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 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: 9/30/2008

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

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

TABLE OF CONTENTS


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

Item 1. Schedule of Investments

Portfolio of Investments (Unaudited)

Nuveen Multi-Strategy Income and Growth Fund 2 (JQC)
September 30, 2008


Shares		Description (1)	Value


		Common Stocks – 44.2% (26.6% of Total Investments)

		Aerospace & Defense – 0.7%

	15,880	Boeing Company	$	910,718
	3,650	Esterline Technologies Corporation, (2)		144,504
	15,930	Finmeccanica S.p.A.		345,324
	14,452	Lockheed Martin Corporation		1,584,951
	14,250	Orbital Sciences Corporation, (2)		341,573
	76,000	Thales S.A.		3,835,316

		Total Aerospace & Defense		7,162,386


		Air Freight & Logistics – 0.1%

	13,450	FedEx Corporation		1,063,088


		Airlines – 0.0%

	26,900	Lufthansa AG		525,850


		Auto Components – 0.3%

	51,080	Aisin Seiki Company Limited		1,250,954
	29,890	Magna International Inc., Class A		1,530,069

		Total Auto Components		2,781,023


		Automobiles – 0.5%

	30,460	Daimler-Chrysler AG		1,538,230
	42,760	Honda Motor Company Limited		1,287,504
	1,416	S.A. D’Ieteren N.V.		320,041
	21,590	Toyota Motor Corporation		1,852,422
	51,980	Yamaha Motor Company Limited		709,948

		Total Automobiles		5,708,145


		Beverages – 1.3%

	3,510	Boston Beer Company, (2)		166,690
	122,880	Coca Cola Amatil Limited		820,441
	27,560	Coca-Cola Company		1,457,373
	60,190	Coca-Cola Enterprises Inc.		1,009,386
	23,600	Diageo PLC, Sponsored ADR		1,625,096
	59,450	Fomento Economico Mexicano S.A.		2,267,423
	82,600	Heineken N.V.		3,318,647
	27,930	Molson Coors Brewing Company, Class B		1,305,728
	20,872	Pepsi Bottling Group, Inc.		608,836
	23,820	PepsiCo, Inc.		1,697,651
	10,340	SABMiller PLC		201,885

		Total Beverages		14,479,156


		Biotechnology – 1.0%

	13,950	Alnylam Pharmaceuticals, Inc., (2)		403,853
	99,100	Amgen Inc., (2), (13)		5,873,657
	20,820	Cephalon, Inc., (2)		1,613,342
	8,730	Genentech, Inc., (2)		774,176
	21,440	Genzyme Corporation, (2)		1,734,282
	17,240	Novo-Nordisk A/S		882,688

		Total Biotechnology		11,281,998


		Capital Markets – 1.3%

	35,093	Bank of New York Company, Inc.		1,143,330
	12,394	Calamos Asset Management, Inc. Class A		222,100
	31,980	Credit Suisse Group		1,543,994
	15,380	Credit Suisse Group, (2)		718,276
	202,750	Daiwa Securities Group Inc.		1,476,777
	8,220	Franklin Resources, Inc.		724,429
	47,820	Invesco LTD		1,003,264
	62,770	JPMorgan Chase & Co.		2,931,359
	18,340	Legg Mason, Inc.		698,020
	80,453	Man Group PLC		491,638
	4,910	Stifel Financial Corporation, (2)		245,009
	23,580	TD Ameritrade Holding Corporation, (2)		381,996
	158,760	UBS AG, (2), (13)		2,784,650

		Total Capital Markets		14,364,842


		Chemicals – 1.1%

	8,730	Air Products & Chemicals Inc.		597,918
	11,520	Bayer AG		843,692
	4,100	CF Industries Holdings, Inc.		374,986
	14,430	Eastman Chemical Company		794,516
	6,180	Lubrizol Corporation		266,605
	259,580	Mitusi Chemicals		1,144,374
	29,110	Mosaic Company		1,980,062
	169,260	Nissan Chemical Industries Limited		1,554,234
	20,810	Potash Corporation of Saskatchewan		2,697,821
	31,570	Shin-Etsu Chemical Company Limited		1,501,175
	5,640	Terra Industries, Inc.		165,816
	4,280	Wacker Chemie AG		611,048

		Total Chemicals		12,532,247


		Commercial Banks – 1.9%

	91,410	Allinaz S.E.		1,253,231
	47,360	Banco Santander Central S.A.		711,347
	64,530	Barclays PLC		383,401
	26,900	BB&T Corporation		1,016,820
	32,210	BNP Paribas S.A.		3,074,686
	11,180	Community Bank System Inc.		281,177
	39,870	Credit Agricole S.A.		767,890
	240,540	DnB NOR ASA		1,866,059
	140,020	Hang Seng Bank, (2)		2,646,954
	67,220	IntesaSanpaolo S.p.A.		369,682
	6,500	KB Financial Group Inc., (2)		296,985
	98,490	KeyCorp.		1,175,971
	26,570	Lloyds TSB Group PLC, Sponsored ADR		444,516
	3,330	National Bank of Greece S.A.		134,947
	35,012	National Bank of Greece S.A.		288,849
	489,840	Nishi-Nippon City Bank Limited		1,223,131
	13,750	Nordic Baltic Holdings FDR		164,160
	6,570	Northern Trust Corporation		474,354
	18,010	PNC Financial Services Group, Inc.		1,345,347
	5,203	Prosperity Bancshares, Inc.		176,850
	57,640	Standard Chartered PLC		1,418,263
	5,350	SVB Financial Group, (2)		309,872
	6,190	UMB Financial Corporation		325,099
	68,860	United Overseas Bank Limited		823,209

		Total Commercial Banks		20,972,800


		Commercial Services & Supplies – 1.2%

	592,000	Allied Waste Industries, Inc., (2), (13)		6,577,120
	67,590	Corrections Corporation of America, (2)		1,679,612
	4,640	Dun and Bradstreet Inc.		437,830
	33,070	Randstad Holding N.V.		869,561
	435,000	Toppan Printing Company Limited		3,392,458

		Total Commercial Services & Supplies		12,956,581


		Communications Equipment – 0.4%

	5,160	Comtech Telecom Corporation, (2)		254,078
	29,190	Nokia Oyj, Sponsored ADR		544,394
	83,560	QUALCOMM Inc.		3,590,573

		Total Communications Equipment		4,389,045


		Computers & Peripherals – 0.8%

	25,350	Apple, Inc., (2)		2,881,281
	54,740	Hewlett-Packard Company		2,531,178
	27,930	International Business Machines Corporation (IBM)		3,266,693
	9,530	NCR Corporation, (2)		210,137

		Total Computers & Peripherals		8,889,289


		Construction & Engineering – 0.6%

	278,030	AMEC PLC		3,189,113
	20,040	Fluor Corporation		1,116,228
	157,300	JGC Corporation		2,523,620
	5,770	Perini Corporation, (2)		148,808

		Total Construction & Engineering		6,977,769


		Consumer Finance – 0.4%

	24,740	Capitalsource Inc.		304,302
	9,010	MasterCard, Inc.		1,597,743
	25,780	Visa Inc.		1,582,634
	14,610	Western Union Company		360,429

		Total Consumer Finance		3,845,108


		Containers & Packaging – 0.1%

	21,260	Owens-Illinois, Inc., (2)		625,044
	17,780	Packaging Corp. of America		412,140

		Total Containers & Packaging		1,037,184


		Distributors – 0.1%

	70,430	Jardine Cycle & Carriage Limited		774,724
	27,510	Unilever PLC		748,020

		Total Distributors		1,522,744


		Diversified Consumer Services – 0.2%

	25,480	Apollo Group, Inc., (2)		1,510,964
	6,960	ITT Educational Services, Inc., (2)		563,134

		Total Diversified Consumer Services		2,074,098


		Diversified Financial Services – 0.6%

	34,370	Citigroup Inc.		704,929
	26,870	Deutsche Boerse AG		2,458,885
	12,760	Eaton Vance Corporation		449,535
	106,980	ING Groep N.V., Ordinary Shares		2,293,413
	24,430	ING Groep N.V., Sponsored ADR		522,802
	2,660	Orix Corporation		333,053

		Total Diversified Financial Services		6,762,617


		Diversified Telecommunication Services – 2.5%

	44,840	AT&T Inc.		1,251,933
	8,440	Cbeyond Inc., (2)		121,452
	23,910	Embarq Corporation		969,551
	24,420	France Telecom S.A.		684,004
	66,300	KT Corporation, Sponsored ADR, (13)		1,113,177
	523,600	Nippon Telegraph and Telephone Corporation, (13)		11,786,236
	680	Nippon Telegraph and Telephone Corporation, DD1		3,035,142
	295,000	Sprint Nextel Corporation, (2), (13)		1,799,500
	3,270,000	Telecom Italia S.p.A.		3,706,698
	30,860	Telefonica SA		2,206,181
	38,670	Telefonos de Mexico SA, Series L		995,753

		Total Diversified Telecommunication Services		27,669,627


		Electric Utilities – 2.1%

	53,800	Ameren Corporation, (13)		2,099,814
	6,840	Black Hills Corporation		212,519
	292,500	Centrais Electricas Brasileiras S.A., ADR Pref., (2)		3,636,243
	48,440	E.ON A.G., Sponsored ADR, (2)		2,442,684
	39,780	Edison International		1,587,222
	10,320	El Paso Electric Company, (2)		216,720
	9,710	Exelon Corporation		608,040
	15,240	FPL Group, Inc.		766,572
	146,000	IdaCorp, Inc., (13)		4,247,140
	382,100	Korea Electric Power Corporation, Sponsored ADR		4,734,219
	211,100	PNM Resources Inc.		2,161,664
	17,390	Progress Energy, Inc.		750,031

		Total Electric Utilities		23,462,868


		Electrical Equipment – 0.7%

	111,000	ABB Limited, (2)		2,151,004
	45,384	Emerson Electric Company		1,851,213
	1,370	First Solar Inc., (2)		258,807
	8,710	GrafTech International Ltd., (2)		131,608
	132,760	Hitachi Limited		896,260
	22,360	Nidec Corporation		1,375,559
	23,860	Nikon Corporation		572,378
	42,290	Prysmian SPA, (2)		831,879

		Total Electrical Equipment		8,068,708


		Electronic Equipment & Instruments – 0.6%

	7,730	Dolby Laboratories, Inc., (2)		272,019
	6,164	Itron Inc., (2)		545,699
	8,610	Mettler-Toledo International Inc., (2)		843,780
	6,228	Multi Fineline Electronix, Inc., (2)		92,112
	5,620	SunPower Corporation, (2)		398,627
	67,000	Tech Data Corporation, (2), (13)		1,999,950
	3,991	Teledyne Technologies Inc., (2)		228,126
	38,520	Thermo Fisher Scientific, Inc., (2)		2,118,600

		Total Electronic Equipment & Instruments		6,498,913


		Energy Equipment & Services – 1.2%

	328,000	BJ Services Company, (13)		6,274,640
	4,640	Cabot Oil & Gas Corporation		167,690
	32,550	Cooper Cameron Corporation, (2)		1,254,477
	2,300	Dawson Geophysical Company, (2)		107,387
	11,210	Dresser Rand Group, Inc., (2)		352,779
	27,100	FMC Technologies Inc., (2)		1,261,505
	12,990	Matrix Service Company, (2)		248,109
	5,560	National-Oilwell Varco Inc., (2)		279,279
	7,340	Noble Corporation		322,226
	27,790	Patterson-UTI Energy, Inc.		556,356
	20,900	Pride International Inc., (2)		618,849
	12,740	Superior Well Services, Inc., (2)		322,449
	14,300	Technip S.A.		803,534
	6,350	Transocean Inc., (2)		697,484

		Total Energy Equipment & Services		13,266,764


		Food & Staples Retailing – 0.7%

	22,910	Casino Guichard-Perrachon S.A.		2,044,245
	11,960	Costco Wholesale Corporation		776,563
	105,710	Koninklijke Ahold NV, (2)		1,221,133
	45,070	Kroger Co.		1,238,524
	4,090	Nash Finch Company		176,361
	44,760	Safeway Inc.		1,061,707
	8,350	Wal-Mart Stores, Inc.		500,082
	75,290	William Morrison Supermarkets PLC		350,129

		Total Food & Staples Retailing		7,368,744


		Food Products – 2.2%

	31,560	Dean Foods Company, (2)		737,242
	7,380	Diamond Foods Inc.		206,861
	13,020	Flowers Foods Inc.		382,267
	13,450	General Mills, Inc.		924,284
	39,240	H.J. Heinz Company		1,960,823
	245,120	Jeronimo Martins SGPS		2,090,500
	11,120	Monsanto Company		1,100,658
	377,700	Smithfield Foods, Inc., (2), (13)		5,997,876
	679,300	Tyson Foods, Inc., Class A, (13)		8,110,842
	88,140	Unilever PLC		2,398,289

		Total Food Products		23,909,642


		Gas Utilities – 0.2%

	18,000	E.ON AG		906,064
	3,373	Energen Corporation		152,729
	8,500	Questar Corporation		347,820
	19,510	Spectra Energy Corporation		464,338

		Total Gas Utilities		1,870,951


		Health Care Equipment & Supplies – 0.7%

	2,630	Analogic Corporation		130,869
	34,300	Baxter International Inc.		2,251,109
	3,760	Conmed Corporation, (2)		120,320
	40,220	Fresenius SE		2,082,045
	1,990	Masimo Corporation, (2)		74,028
	152,300	Paramount Bed Company Limited		2,036,479
	31,760	Saint Jude Medical Inc., (2)		1,381,242

		Total Health Care Equipment & Supplies		8,076,092


		Health Care Providers & Services – 0.6%

	38,698	Express Scripts, Inc., (2)		2,856,686
	103,000	Health Net Inc., (2), (13)		2,430,800
	23,910	Omnicare, Inc.		687,891
	9,820	PharMerica Corporation, (2)		220,852

		Total Health Care Providers & Services		6,196,229


		Hotels, Restaurants & Leisure – 0.3%

	22,420	Burger King Holdings Inc.		550,635
	28,580	McDonald’s Corporation		1,763,386
	13,420	Pinnacle Entertainment Inc., (2)		101,455
	22,420	Starbucks Corporation, (2)		333,385
	3,160	WMS Industries Inc., (2)		96,601

		Total Hotels, Restaurants & Leisure		2,845,462


		Household Durables – 0.4%

	17,620	Desarrolladora Homex SAB de C.V., Sponsored ADR, (2)		779,156
	50,460	Jarden Corporation, (2)		1,183,287
	110,050	Matsushita Electric Industrial Co., Ltd		1,897,208
	10,050	MDC Holdings Inc.		367,730

		Total Household Durables		4,227,381


		Household Products – 0.2%

	35,530	Colgate-Palmolive Company		2,677,186


		Independent Power Producers & Energy Traders – 0.1%

	51,010	NRG Energy Inc., (2)		1,262,498


		Industrial Conglomerates – 0.5%

	25,020	East Asiatic Co LTD		1,051,323
	53,060	General Electric Company		1,353,030
	192,910	Keppel Corporation		1,065,983
	30,200	Mitsubishi Corporation		629,976
	5,180	Siemens AG, Sponsored ADR		486,350
	5,800	Teleflex Inc.		368,242
	21,610	Walter Industries Inc.		1,025,395

		Total Industrial Conglomerates		5,980,299


		Insurance – 1.1%

	15,690	Ace Limited		849,300
	32,448	AFLAC Incorporated		1,906,320
	11,950	Amtrust Financial Services, Inc.		162,401
	10,440	Arch Capital Group Limited, (2)		762,433
	4,640	Aspen Insurance Holdings Limited		127,600
	35,430	Assurant Inc.		1,948,650
	13,960	AXA		456,972
	15,720	Axis Capital Holdings Limited		498,481
	1,430	Fairfax Financial Holdings Limited		469,755
	14,440	HCC Insurance Holdings Inc.		389,880
	378,120	Mapfre S.A.		1,652,915
	23,370	Prudential Corporation PLC		213,087
	5,740	Sun Life Financial Inc.		203,024
	15,960	Travelers Companies, Inc.		721,392
	30,920	WR Berkley Corporation		728,166
	1,580	Zurich Financial Services AG		437,534

		Total Insurance		11,527,910


		Internet Software & Services – 0.3%

	90,000	eBay Inc., (2), (13)		2,014,200
	22,740	Sohu.com Inc., (2)		1,267,755
	13,520	Switch & Data Facilities Company, Inc., (2)		168,324
	3,940	Vocus, Inc., (2)		133,802

		Total Internet Software & Services		3,584,081


		IT Services – 0.2%

	40,500	Accenture Limited		1,539,000
	15,250	CGI Group Inc., (2)		134,810
	16,220	TNS Inc., (2)		314,181

		Total IT Services		1,987,991


		Leisure Equipment & Products – 0.1%

	19,430	Hasbro, Inc.		674,610
	12,780	Marvel Entertainment Inc., (2)		436,309

		Total Leisure Equipment & Products		1,110,919


		Life Sciences Tools & Services – 0.1%

	810	Bio-Rad Laboratories Inc., (2)		80,287
	3,100	Dionex Corporation, (2)		197,005
	24,420	Illumina Inc., (2)		989,743

		Total Life Sciences Tools & Services		1,267,035


		Machinery – 0.6%

	66,020	ABB Limited		1,280,788
	26,360	AGCO Corporation, (2)		1,123,200
	5,870	Badger Meter Inc.		275,597
	7,730	Cummins Inc.		337,956
	6,570	Eaton Corporation		369,103
	13,210	Flowserve Corporation		1,172,652
	7,882	Harsco Corporation		293,132
	14,670	MAN AG		987,679
	6,497	Parker Hannifin Corporation		344,341
	7,900	Robbins & Myers, Inc.		244,347

		Total Machinery		6,428,795


		Marine – 0.2%

	227,770	Kawasaki Kisen Kaisha Limited		1,409,135
	100,370	Nippon Yusen Kabushki Kaisha		654,273
	56,500	Stolt-Nielsen S.A.		670,475

		Total Marine		2,733,883


		Media – 0.7%

	52,730	Cablevision Systems Corporation		1,326,687
	6,420	Central European Media Enterprises Limited, (2)		419,868
	66,700	DIRECTV Group, Inc., (2)		1,745,539
	31,490	Regal Entertainment Group, Class A		496,912
	61,400	Scholastic Corporation		1,576,752
	20,430	Shaw Communication Inc.		413,495
	8,940	Thomson Corporation, (2)		243,794
	30,120	Walt Disney Company		924,383

		Total Media		7,147,430


		Metals & Mining – 4.4%

	278,000	AngloGold Ashanti Limited, Sponsored ADR, (13)		6,421,800
	276,900	Apex Silver Mines Limited, (2)		476,268
	281,300	Barrick Gold Corporation, (13)		10,334,962
	14,730	BHP Billiton PLC		333,696
	11,550	BHP Billiton PLC		530,261
	75,690	BHP Billiton PLC		1,958,147
	5,760	Cleveland-Cliffs Inc.		304,934
	3,940	Compass Minerals International, Inc.		206,417
	110,220	Cookson Group		927,982
	319,100	Crystallex International Corporation, (2)		258,471
	27,840	Freeport-McMoRan Copper & Gold, Inc.		1,582,704
	286,100	Gold Fields Limited Sponsored ADR, (13)		2,743,699
	180,000	Ivanhoe Mines Ltd., (2), (13)		1,090,800
	2,595,500	Lihir Gold Limited, (2)		5,272,701
	600,000	Minara Resources Limited		781,871
	545,490	Mitsubishi Materials		1,713,391
	253,600	Newmont Mining Corporation, (13)		9,829,536
	265,900	NovaGold Resources Inc., (2)		1,731,009
	4,050	Rio Tinto PLC, Sponsored ADR		1,010,475
	2,380	United States Steel Corporation		184,712
	29,330	Xstrata PLC		914,058

		Total Metals & Mining		48,607,894


		Multiline Retail – 0.5%

	40,070	Big Lots, Inc., (2)		1,115,148
	10,320	Dollar Tree Stores Inc., (2)		375,235
	47,850	Family Dollar Stores, Inc.		1,134,045
	100,830	Next PLC		1,859,128
	19,430	Target Corporation		953,042

		Total Multiline Retail		5,436,598


		Oil, Gas & Consumable Fuels – 4.0%

	2,280	Alpha Natural Resources Inc., (2)		117,260
	46,600	Arch Coal Inc., (13)		1,532,674
	61,590	BG Group PLC		1,116,999
	162,860	BP Amoco PLC, Sponsored ADR, (13)		8,170,686
	119,500	Cameco Corporation, (13)		2,666,045
	30,870	Chesapeake Energy Corporation		1,106,998
	49,420	Chevron Corporation, (13)		4,076,162
	3,323	Comstock Resources Inc., (2)		166,316
	38,510	Continental Resources Inc., (2)		1,510,747
	3,740	Devon Energy Corporation		341,088
	37,460	Eni S.p.A., Sponsored ADR		1,983,507
	19,580	Hess Corporation		1,607,126
	5,890	McMoran Exploration Corporation, (2)		139,240
	12,190	Murphy Oil Corporation		781,867
	86,500	Nexen Inc., (13)		2,009,395
	25,410	Occidental Petroleum Corporation		1,790,135
	31,880	Petrohawk Energy Corporation, (2)		689,564
	22,360	Petroleo Brasileiras S.A.		982,722
	45,430	Repsol YPF S.A.		1,347,454
	116,000	Royal Dutch Shell PLC, Class B, Sponsored ADR, (13)		6,622,440
	12,840	SandRidge Energy Inc., (2)		251,664
	91,420	Singapore Petroleum		297,079
	59,543	StatoilHydro ASA, Sponsored ADR		1,417,123

	24,720	Total S.A., Sponsored ADR		1,500,010

	9,890	Total S.A.		600,817

	1,400	Whiting Petroleum Corporation, (2)		99,764
	24,020	Woodside Petroleum Limited		969,228

		Total Oil, Gas & Consumable Fuels		43,894,110


		Paper & Forest Products – 0.1%

	170,300	AbitibiBowater Inc., (2), (13)		659,061
	7,030	Buckeye Technologies Inc., (2)		57,576
	8,270	Potlatch Corporation		383,645
	89,812	Sonae Industria-SPGS S.A.		283,227

		Total Paper & Forest Products		1,383,509


		Personal Products – 0.0%

	7,340	Herbalife, Limited		290,077


		Pharmaceuticals – 1.9%

	22,120	Astellas Pharma Inc.		929,465
	104,800	AstraZeneca Group, Sponsored ADR, (13)		4,598,624
	43,340	Bristol-Myers Squibb Company		903,639
	10,470	Daiichi Sankyo Company Limited		269,775
	24,380	Eli Lilly and Company		1,073,451
	8,320	GlaxoSmithKline PLC, Sponsored ADR		361,587
	26,040	H. Lundbeck A/S		495,079
	19,430	Johnson & Johnson		1,346,110
	17,470	Merck & Co. Inc.		551,353
	38,210	Novartis AG, (2)		2,011,739
	3,650	Novo Nordisk A/S		189,224
	271,700	Patheon Inc., (2)		893,540
	16,320	Perrigo Company		627,667
	57,540	Pfizer Inc.		1,061,038
	85,530	Sanofi-Aventis, Sponsored ADR		2,811,371
	44,830	Shionogi & Company Limited		908,004
	52,035	Warner Chilcott Limited, (2)		786,769
	19,430	Wyeth		717,744

		Total Pharmaceuticals		20,536,179


		Real Estate – 0.5%

	2,870	American Public Education Inc., (2)		138,564
	2,710	Essex Property Trust Inc.		320,674
	14,150	Kimco Realty Corporation		522,701
	9,080	Lexington Corporate Properties Trust		156,358
	31,510	Plum Creek Timber Company		1,571,089
	22,890	Rayonier Inc.		1,083,842
	11,697	Tanger Factory Outlet Centers		512,212
	12,804	Taubman Centers Inc.		640,200

		Total Real Estate		4,945,640


		Road & Rail – 0.5%

	28,580	CSX Corporation		1,559,611
	19,330	Kansas City Southern Industries, (2)		857,479
	8,890	Landstar System		391,693
	7,040	Norfolk Southern Corporation		466,118
	282,270	Stagocoach Group PLC		1,282,775
	12,700	Union Pacific Corporation		903,732

		Total Road & Rail		5,461,408


		Semiconductors & Equipment – 0.4%

	63,170	Broadcom Corporation, Class A, (2)		1,176,857
	30,650	Intel Corporation		574,075
	86,530	Marvell Technology Group Ltd., (2)		804,729
	12,410	Monolithic Power Systems, Inc., (2)		215,562
	18,150	ON Semiconductor Corporation, (2)		122,694
	10,480	Semtech Corporation, (2)		146,301
	106,681	Taiwan Semiconductor Manufacturing Company Ltd., Sponsored ADR		999,601

		Total Semiconductors & Equipment		4,039,819


		Software – 1.2%

	47,640	Adobe Systems Incorporated, (2)		1,880,351
	7,670	Ansys Inc., (2)		290,463
	51,840	Autodesk, Inc., (2)		1,739,232
	6,710	Blackboard, Inc., (2)		270,346
	42,590	CA Inc.		850,096
	18,440	CommVault Systems, Inc., (2)		222,202
	11,600	Electronic Arts Inc. (EA), (2)		429,084
	65,000	Microsoft Corporation, (13)		1,734,850
	5,020	Nintendo Co., Ltd., (2)		2,129,352
	34,310	Salesforce.com, Inc., (2)		1,660,604
	3,650	SPSS Inc., (2)		107,164
	69,080	Symantec Corporation, (2)		1,352,586
	15,190	Wind River Systems Inc., (2)		151,900

		Total Software		12,818,230


		Specialty Retail – 0.3%

	7,340	Aeropostale, Inc., (2)		235,687
	3,215	Hennes & Mauritz AB		131,641
	40,130	Lowe’s Companies, Inc.		950,680
	11,290	NetFlix.com Inc., (2)		348,635
	28,990	RadioShack Corporation		500,947
	20,640	TJX Companies, Inc.		629,933

		Total Specialty Retail		2,797,523


		Textiles, Apparel & Luxury Goods – 0.2%

	2,390	Deckers Outdoor Corporation, (2)		248,751
	32,628	Guess Inc.		1,135,128
	72,100	Liz Claiborne, Inc.		1,184,603

		Total Textiles, Apparel & Luxury Goods		2,568,482


		Thrifts & Mortgage Finance – 0.3%

	195,120	Hudson City Bancorp, Inc.		3,599,964


		Tobacco – 0.4%

	12,230	British American Tobacco PLC		758,260
	69,360	Philip Morris International		3,336,216
	8,120	UST Inc.		540,305

		Total Tobacco		4,634,781


		Transportation Infrastructure – 0.1%

	400,320	Macquarie Airports		880,100


		Wireless Telecommunication Services – 0.5%

	11,750	Millicom International Cellular S.A., (2)		811,356
	20,910	Millicom International Cellular S.A., (2)		1,435,890
	1,980	NTT Mobile Communications, DD1		3,169,364

		Total Wireless Telecommunication Services		5,416,610

		Total Common Stocks (cost $593,542,584)		485,806,302


Shares		Description (1)	Coupon	Ratings (3)	Value


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

		Capital Markets – 0.0%

	15,800	AMG Capital Trust II, Convertible Bond	5.150%	BB	$	478,938


		Commercial Banks – 0.2%

	14,350	Fifth Third Bancorp, Convertible Bond	8.500%	A-		1,492,257
	20,650	Sovereign Capital Trust IV, Convertible Security	4.375%	Baa2		438,813

		Total Commercial Banks				1,931,070


		Communications Equipment – 0.5%

	13,050	Lucent Technologies Capital Trust I	7.750%	B2		5,089,500


		Diversified Financial Services – 0.5%

	4,100	Bank of America Corporation	7.250%	A1		3,435,800
	55,550	Citigroup Inc., Series T	6.500%	A		2,277,550

		Total Diversified Financial Services				5,713,350


		Electric Utilities – 0.1%

	17,200	Centerpoint Energy Inc.	2.000%	BBB-		566,052
	5,600	CMS Energy Corporation, Convertible Bonds	4.500%	Ba2		366,100

		Total Electric Utilities				932,152


		Food Products – 0.0%

	5,900	Bunge Limited, Convertible Bonds	4.875%	BB		510,350


		Household Durables – 0.0%

	10,700	Newell Financial Trust I	5.250%	N/R		415,294


		Independent Power Producers & Energy Traders – 0.0%

	300	NRG Energy Inc., Convertible Bond	4.000%	B2		353,250


		Metals & Mining – 0.1%

	1,100	Freeport McMoran Copper & Gold, Inc.	5.500%	BB		1,459,150


		Oil, Gas & Consumable Fuels – 0.1%

	600	El Paso Corporation	4.990%	B		620,400


		Real Estate – 0.1%

	12,900	Simon Property Group, Inc., Series I	6.000%	N/R		1,014,970

		Total Convertible Preferred Securities (cost $29,451,306)				18,518,424


Shares		Description (1)	Coupon	Ratings (3)	Value


		$25 Par (or similar) Preferred Securities – 46.8% (28.2% of Total Investments)

		Capital Markets – 3.2%

	220,674	BNY Capital Trust V, Series F	5.950%	A	$	4,011,853
	1,211,300	Deutsche Bank Capital Funding Trust II	6.550%	A		17,563,850
	23,000	First Union Institutional Capital II (CORTS)	8.200%	A2		252,770
	6,000	Goldman Sachs Group Inc., Series 2003-11 (SATURNS)	5.625%	AA-		87,000
	5,300	Goldman Sachs Group Inc., Series 2004-06 (SATURNS)	6.000%	A1		79,871
	14,400	Goldman Sachs Group Inc., Series 2004-4 (CORTS)	6.000%	A1		198,288
	18,600	Goldman Sachs Group Inc., Series GSC-3 (PPLUS)	6.000%	A1		258,540
	7,900	Goldman Sachs Group Inc., Series GSC-4 Class A (PPLUS)	6.000%	A1		113,365
	10,523	JP Morgan Chase & Company	8.625%	A		262,970
	221,084	Merrill Lynch Preferred Capital Trust III	7.000%	A3		3,205,718
	19,700	Merrill Lynch Preferred Capital Trust IV	7.120%	A3		285,453
	215,200	Merrill Lynch Preferred Capital Trust V	7.280%	A3		3,163,440
	185,592	Morgan Stanley Capital Trust III	6.250%	A2		2,130,596
	88,733	Morgan Stanley Capital Trust IV	6.250%	A2		1,001,796
	12,532	Morgan Stanley Capital Trust V	5.750%	A2		135,220
	253,300	Morgan Stanley Capital Trust VI	6.600%	A2		2,988,940
	11,058	Morgan Stanley Capital Trust VII	6.600%	A2		131,037

		Total Capital Markets				35,870,707


		Commercial Banks – 9.6%

	651,200	ABN AMRO Capital Fund Trust V	5.900%	A		5,834,752
	110,400	Allianz SE	8.375%	A+		2,224,560
	116,700	ASBC Capital I	7.625%	A3		2,099,433
	14,913	BAC Capital Trust I	7.000%	Aa3		290,804
	520,855	BAC Capital Trust II	7.000%	Aa3		10,260,844
	82,500	BAC Capital Trust III	7.000%	Aa3		1,571,625
	13,600	BAC Capital Trust IV	5.875%	Aa3		231,472
	7,200	BAC Capital Trust V	6.000%	A		129,600
	471,054	Banco Santander Finance	6.800%	Aa3		8,007,918
	922,028	Banco Santander Finance	6.500%	A+		15,241,123
	17,659	Banco Santander Finance	6.410%	A+		300,203
	28,800	Banesto Holdings, Series A, 144A	10.500%	A1		745,200
	128,137	Bank One Capital Trust VI	7.200%	Aa3		2,594,774
	87,301	Barclays Bank PLC	8.125%	Aa3		1,492,847
	116,131	Barclays Bank PLC	7.750%	Aa3		1,824,418
	267,663	BB&T Capital Trust V	8.950%	A1		6,557,744
	28,262	Capital One Capital II Corporation	7.500%	Baa1		332,079
	64,067	Citizens Funding Trust I	7.500%	Baa1		480,503
	146,500	Cobank Agricultural Credit Bank	7.000%	N/R		6,983,069
	48,000	Cobank Agricultural Credit Bank	11.000%	A		2,417,966
	365,400	Credit Suisse	7.900%	A		7,454,160
	334,100	Fleet Capital Trust VIII	7.200%	Aa3		5,980,390
	2,500	Fleet Capital Trust IX	6.000%	Aa3		41,575
	52,620	HSBC Finance Corporation	6.875%	AA-		1,053,979
	27,169	KeyCorp Capital Trust IX	6.750%	A3		225,503
	673,383	National City Capital Trust II	6.625%	Baa1		3,972,960
	13,100	National Westminster Bank PLC	7.760%	Aa3		132,310
	15,600	ONB Capital Trust II	8.000%	A3		331,500
	33,600	PNC Capital Trust	6.125%	A2		619,920
	49,348	Regions Financing Trust III	8.875%	BBB+		653,861
	38,890	Royal Bank of Scotland Group PLC, Series L	5.750%	A1		330,565
	19,800	Royal Bank of Scotland Group PLC, Series M	6.400%	A1		183,348
	125,340	Royal Bank of Scotland Group PLC, Series N	6.350%	A1		1,209,531
	500	Royal Bank of Scotland Group PLC, Series P	6.250%	A1		4,255
	193,600	Royal Bank of Scotland Group PLC	6.600%	Aa3		1,674,640
	12,830	SunAmerica (CORTS)	6.700%	A2		104,308
	7,100	SunTrust Capital Trust IX	7.875%	A-		124,818
	400	USB Capital Trust VI	5.750%	Aa3		7,396
	65,700	USB Capital Trust XI	6.600%	A+		1,300,860
	66,834	Wachovia Capital Trust IX	6.375%	A2		742,526
	159,000	Wachovia Trust IV	6.375%	A2		1,826,910
	218,614	Wells Fargo Capital Trust V	7.000%	Aa2		4,809,508
	102,882	Wells Fargo Capital Trust VII	5.850%	AA-		1,867,308
	85,100	Zions Capital Trust B	8.000%	Baa1		1,680,725

		Total Commercial Banks				105,953,790


		Computers & Peripherals – 0.0%

	9,200	IBM Trust IV (CORTS)	7.000%	A+		225,400


		Consumer Finance – 0.0%

	12,200	MBNA Corporation, Capital Trust D	8.125%	Aa3		233,752


		Diversified Financial Services – 5.2%

	95,400	BAC Capital Trust XII	6.875%	A		1,831,680
	161,600	Citigroup Capital Trust VII	7.125%	A1		2,601,760
	729,022	Citigroup Capital Trust VIII	6.950%	A1		12,203,828
	20,600	Citigroup Capital Trust IX	6.000%	A1		285,928
	13,900	Citigroup Capital Trust XI	6.000%	A1		189,040
	4,162	Citigroup Capital X	6.100%	A1		55,979
	384,921	Citigroup Capital XV	6.500%	A1		5,388,894
	64,800	Citigroup Capital XVII	6.350%	A1		881,280
	415,900	Citigroup Capital XIX	7.250%	A1		7,174,275
	161,100	Citigroup Inc., Series M	8.125%	A		2,658,150
	221,100	ING Groep N.V.	7.375%	A1		3,095,400
	566,620	ING Groep N.V.	7.200%	A1		7,791,025
	722,475	ING Groep N.V.	7.050%	A		9,507,771
	10,000	ING Groep N.V.	6.375%	A		115,200
	212,600	Merrill Lynch Capital Trust I	6.450%	A+		2,955,140
	4,700	Royal Bank of Scotland Group PLC, Series R	6.125%	A1		39,480

		Total Diversified Financial Services				56,774,830


		Diversified Telecommunication Services – 1.7%

	590,876	AT&T Inc.	6.375%	A		13,708,323
	38,500	BellSouth Capital Funding (CORTS)	7.120%	A		907,156
	30,500	BellSouth Corporation (CORTS)	7.000%	A		678,625
	25,000	Verizon Communications (CORTS)	7.625%	A		550,000
	151,400	Verizon Communications, Series 2004-1 (SATURNS)	6.125%	A		2,640,416

		Total Diversified Telecommunication Services				18,484,520


		Electric Utilities – 0.9%

	50,000	American Electric Power	8.750%	BB+		1,240,000
	8,200	DTE Energy Trust I	7.800%	Baa3		187,780
	22,700	Entergy Louisiana LLC	7.600%	A-		516,198
	3,989	Entergy Mississippi Inc.	7.250%	A-		94,938
	700	Entergy Mississippi Inc.	6.000%	AAA		14,140
	38,850	FPL Group Capital Inc.	6.600%	BBB+		813,519
	9,500	National Rural Utilities Cooperative Finance Corporation	6.100%	A3		162,545
	7,100	National Rural Utilities Cooperative Finance Corporation	5.950%	A3		130,711
	4,300	PPL Capital Funding, Inc.	6.850%	Baa2		90,558
	20,000	PPL Energy Supply LLC	7.000%	BBB		460,000
	266,300	Xcel Energy Inc.	7.600%	BBB-		6,231,420

		Total Electric Utilities				9,941,809


		Food Products – 0.2%

	35,100	Dairy Farmers of America Inc., 144A	7.875%	BBB-		1,869,075


		Insurance – 9.6%

	6,000	Aegon N.V., Series 1	4.000%	A-		41,700
	9,000	Aegon N.V.	6.875%	A-		79,110
	1,420,300	Aegon N.V.	6.375%	A-		12,115,159
	7,800	Aegon N.V.	7.250%	A-		79,014
	4,733	AMBAC Financial Group Inc.	5.950%	A		23,665
	232,113	Arch Capital Group Limited, Series B	7.875%	BBB-		4,282,485
	392,973	Arch Capital Group Limited	8.000%	BBB-		7,977,352
	656,000	Berkley WR Corporation, Capital Trust II	6.750%	BBB-		11,283,200
	677,301	Delphi Financial Group, Inc.	8.000%	BBB+		10,816,497
	32,500	Delphi Financial Group, Inc.	7.376%	BBB-		468,000
	6,000,000	Everest Reinsurance Holdings, Inc.	6.600%	Baa1		3,511,686
	199,472	EverestRe Capital Trust II	6.200%	Baa1		2,842,476
	6,000	Financial Security Assurance Holdings	6.250%	AA-		31,320
	1,368,300	Lincoln National Capital VI, Series F	6.750%	A-		21,755,970
	123,700	Markel Corporation	7.500%	BBB		2,572,960
	896,551	PartnerRe Limited, Series C	6.750%	BBB+		14,568,954
	148,900	PLC Capital Trust III	7.500%	BBB+		1,950,590
	14,000	PLC Capital Trust IV	7.250%	BBB+		190,400
	9,800	PLC Capital Trust V	6.125%	BBB+		117,600
	40,400	Protective Life Corporation	7.250%	BBB		561,560
	331,400	Prudential Financial Inc.	9.000%	A-		7,506,210
	37,282	Prudential PLC	6.750%	A-		393,325
	131,000	RenaissanceRe Holdings Limited, Series B	7.300%	BBB		1,997,750
	38,600	RenaissanceRe Holdings Limited, Series C	6.080%	BBB+		480,570

		Total Insurance				105,647,553


		IT Services – 0.0%

	1,700	Vertex Industries Inc. (PPLUS)	7.625%	A		37,400


		Media – 3.7%

	29,700	CBS Corporation	7.250%	BBB		501,930
	535,021	CBS Corporation	6.750%	BBB		8,554,986
	1,038,100	Comcast Corporation	7.000%	BBB+		19,921,139
	12,400	Comcast Corporation	6.625%	Baa2		219,480
	651,800	Viacom Inc.	6.850%	BBB		11,667,220

		Total Media				40,864,755


		Oil, Gas & Consumable Fuels – 1.2%

	630,000	Nexen Inc.	7.350%	Baa3		12,789,000


		Pharmaceuticals – 0.1%

	49,700	Bristol Myers Squibb Company (CORTS)	6.250%	A+		1,080,975


		Real Estate – 10.4%

	9,100	BRE Properties, Series D	6.750%	BBB-		162,162
	100,300	Developers Diversified Realty Corporation, Series G	8.000%	BBB-		1,645,923
	1,260,945	Developers Diversified Realty Corporation, Series H	7.375%	BBB-		17,728,887
	5,000	Duke Realty Corporation, Series K	6.500%	BBB		70,000
	128,700	Duke Realty Corporation, Series L	6.600%	BBB		1,987,128
	23,400	Duke Realty Corporation, Series N	7.250%	BBB-		345,852
	431,277	Duke Realty Corporation, Series O	8.375%	BBB-		7,974,312
	96,000	Duke-Weeks Realty Corporation	6.625%	Baa2		1,346,880
	165,415	Equity Residential Properties Trust, Series N	6.480%	BBB		3,129,652
	4,700	First Industrial Realty Trust, Inc., Series J	7.250%	Baa3		78,490
	401,683	HRPT Properties Trust, Series B	8.750%	BBB-		6,868,779
	533,900	HRPT Properties Trust, Series C	7.125%	BBB-		8,675,875
	610,528	Kimco Realty Corporation, Series G	7.750%	BBB+		12,460,876
	3,997	Prologis Trust, Series C	8.540%	BBB		212,216
	55,275	Prologis Trust, Series G	6.750%	BBB-		945,203
	4,800	PS Business Parks, Inc., Series I	6.875%	BBB-		74,880
	700	PS Business Parks, Inc., Series K	7.950%	Baa3		14,770
	243,000	PS Business Parks, Inc., Series L	7.600%	BBB-		4,617,000
	131,900	PS Business Parks, Inc., Series O	7.375%	Baa3		2,214,601
	412,488	PS Business Parks, Inc.	7.000%	BB+		7,169,041
	59,900	Public Storage, Inc., Series C	6.600%	BBB		1,008,716
	149,000	Public Storage, Inc., Series E	6.750%	BBB+		2,525,550
	22,100	Public Storage, Inc., Series F	6.450%	BBB		352,274
	27,011	Public Storage, Inc., Series H	6.950%	BBB+		475,123
	12,800	Public Storage, Inc., Series K	7.250%	BBB+		238,720
	182,379	Public Storage, Inc., Series M	6.625%	BBB		3,191,633
	31,200	Public Storage, Inc., Series V	7.500%	BBB		607,776
	238,106	Public Storage, Inc.	6.750%	Baa1		4,114,472
	33,403	Realty Income Corporation	6.750%	Baa2		626,306
	136,189	Regency Centers Corporation	7.450%	BBB		2,523,582
	1,554,834	Wachovia Preferred Funding Corporation	7.250%	A2		14,444,408
	234,001	Weingarten Realty Investors Series F	6.500%	Baa2		4,212,018
	126,800	Weingarten Realty Trust, Series E	6.950%	A-		2,358,480

		Total Real Estate				114,401,585


		Thrifts & Mortgage Finance – 0.9%

	66,100	Countrywide Capital III	8.050%	Aa3		787,251
	510,297	Countrywide Capital Trust IV	6.750%	Aa3		4,541,643
	508,903	Countrywide Capital Trust V	7.000%	A+		4,045,779
	4,174	Harris Preferred Capital Corporation, Series A	7.375%	A1		69,956

		Total Thrifts & Mortgage Finance				9,444,629


		Wireless Telecommunication Services – 0.1%

	46,800	United States Cellular Corporation	8.750%	Baa2		837,718

		Total $25 Par (or similar) Preferred Securities (cost $822,219,814)				514,457,498


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


		Variable Rate Senior Loan Interests – 17.0% (10.2% of Total Investments) (5)



		Aerospace & Defense – 0.1%

$	574	DAE Aviation Holdings, Inc., Term Loan B-1	7.151%	7/31/14	BB-	$	534,256
	568	DAE Aviation Holdings, Inc., Term Loan B-2	6.550%	7/31/14	BB-		528,000

	1,142	Total Aerospace & Defense					1,062,256


		Airlines – 0.3%

	2,504	ACTS Aero Technical Support & Services Inc., Term Loan	6.041%	10/16/14	B-		1,552,261
	985	American Airlines, Inc., Term Loan	5.242%	12/17/10	BB-		872,000
	1,975	Delta Air Lines, Inc., Term Loan	6.954%	4/30/14	B		1,398,300

	5,464	Total Airlines					3,822,561


		Building Products – 0.5%

	3,550	Building Materials Corporation of America, Term Loan	5.563%	2/22/14	B+		2,804,342
	976	Stile Acquisition Corporation, Canadian Term Loan	6.500%	4/05/13	B		764,365
	986	Stile Acquisition Corporation, Term Loan B	6.000%	4/05/13	B		771,795
	980	TFS Acquisition, Term Loan	7.262%	8/11/13	B+		921,200

	6,492	Total Building Products					5,261,702


		Chemicals – 0.6%

	1,980	Celanese US Holdings LLC, Term Loan	4.283%	4/02/14	BB+		1,799,774
	1,656	Georgia Gulf Corporation, Term Loan	2.500%	10/03/13	Ba3		1,485,945
	2,970	Hercules Offshore, Inc., Term Loan	4.550%	7/11/13	BB		2,836,350

	6,606	Total Chemicals					6,122,069


		Commercial Services & Supplies – 0.3%

	213	Aramark Corporation, Letter of Credit	4.801%	1/24/14	BB		185,036
	3,349	Aramark Corporation, Term Loan	5.637%	1/24/14	BB		2,912,589

	3,562	Total Commercial Services & Supplies					3,097,625


		Communications Equipment – 0.2%

	1,791	CommScope Inc., Term Loan B	6.189%	12/26/14	BB-		1,674,564


		Diversified Consumer Services – 0.4%

	258	Laureate Education, Inc., Delayed Term Loan	6.438%	8/17/14	B1		226,452
	1,725	Laureate Education, Inc., Term Loan B	6.438%	8/17/14	B1		1,513,263
	2,970	Thomson Learning Center, Term Loan	6.200%	7/05/14	B+		2,442,825

	4,953	Total Diversified Consumer Services					4,182,540


		Diversified Telecommunication Services – 0.1%

	498	Intelsat, Tranche B2-A	5.288%	1/03/14	BB-		454,400
	498	Intelsat, Tranche B2-B	5.288%	1/03/14	BB-		454,263
	498	Intelsat, Tranche B2-C	5.288%	1/03/14	BB-		454,263

	1,494	Total Diversified Telecommunication Services					1,362,926


		Electric Utilities – 0.9%

	5,211	Calpine Corporation, DIP Term Loan	6.645%	3/31/14	B+		4,451,383
	3,960	TXU Corporation, Term Loan B-2	6.280%	10/10/14	Ba3		3,355,393
	1,980	TXU Corporation, Term Loan B-2	6.228%	10/10/14	Ba3		1,680,525

	11,151	Total Electric Utilities					9,487,301


		Electrical Equipment – 0.1%

	1,709	Allison Transmission Holdings, Inc., Term Loan	5.377%	8/07/14	BB-		1,419,924


		Energy Equipment & Services – 0.2%

	2,383	PGS Finance, Inc., Term Loan	5.510%	6/29/15	Ba2		2,293,958


		Health Care Equipment & Supplies – 0.5%

	72	Bausch & Lomb, Delayed Term Loan, (6)	4.707%	4/24/15	BB-		63,700
	476	Bausch & Lomb, Term Loan	7.012%	4/24/15	BB-		443,449
	5,940	Biomet, Inc., Term Loan	6.762%	3/24/15	BB-		5,487,075

	6,488	Total Health Care Equipment & Supplies					5,994,224


		Health Care Providers & Services – 2.5%

	457	Community Health Systems, Inc., Delayed Draw, Term Loan, (6), (7)	1.000%	7/25/14	Ba3		(54,891	)
	8,941	Community Health Systems, Inc., Term Loan	5.277%	7/25/14	BB		7,868,039
	494	Concentra, Inc., Term Loan	6.020%	6/25/14	B+		399,938
	1,742	HCA, Inc., Term Loan A	5.762%	11/18/12	BB		1,532,456
	5,900	HCA, Inc., Term Loan	6.012%	11/18/13	BB		5,188,257
	2,647	Health Management Associates, Inc., Term Loan	5.512%	2/28/14	BB-		2,242,973
	714	IASIS Healthcare LLC, Delayed Term Loan	5.704%	3/14/14	Ba2		641,080
	191	IASIS Healthcare LLC, Letter of Credit	3.604%	3/14/14	Ba2		171,383
	2,062	IASIS Healthcare LLC, Term Loan	5.704%	3/14/14	Ba2		1,852,716
	781	LifePoint Hospitals, Inc., Term Loan B	4.435%	4/18/12	Ba1		714,366
	986	Select Medical Corporation, Term Loan B-2	5.723%	2/24/12	Ba2		870,756
	1,835	Select Medical Corporation, Term Loan	4.871%	2/24/12	Ba2		1,621,111
	345	Sun Healthcare Group, Inc., Delayed Term Loan	5.422%	4/12/14	Ba2		313,546
	566	Sun Healthcare Group, Inc., Synthetic Letter of Credit	5.604%	4/19/14	Ba2		515,458
	2,505	Sun Healthcare Group, Inc., Term Loan	4.804%	4/19/14	Ba2		2,279,668
	985	Vanguard Health Holding Company II LLC, Replacement Term Loan	5.988%	9/23/11	Ba3		897,051

	31,151	Total Health Care Providers & Services					27,053,907


		Hotels, Restaurants & Leisure – 1.1%

	1,970	Cedar Fair LP, Term Loan	5.704%	8/30/12	BB		1,717,083
	1,791	Harrah’s Operating Company, Inc., Term Loan B2	5.805%	1/28/15	BB		1,449,814
	211	Isle of Capri Casinos, Inc., Delayed Term Loan A	5.512%	11/25/13	BB		170,947
	280	Isle of Capri Casinos, Inc., Delayed Term Loan B	5.512%	11/25/13	BB		226,781
	700	Isle of Capri Casinos, Inc., Delayed Term Loan	5.512%	11/25/13	BB		566,952
	990	Orbitz Worldwide, Inc., Term Loan	6.583%	7/25/14	BB-		716,100
	1,985	Travelport LLC, Delayed Term Loan	5.954%	8/23/13	BB-		1,613,744
	134	Travelport LLC, Letter of Credit	6.012%	8/23/13	BB-		108,093
	669	Travelport LLC, Term Loan	6.012%	8/23/13	BB-		538,714
	1,197	Venetian Casino Resort LLC, Delayed Term Loan	5.520%	5/23/14	BB-		911,216
	4,740	Venetian Casino Resort LLC, Term Loan	5.520%	5/23/14	BB-		3,608,325
	899	Wintergames Holdings, Term Loan	6.960%	10/23/08	N/R		854,433

	15,566	Total Hotels, Restaurants & Leisure					12,482,202


		Independent Power Producers & Energy Traders – 0.4%

	1,557	NRG Energy, Inc. Credit-Linked Deposit	2.701%	2/01/13	Ba1		1,376,057
	3,170	NRG Energy, Inc., Term Loan	5.262%	2/01/13	Ba1		2,800,913

	4,727	Total Independent Power Producers & Energy Traders					4,176,970


		Insurance – 0.3%

	3,956	Conseco, Inc., Term Loan	5.709%	10/10/13	B+		2,977,135


		Internet Software & Services – 0.1%

	1,000	Sabre, Inc., Term Loan	5.165%	9/30/14	B+		680,000


		IT Services – 0.4%

	3,960	First Data Corporation, Term Loan B-1	5.963%	9/24/14	BB-		3,394,051
	614	Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan	7.520%	7/28/12	B+		476,625
	1,177	Infor Global Solutions Intermediate Holdings, Ltd., Term Loan	6.520%	7/30/12	B+		867,940

	5,751	Total IT Services					4,738,616


		Leisure Equipment & Products – 0.4%

	584	Herbst Gaming, Inc., Delayed Term Loan	10.500%	12/02/11	CCC-		365,057
	672	Herbst Gaming, Inc., Term Loan	10.500%	12/02/11	CCC-		420,153
	6,000	Wimar OpCo LLC, Term Loan, (8)	8.250%	1/03/12	N/R		4,089,000

	7,256	Total Leisure Equipment & Products					4,874,210


		Machinery – 0.4%

	4,489	LyondellBasell Finance Company, Term Loan B2	7.000%	12/22/14	Ba2		3,274,294
	1,780	Oshkosh Truck Corporation, Term Loan	4.322%	12/06/13	BB+		1,542,878

	6,269	Total Machinery					4,817,172


		Media – 3.0%

	5,729	Cequel Communications LLC, Term Loan B	4.792%	11/05/13	BB-		4,998,439
	4,044	Charter Communications Operating Holdings LLC, Term Loan	4.800%	3/06/14	B+		3,230,494
	2,500	Citadel Broadcasting Corporation, Term Loan	5.335%	6/12/14	BB-		1,856,250
	3,541	Discovery Communications LLC, Term Loan	5.762%	5/14/14	BB+		3,308,608
	1,975	Gray Television, Inc., Term Loan B	4.290%	12/31/14	B		1,540,590
	987	Idearc, Inc., Term Loan	5.767%	11/17/14	BB		583,575
	1,975	Metro-Goldwyn-Mayer Studios, Inc., Term Loan B	7.012%	4/08/12	Ba3		1,409,924
	3,930	Neilsen Finance LLC, Term Loan	4.803%	8/09/13	Ba3		3,411,135
	942	Philadelphia Newspapers, Term Loan	9.500%	6/29/13	B2		452,013
	1,970	Readers Digest Association, Inc., Term Loan	4.706%	3/02/14	B1		1,418,400
	5,925	Tribune Company, Term Loan B	5.786%	6/04/14	B		3,155,063
	1,256	Tribune Company, Term Loan X	5.541%	6/04/09	B		1,161,448
	8,000	Univision Communications, Inc., Term Loan	5.121%	9/29/14	B1		5,188,000
	409	Valassis Communications, Inc., Delayed Term Loan	5.520%	3/02/14	BB		360,121
	1,234	Valassis Communications, Inc., Tranche B, Term Loan	5.520%	3/02/14	BB		1,086,082

	44,417	Total Media					33,160,142


		Metals & Mining – 0.1%

	1,193	John Maneely Company, Term Loan	6.043%	12/08/13	B+		1,147,081


		Oil, Gas & Consumable Fuels – 0.7%

	2,985	CCS Income Trust, Term Loan	6.704%	11/14/14	BB-		2,567,068
	2,000	Venoco, Inc., Term Loan	6.813%	9/20/11	B		1,850,000
	3,582	Western Refining, Inc., Term Loan	7.750%	5/30/14	BB-		3,066,076

	8,567	Total Oil, Gas & Consumable Fuels					7,483,144


		Paper & Forest Products – 0.3%

	3,788	Georgia-Pacific Corporation, Term Loan B	4.694%	12/21/12	BB+		3,356,712


		Pharmaceuticals – 0.2%

	2,000	Royalty Pharma Finance Trust, Unsecured Term Loan	7.750%	5/21/15	Baa3		1,880,000


		Real Estate Management & Development – 0.3%

	880	LNR Property Corporation, Term Loan B	6.040%	7/12/11	BB		577,867
	3,950	Realogy Corporation, Delayed Term Loan	5.784%	10/10/13	B+		2,950,231

	4,830	Total Real Estate Management & Development					3,528,098


		Road & Rail – 0.4%

	6,419	Swift Transportation Company, Inc., Term Loan	6.063%	5/10/14	B+		4,188,140


		Software – 0.2%

	2,527	Dealer Computer Services, Inc., Term Loan	5.704%	10/26/12	BB		2,245,503


		Specialty Retail – 1.3%

	3,716	Blockbuster, Inc., Tranche B, Term Loan	6.684%	8/20/11	B1		3,298,108
	6,416	Burlington Coat Factory Warehouse Corporation, Term Loan	5.060%	5/28/13	B2		4,478,287
	3,433	Michaels Stores, Inc., Term Loan	4.863%	10/31/13	B		2,538,094
	1,500	TRU 2005 RE Holding Co I LLC, Term Loan	5.486%	12/08/08	B3		1,317,000
	3,600	Toys R Us – Delaware, Inc., Term Loan B	7.059%	7/19/12	BB-		3,182,400

	18,665	Total Specialty Retail					14,813,889


		Wireless Telecommunication Services – 0.7%

	6,000	Asurion Corporation, Term Loan	5.735%	7/03/14	B1		5,253,750
	1,974	Cricket Communications, Inc., Term Loan	7.262%	6/17/13	Ba2		1,890,823

	7,974	Total Wireless Telecommunication Services					7,144,573

$	229,291	Total Variable Rate Senior Loan Interests (cost $221,815,475)					186,529,144


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


		Convertible Bonds – 10.3% (6.2% of Total Investments)

		Aerospace & Defense – 0.2%

$	300	Alliant Techsystems, Inc., Convertible Bonds	2.750%	9/15/11	BB-	$	331,125
	300	Alliant Techsystems, Inc., Convertible Bonds	2.750%	2/15/24	BB-		366,750
	400	DRS Technologies, Inc., Convertible Bonds, 144A	2.000%	2/01/26	BB-		535,000
	850	L-3 Communications Corporation, Convertible Bond	3.000%	8/01/35	BB+		931,813

	1,850	Total Aerospace & Defense					2,164,688


		Airlines – 0.2%

	3,375	JetBlue Airways Corporation	3.750%	3/15/35	CCC		2,497,500


		Auto Components – 0.1%

	1,200	Magna International Inc., Class A	6.500%	3/31/10	N/R		1,133,080


		Beverages – 0.1%

	450	Molson Coors Brewing Company, Senior Convertible Notes	2.500%	7/30/13	BBB		488,813


		Biotechnology – 0.3%

	1,850	Amgen Inc., 144A	0.125%	2/01/11	A+		1,704,313
	1,550	Amgen Inc.	0.375%	2/01/13	A+		1,402,750
	550	Invitrogen Corporation	2.000%	8/01/23	BB+		646,938

	3,950	Total Biotechnology					3,754,001


		Capital Markets – 0.1%

	350	BlackRock Inc.	2.625%	2/15/35	AA-		676,813


		Commercial Banks – 0.1%

	750	National City Corporation, Convertible Senior Notes	4.000%	2/01/11	A-		352,500
	750	U.S. Bancorp, Convertible Bonds, Floating Rate	1.356%	12/11/35	AA		771,750

	1,500	Total Commercial Banks					1,124,250


		Commercial Services & Supplies – 0.4%

	5,063	Allied Waste Industries Inc., Convertible Debentures	4.250%	4/15/34	B+		4,771,878


		Communications Equipment – 0.3%

	800	Ciena Corporation, Convertible Bond	0.875%	6/15/17	B+		400,000
	300	CommScope Inc.	1.000%	3/15/24	B		480,375
	1,450	Lucent Technologies Inc., Series B	2.875%	6/15/25	BB-		1,013,188
	1,050	Lucent Technologies Inc.	2.875%	6/15/23	BB-		924,000
	600	Nortel Networks Corp.	1.750%	4/15/12	B-		309,000
	400	Nortel Networks Corp.	1.750%	4/15/12	B-		206,000
	850	Nortel Networks Corp.	2.125%	4/15/14	B-		411,188

	5,450	Total Communications Equipment					3,743,751


		Computers & Peripherals – 0.3%

	1,750	EMC Corporation, Convertible Bonds, 144A	1.750%	12/01/11	A-		1,743,438
	700	EMC Corporation, Convertible Bonds, 144A	1.750%	12/01/13	A-		683,375
	400	EMC Corporation, Convertible Bonds, 144A	1.750%	12/01/13	A-		390,500
	800	Sandisk Corporation, Convertible Bond	1.000%	5/15/13	B+		639,000

	3,650	Total Computers & Peripherals					3,456,313


		Construction & Engineering – 0.1%

	250	Fluor Corporation, Convertible Bonds	1.500%	2/15/24	A3		499,063
	400	Quanta Services, Inc., Convertible Bonds	4.500%	10/01/23	BB		972,000

	650	Total Construction & Engineering					1,471,063


		Containers & Packaging – 0.0%

	500	Sealed Air Corporation, 144A	3.000%	6/30/33	BBB-		470,625


		Diversified Financial Services – 0.1%

	250	Leucadia National Corporation, Convertible Bonds	3.750%	4/15/14	BB-		520,313
	600	NASDAQ Stock Market Inc., Convertible Bond	2.500%	8/15/13	BB+		517,500

	850	Total Diversified Financial Services					1,037,813


		Diversified Telecommunication Services – 0.1%

	900	Qwest Communications International Inc., Convertible Bond	3.500%	11/15/25	B+		768,375


		Electric Utilities – 0.0%

	400	Covanta Holding Corporation, Convertible Bonds	1.000%	2/01/27	B1		385,000


		Electrical Equipment – 0.1%

	600	General Cable Corporation, Convertible Bonds	1.000%	10/15/12	B+		465,000


		Electronic Equipment & Instruments – 0.1%

	400	Anixter International Inc., Convertible Bond	0.000%	7/07/33	BB-		363,000
	300	Itron Inc.	2.500%	8/01/26	B-		429,375

	700	Total Electronic Equipment & Instruments					792,375


		Energy Equipment & Services – 0.8%

	400	Cooper Cameron Corporation	1.500%	5/15/24	BBB+		895,000
	1,750	Nabors Industries Inc., Convertible Bond Series 144A	0.940%	5/15/11	BBB+		1,579,375
	450	Nabors Industries Inc., Convertible Bond Series 144A	0.940%	5/15/11	BBB+		406,125
	300	Schlumberger Limited	2.125%	6/01/23	A+		588,750
	400	SESI LLC, Convertible Bond, 144A	1.500%	12/15/26	BB+		351,000
	1,000	Transocean Inc., Convertible Bond	1.625%	12/15/37	BBB+		947,500
	2,550	Transocean Inc.	1.500%	12/15/37	BBB+		2,349,188
	1,450	Transocean Inc.	1.500%	12/15/37	BBB+		1,319,500

	8,300	Total Energy Equipment & Services					8,436,438


		Food Products – 0.1%

	400	Archer Daniels Midland Company, Convertible Bonds	0.875%	2/15/14	A		325,500
	400	Archer Daniels Midland Company, Convertible Bonds	0.875%	2/15/14	A		325,500
	350	Smithfield Foods Inc., Convertible Bond	4.000%	6/30/13	BB-		297,063

	1,150	Total Food Products					948,063


		Health Care Equipment & Supplies – 0.3%

	483	Advanced Medical Optics	2.500%	7/15/24	B-		431,681
	750	Advanced Medical Optics	3.250%	8/01/26	B-		493,125
	450	American Medical Systems Holdings, Convertible Bond	3.250%	7/01/36	B		458,438
	250	Beckman Coulter Inc., Convertible Bonds, 144A	2.500%	12/15/36	BBB		274,688
	1,600	Hologic Inc.	2.000%	12/15/37	B+		1,188,000
	450	Kinetic Concepts Inc., Convertible Bond	3.250%	4/15/15	B+		344,813
	500	Saint Jude Medical, Inc., Convertible Bonds	1.220%	12/15/08	A-		498,750

	4,483	Total Health Care Equipment & Supplies					3,689,495


		Health Care Providers & Services – 0.7%

	550	Laboratory Corporation of America Holdings	0.000%	9/11/21	BBB-		508,750
	350	LifePoint Hospitals Inc., Convertible Bond	3.250%	8/15/25	B1		295,750
	550	Lifepoint Hospitals, Inc., Convertible Bonds	3.500%	5/15/14	B		452,375
	8,915	Omnicare, Inc.	3.250%	12/15/35	B+		5,883,900
	300	Saint Jude Medical, Inc., Convertible Bonds	1.220%	12/15/08	A-		299,250

	10,665	Total Health Care Providers & Services					7,440,025


		Hotels, Restaurants & Leisure – 0.3%

	850	Carnival Corporation	2.000%	4/15/21	A-		875,500
	650	International Game Technology	2.600%	12/15/36	BBB		611,000
	1,300	Punch Taverns Corporation, Convertible Bonds	5.000%	12/14/10	N/R		1,825,619

	2,800	Total Hotels, Restaurants & Leisure					3,312,119


		Insurance – 0.5%

	5,100	Prudential Financial Inc., Convertible Bond	0.417%	12/12/36	A+		5,015,850


		Internet & Catalog Retail – 0.1%

	200	Priceline.com, Inc., Convertible Bonds	0.500%	9/30/11	BB-		338,250
	250	Priceline.com, Inc., Convertible Bonds	0.750%	9/30/13	BB-		422,500

	450	Total Internet & Catalog Retail					760,750


		IT Services – 0.1%

	850	Electronic Data Systems Corporation, Convertible Bonds	3.875%	7/15/23	A		824,500


		Leisure Equipment & Products – 0.0%

	400	Eastman Kodak Company	3.375%	10/15/33	B		375,500


		Life Sciences Tools & Services – 0.1%

	350	Apogent Technologies, Inc., Convertible Bonds	1.566%	12/15/33	BBB+		675,850
	250	Charles River Laboratories International, Inc.	2.250%	6/15/13	BB+		308,125
	250	Fisher Scientific International, Inc., Convertible Bonds	2.500%	10/01/23	BBB+		582,500

	850	Total Life Sciences Tools & Services					1,566,475


		Machinery – 0.2%

	150	AGCO Corporation, Series B	1.750%	12/31/33	BB		292,313
	900	Danaher Corporation, Convertible Bonds	0.000%	1/22/21	A+		916,875
	700	Trinity Industries Inc., Convertible Bonds	3.875%	6/01/36	Ba2		511,000

	1,750	Total Machinery					1,720,188


		Marine – 0.1%

	600	Horizon Lines Inc., Convertible Bonds	4.250%	8/15/12	B		455,250


		Media – 1.0%

	300	ELF Special Financing Limited, Convertible Bonds, 144A	6.316%	6/15/09	Ba3		317,469
	800	ELF Special Financing Limited, Convertible Bonds, 144A	3.169%	6/15/09	Ba3		802,656
	2,400	Getty Images, Inc., Convertible Bonds, (9)	0.500%	6/09/23	Ba2		2,400,000
	400	Hasbro Inc.	2.750%	12/01/21	BBB		646,000
	350	Interpublic Group Companies Inc., Convertible Notes	4.750%	3/15/23	Ba3		343,438
	400	Interpublic Group Companies Inc., Convertible Notes	4.250%	3/15/23	Ba3		372,000
	50	Interpublic Group Companies Inc., Convertible Notes	4.250%	3/15/23	Ba3		46,500
	1,450	Liberty Media Corporation Convertible Bonds	3.750%	2/15/30	BB+		659,750
	950	Liberty Media Corporation, Senior Debentures Exchangeable for Motorola Common Stock	3.500%	1/15/31	BB+		355,830
	500	Liberty Media Corporation, Senior Debentures, Exchangeable for Class B Viacom Common Stock	3.250%	3/15/31	BB+		237,500
	1,100	Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1	4.000%	11/15/29	BB+		587,125
	1,400	Liberty Media Corporation	0.750%	3/30/23	BB+		1,282,750
	1,100	Omnicom Group, Inc.	0.000%	7/31/32	Baa1		1,042,250
	750	Omnicom Group, Inc.	0.000%	7/01/38	A-		687,188
	1,200	Omnicom Group, Inc.	0.000%	2/07/31	A-		1,174,500
	400	Sinclair Broadcast Group, Inc., Convertible Bonds	3.000%	5/15/27	B		340,000

	13,550	Total Media					11,294,956


		Metals & Mining – 0.5%

	4,890	Coeur d’Alene Mines Corporation, Convertible Bond	1.250%	1/15/24	B-		3,575,813
	3,000	Gold Reserve, Inc., Convertible Bonds	5.500%	6/15/22	N/R		982,500
	50	Newmont Mining Corp., Senior Convertible Note	1.625%	7/15/17	BBB+		51,000
	900	Newmont Mining Corporation	1.625%	7/15/17	BBB+		918,000

	8,840	Total Metals & Mining					5,527,313


		Multiline Retail – 0.0%

	350	Saks, Inc., Convertible Bonds	2.000%	3/15/24	BB-		325,938


		Oil, Gas & Consumable Fuels – 0.5%

	250	Alpha Natural Resources Inc., Convertible Bond	2.375%	4/15/15	B		269,375
	950	Chesapeake Energy Corporation, 144A	2.750%	11/15/35	BB		1,023,625
	1,200	Chesapeake Energy Corporation, Convertible Bonds	2.500%	5/15/37	BB		1,153,500
	650	Chesapeake Energy Corporation, Convertible Bonds	2.250%	12/15/38	BB		450,125
	600	Massey Energy Company, Convertible Bond	3.250%	8/01/15	BB-		418,500
	700	Peabody Energy Corp., Convertible Bond	4.750%	12/15/66	Ba3		634,375
	450	Pioneer Natural Resources Company, Convertible Bond	2.875%	1/15/38	BB+		476,438
	1,550	USEC Inc., Convertible Bond	3.000%	10/01/14	CCC		887,375

	6,350	Total Oil, Gas & Consumable Fuels					5,313,313


		Pharmaceuticals – 0.4%

	950	Allergan Inc., Convertible Bond	1.500%	4/01/26	A		988,000
	900	Myland Labs, Inc., Convertible Bonds	1.250%	3/15/12	B+		696,375
	750	Watson Pharmaceuticals Inc., Convertible Bond	1.750%	3/15/23	BB+		703,125
	1,600	Wyeth, Convertible Bond	2.621%	1/15/24	A+		1,563,680

	4,200	Total Pharmaceuticals					3,951,180


		Real Estate – 1.0%

	1,450	Boston Properties Limited Partnership, Convertible Bonds, 144A	2.875%	2/15/37	A-		1,263,313
	300	Brandywine Operating Partnership, Convertible Bonds	3.875%	10/15/26	BBB-		247,500
	750	BRE Properties Inc., Convertible Bond	4.125%	8/15/26	BBB		654,375
	750	Developers Diversified Realty Corporation, Convertible Bonds	3.000%	3/15/12	N/R		595,313
	700	Duke Realty Corporation, Series D	3.750%	12/01/11	BBB+		608,125
	450	Health Care REIT, Inc., Convertible Bonds	4.750%	12/01/26	Baa2		517,500
	800	Hospitality Properties Trust, Convertible Bonds	3.800%	3/15/27	BBB		618,000
	450	Host Marriot LP, Convertible Bonds, 144A	3.250%	4/15/24	Ba1		443,813
	1,800	Prologis, Convertible Bonds, 144A	2.250%	4/01/37	BBB+		1,379,250
	1,250	Prologis, Convertible Bonds, 144A	1.875%	11/15/37	BBB+		878,125
	400	Ventas Inc., Convertible Bond	3.875%	11/15/11	BBB-		456,000
	2,200	Vornado Realty Trust, Convertible Bonds	2.850%	4/01/27	BBB		1,782,000
	900	Vornado Realty, Convertible Bond	3.875%	4/15/25	BBB		961,875
	650	Weingarten Realty Investment Trust, Convertible Bonds	3.950%	8/01/26	BBB+		574,438

	12,850	Total Real Estate					10,979,627


		Semiconductors & Equipment – 0.6%

	1,050	Advanced Micro Devices Inc., Convertible Bond	5.750%	8/15/12	B		603,750
	1,150	Advanced Micro Devices, Inc., Convertible Bonds	5.750%	8/15/12	B		661,250
	1,600	Intel Corporation, Convertible Bond	2.950%	12/15/35	A-		1,406,000
	2,050	Micron Technology, Inc.	1.875%	6/01/14	BB-		1,019,875
	600	ON Semiconductor Corporation	2.625%	12/15/26	B+		516,000
	3,500	Qimonda Finance LLC, Convertible Bond	6.750%	3/22/13	N/R		1,876,875
	450	Xilinx Inc., Convertible Bond, 144A	3.125%	3/15/37	BB		375,750

	10,400	Total Semiconductors & Equipment					6,459,500


		Software – 0.1%

	550	Amdocs Limited	0.500%	3/15/24	BBB		537,625
	350	Computer Associates International Inc., Convertible Bond, Series 144A	1.625%	12/15/09	BB+		368,375
	450	Red Hat Inc., Convertible Bond	0.500%	1/15/24	BB-		438,750

	1,350	Total Software					1,344,750


		Specialty Retail – 0.2%

	600	Best Buy Co., Inc.	2.250%	1/15/22	BBB-		589,500
	450	Charming Shoppes Inc., Convertible Bond	1.125%	5/01/14	B-		271,688
	750	TJX Companies, Inc.	0.000%	2/13/21	A-		755,625
	600	United Auto Group, Inc., Convertible Bonds	3.500%	4/01/26	B		516,000

	2,400	Total Specialty Retail					2,132,813


		Textiles, Apparel & Luxury Goods – 0.0%

	400	Iconix Brand Group, Inc., Convertible Notes	1.875%	6/30/12	B		300,500


		Wireless Telecommunication Services – 0.1%

	300	American Tower Corporation	3.000%	8/15/12	BB+		531,000
	1,000	Nextel Communications, Inc., Convertible Senior Notes	5.250%	1/15/10	Baa3		942,486

	1,300	Total Wireless Telecommunication Services					1,473,486

$	130,826	Total Convertible Bonds (cost $131,514,487)					112,849,367


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


		Corporate Bonds – 11.0% (6.6% of Total Investments)

		Aerospace & Defense – 0.1%

$	1,000	Hexcel Corporation, Term Loan	6.750%	2/01/15	B+	$	965,000


		Chemicals – 0.3%

	1,000	Momentive Performance Materials	9.750%	12/01/14	B		795,000
	3,000	Rockwood Specialties Group Inc., Series WI	7.500%	11/15/14	BB-		2,865,000

	4,000	Total Chemicals					3,660,000


		Commercial Services & Supplies – 0.1%

	1,200	Ticketmaster	10.750%	8/01/16	BB		1,134,000


		Containers & Packaging – 0.5%

	3,000	Owens-Brockway Glass Containers, Guaranteed Senior Note	8.250%	5/15/13	BB		3,000,000
	3,000	Owens-Illinois Inc.	7.500%	5/15/10	B+		2,985,000

	6,000	Total Containers & Packaging					5,985,000


		Diversified Telecommunication Services – 0.1%

	750	Syniverse Technologies Inc., Series B	7.750%	8/15/13	B		697,500


		Electric Utilities – 0.1%

	1,000	Sierra Pacific Resources, Series 2006	6.750%	8/15/17	BB		919,159


		Energy Equipment & Services – 0.2%

	2,500	Pride International Inc.	7.375%	7/15/14	BB+		2,400,000


		Food & Staples Retailing – 0.2%

	2,000	Stater Brothers Holdings Inc.	8.125%	6/15/12	B+		1,970,000


		Food Products – 0.7%

	4,110	Del Monte Corporation	8.625%	12/15/12	B+		4,089,450
	1,096	Dole Foods Company	8.625%	5/01/09	B-		1,052,160
	2,700	Dole Foods Company	8.750%	7/15/13	B-		2,389,500

	7,906	Total Food Products					7,531,110


		Health Care Providers & Services – 0.4%

	500	Biomet Inc.	10.000%	10/15/17	B-		512,500
	1,700	HCA Inc.	9.125%	11/15/14	BB-		1,657,500
	700	HCA Inc.	9.250%	11/15/16	BB-		682,500
	1,800	Select Medical Corporation	8.449%	9/15/15	CCC+		1,476,000

	4,700	Total Health Care Providers & Services					4,328,500


		Hotels, Restaurants & Leisure – 1.4%

	1,875	Boyd Gaming Corporation	7.750%	12/15/12	BB		1,659,375
	1,650	Jacobs Entertainment Inc.	9.750%	6/15/14	B		1,113,750
	2,000	Landry’s Restaurants Inc.	9.500%	12/15/14	B3		1,820,000
	1,000	Park Place Entertainment	7.875%	3/15/10	B-		782,500
	2,000	Pinnacle Entertainment Inc.	8.250%	3/15/12	B+		1,942,500
	3,000	Pinnacle Entertainment Inc.	8.750%	10/01/13	B+		2,887,500
	1,750	Seminole Hard Rock Entertainment, Inc.	5.314%	3/15/14	BB		1,321,250
	4,000	Universal City Development Partners	11.750%	4/01/10	B+		3,875,000

	17,275	Total Hotels, Restaurants & Leisure					15,401,875


		Independent Power Producers & Energy Traders – 0.1%

	500	Mirant North America LLC	7.375%	12/31/13	B1		472,500
	600	NRG Energy Inc.	7.250%	2/01/14	B1		558,000
	600	NRG Energy Inc.	7.375%	2/01/16	B1		541,500

	1,700	Total Independent Power Producers & Energy Traders					1,572,000


		IT Services – 0.8%

	3,500	First Data Corporation	9.875%	9/24/15	B		2,751,875
	1,950	Global Cash Access LLC	8.750%	3/15/12	B		1,725,750
	4,750	Sungard Data Systems Inc.	9.125%	8/15/13	B		4,298,750

	10,200	Total IT Services					8,776,375


		Machinery – 0.2%

	3,000	Greenbrier Companies, Inc.	8.375%	5/15/15	B		2,595,000


		Media – 1.8%

	6,900	Allbritton Communications Company, Series B	7.750%	12/15/12	B+		5,934,000
	2,000	AMC Entertainment Inc.	8.000%	3/01/14	B2		1,730,000
	5,000	Cablevision Systems Corporation, Series B	8.125%	8/15/09	BB		4,962,500
	2,000	Cablevision Systems Corporation	8.125%	7/15/09	BB		1,985,000
	2,198	Dex Media West LLC	9.875%	8/15/13	B+		1,368,255
	4,000	Medianews Group Inc.	6.375%	4/01/14	Caa2		1,220,000
	4,000	R.H. Donnelley Corporation	8.875%	10/15/17	B-		1,380,000
	3,500	Young Broadcasting Inc., Senior Subordinated Note	10.000%	3/01/11	CC		525,000
	2,000	Young Broadcasting Inc.	8.750%	1/15/14	CC		300,000

	31,598	Total Media					19,404,755


		Metals & Mining – 0.4%

	5,200	MagIndustries Corporation	11.000%	12/14/12	N/R		4,857,466


		Multi-Utilities – 0.2%

	2,400	Dynegy Holdings, Inc., Term Loan	8.375%	5/01/16	B		2,100,000
	500	Northwestern Corporation	5.875%	11/01/14	A-		478,449

	2,900	Total Multi-Utilities					2,578,449


		Oil, Gas & Consumable Fuels – 0.4%

	600	Chaparral Energy Inc.	8.500%	12/01/15	B-		477,000
	1,000	Hilcorp Energy I LP/Hilcorp Finance Company, Series 144A	7.750%	11/01/15	BB-		865,000
	2,000	Premcor Refining Group Inc.	7.500%	6/15/15	BBB		1,909,038
	3,000	SemGroup LP, 144A, (10)	8.750%	11/15/15	C		315,000
	1,500	Whiting Petroleum Corporation	7.000%	2/01/14	BB-		1,282,500

	8,100	Total Oil, Gas & Consumable Fuels					4,848,538


		Paper & Forest Products – 0.6%

	5,000	Georgia-Pacific Corporation	8.125%	5/15/11	B+		4,975,000
	2,000	Georgia-Pacific Corporation	7.700%	6/15/15	B+		1,840,000

	7,000	Total Paper & Forest Products					6,815,000


		Personal Products – 0.1%

	1,600	Prestige Brands Inc.	9.250%	4/15/12	B-		1,528,000


		Real Estate – 0.4%

	3,000	Felcor Lodging Trust Inc., 144A	4.803%	12/01/11	Ba3		2,415,000
	1,000	Trustreet Properties, Inc., (11)	7.500%	4/01/15	AAA		1,003,548
	500	Ventas Realty LP, Series WI	7.125%	6/01/15	BBB-		498,750

	4,500	Total Real Estate					3,917,298


		Semiconductors & Equipment – 0.4%

	2,400	Avago Technologies Finance Pte Limited	10.125%	12/01/13	BB-		2,436,000
	2,000	NXP BV	5.541%	10/15/13	B		1,327,500

	4,400	Total Semiconductors & Equipment					3,763,500


		Software – 0.3%

	3,250	Telcorida Technologies, Inc.	6.566%	7/15/12	B		2,746,250


		Specialty Retail – 0.7%

	1,000	Quiksilver Inc.	6.875%	4/15/15	B1		695,000
	7,000	Warnaco Inc., Senior Notes	8.875%	6/15/13	BB+		7,087,500

	8,000	Total Specialty Retail					7,782,500


		Textiles, Apparel & Luxury Goods – 0.4%

	4,000	Jostens IH Corporation	7.625%	10/01/12	B+		3,690,000


		Wireless Telecommunication Services – 0.1%

	1,500	IPCS, Inc.	4.926%	5/01/13	B1		1,230,000

$	145,279	Total Corporate Bonds (cost $146,743,357)					121,097,275


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


		Capital Preferred Securities – 30.0% (18.1% of Total Investments)

		Capital Markets – 3.1%

	19,750	C.A. Preferred Funding Trust	7.000%	1/30/49	Aa3	$	12,487,649
	12,400	Dresdner Funding Trust I, 144A	8.151%	6/30/31	A2		9,546,698
	3,500	First Union Capital Trust II, Series A	7.950%	11/15/29	A2		2,188,603
	4,300	JPM Chase Capital XXV	6.800%	10/01/37	Aa3		3,304,937
	6,700	Kleinwort Benson Group PLC	3.392%	12/31/99	N/R		4,021,903
	2,200	MUFG Capital Finance	4.850%	7/25/56	BBB+		2,037,746

		Total Capital Markets					33,587,536


		Commercial Banks – 17.7%

	2,000	AB Svensk Exportkredit, 144A	6.375%	10/27/49	AA-		1,997,690
	7,600	Abbey National Capital Trust I	8.963%	6/30/50	A+		8,155,545
	41,600	AgFirst Farm Credit Bank	7.300%	12/15/53	A		33,886,154
	13,070	Bank One Capital III	8.750%	9/01/30	Aa3		12,201,825
	2,600	BankAmerica Institutional Capital Trust, Series B, 144A	7.700%	12/31/26	Aa3		2,253,597
	1,000	BanPonce Trust I, Series A	8.327%	2/01/27	Baa1		928,964
	4,000	Barclays Bank PLC, 144A	8.550%	6/15/49	Aa3		3,674,640
	1,000	Barclays Bank PLC	7.434%	12/15/57	Aa3		815,579
	2,500	BBVA International Unipersonal	5.919%	4/18/58	Aa3		1,887,298
	5,750	First Empire Capital Trust I	8.234%	2/01/27	A3		5,370,052
	4,250	First Midwest Bancorp Inc.	6.950%	12/01/33	Baa1		3,389,350
	22,600	HBOS PLC, Series 144A	6.413%	4/01/49	A1		12,775,192
	1,000	HBOS PLC, Series 144A	6.657%	11/21/57	A1		566,794
	14,000	HSBC Capital Funding LP, Debt	10.176%	6/30/50	A1		13,830,460
	15,905	KBC Bank Fund Trust III, 144A	9.860%	5/02/50	A1		15,898,956
	4,000	KeyCorp Capital III	7.750%	7/15/29	A3		2,889,104
	5,000	Lloyds TSB Bank PLC, Subordinated Note	6.900%	11/22/49	Aa2		3,366,395
	4,000	Mizuho Financial Group	8.375%	4/27/49	Aa3		3,440,060
	10,000	North Fork Capital Trust II	8.000%	12/15/27	Baa1		8,521,850
	6,000	Northgroup Preferred Capital Corporation, 144A	6.378%	10/15/57	A1		3,646,950
	5,500	PNC Preferred Funding Trust III	8.700%	3/15/58	A-		4,912,028
	2,000	Reliance Capital Trust I, Series B	8.170%	5/01/28	N/R		1,672,640
	4,200	Royal Bank of Scotland Group PLC	9.118%	3/31/49	A1		4,074,000
	3,500	Shinsei Finance II Cayman Limited, Perpetual Maturity, 144A	7.160%	7/25/49	Baa2		1,795,938
	3,100	Standard Chartered PLC, 144A	6.409%	1/30/57	BBB+		2,392,574
	11,700	Standard Chartered PLC, 144A	7.014%	1/30/58	BBB+		9,867,546
	14,700	Swedbank ForeningsSparbanken AB, 144A	9.000%	9/17/50	A1		14,416,584
	15,290	Unicredito Italiano Capital Trust, 144A	9.200%	4/05/51	A1		14,660,205
	600	Union Bank of Norway	7.068%	11/19/49	A		788,256

		Total Commercial Banks					194,076,226


		Diversified Financial Services – 1.5%

	4,800	Fulton Capital Trust I	6.290%	2/01/36	A3		2,325,048
	23,600	Old Mutual Capital Funding, Notes	8.000%	6/22/53	Baa2		14,396,000

		Total Diversified Financial Services					16,721,048


		Diversified Telecommunication Services – 1.7%

	19	Centaur Funding Corporation, Series B, 144A	9.080%	4/21/20	BBB		19,139,625


		Insurance – 5.4%

	2,000	Allstate Corporation	6.500%	5/15/57	A2		1,257,618
	10,000	American General Capital II	8.500%	7/01/30	A3		1,848,320
	4,980	American General Institutional Capital, 144A	8.125%	3/15/46	A3		920,299
	6,900	AXA SA, 144A	6.463%	12/14/49	BBB+		3,946,862
	750	Great West Life and Annuity Insurance Company	7.153%	5/16/46	A-		604,234
	7,000	Hartford Financial Services Group Inc.	8.125%	6/15/68	AAA		5,971,469
	3,500	Liberty Mutual Group	7.800%	3/15/37	Baa3		2,118,064
	6,000	MetLife Capital Trust X	9.250%	4/08/68	BBB+		5,709,000
	1,550	Nationwide Financial Services Capital Trust	7.899%	3/01/37	Baa1		975,812
	4,000	Nationwide Financial Services Inc.	6.750%	5/15/67	Baa1		2,167,628
	7,600	Oil Insurance Limited, 144A	7.558%	12/30/49	Baa1		5,790,622
	3,800	Progressive Corporation	6.700%	6/15/67	A2		3,100,891
	4,000	Prudential Financial Inc.	8.875%	6/15/68	A-		3,770,684
	1,000	Prudential PLC	6.500%	6/29/49	A-		430,715
	9,000	QBE Capital Funding Trust II, 144A	6.797%	6/01/49	BBB		7,196,292
	22,200	XL Capital, Limited	6.500%	10/15/57	BBB		13,116,337

		Total Insurance					58,924,847


		Real Estate – 0.0%

	2,000	CBG Florida REIT Corporation	7.114%	11/15/49	BB+		544,320


		Road & Rail – 0.6%

	7,600	Burlington Northern Santa Fe Funding Trust I	6.613%	12/15/55	BBB		6,238,262


		Thrifts & Mortgage Finance – 0.0%

	14,890	Washington Mutual Preferred Funding Cayman, Series A-1, 144A	7.250%	3/15/49	C		93,063
	632	Washington Mutual Preferred Funding Trust II	6.665%	3/15/57	C		3,946

		Total Thrifts & Mortgage Finance					97,009

		Total Capital Preferred Securities (cost $481,050,655)					329,328,873


Shares		Description (1)	Value


		Investment Companies – 1.7% (1.0% of Total Investments)

	88,791	Blackrock Preferred and Corporate Income Strategies Fund	$	740,517
	731,736	Blackrock Preferred Income Strategies Fund		6,102,678
	78,765	Blackrock Preferred Opportunity Trust		752,206
	726,618	Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.		5,529,563
	88,875	Flaherty and Crumrine/Claymore Total Return Fund Inc.		685,226
	482,868	John Hancock Preferred Income Fund III		4,934,911

		Total Investment Companies (cost $44,112,065)		18,745,101

Principal

Amount (000)

Description (1)

Coupon

Maturity

Value

Short-Term Investments – 3.5% (2.1% of Total Investments)

14,272

Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/08, repurchase price $14,271,847, collateralized by $14,310,000 U.S. Treasury Notes, 4.750%, due 2/28/09, value $14,560,425

0.100%

10/01/08

14,271,807

23,652

Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/08,

repurchase price $23,652,105, collateralized by:
$80,000 U.S. Treasury Bonds, 8.125%, due 8/15/19, value $110,100,
$5,805,000 U.S. Treasury Notes, 6.500%, due 2/15/10, value $6,233,119,
$1,180,000 U.S. Treasury Notes, 4.625%, due 8/31/11, value $1,269,975,
$6,755,000 U.S. Treasury Notes, 3.625%, due 10/31/09, value $6,999,869 and
$9,420,000 U.S. Treasury Notes, 2.125%, due 1/31/10, value $9,514,200

0.100%

10/01/08

23,652,039

37,924

Total Short-Term Investments (cost $37,923,846)

37,923,846


Number of				Notional		Expiration	Strike
Contracts			Type	Amount (12)		Date	Price	Value



			Call Options Purchased – 0.0% (0.0% of Total Investments)

	1,223		LM Ericsson Telephone Company	$ 2,751,750		1/17/09	$22.5	$	61,150

			Total Call Options Purchased (cost $86,564)						61,150

			Total Investments (cost $2,508,460,153) – 166.1%						1,825,316,980


Shares			Description(1)					Value


			Common Stocks Sold Short – (1.1)%

			Chemicals – (0.2)%

	(41,200)		Sigma–Aldrich Corporation					$	(2,159,704)


			Health Care Equipment & Supplies – (0.3)%

	(20,600)		C.R. Bard, Inc.						(1,954,322)
	(9,000)		Chattem Inc., (2)						(703,620)

			Total Health Care Equipment & Supplies						(2,657,942)


			Pharmaceuticals – (0.4)%

	(72,000)		Abbott Laboratories						(4,145,760)


			Specialty Retail – (0.2)%

	(11,600)		Auto Zone, Inc., (2)						(1,430,744)
	(37,100)		Urban Outfitters, Inc., (2)						(1,182,377)

			Total Speciality Retail						(2,613,121)

			Total Common Stocks Sold Short (proceeds $11,750,395)						(11,576,527)


Number of				Notional		Expiration	Strike
Contracts			Type	Amount (12)		Date	Price	Value


			Call Options Written – (0.4)%

	(1,703	)	AbitibiBowater, Inc.		$ (2,128,750)	1/17/09	$12.5	$	(25,545	)
	(3,777	)	Allied Waste Industries	(3,777,000)		1/17/09	10.0		(802,612	)
	(2,143	)	Allied Waste Industries		(2,678,750)	1/17/09	12.5		(128,580	)
	(538	)	Ameren Corporation		(2,421,000)	12/20/08	45.0		(12,105	)
	(388	)	Amgen, Inc.		(1,940,000)	1/17/09	50.0		(440,380	)
	(603	)	Amgen, Inc.		(3,316,500)	1/17/09	55.0		(473,355	)
	(1,386	)	AngloGold Ashanti Limited		(5,544,000)	1/17/09	40.0		(31,185	)
	(245	)	Arch Coal Inc.		(1,225,000)	1/17/09	50.0		(36,750	)
	(221	)	Arch Coal Inc.		(1,215,500)	1/17/09	55.0		(22,100	)
	(1,048	)	AstraZeneca Group		(5,240,000)	1/17/09	50.0		(117,900	)
	(2,813	)	Barrick Gold Corporation		(14,065,000)	1/17/09	50.0		(379,755	)
	(3,280	)	BJ Services Company		(7,380,000)	1/17/09	22.5		(377,200	)
	(1,231	)	BP Amoco, PLC		(8,617,000)	1/17/09	70.0		(24,620	)
	(655	)	Cameco Corporation		(2,292,500)	1/17/09	35.0		(26,200	)
	(540	)	Cameco Corporation		(1,620,000)	3/21/09	30.0		(74,250	)
	(285	)	Chevron Corporation		(2,422,500)	1/17/09	85.0		(148,200	)
	(900	)	eBay, Inc.		(2,700,000)	1/17/09	30.0		(25,650	)
	(1,430	)	Gold Fields Limited		(2,145,000)	1/17/09	15.0		(64,350	)
	(430	)	Health Net Inc.		(1,290,000)	10/18/08	30.0		(6,450	)
	(600	)	Health Net Inc.		(1,500,000)	1/17/09	25.0		(114,000	)
	(1,460	)	IdaCorp Inc.		(4,380,000)	11/22/08	30.0		(73,000	)
	(1,800	)	Ivanhoe Mines Ltd.		(2,250,000)	1/17/09	12.5		(36,000	)
	(433	)	KT Corporation		(974,250)	1/17/09	22.5		(36,805	)
	(1,223	)	LM Ericsson Telephone Company		(2,751,750)	1/17/09	22.5		(12,230	)
	(650	)	Microsoft Corporation		(1,950,000)	1/17/09	30.0		(53,300	)
	(2,536	)	Newmont Mining Corporation		(12,680,000)	1/17/09	50.0		(381,668	)
	(865	)	Nexen Inc.		(2,595,000)	1/07/09	30.0		(90,825	)
	(5,236	)	Nippon Telegraph & Telephone Corporation		(13,090,000)	12/20/08	25.0		(196,350	)
	(870	)	Royal Dutch Shell PLC		(6,525,000)	1/17/09	75.0		(87,000	)
	(1,888	)	Smithfield Foods Inc.		(5,664,000)	1/17/09	30.0		(66,080	)
	(2,950	)	Sprint Nextel Corporation		(2,360,000)	2/21/09	8.0		(147,500	)
	(670	)	Tech Data Corporation		(2,680,000)	1/17/09	40.0		(13,400	)
	(143	)	Technip S.A.		(858,000)	12/20/08	60.0		(1,812	)
	(5,094	)	Tyson Foods Inc.		(7,641,000)	1/17/09	15.0		(331,110	)
	(1,699	)	Tyson Foods Inc.		(2,973,250)	1/17/09	17.5		(33,980	)
	(540	)	UBS AG		(1,620,000)	1/17/09	30.0		(17,550	)
	(580	)	UBS AG		(2,320,000)	1/17/09	40.0		(11,600	)

	(52,853	)	Total Call Options Written (cost $(14,922,275))		(146,830,750)				(4,921,397	)

			Borrowings Payable – (36.7)% (14) (15)						(403,800,000	)

			Other Assets Less Liabilities – 1.7%						18,797,481

			FundPreferred Shares, at Liquidation Value – (29.6)% (14)						(325,000,000	)

			Net Assets Applicable to Common Shares – 100%					$	1,098,816,537




			Interest Rate Swaps outstanding at September 30, 2008:

Fund

Fixed Rate

Unrealized

Notional

Pay/Receive

Floating Rate

Fixed Rate

Payment

Termination

Appreciation

Counterparty

Amount

Floating Rate

Index

(Annualized)

Frequency

Date

(Depreciation)

JPMorgan Chase

97,000,000

Receive

1-Month USD-LIBOR

3.360%

Monthly

1/23/09

159,759

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


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

(2)		Non-income producing.

(3)		Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating.

		Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.

(4)		Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.

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

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

(6)		Position or portion of position represents an unfunded Senior Loan commitment outstanding at September 30, 2008. At September 30, 2008, the Fund had unfunded Senior Loan Commitments of $505,423.

(7)		Negative value represents unrealized depreciation on unfunded Senior Loan commitments outstanding at September 30, 2008.

(8)		At or subsequent to September 30, 2008, this issue was under the protection of the Federal Bankruptcy Court.

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

(10)		Non-income producing security, in the case of a bond, generally denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.

(11)		Portion of investment has been pledged to collateralize the net payment obligations under interest rate swap contracts.

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

(13)		Portion of investment has been pledged to collateralize the net payment obligations under call options written.

(14)		Borrowings and FundPreferred Shares, at Liquidation Value as a percentage of Total Investments are 22.1% and 17.8%, respectively.

(15)		The Fund may pledge up to 100% of its eligible securities in the Portfolio of Investments as collateral for Borrowings.

N/R		Not rated.

DD1		Investment or portion of investment purchased on a delayed delivery basis.


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

ADR		American Depositary Receipt.

CORTS		Corporate Backed Trust Securities.

PPLUS		PreferredPlus Trust.

SATURNS		Structured Asset Trust Unit Repackaging.

Fair Value Measurements

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

Level 1 – Quoted prices in active markets for identical securities.

Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk,
etc.).

Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

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

The following is a summary of the Fund’s fair value measurements as of September 30, 2008:


	Level 1			Level 2		Level 3		Total

Investments	$	921,558,404		$	901,358,576	$	2,400,000	$	1,825,316,980
Derivatives*		-			159,759		-		159,759
Securities sold short		(11,576,527	)		-		-		(11,576,527	)
Call options written		(4,921,397	)		-		-		(4,921,397	)

Total	$	905,060,480		$	901,518,335	$	2,400,000	$	1,808,978,815

* Represents net unrealized appreciation (depreciation).

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


	Level 3
	Investments

Balance as of December 31, 2007	$	5,625,849
Gains (losses):
Net realized gains (losses)		798,463
Net change in unrealized appreciation (depreciation)		(419,288	)
Net purchases at cost (sales at proceeds)		(1,194,674	)
Net discounts (premiums)		47,116
Net transfers in to (out of) at end of period fair value		(2,457,466	)

Balance as of September 30, 2008	$	2,400,000

Income Tax Information

The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the 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, 2008, the cost of investments (excluding proceeds received on securities sold short and call options written) was $2,529,789,257.

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding proceeds received on securities sold short and call options written) at September 30, 2008, were as follows:




Gross unrealized:
Appreciation	$	17,411,960
Depreciation		(721,884,237	)



Net unrealized appreciation (depreciation) of investments	$	(704,472,277	)

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 28, 2008

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



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

Date November 28, 2008



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

Date November 28, 2008


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