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

nvq

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21333

Nuveen Multi-Strategy Income & 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: 9/30/2007

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

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

TABLE OF CONTENTS


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

Item 1. Schedule of Investments

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income and Growth Fund 2 (JQC)
September 30, 2007


Shares		Description (1)	Value


		Common Stocks – 37.5% (24.6% of Total Investments)

		Aerospace & Defense – 0.6%

	31,400	Boeing Company	$	3,296,686
	17,420	Finmeccanica SpA		507,482
	24,192	Lockheed Martin Corporation		2,624,590
	26,270	Orbital Sciences Corporation, (2)		584,245
	59,500	Thales S.A.		3,487,937
	17,480	United Technologies Corporation		1,406,790

		Total Aerospace & Defense		11,907,730


		Airlines – 0.1%

	57,810	Lufthansa AG		1,662,697
	2,770	Ryanair Holdings PLC, (2)		114,983

		Total Airlines		1,777,680


		Auto Components – 0.4%

	7,740	Aftermarket Tech, (2)		245,668
	56,190	Aisin Seiki Company Limited		2,245,350
	13,790	Cooper Tire & Rubber		336,476
	12,240	Johnson Controls, Inc.		1,445,666
	32,780	Magna International, Inc., Class A		3,157,042

		Total Auto Components		7,430,202


		Automobiles – 0.7%

	33,570	Daimler-Chrysler AG, (2)		3,363,714
	51,620	Honda Motor Company Limited		1,722,043
	38,750	Nissan Motor		775,388
	118,950	Nissan Motor		1,191,934
	1,566	S.A. D’Ieteren N.V		698,918
	25,810	Toyota Motor Corporation		3,016,157
	5,040	Volkswagen AG		227,682
	96,800	Yamaha Motor Company Limited		2,469,194

		Total Automobiles		13,465,030


		Beverages – 1.1%

	134,440	Coca Cola Amatil Limited		1,073,658
	66,490	Coca-Cola Company		3,821,180
	39,340	Coca-Cola Enterprises, Inc.		952,815
	34,950	Diageo PLC, Sponsored ADR		3,066,164
	74,860	Fomento Economico Mexicano S.A.		2,799,764
	91,030	Heineken NV		5,973,589
	11,360	Molson Coors Brewing Company, Class B		1,132,251
	24,800	Pepsi Bottling Group, Inc.		921,816
	57,070	SABMiller PLC		1,625,370

		Total Beverages		21,366,607


		Biotechnology – 0.6%

	99,100	Amgen, Inc., (2)		5,606,087
	24,420	Cephalon, Inc., (2)		1,784,125
	31,990	Genzyme Corporation, (2)		1,982,100
	5,640	Invitrogen Corporation, (2)		460,957
	9,510	Novo-Nordisk A/S		1,151,090

		Total Biotechnology		10,984,359


		Capital Markets – 1.2%

	7,530	Ameriprise Financial, Inc.		475,218
	258,830	Babcock & Brown Limited		6,309,112
	31,470	Bank of New York Company, Inc.		1,389,086
	2,770	BlackRock, Inc.		480,346
	25,180	Credit Suisse Group		1,671,818
	20,600	Deutsche Bank AG		2,644,834
	82,540	Invesco PLC		2,253,342
	144,730	Investec PLC		1,516,121
	80,420	JPMorgan Chase & Co.		3,684,844
	7,690	Marketaxess, (2)		115,350
	28,070	SEI Investments Company		765,750
	22,680	UBS AG		1,207,710

		Total Capital Markets		22,513,531


		Chemicals – 0.9%

	790	Agrium, Inc.		42,960
	20,980	Air Products & Chemicals, Inc.		2,051,005
	19,630	Ashland Inc.		1,181,922
	1,300	Bayer AG		103,480
	8,780	CF Industries Holdings, Inc.		666,490
	11,120	Lubrizol Corporation		723,467
	285,700	Mitusi Chemicals		2,837,972
	53,230	Mosaic Company, (2)		2,848,870
	92,670	Shin-Etsu Chemical Company Limited		6,405,779
	10,770	Syngenta AG		466,664
	19,430	Terra Industries, Inc., (2)		607,382

		Total Chemicals		17,935,991


		Commercial Banks – 1.8%

	22,000	Allied Irish Banks		1,066,340
	20,490	Allied Irish Banks		496,701
	99,980	Allianz SE, ADR		2,326,535
	124,870	Banco Bilbao Vizcaya Argentaria S.A.		2,906,974
	17,840	Banco Bradesco S.A., ADR		523,961
	55,110	Banco Santander Central S.A.		1,064,174
	10,740	BANK OF IRELAND		199,857
	33,160	Bank of Montreal		2,171,317
	16,660	Bank of Nova Scotia		874,650
	54,310	Barclays PLC		2,640,552
	81,180	Barclays PLC		989,091
	1,080	Canadian Imperial Bank of Commerce		107,935
	24,250	Colonial BancGroup Inc.		524,285
	43,980	Credit Agricole S.A.		1,696,394
	179,980	DnB NOR ASA		2,760,834
	46,990	ICICI Bank Limited, ADR		2,477,313
	23,580	Kookmin Bank		1,933,324
	33,120	Lloyds TSB Group PLC, Sponsored ADR		1,472,515
	3,510	National Bank of Greece S.A.		223,727
	37,300	National Bank of Greece S.A.		481,543
	15,730	Northern Trust Corporation		1,042,427
	28,930	PNC Financial Services Group, Inc.		1,970,133
	6,713	Prosperity Bancshares, Inc.		222,603
	212,440	Royal Bank of Scotland, PLC, (2)		2,281,922
	90	Shinhan Financial Group Company Limited		11,547
	6,900	SVB Financial Group, (2)		326,784
	28,170	Sydbank A/S		1,225,860
	5,440	UMB Financial Corporation		233,158
	5,310	Wintrust Financial Corporation		226,684

		Total Commercial Banks		34,479,140


		Commercial Services & Supplies – 0.8%

	444,100	Allied Waste Industries, Inc., (2)		5,662,275
	30,840	Apollo Group, Inc., (2)		1,855,026
	7,110	CLARCOR, Inc.		243,233
	4,938	Consolidated Graphics, Inc., (2)		310,057
	4,490	CSG Systems International, Inc., (2)		95,413
	8,380	Dun and Bradstreet, Inc.		826,352
	230,180	Michael Page International PLC		1,942,660
	15,235	Republic Services, Inc.		498,337
	435,000	Toppan Printing Company Limited		4,480,085

		Total Commercial Services & Supplies		15,913,438


		Communications Equipment – 0.5%

	2,250	Comtech Telecom Corporation, (2)		120,353
	137,310	Corning Incorporated		3,384,692
	19,040	Juniper Networks, Inc., (2)		697,054
	109,260	Nokia Oyj, Sponsored ADR		4,144,232
	8,010	Polycom, Inc., (2)		215,149
	39,710	QUALCOMM, Inc.		1,678,145
	8,730	Tandberg ASA		210,103

		Total Communications Equipment		10,449,728


		Computers & Peripherals – 0.7%

	31,910	Apple, Inc., (2)		4,899,461
	25,860	Dell, Inc., (2)		713,736
	55,070	Hewlett-Packard Company		2,741,935
	11,360	International Business Machines Corporation (IBM)		1,338,208
	11,080	NCR Corporation, (2)		551,784
	60,474	Network Appliance, Inc., (2)		1,627,355
	10,390	Novatel Wireless, (2)		235,334
	13,780	SanDisk Corporation, (2)		759,278

		Total Computers & Peripherals		12,867,091


		Construction & Engineering – 0.6%

	434,060	AMEC PLC		6,580,717
	8,470	Fluor Corporation		1,219,511
	156,800	JGC Corporation		3,023,654

		Total Construction & Engineering		10,823,882


		Construction Materials – 0.0%

	2,840	Cemex SAB de CV, Sponsored ADR, (2)		84,973
	2,480	Texas Industries, Inc.		194,680

		Total Construction Materials		279,653


		Consumer Finance – 0.2%

	15,380	MasterCard, Inc.		2,275,779
	49,510	Western Union Company		1,038,225

		Total Consumer Finance		3,314,004


		Distributors – 0.1%

	114,090	Jardine Cycle & Carriage Limited		1,420,845


		Diversified Consumer Services – 0.1%

	17,030	ITT Educational Services, Inc., (2)		2,072,381


		Diversified Financial Services – 0.5%

	20,980	CIT Group, Inc.		843,396
	41,310	Credit Suisse Group, (2)		2,740,092
	30,830	Eaton Vance Corporation		1,231,967
	5,100	Fortis		150,174
	31,320	ING Group N.V., Sponsored ADR		1,387,789
	19,380	Nasdaq Stock Market, Inc., (2)		730,238
	26,221	State Street Corporation		1,787,223

		Total Diversified Financial Services		8,870,879


		Diversified Telecommunication Services – 1.8%

	52,450	AT&T, Inc.		2,219,160
	590	Brasil Telecom		44,026
	21,660	BT Group PLC		1,360,898
	14,780	Cbeyond, Inc., (2)		602,876
	151,600	Chunghwa Telecom Co., Ltd., Sponsored ADR		2,801,568
	27,120	France Telecom S.A., Sponsored ADR		906,893
	198,340	KT Corporation, Sponsored ADR		4,968,417
	527,000	Nippon Telegraph and Telephone Corporation, ADR		12,263,290
	10,630	Portugal Telecom S.A.		149,245
	20,450	Royal KPN Nederland PTT N.V		355,217
	81,350	Telecom Argentina S.A., (2)		1,997,143
	53,817	Telecom Corporation of New Zealand Limited		912,734
	52,595	Telecom Corporation of New Zealand Limited		178,159
	33,990	Telefonica S.A.		2,847,682
	74,060	Telefonos de Mexico S.A., Series L		2,434,352

		Total Diversified Telecommunication Services		34,041,660


		Electric Utilities – 2.2%

	45,400	Ameren Corporation		2,383,500
	8,830	Black Hills Corporation		362,207
	357,200	Centrais Electricas Brasileiras S.A., ADR		5,009,730
	1,500	CPFL Energia S.A.		87,345
	15,700	DPL Inc.		412,282
	55,600	E.ON AG		3,412,172
	48,690	Edison International		2,699,861
	13,330	El Paso Electric Company, (2)		308,323
	13,600	Enel SpA, Sponsored ADR		766,632
	21,790	FPL Group, Inc.		1,326,575
	146,000	IDACORP, INC		4,780,040
	332,100	Korea Electric Power Corporation, Sponsored ADR		7,688,115
	47,200	PG&E Corporation		2,256,160
	6,540	Pike Electric Corporation, (2)		122,690
	211,100	PNM Resources Inc.		4,914,408
	99,300	Progress Energy, Inc.		4,652,205
	91,430	Reliant Energy, Inc., (2)		2,340,608

		Total Electric Utilities		43,522,853


		Electrical Equipment – 0.4%

	50,590	ABB Limted		1,332,265
	3,980	Acuity Brands, Inc.		200,910
	81,514	Emerson Electric Co.		4,338,175
	26,070	Nikon Corporation		896,500

		Total Electrical Equipment		6,767,850


		Electronic Equipment & Instruments – 0.7%

	5,454	Itron, Inc., (2)		507,604
	6,080	LG Philips LCD Company Limited, Sponsored ADR, (2)		145,555
	44,680	MEMC Electronic Materials, (2)		2,629,865
	6,000	Mettler-Toledo International, Inc., (2)		612,000
	89,700	Tech Data Corporation, (2)		3,598,764
	16,080	Tektronix, Inc.		446,059
	5,161	Teledyne Technologies, Inc., (2)		275,546
	94,890	Thermo Fisher Scientific, Inc., (2)		5,477,051

		Total Electronic Equipment & Instruments		13,692,444


		Energy Equipment & Services – 0.7%

	27,100	Dresser Rand Group, Inc., (2)		1,157,441
	59,910	Global Industries Limited, (2)		1,543,282
	11,420	Matrix Service Company, (2)		239,249
	42,340	National-Oilwell Varco, Inc., (2)		6,118,130
	14,300	Technip S.A.		1,278,521
	31,810	Tidewater Inc.		1,998,940
	5,880	Trico Marine Services Inc., (2)		175,224

		Total Energy Equipment & Services		12,510,787


		Food & Staples Retailing – 0.3%

	25,040	Casino Guichard-Perrachon S.A.		2,625,803
	5,070	Koninklijke Ahold NV, (2)		76,304
	33,220	Kroger Co.		947,434
	67,570	Marks and Spencer Group PLC		850,917
	5,280	Nash Finch Company		210,302
	53,320	Safeway, Inc.		1,765,425

		Total Food & Staples Retailing		6,476,185


		Food Products – 1.2%

	72,300	ConAgra Foods, Inc.		1,889,199
	24,270	Flowers Foods, Inc.		529,086
	45,760	H.J. Heinz Company		2,114,112
	267,890	Jeronimo Martins SGPS		1,646,410
	8,290	Kellogg Company		464,240
	30,470	Monsanto Company		2,612,498
	640	Nestle S.A.		71,632
	203,700	Smithfield Foods, Inc., (2)		6,416,550
	135,550	Tingyi Holding Corporation		209,240
	222,000	Tyson Foods, Inc., Class A		3,962,700
	96,960	Unilever PLC		3,070,723

		Total Food Products		22,986,390


		Gas Utilities – 0.3%

	2,000	BG PLC		172,850
	6,530	E.ON AG		1,207,323
	38,223	Energen Corporation		2,183,298
	3,560	Gas Natural SDG		201,025
	39,550	Questar Corporation		2,077,562

		Total Gas Utilities		5,842,058


		Health Care Equipment & Supplies – 0.4%

	27,550	Alfresa Holdings Corporation		1,758,077
	39,890	Baxter International, Inc.		2,245,009
	32,508	Express Scripts, Inc., (2)		1,814,597
	4,100	Lifecell Corporation, (2)		154,037
	155,500	Paramount Bed Company Limited		2,087,503
	6,359	Surmodics, Inc., (2)		311,655

		Total Health Care Equipment & Supplies		8,370,878


		Health Care Providers & Services – 0.4%

	8,310	Coventry Health Care, Inc., (2)		516,965
	43,300	Humana, Inc., (2)		3,025,804
	9,070	Mentor Corporation		417,674
	33,303	Wellcare Health Plans, Inc., (2)		3,511,135

		Total Health Care Providers & Services		7,471,578


		Hotels, Restaurants & Leisure – 0.2%

	7,370	Bally Technologies, Inc., (2)		261,119
	21,130	Choice Hotels International, Inc.		795,967
	33,380	McDonald’s Corporation		1,818,209
	19,230	Multimedia Games, Inc., (2)		163,840

		Total Hotels, Restaurants & Leisure		3,039,135


		Household Durables – 0.5%

	640	Koninklijke Philips Electronics NV		28,762
	110,630	Matsushita Electric Industrial Co., Ltd., ADR		2,052,187
	42,522	Newell Rubbermaid, Inc.		1,225,484
	34,340	PPR		6,460,721

		Total Household Durables		9,767,154


		Household Products – 0.6%

	54,370	Colgate-Palmolive Company		3,877,668
	198,000	KAO Corporation		5,912,506
	19,117	Kimberly-Clark Corporation		1,343,160

		Total Household Products		11,133,334


		Independent Power Producers & Energy Traders – 0.1%

	31,470	NRG Energy, Inc., (2)		1,330,866


		Industrial Conglomerates – 0.4%

	34,880	General Electric Company		1,444,032
	344,660	Keppel Corporation		3,341,033
	22,530	Siemens AG, Sponsored ADR		3,092,243
	4,590	Teleflex, Inc.		357,653

		Total Industrial Conglomerates		8,234,961


		Insurance – 1.1%

	2,530	Aegon N.V.		48,146
	37,638	AFLAC Incorporated		2,146,872
	15,430	Amtrust Financial Services, Inc.		234,073
	23,600	Aon Corporation		1,057,516
	18,520	Arch Capital Group Limited, (2)		1,378,073
	35,480	AXA-UAP		1,582,763
	12,240	Axis Capital Holdings Limited		476,258
	345,100	Benfield Group Limited		2,047,614
	11,840	Delphi Financial Group, Inc.		478,573
	5,470	Fairfax Financial Holdings Limited		1,334,680
	33,740	HCC Insurance Holdings, Inc.		966,314
	66,394	Philadelphia Consolidated Holding Corporation, (2)		2,744,728
	9,020	Power Financial Corporation		376,343
	12,460	Seabright Insurance Holdings, Inc., (2)		212,692
	11,230	Security Capital Assurance Limited		256,493
	30,310	Sun Life Financial, Inc.		1,589,760
	8,170	Tower Group, Inc.		213,891
	5,350	Universal American Financial Corporation, (2)		122,034
	92,070	WR Berkley Corporation		2,728,034
	1,730	ZURICH FINANCIAL SERVICES AG		518,963

		Total Insurance		20,513,820


		Internet & Catalog Retail – 0.1%

	28,110	Amazon.com, Inc., (2)		2,618,447


		Internet Software & Services – 0.1%

	23,860	Chordiant Software, Inc., (2)		330,700
	52,300	eBay, Inc., (2)		2,040,746
	5,660	Open Text Corporation, (2)		146,990

		Total Internet Software & Services		2,518,436


		IT Services – 0.2%

	46,800	Accenture Limited		1,883,700
	16,970	CGI Group, Inc., (2)		193,458
	10,110	Convergys Corporation, (2)		175,510
	17,500	FactSet Research Systems, Inc.		1,199,625
	16,340	Savvis Inc., (2)		633,665

		Total IT Services		4,085,958


		Leisure Equipment & Products – 0.3%

	26,380	Canon, Inc.		1,432,170
	47,870	Fuji Photo Film Co., Ltd.		2,212,943
	11,010	FujiFilm Holdings Corporation, ADR		504,919
	22,730	Hasbro, Inc.		633,712
	16,510	Marvel Entertainment, Inc., (2)		386,994
	10,900	Sturm, Ruger, & Company, (2)		195,219

		Total Leisure Equipment & Products		5,365,957


		Life Sciences Tools & Services – 0.0%

	11,040	Illumina, Inc., (2)		572,755


		Machinery – 1.0%

	78,440	ABB Limited		2,057,481
	162,220	AGCO Corporation, (2)		8,235,909
	28,428	Harsco Corporation		1,684,928
	40,930	ITT Industries, Inc.		2,780,375
	42,340	Manitowoc Company, Inc.		1,874,815
	211,160	Mitsui Engineering & Shipbuilding Company Limited		1,196,754
	5,145	Parker Hannifin Corporation		575,365
	11,860	RBC Bearings, Inc., (2)		454,831
	4,560	Robbins & Myers, Inc.		261,242
	2,470	Volvo AB		42,855

		Total Machinery		19,164,555


		Marine – 0.2%

	250,340	Kawasaki Kisen Kaisha Limited		3,676,695


		Media – 0.8%

	77,570	DIRECTV Group, Inc., (2)		1,883,400
	65,110	Echostar Communications Corporation, (2)		3,047,799
	58,810	McGraw-Hill Companies, Inc.		2,994,017
	77,300	Scholastic Corporation, (2)		2,694,678
	26,980	Shaw Communication, Inc.		670,183
	9,830	Thomson Corporation		412,172
	63,810	Walt Disney Company		2,194,426
	11,470	WPP Group PLC		774,225

		Total Media		14,670,900


		Metals & Mining – 4.2%

	1,070	Agnico-Eagle Mines Limited		53,286
	9,170	Alumina Limited, Sponsored ADR		232,001
	92,766	Anglo American PLC, ADR		3,103,023
	269,400	AngloGold Ashanti Limited, Sponsored ADR		12,632,166
	276,900	Apex Silver Mines Limited, (2)		5,385,705
	288,800	Barrick Gold Corporation		11,632,864
	12,710	BHP Billiton PLC		913,976
	5,090	Compass Minerals International, Inc.		173,264
	204,690	Cookson Group		3,195,409
	319,100	Crystallex International Corporation, (2)		1,011,547
	15,700	Freeport-McMoRan Copper & Gold, Inc.		1,646,773
	229,200	Gabriel Resources Limited, (2)		580,691
	351,000	Gold Fields Limited		6,349,590
	2,015,500	Lihir Gold Limited, (2)		7,046,509
	690,190	Mitsubishi Materials		4,290,216
	265,300	Moto Goldmines Limited, (2)		789,512
	247,600	Newmont Mining Corporation		11,075,148
	78,900	NovaGold Resources, Inc., (2)		1,302,639
	634,700	Orezone Resources, Inc., (2)		1,180,542
	5,900	Rio Tinto PLC, Sponsored ADR		2,026,060
	182,100	SSAB Svenskt Stal AB		6,739,630

		Total Metals & Mining		81,360,551


		Multiline Retail – 0.4%

	21,910	Big Lots, Inc., (2)		653,794
	47,330	Costco Wholesale Corporation		2,904,642
	54,380	Dollar Tree Stores, Inc., (2)		2,204,565
	26,120	Family Dollar Stores, Inc.		693,747
	15,180	Kohl’s Corporation, (2)		870,269
	17,540	Target Corporation		1,115,018

		Total Multiline Retail		8,442,035


		Multi-Utilities – 0.3%

	63,560	National Grid Group PLC		1,019,542
	187,900	Puget Energy, Inc.		4,597,913

		Total Multi-Utilities		5,617,455


		Oil, Gas & Consumable Fuels – 2.9%

	1,500	Acergy S.A., Sponsored ADR		44,550
	86,100	Arch Coal, Inc.		2,905,014
	7,250	Bill Barrett Corporation, (2)		285,723
	167,060	BP Amoco PLC		11,585,611
	51,570	Chesapeake Energy Corporation		1,818,358
	13,990	Chevron Corporation		1,309,184
	12,950	China Petroleum and Chemical Corporation		1,594,275
	41,340	Eni S.p.A., Sponsored ADR		3,049,238
	13,760	EOG Resources, Inc.		995,261
	20,980	Equitable Resources, Inc.		1,088,233
	29,390	Frontier Oil Corporation		1,223,800
	15,040	Hess Corporation		1,000,611
	18,650	Murphy Oil Corporation		1,303,449
	71,200	Nexen, Inc.		2,174,448
	4,110	Norsk Hydro ASA		178,169
	107,500	Peabody Energy Corporation		5,146,025
	11,967	Pioneer Drilling Company, (2)		145,758
	50,110	Repsol YPF S.A.		1,778,905
	133,100	Royal Dutch Shell PLC, Class B, Sponsored ADR		10,927,510
	11,080	St Mary Land and Exploration Company		395,224
	76,540	StatoilHydro ASA		2,596,237
	11,021	Sunoco, Inc.		780,066
	28,480	Total SA, Sponsored ADR		2,307,734
	16,632	Valero Energy Corporation		1,117,338

		Total Oil, Gas & Consumable Fuels		55,750,721


		Paper & Forest Products – 0.3%

	14,390	Aracruz Celulose S.A.		1,058,960
	9,070	Buckeye Technologies Inc., (2)		137,320
	10,680	Potlatch Corporation		480,920
	24,730	Rayonier, Inc.		1,188,029
	11,320	Stora Enso Oyj, R Shares		220,496
	74,400	Votorantim Celulose e Papel S.A		2,129,328

		Total Paper & Forest Products		5,215,053


		Personal Products – 0.0%

	12,930	Herbalife Limited		587,798
	4,680	Oriflame Cosmetics S.A.		283,962

		Total Personal Products		871,760


		Pharmaceuticals – 1.3%

	13,320	Abraxis Bioscience, Inc., (2)		304,096
	24,100	Astellas Pharma, Inc.		1,156,061
	162,240	AstraZeneca Group		8,123,357
	3,230	Doctor Reddy’s Labortories Limited, Sponsored ADR		52,843
	9,310	Eli Lilly and Company		530,018
	9,200	GlaxoSmithKline PLC, ADR		489,440
	28,730	H. Lundbeck A/S		780,363
	139,000	Kissei Pharaceuticals Company Limited		2,517,042
	37,590	Merck & Co., Inc.		2,420,126
	1,995	Novo Nordisk A/S		240,794
	494,200	Patheon, Inc., (2)		1,540,260
	12,870	Pozen, Inc., (2)		142,342
	120,890	Sanofi-Aventis, ADR		5,128,154
	49,240	Shionogi & Company Limited		759,187
	24,510	Warner Chilcott Limited, (2)		435,543

		Total Pharmaceuticals		24,619,626


		Real Estate/Mortgage – 0.5%

	163,540	CFX Retail Property Trust		346,830
	739,110	DB RREEF Trust		1,318,257
	4,370	Essex Property Trust, Inc.		513,781
	9,737	LaSalle Hotel Properties		409,733
	11,720	Lexington Corporate Properties Trust		234,517
	18,664	SL Green Realty Corporation		2,179,395
	15,107	Tanger Factory Outlet Centers		613,193
	29,834	Taubman Centers, Inc.		1,633,412
	990,530	Wing Tai Holdings Limited		2,573,844

		Total Real Estate/Mortgage		9,822,962


		Real Estate Management & Development – 0.0%

	15,400	IMMOFINANZ AG		192,147
	129,610	New World Development Company Limited		360,127

		Total Real Estate Management & Development		552,274


		Road & Rail – 0.3%

	42,920	Canadian National Railways Company		2,446,440
	21,990	Canadian Pacific Railway Limited		1,545,677
	46,030	Hertz Global Holdings, Inc., (2)		1,045,802
	20,270	Landstar System		850,732
	6,990	Union Pacific Corporation		790,289

		Total Road & Rail		6,678,940


		Semiconductors & Equipment – 0.9%

	19,280	ASM Lithography Holding NV, (2)		639,196
	117,720	ASM Lithography Holding NV, (2)		3,868,279
	20,500	Intel Corporation		530,130
	334,570	Micron Technology, Inc., (2)		3,713,727
	4,780	Monolithic Power Systems, Inc., (2)		121,412
	93,420	National Semiconductor Corporation		2,533,550
	14,830	Semtech Corporation, (2)		303,718
	77,900	STMicroelectronics NV		1,304,825
	221,348	Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR		2,240,042
	37,590	Teradyne, Inc., (2)		518,742
	31,850	Trident Microsystems, Inc., (2)		506,097
	12,490	Zoran Corporation, (2)		252,298

		Total Semiconductors & Equipment		16,532,016


		Software – 0.6%

	9,910	Ansys, Inc., (2)		338,625
	12,545	Aspen Technology, Inc., (2)		179,644
	59,880	Autodesk, Inc., (2)		2,992,204
	17,104	Blackbaud, Inc.		431,705
	8,660	Blackboard, Inc., (2)		396,974
	44,940	Business Objects S.A., (2)		2,016,458
	38,460	Cadence Design Systems, Inc., (2)		853,427
	23,040	Cognos, Inc., (2)		956,851
	57,620	Intuit, Inc., (2)		1,745,886
	8,580	SPSS, Inc., (2)		352,981
	32,320	Synopsys, Inc., (2)		875,226

		Total Software		11,139,981


		Specialty Retail – 0.3%

	9,480	Aeropostale, Inc., (2)		180,689
	40,885	American Eagle Outfitters, Inc.		1,075,684
	26,220	Gap, Inc.		483,497
	7,500	Gymboree Corporation, (2)		264,300
	3,515	Hennes & Mauritz AB		222,820
	4,360	J. Crew Group, Inc., (2)		180,940
	7,010	Luxottica Group SpA		237,639
	14,770	PetSmart, Inc.		471,163
	73,060	RadioShack Corporation		1,509,420
	27,010	Sony Corporation		1,298,101

		Total Specialty Retail		5,924,253


		Textiles, Apparel & Luxury Goods – 0.1%

	5,230	Deckers Outdoor Corporation, (2)		574,254
	1,530	Gildan Activewear Inc, Sponsored ADR, (2)		60,267
	11,418	Guess, Inc.		559,825
	10,490	VF Corporation		847,068

		Total Textiles, Apparel & Luxury Goods		2,041,414


		Thrifts & Mortgage Finance – 0.0%

	58,770	Hudson City Bancorp, Inc.		903,877


		Tobacco – 0.3%

	14,560	British American Tobacco PLC		1,048,029
	10,670	Imperial Tobacco Group		979,079


350	Japan Tobacco, Inc.	1,922,687
47,510	UST, Inc.	2,356,491

	Total Tobacco	6,306,286


	Trading Companies & Distributors – 0.0%

3,680	W.W. Grainger, Inc.	335,574


	Transportation Infrastructure – 0.2%

868,000	Macquarie Airports	3,350,451


	Wireless Telecommunication Services – 0.0%

9,980	China Unicom Limited	207,978
1,920	Mobile Telesystems, Sponsored ADR	133,070

	Total Wireless Telecommunication Services	341,048

	Total Common Stocks (cost $679,150,241)	722,054,104


Shares		Description (1)	Coupon	Ratings (3)	Value


		Convertible Preferred Securities – 1.8% (1.2% of Total Investments)

		Automobiles – 0.4%

	38,150	General Motors Corporation, Convertible Bonds	1.500%	B-	$	1,078,119
	89,200	General Motors Corporation, Convertible Notes, Senior Debentures, Series B	5.250%	B-		1,899,068
	167,300	General Motors Corporation	6.250%	B-		4,097,177

		Total Automobiles				7,074,364


		Capital Markets – 0.0%

	5,000	Affiliated Managers Group, Inc., Convertible Bond	5.100%	BB		283,750
	1,850	Affiliated Managers Group, Inc.	5.100%	BB		104,988

		Total Capital Markets				388,738


		Commercial Banks – 0.1%

	20,600	Sovereign Capital Trust IV, Convertible Security	4.375%	Baa1		883,740
	11,750	Washington Mutual, Inc., Unit 1 Trust	5.375%	A3		564,118

		Total Commercial Banks				1,447,858


		Communications Equipment – 0.6%

	11,400	Lucent Technologies Capital Trust I	7.750%	B1		10,944,000


		Containers & Packaging – 0.0%

	17,500	Owens-Illinois, Inc., Convertible Bonds	4.750%	B-		787,500


		Electric Utilities – 0.1%

	26,400	Centerpoint Energy, Inc.	2.000%	BBB-		912,120
	9,100	CMS Energy Corporation, Convertible Bonds	4.500%	Ba2		801,938

		Total Electric Utilities				1,714,058


		Food Products – 0.0%

	6,750	Bunge Limited, Convertible Bonds	4.875%	BB		905,344


		Independent Power Producers & Energy Traders – 0.1%

	700	NRG Energy, Inc., Convertible Bond	4.000%	B2		1,511,671


		Metals & Mining – 0.1%

	1,100	Freeport McMoran Copper & Gold, Inc.	5.500%	B-		2,511,163


		Oil, Gas & Consumable Fuels – 0.1%

	10,850	Chesapeake Energy Corporation	5.000%	B		1,207,301
	800	El Paso Corporation	4.990%	B		1,131,100

		Total Oil, Gas & Consumable Fuels				2,338,401


		Real Estate – 0.1%

	28,650	HRPT Properties Trust, Preferred Convertible Bonds	6.500%	BBB-		658,091
	12,650	Simon Property Group, Inc., Series I	6.000%	BBB+		1,017,440

		Total Real Estate Investment Trust				1,675,531


		U.S. Agency – 0.2%

	27	Federal National Mortgage Association	5.375%	AA-		2,647,401

		Total Convertible Preferred Securities (cost $32,307,521)				33,946,029


Shares		Description (1)	Coupon	Ratings (3)	Value


		$25 Par (or similar) Preferred Securities – 44.5% (29.0% of Total Investments)

		Capital Markets – 3.7%

	229,074	BNY Capital Trust V, Series F	5.950%	Aa3	$	5,229,759
	220,000	Compass Capital Trust III	7.350%	A2		5,442,800
	31,200	CSFB USA, Series 2002-10 (SATURNS)	7.000%	Aa1		768,768
	1,195,600	Deutsche Bank Capital Funding Trust II	6.550%	Aa3		28,515,060
	22,600	First Union Institutional Capital II (CORTS)	8.200%	A1		614,494
	10,500	Goldman Sachs Capital I (CORTS)	6.000%	A1		229,950
	7,700	Goldman Sachs Capital I, Series A (CORTS)	6.000%	A1		168,707
	3,700	Goldman Sachs Group Inc., Series 2003-11 (SATURNS)	5.625%	Aa3		77,219
	7,300	Goldman Sachs Group Inc., Series 2004-04 (SATURNS)	6.000%	A1		160,673
	2,900	Goldman Sachs Group Inc., Series 2004-06 (SATURNS)	6.000%	A1		63,481
	11,500	Goldman Sachs Group Inc., Series 2004-4 (CORTS)	6.000%	A1		247,365
	17,200	Goldman Sachs Group Inc., Series GSC-3 (PPLUS)	6.000%	A1		372,896
	11,200	Goldman Sachs Group Inc., Series GSG-1 (PPLUS)	6.000%	AA-		247,184
	4,200	Goldman Sachs Group Inc., Series GSG-2 (PPLUS)	5.750%	AA-		88,368
	349,445	Merrill Lynch Preferred Capital Trust III	7.000%	A1		8,631,292
	21,800	Merrill Lynch Preferred Capital Trust IV	7.120%	A1		543,474
	230,600	Merrill Lynch Preferred Capital Trust V	7.280%	A1		5,741,940
	178,192	Morgan Stanley Capital Trust III	6.250%	A1		4,084,161
	99,125	Morgan Stanley Capital Trust IV	6.250%	A1		2,252,120
	300,300	Morgan Stanley Capital Trust VI	6.600%	A1		7,057,050
	45,458	Morgan Stanley Capital Trust VII	6.600%	A2		1,041,897

		Total Capital Markets				71,578,658


		Commercial Banks – 8.4%

	652,500	ABN AMRO Capital Fund Trust V	5.900%	A1		13,989,600
	116,700	ASBC Capital I	7.625%	A3		2,905,830
	120,610	BAC Capital Trust I	7.000%	Aa2		3,012,838
	554,400	BAC Capital Trust II	7.000%	Aa2		13,760,208
	149,600	BAC Capital Trust III	7.000%	Aa2		3,719,056
	1,100	BAC Capital Trust V	6.000%	Aa3		24,816
	2,900	BAC Capital Trust VIII	6.000%	Aa2		65,424
	2,600	BAC Capital Trust X	6.250%	Aa2		60,476
	398,242	Banco Santander Series 144A	6.800%	Aa3		9,246,701
	696,818	Banco Santander, 144A	6.500%	A		16,135,727
	240,152	Banco Santander	6.410%	Aa3		5,328,973
	6,700	BancorpSouth Capital Trust I	8.150%	Baa1		168,438
	28,800	Banesto Holdings, Series A, 144A	10.500%	A1		868,501
	167,700	Bank One Capital Trust VI	7.200%	Aa3		4,205,916
	50,042	Barclays Bank PLC, (8)	6.625%	Aa3		1,210,516
	4,000,000	BNP Paribas	7.195%	AA-		3,990,604
	34,800	Capital One Capital II Corporation	7.500%	Baa1		857,472
	142,300	Citizens Funding Trust I	7.500%	Baa2		3,342,627
	146,500	Cobank ABC, 144A, (8)	7.000%	A		7,197,985
	428,800	Fleet Capital Trust VIII	7.200%	Aa2		10,754,304
	61,600	HSBC Finance Corporation	6.875%	AA-		1,527,680
	83,705	KeyCorp Capital Trust IX	6.750%	Baa1		1,969,579
	5,300	KeyCorp Capital Trust V	5.875%	A3		114,215
	3,200	KeyCorp Capital VIII	7.000%	A3		78,240
	723,905	National City Capital Trust II	6.625%	A3		15,310,591
	160,300	National City Capital Trust IV	0.000%	A2		4,024,332
	21,700	ONB Capital Trust II	8.000%	A3		545,972
	30,000	PNC Capital Trust	6.125%	A2		680,400
	35,038	Royal Bank of Scotland Group PLC, Series L	5.750%	A1		739,302
	119,740	Royal Bank of Scotland Group PLC, Series N	6.350%	A1		2,688,163
	106,200	Royal Bank of Scotland Group PLC	6.600%	Aa3		2,479,770
	18,000	Royal Bank of Scotland PLC, Series T	7.250%	Aa3		451,800
	15,100	SunAmerica CORTS	6.700%	AA		368,289
	2,600	USB Capital Trust VI	5.750%	Aa3		55,068
	5,000	USB Capital Trust VII	5.875%	Aa3		108,100
	43,500	USB Capital Trust XI	6.600%	A1		1,021,380
	35,370	VNB Capital Trust I	7.750%	A3		887,433
	142,870	Wachovia Capital Trust IX	6.375%	A1		3,296,011
	285,091	Wachovia Trust IV	6.375%	A1		6,659,726
	4,700	Wells Fargo Capital Trust IX	5.625%	Aa2		102,977
	475,500	Wells Fargo Capital Trust V	7.000%	Aa2		11,844,705
	101,082	Wells Fargo Capital Trust VII	5.850%	Aa2		2,294,561
	30,200	Wells Fargo Capital Trust XI	6.250%	AA-		688,258
	117,800	Zions Capital Trust B	8.000%	BBB-		2,965,026

		Total Commercial Banks				161,747,590


		Computers & Peripherals – 0.0%

	19,000	IBM Trust IV (CORTS)	7.000%	A+		475,760


		Diversified Financial Services – 4.9%

	101,500	BAC Capital Trust XII	6.875%	Aa3		2,557,800
	8,100	Citigroup Capital Trust IX	6.000%	Aa2		185,247
	197,000	Citigroup Capital Trust VII	7.125%	Aa2		4,928,940
	754,422	Citigroup Capital Trust VIII	6.950%	Aa2		18,475,795
	6,500	Citigroup Capital Trust XI	6.000%	Aa2		148,395
	4,000	Citigroup Capital X	6.100%	Aa2		92,520
	21,400	Citigroup Capital XIV	6.875%	Aa2		532,860
	750,200	CitiGroup Capital XIX	7.250%	Aa2		19,197,618
	298,521	Citigroup Capital XV	6.500%	Aa3		7,021,214
	32,100	Citigroup Capital XVI	6.450%	Aa2		751,461
	14,000	General Electric Capital Corporation	6.000%	AAA		338,100
	27,800	ING Group N.V. WI/DD	7.375%	A1		690,135
	587,320	ING Group N.V.	7.200%	A1		14,301,242
	753,075	ING Group N.V.	7.050%	A		18,209,354
	1,600	JPMorgan Chase Capital Trust XIV	6.200%	Aa3		37,056
	1,800	JPMorgan Chase Capital Trust XVI	6.350%	Aa3		42,624
	236,000	Merrill Lynch Capital Trust I	6.450%	A1		5,409,120
	8,000	Royal Bank of Scotland Public Limited Company, Series 2006Q	6.750%	A1		193,040

		Total Diversified Financial Services				93,112,521


		Diversified Telecommunication Services – 1.0%

	620,200	AT&T Inc.	6.375%	A		14,773,164
	38,500	BellSouth Capital Funding (CORTS)	7.100%	A		827,750
	30,500	BellSouth Corporation (CORTS)	7.000%	A		718,656
	28,000	Verizon Communications (CORTS)	7.625%	A		707,000
	48,100	Verizon Communications (CORTS)	7.375%	A		1,222,702
	50,700	Verizon New England Inc., Series B	7.000%	A3		1,259,895

		Total Diversified Telecommunication Services				19,509,167


		Electric Utilities – 0.3%

	21,100	DTE Energy Trust I	7.800%	Baa3		535,729
	28,900	Entergy Louisiana LLC	7.600%	A-		723,078
	5,300	Entergy Mississippi Inc.	7.250%	A-		133,189
	51,600	FPL Group Capital Inc.	6.600%	A3		1,245,624
	3,000	National Rural Utilities Cooperative Finance Corporation	6.100%	A3		67,950
	1,600	National Rural Utilities Cooperative Finance Corporation	5.950%	A3		36,768
	10,700	PPL Energy Supply LLC	7.000%	BBB		263,755
	4,000	Tennessee Valley Authority, Series A	5.320%	AAA		94,400
	122,500	Virginia Power Capital Trust	7.375%	Baa2		3,073,525

		Total Electric Utilities				6,174,018


		Food Products – 0.2%

	35,100	Dairy Farmers of America Inc., 144A, (8)	7.875%	BBB-		3,671,242


		Household Durables – 0.1%

	72,700	Pulte Homes Inc.	7.375%	BBB-		1,454,000


		Insurance – 10.6%

	1,210,933	Ace Ltd., Series C	7.800%	BBB		30,951,447
	2,100	Aegon N.V.	6.875%	A-		50,127
	1,402,000	Aegon N.V., (8)	6.375%	A-		31,194,500
	4,000,000	AMBAC Finanacial Group Inc.	0.000%	Aa3		3,462,004
	12,233	AMBAC Financial Group Inc.	5.950%	AA		272,184
	237,613	Arch Capital Group Limited, Series B	7.785%	BBB-		5,952,206
	389,973	Arch Capital Group Limited	8.000%	BBB-		9,963,810
	709,600	Berkley WR Corporation, Capital Trust II	6.750%	BBB-		16,597,544
	677,301	Delphi Financial Group, Inc.	8.000%	BBB+		17,291,495
	31,000	Delphi Financial Group, Inc.	7.376%	BBB-		722,300
	6,000,000	Everest Reinsurance Holdings, Inc.	6.600%	Baa1		5,574,642
	200,456	EverestRe Capital Trust II	6.200%	Baa1		4,355,909
	97,100	EverestRe Group Limited	7.850%	Baa1		2,442,065
	2,000	Financial Security Assurance Holdings	6.250%	AA		45,480
	1,401,500	Lincoln National Capital Trust VI	6.750%	A-		33,776,150
	123,700	Markel Corporation	7.500%	BBB-		3,114,766
	903,702	PartnerRe Limited, Series C	6.750%	BBB+		20,875,516
	80,900	PLC Capital Trust III	7.500%	BBB+		2,007,938
	71,800	PLC Capital Trust IV	7.250%	BBB+		1,771,306
	25,500	PLC Capital Trust V	6.125%	BBB+		558,450
	37,800	Protective Life Corporation	7.250%	BBB		933,660
	39,343	Prudential PLC	6.750%	A		944,232
	124,700	RenaissanceRe Holdings Limited, Series B	7.300%	BBB		2,966,613
	27,800	RenaissanceRe Holdings Limited, Series C	6.080%	BBB+		559,892
	18,600	RenaissanceRe Holdings Ltd	6.600%	BBB		393,762
	245,640	XL Capital Ltd, Series B	7.625%	Baa1		6,099,241

		Total Insurance				202,877,239


		IT Services – 0.0%

	2,500	Vertex Industries Inc. (PPLUS)	7.625%	A		63,950


		Media – 2.8%

	52,700	CBS Corporation	7.250%	BBB		1,315,919
	481,000	CBS Corporation	6.750%	BBB		11,043,760
	1,038,100	Comcast Corporation	7.000%	BBB+		25,900,595
	6,200	Comcast Corporation	6.625%	BBB+		145,452
	649,400	Viacom Inc.	6.850%	BBB		15,481,696
	3,000	Walt Disney Company (CORTS)	6.875%	A2		73,950

		Total Media				53,961,372


		Oil, Gas & Consumable Fuels – 0.9%

	680,300	Nexen Inc.	7.350%	Baa3		17,007,500


		Pharmaceuticals – 0.1%

	49,000	Bristol Myers Squibb Company (CORTS)	6.250%	A+		1,165,220


		Real Estate/Mortgage – 9.8%

	30,600	AMB Property Corporation, Series P	6.850%	Baa2		721,854
	77,100	AvalonBay Communities, Inc., Series H	8.700%	BBB		2,008,455
	104,300	Developers Diversified Realty Corporation, Series G	8.000%	BBB-		2,640,876
	1,264,845	Developers Diversified Realty Corporation, Series H	7.375%	BBB-		30,419,522
	125,600	Duke Realty Corporation, Series L	6.600%	BBB		2,858,656
	31,700	Duke Realty Corporation, Series N	7.250%	BBB		775,065
	25,000	Duke-Weeks Realty Corporation, Series B	7.990%	BBB		1,256,250
	100,400	Duke-Weeks Realty Corporation	6.950%	BBB		2,344,340
	96,000	Duke-Weeks Realty Corporation	6.625%	BBB		2,177,280
	312,323	Equity Residential Properties Trust, Series N	6.480%	BBB		7,080,362
	688,600	HRPT Properties Trust, Series B	8.750%	BBB-		17,435,352
	532,700	HRPT Properties Trust, Series C	7.125%	BBB-		13,115,074
	3,997	Prologis Trust, Series C	8.540%	BBB		237,197
	95,275	Prologis Trust, Series G	6.750%	BBB		2,204,664
	4,800	PS Business Parks, Inc., Series I	6.875%	BBB-		105,744
	700	PS Business Parks, Inc., Series K	7.950%	BBB-		17,605
	243,000	PS Business Parks, Inc., Series L	7.600%	BBB-		5,832,000
	131,000	PS Business Parks, Inc., Series O	7.375%	BBB-		3,090,788
	410,588	PS Business Parks, Inc.	7.000%	BBB-		9,238,230
	7,500	PS Business Parks, Inc.	6.700%	BBB-		162,375
	61,900	Public Storage, Inc., Series C	6.600%	BBB+		1,386,560
	149,000	Public Storage, Inc., Series E	6.750%	BBB+		3,379,320
	18,400	Public Storage, Inc., Series F	6.450%	BBB+		402,776
	16,111	Public Storage, Inc., Series H	6.950%	BBB+		375,870
	13,600	Public Storage, Inc., Series I	7.250%	BBB+		334,152
	35,000	Public Storage, Inc., Series K	7.250%	BBB+		854,000
	657,538	Public Storage, Inc., Series M	6.625%	BBB+		14,564,467
	31,500	Public Storage, Inc., Series V	7.500%	BBB+		789,705
	249,836	Public Storage, Inc.	6.750%	BBB+		5,671,277
	30,303	Realty Income Corporation, Series E	6.750%	BBB-		712,121
	166,100	Regency Centers Corporation	7.450%	BBB-		4,061,145
	20,450	Simon Property Group, Inc., Series G	7.890%	BBB		1,019,637
	200	Vornado Realty Trust, Series F	6.750%	BBB-		4,452
	169,000	Vornado Realty Trust, Series G	6.625%	BBB-		3,782,220
	183,000	Vornado Realty Trust, Series H	6.750%	BBB-		4,110,180
	1,542,834	Wachovia Preferred Funding Corporation	7.250%	A2		40,175,397
	127,800	Weingarten Realty Trust, Series E	6.950%	A-		3,127,905

		Total Real Estate/Mortgage				188,472,873


		Thrifts & Mortgage Finance – 1.6%

	70,800	Countrywide Capital Trust III (PPLUS)	8.050%	BBB		1,476,180
	732,590	Countrywide Capital Trust IV	6.750%	BBB		14,102,358
	783,026	Countrywide Capital Trust V	7.000%	BBB		15,073,251

		Total Thrifts & Mortgage Finance				30,651,789


		Wireless Telecommunication Services – 0.1%

	50,600	United States Cellular Corporation	8.750%	A-		1,278,662

		Total $25 Par (or similar) Preferred Securities (cost $907,200,747)				853,201,561


Principal			Weighted Average
Amount (000)		Description (1)	Coupon	Maturity (5)	Ratings (3)	Value


		Variable Rate Senior Loan Interests – 9.0% (5.9% of Total Investments) (4)

		Airlines – 0.2%

$	995	American Airlines, Term Loan	7.414%	12/17/10	BB-	$	974,843
	1,995	Delta Air Lines, Term Loan, WI/DD	TBD	TBD	B		1,938,476

	2,990	Total Airlines					2,913,319


		Auto Components – 0.1%

	1,500	Federal Mogul Corporation, Term Loan A, (11)	6.890%	12/31/07	N/R		1,494,375


		Building Products – 0.5%

	3,586	Building Materials Corporation of America	8.125%	2/22/14	BB		3,312,125
	2,992	Nortek, Inc., Term Loan B	7.610%	8/27/11	Ba2		2,887,558
	997	Stile Acquisition Corporation, Term Loan B	7.360%	4/05/13	BB		940,956
	998	Stile Acquisition Corporation, Term Loan B	7.360%	4/05/13	BB		942,559
	990	TFS Acquisition, Term Loan	8.698%	8/11/13	B+		965,250

	9,563	Total Building Products					9,048,448


		Chemicals – 0.3%

	2,000	Celanese Corporation, Term Loan C, WI/DD	TBD	TBD	BB		1,963,906
	3,000	Hercules Inc., Term Loan B	7.110%	7/11/13	BB		2,958,750

	5,000	Total Chemicals					4,922,656


		Commercial Services & Supplies – 0.2%

	3,349	Aramark Corporation, Term Loan	7.198%	1/24/14	BB-		3,295,499
	239	Aramark, Letter of Credit	7.198%	1/24/14	BB-		235,532

	3,588	Total Commercial Services & Supplies					3,531,031


		Containers & Packaging – 0.1%

	342	Bluegrass Container Company, LLC, 1st Lien Term Loan	7.617%	6/30/13	BB		340,504
	1,143	Bluegrass Container Company, LLC, Term Loan B	7.581%	6/30/13	BB		1,137,999

	1,485	Total Containers & Packaging					1,478,503


		Diversified Consumer Services – 0.3%

	2,000	Laureate Education Inc., Term Loan, WI/DD	TBD	TBD	B1		1,942,500
	3,000	Thomson Learning Center, Term Loan	7.950%	7/05/14	B+		2,915,001

	5,000	Total Diversified Consumer Services					4,857,501


		Diversified Telecommunication Services – 0.1%

	1,510	Intelsat, Ltd., Term Loan B	7.360%	7/01/13	BB+		1,494,126


		Electric Utilities – 0.3%

	5,473	Calpine Corporation	7.448%	3/29/09	N/R		5,409,224


		Energy Equipment & Services – 0.2%

	1,455	Kinder Morgan, Inc., Term Loan	6.639%	5/30/14	Ba2		1,429,182
	2,494	Petroleum Geo-Services, Term Loan	6.950%	7/01/12	Ba2		2,444,395

	3,949	Total Energy Equipment & Services					3,873,577


		Health Care Equipment & Supplies – 0.3%

	6,000	Biomet Term Loan, WI/DD	TBD	TBD	BB-		5,938,929


		Health Care Providers & Services – 1.2%

	495	Community Health Systems, Inc., Delayed Draw, Term Loan, (9)(10)	0.500%	7/25/14	BB		(7,827	)
	7,505	Community Health Systems, Inc., Term Loan	7.756%	7/25/14	BB		7,386,354
	500	Concentra, Inc., Term Loan	7.448%	6/25/14	B+		485,000
	5,960	HCA, Inc. Term Loan	7.448%	11/18/13	BB		5,855,688
	995	Health Management Associates, Term Loan	6.947%	2/28/14	Ba2		948,048
	715	IASIS Healthcare Corporation	5.960%	3/14/14	Ba2		497,665
	191	IASIS Healthcare Corporation	5.024%	3/14/14	Ba2		182,313
	2,083	IASIS Healthcare LLC, Term Loan B	7.359%	3/14/14	Ba2		1,990,883
	747	LifePoint Hospitals Holdings, Inc., Term Loan B	7.165%	4/18/12	BB		729,735
	1,858	Select Medical Corporation, Term Loan	7.477%	2/24/12	Ba2		1,777,034
	998	Select Medical Corporation, Term Loan	7.198%	2/24/12	Ba2		954,275
	447	Sun Healthcare Group, Inc., Term Loan	5.047%	4/12/14	Ba2		271,166
	2,518	Sun Healthcare Group, Inc., Term Loan	7.367%	4/19/14	Ba2		2,442,524
	566	Sun Healthcare Group, Inc., Term Loan	7.229%	4/19/14	Ba2		549,444
	995	Vanguard Health Holding Company, LLC, Replacement Term Loan	7.448%	9/23/11	Ba3		966,400

	26,573	Total Health Care Providers & Services					25,028,702


		Hotels, Restaurants & Leisure – 0.4%

	988	Cedar Fair LP, Term Loan	7.129%	8/30/12	BB		969,807
	999	Intrawest Corporation, Term Loan	7.182%	4/24/08	N/R		988,877
	1,000	Orbitz Worldwide Inc., Term Loan,	8.198%	7/25/14	BB-		978,750
	669	Travelport, Term Loan	7.448%	8/23/13	BB-		653,615
	134	Travelport, Term Loan	7.448%	8/23/13	BB-		131,148
	1,167	Venetian Casino Resort, LLC, Delayed Draw, Term Loan, (9)(10)	0.750%	5/23/08	BB		(27,951	)
	4,821	Venetian Casino Resort, LLC, Term Loan, DD1	6.950%	5/23/14	BB		4,705,742

	9,778	Total Hotels, Restaurants & Leisure					8,399,988


		Independent Power Producers & Energy Traders – 0.2%

	800	NRG Energy Inc., Delayed Draw, Term Loan, (9)(10)	0.500%	2/01/13	BB		(14,000	)
	2,603	NRG Energy Inc., Term Loan	6.948%	2/01/13	Ba1		2,560,284
	1,084	NRG Energy Inc., Term Loan	6.848%	2/01/13	Ba1		1,065,571

	4,487	Total Independent Power Producers & Energy Traders					3,611,855


		Insurance – 0.2%

	3,997	Conseco, Inc., Term Loan	7.129%	10/10/13	Ba3		3,791,799


		Internet Software & Services – 0.0%

	1,000	Sabre Group Holdings, Inc., Term Loan	7.358%	9/30/14	B+		952,875


		IT Services – 0.2%

	4,000	First Data Term Loan, Tranche B, WI/DD	TBD	TBD	BB-		3,846,668


		Machinery – 0.1%

	1,975	Oshkosh Truck Corporation, Term Loan	7.450%	12/06/13	BBB-		1,950,683


		Media – 2.1%

	1,993	Blockbuster, Inc., Term Loan B	9.623%	8/20/11	B		1,985,849
	2,993	Cequel Communications LLC., Term Loan B	7.373%	11/05/13	B+		3,844,527
	1,075	Charter Communications Operating, LLC, Term Loan	7.360%	3/06/14	B+		1,040,447
	3,000	Charter Communications Operating, LLC, Term Loan	7.130%	3/06/14	B+		2,903,573
	2,500	Citadel Broadcasting Company, Term Loan	6.794%	6/12/14	BB-		2,394,533
	3,990	Discovery Communications, Term Loan	7.198%	5/14/14	N/R		3,925,163
	997	Idearc Inc., Term Loan, WI/DD	TBD	TBD	BBB-		983,772
	1,995	Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, WI/DD	TBD	TBD	N/R		1,914,118
	3,970	Neilsen Finance LLC, Term Loan B	7.360%	8/09/13	Ba3		3,865,744
	954	Philadelphia Newspapers, Term Loan	8.860%	6/29/13	N/R		901,280
	1,990	Readers Digest Association, Term Loan, WI/DD	TBD	TBD	B+		1,893,828
	3,433	Tribune Company, Term Loan	7.860%	6/04/09	BB		3,373,250
	6,000	Tribune Company, Term Loan	8.360%	6/04/14	BB		5,475,831
	483	Univision Communications, Delayed Draw, Term Loan, (9)(10)	1.000%	9/29/14	B+		(22,450	)
	7,517	Univision Communications, Term Loan	7.610%	9/29/14	Ba3		7,167,560

	42,890	Total Media					41,647,025


		Paper & Forest Products – 0.3%

	3,980	Georgia-Pacific Corporation, Term Loan	7.383%	12/21/12	BB+		3,905,967
	1,439	Ply Gem Industries Inc., Term Loan	7.950%	8/15/11	BB-		1,356,458
	54	Ply Gem Industries Inc., Term Loan	7.950%	8/15/11	BB-		50,687

	5,473	Total Paper & Forest Products					5,313,112


		Real Estate Management & Development – 0.2%

	1,000	LNR Property Corporation, Term Loan B	8.110%	7/12/11	BB		970,834
	4,000	Realogy Corporation, Term Loan, WI/DD	TBD	TBD	BB		3,756,000

	5,000	Total Real Estate Management & Development					4,726,834


		Road & Rail – 0.3%

	6,419	Swift Transportation, Term Loan	8.375%	5/10/14	BB-		5,858,122


		Software – 0.2%

	2,860	Dealer Computer Service, Term Loan	7.198%	10/26/12	BB		2,785,163
	1,256	Intergraph Corporation, Term Loan	7.474%	5/29/13	B+		1,225,455

	4,116	Total Software					4,010,618


		Specialty Retail – 0.6%

	6,416	Burlington Coat Factory Warehouse Corporation, Term Loan	7.760%	5/28/11	B2		6,174,284
	3,468	Michaels Stores Inc., Term Loan	7.638%	10/31/13	B		3,370,790
	1,500	Toys “R” Us, Inc., Term Loan	8.665%	12/08/08	B3		1,489,531

	11,384	Total Specialty Retail					11,034,605


		Wireless Telecommunication Services – 0.4%

	6,000	Asurion Corporation, Term Loan	8.360%	7/03/14	N/R		5,840,001
	1,995	Leap Wireless International Inc., Term Loan	7.448%	1/10/12	Ba2		1,974,168

	7,995	Total Wireless Telecommunication Services					7,814,169

$	181,145	Total Variable Rate Senior Loan Interests (cost $175,837,078)					172,948,744


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


		Convertible Bonds – 9.8% (6.4% of Total Investments)

		Aerospace & Defense – 0.2%

$	550	Alliant Techsystems, Inc., Convertible Bonds	2.750%	2/15/24	B+	$	789,938
	650	DRS Technologies, Inc., Convertible Bonds, 144A	2.000%	2/01/26	B+		702,000
	1,100	L-3 Communications Corporation, Convertible Bond	3.000%	8/01/35	BB+		1,278,750
	1,050	Lockheed Martin Corporation	5.325%	8/15/33	A-		1,601,880

	3,350	Total Aerospace & Defense					4,372,568


		Auto Components – 0.1%

	400	Goodyear Tire & Rubber Company, Convertible Bonds	4.000%	6/15/34	B		1,023,000


		Biotechnology – 0.5%

	5,450	Amgen Inc., 144A	0.125%	2/01/11	A+		5,088,938
	1,350	Amgen Inc.	0.375%	2/01/13	A+		1,233,563
	900	Cephalon, Inc., Series B	2.000%	6/01/15	B-		1,517,625
	1,400	Genzyme Corporation	1.250%	12/01/23	BBB		1,487,500

	9,100	Total Biotechnology					9,327,626


		Capital Markets – 0.0%

	350	BlackRock Inc.	2.625%	2/15/35	A+		616,438


		Commercial Banks – 0.2%

	3,850	U.S. Bancorp, Convertible Bonds	3.606%	8/06/37	AA		3,837,295


		Communications Equipment – 0.5%

	1,050	Ciena Corporation, Convertible Bond	0.875%	6/15/17	B		1,186,500
	3,050	Ciena Corporation	3.750%	2/01/08	B		3,042,375
	300	CommScope Inc.	1.000%	3/15/24	Ba3		698,625
	1,350	Liberty Media Corporation, Senior Debentures Exchangeable for Motorola Common Stock	3.500%	1/15/31	BB+		1,100,289
	1,050	Lucent Technologies Inc.	2.750%	6/15/23	Ba2		1,006,688
	656	Nortel Networks Corp.	4.250%	9/01/08	B-		646,980
	650	Nortel Networks Corporation, Convertible Bonds, 144A	1.750%	4/15/12	B-		546,000
	700	Nortel Networks Corporation, Convertible Bonds, 144A	2.125%	4/15/14	B-		572,250

	8,806	Total Communications Equipment					8,799,707


		Computers & Peripherals – 0.4%

	1,750	EMC Corporation, Convertible Bonds 144A	1.750%	12/01/11	BBB+		2,489,375
	1,400	EMC Corporation, Convertible Bonds 144A	1.750%	12/01/13	BBB+		2,007,250
	500	Maxtor Corporation, Convertible Bonds	2.375%	8/15/12	BB+		786,875
	1,750	Sandisk Corporation, Convertible Bond	1.000%	5/15/13	BB-		1,671,250

	5,400	Total Computers & Peripherals					6,954,750


		Construction & Engineering – 0.1%

	350	Fluor Corporation, Convertible Bonds	1.500%	2/15/24	A3		902,563
	500	Quanta Services, Inc., Convertible Bonds	4.500%	10/01/23	B+		1,210,000

	850	Total Construction & Engineering					2,112,563


		Consumer Finance – 0.0%

	350	Americredit Corp.	1.750%	11/15/23	B+		374,938


		Containers & Packaging – 0.0%

	750	Sealed Air Corporation, 144A	3.000%	6/30/33	BBB		720,000


		Diversified Financial Services – 0.0%

	350	Leucadia National Corporation, Convertible Bonds	3.750%	4/15/14	BB-		774,813


		Diversified Telecommunication Services – 0.1%

	1,400	Qwest Communications International Inc., Convertible Bond	3.500%	11/15/25	Ba3		2,324,000


		Electric Utilities – 0.1%

	700	Centerpoint Energy Inc., Convertible Bond	3.750%	5/15/23	BBB-		1,014,125
	700	Covanta Holding Corporation, Convertible Bonds	1.000%	2/01/27	B1		715,750

	1,400	Total Electric Utilities					1,729,875


		Electrical Equipment – 0.0%

	350	General Cable Corporation, Convertible Bonds	0.875%	11/15/13	B+		511,438


		Electronic Equipment & Instruments – 0.2%

	700	Anixter Internatinal Inc., Convertible Bond	0.000%	7/07/33	BB-		874,125
	1,000	Roper Industries Inc.	1.481%	1/15/34	BB+		827,500
	700	Solectron Corporation, Series B	0.500%	2/15/34	BB-		689,500
	700	Tech Data Corporation, Convertible Bonds	2.750%	12/15/26	BBB-		686,875
	700	Vishay Intertechnology Inc.	3.625%	8/01/23	B+		700,875

	3,800	Total Electronic Equipment & Instruments					3,778,875


		Energy Equipment & Services – 1.1%

	1,050	Halliburton Company, Convertible Bond	3.125%	7/15/23	A		2,165,625
	5,600	Nabors Industries Inc., Convertible Bond Series 144A	0.940%	5/15/11	A-		5,397,000
	1,250	Nabors Industries Inc., Convertible Bond Series 144A	0.940%	5/15/11	A-		1,204,688
	6,900	Nabors Industries Inc.	0.000%	6/15/23	NA		7,210,500
	1,050	Schlumberger Limited, Convertible Bonds	1.500%	6/01/23	A+		3,048,938
	750	Schlumberger Limited	2.125%	6/01/23	A+		1,969,688
	850	Transocean Inc.	1.500%	5/15/21	BBB+		1,340,875

	17,450	Total Energy Equipment & Services					22,337,314


		Food Products – 0.1%

	1,250	Archer Daniels Midland Company, Convertible Bonds, 144A	0.875%	2/15/14	A		1,201,563
	1,400	General Mills, Inc., Convertible Bonds, (12)	5.733%	4/11/37	BBB+		1,409,696

	2,650	Total Food Products					2,611,259


		Health Care Equipment & Supplies – 0.4%

	750	Beckman Coulter Inc., Convertible Bonds, 144A	2.500%	12/15/36	BBB		878,438
	3,400	Medtronic, Inc., Convertible Bond	1.500%	4/15/11	AA-		3,778,250
	1,100	Medtronic, Inc., Convertible Bond	1.625%	4/15/13	AA-		1,244,375
	250	Medtronic, Inc.	1.500%	4/15/11	AA-		277,813
	1,050	Saint Jude Medical, Inc., Convertible Bonds	1.220%	12/15/08	BBB+		1,072,313

	6,550	Total Health Care Equipment & Supplies					7,251,189


		Health Care Providers & Services – 0.7%

	650	AmeriGroup Corporation, Convertible Bond	2.000%	5/15/12	BB		669,500
	1,250	Health Management Associates Inc.	1.500%	8/01/23	Baa3		1,229,688
	350	Laboratory Corporation of America Holdings	0.000%	9/11/21	BBB-		369,250
	1,350	Lifepoint Hospitals, Inc., Convertible Bonds	3.500%	5/15/14	B		1,208,250
	350	Manor Care Inc., Convertible Bond	2.000%	6/01/36	BBB		460,688
	850	Manor Care, Inc.	2.125%	8/01/35	BBB-		1,246,313
	8,637	Omnicare, Inc.	3.250%	12/15/35	BB-		7,028,359
	300	Saint Jude Medical, Inc., Convertible Bonds	1.220%	12/15/08	BBB+		306,375

	13,737	Total Health Care Providers & Services					12,518,423


		Hotels, Restaurants & Leisure – 0.5%

	4,250	Caesars Entertainment Inc.	5.360%	4/15/24	Baa3		5,746,000
	1,050	Carnival Corporation	2.000%	4/15/21	A-		1,324,313
	700	Hilton Hotels Corporation	3.375%	4/15/23	BB+		1,450,750
	1,550	International Game Technology	2.600%	12/15/36	BBB		1,546,125
	50	International Game Technology	2.600%	12/15/36	BBB		49,875

	7,600	Total Hotels, Restaurants & Leisure					10,117,063


		Industrial Conglomerates – 0.1%

	1,400	3M Company	0.000%	11/21/32	Aa1		1,302,000


		Insurance – 0.3%

	350	American Equity Investment Life Holding Company	5.250%	12/06/24	BB+		369,688
	1,050	American Financial Group Inc.	1.486%	6/02/33	BBB		531,563
	700	Aon Corporation, Convertible Bonds	3.500%	11/15/12	BBB+		1,463,000
	3,850	Prudential Financial, Inc., Convertible Bonds	3.325%	12/12/36	A+		3,960,996

	5,950	Total Insurance					6,325,247


		Internet & Catalog Retail – 0.1%

	700	Amazon.com Inc., Convertible Bonds	4.750%	2/01/09	Ba3		865,375
	350	Priceline.com, Inc., Convertible Bonds	0.500%	9/30/11	B+		781,375
	350	Priceline.com, Inc., Convertible Bonds	0.750%	9/30/13	B+		777,438

	1,400	Total Internet & Catalog Retail					2,424,188


		Internet Software & Services – 0.0%

	700	Yahoo! Inc., Convertible Bond	0.000%	4/01/08	BBB-		927,500


		IT Services – 0.1%

	1,400	Electronic Data Systems Corporation, Convertible Bonds	3.875%	7/15/23	BBB-		1,410,500


		Leisure Equipment & Products – 0.1%

	700	Eastman Kodak Company	3.375%	10/15/33	B		746,375
	400	Hasbro Inc.	2.750%	12/01/21	BBB		530,500

	1,100	Total Leisure Equipment & Products					1,276,875


		Life Sciences Tools & Services – 0.1%

	500	Apogent Technologies, Inc., Convertible Bonds	4.396%	12/15/33	BBB+		1,012,850
	700	Charles River Laboratories International, Inc.	2.250%	6/15/13	BB-		899,500
	350	Fisher Scientific International, Inc., Convertible Bonds	2.500%	10/01/23	BBB+		869,750

	1,550	Total Life Sciences Tools & Services					2,782,100


		Machinery – 0.2%

	1,400	Danaher Corporation, Convertible Bonds	0.000%	1/22/21	A+		1,692,250
	350	Kaydon Corporation, Convertible Bonds	4.000%	5/23/23	BB-		628,688
	700	Trinity Industries Inc., Convertible Bonds	3.875%	6/01/36	BB-		728,875

	2,450	Total Machinery					3,049,813


		Media – 0.7%

	300	ELF Special Financing Limited, Convertible Bonds, 144A	6.082%	6/15/09	Ba3		331,530
	800	ELF Special Financing Limited, Convertible Bonds, 144A	6.044%	6/15/09	Ba3		867,760
	550	Getty Images, Inc., Convertible Bonds	0.500%	6/09/23	Ba2		530,063
	700	Interpublic Group Companies Inc.	4.500%	3/15/23	Ba3		756,875
	700	Interpublic Group, Inc., Convertible Bonds	4.250%	3/15/23	Ba3		776,125
	400	Lamar Advertising Company, Convertible	2.875%	12/31/10	B1		460,500
	1,550	Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1	4.000%	11/15/29	BB+		1,007,500
	2,100	Liberty Media Corporation	0.750%	3/30/23	BB+		2,328,375
	1,050	Omnicom Group Inc.	0.000%	7/01/38	A-		1,131,375
	1,750	Omnicom Group, Inc.	0.000%	2/07/31	A-		1,809,063
	700	Sinclair Broadcast Group, Inc., Convertible Bonds	3.000%	5/15/27	B		659,750
	2,100	Walt Disney Company, Convertible Senior Notes	2.125%	4/15/23	A2		2,569,875

	12,700	Total Media					13,228,791


		Metals & Mining – 0.1%

	900	Newmont Mining Corporation	1.625%	7/15/17	BBB+		1,027,125


		Multiline Retail – 0.0%

	350	Saks, Inc., Convertible Bonds	2.000%	3/15/24	B+		526,313


		Oil, Gas & Consumable Fuels – 0.7%

	1,400	Chesapeake Energy Corporation, 144A	2.750%	11/15/35	BB		1,543,500
	2,450	Chesapeake Energy Corporation, Convertible Bonds	2.500%	5/15/37	BB		2,514,313
	350	Devon Energy Corporation	4.900%	8/15/08	Baa1		612,938
	7,900	Peabody Energy Corp., Convertible Bond	4.750%	12/15/66	Ba3		8,334,500

	12,100	Total Oil, Gas & Consumable Fuels					13,005,251


		Pharmaceuticals – 0.4%

	700	Allergan Inc., Convertible Bond	1.500%	4/01/26	A		812,875
	1,050	Bristol-Myers Squibb Company, Convertible Bond	5.194%	9/15/23	A+		1,059,240
	895	Teva Pharmaceutical Finance, Series A	0.500%	2/01/24	BBB		1,086,306
	1,100	Teva Pharmaceutical Finance, Series B	0.250%	2/01/24	BBB		1,431,375
	1,050	Watson Pharmaceuticals Inc., Convertible Bond	1.750%	3/15/23	BB+		1,025,063
	2,100	Wyeth, Convertible Bond	4.888%	1/15/24	A+		2,223,417

	6,895	Total Pharmaceuticals					7,638,276


		Real Estate – 0.7%

	750	Archstone-Smith Trust, Corporate Bond Convertible	4.000%	7/15/36	BBB+		785,625
	1,750	Boston Properties Limited Partnership, Convertible Bonds, 144A	2.875%	2/15/37	BBB+		1,671,250
	650	Brandywine Operating Partnership, Convertible Bonds	3.875%	10/15/26	BBB-		604,500
	750	BRE Properties Inc., Convertible Bond	4.125%	8/15/26	BBB		763,125
	1,050	Developers Diversified Realty Corporation, Convertible Bonds	3.000%	3/15/12	BBB		988,313
	700	Duke Realty Corporation, Series D	3.750%	12/01/11	BBB+		664,125
	350	Health Care REIT, Inc., Convertible Bonds	4.750%	12/01/26	Baa2		364,000
	1,100	Hospitality Properties Trust, Convertible Bonds	3.800%	3/15/27	BBB		1,058,750
	700	Host Hotels & Resorts Inc, Convertible Bonds, 144A	2.625%	4/15/27	BB		634,375
	550	Host Marriot LP, Convertible Bonds, 144A	3.250%	4/15/24	Ba1		769,313
	1,400	Prologis, Convertible Bonds, 144A	2.250%	4/01/37	BBB+		1,433,250
	900	Vornado Realty Trust, Convertible Bonds	2.850%	4/01/27	BBB		847,125
	1,000	Vornado Realty, Convertible Bond	3.875%	4/15/25	BBB		1,293,750
	900	Weingarten Realty Investment Trust, Convertible Bonds	3.950%	8/01/26	A-		919,125

	12,550	Total Real Estate					12,796,626


		Real Estate Management & Development – 0.0%

	550	Forest City Enterprises, Inc., Convertible Bonds	3.625%	10/15/11	BB-		565,180


		Road & Rail – 0.0%

	350	CSX Corporation	0.000%	10/30/21	BBB-		532,000


		Semiconductors & Equipment – 0.5%

	700	Advanced Micro Devices Inc., Convertible Bond	5.750%	8/15/12	B		722,750
	1,400	Advanced Micro Devices, Inc., Convertible Bonds	6.000%	5/01/15	B		1,265,250
	2,450	Intel Corporation, Convertible Bond	2.950%	12/15/35	A-		2,548,000
	1,750	Micron Technology, Inc.	1.875%	6/01/14	BB-		1,712,813
	350	ON Semiconductor Corporation, Convertible Bonds	0.000%	4/15/24	B		479,063
	700	ON Semiconductor Corporation	2.625%	12/15/26	B		971,250
	1,000	Xilinx Inc., Convertible Bond, 144A	3.125%	3/15/37	BB		980,000
	50	Xilinx Inc., Convertible Bond, 144A	3.125%	3/15/37	BB		49,000

	8,400	Total Semiconductors & Equipment					8,728,126


		Software – 0.1%

	350	Amdocs Limited	0.500%	3/15/24	BBB-	370,125
	350	Computer Associates International Inc., Convertible Bond, Series 144A	1.625%	12/15/09	Ba1	471,188
	700	Red Hat Inc., Convertible Bond	0.500%	1/15/24	B+	707,875

	1,400	Total Software				1,549,188


		Specialty Retail – 0.1%

	1,050	TJX Companies, Inc.	0.000%	2/13/21	A-	1,030,313
	700	United Auto Group, Inc., Convertible Bonds	3.500%	4/01/26	B	740,250

	1,750	Total Specialty Retail				1,770,563


		Textiles, Apparel & Luxury Goods – 0.0%

	350	Iconix Brand Group, Inc.	1.875%	6/30/12	B-	378,438


		Thrifts & Mortgage Finance – 0.2%

	3,500	Countrywide Financial Corporation, Convertible Bonds, 144A	1.860%	4/15/37	A	3,211,600


		Wireless Telecommunication Services – 0.1%

	550	American Tower Corporation	3.000%	8/15/12	BB+	1,193,500
	1,600	Liberty Media Corporation Convertible Bonds	3.750%	2/15/30	BB+	936,000

	2,150	Total Wireless Telecommunication Services				2,129,500

$	168,388	Total Convertible Bonds (cost $182,628,370)				188,678,334


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


		Corporate Bonds – 9.0% (5.8% of Total Investments)

		Aerospace & Defense – 0.1%

$	1,000	Hexcel Corporation, Term Loan	6.750%	2/01/15	B+	$	992,500


		Auto Components – 0.0%

	800	Keystone Automotive Operations Inc.	9.750%	11/01/13	CCC+		656,000


		Chemicals – 0.2%

	1,000	Nell AF Sarl	8.375%	8/15/15	B		917,500
	3,000	Rockwood Specialties Group Inc., Series WI	7.500%	11/15/14	B-		3,007,500

	4,000	Total Chemicals					3,925,000


		Commercial Services & Supplies – 0.1%

	900	Williams Scotsman Inc.	8.500%	10/01/15	B+		994,500


		Containers & Packaging – 0.3%

	3,000	Owens-Brockway Glass Containers, Guaranteed Senior Note	8.250%	5/15/13	B		3,120,000
	3,000	Owens-Illinois Inc.	7.500%	5/15/10	B		3,037,500

	6,000	Total Containers & Packaging					6,157,500


		Diversified Telecommunication Services – 0.1%

	2,000	Intelsat Subsidiary Holding Company Limited	8.500%	1/15/13	B		2,040,000
	750	Syniverse Technologies Inc., Series B	7.750%	8/15/13	B		720,000

	2,750	Total Diversified Telecommunication Services					2,760,000


		Electric Utilities – 0.1%

	500	Mirant North America LLC	7.375%	12/31/13	B2		510,000
	1,000	Sierra Pacific Resources, Series 2006	6.750%	8/15/17	B1		988,750

	1,500	Total Electric Utilities					1,498,750


		Energy Equipment & Services – 0.1%

	2,500	Pride International Inc.	7.375%	7/15/14	Ba2		2,575,000


		Food & Staples Retailing – 0.1%

	2,000	Stater Brothers Holdings Inc.	8.125%	6/15/12	B+		2,047,500


		Food Products – 0.4%

	4,610	Del Monte Corporation	8.625%	12/15/12	B		4,702,200
	1,096	Dole Foods Company	8.625%	5/01/09	B-		1,104,220
	2,700	Dole Foods Company	7.875%	7/15/13	B-		2,646,000

	8,406	Total Food Products					8,452,420


		Health Care Providers & Services – 0.3%

	2,000	Community Health Systems, Inc.	8.875%	7/15/15	B-		2,065,000
	700	HCA Inc.	9.125%	11/15/14	BB-		740,250
	700	HCA Inc.	9.250%	11/15/16	BB-		745,500
	3,000	US Oncology Inc.	10.750%	8/15/14	B3		3,112,500

	6,400	Total Health Care Providers & Services					6,663,250


		Hotels, Restaurants & Leisure – 1.1%

	4,075	Boyd Gaming Corporation	7.750%	12/15/12	Ba3		4,207,438
	1,500	Herbst Gaming Inc.	7.000%	11/15/14	B-		1,237,500
	1,650	Jacobs Entertainment Inc.	9.750%	6/15/14	B-		1,650,000
	2,000	Landry’s Restaurants Inc., Series B	7.500%	12/15/14	B3		2,000,000
	1,000	Park Place Entertainment	7.875%	3/15/10	Ba1		1,025,000
	2,000	Pinnacle Entertainment Inc.	8.250%	3/15/12	B-		2,035,000
	3,000	Pinnacle Entertainment Inc.	8.750%	10/01/13	B-		3,105,000
	1,750	Seminole Hard Rock Entertainment, Inc.	8.220%	3/15/14	BB		1,717,188
	4,000	Universal City Development Partners	11.750%	4/01/10	B1		4,190,000

	20,975	Total Hotels, Restaurants & Leisure					21,167,126


		Independent Power Producers & Energy Traders – 0.1%

	600	NRG Energy Inc.	7.250%	2/01/14	B1		603,000
	600	NRG Energy Inc.	7.375%	2/01/16	B1		603,000

	1,200	Total Independent Power Producers & Energy Traders					1,206,000


		Insurance – 0.3%

	5,000	Progressive Corporation	6.700%	6/13/37	A2		4,859,420


		IT Services – 0.4%

	1,950	Global Cash Access LLC	8.750%	3/15/12	B-		2,028,000
	4,750	Sungard Data Systems Inc.	9.125%	8/15/13	B-		4,963,750

	6,700	Total IT Services					6,991,750


		Machinery – 0.2%

	3,000	Greenbrier Companies, Inc.	8.375%	5/15/15	B+		3,007,500


		Media – 2.3%

	6,900	Allbritton Communications Company, Series B	7.750%	12/15/12	B1		7,003,500
	2,000	AMC Entertainment Inc.	8.000%	3/01/14	B2		1,915,000
	5,000	Cablevision Systems Corporation, Series B	8.125%	8/15/09	B+		5,100,000
	3,000	Cablevision Systems Corporation	7.250%	7/15/08	B+		3,015,000
	2,000	Cablevision Systems Corporation	8.125%	7/15/09	B+		2,040,000
	2,000	Charter Communications Operating LLC, 144A	8.000%	4/30/12	B+		2,000,000
	1,000	Dex Media West LLC	8.500%	8/15/10	Ba3		1,032,500
	2,198	Dex Media West LLC	9.875%	8/15/13	B1		2,349,113
	4,000	Medianews Group Inc.	6.375%	4/01/14	B		2,980,000
	1,950	Panamsat Corporation	9.000%	8/15/14	B2		2,018,250
	2,000	Sun Media Corporation	7.625%	2/15/13	Ba1		1,975,000
	6,200	Vertis Inc.	9.750%	4/01/09	B1		6,324,000
	5,500	Young Broadcasting Inc., Senior Subordinated Note	10.000%	3/01/11	Caa1		5,101,250
	2,000	Young Broadcasting Inc.	8.750%	1/15/14	Caa1		1,700,000

	45,748	Total Media					44,553,613


		Multi-Utilities – 0.3%

	2,600	Bon-Ton Department Stores Inc.	10.250%	3/15/14	B-		2,444,000
	2,400	Dynegy Holdings Inc.	8.375%	5/01/16	B2		2,424,000
	500	Northwestern Corporation	5.875%	11/01/14	BBB		488,152

	5,500	Total Multi-Utilities					5,356,152


		Oil, Gas & Consumable Fuels – 0.7%

	600	Chaparral Energy Inc.	8.500%	12/01/15	CCC+		565,500
	4,345	Chesapeake Energy Corporation	7.750%	1/15/15	BB		4,491,644
	1,000	Hilcorp Energy I LP/Hilcorp Finance Company, Series 144A	7.750%	11/01/15	B		982,500
	2,000	Premcor Refining Group Inc.	7.500%	6/15/15	BBB		2,086,362
	3,000	SemGroup LP, 144A	8.750%	11/15/15	B1		2,947,500
	1,500	Whiting Petroleum Corporation	7.000%	2/01/14	B1		1,447,500

	12,445	Total Oil, Gas & Consumable Fuels					12,521,006


		Paper & Forest Products – 0.4%

	5,000	Georgia-Pacific Corporation	8.125%	5/15/11	B		5,100,000
	2,000	Georgia-Pacific Corporation	7.700%	6/15/15	B		2,000,000

	7,000	Total Paper & Forest Products					7,100,000


		Personal Products – 0.1%

	1,600	Prestige Brands Inc.	9.250%	4/15/12	B-		1,624,000


		Real Estate – 0.2%

	3,000	Felcor Lodging Trust Inc., 144A	0.000%	12/01/11	Ba3		2,992,500
	1,000	Trustreet Properties, Inc.	7.500%	4/01/15	AAA		1,072,585
	500	Ventas Realty LP, Series WI	7.125%	6/01/15	BB+		512,500

	4,500	Total Real Estate					4,577,585


		Semiconductors & Equipment – 0.2%

	2,400	Avago Technologies Finance Pte Limited	10.375%	12/01/13	B		2,592,000
	2,000	NXP BV	8.110%	10/15/13	BB		1,865,000

	4,400	Total Semiconductors & Equipment					4,457,000


		Software – 0.1%

	2,000	Telcorida Technologies, Inc.	9.396%	7/15/12	B		1,875,000


		Specialty Retail – 0.4%

	1,000	Quiksilver Inc.	6.875%	4/15/15	Ba3		962,500
	7,000	Warnaco Inc., Senior Notes	8.875%	6/15/13	BB-		7,367,500

	8,000	Total Specialty Retail					8,330,000


		Textiles, Apparel & Luxury Goods – 0.2%

	4,000	Jostens IH Corporation	7.625%	10/01/12	B1		4,090,000


		Trading Companies & Distributors – 0.1%

	2,000	United Rentals North America Inc.	6.500%	2/15/12	B+		2,035,000


		Wireless Telecommunication Services – 0.1%

	1,500	IPCS, Inc.	7.485%	5/01/13	B1		1,462,500

$	171,824	Total Corporate Bonds (cost $175,608,144)					171,936,072


Shares		Description (1)	Coupon	Maturity	Ratings (3)	Value


		Capital Preferred Securities – 28.7% (18.7% of Total Investments)

		Capital Markets – 3.2%

	1,250	C.A. Preferred Fund Trust II	7.000%	10/30/49	A1	$	1,234,545
	30,250	C.A. Preferred Funding Trust	7.000%	1/30/49	A1		29,801,907
	3,000	Compass Trust I, Series A	8.230%	1/15/27	A2		3,123,450
	12,400	Dresdner Funding Trust I, 144A	8.151%	6/30/31	A1		13,486,364
	2,000	First Hawaiian Capital Trust I, Series B	8.343%	7/01/27	A-		2,083,430
	3,500	First Union Capital Trust II, Series A	7.950%	11/15/29	A1		3,929,293
	6,700	Kleinwort Benson Group PLC	5.848%	12/31/99	NA		5,726,457
	2,200	MUFG Capital Finance 2	4.850%	7/25/56	BBB+		2,778,269

		Total Capital Markets					62,163,715


		Commercial Banks – 16.5%

	2,000	AB Svensk Exportkredit, 144A	6.375%	10/27/49	AA-		1,982,712
	8,000	Abbey National Capital Trust I	8.963%	6/30/50	A+		9,790,632
	43,100	AgFirst Farm Credit Bank	7.300%	12/15/53	A-		42,494,747
	13,070	Bank One Capital III	8.750%	9/01/30	Aa3		15,638,477
	2,600	BankAmerica Institutional Capital Trust, Series B, 144A	7.700%	12/31/26	Aa2		2,698,280
	1,000	BanPonce Trust I, Series A	8.327%	2/01/27	A3		1,041,630
	4,000	Barclays Bank PLC, 144A	8.550%	6/15/49	Aa3		4,328,536
	1,000	Barclays Bank PLC	7.434%	12/15/57	Aa3		1,064,591
	2,500	BBVA International Perferred SA, Unipersonal	5.919%	10/18/49	A1		2,241,088
	1,000	Capital One Capital IV Corporation	6.745%	2/17/37	Baa1		894,251
	2,000	CBG Florida REIT Corporation	7.114%	11/15/49	Baa3		1,933,132
	10,100	DBS Capital Funding Corporation, 144A	7.657%	3/15/49	Aa3		10,845,804
	2,400	Den Norske Bank, 144A	7.729%	6/29/49	Aa3		2,540,590
	5,750	First Empire Capital Trust I	8.234%	2/01/27	A3		5,997,152
	11,000	First Empire Capital Trust II	8.277%	6/01/27	A3		11,474,958
	4,250	First Midwest Bancorp Inc.	6.950%	12/01/33	Baa1		4,404,955
	1,750	HBOS Capital Funding LP, Notes	6.850%	3/23/49	A1		1,671,404
	29,600	HBOS PLC, Series 144A	6.413%	4/01/49	A1		26,282,491
	12,838	HSBC Capital Funding LP, 144A	9.547%	12/31/49	A1		14,085,815
	14,000	HSBC Capital Funding LP, Debt	10.176%	6/30/50	A1		18,795,588
	19,605	KBC Bank Fund Trust III, 144A	9.860%	5/02/50	A1		21,495,883
	4,000	KeyCorp Capital III	7.750%	7/15/29	A3		4,335,472
	8,000	Lloyds TSB Bank PLC, Subordinated Note	6.900%	11/22/49	Aa2		7,980,288
	4,000	Mizuho Financial Group	8.375%	4/27/49	Aa3		4,167,544
	1,000	Nordbanken AB, 144A	8.950%	11/29/49	Aa3		1,070,968
	10,000	North Fork Capital Trust II	8.000%	12/15/27	Baa1		10,431,320
	6,000	Northgroup Preferred Capital Corporation, 144A	6.378%	10/15/57	A1		5,589,612
	2,000	Reliance Capital Trust I, Series B	8.170%	5/01/28	N/R		2,109,792
	6,200	Royal Bank of Scotland Group PLC	9.118%	3/31/49	Aa3		6,642,413
	3,500	Shinsei Finance II Cayman Limited, Perpetual Maturity, 144A	7.160%	7/25/49	Baa2		3,117,188
	3,100	Standard Chartered PLC, 144A	6.409%	1/30/57	BBB+		2,865,132
	11,700	Standard Chartered PLC, 144A	7.014%	1/30/58	BBB+		11,140,342
	14,700	Swedbank ForeningsSparbanken AB, 144A	9.000%	9/17/50	Aa3		15,879,513
	15,290	Unicredito Italiano Capital Trust, 144A	9.200%	4/05/51	A1		16,721,343
	600	Union Bank of Norway	7.068%	11/19/49	A2		908,110
	25,600	Washington Mutual Preferred Funding Cayman, Series A-1, 144A	7.250%	3/15/49	Baa1		22,780,160

		Total Commercial Banks					317,441,913


		Diversified Financial Services – 2.7%

	4,800	Fulton Capital Trust I	6.290%	2/01/36	A3		4,526,242
	18,600	JPMorgan Chase Capital Trust XVIII	6.950%	8/17/36	Aa3		18,340,400
	3,767	MM Community Funding Trust I Limited	8.030%	6/15/31	Aaa		4,106,267
	23,600	Old Mutual Capital Funding, Notes	8.000%	6/22/53	Baa2		24,010,640

		Total Diversified Financial Services					50,983,549


		Diversified Telecommunication Services – 1.1%

	19	Centaur Funding Corporation, Series B, 144A	9.080%	4/21/20	BBB		21,238,425


		Insurance – 4.2%

	2,000	Allstate Corporation	6.500%	5/15/57	A2		1,932,878
	10,000	American General Capital II	8.500%	7/01/30	Aa3		12,339,000
	4,980	American General Institutional Capital, 144A	8.125%	3/15/46	Aa3		5,904,886
	9,800	AXA SA, 144A	6.463%	12/14/49	BBB+		9,069,998
	1,000	Great West Life and Annuity Insurance Company	7.153%	5/16/46	A-		1,029,520
	3,500	Liberty Mutual Group	7.800%	3/15/37	Baa3		3,415,850
	3,500	MetLife Inc.	6.400%	12/15/66	BBB+		3,338,629
	1,550	Nationwide Financial Services Capital Trust	7.899%	3/01/37	Baa1		1,719,880
	4,000	Nationwide Financial Services Inc.	6.750%	5/15/67	Baa1		3,869,052
	7,600	Oil Insurance Limited, 144A	7.558%	12/30/49	Baa1		7,768,743
	1,000	Prudential PLC	6.500%	6/29/49	A		943,312
	9,000	QBE Capital Funding Trust II, 144A	0.000%	6/01/49	BBB		8,840,502
	22,200	XL Capital, Limited	6.500%	10/15/57	BBB		20,771,230

		Total Insurance					80,943,480


		Oil, Gas & Consumable Fuels – 0.5%

	10,355	KN Capital Trust III	7.630%	4/15/28	B1		9,319,987


		Real Estate – 0.0%

	4	PS Business Parks Inc., Series M	7.200%	3/30/55	BBB-		81,410


		Road & Rail – 0.4%

	7,600	Burlington Northern Santa Fe Funding Trust I	6.613%	12/15/55	BBB		6,873,759


		Thrifts & Mortgage Finance – 0.1%

	1,000	Caisse Nationale Des Caisses d’Epargne et de Prevoyance	6.750%	1/27/49	A+		944,624
	1,000	Washington Mutual Preferred Funding Trust II	6.665%	3/15/57	Baa1		863,229

		Total Thrifts & Mortgage Finance					1,807,853

		Total Capital Preferred Securities (cost $585,731,793)					550,854,091


Shares		Description (1)	Value


		Investment Companies – 2.4% (1.6% of Total Investments)

	99,306	Blackrock Preferred and Corporate Income Strategies Fund	$	1,789,494
	663,907	Blackrock Preferred Income Strategies Fund		11,717,959
	86,433	Blackrock Preferred Opportunity Trust		1,786,570
	753,964	Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.		13,737,224
	147,335	Flaherty and Crumrine/Claymore Total Return Fund Inc.		2,740,431
	540,883	John Hancock Preferred Income Fund III		10,904,201
	63,914	John Hancock Preferred Income Fund II		1,408,025
	84,688	John Hancock Preferred Income Fund		1,874,145

		Total Investment Companies (cost $50,233,670)		45,958,049

Principal

Amount (000)

Description (1)

Coupon

Maturity

Value

Short-Term Investments – 10.5% (6.8% of Total Investments)

U.S. Government and Agency Obligations – 0.6%

11,000

United States of America Treasury Bills

4.850%

1/10/08

10,850,478

Repurchase Agreements – 9.9%

189,965

Repurchase Agreement with Fixed Income Clearing Corporation, dated

3.750%

10/01/07

189,965,346

9/28/07, repurchase price $190,024,710, collateralized by $195,970,000

U.S. Treasury Notes, 4.000%, due 2/15/14, value $193,765,338

200,965

Total Short-Term Investments (cost $200,815,824)

200,815,824

Total Investments (cost $2,989,513,388) – 153.2%

2,940,392,808


Shares			Description	Value


			Common Stock Sold Short – (0.6)%

			Health Care Equipment & Supplies – (0.1)%

	(10,700	)	Alcon, Inc.	$	(1,539,944	)


			Internet Software & Services – (0.1)%

	(31,300	)	Bankrate, Inc., (2)		(1,443,556	)


			Multiline Retail – (0.0)%

	(15,100	)	Kohl’s Corporation, (2)		(865,683	)


			Pharmaceuticals – (0.2)%

	(26,600	)	Allergan, Inc.		(1,714,902	)
	(44,500	)	Merck & Co., Inc.		(2,300,205	)

			Total Pharmaceuticals		(4,015,107	)


			Specialty Retail – (0.1)%

	(11,600	)	AutoZone, Inc., (2)		(1,347,224	)

			Textiles, Apparel & Luxury Goods – (0.1)%

	(30,900	)	Coach, Inc., (2)		(1,460,643	)


			Thrifts & Mortgage Finance – (0.0)%

	(300	)	FirstFed Financial Corporation, (2)		(14,865	)

			Total Common Stocks Sold Short (proceeds $11,067,027)		(10,687,022	)


			Notional		Expiration	Strike
Contracts		Type	Amount (6)		Date	Price		Value


		Call Options Written – (0.6)% (7)

	1,105	AGCO Corporation	$	4,420,000	1/19/08	$	40.0	$	(1,331,525	)
	4,440	Allied Waste Industries		5,550,000	1/19/08		12.5		(488,400	)
	450	Ameren Corporation		2,250,000	12/22/07		50.0		(162,000	)
	450	Amgen, Inc.		2,587,500	1/19/08		57.5		(139,500	)
	388	Amgen, Inc.		1,940,000	4/19/08		50.0		(365,690	)
	1,340	Anglogold Limited		6,030,000	1/19/08		45.0		(690,100	)
	2,070	Apex Silver Mines Limited		4,140,000	1/19/08		20.0		(382,950	)
	640	Arch Coal, Inc.		1,920,000	1/19/08		30.0		(339,200	)
	610	Astrazenica PLC		3,050,000	1/19/08		50.0		(184,525	)
	430	Astrazenica PLC		2,365,000	1/19/08		55.0		(43,000	)
	1,440	Barrick Gold Corporation		4,680,000	1/19/08		32.5		(1,252,800	)
	1,230	BP Amoco, PLC		9,225,000	1/19/08		75.0		(162,975	)
	1,510	Chunghwa Telecom Company Limited, (12)		2,642,500	3/22/08		17.5		(287,492	)
	2,400	Crystallex International Corporation		1,200,000	10/20/07		5.0		(12,000	)
	480	EBay, Inc.		1,560,000	1/19/08		32.5		(364,800	)
	1,500	Gold Fields Limited		2,625,000	1/19/08		17.5		(296,250	)
	690	KT Corporation		1,725,000	1/19/08		25.0		(101,775	)
	1,080	Matsushita Electric Industrial Company Limited		1,890,000	12/22/07		17.5		(180,900	)
	2,470	Newmont Mining Corporation		11,115,000	1/19/08		45.0		(790,400	)
	710	Nexen, Inc.		2,130,000	12/22/07		30.0		(172,175	)
	3,920	Nipon Telegraph & Telephone Corporation		8,820,000	12/22/07		22.5		(617,400	)
	1,075	Peabody Energy Corporation		4,837,500	1/19/08		45.0		(645,000	)
	740	Progress Energy, Inc.		3,330,000	1/19/08		45.0		(231,250	)
	1,870	Puget Energy, Inc.		4,675,000	1/19/08		25.0		(149,600	)
	1,110	Royal Dutch Shell PLC		8,880,000	1/19/08		80.0		(593,850	)
	540	Sanofi Aventis		2,295,000	12/22/07		42.5		(101,250	)
	770	Scholastic Corporation		2,310,000	3/22/08		30.0		(481,250	)
	2,030	Smithfield Foods, Inc.		6,090,000	1/19/08		30.0		(690,200	)
	670	Tech Data Corporation		2,680,000	1/17/09		40.0		(395,300	)
	2,220	Tyson Foods, Inc.		4,995,000	1/19/08		22.5		(33,300	)

	40,378	Total Call Options Written (premiums received $9,524,489)		121,957,500					(11,686,857	)

		Other Assets Less Liabilities – (1.7)%							(33,902,396	)

		Preferred Shares, at Liquidation Value – (50.3)%							(965,000,000	)

		Net Assets Applicable to Common Shares – 100%						$	1,919,116,533

Interest Rate Swaps outstanding at September 30, 2007:

Fund

Fixed Rate

Unrealized

Notional

Pay/Receive

Floating Rate

Fixed Rate

Payment

Termination

Appreciation

Counterparty

Amount

Floating Rate

Index

(Annualized)

Frequency

Date

(Depreciation)

JPMorgan

97,000,000

Receive

1-Month USD-LIBOR

3.360

Monthly

1/23/09

1,691,086

Morgan Stanley

97,000,000

Receive

1-Month USD-LIBOR

3.048

Monthly

1/23/08

696,961

2,388,047

USD-LIBOR (United States Dollar-London Inter-Bank Offered Rate)


(1)		All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.

(2)		Non-income producing.

(3)		Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.

(4)		Senior Loans in which the Fund invests 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.

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

(7)		The Fund may designate up to 100% of its Common Stock investments to cover outstanding Call Options Written.

(8)		Investment is eligible for the Dividends Received Deduction.

(9)		Position or portion of position represents an unfunded Senior Loan commitment outstanding at September 30, 2007.

(10)		Negative value represents unrealized depreciation on Senior Loan commitment at September 30, 2007.

(11)		At or subsequent to September 30, 2007, this issue was under the protection of the Federal Bankruptcy Court.

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

N/R		Not rated.

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

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

ADR		American Depositary Receipt.

CORTS		Corporate Backed Trust Securities.

DD1		Portion of investment purchased on a delayed delivery basis.

PPLUS		PreferredPlus Trust.

SATURNS		Structured Asset Trust Unit Repackaging.

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

Income Tax Information

The following information is presented on an income tax basis based on the information currently available to the Funds. 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, recognition of income on REIT investments, timing differences in the recognition of income and timing differences in recognizing certain gains and losses on investment transactions.

At September 30, 2007, the cost of investments was $3,015,338,110.

Gross unrealized appreciation and gross unrealized depreciation of investments at September 30, 2007, were as follows:




Gross unrealized:
Appreciation	$	77,443,377
Depreciation		(152,388,679	)



Net unrealized appreciation (depreciation) of investments	$	(74,945,302	)

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 & Growth Fund 2



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

Date November 29, 2007

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, 2007



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

Date November 29, 2007


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

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