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:		9/30/2010

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)
	September 30, 2010

Shares	Description (1)	Value
	Common Stocks - 34.0% (25.9% of Total Investments)
	Aerospace & Defense - 0.8%
44,943	Aveos Fleet Performance Inc., (2), (14)	$ 752,795
16,440	Boeing Company	1,093,918
3,235	Esterline Technologies Corporation, (2)	185,139
5,065	GeoEye, Inc., (2)	205,031
46,408	Lockheed Martin Corporation (3)	3,307,962
135,200	Thales S.A.	4,941,390
	Total Aerospace & Defense	10,486,235
	Air Freight & Logistics - 0.1%
12,340	United Parcel Service, Inc., Class B	822,955
	Auto Components - 0.1%
45,300	Johnson Controls, Inc.	1,381,650
4,370	TRW Automotive Holdings Corporation, (2)	181,617
	Total Auto Components	1,563,267
	Automobiles - 0.4%
94,011	Honda Motor Company Limited	3,336,782
37,820	Toyota Motor Corporation	1,358,222
	Total Automobiles	4,695,004
	Beverages - 0.7%
325,953	Coca Cola Amatil Limited	3,774,296
32,149	Coca Cola Femsa SAB de CV	2,514,695
29,490	Coca-Cola Company	1,725,755
21,445	Dr. Pepper Snapple Group	761,726
4,960	Molson Coors Brewing Company, Class B	234,211
	Total Beverages	9,010,683
	Biotechnology - 0.2%
5,335	Alnylam Pharmaceuticals, Inc., (2)	65,514
15,460	Amgen Inc., (2)	852,001
9,345	BioMarin Pharmaceutical Inc., (2)	208,861
3,820	Celgene Corporation, (2)	220,070
4,498	Cubist Pharmaceuticals Inc., (2)	105,208
21,230	Gilead Sciences, Inc., (2)	756,000
8,135	ISIS Pharmaceuticals, Inc., (2)	68,334
6,270	Targacept, Inc.	140,072
	Total Biotechnology	2,416,060
	Building Products - 0.1%
36,123	Masonite Worldwide Holdings, (2)	1,390,736
	Capital Markets - 0.6%
1,640	Affiliated Managers Group Inc., (2)	127,936
4,950	Ameriprise Financial, Inc.	234,284
6,370	Calamos Asset Management, Inc. Class A	73,255
31,180	Invesco LTD	661,951
22,050	Legg Mason, Inc.	668,336
385,939	Nomura Securities Company	1,867,745
4,960	T. Rowe Price Group Inc.	248,322
66,430	UBS AG	1,127,617
158,760	UBS AG, (2), (3)	2,703,683
	Total Capital Markets	7,713,129
	Chemicals - 0.8%
13,210	Celanese Corporation, Series A	424,041
5,790	Eastman Chemical Company	428,460
3,380	Lubrizol Corporation	358,179
4,460	Minerals Technologies Inc.	262,783
31,790	Mosaic Company	1,867,980
39,177	Nitto Denko Corporation	1,532,258
3,730	PPG Industries, Inc.	271,544
2,103	Shin-Etsu Chemical Company Limited, ADR, (14)	102,521
17,920	Solutia Inc., (2)	287,078
102,573	Umicore	4,434,094
4,975	Westlake Chemical Corporation	148,902
	Total Chemicals	10,117,840
	Commercial Banks - 2.2%
104,516	Associated Banc-Corp.	1,378,566
114,352	Banco Itau Holdings Financeira, S.A., Sponsred ADR	2,765,031
119,330	Banco Santander Central Hispano SA	1,643,174
126,475	Banco Santander Central Hispano SA	1,606,410
17,770	BNP Paribas SA	1,263,816
21,420	Canadian Imperial Bank of Commerce	1,554,090
9,180	Columbia Banking Systems Inc.	180,387
13,371	Commerce Bancshares Inc.	502,616
9,850	Community Bank System Inc.	226,649
294,358	DnB NOR ASA	4,006,590
11,150	East West Bancorp Inc.	181,522
7,410	First Financial Bancorp.	123,599
72,052	Hang Seng Bank	1,059,581
229,950	HSBC Holdings PLC	2,329,923
962,700	Krung Thai Bank Public Company Limited, (14)	536,067
4,160	M&T Bank Corporation	340,330
21,730	Societe Generale	1,251,590
160,447	Standard Chartered PLC	4,602,362
16,873	Sumitomo Trust & Banking Company, ADR, (14)	85,546
38,200	Toronto-Dominion Bank	2,764,107
39,850	U.S. Bancorp	861,557
1,160	UMB Financial Corporation	41,192
15,780	Umpqua Holdings Corporation	178,945
8,500	Wells Fargo & Company	213,605
	Total Commercial Banks	29,697,255
	Commercial Services & Supplies - 0.4%
40,610	Aggreko PLC	1,001,569
1,430	Clean Harbors, Inc., (2)	96,883
11,985	Republic Services, Inc.	365,423
11,698	Stericycle Inc., (2)	812,777
285,000	Toppan Printing Company Limited	2,229,336
6,200	Waste Management, Inc.	221,588
	Total Commercial Services & Supplies	4,727,576
	Communications Equipment - 0.3%
2,870	Comtech Telecom Corporation, (2)	78,495
10,810	Interdigital Inc., (2)	320,084
187,223	Nokia Corporation, ADR, (3)	1,877,847
9,345	Plantronics Inc.	315,674
26,520	QUALCOMM, Inc.	1,196,582
	Total Communications Equipment	3,788,682
	Computers & Peripherals - 0.4%
17,265	Apple, Inc., (2)	4,898,944
13,800	Hewlett-Packard Company	580,566
6,150	Network Appliance Inc., (2)	306,209
	Total Computers & Peripherals	5,785,719
	Construction & Engineering - 0.2%
39,730	Royal Boskalis Westminster NV	1,667,375
17,705	Shaw Group Inc., (2)	594,180
	Total Construction & Engineering	2,261,555
	Consumer Finance - 0.1%
26,910	American Express Company	1,131,027
16,620	Capital One Financial Corporation	657,321
	Total Consumer Finance	1,788,348
	Containers & Packaging - 0.0%
15,920	Boise Inc.	103,321
2,071	Rock-Tenn Company	103,157
	Total Containers & Packaging	206,478
	Diversified Consumer Services - 0.0%
6,200	Bridgepoint Education Inc., (2)	95,852
5,540	Sothebys Holdings Inc.	203,983
	Total Diversified Consumer Services	299,835
	Diversified Financial Services - 0.2%
121,395	Bank of America Corporation	1,591,488
4,718	Guoco Group Ltd, ADR, (14)	104,457
80,000	Guoco Group Ltd	882,089
6,240	Nasdaq Stock Market, Inc., (2)	121,243
11,442	PHH Corporation, (2)	240,969
	Total Diversified Financial Services	2,940,246
	Diversified Telecommunication Services - 0.8%
9,800	CenturyTel, Inc.	386,708
144,000	Deutsche Telekom AG, ADR, (3), (14)	1,962,720
1,375	Frontier Communications Corporation	11,234
43,300	KT Corporation, Sponsored ADR	885,918
162,763	Nippon Telegraph and Telephone Corporation, ADR, (3)	3,567,765
2,240,000	Telecom Italia S.p.A.	2,523,867
4,374	Telus Corporation	185,239
17,230	Verizon Communications Inc.	561,526
	Total Diversified Telecommunication Services	10,084,977
	Electric Utilities - 1.1%
230,454	Centrais Electricas Brasileiras S.A., PFD B ADR	3,447,592
13,770	DPL Inc.	359,810
20,950	Duke Energy Corporation	371,025
31,000	Electricite de France S.A	1,337,130
24,240	Exelon Corporation	1,032,139
202,034	Korea Electric Power Corporation, Sponsored ADR, (3)	2,612,300
6,770	Portland General Electric Company	137,296
104,000	Progress Energy, Inc., (3)	4,619,680
27,700	Southern Company	1,031,548
7,100	UIL Holdings Corporation	199,936
	Total Electric Utilities	15,148,456
	Electrical Equipment - 0.7%
75,818	ABB Limited, ADR	1,601,276
99,841	ABB Limited	2,104,215
2,810	Areva S.A.	1,180,249
19,050	GrafTech International Ltd., (2)	297,752
5,610	Harbin Electric, Inc., (2)	100,363
37,787	Nidec Corporation	3,358,643
11,610	Rockwell Automation, Inc.	716,685
	Total Electrical Equipment	9,359,183
	Electronic Equipment & Instruments - 0.4%
9,910	Daktronics Inc.	97,316
87,679	Hoya Corporation	2,137,359
8,444	Ingram Micro, Inc., Class A, (2)	142,366
185,058	Nippon Electric Glass Company Limited	2,522,712
2,163	Tech Data Corporation, (2)	87,169
	Total Electronic Equipment & Instruments	4,986,922
	Energy Equipment & Services - 0.6%
110,490	ACERGY S.A., ADR	2,038,405
186,259	AMEC PLC	2,884,978
2,544	Baker Hughes Incorporated	108,374
13,725	Cooper Cameron Corporation, (2)	589,626
14,260	FMC Technologies Inc., (2)	973,815
13,140	Halliburton Company	434,540
5,790	Hornbeck Offshore Services Inc.	112,847
11,600	Oil States International Inc., (2)	539,980
8,200	Schlumberger Limited	505,202
	Total Energy Equipment & Services	8,187,767
	Food & Staples Retailing - 1.1%
286,090	Jeronimo Martins SGPS	3,826,021
123,375	Koninklijke Ahold N.V.	1,663,073
69,255	Kroger Co.	1,500,063
148,769	Wal-Mart Stores, Inc., (3)	7,962,117
	Total Food & Staples Retailing	14,951,274
	Food Products - 1.6%
9,190	Archer-Daniels-Midland Company	293,345
17,160	Campbell Soup Company	613,470
9,000	Corn Products International, Inc.	337,500
19,380	General Mills, Inc.	708,145
18,150	H.J. Heinz Company	859,766
17,715	Hershey Foods Corporation	843,057
14,210	Kellogg Company	717,747
27,560	Mead Johnson Nutrition Company, Class A Shares	1,568,440
46,904	Nestle SA	2,498,778
266,583	Smithfield Foods, Inc., (2), (3)	4,486,592
265,651	Tyson Foods, Inc., Class A, (3)	4,255,729
56,138	Unilever PLC	1,633,616
111,340	Unilever PLC, ADR	3,219,982
	Total Food Products	22,036,167
	Gas Utilities - 0.0%
3,840	National Fuel Gas Company	198,950
	Health Care Equipment & Supplies - 0.4%
16,030	Align Technology, Inc., (2)	313,867
17,970	Becton, Dickinson and Company	1,331,577
2,780	C. R. Bard, Inc.	226,375
3,600	Cooper Companies, Inc.	166,392
7,730	Covidien PLC	310,669
17,460	Edwards Lifesciences Corporation, (2)	1,170,693
20,890	Hologic Inc., (2)	334,449
6,810	Hospira Inc., (2)	388,238
7,760	Masimo Corporation	211,926
3,480	Steris Corporation	115,606
2,039	Zimmer Holdings, Inc., (2)	106,701
	Total Health Care Equipment & Supplies	4,676,493
	Health Care Providers & Services - 1.0%
123,149	Aetna Inc., (3)	3,892,740
2,350	Air Methods Corporation, (2)	97,713
44,410	AmerisourceBergen Corporation	1,361,611
11,755	Centene Corporation, (2)	277,300
6,070	Community Health Systems, Inc., (2)	187,988
11,640	Express Scripts, Inc., (2)	566,868
57,637	Fresenius Medical Care, ADR	3,559,780
14,005	HealthSouth Corporation, (2)	268,896
12,470	Humana Inc., (2)	626,493
12,954	Lincare Holdings	325,016
20,160	McKesson HBOC Inc.	1,245,485
15,050	Medco Health Solutions, Inc., (2)	783,503
5,062	Omnicare, Inc.	120,881
7,320	Quest Diagnostics Incorporated	369,440
	Total Health Care Providers & Services	13,683,714
	Hotels, Restaurants & Leisure - 0.4%
9,120	Bally Technologies, Inc., (2)	318,744
69,165	Carnival Corporation	2,718,454
3,390	Chipotle Mexican Grill, (2)	583,080
14,600	Las Vegas Sands, (2)	508,810
3,290	Marriott International, Inc., Class A	117,881
21,330	Penn National Gaming, Inc., (2)	631,581
6,330	Royal Caribbean Cruises Limited, (2)	199,585
20,380	Starbucks Corporation	521,320
	Total Hotels, Restaurants & Leisure	5,599,455
	Household Durables - 0.2%
15,700	D.R. Horton, Inc.	174,584
10,470	Lennar Corporation, Class A	161,029
7,075	Meritage Corporation, (2)	138,812
38,960	Newell Rubbermaid Inc.	693,878
308,685	Oriental Weavers Group	1,789,321
6,860	Tempur Pedic International Inc., (2)	212,660
	Total Household Durables	3,170,284
	Household Products - 0.2%
15,850	Colgate-Palmolive Company	1,218,231
15,160	Kimberly-Clark Corporation	986,158
	Total Household Products	2,204,389
	Independent Power Producers & Energy Traders - 0.1%
27,380	Constellation Energy Group	882,731
	Industrial Conglomerates - 0.1%
5,610	3M Co.	486,443
7,770	Textron Inc.	159,751
	Total Industrial Conglomerates	646,194
	Insurance - 0.7%
5,680	AFLAC Incorporated	293,713
13,525	Allstate Corporation	426,714
2,023	Aon Corporation	79,120
2,739	Axis Capital Holdings Limited	90,223
339,460	China Life Insurance Company Limited	1,338,791
10,005	Delphi Financial Group, Inc.	250,025
62,476	Hannover Rueckversicherung AG	2,873,650
50,631	Lincoln National Corporation	1,211,094
1,995	Loews Corporation	75,611
8,737	Marsh & McLennan Companies, Inc.	210,736
43,070	Old Republic International Corporation	596,520
6,150	Primerica Inc.	125,091
155,544	Prudential Corporation PLC	1,555,249
9,280	Prudential Financial, Inc.	502,790
7,660	Tower Group Inc.	178,861
8,590	WR Berkley Corporation	232,531
	Total Insurance	10,040,719
	Internet & Catalog Retail - 0.0%
14,000	Expedia, Inc.	394,940
	Internet Software & Services - 0.5%
104,298	eBay Inc., (2), (3)	2,544,871
8,380	Equinix Inc., (2)	857,693
3,500	Google Inc., Class A, (2)	1,840,265
8,210	IAC/InterActiveCorp., (2)	215,677
14,830	Rackspace Hosting Inc., (2)	385,283
36,860	Tencent Holdings Limited	805,244
	Total Internet Software & Services	6,649,033
	IT Services - 0.5%
104,933	CGI Group Inc., (2)	1,577,143
8,260	CSG Systems International Inc., (2)	150,580
13,300	Global Payments Inc.	570,437
19,095	International Business Machines Corporation (IBM)	2,561,403
5,710	MasterCard, Inc.	1,279,040
2,890	Maximus Inc.	177,966
11,263	VeriFone Holdings Inc., (2)	349,941
7,350	Wright Express Corporation, (2)	262,469
	Total IT Services	6,928,979
	Life Sciences Tools & Services - 0.1%
1,390	Bio-Rad Laboratories Inc., (2)	125,809
11,300	Life Technologies Corporation, (2)	527,597
8,950	Waters Corporation, (2)	633,481
	Total Life Sciences Tools & Services	1,286,887
	Machinery - 0.7%
10,091	AGCO Corporation, (2)	393,650
3,270	Bucyrus International, Inc.	226,775
5,990	Caterpillar Inc.	471,293
17,050	Cummins Inc.	1,544,389
5,680	Danaher Corporation	230,665
5,660	Deere & Company	394,955
4,710	Eaton Corporation	388,528
52,839	Kone OYJ	2,730,042
3,490	Nordson Corporation	257,178
12,300	Parker Hannifin Corporation	861,738
20,530	Timken Company	787,531
16,200	Vallourec SA	1,609,309
	Total Machinery	9,896,053
	Marine - 0.1%
12,620	Genco Shipping and Trading Limited, (2)	201,163
104,500	Stolt-Nielsen S.A.	1,656,925
	Total Marine	1,858,088
	Media - 0.6%
20,060	Cablevision Systems Corporation	525,371
34,015	Comcast Corporation, Class A	614,991
24,385	Dex One Corporation, (2)	299,448
50,165	DIRECTV Group, Inc., (2)	2,088,369
5,187	Madison Square Garden Inc., (2)	109,342
32,898	Readers Digest Association Inc., (2), (14)	641,511
14,780	Scripps Networks Interactive, Class A Shares	703,232
2,001	Time Warner Cable, Class A	108,034
271,480	WPP Group PLC	3,004,465
	Total Media	8,094,763
	Metals & Mining - 4.0%
48,000	AngloGold Ashanti Limited, Sponsored ADR, (3)	2,219,520
203,301	Barrick Gold Corporation, (3)	9,410,803
65,667	BHP Billiton PLC, ADR	2,469,634
25,211	Freeport-McMoRan Copper & Gold, Inc.	2,152,767
362,173	Gold Fields Limited, Sponsored ADR, (3)	5,530,382
48,000	Ivanhoe Mines Ltd., (2), (3)	1,123,680
23,841	Kinross Gold Corporation	447,972
5,045	Newcrest Mining Limited, Sponsored ADR, (14)	194,233
55,500	Newcrest Mining Limited	2,128,038
121,548	Newmont Mining Corporation, (3)	7,634,430
11,144	NovaGold Resources Inc.	97,399
823,356	NovaGold Resources Inc., 144A, (2)	7,196,131
72,028	Polyus Gold Company, (14)	1,869,127
19,240	POSCO, ADR	2,192,975
46,480	Rio Tinto Limited	3,448,910
5,614	Silver Standard Resources, Inc., (2)	112,168
7,690	Steel Dynamics Inc.	108,506
143,420	Sterlite Industries India Ltd., ADR	2,148,432
29,450	United States Steel Corporation	1,291,088
20,770	Walter Industries Inc.	1,688,393
	Total Metals & Mining	53,464,588
	Multiline Retail - 0.3%
8,875	Big Lots, Inc., (2)	295,094
4,234	Dillard's, Inc., Class A	100,092
26,990	Macy's, Inc.	623,199
91,469	Next PLC	3,184,139
	Total Multiline Retail	4,202,524
	Multi-Utilities - 0.2%
23,420	Ameren Corporation	665,128
11,860	Consolidated Edison, Inc.	571,889
22,730	Dominion Resources, Inc.	992,392
5,010	Integrys Energy Group, Inc.	260,821
3,610	OGE Energy Corp.	143,931
4,360	Sempra Energy	234,568
	Total Multi-Utilities	2,868,729
	Office Electronics - 0.1%
34,257	Canon Inc.	1,598,359
	Oil, Gas & Consumable Fuels - 4.3%
83,688	Arch Coal Inc., (3)	2,235,306
96,910	BG Group PLC	1,702,758
240,117	BP PLC Sponsored ADR, (3)	9,885,617
305,761	Cameco Corporation, (3)	8,478,753
18,891	Chesapeake Energy Corporation	427,881
68,869	Chevron Corporation, (3)	5,581,832
6,870	Cimarex Energy Company	454,657
38,106	ConocoPhillips, (3)	2,188,428
33,465	Continental Resources Inc., (2)	1,551,437
6,960	Devon Energy Corporation	450,590
51,040	EnCana Corporation	1,542,262
101,600	Gazprom OAO, ADR	2,132,584
15,190	Hess Corporation	898,033
13,920	Newfield Exploration Company, (2)	799,565
58,800	Nexen Inc., (3)	1,181,880
6,540	Occidental Petroleum Corporation	512,082
2,529	Peabody Energy Corporation	123,946
10,567	Petrobras Energia S.A., ADR	174,778
19,640	Petrohawk Energy Corporation, (2)	316,990
3,300,000	PT Medco Energi Internasional TBK	1,229,412
11,460	Rosetta Resources, Inc., (2)	269,195
27,100	Royal Dutch Shell PLC, Class B Sponsored ADR, (3)	1,593,209
4,780	SM Energy Company	179,059
89,780	StatoilHydro ASA	1,873,104
69,386	StatoilHydro ASA Sponsored ADR	1,455,718
7,060	Stone Energy Corporation, (2)	103,994
114,117	Suncor Energy, Inc., (3)	3,714,508
323,375	Tesoro Corporation, (3)	4,320,290
11,535	Total SA	594,487
1,220	Whiting Petroleum Corporation, (2)	116,522
8,630	World Fuel Services Corporation	224,466
745,787	Yanzhou Coal Mining Company	1,830,140
	Total Oil, Gas & Consumable Fuels	58,143,483
	Personal Products - 0.0%
2,290	Medifast, Inc.	62,128
16,790	Prestige Brands Holdings Inc.	166,053
	Total Personal Products	228,181
	Pharmaceuticals - 1.7%
32,000	AstraZeneca Group, Sponsored ADR, (3)	1,622,400
55,950	AstraZeneca Group	2,841,982
43,875	Bristol-Myers Squibb Company	1,189,451
51,542	Eli Lilly and Company, (3)	1,882,829
61,200	Forest Laboratories, Inc., (2), (3)	1,892,916
33,275	Johnson & Johnson	2,061,719
31,154	Novartis AG	1,786,524
18,670	Novo Nordisk A/S	1,852,725
10,240	Perrigo Company	657,613
260,352	Pfizer Inc., (3)	4,470,244
30,703	Sanofi-Aventis, S.A.	2,045,706
31,650	Watson Pharmaceuticals Inc., (2)	1,339,112
	Total Pharmaceuticals	23,643,221
	Professional Services - 0.0%
13,030	Acacia Research, (2)	229,328
2,310	Towers Watson & Company, Class A Shares	113,606
	Total Professional Services	342,934
	Real Estate - 0.6%
16,240	Annaly Capital Management Inc.	285,824
43,400	Apartment Investment & Management Company, Class A	927,892
10,840	Boston Properties, Inc.	901,021
7,150	Camden Property Trust	342,986
15,920	Digital Realty Trust Inc.	982,264
16,200	Duke Realty Corporation	187,758
4,130	Equity Lifestyles Properties Inc.	225,002
2,070	Essex Property Trust Inc.	226,541
3,200	Home Properties New York, Inc.	169,280
13,040	Inland Real Estate Corporation	108,362
8,260	LaSalle Hotel Properties	193,201
6,420	Parkway Properties Inc.	95,016
3,450	PS Business Parks Inc.	195,167
8,400	Ramco-Gershenson Properties Trust	89,964
11,650	Rayonier Inc.	583,898
4,228	Simon Property Group, Inc.	392,105
3,550	Taubman Centers Inc.	158,366
6,640	Walter Investment Management Corporation	116,134
163,410	Westfield Group	1,936,392
	Total Real Estate	8,117,173
	Real Estate Management & Development - 0.2%
98,560	Brookfield Properties Corporation	1,539,371
176,122	Hysan Development Company	628,776
	Total Real Estate Management & Development	2,168,147
	Road & Rail - 0.1%
827	Canadian Pacific Railway Limited	50,389
4,180	Genesee & Wyoming Inc.	181,370
17,650	Kansas City Southern Industries, (2)	660,287
11,980	Norfolk Southern Corporation	712,930
646	Union Pacific Corporation	52,843
	Total Road & Rail	1,657,819
	Semiconductors & Equipment - 0.7%
68,820	ASM Lithography Holding NV	2,055,572
47,050	Broadcom Corporation, Class A	1,665,100
62,345	Intel Corporation	1,198,894
39,910	KLA-Tencor Corporation	1,406,029
51,380	Marvell Technology Group Ltd., (2)	899,664
17,580	Micron Technology, Inc., (2)	126,752
31,380	Novellus Systems, Inc., (2)	834,080
16,165	ON Semiconductor Corporation, (2)	116,550
152,150	Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR	1,542,801
6,530	Xilinx, Inc.	173,763
	Total Semiconductors & Equipment	10,019,205
	Software - 0.4%
2,470	Advent Software Inc., (2)	128,909
7,645	Ansys Inc., (2)	323,001
6,635	CommVault Systems, Inc., (2)	172,709
4,160	Manhattan Associates Inc., (2)	122,096
141,628	Microsoft Corporation, (3)	3,468,470
15,280	Rovi Corporation, (2)	770,265
5,470	Salesforce.com, Inc., (2)	611,546
5,110	VirnetX Holding Corporation	75,015
	Total Software	5,672,011
	Specialty Retail - 0.3%
9,840	Advance Auto Parts, Inc.	577,411
10,450	Best Buy Co., Inc.	426,674
3,230	Guess Inc.	131,235
21,445	Home Depot, Inc.	679,378
2,030	J. Crew Group Inc., (2)	68,249
5,450	OfficeMax Inc., (2)	71,341
6,110	PetSmart Inc.	213,850
11,450	Talbots, Inc., (2)	149,995
56,540	Williams-Sonoma Inc.	1,792,318
	Total Specialty Retail	4,110,451
	Textiles, Apparel & Luxury Goods - 0.4%
4,330	Deckers Outdoor Corporation, (2)	216,327
4,580	Fossil Inc., (2)	246,358
10,460	Jones Apparel Group, Inc.	205,434
19,430	Liz Claiborne, Inc.	118,134
14,220	LVMH Moet Hennessy	2,085,871
754,344	Yue Yuen Industrial Holdings Limited	2,790,320
	Total Textiles, Apparel & Luxury Goods	5,662,444
	Thrifts & Mortgage Finance - 0.0%
16,470	People's United Financial, Inc.	215,592
	Tobacco - 0.5%
60,910	Altria Group, Inc.	1,463,058
49,760	British American Tobacco PLC	1,856,098
45,205	Philip Morris International	2,532,384
10,980	Reynolds American Inc.	652,102
	Total Tobacco	6,503,642
	Trading Companies & Distributors - 0.3%
4,500	Applied Industrial Technologies Inc.	137,700
283,753	Mitsui & Company Limited	4,221,625
	Total Trading Companies & Distributors	4,359,325
	Water Utilities - 0.0%
1,222	Companhia de Saneamento Basico do Estado de Sao Paulo, ADR	55,613
	Wireless Telecommunication Services - 0.4%
14,343	Millicom International Cellular S.A.	1,368,260
28,509	Millicom International Cellular S.A.	2,735,435
2,079	TIM Participacoes S.A., ADR	68,583
6,298	Turkcell Iletisim Hizmetleri A.S., ADR	105,552
676,090	Vodafone Group PLC	1,668,511
	Total Wireless Telecommunication Services	5,946,341
	Total Common Stocks (cost $417,768,895)	459,657,803

Shares	Description (1)	Coupon	Ratings (4)	Value
	Convertible Preferred Securities - 1.6% (1.2% of Total Investments)
	Capital Markets - 0.0%
10,100	Affiliated Managers Group Inc., Convertible Bond	5.100%	BB	$ 419,150
8,150	AMG Capital Trust II, Convertible Bond	5.150%	BB	295,947
	Total Capital Markets			715,097
	Commercial Banks - 0.6%
2,900,000	Credit Suisse AG	7.875%	BBB+	3,003,965
7,200	Fifth Third Bancorp, Convertible Bond	8.500%	Ba1	925,992
3,900	Wells Fargo & Company, Convertible Bond	7.500%	A-	3,923,400
	Total Commercial Banks			7,853,357
	Communications Equipment - 0.3%
4,525	Lucent Technologies Capital Trust I	7.750%	B3	3,665,250
	Diversified Financial Services - 0.3%
4,150	Bank of America Corporation	7.250%	BB	4,077,375
	Food Products - 0.0%
7,450	Bunge Limited, Convertible Bonds	4.875%	Ba1	650,013
	Health Care Providers & Services - 0.0%
11,650	Omnicare Capital Trust II, Series B	4.000%	B	430,934
	Independent Power Producers & Energy Traders - 0.0%
11,550	AES Trust III, Convertible Preferred	6.750%	B	562,254
	Insurance - 0.1%
7,200	Aspen Insurance Holdings Limited	5.625%	BBB-	402,336
5,600	Reinsurance Group of America Inc.	5.750%	BBB	362,768
	Total Insurance			765,104
	Multi-Utilities - 0.1%
10,400	CMS Energy Corporation, Convertible Bonds	4.500%	Ba2	1,051,700
	Oil, Gas & Consumable Fuels - 0.1%
600	El Paso Corporation, 144A	4.990%	B	690,900
350	El Paso Corporation	4.990%	B	403,025
	Total Oil, Gas & Consumable Fuels			1,093,925
	Real Estate - 0.1%
38,300	Commonwealth REIT, Convertble Debt	6.500%	Baa3	851,025
	Total Convertible Preferred Securities (cost $20,016,607)			21,716,034

Shares	Description (1)	Coupon	Ratings (4)	Value
	$25 Par (or similar) Preferred Securities - 37.1% (28.2% of Total Investments)
	Capital Markets - 4.2%
58,500	Ameriprise Financial, Inc.	7.750%	A	$ 1,641,510
153,800	BNY Capital Trust V, Series F	5.950%	A1	3,874,222
683,077	Credit Suisse	7.900%	A3	18,688,987
1,175,757	Deutsche Bank Capital Funding Trust II	6.550%	BBB	28,876,592
7,000	Deutsche Bank Capital Funding Trust IX	6.625%	BBB	173,250
68,200	Deutsche Bank Contingent Capital Trust III	7.600%	BBB	1,812,756
15,300	Goldman Sachs Group Inc., Series 2004-4 (CORTS)	6.000%	A3	360,927
18,600	Goldman Sachs Group Inc., Series GSC-3 (PPLUS)	6.000%	A3	441,936
15,900	Morgan Stanley Capital Trust V	5.750%	Baa2	378,897
2,500	Morgan Stanley Capital Trust VII	6.600%	BBB	61,900
	Total Capital Markets			56,310,977
	Commercial Banks - 4.5%
699,000	Banco Santander Finance	10.500%	A-	19,767,720
28,400	Barclays Bank PLC	7.750%	A-	720,224
1,300	Barclays Bank PLC	7.100%	A+	32,370
170,400	BB&T Capital Trust VI	9.600%	A3	4,873,440
38,400	BB&T Capital Trust VII	8.100%	A3	1,062,528
146,500	Cobank Agricultural Credit Bank, 144A	7.000%	N/R	6,624,554
48,000	Cobank Agricultural Credit Bank	11.000%	A	2,637,000
2,800	Fifth Third Capital Trust V	4.250%	Baa3	69,496
1,000,000	HSBC Bank PLC	1.000%	A	597,500
45,812	HSBC Finance Corporation	6.875%	A	1,160,876

367,100		HSBC Holdings PLC, (2)	8.000%		A-	9,904,358
1,400		HSBC Holdings PLC	6.200%		A-	34,160
15,100		HSBC USA Inc., Series F	2.858%		A-	734,389
150,200		Merrill Lynch Preferred Capital Trust V	7.280%		Baa3	3,717,450
355,241		National City Capital Trust II	6.625%		BBB	8,849,053
9,700		Wells Fargo Capital Trust VII	5.850%		A-	242,500
		Total Commercial Banks				61,027,618
		Diversified Financial Services - 2.3%
72,000		Citigroup Capital Trust XII	8.500%		Ba1	1,901,520
178,500		Citigroup Capital XIII	7.875%		Ba1	4,522,922
63,600		Countrywide Capital Trust IV	6.750%		Baa3	1,532,124
188,023		ING Groep N.V	7.200%		Ba1	4,531,354
755,475		ING Groep N.V	7.050%		Ba1	18,070,962
6,600		JP Morgan Chase Capital Trust XXIX	6.700%		A2	167,640
		Total Diversified Financial Services				30,726,522
		Diversified Telecommunication Services - 0.2%
79,515		AT&T Inc.	6.375%		A	2,158,832
18,024		BellSouth Capital Funding (CORTS)	7.120%		A	459,050
14,233		BellSouth Corporation (CORTS)	7.000%		A	356,715
		Total Diversified Telecommunication Services				2,974,597
		Electric Utilities - 0.6%
259,300		Entergy Texas Inc.	7.875%		BBB+	7,646,757
		Food Products - 0.2%
33,100		Dairy Farmers of America Inc., 144A	7.875%		BBB-	2,924,180
		Insurance - 9.7%
1,122,600		Aegon N.V.	6.375%		BBB	26,246,388
25,000		Allianz SE	8.375%		A+	681,250
192,234		Arch Capital Group Limited, Series B	7.875%		BBB	4,921,190
375,390		Arch Capital Group Limited	8.000%		BBB	9,591,215
334,376		Delphi Financial Group, Inc.	8.000%		BBB	8,576,744
26,700		Delphi Financial Group, Inc.	7.376%		BB+	623,445
209,582		EverestRe Capital Trust II	6.200%		Baa1	5,076,076
765,700		Lincoln National Capital VI, Series F	6.750%		BBB	19,196,099
83,482		Markel Corporation	7.500%		BBB	2,208,934
851,203		PartnerRe Limited, Series C	6.750%		BBB+	21,552,460
145,400		PLC Capital Trust III	7.500%		BBB	3,668,442
14,000		PLC Capital Trust IV	7.250%		BBB	350,000
22,317		Protective Life Corporation	7.250%		BBB	555,693
136,730		Prudential Financial Inc.	9.000%		BBB+	3,899,540
24,682		Prudential Financial Inc.	6.750%		A-	619,765
1,000,000		Reinsurance Group of America Inc.	6.750%		BBB-	881,178
121,300		RenaissanceRe Holdings Limited, Series B	7.300%		BBB+	3,057,973
35,900		RenaissanceRe Holdings Limited, Series C	6.080%		BBB+	842,573
165,400		RenaissanceRe Holdings Limited, Series D	6.600%		BBB+	4,121,768
590,600		W. R. Berkley Corporation, Capital Trust II	6.750%		BBB-	14,853,590
		Total Insurance				131,524,323
		Media - 4.4%
23,800		CBS Corporation	7.250%		BBB-	598,332
599,221		CBS Corporation	6.750%		BBB-	15,160,291
1,012,662		Comcast Corporation	7.000%		BBB+	26,460,858
30,000		Comcast Corporation	6.625%		BBB+	778,200
647,540		Viacom Inc.	6.850%		BBB+	16,984,974
		Total Media				59,982,655
		Multi-Utilities - 0.7%
125,800		Dominion Resources Inc.	8.375%		BBB	3,662,038
227,600		Xcel Energy Inc.	7.600%		BBB	6,272,656
		Total Multi-Utilities				9,934,694
		Oil, Gas & Consumable Fuels - 1.2%
612,600		Nexen Inc.	7.350%		BB+	15,511,032
		Pharmaceuticals - 0.1%
39,800		Bristol Myers Squibb Company (CORTS)	6.250%		A+	1,008,930
		Real Estate - 8.7%
83,201		Commomwealth REIT	9.875%		Baa3	2,109,145
59,800		Commomwealth REIT	7.500%		BBB	1,279,122
532,400		Commomwealth REIT	7.125%		Baa3	13,155,604
199,813		Developers Diversified Realty Corporation, Series H	7.375%		Ba1	4,793,514
6,800		Duke Realty Corporation, Series K	6.500%		Baa3	161,500
72,830		Duke Realty Corporation, Series L	6.600%		Baa3	1,738,452
22,700		Duke Realty Corporation, Series N	7.250%		Baa3	575,218
122,700		Duke-Weeks Realty Corporation	6.625%		Baa3	2,954,616
148,215		Equity Residential Properties Trust, Series N	6.480%		BBB-	3,690,554
584,216		Kimco Realty Corporation, Series G	7.750%		Baa2	14,967,614
3,997		Prologis Trust, Series C	8.540%		Baa3	209,843
51,275		Prologis Trust, Series G	6.750%		Baa3	1,202,399
235,806		Public Storage, Inc.	6.750%		Baa1	5,989,472
27,632		Public Storage, Inc., Series C	6.600%		Baa1	694,392
149,500		Public Storage, Inc., Series E	6.750%		Baa1	3,737,500
69,911		Public Storage, Inc., Series H	6.950%		Baa1	1,762,456
28,103		Realty Income Corporation	6.750%		Baa2	712,130
136,187		Regency Centers Corporation	7.450%		Baa3	3,431,231
626,351		Vornado Realty LP	7.875%		BBB	16,736,099
1,227,443		Wachovia Preferred Funding Corporation	7.250%		A-	31,717,127
6,700		Weingarten Realty Trust	8.100%		BBB	157,383
117,000		Weingarten Realty Trust	6.950%		Baa3	2,913,300
102,725		Weingarten Realty Trust	6.500%		Baa3	2,527,035
		Total Real Estate				117,215,706
		Wireless Telecommunication Services - 0.3%
158,600		Telephone and Data Systems Inc.	7.600%		Baa2	3,987,204
4,800		United States Cellular Corporation	7.500%		Baa2	120,960
		Total Wireless Telecommunication Services				4,108,164
		Total $25 Par (or similar) Preferred Securities (cost $486,990,904)				500,896,155

			Weighted
Principal			Average
Amount (000)		Description (1)	Coupon	Maturity (5)	Ratings (4)	Value
		Variable Rate Senior Loan Interests - 6.4% (4.9% of Total Investments) (6)
		Aerospace & Defense - 0.2%
$	415	Aveos Fleet Performance, Inc., ABL Term Loan	11.250%	3/12/13	B	$ 413,284
429		Aveos Fleet Performance, Inc., Term Loan	8.500%	3/12/15	B	401,006
574		DAE Aviation Holdings, Inc., Term Loan B1	4.230%	7/31/14	B	529,947
556		DAE Aviation Holdings, Inc., Term Loan B2	4.230%	7/31/14	B	513,161
900		McKechnie Aerospace Holdings, Inc., Term Loan	5.260%	5/11/15	N/R	890,830
2,874		Total Aerospace & Defense				2,748,228
		Airlines - 0.1%
1,935		Delta Air Lines, Inc., Term Loan	3.507%	4/30/14	B	1,826,156
		Automobiles - 0.1%
1,652		Ford Motor Company, Term Loan	3.030%	12/15/13	Ba1	1,622,793
		Building Products - 0.1%
1,847		Building Materials Corporation of America, Term Loan	3.063%	2/22/14	BBB	1,825,107
		Chemicals - 0.0%
595		Hercules Offshore, Inc., Term Loan	6.000%	7/11/13	B2	514,688
		Communications Equipment - 0.2%
2,962		Avaya, Inc., Term Loan	3.058%	10/24/14	B1	2,631,550
		Containers & Packaging - 0.1%
150		Reynolds Group Holdings, Inc., Term Loan A, WI/DD	TBD	TBD	Ba3	150,281
900		Reynolds Group Holdings, Inc., Term Loan D, WI/DD	TBD	TBD	Ba3	905,412
1,050		Total Containers & Packaging				1,055,693
		Diversified Consumer Services - 0.1%
950		Cengage Learning Acquisitions, Inc., Term Loan	2.540%	7/03/14	B+	856,119
		Diversified Financial Services - 0.1%
1,050		Pinafore LLC, Term Loan, WI/DD	TBD	TBD	BB	1,060,824
		Electric Utilities - 0.3%
607		Calpine Corporation, DIP Term Loan	3.165%	3/29/14	B+	593,788
1,940		TXU Corporation, Term Loan B2	3.923%	10/10/14	B+	1,509,832
2,507		TXU Corporation, Term Loan B3	3.758%	10/10/14	B+	1,945,597
5,054		Total Electric Utilities				4,049,217
		Electrical Equipment - 0.1%
1,620		Allison Transmission Holdings, Inc., Term Loan	3.020%	8/07/14	B	1,523,968
		Food Products - 0.2%
900		NBTY, Inc., Term Loan, WI/DD	TBD	TBD	BB-	910,446
1,000		Pierre Foods, Inc., Term Loan, WI/DD	TBD	TBD	B+	990,000
1,900		Total Food Products				1,900,446
		Health Care Providers & Services - 0.5%
124		Community Health Systems, Inc., Delayed Term Loan	2.549%	7/25/14	BB	118,118
2,485		Community Health Systems, Inc., Term Loan	2.549%	7/25/14	BB	2,361,175
471		Concentra, Inc., Term Loan	2.540%	6/25/14	Ba3	457,033
1,061		Health Management Associates, Inc., Term Loan	2.039%	2/28/14	BB-	1,004,202
272		IASIS Healthcare LLC, Delayed Term Loan	2.256%	3/14/14	Ba2	261,177
74		IASIS Healthcare LLC, Letter of Credit	2.256%	3/14/14	Ba2	71,250
786		IASIS Healthcare LLC, Term Loan	2.256%	3/14/14	Ba2	754,603
1,123		Select Medical Corporation, Term Loan B2	2.339%	2/24/12	Ba2	1,109,367
585		Select Medical Corporation, Term Loan	2.339%	2/24/12	Ba2	577,997
6,981		Total Health Care Providers & Services				6,714,922
		Hotels, Restaurants & Leisure - 0.6%
2,152		CCM Merger, Inc., Term Loan B	8.500%	7/13/12	BB-	2,135,740
991		Harrah's Operating Company, Inc., Term Loan B2	3.498%	1/28/15	B	856,313
939		Orbitz Worldwide, Inc., Term Loan	3.324%	7/25/14	B+	896,794
1,945		Travelport LLC, Delayed Term Loan	2.760%	8/23/13	Ba3	1,876,304
134		Travelport LLC, Letter of Credit	2.789%	8/23/13	Ba3	129,460
669		Travelport LLC, Term Loan	2.760%	8/23/13	Ba3	645,201
379		Venetian Casino Resort LLC, Delayed Term Loan	3.030%	11/23/16	B	344,885
1,112		Venetian Casino Resort LLC, Tranche B, Term Loan	3.030%	11/23/16	B	1,013,022
8,321		Total Hotels, Restaurants & Leisure				7,897,719
		Insurance - 0.2%
2,236		Conseco, Inc., Term Loan	7.500%	10/10/13	B2	2,200,634
		IT Services - 0.5%
2,029		First Data Corporation, Term Loan B1	3.006%	9/24/14	B+	1,790,850
483		Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan, WI/DD	TBD	TBD	B+	445,908
1,189		Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Draw Term Loan, DD1	6.010%	7/28/15	B+	1,052,472
476		Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien, WI/DD	TBD	TBD	B+	439,714
2,279		Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, DD1	6.010%	7/28/15	B+	2,074,264
1,179		SunGard Data Systems, Inc., Term Loan B	2.008%	2/28/14	BB	1,140,479
7,635		Total IT Services				6,943,687
		Leisure Equipment & Products - 0.1%
735		Cedar Fair LP, Term Loan	5.500%	12/15/16	Ba2	742,621
576		Herbst Gaming, Inc., Delayed Term Loan, (7)	10.500%	12/02/11	N/R	320,628
663		Herbst Gaming, Inc., Term Loan, (7)	10.500%	12/02/11	N/R	369,016
1,974		Total Leisure Equipment & Products				1,432,265
		Media - 1.2%
744		Cequel Communications LLC, Term Loan B	2.258%	11/05/13	BB-	724,950
3,207		Charter Communications Operating Holdings LLC, Term Loan C	3.540%	9/06/16	BB+	3,136,826
395		Charter Communications Operating Holdings LLC, Term Loan	2.260%	3/06/14	BB+	386,258
913		Citadel Broadcasting Corporation, Term Loan, (8)	11.000%	6/03/15	BB+	965,696
1,159		Gray Television, Inc., Term Loan B	3.760%	12/31/14	B	1,113,552
3,134		Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, (7), (8)	18.500%	4/09/12	N/R	1,382,870
51		Nielsen Finance LLC, Term Loan A	2.258%	8/09/13	BB-	49,471
1,859		Nielsen Finance LLC, Term Loan B	4.008%	5/02/16	BB-	1,815,272
823		Nielsen Finance LLC, Term Loan C	4.008%	5/02/16	BB-	794,234
944		Philadelphia Newspapers, Term Loan, (7), (9)	6.500%	6/29/13	N/R	259,628
352		SuperMedia, Term Loan	11.000%	12/31/15	B-	274,970
1,425		Tribune Company, Term Loan B, (7), (9)	3.000%	6/04/14	Ca	932,358
5,529		Univision Communications, Inc., Term Loan	2.506%	9/29/14	B2	4,857,970
20,535		Total Media				16,694,055
		Metals & Mining - 0.1%
1,948		John Maneely Company, Term Loan	3.775%	12/09/13	B	1,902,565
		Oil, Gas & Consumable Fuels - 0.3%
2,925		CCS Income Trust, Term Loan	3.256%	11/14/14	B	2,529,962
1,891		Venoco, Inc., Term Loan	4.313%	5/07/14	BB-	1,780,544
4,816		Total Oil, Gas & Consumable Fuels				4,310,506
		Pharmaceuticals - 0.2%
1,000		Royalty Pharma Finance Trust, Unsecured Term Loan	7.750%	5/15/15	Baa3	1,050,000
906		Warner Chilcott Corporation, Term Loan B3	6.500%	2/22/16	BB	911,056
294		Warner Chilcott Corporation, Term Loan B4	6.500%	2/22/16	BB	295,825
2,200		Total Pharmaceuticals				2,256,881
		Real Estate Management & Development - 0.2%
1,633		LNR Property Corporation, Term Loan B	3.760%	7/12/11	B2	1,589,252
1,709		Realogy Corporation, Delayed Term Loan	3.309%	10/10/13	B1	1,527,676
3,342		Total Real Estate Management & Development				3,116,928
		Road & Rail - 0.2%
998		Hertz Corporation, Term Loan, WI/DD	TBD	TBD	Ba1	977,549
1,900		Swift Transportation Company, Inc., Term Loan	8.250%	5/12/14	B	1,859,742
2,898		Total Road & Rail				2,837,291
		Software - 0.1%
904		IPC Systems, Inc., Term Loan	2.526%	6/02/14	B1	807,222
		Specialty Retail - 0.5%
1,736		Toys "R" Us - Delaware, Inc., Term Loan	6.000%	9/01/16	BB-	1,741,510
2,313		Burlington Coat Factory Warehouse Corporation, Term Loan	2.535%	5/28/13	B-	2,231,560
1,049		Michaels Stores, Inc., Term Loan B1	2.634%	10/31/13	B	1,015,146
1,411		Michaels Stores, Inc., Term Loan B2	4.884%	7/31/16	B	1,386,154
6,509		Total Specialty Retail				6,374,370
		Wireless Telecommunication Services - 0.1%
2,000		Clear Channel Communications, Inc., Tranche B, Term Loan	3.906%	11/13/15	Caa1	1,582,750
$	95,788	Total Variable Rate Senior Loan Interests (cost $89,170,270)				86,686,584

Principal
Amount (000)		Description (1)	Coupon	Maturity	Ratings (4)	Value
		Convertible Bonds - 9.9% (7.5% of Total Investments)
		Aerospace & Defense - 0.2%
$	500	Alliant Techsystems Inc., Convertible Bonds	2.750%	9/15/11	BB-	$ 508,125
400		Alliant Techsystems Inc., Convertible Bonds	2.750%	2/15/24	BB-	402,500
1,270		L-3 Communications Corporation, Convertible Bond	3.000%	8/01/35	BB+	1,285,875
2,170		Total Aerospace & Defense				2,196,500
		Auto Components - 0.1%
700		BorgWarner Inc.	3.500%	4/15/12	BBB	1,169,000
		Automobiles - 0.4%
2,950		Ford Motor Company, Convertible Bonds	4.250%	11/15/16	B	4,417,625
500		Ford Motor Company, Convertible Bonds	4.250%	12/15/36	B	744,375
3,450		Total Automobiles				5,162,000
		Beverages - 0.0%
400		Molson Coors Brewing Company, Convertible Notes	2.500%	7/30/13	BBB-	451,500
		Biotechnology - 0.2%
2,575		Amgen Inc.	0.375%	2/01/13	A+	2,565,344
600		BioMarin Pharmaceutical Inc.	1.875%	4/23/17	B-	748,500
3,175		Total Biotechnology				3,313,844
		Capital Markets - 0.0%
600		Affiliated Managers Group Inc.	3.950%	8/15/38	BBB-	610,500
		Commercial Banks - 0.3%
2,460		National City Corporation, Convertible Senior Notes	4.000%	2/01/11	A	2,493,825
450		SVB Financial Group, Convertible Bond, 144A	3.875%	4/15/11	A3	457,875
850		U.S. Bancorp, Convertible Bonds, Floating Rate	0.000%	12/11/35	Aa3	848,428
3,760		Total Commercial Banks				3,800,128
		Commercial Services & Supplies - 0.1%
450		Covanta Holding Corporation, Convertible Bonds	3.250%	6/01/14	Ba3	507,938
750		Covanta Holding Corporation, Convertible Bonds	1.000%	2/01/27	Ba3	728,438
1,200		Total Commercial Services & Supplies				1,236,376
		Communications Equipment - 0.2%
600		Ciena Corporation, Convertible Bond	0.250%	5/01/13	B	538,500
600		Ciena Corporation, Convertible Bond	0.875%	6/15/17	B	440,250
450		CommScope Inc.	3.250%	7/01/15	B	513,563
850		Liberty Media Corporation, Senior Debentures, Exchangeable for Motorola Common Stock	3.500%	1/15/31	BB-	455,753
700		Lucent Technologies Inc., Series B	2.875%	6/15/25	B1	637,875
3,200		Total Communications Equipment				2,585,941
		Computers & Peripherals - 0.5%
1,400		EMC Corporation, Convertible Bonds, 144A	1.750%	12/01/11	A-	1,844,500
700		EMC Corporation, Convertible Bonds, 144A	1.750%	12/01/13	A-	966,875
700		EMC Corporation, Convertible Bonds	1.750%	12/01/11	A-	922,250
1,200		EMC Corporation, Convertible Bonds	1.750%	12/01/13	A-	1,657,500
1,250		Sandisk Corporation, Convertible Bond	1.000%	5/15/13	BB-	1,153,125
5,250		Total Computers & Peripherals				6,544,250
		Construction & Engineering - 0.0%
250		Fluor Corporation, Convertible Bonds	1.500%	2/15/24	A3	445,938
		Consumer Finance - 0.0%
350		Americredit Corporation	0.750%	9/15/11	B-	350,000
		Diversified Consumer Services - 0.0%
400		Sotheby's Holdings Inc., Convertible Bond	3.125%	6/15/13	BB-	504,500
		Diversified Financial Services - 0.1%
800		NASDAQ Stock Market Inc., Convertible Bond	2.500%	8/15/13	BBB	793,000
500		PHH Corporation	4.000%	4/15/12	Ba2	586,875
1,300		Total Diversified Financial Services				1,379,875
		Diversified Telecommunication Services - 0.2%
1,200		Qwest Communications International Inc.	3.500%	11/15/25	Ba3	1,579,500
450		Time Warner Telecom Inc., Convertible Bond	2.375%	4/01/26	B-	527,625
1,650		Total Diversified Telecommunication Services				2,107,125
		Electrical Equipment - 0.1%
650		General Cable Corporation, Convertible Bonds	0.875%	11/15/13	Ba3	585,813
462		General Cable Corporation, Convertible Bonds	4.500%	11/15/29	B	466,043
550		Roper Industries Inc.	0.000%	1/15/34	BB+	437,250
1,662		Total Electrical Equipment				1,489,106
		Electronic Equipment & Instruments - 0.1%
600		Anixter International Inc., Convertible Bond	0.000%	7/07/33	B+	489,750
500		Itron Inc.	2.500%	8/01/26	B-	560,625
900		Tech Data Corporation, Convertible Bonds	2.750%	12/15/26	BBB-	921,375
2,000		Total Electronic Equipment & Instruments				1,971,750
		Energy Equipment & Services - 0.9%
1,950		Bristow Group Convertible Bond	3.000%	6/15/38	BB	1,769,625
550		Cameron International Corporation, Convertible Bonds	2.500%	6/15/26	BBB+	712,938
450		Exterran Holdings Inc., Convertible Bond	4.250%	6/15/14	BB	541,125
1,200		Nabors Industries Inc., 144A	0.940%	5/15/11	BBB	1,195,500
1,300		Nabors Industries Inc.	0.940%	5/15/11	BBB	1,295,125
650		SESI LLC, Convertible Bond, 144A	1.500%	12/15/26	BB+	632,938
1,300		Transocean Inc., Convertible Bond	1.625%	12/15/37	BBB	1,296,750
2,800		Transocean Inc.	1.500%	12/15/37	BBB	2,754,500
2,675		Transocean Inc.	1.500%	12/15/37	BBB	2,571,344
12,875		Total Energy Equipment & Services				12,769,845
		Food Products - 0.2%
400		Archer Daniels Midland Company, Convertible Bonds, 144A	0.875%	2/15/14	A	420,500
1,000		Archer Daniels Midland Company, Convertible Bonds	0.875%	2/15/14	A	1,051,250
450		Chiquita Brands International Inc., Convertible Bond	4.250%	8/15/16	B	426,938
550		Smithfield Foods Inc., Convertible Bond	4.000%	6/30/13	B-	583,000
700		Tyson Foods inc., Convertible Bond	3.250%	10/15/13	BB+	828,625
3,100		Total Food Products				3,310,313
		Health Care Equipment & Supplies - 0.7%
300		Alere Inc., Convertible Bond	3.000%	5/15/16	B-	286,125
200		Beckman Coulter Inc., Convertible Bonds, 144A	2.500%	12/15/36	BBB	204,250
700		Beckman Coulter Inc., Convertible Bonds	2.500%	12/15/36	BBB	714,875
2,600		Hologic Inc.	2.000%	12/15/37	BB+	2,418,000
850		Kinetic Concepts Inc., Convertible Bond, 144A	3.250%	4/15/15	BB-	855,313
1,700		Medtronic, Inc., Convertible Bond	1.500%	4/15/11	AA-	1,710,625
2,750		Medtronic, Inc., Convertible Bond	1.625%	4/15/13	AA-	2,760,313
9,100		Total Health Care Equipment & Supplies				8,949,501
		Health Care Providers & Services - 0.6%
550		AmeriGroup Corporation, Convertible Bond	2.000%	5/15/12	BB	633,875
450		LifePoint Hospitals, Inc., Convertible Bond	3.250%	8/15/25	B	441,563
875		LifePoint Hospitals, Inc., Convertible Bonds	3.500%	5/15/14	B	875,000
5,820		Omnicare, Inc.	3.250%	12/15/35	B+	5,034,300
400		PSS World Medical Inc. Convertible Note, 144A	3.125%	8/01/14	BB	474,000
8,095		Total Health Care Providers & Services				7,458,738
		Hotels, Restaurants & Leisure - 0.3%
1,250		Carnival Corporation	2.000%	4/15/21	A3	1,279,688
300		Host Hotels and Resorts Inc., Convertible Bond, 144A	2.500%	10/15/29	BB+	366,375
1,150		International Game Technology	3.250%	5/01/14	BBB	1,256,375
400		Wyndham Worldwide Corporation, Convertible Bond	3.500%	5/01/12	BBB-	892,500
3,100		Total Hotels, Restaurants & Leisure				3,794,938
		Household Durables - 0.1%
500		D.R. Horton, Inc.	2.000%	5/15/14	BB-	551,250
400		Lennar Corporation	2.000%	12/01/20	BB-	378,500
900		Total Household Durables				929,750
		Independent Power Producers & Energy Traders - 0.1%
450		Allegheny Technologies Inc., Convetible Bond	4.250%	6/01/14	BBB-	613,125
		Industrial Conglomerates - 0.1%
650		Textron Inc.	4.500%	5/01/13	BBB-	1,111,500
		Insurance - 0.0%
400		Old Republic International Corporation	8.000%	5/15/12	BBB+	522,500
		Internet Software & Services - 0.1%
750		Equinix Inc., Convertible Bond	3.000%	10/15/14	B-	831,563
600		Equinix Inc.t	4.750%	6/15/16	B-	853,500
1,350		Total Internet Software & Services				1,685,063
		IT Services - 0.1%
250		Macrovision Corporation, Convertible Bonds	2.625%	8/15/11	BB-	450,938
400		Verifone Holdings Inc.	1.375%	6/15/12	B	398,000
650		Total IT Services				848,938
		Life Sciences Tools & Services - 0.1%
550		Charles River Laboratories International, Inc.	2.250%	6/15/13	BB+	541,063
450		Invitrogen Corporation, Convertible Bond	1.500%	2/15/24	BBB-	510,188
1,000		Total Life Sciences Tools & Services				1,051,251
		Machinery - 0.2%
900		Danaher Corporation, Convertible Bonds	0.000%	1/22/21	A+	1,066,500
350		Ingersoll Rand	4.500%	4/15/12	BBB+	714,875
650		Navistar International Corporation, Convertible Bond	3.000%	10/15/14	B1	733,688
250		Terex Corporation	4.000%	6/01/15	B	393,438
2,150		Total Machinery				2,908,501
		Media - 0.2%
850		Interpublic Group Companies Inc., Convertible Notes	4.250%	3/15/23	BB	924,375
1,200		Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1	4.000%	11/15/29	BB-	691,500
550		Liberty Media Corporation	3.125%	3/30/23	BB-	608,438
750		Omnicom Group Inc., Convertible Bond	0.000%	7/01/38	BBB+	747,188
3,350		Total Media				2,971,501
		Metals & Mining - 0.6%
500		Alcoa Inc., Convertible Bond	5.250%	3/15/14	Baa3	1,005,625
3,000		Gold Reserve, Inc., Convertible Bonds	5.500%	6/15/22	N/R	2,265,000
250		Newmont Mining Corp., Senior Convertible Note	1.625%	7/15/17	BBB+	370,000
650		Newmont Mining Corporation, 144A	1.625%	7/15/17	BBB+	962,000
900		Newmont Mining Corporation	1.250%	7/15/14	BBB+	1,315,125
350		Steel Dynamics, Inc.	5.125%	6/15/14	BB+	397,688
950		United States Steel Corporation	4.000%	5/15/14	BB	1,470,125
6,600		Total Metals & Mining				7,785,563
		Multiline Retail - 0.0%
450		Saks, Inc., Convertible Bonds	2.000%	3/15/24	B+	417,938
		Oil, Gas & Consumable Fuels - 0.7%
550		Alpha Natural Resouces Inc., Convertible Bond	2.375%	4/15/15	BB	617,375
600		Chesapeake Energy Corporation, Convertible Bonds	2.750%	11/15/35	BB	572,250
1,100		Chesapeake Energy Corporation, Convertible Bonds	2.500%	5/15/37	BB	962,500
1,100		Chesapeake Energy Corporation, Convertible Bonds	2.250%	12/15/38	BB	851,125
1,620		Goodrich Petroleum Corporation, Convertible	5.000%	10/01/29	N/R	1,482,300
750		Massey Energy Company, Convertible Bond	3.250%	8/01/15	BB-	669,375
1,150		Peabody Energy Corp., Convertible Bond	4.750%	12/15/66	Ba3	1,288,000
450		Penn Virginia Corporation	4.500%	11/15/12	B	441,000
700		Pioneer Natural Resouces Company, Convertible Bond	2.875%	1/15/38	BB+	880,250
1,550		USEC Inc., Convertible Bond	3.000%	10/01/14	Caa2	1,234,188
9,570		Total Oil, Gas & Consumable Fuels				8,998,363
		Pharmaceuticals - 0.5%
825		Allergan Inc., Convertible Bond	1.500%	4/01/26	A+	946,688
700		King Pharmaceuticals Inc., Convertible Bonds	1.250%	4/01/26	BB	658,000
850		Mylan Labs, Inc., Convertible Bonds, 144A	3.750%	9/15/15	BB-	1,344,063
750		Mylan Labs, Inc., Convertible Bonds	1.250%	3/15/12	BB-	780,938
1,300		Teva Pharmaceutical Finance Company B.V., Series D	1.750%	2/01/26	A-	1,524,250
450		Teva Pharmaceutical Finance Company LLC, Convertible Bonds	0.250%	2/01/26	A-	547,875
200		Valeant Pharmaceuticals International Convertible Bond	4.000%	11/15/13	B	383,250
5,075		Total Pharmaceuticals				6,185,064
		Real Estate - 0.8%
1,700		Boston Properties Limited Partnership, Convertible Bonds, 144A	3.625%	2/15/14	A-	1,806,250
1,250		Boston Properties Limited Partnership, Convertible Bonds, 144A	2.875%	2/15/37	A-	1,268,750
250		Boston Properties Limited Partnership, Convertible Bonds	2.875%	2/15/37	A2	253,750
450		Duke Realty Corporation, Series D, 144A	3.750%	12/01/11	BBB-	456,750
600		ERP Operating LP	3.850%	8/15/26	BBB+	617,760
250		Health Care REIT, Inc., Convertible Bonds	4.750%	12/01/26	Baa2	277,813
300		Health Care REIT, Inc., Convertible Bonds	4.750%	7/15/27	Baa2	333,750
1,200		Host Hotels and Resorts Inc., Convertible Bond, 144A	2.625%	4/15/27	BB+	1,176,000
600		Host Marriot LP, Convertible Bonds, 144A	3.250%	4/15/24	BB+	630,000
350		Prologis Trust, Convertible Bonds, 144A	2.250%	4/01/37	BBB-	340,375
1,750		Prologis Trust, Convertible Bonds	2.250%	4/01/37	BBB-	1,701,875
400		Rayonier Trust Holdings Inc., Convertible Bond	3.750%	10/15/12	BBB	439,500
250		Ventas Inc., Convertible Bond, 144A	3.875%	11/15/11	BBB-	299,688
1,150		Vornado Realty, Convertible Bond	3.875%	4/15/25	BBB	1,319,625
10,500		Total Real Estate				10,921,886
		Semiconductors & Equipment - 0.9%
3,152		Advanced Micro Devices, Inc., Convertible Bonds, 144A	6.000%	5/01/15	B+	3,116,540
924		Advanced Micro Devices, Inc., Convertible Bonds	5.750%	8/15/12	B+	944,790
1,700		Intel Corporation, Convertible Bond	2.950%	12/15/35	A-	1,689,372
2,550		Intel Corporation, Convertible Bond	3.250%	8/01/39	A2	2,989,872
2,400		Micron Technology, Inc.	1.875%	6/01/14	B	2,145,000
1,000		ON Semiconductor Corporation	2.625%	12/15/26	B+	1,013,750
450		Xilinx Inc., Convertible Bond, 144A	3.125%	3/15/37	BB	440,437
150		Xilinx Inc., Convertible Bond	3.125%	3/15/37	BB	146,813
12,326		Total Semiconductors & Equipment				12,486,574
		Software - 0.0%
450		Nuance Communications Inc.	2.750%	8/15/27	B-	491,060
		Specialty Retail - 0.1%
700		Best Buy Co., Inc.	2.250%	1/15/22	Baa3	770,873
		Textiles, Apparel & Luxury Goods - 0.0%
500		Iconix Brand Group, Inc., Convertible Notes, 144A	1.875%	6/30/12	B+	488,123
		Trading Companies & Distributors - 0.0%
386		WESCO International Inc., Convertible Bond	6.000%	9/15/29	B	627,730
		Wireless Telecommunication Services - 0.1%
1,250		Liberty Media Corporation, Convertible Bonds	3.750%	2/15/30	BB-	706,250
$	126,494	Total Convertible Bonds (cost $123,382,994)				134,123,221

Principal
Amount (000)		Description (1)	Coupon	Maturity	Ratings (4)	Value
		Corporate Bonds - 11.5% (8.7% of Total Investments)
		Aerospace & Defense - 0.2%
$	600	Bombardier Inc., CLass B Shares, 144A	7.500%	3/15/18	BB+	$ 648,000
1,200		Hawker Beechcraft Acquisition Company	8.500%	4/01/15	CCC-	931,500
1,000		Hexcel Corporation, Term Loan	6.750%	2/01/15	B+	1,007,500
2,800		Total Aerospace & Defense				2,587,000
		Airlines - 0.1%
900		Continental Airlines, inc., 144A	6.750%	9/15/15	Ba2	916,875
900		United Airlines Inc., 144A	12.000%	11/01/13	B3	999,000
1,800		Total Airlines				1,915,875
		Auto Components - 0.3%
1,200		Cooper Standard Automitve	8.500%	5/01/18	B+	1,251,000
1,800		Titan Wheels International Inc., 144A, WI/DD	7.875%	10/01/17	B1	1,827,000
600		TRW Automotive Inc., 144A	8.875%	12/01/17	BB	660,000
3,600		Total Auto Components				3,738,000
		Building Products - 0.0%
600		Libbey Glass Inc., 144A	10.000%	2/15/15	B	648,000
		Capital Markets - 0.0%

200		Man Group PLC	5.000%	8/09/17	Baa3	169,796
		Chemicals - 0.7%
2,850		Hexion US Finance Corporation	8.875%	2/01/18	B3	2,807,250
2,250		Momentive Performance Materials	9.750%	12/01/14	Caa1	2,317,500
1,200		NOVA Chemicals Corporation	8.625%	11/01/19	B+	1,279,500
450		Phibro Animal Health Corporation, 144A	9.250%	7/01/18	B	468,000
2,100		Rockwood Specialties Group Inc., Series WI	7.500%	11/15/14	B	2,157,750
600		Solutia Inc.	7.875%	3/15/20	B+	644,250
9,450		Total Chemicals				9,674,250
		Commercial Banks - 0.4%
1,400		Den Norske Bank	0.875%	2/18/35	Baa1	829,500
1,400		Den Norske Bank	0.541%	2/24/37	Baa1	819,000
4,100		LBG Capital I PLC, 144A	7.875%	11/01/20	BB-	4,059,000
6,900		Total Commercial Banks				5,707,500
		Commercial Services & Supplies - 0.3%
450		International Lease Finance Corporation, 144A	8.625%	9/15/15	BB+	482,625
1,500		International Lease Finance Corporation, 144A	8.750%	3/15/17	BB+	1,612,500
1,200		Ticketmaster	10.750%	8/01/16	B1	1,320,000
3,150		Total Commercial Services & Supplies				3,415,125
		Communications Equipment - 0.1%
450		Avaya Inc.	10.125%	11/01/15	CCC+	428,625
1,200		IntelSat Bermuda Limited	11.250%	2/04/17	CCC+	1,291,500
1,650		Total Communications Equipment				1,720,125
		Construction Materials - 0.1%
1,800		Headwaters Inc.	11.375%	11/01/14	B+	1,926,000
		Consumer Finance - 0.0%
300		GMAC Inc.	8.000%	3/15/20	B	328,500
		Containers & Packaging - 0.0%
600		Boise Paper Holdings Company	8.000%	4/01/20	BB-	624,000
		Diversified Financial Services - 0.1%
900		Ally Financial Inc.	7.500%	9/15/20	B	963,000
950		CIT Group Inc.	7.000%	5/01/17	B+	934,563
1,850		Total Diversified Financial Services				1,897,563
		Diversified Telecommunication Services - 0.6%
1,200		Cequel Communication Holdings I, 144A	8.625%	11/15/17	B-	1,272,000
2,350		Cincinnati Bell Inc.	8.250%	10/15/17	B2	2,385,250
1,200		Frontier Communications Corporation	8.500%	4/15/20	BB	1,330,500
350		Insight Communications, 144A	9.375%	7/15/18	B-	373,625
1,200		IntelSat Jackson Holding, 144A	7.250%	10/15/20	B+	1,212,000
1,200		Windstream Corporation	7.875%	11/01/17	Ba3	1,257,000
7,500		Total Diversified Telecommunication Services				7,830,375
		Electric Utilities - 0.2%
600		Calpine Corporation, 144A	7.875%	7/31/20	B+	619,500
1,000		Sierra Pacific Resources, Series 2006	6.750%	8/15/17	BB	1,034,302
1,800		Texas Competitive Electric Holdings	10.250%	11/01/15	CCC	1,188,000
3,400		Total Electric Utilities				2,841,802
		Electrical Equipment - 0.1%
900		Energy Future Holdings	10.000%	1/15/20	B+	897,984
		Electronic Equipment & Instruments - 0.1%
1,200		Kemet Corporation, Convertible Bonds, 144A	10.500%	5/01/18	B1	1,261,500
		Energy Equipment & Services - 0.1%
1,200		Hercules Offshore LLC, 144A	10.500%	10/15/17	B2	1,002,000
		Food & Staples Retailing - 0.2%
2,000		Stater Brothers Holdings Inc.	8.125%	6/15/12	B+	2,012,500
		Food Products - 0.4%
1,200		Dole Foods Company, 144A	8.000%	10/01/16	B+	1,261,500
2,700		Dole Foods Company	8.750%	7/15/13	B-	2,882,250
600		Tops Markets, 144A	10.125%	10/15/15	B	647,250
4,500		Total Food Products				4,791,000
		Health Care Equipment & Supplies - 0.0%
500		Biomet Inc.	10.000%	10/15/17	B-	554,375
		Health Care Providers & Services - 0.8%
450		Capella Healthcare Inc., 144A	9.250%	7/01/17	B	482,625
2,000		Community Health Systems, Inc.	8.875%	7/15/15	B	2,130,000
1,000		HCA Inc.	9.250%	11/15/16	BB-	1,085,000
1,800		HCA Inc.	8.500%	4/15/19	BB	2,016,000
4,050		Select Medical Corporation	7.625%	2/01/15	B-	3,974,063
1,800		Select Medical Corporation	6.237%	9/15/15	CCC+	1,597,500
11,100		Total Health Care Providers & Services				11,285,188
		Hotels, Restaurants & Leisure - 1.0%
1,875		Boyd Gaming Corporation	7.750%	12/15/12	B-	1,893,750
1,200		CCM Merger Inc., 144A	8.000%	8/01/13	CCC+	1,104,000
1,200		GWR Operating Partnership, 144A	10.875%	4/01/17	BB-	1,227,000
2,250		Harrah's Operating Company, Inc.	11.250%	6/01/17	B	2,475,000
900		Landry's Restaurants Inc.	11.625%	12/01/15	B	954,000
300		MGM Mirage Inc., 144A	9.000%	3/15/20	B1	317,250
450		MGM Mirage Inc.	6.750%	9/01/12	CCC+	427,500
600		Peninsula Gaming LLC	8.375%	8/15/15	BB	627,000
600		Penn National Gaming Inc.	8.750%	8/15/19	BB-	640,500
1,200		Pinnacle Entertainment Inc.	8.750%	5/15/20	B	1,188,000
1,750		Seminole Hard Rock Entertainment, Inc., 144A	2.793%	3/15/14	BB	1,544,375
600		Universal City Development Partners	8.875%	11/15/15	B3	621,750
12,925		Total Hotels, Restaurants & Leisure				13,020,125
		Household Products - 0.1%
1,650		Central Garden & Pet Company, Senior Subordinate Notes	8.250%	3/01/18	B	1,693,313
		Independent Power Producers & Energy Traders - 0.1%
1,000		NRG Energy Inc.	7.375%	1/15/17	BB-	1,027,500
		Internet Software & Services - 0.1%
2,000		Open Solutions Inc., 144A	9.750%	2/01/15	CCC+	1,420,000
		IT Services - 0.8%
750		Fidelity National Information Services Inc., 144A	7.875%	7/15/20	Ba2	811,875
600		Fidelity National Information Services Inc.	7.625%	7/15/17	Ba2	643,500
1,800		First Data Corporation, 144A	8.875%	8/15/20	B+	1,876,500
1,330		First Data Corporation, DD1	10.550%	9/24/15	B-	1,082,238
1,631		Global Cash Access LLC	8.750%	3/15/12	B	1,622,845
600		ManTech International Company	7.250%	4/15/18	BB+	625,500
1,050		Seagate HDD Cayman	6.875%	5/01/20	BB+	1,031,625
2,250		Sungard Data Systems Inc.	9.125%	8/15/13	B	2,309,063
10,011		Total IT Services				10,003,146
		Machinery - 0.2%
3,000		Greenbrier Companies, Inc.	8.375%	5/15/15	CCC	2,925,000
		Media - 0.4%
600		Allbritton Communications Company, 144A	8.000%	5/15/18	B	604,500
2,000		AMC Entertainment Inc.	8.000%	3/01/14	CCC+	2,027,500
450		Cablevision Systems Corporation	7.750%	4/15/18	B+	478,125
300		Cablevision Systems Corporation	8.000%	4/15/20	B+	324,375
1,050		Clear Channel Communications, Inc.	10.750%	8/01/16	CCC-	824,250
450		Clear Channel Worldwide Holdings Inc., 144A	9.250%	12/15/17	B	482,625
4,000		Medianews Group Inc., (10), (16)	6.375%	4/01/14	CC	400
300		NexStar Mission Broadcast, 144A	8.875%	4/15/17	B	314,250
900		Nielsen Finance LLC Co, WI/DD	7.750%	10/15/18	B	893,403
10,050		Total Media				5,949,428
		Metals & Mining - 0.5%
600		Consol Energy Inc., 144A	8.000%	4/01/17	BB	652,500
600		Consol Energy Inc., 144A	8.250%	4/01/20	BB	658,500
900		Essar Steel Algoma Inc., 144A	9.375%	3/15/15	B+	909,000
5,200		MagIndustries Corporation, (10)	11.000%	12/14/12	N/R	5,092,137
7,300		Total Metals & Mining				7,312,137
		Multiline Retail - 0.7%
3,150		Neiman Marcus Group Inc., Term Loan	9.000%	10/15/15	B-	3,287,813
2,950		Sears Holding Corporation, 144A, WI/DD	6.625%	10/15/18	BB+	2,973,040
1,200		Sprectum Brands Inc., 144A	9.500%	6/15/18	B	1,288,500
1,500		Toys R Us Property Company II LLC, 144A	8.500%	12/01/17	Ba1	1,593,750
8,800		Total Multiline Retail				9,143,103
		Multi-Utilities - 0.1%
1,200		Bon-Ton Department Stores Inc.	10.250%	3/15/14	CCC+	1,188,000
		Oil, Gas & Consumable Fuels - 0.6%
600		Anadarko Petroleum Corporation	6.375%	9/15/17	BBB-	662,110
650		Chaparral Energy Inc.	8.500%	12/01/15	B+	635,375
2,400		Chaparral Energy Inc.	8.875%	2/01/17	B+	2,346,000
900		OPTI Canada Inc.	7.875%	12/15/14	B-	681,750
450		Western Refining Inc., 144A	10.750%	6/15/14	BB-	429,750
1,050		Western Refining Inc.	11.250%	6/15/17	B	992,250
1,500		Whiting Petroleum Corporation	7.000%	2/01/14	BB	1,590,000
7,550		Total Oil, Gas & Consumable Fuels				7,337,235
		Paper & Forest Products - 0.1%
1,000		Georgia-Pacific Corporation	7.700%	6/15/15	BB	1,112,500
900		Solo Cup Company	8.500%	2/15/14		776,250
1,900		Total Paper & Forest Products				1,888,750
		Personal Products - 0.2%
1,800		Prestige Brands Inc.	8.250%	4/01/18	B+	1,872,000
600		Revlon Consumer Products	9.750%	11/15/15	B-	633,000
2,400		Total Personal Products				2,505,000
		Pharmaceuticals - 0.1%
900		Angiotech Pharmaceuticals Inc., (11)	7.750%	4/01/14	C	335,250
900		Mylan Inc., 144A	7.875%	7/15/20	BB-	968,625
600		Warner Chilcott Company LLC, 144A	7.750%	9/15/18	B+	619,500
2,400		Total Pharmaceuticals				1,923,375
		Real Estate - 0.1%
1,200		Entertainment Properties Trust, 144A	7.750%	7/15/20	Baa3	1,219,500
		Road & Rail - 0.2%
900		Avis Budget Car Rental	9.625%	3/15/18	B	956,250
1,800		Swift Transportation Company, 144A	8.126%	5/15/15	CCC	1,687,500
2,700		Total Road & Rail				2,643,750
		Semiconductors & Equipment - 0.2%
450		Amkor Technology Inc., 144A	7.375%	5/01/18	BB-	457,875
2,000		Freescale Semiconductor Inc.	9.250%	4/15/18	B2	2,090,000
300		NXP BV	3.276%	10/15/13	CCC+	284,625
2,750		Total Semiconductors & Equipment				2,832,500
		Specialty Retail - 0.4%
900		Brookstone Company Inc.	12.000%	10/15/12	Caa3	778,500
1,350		Claires Stores, Inc.	9.250%	6/01/15	CCC+	1,236,935
1,200		Claires Stores, Inc.	10.500%	6/01/17	CCC	1,041,000
300		Express LLC	8.750%	3/01/18	B	318,000
1,200		Michael's Stores	11.375%	11/01/16	CCC	1,309,500
4,950		Total Specialty Retail				4,683,935
		Textiles, Apparel & Luxury Goods - 0.1%
600		Hanesbrands Inc.	8.000%	12/15/16	B+	636,750
		Wireless Telecommunication Services - 0.7%
1,500		Clearwire Communications Finance	12.000%	12/01/15	B-	1,627,500
1,500		IPCS, Inc.	2.591%	5/01/13	Ba2	1,432,500
3,550		Sprint Nextel Corporation	8.375%	8/15/17	BB-	3,869,500
750		Syniverse Technologies Inc., Series B	7.750%	8/15/13	B	769,686
1,200		Trilogy International Partners LLC	10.250%	8/15/16	CCC+	1,122,000
8,500		Total Wireless Telecommunication Services				8,821,186
$	159,886	Total Corporate Bonds (cost $150,802,556)				155,002,191

Principal
Amount (000)/
Shares		Description (1)	Coupon	Maturity	Ratings (4)	Value
		Capital Preferred Securities - 23.8% (18.1% of Total Investments)
		Capital Markets - 0.1%
$	1,600	Credit Suisse Guernsey	1.066%	5/15/17	A3	$ 1,130,000
300		Goldman Sachs Group, Inc.	6.345%	2/15/34	A3	290,056
		Total Capital Markets				1,420,056
		Commercial Banks - 10.6%
9,350		AgFirst Farm Credit Bank	7.300%	12/15/53	A	8,196,117
2,320		Banco Santander Finance	10.500%	9/29/49	A-	2,635,010
7,675		Barclays Bank PLC, 144A	7.434%	12/15/17	A-	7,905,250
2,000		Barclays Bank PLC, 144A	6.860%	6/15/32	A-	1,910,000
1,000		Barclays Bank PLC	6.278%	12/15/34	A-	895,000
2,700		BB&T Capital Trust IV	6.820%	6/12/37	A3	2,710,125
3,650		BBVA International Unipersonal	5.919%	4/18/17	A-	3,159,418
4,100		BNP Paribas, 144A	7.195%	12/25/37	A	4,100,000
2,560		Credit Agricole, S.A, 144A	8.375%	12/31/49	A-	2,752,000
8,750		Credit Agricole, S.A	9.750%	12/26/54	A-	9,485,000
5,750		First Empire Capital Trust I	8.234%	2/01/27	Baa2	5,598,902
3,500		First Union Capital Trust II, Series A	7.950%	11/15/29	A-	3,982,468
4,800		Fulton Capital Trust I	6.290%	2/01/36	BBB-	3,899,568
1,450		HBOS Capital Funding LP, 144A	6.071%	6/30/14	Ba2	1,290,500
1,300		HSBC America Capital Trust I, 144A	7.808%	12/15/26	A-	1,335,750
1,000		HSBC Bank PLC	0.850%	6/11/49	A	600,000
9,300		HSBC Capital Funding LP, Debt	10.176%	6/30/50	A-	12,206,250
100		HSBC Financial Capital Trust IX	5.911%	11/30/15	Baa1	94,375
4,000		KeyCorp Capital III	7.750%	7/15/29	Baa3	3,715,616
4,150		NB Capital Trust II	7.830%	12/15/26	Baa3	4,290,270
10,000		North Fork Capital Trust II	8.000%	12/15/27	Baa3	10,175,000
3,100		Northgroup Preferred Capital Corporation, 144A	6.378%	10/15/57	A	3,004,805
12,740		Rabobank Nederland, 144A	11.000%	6/30/19	AA-	16,611,036
2,000		Reliance Capital Trust I, Series B	8.170%	5/01/28	N/R	1,683,370
16,410		Societe Generale	8.750%	10/07/49	BBB+	17,307,627
3,100		Standard Chartered PLC, 144A	6.409%	1/30/17	BBB	2,946,401
6,500		Standard Chartered PLC, 144A	7.014%	7/30/37	BBB	6,331,540
3,400		Suntrust Capital Trust VIII	6.100%	12/01/66	Baa3	3,171,918
500		Wachovia Capital Trust V, 144A	7.965%	6/01/27	A-	510,680
		Total Commercial Banks				142,503,996
		Consumer Finance - 0.4%
5,500		Capital One Capital IV Corporation	6.745%	2/17/32	Baa3	5,527,500
		Diversified Financial Services - 0.9%
9		AMG Capital Trust II, Convertible Bond	5.150%	10/15/37	BB	324,997
5,270		Bank One Capital III	8.750%	9/01/30	A2	6,399,177
475		CitiGroup Capital XXI	8.300%	12/21/37	Ba1	501,125
4,300		JP Morgan Chase Capital XXV	6.800%	10/01/37	A2	4,384,155
		Total Diversified Financial Services				11,609,454
		Diversified Telecommunication Services - 1.5%
19		Centaur Funding Corporation, Series B	9.080%	4/21/20	BBB	20,832,975
		Electric Utilities - 0.6%
8,200		Dominion Resources Inc.	7.500%	6/30/16	BBB	8,373,660
		Insurance - 8.9%
3,000		Allstate Corporation	6.125%	5/15/17	Baa1	2,805,000
1,500		Allstate Corporation	6.500%	5/15/37	Baa1	1,398,750
4,000		AXA SA, 144A	6.463%	12/14/18	Baa1	3,510,000
3,650		AXA SA, 144A	6.379%	12/14/36	Baa1	3,202,875
4,615		Catlin Insurance Company Limited	7.249%	1/19/17	BBB+	3,784,300
4,000		Everest Reinsurance Holdings, Inc.	6.600%	5/15/37	Baa1	3,700,000
12,025		Glen Meadows Pass Through Trust	6.505%	2/15/17	Ba1	9,620,000
2,000		Great West Life & Annuity Capital I, 144A	6.625%	11/15/34	A-	2,002,686
750		Great West Life and Annuity Insurance Company, 144A	7.153%	5/16/16	A-	735,000
3,500		Liberty Mutual Group, 144A	7.800%	3/15/37	Baa3	3,342,500
11,370		MetLife Capital Trust IV, 144A	7.875%	12/15/37	BBB	11,995,350
9,700		National Financial Services Inc.	6.750%	5/15/37	Baa2	8,482,893
1,550		Nationwide Financial Services Capital Trust	7.899%	3/01/37	Baa2	1,290,240
9,100		Oil Insurance Limited, 144A	7.558%	6/30/11	Baa1	8,092,985
13,500		Old Mutual Capital Funding, Notes	8.000%	6/22/53	Baa3	13,466,250
2,700		Progressive Corporation	6.700%	6/15/67	A2	2,683,315
5,100		Prudential Financial Inc.	8.875%	6/15/18	BBB+	5,737,500
10,000		Prudential PLC	6.500%	6/29/49	A-	9,595,000
1,700		Swiss Re Capital I	6.854%	5/25/16	A-	1,591,445
22,200		XL Capital Ltd	6.500%	10/15/57	BBB-	18,537,000
4,200		ZFS FINANCE USA TRUST II 144A	6.450%	12/15/65	A	4,032,000
1,100		ZFS Finance USA Trust V	6.500%	5/09/67	A	1,034,000
		Total Insurance				120,639,089
		Road & Rail - 0.7%
9,110		Burlington Northern Santa Fe Funding Trust I	6.613%	1/15/26	BBB	9,178,179
		U.S. Agency - 0.1%
1		Farm Credit Bank of Texas	10.000%	12/15/60	A3	1,042,188
		Total Capital Preferred Securities (cost $320,457,347)				321,127,097

Shares		Description (1)				Value
		Investment Companies - 2.0% (1.5% of Total Investments)
682,749		BlackRock Credit Allocation Income Trust II				$ 7,141,555
679,959		Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.				11,491,307
469,287		John Hancock Preferred Income Fund III				8,198,444
		Total Investment Companies (cost $36,387,987)				26,831,306

Shares		Description (1)				Value
		Warrants - 0.1% (0.1% of Total Investments)
53,378		Citadel Broadcasting Corporation				$ 1,281,072
		Total Warrants (cost $1,626,695)				1,281,072

Principal
Amount (000)		Description (1)	Coupon	Maturity		Value
		Short-Term Investments - 5.2% (3.9% of Total Investments)
$	42,392	Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/10, repurchase price $42,391,827, collateralized by $39,625,000 U.S. Treasury Notes, 3.125%, due 1/31/17, value $43,240,781	0.080%	10/01/10		$ 42,391,733
27,857		Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/10, repurchase price $27,856,684, collateralized by $26,040,000 U.S. Treasury Notes, 3.375%, due 11/15/19, value $28,416,150	0.080%	10/01/10		27,856,622
$	70,249	Total Short-Term Investments (cost $70,248,355)				70,248,355
		Total Investments (cost $1,716,852,610) - 131.6%				1,777,569,818

Shares		Description (1)				Value
		Common Stocks Sold Short - (0.5)%
		Chemicals - (0.1)%
(15,600)		Sigma-Aldrich Corporation				$ (941,928	)
		Food Products - (0.0)%
(12,600)		Green Mountain Coffee Roasters Inc., (2)				(392,994	)
		Hotels, Restaurants & Leisure - (0.1)%
(3,100)		Chipotle Mexican Grill, (2)				(533,200	)
(10,500)		P.F. Changs China Bistro, Inc.				(485,100	)
(5,400)		Panera Bread Company, (2)				(478,494	)
		Total Hotels, Restaurants & Leisure				(1,496,794	)
		Household Products - (0.0)%
(8,000)		Reckitt Benckiser Group PLC				(439,978	)
		Internet & Catalog Retail - (0.1)%
(4,100)		Amazon.com, Inc., (2)				(643,946	)
(6,400)		NetFlix.com Inc., (2)				(1,037,824	)
		Total Internet & Catalog Retail				(1,681,770	)
		Software - (0.0)%
(4,000)		Salesforce.com, Inc., (2)				(447,200	)
		Specialty Retail - (0.1)%
(18,700)		Urban Outfitters, Inc., (2)				(587,928	)
		Trading Companies & Distributors - (0.1)%
(8,700)		Fastenal Company				(462,753	)
		Total Common Stocks Sold Short (proceeds $5,321,113)				(6,451,345	)
		Borrowings - (29.6)% (12), (13)				(400,000,000	)
		Other Assets Less Liabilities - (1.5)%				(19,981,541	)
		Net Assets Applicable to Common Shares - 100%				$ 1,351,136,932

Investments in Derivatives

Put Options Purchased outstanding at September 30, 2010:

Number of		Notional	Expiration	Strike
Contracts	Type	Amount (15)	Date	Price	Value
125	Autozone Inc.	$ 2,500,000	1/21/12	200.0	$ 173,750
125	Total Put Options Purchased (cost $279,861)	$ 2,500,000			$ 173,750

Call Options Written outstanding at September 30, 2010:

Number of			Notional			Expiration	Strike
Contacts		Type	Amount (15)			Date	Price	Value
(1,140	)	Aetna, Inc.	$	(3,420,000	)	1/22/11	30.0	$ (370,500	)
(240	)	AngloGold Ashanti Limited	(960,000		)	1/22/11	40.0	(176,400	)
(570	)	Arch Coal, Inc.	(1,425,000		)	1/22/11	25.0	(196,650	)
(320	)	AstraZeneca PLC	(1,440,000		)	1/22/11	45.0	(225,600	)
(973	)	Barrick Gold Corporation	(3,892,000		)	1/22/11	40.0	(705,425	)
(1,103	)	BP PLC	(3,860,500		)	1/22/11	35.0	(791,402	)
(839	)	BP PLC	(4,614,500		)	1/22/11	55.0	(10,068	)
(178	)	BP PLC	(1,157,000		)	1/22/11	65.0	(623	)
(1,275	)	Cameco Corporation	(3,187,500		)	1/22/11	25.0	(471,750	)
(915	)	Cameco Corporation	(3,202,500		)	1/22/11	35.0	(13,725	)
(676	)	Chevron Corporation	(4,394,000		)	1/22/11	65.0	(1,120,470	)
(334	)	ConocoPhillips	(1,503,000		)	1/22/11	45.0	(426,685	)
(1,440	)	Deutsche Telekom AG	(1,440,000		)	1/22/11	10.0	(525,600	)
(980	)	eBay, Inc.	(2,940,000		)	1/22/11	30.0	(23,520	)
(310	)	Electricite de France S.A.	(1,302,000		)	12/18/10	42.0	(422	)
(480	)	Eli Lilly & Company	(1,680,000		)	1/22/11	35.0	(108,000	)
(612	)	Forest Laboratories, Inc.	(1,836,000		)	1/22/11	30.0	(157,590	)
(2,175	)	Gold Fields Limited	(2,718,750		)	1/22/11	12.5	(644,888	)
(825	)	Gold Fields Limited	(1,237,500		)	1/22/11	15.0	(100,238	)
(480	)	Ivanhoe Mines Ltd.	(960,000		)	1/22/11	20.0	(220,800	)
(1,433	)	Korea Electric Power Corporation	(2,149,500		)	12/18/10	15.0	(21,495	)
(428	)	Lockheed Martin Corporation	(3,210,000		)	1/22/11	75.0	(72,760	)
(550	)	Microsoft Corporation	(1,705,000		)	10/16/10	31.0	(550	)
(852	)	Newmont Mining Corporation	(4,260,000		)	1/22/11	50.0	(1,133,160	)
(1,510	)	Nippon Telegraph & Telephone Corporation	(3,397,500		)	12/18/10	22.5	(75,500	)
(1,820	)	Nokia Corporation	(1,638,000		)	1/22/11	9.0	(266,630	)
(2,440	)	Pfizer, Inc.	(4,270,000		)	1/22/11	17.5	(180,560	)
(851	)	Progress Energy, Inc.	(3,404,000		)	10/16/10	40.0	(374,440	)
(271	)	Royal Dutch Shell PLC	(1,626,000		)	10/16/10	60.0	(14,227	)
(2,600	)	Smithfield Foods, Inc.	(4,550,000		)	1/22/11	17.5	(318,500	)
(822	)	Suncor Energy, Inc	(2,466,000		)	1/22/11	30.0	(312,360	)
(2,105	)	Tesoro Corporation	(2,631,250		)	1/22/11	12.5	(342,063	)
(575	)	Tesoro Corporation	(862,500		)	1/22/11	15.0	(28,175	)
(2,580	)	Tyson Foods, Inc.	(5,160,000		)	1/22/11	20.0	(51,600	)
(1,587	)	UBS AG	(2,777,250		)	1/22/11	17.5	(182,505	)
(670	)	Wal-Mart Stores, Inc.	(3,517,500		)	1/22/11	52.5	(172,860	)
(596	)	Wal-Mart Stores, Inc.	(3,278,000		)	1/22/11	55.0	(74,202	)
(37,555	)	Total Call Options Written (premiums received $9,584,599)	$	(98,072,750	)			$ (9,911,943	)

	Fair Value Measurements
	In determining the fair 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 methodologies 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 September 30, 2010:

	Level 1			Level 2		Level 3		Total
Investments:
Common Stocks*	$	453,408,826		$	6,248,977	$	—	$	459,657,803
Preferred Securities**	492,957,199			350,782,087		—		843,739,286
Variable Rate Senior Loan Interests	—			86,686,584		—		86,686,584
Convertible Bonds	—			134,123,221		—		134,123,221
Corporate Bonds	—			149,909,654		5,092,537		155,002,191
Investment Companies	26,831,306			—		—		26,831,306
Warrants	—			1,281,072		—		1,281,072
Short-Term Investments	70,248,355			—		—		70,248,355
Common Stocks Sold Short	(6,451,345		)	—		—		(6,451,345		)
Derivatives:
Put Options Purchased	173,750			—		—		173,750
Call Options Written	(9,911,943		)	—		—		(9,911,943		)
Total	$	1,027,256,148		$	729,031,595	$	5,092,537	$	1,761,380,280

	* 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			Level 3
	Corporate Bonds			Warrants			Total
Balance at the beginning of period		$	4,706,000	$	9,918		$	4,715,918
Gains (losses):
Net realized gains (losses)		—		1,779			1,779
Net change in unrealized appreciation (depreciation)		328,282		(9,918		)	318,364
Net purchases at cost (sales at proceeds)		—		(1,779		)	(1,779		)
Net discounts (premiums)		57,855		—			57,855
Net transfers in to (out of) at end of period fair value		400		—			400
Balance at the end of period		$	5,092,537	$	—		$	5,092,537

Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.

The following table presents the fair value of all derivative instruments held by the Fund as of September 30, 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

Put options purchased, at value

173,750

Call options written, at value

9,911,946

		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 September 30, 2010, the cost of investments (excluding securities sold short and investments in derivatives) was $1,729,492,636.
		Gross unrealized appreciation and gross unrealized depreciation of investments (excluding securities sold short and investments in derivatives) at September 30, 2010, were as follows:


Gross unrealized:
Appreciation	$ 129,793,407
Depreciation	(81,716,225	)

Net unrealized appreciation (depreciation) of investments	$ 48,077,182

		For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub classifications into sectors for reporting ease.
	(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.
	(4)	Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investor Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
	(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)	At or subsequent to September 30, 2010, this issue was under the protection of the Federal Bankruptcy Court.
	(8)	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.
	(9)	Non-income producing security, in the case of a Senior Loan, denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
	(10)	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.
	(11)	Subsequent to the reporting period, 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.
	(12)	Borrowings as a percentage of Total Investments is 22.5%.
	(13)	The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of September 30, 2010, investments with a value of $977,017,097 have been pledged as collateral for Borrowings.
	(14)	For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
	(15)	For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.
	(16)	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 income on the Fund’s records.
	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.
	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.

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 November 29, 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 November 29, 2010

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

Date November 29, 2010

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