2)	264,788
10,240	Harbin Electric, Inc., (2)	221,082
11,610	Rockwell Automation, Inc.	654,340
	Total Electrical Equipment	5,969,348
	Electronic Equipment & Instruments – 0.8%
60,899	Hoya Corporation	1,673,436
8,444	Ingram Micro, Inc., Class A, (2)	148,192
37,787	Nidec Corporation	4,049,906
286,664	Nippon Electric Glass Company Limited	4,038,255
2,163	Tech Data Corporation, (2)	90,630
	Total Electronic Equipment & Instruments	10,000,419
	Energy Equipment & Services – 0.6%
186,259	AMEC PLC	2,258,356
170,928	BJ Services Company	3,657,859
13,725	Cooper Cameron Corporation, (2)	588,254
12,030	FMC Technologies Inc., (2)	777,499
29,370	Halliburton Company	884,918
3,060	Oil States International Inc., (2)	138,740
	Total Energy Equipment & Services	8,305,626
	Food & Staples Retailing – 0.8%
24,070	Companhia Brasileira de Distribuicao Grupo Pao de Acucar	1,618,226
286,090	Jeronimo Martins SGPS	2,898,057
123,375	Koninklijke Ahold N.V., (2)	1,644,702
12,676	Kroger Co.	274,562
1,042	Seven & I Holdings, (16)	50,329
62,996	Wal-Mart Stores, Inc., (3)	3,502,578
	Total Food & Staples Retailing	9,988,454
	Food Products – 1.6%
9,190	Archer-Daniels-Midland Company	265,591
9,690	General Mills, Inc.	685,955
18,150	H.J. Heinz Company	827,822
17,715	Hershey Foods Corporation	758,379
14,210	Kellogg Company	759,240
4,550	Mead Johnson Nutrition Company, Class A Shares	236,737
18,474	Nestle S.A.	946,127
4,150	Sanderson Farms Inc.	222,482
279,730	Smithfield Foods, Inc., (2), (3)	5,801,600
306,650	Tyson Foods, Inc., Class A, (3)	5,872,348
56,138	Unilever PLC	1,643,721
111,340	Unilever PLC, ADR, (2)	3,269,344
	Total Food Products	21,289,346
	Gas Utilities – 0.0%
2,740	National Fuel Gas Company	138,507
	Health Care Equipment & Supplies – 0.3%
4,895	Align Technology, Inc., (2)	94,669
17,970	Becton, Dickinson and Company	1,414,778
7,730	Covidien PLC	388,664
8,730	Edwards Lifesciences Corporation, (2)	863,222
7,500	ev3, Inc., (2)	118,950
33,040	Hologic Inc., (2)	612,562
6,810	Hospira Inc., (2)	385,787
7,890	Masimo Corporation	209,480
3,610	Steris Corporation	121,513
826	Zimmer Holdings, Inc., (2)	48,899
	Total Health Care Equipment & Supplies	4,258,524
	Health Care Providers & Services – 1.1%
120,423	Aetna Inc., (3)	4,228,052
44,410	AmerisourceBergen Corporation	1,284,337
11,955	Centene Corporation, (2)	287,398
6,070	Community Health Systems, Inc., (2)	224,165
4,140	Emergency Medical Services Corporation, (2)	234,117
18,148	Express Scripts, Inc., (2)	1,846,740
32,567	Fresenius Medical Care, ADR, (2)	1,837,542
1,913	Health Net Inc., (2)	47,576
14,245	HealthSouth Corporation, (2)	266,382
1,980	Laboratory Corporation of America Holdings, (2)	149,906
11,360	Lincare Holdings, (2)	509,837
15,240	McKesson HBOC Inc.	1,001,573
15,050	Medco Health Solutions, Inc., (2)	971,628
3,377	Omnicare, Inc.	95,535
15,050	Quest Diagnostics Incorporated	877,265
	Total Health Care Providers & Services	13,862,053
	Hotels, Restaurants & Leisure – 0.4%
69,165	Carnival Corporation	2,839,109
33,390	Las Vegas Sands, (2)	706,199
20,910	Shuffle Master Inc., (2)	171,253
20,380	Starbucks Corporation	494,623
382,418	Thomas Cook Group PLC	1,565,701
	Total Hotels, Restaurants & Leisure	5,776,885
	Household Durables – 0.1%
10,470	Lennar Corporation, Class A	180,189
7,185	Meritage Corporation	150,885
38,960	Newell Rubbermaid Inc.	592,192
3,705	Sekisui House, Ltd., Sponsored ADR, (16)	36,902
6,970	Tempur Pedic International Inc.	210,215
	Total Household Durables	1,170,383
	Household Products – 0.1%
15,850	Colgate-Palmolive Company	1,351,371
3,430	KAO Corporation, Sponsored ADR, (16)	86,779
	Total Household Products	1,438,150
	Independent Power Producers & Energy Traders – 0.1%
27,380	Constellation Energy Group	961,312
	Industrial Conglomerates – 0.0%
488	Siemens AG, Sponsored ADR	48,785
	Insurance – 0.7%
13,525	Allstate Corporation	436,993
5,800	Assured Guaranty, Ltd., (16)	112,194
2,023	Aon Corporation, (2)	86,402
6,640	Aspen Insurance Holdings Limited	191,498
2,739	Axis Capital Holdings Limited	85,621
2,759	CNA Financial Corporation	73,720
10,165	Delphi Financial Group, Inc.	255,751
62,476	Hannover Rueckversicherung AG, (2)	3,085,051
32,430	Lincoln National Corporation	995,601
451,086	Mapfre S.A	1,654,749
8,737	Marsh & McLennan Companies, Inc.	213,358
42,163	Old Republic International Corporation	534,627
155,544	Prudential Corporation PLC	1,292,307
9,280	Prudential Financial, Inc.	561,440
8,590	WR Berkley Corporation	224,113
	Total Insurance	9,803,425
	Internet & Catalog Retail – 0.3%
12,065	Amazon.com, Inc., (2)	1,637,582
26,440	NetFlix.com Inc., (2)	1,949,686
	Total Internet & Catalog Retail	3,587,268
	Internet Software & Services – 0.4%
55,472	eBay Inc., (2)	1,494,970
8,380	Equinix Inc., (2)	815,709
3,920	Google Inc., Class A, (2)	2,222,679
15,070	Rackspace Hosting Inc., (2)	282,261
	Total Internet Software & Services	4,815,619
	IT Services – 0.6%
195,543	CGI Group Inc., (2)	2,915,546
13,300	Global Payments Inc.	605,815
5,710	MasterCard, Inc.	1,450,340
2,940	Maximus Inc.	179,134
14,650	VeriFone Holdings Inc., (2)	296,077
18,655	Visa Inc.	1,698,165
7,470	Wright Express Corporation, (2)	224,996
	Total IT Services	7,370,073
	Life Sciences Tools & Services – 0.1%
1,410	Bio-Rad Laboratories Inc., (2)	145,963
11,300	Life Technologies Corporation, (2)	590,651
	Total Life Sciences Tools & Services	736,614
	Machinery – 0.9%
5,921	AGCO Corporation	212,386
7,730	Caterpillar Inc.	485,831
10,140	Cummins Inc.	628,173
8,260	Donaldson Company, Inc.	372,691
97,149	Kone OYJ	4,015,159
470,666	Minebea Company Limited	2,864,573
3,540	Nordson Corporation	240,437
21,810	Oshkosh Truck Corporation, (2)	879,815
15,330	Parker Hannifin Corporation	992,464
5,460	Timken Company	163,855
8,100	Vallourec SA, (2)	1,633,382
	Total Machinery	12,488,766
	Marine – 0.1%
12,830	Genco Shipping and Trading Limited, (2)	270,841
56,500	Stolt-Nielsen S.A.	926,900
	Total Marine	1,197,741
	Media – 0.6%
20,060	Cablevision Systems Corporation	484,248
34,015	Comcast Corporation, Class A	640,162
24,385	Dex One Corporation, (2)	680,829
59,855	DIRECTV Group, Inc.	2,023,698
12,240	Lamar Advertising Company, (2)	420,444
5,187	Madison Square Garden Inc., (2)	112,714
32,898	Readers Digest Association Inc., (16)	904,695
14,780	Scripps Networks Interactive, Class A Shares	655,493
1,797	SuperMedia Inc., (2)	73,497
2,174	Time Warner Cable, Class A	115,896
165,020	WPP Group PLC	1,710,353
	Total Media	7,822,029
	Metals & Mining – 4.3%
48,000	AngloGold Ashanti Limited, Sponsored ADR, (3)	1,821,600
203,301	Barrick Gold Corporation, (3)	7,794,560
65,667	BHP Billiton PLC, ADR	2,626,704
22,170	Cliffs Natural Resources Inc.	1,572,962
68,499	Crystallex International Corporation, (2)	22,570
23,170	First Quantum Minerals Limited	1,906,480
25,211	Freeport-McMoRan Copper & Gold, Inc.	2,106,127
412,055	Gold Fields Limited, ADR, (3)	5,200,134
79,923	Ivanhoe Mines Ltd., (2)	1,391,459
18,812	Kinross Gold Corporation	321,497
11,911	Lihir Gold Limited, Sponsored ADR	335,414
1,718,750	Lihir Gold Limited	4,778,950
1,500,000	Minara Resources Limited, (2)	1,293,887
177,658	Newmont Mining Corporation, (3)	9,048,122
265,900	NovaGold Resources Inc., (2), (3)	1,898,526
823,356	NovaGold Resources Inc., 144A, (2)	5,878,762
19,240	POSCO, ADR	2,251,272
5,614	Silver Standard Resources, Inc., (2)	99,873
27,015	Steel Dynamics Inc.	471,952
87,690	Sterlite Industries India Ltd., ADR	1,631,911
29,450	United States Steel Corporation	1,870,664
20,770	Walter Industries Inc.	1,916,448
	Total Metals & Mining	56,239,874
	Multiline Retail – 0.3%
8,955	Big Lots, Inc., (2)	326,141
26,990	Macy’s, Inc.	587,572
91,469	Next PLC, (2)	3,003,721
	Total Multiline Retail	3,917,434
	Multi-Utilities – 0.6%
208,290	Ameren Corporation, (3)	5,432,203
6,060	PG&E Corporation	257,065
20,048	RWE AG, (2)	1,776,306
	Total Multi-Utilities	7,465,574
	Oil, Gas & Consumable Fuels – 3.4%
10,410	Alpha Natural Resources Inc., (2)	519,355
5,020	Anadarko Petroleum Corporation	365,607
83,619	Arch Coal Inc.	1,910,694
69,817	BP PLC, Sponsored ADR, (3)	3,984,456
26,464	Cabot Oil & Gas Corporation	973,875
128,807	Cameco Corporation, (3)	3,530,600
16,211	Chesapeake Energy Corporation	383,228
69,818	Chevron Corporation, (3)	5,294,299
26,278	Cimarex Energy Company	1,560,388
38,106	ConocoPhillips, (3)	1,949,884
12,340	CONSOL Energy Inc.	526,424
33,005	Continental Resources Inc., (2)	1,404,363
6,960	Devon Energy Corporation	448,433
51,040	EnCana Corporation	1,588,012
46,600	Gazprom OAO, ADR	1,087,178
15,190	Hess Corporation	950,135
5,380	McMoran Exploration Corporation, (2)	78,709
13,920	Newfield Exploration Company, (2)	724,536
58,800	Nexen Inc.	1,452,948
8,500	Occidental Petroleum Corporation	718,590
2,529	Peabody Energy Corporation	115,575
8,498	Petrobras Energia S.A., ADR	141,747
943	Pioneer Natural Resources Company	53,110
13,310	Rosetta Resources, Inc., (2)	313,451
53,300	Royal Dutch Shell PLC, Class B, Sponsored ADR, (3)	2,949,089
13,220	Southwestern Energy Company	538,318
69,386	StatoilHydro ASA, Sponsored ADR	1,618,775
7,180	Stone Energy Corporation, (2)	127,445
112,732	Suncor Energy, Inc., (3)	3,668,299
286,798	Tesoro Corporation, (3)	3,986,492
11,535	Total S.A., (2)	669,618
1,240	Whiting Petroleum Corporation, (2)	100,242
9,810	World Fuel Services Corporation	261,338
	Total Oil, Gas & Consumable Fuels	43,995,213
	Paper & Forest Products – 0.0%
6,295	Buckeye Technologies Inc., (2)	82,339
	Personal Products – 0.0%
9,880	Estee Lauder Companies Inc., Class A	640,916
	Pharmaceuticals – 1.4%
55,950	AstraZeneca Group	2,495,331
43,875	Bristol-Myers Squibb Company	1,171,463
28,905	Johnson & Johnson	1,884,606
46,634	Novartis AG	2,518,784
5,540	Perrigo Company	325,309
257,938	Pfizer Inc., (3)	4,423,637
30,703	Sanofi-Aventis, SA	2,288,675
41,200	Takeda Pharmaceutical Co Ltd.	1,813,435
4,546	Takeda Pharmaceutical Co. Ltd, ADR, (16)	99,557
31,650	Watson Pharmaceuticals Inc., (2)	1,322,021
	Total Pharmaceuticals	18,342,818
	Professional Services – 0.0%
1,918	TrueBlue Inc., (2)	29,729
	Real Estate – 0.3%
10,840	Boston Properties, Inc.	817,770
9,050	Digital Realty Trust Inc.	490,510

16,200	Duke Realty Corporation	200,880
4,200	Equity Lifestyles Properties Inc.	226,296
21,910	Inland Real Estate Corporation	200,477
26,520	Kimco Realty Corporation	414,773
8,400	LaSalle Hotel Properties	195,720
2,340	PS Business Parks Inc.	124,956
4,228	Simon Property Group, Inc.	354,729
7,340	Taubman Centers Inc.	293,013
6,640	Walter Investment Management Corporation	106,240
	Total Real Estate	3,425,364
	Real Estate Management & Development – 0.2%
162,705	Sun Hung Kai Properties Limited	2,445,526
	Road & Rail – 0.1%
1,749	Canadian Pacific Railway Limited	98,364
3,830	Kansas City Southern Industries	138,531
11,980	Norfolk Southern Corporation	669,562
2,027	Union Pacific Corporation	148,579
	Total Road & Rail	1,055,036
	Semiconductors & Equipment – 1.0%
97,660	ASM Lithography Holding NV, (2)	3,490,194
47,050	Broadcom Corporation, Class A	1,561,119
84,245	Intel Corporation	1,875,294
39,910	KLA-Tencor Corporation	1,234,017
83,230	Marvell Technology Group Ltd., (2)	1,696,227
31,380	Novellus Systems, Inc., (2)	784,500
16,435	ON Semiconductor Corporation, (2)	131,480
152,150	Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR	1,596,054
6,530	Xilinx, Inc.	166,515
	Total Semiconductors & Equipment	12,535,400
	Software – 0.4%
2,510	Advent Software Inc., (2)	112,323
7,715	Ansys Inc., (2)	332,825
4,580	Citrix Systems, (2)	217,413
12,065	CommVault Systems, Inc., (2)	257,588
6,885	JDA Software Group, (2)	191,541
4,220	Manhattan Associates Inc., (2)	107,526
33,812	Microsoft Corporation	989,677
15,280	Rovi Corporation, (2)	567,346
12,420	Salesforce.com, Inc., (2)	924,669
21,030	Sybase, Inc., (2)	980,419
	Total Software	4,681,327
	Specialty Retail – 0.3%
9,770	Abercrombie & Fitch Co., Class A	445,903
10,450	Best Buy Co., Inc.	444,543
14,180	Chico’s FAS, Inc.	204,476
5,220	DSW Inc., (2)	133,267
7,438	Guess Inc.	349,437
34,105	Home Depot, Inc.	1,103,297
4,220	J. Crew Group Inc., (2)	193,698
6,110	PetSmart Inc.	195,276
36,740	Williams-Sonoma Inc.	965,895
	Total Specialty Retail	4,035,792
	Textiles, Apparel & Luxury Goods – 0.4%
1,470	Deckers Outdoor Corporation, (2)	202,860
4,650	Fossil Inc., (2)	175,491
14,220	LVMH Moet Hennessy, (2)	1,662,109
3,040	Steven Madden Limited, (2)	148,352
755,142	Yue Yuen Industrial Holdings Limited, (16)	2,625,989
	Total Textiles, Apparel & Luxury Goods	4,814,801
	Thrifts & Mortgage Finance – 0.1%
59,890	Hudson City Bancorp, Inc.	848,041
34,010	New York Community Bancorp, Inc.	562,524
10,640	People’s United Financial, Inc.	166,409
	Total Thrifts & Mortgage Finance	1,576,974
	Tobacco – 0.5%
104,200	Imperial Tobacco Group	3,178,279
17,570	Lorillard Inc.	1,321,966
45,205	Philip Morris International	2,357,892
	Total Tobacco	6,858,137
	Trading Companies & Distributors – 0.4%
345,112	Mitsui & Company Limited	5,799,239
	Water Utilities – 0.0%
1,222	Companhia de Saneamento Basico do Estado de Sao Paulo, ADR	44,969
	Wireless Telecommunication Services – 0.1%
14,343	Millicom International Cellular S.A.	1,283,213
6,165	Millicom International Cellular S.A.	549,609
2,079	TIM Participacoes S.A., ADR	57,712
4,343	Turkcell Iletisim Hizmetleri A.S., ADR	65,405
	Total Wireless Telecommunication Services	1,955,939
	Total Common Stocks (cost $412,626,673)	455,389,111

Shares	Description (1)	Coupon	Ratings (4)	Value
	Convertible Preferred Securities – 1.7% (1.3% of Total Investments)
	Capital Markets – 0.0%
8,150	AMG Capital Trust II, Convertible Bond	5.150%	BB	$	288,306
	Commercial Banks – 0.4%
5,300	Fifth Third Bancorp, Convertible Bond	8.500%	Ba1	721,754
4,150	Wells Fargo & Company, Convertible Bond	7.500%	A-	4,054,550
	Total Commercial Banks			4,776,304
	Communications Equipment – 0.5%
8,250	Lucent Technologies Capital Trust I	7.750%	B3	6,567,000
	Diversified Financial Services – 0.3%
4,700	Bank of America Corporation	7.250%	BB	4,582,500
	Food Products – 0.1%
7,450	Bunge Limited, Convertible Bonds	4.875%	Ba1	666,775
	Independent Power Producers & Energy Traders – 0.0%
9,950	AES Trust III, Convertible Preferred	6.750%	B	450,039
	Insurance – 0.0%
5,600	Reinsurance Group of America Inc.	5.750%	BBB	375,200
	Multi-Utilities – 0.1%
10,400	CMS Energy Corporation, Convertible Bonds	4.500%	Ba2	882,700
	Oil, Gas & Consumable Fuels – 0.2%
600	El Paso Corporation, 144A	4.990%	B	588,150
600	El Paso Corporation	4.990%	B	588,150
5,150	Whiting Petroleum Corporation	6.250%	B	1,019,288
	Total Oil, Gas & Consumable Fuels			2,195,588
	Real Estate – 0.1%
16,600	HRPT Properties Trust, Preferred Convertible Bonds	6.500%	Baa3	337,810
14,650	Simon Property Group, Inc., Series I	6.000%	Baa1	1,042,201
	Total Real Estate			1,380,011
	Tobacco – 0.0%
300	Universal Corporation, Convertible Preferred	6.750%	BB	366,075
	Total Convertible Preferred Securities (cost $21,595,258)			22,530,498

Shares	Description (1)	Coupon	Ratings (4)	Value
	$25 Par (or similar) Preferred Securities – 37.7% (28.7% of Total Investments)
	Capital Markets – 4.0%
61,800	Ameriprise Financial, Inc.	7.750%	A	$	1,638,318
171,100	BNY Capital Trust V, Series F	5.950%	A1	4,292,899
725,702	Credit Suisse	7.900%	A3	18,788,425
1,175,757	Deutsche Bank Capital Funding Trust II	6.550%	BBB+	26,889,563
7,000	Deutsche Bank Capital Funding Trust IX	6.625%	BBB+	161,350
16,600	Goldman Sachs Group Inc., Series 2004-4 (CORTS)	6.000%	A3	352,750
18,600	Goldman Sachs Group Inc., Series GSC-3 (PPLUS)	6.000%	A3	393,576
15,900	Morgan Stanley Capital Trust V	5.750%	Baa2	328,653
2,500	Morgan Stanley Capital Trust VII	6.600%	BBB	57,600
	Total Capital Markets			52,903,134
	Commercial Banks – 4.4%
13,500	ASBC Capital I	7.625%	Baa3	296,730
992,672	Banco Santander Finance	10.500%	A-	28,042,984
28,800	Banesto Holdings, Series A, 144A	10.500%	Ba1	744,301
28,400	Barclays Bank PLC	7.750%	A-	711,420
1,300	Barclays Bank PLC	7.100%	A+	31,668
170,400	BB&T Capital Trust VI	9.600%	A3	4,890,480
38,600	BB&T Capital Trust VII	8.100%	A3	1,028,304
146,500	Cobank Agricultural Credit Bank, 144A	7.000%	N/R	5,823,375
48,000	Cobank Agricultural Credit Bank	11.000%	A	2,508,000
45,812	HSBC Finance Corporation	6.875%	A	1,143,009
1,400	HSBC Holdings PLC	6.200%	A-	31,948
15,100	HSBC USA Inc., Series F	2.858%	A-	670,742
150,200	Merrill Lynch Preferred Capital Trust V	7.280%	Baa3	3,447,090
355,241	National City Capital Trust II	6.625%	BBB	8,447,631
9,700	Wells Fargo Capital Trust VII	5.850%	A-	223,003
	Total Commercial Banks			58,040,685
	Diversified Financial Services – 1.6%
188,023	ING Groep N.V.	7.200%	Ba1	4,106,422
755,475	ING Groep N.V.	7.050%	Ba1	16,106,727
4,825	National Rural Utilities Cooperative Finance Corporation	6.100%	A3	120,384
	Total Diversified Financial Services			20,333,533
	Diversified Telecommunication Services – 0.6%
109,405	AT&T Inc.	6.375%	A	2,886,104
38,500	BellSouth Capital Funding (CORTS)	7.120%	A	966,111
30,500	BellSouth Corporation (CORTS)	7.000%	A	776,798
142,306	Verizon Communications, Series 2004-1 (SATURNS)	6.125%	A	3,522,074
	Total Diversified Telecommunication Services			8,151,087

		Electric Utilities – 0.5%
259,300		Entergy Texas Inc.		7.875%	BBB+	7,247,435
		Food Products – 0.2%
33,100		Dairy Farmers of America Inc., 144A		7.875%	BBB-	2,688,342
		Insurance – 10.3%
1,146,570		Aegon N.V.		6.375%	BBB	23,321,234
25,000		Allianz SE		8.375%	A+	646,875
192,234		Arch Capital Group Limited, Series B		7.875%	BBB-	4,911,579
379,873		Arch Capital Group Limited		8.000%	BBB-	9,808,321
675,001		Delphi Financial Group, Inc.		8.000%	BBB	17,145,025
26,700		Delphi Financial Group, Inc.		7.376%	BB+	560,166
199,472		EverestRe Capital Trust II		6.200%	Baa1	4,358,463
818,300		Lincoln National Capital VI, Series F		6.750%	BBB-	19,434,625
88,900		Markel Corporation		7.500%	BBB	2,351,405
879,751		PartnerRe Limited, Series C		6.750%	BBB+	21,870,610
3,200		PartnerRe Limited, Series D		6.500%	BBB+	76,672
143,600		PLC Capital Trust III		7.500%	BBB	3,482,300
14,000		PLC Capital Trust IV		7.250%	BBB	340,900
24,017		Protective Life Corporation		7.250%	BBB	563,679
136,730		Prudential Financial Inc.		9.000%	BBB+	3,780,585
27,082		Prudential PLC		6.750%	A-	656,468
121,800		RenaissanceRe Holdings Limited, Series B		7.300%	BBB+	3,025,512
35,900		RenaissanceRe Holdings Limited, Series C		6.080%	BBB+	768,260
165,400		RenaissanceRe Holdings Ltd.		6.600%	BBB+	3,857,128
590,900		W. R. Berkley Corporation, Capital Trust II		6.750%	BBB-	14,506,595
		Total Insurance				135,466,402
		IT Services – 0.0%
1,600		Vertex Industries Inc. (PPLUS)		7.625%	A	41,376
		Media – 4.4%
32,700		CBS Corporation		7.250%	BBB-	804,747
600,321		CBS Corporation		6.750%	BBB-	14,311,653
1,014,662		Comcast Corporation		7.000%	BBB+	25,772,415
30,000		Comcast Corporation		6.625%	BBB+	738,000
647,540		Viacom Inc.		6.850%	BBB	16,169,074
		Total Media				57,795,889
		Multi-Utilities – 0.8%
131,800		Dominion Resources Inc.		8.375%	BBB	3,661,404
233,000		Xcel Energy Inc.		7.600%	Baa2	6,272,360
		Total Multi-Utilities				9,933,764
		Oil, Gas & Consumable Fuels – 1.2%
613,300		Nexen Inc.		7.350%	BB+	15,314,101
		Pharmaceuticals – 0.1%
43,800		Bristol Myers Squibb Company (CORTS)		6.250%	A+	1,092,372
		Real Estate – 9.2%
199,813		Developers Diversified Realty Corporation, Series H		7.375%	Ba1	4,475,811
7,300		Duke Realty Corporation, Series K		6.500%	Baa3	155,417
72,830		Duke Realty Corporation, Series L		6.600%	Baa3	1,577,498
22,700		Duke Realty Corporation, Series N		7.250%	Baa3	535,039
365,177		Duke Realty Corporation, Series O		8.375%	Baa3	9,341,228
122,700		Duke-Weeks Realty Corporation		6.625%	Baa3	2,660,136
151,515		Equity Residential Properties Trust, Series N		6.480%	BBB-	3,534,845
169,950		HRPT Properties Trust, Series B		8.750%	Baa3	4,308,233
531,900		HRPT Properties Trust, Series C		7.125%	Baa3	12,366,675
586,716		Kimco Realty Corporation, Series G		7.750%	Baa2	14,826,313
3,997		Prologis Trust, Series C		8.540%	Baa3	192,106
51,275		Prologis Trust, Series G		6.750%	Baa3	1,127,025
236,606		Public Storage, Inc.		6.750%	Baa1	5,711,669
27,632		Public Storage, Inc., Series C		6.600%	Baa1	658,471
149,500		Public Storage, Inc., Series E		6.750%	Baa1	3,598,465
69,911		Public Storage, Inc., Series H		6.950%	Baa1	1,706,528
28,103		Realty Income Corporation		6.750%	Baa2	696,111
136,189		Regency Centers Corporation		7.450%	Baa3	3,288,964
626,351		Vornado Realty LP		7.875%	BBB	15,765,255
1,227,443		Wachovia Preferred Funding Corporation		7.250%	A-	28,513,501
6,700		Weingarten Realty Trust		8.100%	BBB	148,941
117,000		Weingarten Realty Trust		6.950%	Baa3	2,719,080
103,225		Weingarten Realty Trust		6.500%	Baa3	2,229,659
		Total Real Estate				120,136,970
		Wireless Telecommunication Services – 0.4%
176,900		Telephone and Data Systems Inc.		7.600%	Baa2	4,387,119
11,900		United States Cellular Corporation		7.500%	Baa2	297,737
		Total Wireless Telecommunication Services				4,684,856
		Total $25 Par (or similar) Preferred Securities (cost $506,560,741)				493,829,946

			Weighted
Principal			Average
Amount (000)		Description (1)	Coupon	Maturity (5)	Ratings (4)	Value

		Variable Rate Senior Loan Interests – 7.4% (5.7% of Total Investments) (6)
		Aerospace & Defense – 0.2%
$	415	Aveos Fleet Performance, Inc., ABL Term Loan	11.250%	3/12/13	N/R	$	417,689
415		Aveos Fleet Performance, Inc., Term Loan	10.750%	3/12/15	N/R	384,044
574		DAE Aviation Holdings, Inc., Term Loan B1	4.000%	7/31/14	B	541,436
559		DAE Aviation Holdings, Inc., Term Loan B2	4.000%	7/31/14	B	526,989
900		McKechnie Aerospace Holdings, Inc., Term Loan	5.250%	5/11/15	N/R	798,188
2,863		Total Aerospace & Defense				2,668,346
		Airlines – 0.1%
1,945		Delta Air Lines, Inc., Term Loan	3.501%	4/30/14	B	1,786,969
		Automobiles – 0.1%
1,779		Ford Motor Company, Term Loan	3.258%	12/15/13	Ba2	1,722,900
		Building Products – 0.3%
3,497		Building Materials Corporation of America, Term Loan	3.000%	2/22/14	BBB-	3,458,031
1,000		TFS Acquisition, Term Loan	10.000%	8/11/13	CCC+	950,160
4,497		Total Building Products				4,408,191
		Chemicals – 0.3%
599		Hercules Offshore, Inc., Term Loan	6.000%	7/11/13	B	585,383
695		LyondellBasell Finance Company, DIP Term Loan, (7), (8)	13.000%	6/03/10	N/R	735,765
54		LyondellBasell Finance Company, Dutch Revolving Line of Credit, (7), (8)	3.748%	12/20/13	N/R	42,747
119		LyondellBasell Finance Company, Dutch Tranche A, Term Loan, (7), (8)	3.748%	12/20/13	N/R	94,089
155		LyondellBasell Finance Company, German Tranche B1, Euro Term Loan, (7), (8)	3.998%	12/22/14	N/R	122,723
155		LyondellBasell Finance Company, German Tranche B2, Euro Term Loan, (7), (8)	3.998%	12/20/14	N/R	122,723
155		LyondellBasell Finance Company, German Tranche B3, Euro Term Loan, (7), (8)	3.998%	12/22/14	N/R	122,723
203		LyondellBasell Finance Company, Revolving Line of Credit, (7), (8)	3.748%	12/20/13	N/R	160,302
387		LyondellBasell Finance Company, US Tranche A, Term Loan, (7), (8)	3.748%	12/20/13	N/R	305,421
674		LyondellBasell Finance Company, US Tranche B1, Term Loan, (7), (8)	7.000%	12/22/14	N/R	532,532
674		LyondellBasell Finance Company, US Tranche B2, Term Loan, (7), (8)	7.000%	12/22/14	N/R	532,532
674		LyondellBasell Finance Company, US Tranche B3, Term Loan, (7), (8)	7.000%	12/22/14	N/R	532,532
4,544		Total Chemicals				3,889,472
		Communications Equipment – 0.2%
2,977		Avaya Inc., Term Loan	3.002%	10/26/14	B1	2,663,836
		Diversified Consumer Services – 0.1%
955		Cengage Learning Acquisitions, Inc., Term Loan	2.790%	7/05/14	B+	844,304
		Electric Utilities – 0.3%
896		Calpine Corporation, DIP Term Loan	3.165%	3/29/14	B+	870,401
1,950		TXU Corporation, Term Loan B2	3.730%	10/10/14	B+	1,606,178
2,520		TXU Corporation, Term Loan B3	3.730%	10/10/14	B+	2,052,745
5,366		Total Electric Utilities				4,529,324
		Electrical Equipment – 0.1%
1,674		Allison Transmission Holdings, Inc., Term Loan	2.999%	8/07/14	B	1,596,327
		Health Care Providers & Services – 0.5%
124		Community Health Systems, Inc., Delayed Term Loan	2.502%	7/25/14	BB	121,359
2,495		Community Health Systems, Inc., Term Loan	2.502%	7/25/14	BB	2,435,181
473		Concentra, Inc., Term Loan	2.550%	6/25/14	Ba3	451,375
27		HCA, Inc., Term Loan A	1.790%	11/17/12	BB	26,171
1,067		Health Management Associates, Inc., Term Loan	2.040%	2/28/14	BB-	1,036,352
273		IASIS Healthcare LLC, Delayed Term Loan	2.248%	3/14/14	Ba2	263,880
74		IASIS Healthcare LLC, Letter of Credit	2.247%	3/14/14	Ba2	71,621
790		IASIS Healthcare LLC, Term Loan	2.248%	3/14/14	Ba2	762,462
1,123		Select Medical Corporation, Term Loan B2	2.251%	2/24/12	Ba2	1,087,116
585		Select Medical Corporation, Term Loan	2.251%	2/24/12	Ba2	566,404
7,031		Total Health Care Providers & Services				6,821,921
		Hotels, Restaurants & Leisure – 0.7%
2,184		CCM Merger, Inc., Term Loan B	8.500%	7/13/12	BB-	2,155,992
739		Cedar Fair LP, Extended US Term Loan	4.248%	8/30/14	BB-	735,770
342		Cedar Fair LP, Term Loan	2.248%	8/30/12	BB-	339,813
991		Harrah’s Operating Company, Inc., Term Loan B2	3.249%	1/28/15	B-	857,247
939		Orbitz Worldwide, Inc., Term Loan	3.249%	7/25/14	B+	899,288
1,955		Travelport LLC, Delayed Term Loan	2.790%	8/23/13	Ba3	1,902,370
134		Travelport LLC, Letter of Credit	2.790%	8/23/13	Ba3	130,338
669		Travelport LLC, Term Loan	2.790%	8/23/13	Ba3	649,576
580		Venetian Casino Resort LLC, Delayed Term Loan	2.050%	5/23/14	B-	532,527
1,704		Venetian Casino Resort LLC, Term Loan	2.050%	5/23/14	B-	1,564,084
10,237		Total Hotels, Restaurants & Leisure				9,767,005
		Insurance – 0.2%
2,236		Conseco, Inc., Term Loan	7.500%	10/10/13	B-	2,174,356
		IT Services – 0.5%
2,123		First Data Corporation, Term Loan B1	3.000%	9/24/14	B+	1,885,540
2,291		Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan	4.000%	7/28/12	B+	2,222,545

1,195		Infor Global Solutions Intermediate Holdings, Ltd., Term Loan	4.000%	7/28/12	B+	1,159,566
1,185		SunGard Data Systems, Inc., Term Loan B	1.979%	2/28/14	BB	1,146,743
6,794		Total IT Services				6,414,394
		Leisure Equipment & Products – 0.1%
583		Herbst Gaming, Inc., Delayed Term Loan, (7), (8)	0.000%	12/02/11	D	319,466
671		Herbst Gaming, Inc., Term Loan, (7), (8)	0.000%	12/02/11	D	367,678
1,254		Total Leisure Equipment & Products				687,144
		Media – 1.9%
2,244		Cequel Communications LLC, Term Loan B	2.253%	11/05/13	BB-	2,191,231
3,629		Charter Communications Operating Holdings LLC, Term Loan	2.310%	3/06/14	BB+	3,512,003
2,574		Citadel Broadcasting Corporation, Term Loan, (10)	1.750%	6/12/14	D	2,304,641
1,878		Gray Television, Inc., Term Loan B	3.750%	12/31/14	Caa1	1,807,976
3,134		Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (9)	18.250%	4/08/12	N/R	1,511,028
871		Nielsen Finance LLC, Term Loan A	2.229%	8/09/13	Ba3	836,550
1,868		Nielsen Finance LLC, Term Loan B	3.979%	5/02/16	Ba3	1,838,641
944		Philadelphia Newspapers, Term Loan, (7), (8)	5.500%	6/29/13	N/R	297,392
388		SuperMedia, Term Loan	8.000%	12/31/15	B-	364,791
5,925		Tribune Company, Term Loan B, (7), (8)	3.000%	6/04/14	Ca	3,787,064
1,256		Tribune Company, Term Loan X, (7), (8)	2.750%	N/A	Ca	791,668
5,600		Univision Communications, Inc., Term Loan	2.540%	9/29/14	B2	5,002,183
30,311		Total Media				24,245,168
		Metals & Mining – 0.1%
1,963		John Maneely Company, Term Loan	3.501%	12/08/13	B	1,871,080
		Oil, Gas & Consumable Fuels – 0.3%
2,940		CCS Income Trust, Term Loan	3.248%	11/14/14	B	2,577,513
1,978		Venoco, Inc., Term Loan	4.250%	5/07/14	BB-	1,875,584
4,918		Total Oil, Gas & Consumable Fuels				4,453,097
		Pharmaceuticals – 0.1%
2,000		Royalty Pharma Finance Trust, Unsecured Term Loan	7.750%	5/15/15	Baa3	1,950,000
		Real Estate Management & Development – 0.4%
3,403		LNR Property Corporation, Term Loan B	3.480%	7/12/11	CCC	3,128,834
1,718		Realogy Corporation, Delayed Term Loan	3.250%	10/10/13	Caa1	1,522,149
5,121		Total Real Estate Management & Development				4,650,983
		Road & Rail – 0.1%
913		Swift Transportation Company, Inc., Term Loan	8.250%	5/10/14	B-	876,363
		Software – 0.1%
904		IPC Systems, Inc., Term Loan	2.523%	5/31/14	B1	817,850
		Specialty Retail – 0.7%
2,344		Burlington Coat Factory Warehouse Corporation, Term Loan	2.500%	5/28/13	B-	2,245,631
1,980		Claire’s Stores, Inc., Term Loan B	3.040%	5/29/14	B-	1,747,448
1,049		Michaels Stores, Inc., Term Loan B1	2.537%	10/31/13	B	999,683
1,411		Michaels Stores, Inc., Term Loan B2	4.787%	7/31/16	B	1,376,654
2,400		Toys “R” Us - Delaware, Inc., Term Loan B	4.496%	7/19/12	BB-	2,410,352
9,184		Total Specialty Retail				8,779,768
$	109,466	Total Variable Rate Senior Loan Interests (cost $100,310,645)				97,618,798

Principal
Amount (000)		Description (1)	Coupon	Maturity	Ratings (4)	Value
		Convertible Bonds – 11.0% (8.4% of Total Investments)
		Aerospace & Defense – 0.4%
$	800	Alliant Techsystems, Inc., Convertible Bonds	2.750%	9/15/11	BB-	$	820,000
400		Alliant Techsystems, Inc., Convertible Bonds	2.750%	2/15/24	BB-	431,000
3,720		L-3 Communications Corporation, Convertible Bond	3.000%	8/01/35	BB+	3,933,900
400		Orbital Sciences Corporation, Convertible Bond	2.438%	1/15/27	BB-	413,500
5,320		Total Aerospace & Defense				5,598,400
		Airlines – 0.1%
790		JetBlue Airways Corporation	6.750%	10/15/39	CCC	1,109,950
		Auto Components – 0.1%
700		BorgWarner Inc.	3.500%	4/15/12	BBB	918,750
		Beverages - 0.1%
650		Molson Coors Brewing Company, Senior Convertible Notes	2.500%	7/30/13	BBB-	709,313
		Biotechnology - 0.4%
3,375		Amgen Inc.	0.375%	2/01/13	A+	3,438,281
600		BioMarin Pharmaceutical Inc.	1.875%	4/23/17	B-	768,000
250		Invitrogen Corporation, Convertible Bond	2.000%	8/01/23	BBB-	384,375
4,225		Total Biotechnology				4,590,656
		Capital Markets – 0.1%
600		Affiliated Managers Group Inc.	3.950%	8/15/38	BBB-	595,500
400		BlackRock Inc.	2.625%	2/15/35	A+	881,500
1,000		Total Capital Markets				1,477,000
		Commercial Banks – 0.3%
2,460		National City Corporation, Convertible Senior Notes	4.000%	2/01/11	A	2,515,350
450		SVB Financial Group, Convertible Bond, 144A	3.875%	4/15/11	A3	482,063
1,150		U.S. Bancorp, Convertible Bonds, Floating Rate	0.000%	12/11/35	Aa3	1,139,938
4,060		Total Commercial Banks				4,137,351
		Commercial Services & Supplies – 0.1%
700		Covanta Holding Corporation, Convertible Bonds	3.250%	6/01/14	Ba3	760,375
600		Covanta Holding Corporation, Convertible Bonds	1.000%	2/01/27	Ba3	566,250
600		Universal City Development Partners, 144A	8.875%	11/15/15	B3	607,500
1,900		Total Commercial Services & Supplies				1,934,125
		Communications Equipment – 0.2%
600		Ciena Corporation, Convertible Bond	0.250%	5/01/13	B	501,000
600		Ciena Corporation, Convertible Bond	0.875%	6/15/17	B	408,000
450		CommScope Inc.	3.250%	7/01/15	B	547,313
1,050		Lucent Technologies Inc., Series B	2.875%	6/15/25	B1	914,813
600		Lucent Technologies Inc.	2.875%	6/15/23	B1	601,500
3,300		Total Communications Equipment				2,972,626
		Computers & Peripherals – 0.5%
1,400		EMC Corporation, Convertible Bonds, 144A	1.750%	12/01/11	A-	1,702,750
700		EMC Corporation, Convertible Bonds, 144A	1.750%	12/01/13	A-	878,500
700		EMC Corporation, Convertible Bonds	1.750%	12/01/11	A-	851,375
1,200		EMC Corporation, Convertible Bonds	1.750%	12/01/13	A-	1,506,000
400		Maxtor Corporation, Convertible Bonds	2.375%	8/15/12	B	468,500
1,250		Sandisk Corporation, Convertible Bond	1.000%	5/15/13	B	1,085,938
5,650		Total Computers & Peripherals				6,493,063
		Construction & Engineering – 0.0%
250		Fluor Corporation, Convertible Bonds	1.500%	2/15/24	A3	419,531
		Consumer Finance – 0.0%
350		Americredit Corporation	0.750%	9/15/11	B-	352,625
		Diversified Consumer Services – 0.0%
400		Sotheby’s Holdings Inc., Convertible Bond	3.125%	6/15/13	B1	453,000
		Diversified Financial Services – 0.1%
1,150		NASDAQ Stock Market Inc., Convertible Bond	2.500%	8/15/13	BBB	1,112,625
500		PHH Corporation	4.000%	4/15/12	Ba2	640,000
1,650		Total Diversified Financial Services				1,752,625
		Diversified Telecommunication Services – 0.1%
850		Qwest Communications International Inc.	3.500%	11/15/25	B+	960,500
700		Time Warner Telecom Inc., Convertible Bond	2.375%	4/01/26	B-	800,625
1,550		Total Diversified Telecommunication Services				1,761,125
		Electrical Equipment – 0.1%
300		General Cable Corporation, Convertible Bonds	0.875%	11/15/13	Ba3	260,625
462		General Cable Corporation, Convertible Bonds	4.500%	11/15/29	B	446,408
550		Roper Industries Inc.	0.000%	1/15/34	BB+	397,375
1,312		Total Electrical Equipment				1,104,408
		Electronic Equipment & Instruments – 0.2%
600		Anixter International Inc., Convertible Bond	0.000%	7/07/33	BB-	430,500
500		Itron Inc.	2.500%	8/01/26	B-	612,500
900		Tech Data Corporation, Convertible Bonds	2.750%	12/15/26	BBB-	942,750
2,000		Total Electronic Equipment & Instruments				1,985,750
		Energy Equipment & Services – 0.9%
550		Cameron International Corporation, Convertible Bonds	2.500%	6/15/26	BBB+	730,125
450		Exterran Holdings Inc., Convertible Bond	4.250%	6/15/14	BB	559,688
1,200		Nabors Industries Inc., Convertible Bond Series, 144A	0.940%	5/15/11	BBB+	1,195,500
1,300		Nabors Industries Inc., Convertible Bond	0.940%	5/15/11	BBB+	1,295,125
300		Schlumberger Limited	2.125%	6/01/23	A+	475,875
450		SESI LLC, Convertible Bond, 144A	1.500%	12/15/26	BB+	420,188
1,600		Transocean Inc., Convertible Bond	1.625%	12/15/37	BBB+	1,602,000
2,800		Transocean Inc.	1.500%	12/15/37	BBB+	2,747,500
2,675		Transocean Inc.	1.500%	12/15/37	BBB+	2,574,688
11,325		Total Energy Equipment & Services				11,600,689
		Food Products – 0.3%
400		Archer Daniels Midland Company, Convertible Bonds, 144A	0.875%	2/15/14	A	398,500
1,000		Archer Daniels Midland Company, Convertible Bonds	0.875%	2/15/14	A	996,250
450		Chiquita Brands International Inc., Convertible Bond	4.250%	8/15/16	B	448,875
800		Smithfield Foods Inc., Convertible Bond	4.000%	6/30/13	B-	920,000
700		Tyson Foods inc., Convertible Bond	3.250%	10/15/13	BB	898,625
3,350		Total Food Products				3,662,250
		Health Care Equipment & Supplies – 0.7%
200		Beckman Coulter Inc., Convertible Bonds, 144A	2.500%	12/15/36	BBB	225,000
700		Beckman Coulter Inc., Convertible Bonds	2.500%	12/15/36	BBB	787,500
2,600		Hologic Inc.	2.000%	12/15/37	BB-	2,340,000
300		Invacare Corporation, Convertible Bond	4.125%	2/01/27	B-	363,750
300		Inverness Medical Innovation Inc., Convertible Bonds	3.000%	5/15/16	B-	334,125
850		Kinetic Concepts Inc., Convertible Bond, 144A	3.250%	4/15/15	B+	960,500
1,650		Medtronic, Inc., Convertible Bond	1.500%	4/15/11	AA-	1,685,063
2,750		Medtronic, Inc., Convertible Bond	1.625%	4/15/13	AA-	2,921,875
9,350		Total Health Care Equipment & Supplies				9,617,813
		Health Care Providers & Services – 0.4%
550		AmeriGroup Corporation, Convertible Bond	2.000%	5/15/12	BB	561,000
450		LifePoint Hospitals, Inc., Convertible Bonds	3.250%	8/15/25	B1	440,438
575		LifePoint Hospitals, Inc., Convertible Bonds	3.500%	5/15/14	B	576,438
3,715		Omnicare, Inc.	3.250%	12/15/35	B+	3,162,394
400		PSS World Medical Inc. Convertible Note, 144A	3.125%	8/01/14	BB	502,500
5,690		Total Health Care Providers & Services				5,242,770
		Hotels, Restaurants & Leisure – 0.2%
1,250		Carnival Corporation	2.000%	4/15/21	A3	1,345,313
1,150		International Game Technology	3.250%	5/01/14	BBB	1,372,813
2,400		Total Hotels, Restaurants & Leisure				2,718,126
		Household Durables – 0.1%
500		D.R. Horton, Inc.	2.000%	5/15/14	BB-	591,250
450		Newell Rubbermaid Inc.	5.500%	3/15/14	BBB-	847,125
950		Total Household Durables				1,438,375
		Independent Power Producers & Energy Traders – 0.1%
450		Allegheny Technologies Inc., Convetible Bond	4.250%	6/01/14	BBB-	660,938
		Insurance – 0.1%
600		Old Republic International Corporation	8.000%	5/15/12	BBB+	754,500
		Internet & Catalog Retail – 0.1%
50		Priceline.com Inc., Convertible Bond	0.500%	9/30/11	BB	315,938
250		Priceline.com Inc., Convertible Bond	0.750%	9/30/13	BB	1,579,688
300		Total Internet & Catalog Retail				1,895,626
		Internet Software & Services – 0.1%
450		Equinix Inc., Convertible Bond	3.000%	10/15/14	B-	475,313
700		Equinix Inc.	4.750%	6/15/16	B-	955,500
1,150		Total Internet Software & Services				1,430,813
		IT Services – 0.1%
250		Macrovision Corporation, Convertible Bonds	2.625%	8/15/11	BB-	343,438
450		Verifone Holdings Inc.	1.375%	6/15/12	B	415,688
700		Total IT Services				759,126
		Leisure Equipment & Products – 0.1%
650		Hasbro Inc.	2.750%	12/01/21	BBB	1,153,750
		Life Sciences Tools & Services – 0.3%
700		Apogent Technologies, Inc., Convertible Bonds	0.000%	12/15/33	A-	1,226,750
550		Charles River Laboratories International, Inc.	2.250%	6/15/13	BB+	563,063
450		Invitrogen Corporation, Convertible Bond	1.500%	2/15/24	BBB-	529,875
500		Invitrogen Corporation, Convertible Bond	3.250%	6/15/25	BBB-	589,375
400		Millipore Corporation, Convertible Bonds	3.750%	6/01/26	BB-	502,500
2,600		Total Life Sciences Tools & Services				3,411,563
		Machinery – 0.1%
450		Ingersoll Rand	4.500%	4/15/12	BBB+	900,000
250		Terex Corporation	4.000%	6/01/15	B	390,000
700		Total Machinery				1,290,000
		Media – 0.4%
600		Interpublic Group Companies Inc., Convertible Notes	4.250%	3/15/23	Ba2	627,750
950		Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1	4.000%	11/15/29	BB-	520,125
2,550		Liberty Media Corporation	3.125%	3/30/23	BB-	2,718,938
750		Omnicom Group, Inc.	0.000%	7/01/38	A-	746,250
4,850		Total Media				4,613,063
		Metals & Mining – 0.7%
650		Alcoa Inc., Convertible Bond	5.250%	3/15/14	Baa3	1,507,188
341		First Uranium Corporation, WI/DD, (11)	7.000%	3/31/13	N/R	324,834
3,000		Gold Reserve, Inc., Convertible Bonds	5.500%	6/15/22	N/R	2,085,000
250		Newmont Mining Corp., Senior Convertible Note	1.625%	7/15/17	BBB+	324,063
650		Newmont Mining Corporation, 144A	1.625%	7/15/17	BBB+	842,563
900		Newmont Mining Corporation	1.250%	7/15/14	BBB+	1,159,875
350		Steel Dynamics, Inc.	5.125%	6/15/14	BB+	432,250
1,100		United States Steel Corporation	4.000%	5/15/14	BB	2,316,875
7,241		Total Metals & Mining				8,992,648
		Multiline Retail – 0.0%
450		Saks, Inc., Convertible Bonds	2.000%	3/15/24	B-	428,625
		Oil, Gas & Consumable Fuels – 0.8%
250		Alpha Natural Resouces Inc., Convertible Bond	2.375%	4/15/15	BB	294,063
600		Chesapeake Energy Corporation, Convertible Bonds	2.750%	11/15/35	BB	555,750
1,100		Chesapeake Energy Corporation, Convertible Bonds	2.500%	5/15/37	BB	907,500
1,100		Chesapeake Energy Corporation, Convertible Bonds	2.250%	12/15/38	BB	805,750
750		Massey Energy Company, Convertible Bond	3.250%	8/01/15	BB-	731,250

4,200		Peabody Energy Corp., Convertible Bond	4.750%	12/15/66	Ba3	4,567,500
450		Penn Virginia Corporation	4.500%	11/15/12	B	425,250
700		Pioneer Natural Resouces Company, Convertible Bond	2.875%	1/15/38	BB+	807,625
1,550		USEC Inc., Convertible Bond	3.000%	10/01/14	Caa2	1,259,375
10,700		Total Oil, Gas & Consumable Fuels				10,354,063
		Pharmaceuticals – 0.5%
475		Allergan Inc., Convertible Bond	1.500%	4/01/26	A	545,063
1,000		King Pharmaceuticals Inc., Convertible Bonds	1.250%	4/01/26	BB	923,750
750		Mylan Labs, Inc., Convertible Bonds	1.250%	3/15/12	BB-	836,250
850		Mylan Labs, Inc., Convertible Bonds	3.750%	9/15/15	N/R	929,287
1,300		Teva Pharmaceutical Finance Company B.V., Series D	1.750%	2/01/26	A-	1,683,500
450		Teva Pharmaceutical Finance Company LLC, Convertible Bonds	0.250%	2/01/26	A-	612,563
267		Teva Pharmaceutical Finance, Series B	0.250%	2/01/24	A-	490,279
400		Valeant Pharmaceuticals International Convertible Bond	4.000%	11/15/13	B-	559,000
5,492		Total Pharmaceuticals				6,579,692
		Real Estate – 0.9%
1,700		Boston Properties Limited Partnership, Convertible Bonds, 144A	3.625%	2/15/14	A-	1,708,500
1,250		Boston Properties Limited Partnership, Convertible Bonds, 144A	2.875%	2/15/37	A-	1,251,563
600		Boston Properties Limited Partnership, Convertible Bonds	2.875%	2/15/37	A2	600,750
300		Brandywine Operating Partnership, Convertible Bonds	3.875%	10/15/26	BBB-	300,750
450		Duke Realty Corporation, Series D, 144A	3.750%	12/01/11	BBB-	452,250
600		ERP Operating LP	3.850%	8/15/26	BBB+	603,000
250		Health Care REIT, Inc., Convertible Bonds	4.750%	12/01/26	Baa2	278,125
300		Health Care REIT, Inc., Convertible Bonds	4.750%	7/15/27	Baa2	337,125
450		Hospitality Properties Trust, Convertible Bonds	3.800%	3/15/27	BBB	450,000
1,450		Host Hotels & Resorts Inc, Convertible Bonds, 144A	2.625%	4/15/27	BB+	1,395,625
600		Host Marriot LP, Convertible Bonds, 144A	3.250%	4/15/24	BB+	616,500
350		Prologis Trust, Convertible Bonds, 144A	2.250%	4/01/37	BBB-	342,125
2,050		Prologis Trust, Convertible Bonds	2.250%	4/01/37	BBB-	2,003,875
400		Rayonier Trust Holdings Inc., Convertible Bond	3.750%	10/15/12	BBB	438,500
250		Ventas Inc., Convertible Bond, 144A	3.875%	11/15/11	BBB-	290,938
1,150		Vornado Realty, Convertible Bond	3.875%	4/15/25	BBB	1,263,562
12,150		Total Real Estate				12,333,188
		Semiconductors & Equipment – 1.0%
2,350		Advanced Micro Devices, Inc., Convertible Bonds, 144A	6.000%	5/01/15	B-	2,264,812
924		Advanced Micro Devices, Inc., Convertible Bonds	5.750%	8/15/12	B-	925,154
1,875		Conexant Systems, Inc.	4.000%	3/01/26	N/R	1,673,978
1,650		Intel Corporation, Convertible Bond	2.950%	12/15/35	A-	1,627,312
2,350		Intel Corporation, Convertible Bond	3.250%	8/01/39	A2	2,828,812
2,000		Micron Technology, Inc.	1.875%	6/01/14	B-	1,922,499
1,000		ON Semiconductor Corporation	2.625%	12/15/26	B+	1,026,249
450		Xilinx Inc., Convertible Bond, 144A	3.125%	3/15/37	BB	417,374
650		Xilinx Inc., Convertible Bond	3.125%	3/15/37	BB	602,874
13,249		Total Semiconductors & Equipment				13,289,064
		Software – 0.0%
450		Nuance Communications Inc.	2.750%	8/15/27	B-	488,812
		Specialty Retail – 0.1%
700		Best Buy Co., Inc.	2.250%	1/15/22	Baa3	783,999
350		United Auto Group, Inc., Convertible Bonds	3.500%	4/01/26	B-	350,874
1,050		Total Specialty Retail				1,134,873
		Textiles, Apparel & Luxury Goods – 0.1%
800		Iconix Brand Group, Inc., Convertible Notes, 144A	1.875%	6/30/12	B	748,999
100		Liz Claiborne Inc., Convertible Bond	6.000%	6/15/14	B2	224,124
900		Total Textiles, Apparel & Luxury Goods				973,123
		Trading Companies & Distributors – 0.0%
286		WESCO International Inc., Convertible Bond	6.000%	9/15/29	B	417,559
		Wireless Telecommunication Services – 0.1%
650		Liberty Media Corporation, Convertible Bonds	3.750%	2/15/30	BB-	344,499
1,341		NII Holdings Inc.	3.125%	6/15/12	B-	1,272,273
1,991		Total Wireless Telecommunication Services				1,616,772
$	134,131	Total Convertible Bonds (cost $130,729,506)				144,628,119

Principal
Amount (000)		Description (1)	Coupon	Maturity	Ratings (4)	Value
		Corporate Bonds – 10.9% (8.3% of Total Investments)
		Aerospace & Defense – 0.3%
$	600	Bombardier Inc., Class B Shares, 144A	7.500%	3/15/18	BB+	$	628,500
1,200		Hawker Beechcraft Acquisition Company	8.500%	4/01/15	CCC-	933,000
1,000		Hexcel Corporation, Term Loan	6.750%	2/01/15	B+	995,000
1,800		Vought Aircraft Industries Inc.,	8.000%	7/15/11	B3	1,818,000
4,600		Total Aerospace & Defense				4,374,500
		Airlines – 0.1%
900		United Airlines Inc., 144A	12.000%	11/01/13	CCC	936,000
		Auto Components – 0.1%
600		TRW Automotive Inc., 144A	8.875%	12/01/17	B	624,750
		Building Products – 0.1%
600		Libbey Glass Inc., 144A	10.000%	2/15/15	B	634,500
		Chemicals – 0.5%
1,800		Hexion US Finance Corporation	9.750%	11/15/14	CCC+	1,845,000
1,000		Momentive Performance Materials	9.750%	12/01/14	Caa2	1,005,000
1,200		NOVA Chemicals Corporation, 144A	8.625%	11/01/19	B+	1,242,000
2,100		Rockwood Specialties Group Inc., Series WI	7.500%	11/15/14	B-	2,131,500
600		Solutia Inc.	7.875%	3/15/20	B+	610,500
6,700		Total Chemicals				6,834,000
		Commercial Services & Supplies – 0.4%
900		Avis Budget Car Rental	9.625%	3/15/18	B	945,000
450		International Lease Finance Corporation, 144A	8.625%	9/15/15	BB+	461,141
2,650		International Lease Finance Corporation, 144A	8.750%	3/15/17	BB+	2,717,662
1,200		Ticketmaster	10.750%	8/01/16	BB-	1,344,000
5,200		Total Commercial Services & Supplies				5,467,803
		Communications Equipment – 0.1%
1,200		IntelSat Bermuda Limited	11.250%	2/04/17	CCC+	1,275,000
		Construction Materials – 0.1%
1,800		Headwaters Inc., 144A	11.375%	11/01/14	B+	1,887,750
		Consumer Finance – 0.0%
300		GMAC Inc.	8.000%	3/15/20	B	308,250
		Diversified Telecommunication Services – 0.6%
600		Cequel Communication Holdings I, 144A	8.625%	11/15/17	B-	619,500
2,350		Cincinnati Bell Inc.	8.250%	10/15/17	Ba3	2,391,125
600		Cincinnati Bell Inc.	8.750%	3/15/18	B2	608,250
1,500		IntelSat Corporation	9.250%	8/15/14	BB-	1,545,000
1,200		New Communications Holdings, 144A, WI/DD	8.500%	4/15/20	BB	1,215,000
1,200		Windstream Corporation, 144A	7.875%	11/01/17	Ba3	1,188,000
7,450		Total Diversified Telecommunication Services				7,566,875
		Electric Utilities – 0.1%
1,000		Sierra Pacific Resources, Series 2006	6.750%	8/15/17	BB	1,019,738
		Electrical Equipment – 0.1%
900		Energy Future Holdings	10.000%	1/15/20	B+	942,750
		Energy Equipment & Services – 0.2%
1,200		Hercules Offshore LLC, 144A	10.500%	10/15/17	B	1,203,000
1,000		Pride International Inc.	7.375%	7/15/14	BBB-	1,035,000
2,200		Total Energy Equipment & Services				2,238,000
		Food & Staples Retailing – 0.2%
2,000		Stater Brothers Holdings Inc.	8.125%	6/15/12	B+	2,020,000
		Food Products – 0.4%
1,200		Dole Foods Company, 144A	8.000%	10/01/16	B+	1,236,000
2,700		Dole Foods Company	8.750%	7/15/13	B-	2,828,250
600		Tops Markets, 144A	10.125%	10/15/15	B	627,000
4,500		Total Food Products				4,691,250
		Health Care Equipment & Supplies – 0.3%
500		Biomet Inc.	10.000%	10/15/17	B-	553,750
4,050		Select Medical Corporation	7.625%	2/01/15	B-	3,877,875
4,550		Total Health Care Equipment & Supplies				4,431,625
		Health Care Providers & Services – 0.7%
2,000		Community Health Systems, Inc.	8.875%	7/15/15	B	2,075,000
1,800		HCA Inc., 144A	8.500%	4/15/19	BB	1,945,125
1,000		HCA Inc.	9.250%	11/15/16	BB-	1,065,625
2,100		HealthSouth Corporation	8.125%	2/15/20	CCC+	2,100,000
1,800		Select Medical Corporation	6.143%	9/15/15	CCC+	1,620,000
8,700		Total Health Care Providers & Services				8,805,750
		Hotels, Restaurants & Leisure – 0.9%
1,875		Boyd Gaming Corporation	7.750%	12/15/12	B+	1,879,688
1,200		GWR Operating Partnership, 144A	10.875%	4/01/17	BB-	1,203,000
500		Harrah’s Operating Company, Inc.	11.250%	6/01/17	B-	541,250
1,200		Isle of Capri Casinos, Inc.	7.000%	3/01/14	CCC+	1,032,000
900		Landry’s Restaurants Inc., 144A	11.625%	12/01/15	B	972,000
300		MGM Mirage Inc., 144A	9.000%	3/15/20	B1	310,500
1,000		MGM Mirage Inc.	8.375%	2/01/11	CCC-	1,002,500
450		MGM Mirage Inc.	6.750%	9/01/12	CCC+	427,500
600		Peninsula Gaming LLC	8.375%	8/15/15	BB	601,500
600		Penn National Gaming Inc., 144A	8.750%	8/15/19	BB-	612,000
1,292		Pinnacle Entertainment Inc.	8.250%	3/15/12	B	1,288,770
1,750		Seminole Hard Rock Entertainment, Inc., 144A	2.754%	3/15/14	BB	1,566,250
11,667		Total Hotels, Restaurants & Leisure				11,436,958
		Household Products – 0.1%
1,200		Central Garden & Pet Compa	8.250%	3/01/18	B	1,222,500
		Independent Power Producers & Energy Traders – 0.1%
900		Dynegy Holdings, Inc., Term Loan	8.375%	5/01/16	B	751,500
1,000		NRG Energy Inc.	7.375%	1/15/17	BB-	992,500
1,900		Total Independent Power Producers & Energy Traders				1,744,000
		Internet Software & Services – 0.1%
2,000		Open Solutions Inc., 144A	9.750%	2/01/15	CCC+	1,732,500
		IT Services – 0.6%
1,263		First Data Corporation, DD1	10.550%	9/24/15	B-	1,073,805
2,950		First Data Corporation	9.875%	9/24/15	B-	2,559,125
1,950		Global Cash Access LLC	8.750%	3/15/12	B	1,962,188
2,250		Sungard Data Systems Inc.	9.125%	8/15/13	B	2,317,500
8,413		Total IT Services				7,912,618
		Machinery – 0.2%
3,000		Greenbrier Companies, Inc.	8.375%	5/15/15	CCC	2,745,000
		Media - 0.8%
5,450		Allbritton Communications Company, Series B	7.750%	12/15/12	B-	5,490,875
2,000		AMC Entertainment Inc.	8.000%	3/01/14	CCC+	2,022,500
1,500		Clear Channel Communications, Inc.	6.250%	3/15/11	CCC-	1,458,750
1,050		Clear Channel Communications, Inc.	10.750%	8/01/16	CCC-	826,875
450		Clear Channel Worldwide Holdings Inc., 144A	9.250%	12/15/17	B	472,500
4,000		Medianews Group Inc., (10)	6.375%	4/01/14	CC	440
3,500		Young Broadcasting Inc., (12)	10.000%	3/01/11	D	24,500
2,000		Young Broadcasting Inc., (12)	8.750%	1/15/14	D	14,000
19,950		Total Media				10,310,440
		Metals & Mining – 0.5%
600		Consol Energy Inc., 144A, WI/DD	8.000%	4/01/17	BB	619,500
600		Consol Energy Inc., 144A, WI/DD	8.250%	4/01/20	BB	619,500
900		Essar Steel Algoma Inc., 144A	9.375%	3/15/15	B+	913,500
5,200		MagIndustries Corporation, (11)	11.000%	12/14/12	N/R	4,888,996
7,300		Total Metals & Mining				7,041,496
		Multiline Retail – 0.3%
2,650		Neiman Marcus Group Inc.	10.375%	10/15/15	CCC+	2,749,375
1,500		Toys R Us Property Company II LLC, 144A	8.500%	12/01/17	Ba2	1,563,750
4,150		Total Multiline Retail				4,313,125
		Multi-Utilities – 0.1%
1,200		Bon-Ton Department Stores Inc.	10.250%	3/15/14	CCC	1,176,000
500		Northwestern Corporation	5.875%	11/01/14	A-	512,767
1,700		Total Multi-Utilities				1,688,767
		Oil, Gas & Consumable Fuels – 0.3%
600		Chaparral Energy Inc.	8.500%	12/01/15	CCC+	550,500
1,800		Western Refining Inc.	11.250%	6/15/17	B+	1,629,000
1,500		Whiting Petroleum Corporation	7.000%	2/01/14	BB	1,543,125
3,900		Total Oil, Gas & Consumable Fuels				3,722,625
		Paper & Forest Products – 0.1%
600		Boise Paper Holdings Company	8.000%	4/01/20	BB-	603,000
1,000		Georgia-Pacific Corporation	7.700%	6/15/15	BB	1,065,000
1,600		Total Paper & Forest Products				1,668,000
		Personal Products – 0.2%
1,800		Prestige Brands Inc.	8.250%	4/01/18	B+	1,854,000
600		Revlon Consumer Products	9.750%	11/15/15	B-	622,500
2,400		Total Personal Products				2,476,500
		Real Estate Management & Development – 0.0%
600		Realogy Corporation	10.500%	4/15/14	Ca	520,500
		Road & Rail – 0.1%
1,800		Swift Transportation Company, 144A	8.000%	5/15/15	CCC-	1,640,250
		Semiconductors & Equipment – 0.2%
755		Avago Technologies Finance Pte Limited	11.875%	12/01/15	Ba3	847,488
1,200		Spansion LLC, 144A	3.376%	6/01/13	D	1,212,000
1,955		Total Semiconductors & Equipment				2,059,488
		Software – 0.4%
600		Telcordia Technologies, Inc., 144A	10.000%	3/15/13	CCC+	589,500
4,250		Telcordia Technologies, Inc.	4.008%	7/15/12	B	4,122,500
4,850		Total Software				4,712,000
		Specialty Retail – 0.7%
900		AutoNation Inc., WI/DD	6.750%	4/15/18	BB+	886,392
900		Brookstone Company Inc.	12.000%	10/15/12	CCC-	706,500
1,350		Claires Stores, Inc.	9.250%	6/01/15	CCC+	1,194,750
1,200		Michael’s Stores	11.375%	11/01/16	CCC	1,302,000
4,825		Warnaco Inc., Senior Notes	8.875%	6/15/13	BB+	4,957,687
9,175		Total Specialty Retail				9,047,329
		Textiles, Apparel & Luxury Goods – 0.5%
300		Express LLC, 144A	8.750%	3/01/18	B	307,500
600		Hanesbrands Inc.	8.000%	12/15/16	B+	624,000
4,000		Jostens IH Corporation	7.625%	10/01/12	BB-	4,030,000

1,800			Quiksilver Inc.		6.875%			4/15/15	CCC	1,674,000
6,700			Total Textiles, Apparel & Luxury Goods							6,635,500
			Wireless Telecommunication Services – 0.4%
1,500			IPCS, Inc.		2.374%			5/01/13	Ba2	1,395,000
3,550			Sprint Nextel Corporation		8.375%			8/15/17	BB-	3,585,500
750			Syniverse Technologies Inc., Series B		7.750%			8/15/13	B	759,374
5,800			Total Wireless Telecommunication Services							5,739,874
$	153,260		Total Corporate Bonds (cost $145,419,140)							142,428,011

Principal
Amount (000)/
Shares			Description (1)	Coupon			Maturity		Ratings (4)	Value
			Capital Preferred Securities – 23.1% (17.6% of Total Investments)
			Commercial Banks – 11.6%
38,700			AgFirst Farm Credit Bank	7.300%			12/15/53		A	$ 30,254,886
2,720			Banco Santander Finance	10.500%			9/29/49		A-	3,039,986
7,675			Barclays Bank PLC, 144A	7.434%			12/15/57		A-	7,675,000
1,000			Barclays Bank PLC	6.278%			12/15/34		A-	850,000
1,750			BBVA International Unipersonal	5.919%			4/18/58		A-	1,459,271
4,100			BNP Paribas, 144A	7.195%			12/25/57		A	3,997,500
9,500			Credit Agricole, S.A	9.750%			12/26/54		A-	10,497,500
5,750			First Empire Capital Trust I	8.234%			2/01/27		Baa2	5,124,872
3,500			First Union Capital Trust II, Series A	7.950%			11/15/29		A-	3,533,579
4,800			Fulton Capital Trust I	6.290%			2/01/36		BBB-	3,022,546
1,300			HSBC America Capital Trust I, 144A	7.808%			12/15/26		A-	1,199,250
9,300			HSBC Capital Funding LP, Debt	10.176%			6/30/50		A-	11,987,700
4,000			KeyCorp Capital III	7.750%			7/15/29		Baa3	3,833,056
7,800			LBG Capital I PLC	8.000%			6/15/20		B+	6,825,000
10,000			North Fork Capital Trust II	8.000%			12/15/27		Baa3	9,825,000
4,000			Northgroup Preferred Capital Corporation, 144A	6.378%			10/15/57		A	3,686,632
14,240			Rabobank Nederland, 144A	11.000%			6/30/19		AA-	18,378,585
2,000			Reliance Capital Trust I, Series B	8.170%			5/01/28		N/R	1,465,220
15,910			Societe Generale	8.750%			10/07/49		BBB+	16,370,499
3,100			Standard Chartered PLC, 144A	6.409%			1/30/17		BBB	2,834,315
6,500			Standard Chartered PLC, 144A	7.014%			7/30/37		BBB	6,000,352
			Total Commercial Banks							151,860,749
			Diversified Financial Services – 1.0%
8			AMG Capital Trust II, Convertible Bond	5.150%			10/15/37		BB	279,463
7,870			Bank One Capital III	8.750%			9/01/30		A2	9,170,643
4,300			JP Morgan Chase Capital XXV	6.800%			10/01/37		A2	4,293,563
			Total Diversified Financial Services							13,743,669
			Diversified Telecommunication Services – 1.6%
19			Centaur Funding Corporation, Series B, 144A	9.080%			4/21/20		BBB	20,815,088
			Electric Utilities – 0.6%
8,200			Dominion Resources Inc.	7.500%			6/30/66		BBB	8,251,135
			Insurance – 7.7%
1,500			Allstate Corporation	6.500%			5/15/37		Baa1	1,443,750
4,000			AXA SA, 144A	6.463%			12/14/18		Baa1	3,520,000
2,100			AXA SA, 144A	6.379%			12/14/36		Baa1	1,848,000
2,215			Catlin Insurance Company Limited	7.249%			1/19/17		BBB+	1,971,350
4,000			Everest Reinsurance Holdings, Inc.	6.600%			5/15/37		Baa1	3,500,000
750			Great West Life and Annuity Insurance Company, 144A	7.153%			5/16/46		A-	735,000
6,000			Hartford Financial Services Group Inc.	8.125%			6/15/18		BB+	6,285,000
3,500			Liberty Mutual Group, 144A	7.800%			3/15/37		Baa3	3,132,500
6,170			MetLife Capital Trust IV, 144A	7.875%			12/15/37		BBB	6,355,100
9,200			National Financial Services Inc.	6.750%			5/15/37		Baa2	7,763,218
1,550			Nationwide Financial Services Capital Trust	7.899%			3/01/37		Baa2	977,146
7,600			Oil Insurance Limited, 144A	7.558%			6/30/11		Baa1	6,592,164
21,500			Old Mutual Capital Funding, Notes, (2)	8.000%			6/22/53		Baa3	20,751,800
2,700			Progressive Corporation	6.700%			6/15/67		A2	2,654,763
5,100			Prudential Financial Inc.	8.875%			6/15/18		BBB+	5,775,750
10,000			Prudential PLC	6.500%			6/29/49		A-	9,075,000
22,200			XL Capital, Limited	6.500%			10/15/57		BBB-	19,092,000
			Total Insurance							101,472,541
			Road & Rail – 0.6%
7,600			Burlington Northern Santa Fe Funding Trust I	6.613%			12/15/55		BBB	7,399,830
			Total Capital Preferred Securities (cost $321,204,398)							303,543,012

Shares			Description (1)							Value
			Investment Companies – 1.9% (1.4% of Total Investments)
682,749			BlackRock Credit Allocation Income Trust II							$ 6,875,282
679,959			Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.							10,403,373
469,287			John Hancock Preferred Income Fund III							7,578,985
			Total Investment Companies (cost $36,387,988)							24,857,640

Principal
Amount (000)			Description (1)	Coupon			Maturity			Value
			Short-Term Investments – 2.8% (2.1% of Total Investments)
$	36,287		Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/31/10, repurchase price $36,287,430, collateralized by: $25,275,000 U.S. Treasury Notes, 4.125%, due 5/15/15, value $27,577,553, $1,815,000 U.S. Treasury Notes, 3.750%, due 11/15/18, value $1,854,749, $3,600,000 U.S. Treasury Notes, 2.375%, due 8/31/14, value $3,609,000, and $4,020,000 U.S. Treasury Notes, 3.000% due 9/30/16, value $3,974,775	0.000%			4/01/10			$ 36,287,430
$	36,287		Total Short-Term Investments (cost $36,287,430)							36,287,430
			Total Investments (cost $1,711,121,779) – 131.2%							1,721,112,565

Shares			Description (1)							Value
			Common Stocks Sold Short – (0.7)%
			Chemicals – (0.1)%
(15,600		)	Sigma-Aldrich Corporation							$ (837,096	)
			Diversified Consumer Services – (0.1)%
(5,550		)	Strayer Education Inc.							(1,351,536	)
			Food Products – (0.0)%
(4,200		)	Green Mountain Coffee Resources Inc., (2)							(406,644	)
			Health Care Equipment & Supplies – (0.1)%
(20,600		)	C. R. Bard, Inc.							(1,784,372	)
			Hotels, Restaurants & Leisure – (0.1)%
(10,500		)	P.F. Changs China Bistro, Inc., (2)							(463,365	)
(9,400		)	WMS Industries Inc.							(394,236	)
			Total Hotels, Restaurants & Leisure							(857,601	)
			Internet & Catalog Retail – (0.1)%
(4,100		)	Amazon.com, Inc., (2)							(556,493	)
			Specialty Retail – (0.2)%
(15,200		)	AutoZone, Inc., (2)							(2,630,968	)
(12,700		)	Urban Outfitters, Inc., (2)							(482,981	)
			Total Specialty Retail							(3,113,949	)
			Total Common Stocks Sold Short (proceeds $7,755,849)							(8,907,691	)
			Borrowings – (30.5)% (13), (14)							(400,000,000	)
			Other Assets Less Liabilities – (0.0)%							(744,621	)
			Net Assets Applicable to Common Shares – 100%							$ 1,311,460,253

Investments in Derivatives

Number of				Notional			Expiration		Strike
Contracts			Type	Amount (15)			Date		Price	Value
			Call Options Written – (0.7)%
(1,140		)	Aetna Inc.	$ (3,420,000		)	1/22/11		$ 30.0	$ (815,100	)
(1,970		)	Ameren Corporation	(4,925,000		)	9/18/10		25.0	(349,675	)
(240		)	AngloGold Ashanti Limited	(960,000		)	1/22/11		40.0	(103,200	)
(973		)	Barrick Gold Corporation	(3,892,000		)	1/22/11		40.0	(389,200	)
(208		)	BP PLC	(1,352,000		)	1/22/11		65.0	(23,712	)
(915		)	Cameco Corporation	(3,202,500		)	1/22/11		35.0	(84,638	)
(676		)	Chevron Corporation	(4,394,000		)	1/22/11		65.0	(826,410	)
(334		)	ConocoPhillips	(1,503,000		)	1/22/11		45.0	(258,015	)
(2,175		)	Gold Fields Limited	(2,718,750		)	1/22/11		12.5	(396,937	)
(825		)	Gold Fields Limited	(1,237,500		)	1/22/11		15.0	(74,250	)
(428		)	Lockheed Martin Corporation	(3,210,000		)	1/22/11		75.0	(466,520	)
(852		)	Newmont Mining Corporation	(4,260,000		)	1/22/11		50.0	(566,580	)
(2,210		)	Nippon Telegraph & Telephone Corporation	(4,420,000		)	6/19/10		20.0	(320,450	)
(2,497		)	NovaGold Resources, Inc.	(1,248,500		)	9/18/10		5.0	(574,310	)
(2,440		)	Pfizer Inc.	(4,270,000		)	1/22/11		17.5	(286,700	)
(266		)	Royal Dutch Shell PLC	(1,596,000		)	7/17/10		60.0	(18,620	)
(2,600		)	Smithfield Foods, Inc.	(4,550,000		)	1/22/11		17.5	(1,170,000	)
(822		)	Suncor Energy Inc.	(2,466,000		)	1/22/11		30.0	(433,605	)
(1,600		)	Telus Corporation	(4,800,000		)	9/18/10		30.0	(968,000	)
(2,105		)	Tesoro Corporation	(2,631,250		)	1/22/11		12.5	(599,925	)
(575		)	Tesoro Corporation	(862,500		)	1/22/11		15.0	(92,000	)
(2,580		)	Tyson Foods, Inc.	(5,160,000		)	1/22/11		20.0	(457,950	)
(596		)	Wal-Mart Stores, Inc.	(3,278,000		)	1/22/11		55.0	(216,050	)
(29,027		)	Total Call Options Written (premiums received $7,466,622)	$ (70,357,000		)				$ (9,491,847	)

			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, 2010:


	Level 1		Level 2	Level 3	Total
Investments:
Common Stocks*	$ 447,526,046		$ 7,863,065	$ —	$ 455,389,111
Preferred Securities**	492,067,378		327,836,078	—	819,903,456
Variable Rate Senior Loan Interests	—		97,618,798	—	97,618,798
Convertible Bonds	—		144,303,285	324,834	144,628,119
Corporate Bonds	—		137,539,015	4,888,996	142,428,011
Investment Companies	24,857,640		—	—	24,857,640
Short-Term Investments	36,287,430		—	—	36,287,430
Common Stocks Sold Short	(8,907,691	)	—	—	(8,907,691	)
Derivatives:
Call Options Written	(9,491,847	)	—	—	(9,491,847	)
Total	$ 982,338,956		$ 715,160,241	$ 5,213,830	$ 1,702,713,027

* Refer to the Fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2. ** Preferred Securities includes Convertible Preferred Securities, $25 Par (or similar) Preferred Securities and Capital Preferred Securities held by the Fund at the end of the reporting period, if any.
The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the measurement period:

				Level 3				Level 3 Corporate		Level 3			Level 3
				Convertible Bonds				Bonds		Warrants			Total
Balance at the beginning of period				$ —				$ 4,706,000		$ 9,918			$ 4,715,918
Gains (losses):
Net realized gains (losses)				—				—		(8,139		)	(8,139				)
Net change in unrealized appreciation (depreciation)				(9,611			)	164,344		—			154,733
Net purchases at cost (sales at proceeds)				334,445				—		(1,779		)	332,666
Net discounts (premiums)				—				18,652		—			18,652
Net transfers in to (out of) at end of period fair value				—				—		—			—
Balance at the end of period				$ 324,834				$ 4,888,996		$ —			$ 5,213,830
Derivative Instruments and Hedging Activities
The Fund records derivative instruments at fair value with changes in fair value recognized in the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for financial reporting purposes.
The table below presents the fair value of all derivative instruments held by the Fund as of March 31, 2010, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.

			Location on the Statement of Assets and Liabilities
Underlying		Derivative	Asset Derivatives						Liability Derivatives
Risk Exposure		Instrument	Location		Value				Location					Value
Equity Price		Options	—		$	—			Call options written, at value					$	9,491,847
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 treatment of paydown gains and losses, recognition of premium amortization, timing differences in the recognition of income on REIT investments 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, 2010, the cost of investments (excluding securities sold short and call options written) was $1,724,156,741.
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding securities sold short and call options written) at March 31, 2010, were as follows:

Gross unrealized:
Appreciation											$ 114,838,817
Depreciation											(117,882,993					)
Net unrealized appreciation (depreciation) of investments											$ (3,044,176					)


(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; issuer has not declared a dividend within the past twelve months.
(3)	Investment, or portion of investment, has been pledged as collateral for call options written during and as of the end of the reporting period.
(4)	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.
(5)	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.
(6)	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.
(7)	Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
(8)	At or subsequent to March 31, 2010, this issue was under the protection of the Federal Bankruptcy Court.
(9)	At or subsequent to March 31, 2010, the Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
(10)	The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(11)	Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3.
(12)	This issue is under protection of the Federal Bankruptcy Court. As a result, the Fund’s Adviser has concluded this issue is not likely to meet its interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records.
(13)	Borrowings as a percentage of Total Investments is 23.2%.
(14)	The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of March 31, 2010, investments with a value of $1,189,214,813 have been pledged as collateral for Borrowings.
(15)	For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.
(16)	For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
N/A	Not applicable.
N/R	Not rated.
DD1	Investment or portion of investment purchased on a delayed delivery basis.
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.

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 2

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

Date May 28, 2010

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 28, 2010

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

Date May 28, 2010

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