Edgar Filing: Nuveen Multi-Strategy Income & Growth Fund

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21293

Nuveen Multi-Strategy Income and Growth Fund
(Exact name of registrant as specified in charter)
			333 West Wacker Drive, Chicago, Illinois 60606
			(Address of principal executive offices) (Zip code)
			Kevin J. McCarthy—Vice President and Secretary 333 West Wacker Drive, Chicago, Illinois 60606
			(Name and address of agent for service)
Registrant’s telephone number, including area code:				312-917-7700
Date of fiscal year end:	12/31
Date of reporting period:		9/30/2011

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

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

Item 1. Schedule of Investments

		Portfolio of Investments (Unaudited)
		Nuveen Multi-Strategy Income and Growth Fund (JPC)
		September 30, 2011

Shares	Description (1)	Value
	Common Stocks – 34.2% (25.0% of Total Investments)
	Aerospace & Defense – 1.1%
1,273	Alliant Techsystems Inc., (2)	$ 69,391
29,962	Aveos Fleet Performance Inc., (2), (3)	539,316
8,279	BE Aerospace Inc., (2)	274,118
2,110	Esterline Technologies Corporation, (2)	109,382
180,000	Finmeccanica SPA, (3)	1,245,459
3,205	GeoEye, Inc., (2)	90,862
2,970	Hexcel Corporation	65,815
11,390	Honeywell International Inc.	500,135
2,500	L-3 Communications Holdings, Inc.	154,925
36,828	Lockheed Martin Corporation, (4)	2,675,186
97,550	Thales S.A., (3)	3,049,165
8,070	United Technologies Corporation	567,805
	Total Aerospace & Defense	9,341,559
	Air Freight & Logistics – 0.0%
1,380	Atlas Air Worldwide Holdings Inc.	45,940
2,640	FedEx Corporation	178,675
	Total Air Freight & Logistics	224,615
	Auto Components – 0.0%
2,430	Tenneco Inc.	62,232
5,320	TRW Automotive Holdings Corporation, (2)	174,124
3,860	Visteon Corporation	165,980
	Total Auto Components	402,336
	Automobiles – 0.4%
11,520	Ford Motor Company	111,398
63,589	Honda Motor Company Limited, (3)	1,862,831
46,524	Toyota Motor Corporation, (3)	1,594,804
	Total Automobiles	3,569,033
	Beverages – 0.7%
164,330	Coca-Cola Amatil Limited, (3)	1,882,538
21,881	Coca-Cola Femsa SAB de CV	1,941,501
830	Coca-Cola Bottling Company Consolidated	46,032
29,840	Coca-Cola Company, (4)	2,015,990
4,085	Dr. Pepper Snapple Group	158,416
	Total Beverages	6,044,477
	Biotechnology – 0.3%
8,580	Amgen Inc., (2)	471,471
4,490	Amylin Pharmaceuticals Inc.	41,443
2,270	Aveo Pharmaceuticals Inc.	34,935
5,770	Biogen Idec Inc., (2)	537,476
6,320	BioMarin Pharmaceutical Inc., (2)	201,418
2,410	Celgene Corporation, (2)	149,227
13,390	Gilead Sciences, Inc., (2)	519,532
4,220	Incyte Pharmaceuticals Inc., (2)	58,953
14,891	Nabi Biopharmaceuticals, (2)	25,017
11,530	Neurocrine Biosciences Inc.	68,949
10,410	PDL Biopahrma Inc.	57,776
2,680	Targacept, Inc.	40,200
	Total Biotechnology	2,206,397
	Building Products – 0.1%
36,123	Masonite Worldwide Holdings, (2), (3)	975,321
	Capital Markets – 0.5%
5,550	Affiliated Managers Group Inc., (2)	433,178
3,340	Ameriprise Financial, Inc.	131,462
5,420	Apollo Investment Corporation	40,758
3,760	Artio Global Investors Inc.	29,930
4,040	Calamos Asset Management, Inc. Class A	40,440
2,100	Cohen & Steers Inc.	60,375
333,000	Egyptian Financial Group - Hermes Holdings, (3)	937,535
139,000	GP Investments	332,669
16,160	Invesco LTD	250,642
6,650	T. Rowe Price Group Inc.	317,671
45,240	UBS AG, (3)	517,481
88,000	Uranium Participation Corporation, (2)	476,152
6,530	Waddell & Reed Financial, Inc., Class A	163,315
3,760	Walter Investment Management Corporation	86,217
	Total Capital Markets	3,817,825
	Chemicals – 1.0%
3,850	Airgas, Inc.	245,707
9,070	Celanese Corporation, Series A	295,047
1,590	CF Industries Holdings, Inc.	196,190
3,090	E.I. Du Pont de Nemours and Company	123,507
1,520	FMC Corporation	105,123
8,120	Interpid Potash Inc., (2)	201,944
80,252	Kuraray Company Limited, (3)	1,094,484
4,880	LyondellBasell Industries NV	119,218
2,290	Minerals Technologies Inc.	112,828
5,060	Monsanto Company	303,802
15,800	Mosaic Company	773,726
27,125	Nitto Denko Corporation, (3)	1,067,548
1,580	OM Group Inc.	41,033
24,360	Potash Corporation of Saskatchewan	1,057,715
3,500	Scotts Miracle Gro Company	156,100
49,607	Umicore, (3)	1,798,383
4,900	Westlake Chemical Corporation	167,972
	Total Chemicals	7,860,327
	Commercial Banks – 1.9%
6,886	Associated Banc-Corp.	64,040
77,919	Banco Itau Holdings Financeira, S.A., Sponsred ADR	1,209,303
88,591	Banco Santander Central Hispano S.A., (3)	724,310
12,100	BNP Paribas SA, (3)	477,014
6,844	Commerce Bancshares Inc.	237,829
6,265	Community Bank System Inc.	142,153
199,562	DnB NOR ASA, (3)	1,988,869
7,220	First Financial Bancorp.	99,636
76,091	Hang Seng Bank, (3)	891,869
156,530	HSBC Holdings PLC, (3)	1,198,910
44,110	KeyCorp.	261,572
6,220	M&T Bank Corporation	434,778
91,571	Mitsubishi UFJ Financial Group, Inc., ADR	420,279
298,117	Mizuho Financial Group, (3)	436,558
14,800	Societe Generale, (3)	387,431
83,163	Standard Chartered PLC, (3)	1,659,183
437,000	Sumitomo Mitsui Financial Group, (3)	1,446,424
14,845	Sumitomo Mitsui Financial Group, (3)	418,266
26,000	Toronto-Dominion Bank	1,850,692
15,280	U.S. Bancorp	359,691
28,200	Wells Fargo & Company	680,184
15,470	Zions Bancorporation	217,663
	Total Commercial Banks	15,606,654
	Commercial Services & Supplies – 0.3%
26,795	Aggreko PLC, (3)	674,272
3,120	Clean Harbors, Inc., (2)	160,056
23,625	Republic Services, Inc.	662,918
3,967	Stericycle Inc., (2)	320,216
8,430	Waste Management, Inc.	274,481
	Total Commercial Services & Supplies	2,091,943
	Communications Equipment – 0.6%
7,381	Cisco Systems, Inc., (2)	114,332
1,830	Comtech Telecom Corporation, (2)	51,405
1,225	Interdigital Inc., (2)	57,061
20,230	Motorola Solutions Inc.	847,637
372,000	Nokia Oyj, (4)	2,105,520
2,430	Plantronics Inc.	69,134
26,670	QUALCOMM, Inc.	1,296,962
	Total Communications Equipment	4,542,051
	Computers & Peripherals – 0.5%
8,801	Apple, Inc., (2)	3,354,765
11,470	EMC Corporation, (2)	240,755
3,620	Network Appliance Inc., (2)	122,863
5,510	SanDisk Corporation, (2)	222,329
6,910	Seagate Technology, (2)	71,035
1,088	Western Digital Corporation, (2)	27,983
	Total Computers & Peripherals	4,039,730
	Construction & Engineering – 0.2%
6,250	Fluor Corporation	290,938
3,670	MasTec Inc.	64,629
27,130	Royal Boskalis Westminster NV, (3)	834,472
3,199	Shaw Group Inc., (2)	69,546
	Total Construction & Engineering	1,259,585
	Construction Materials – 0.2%
955,000	India Cements Limited, 144A, Reg S, GDR, (3)	1,399,032
1,750,000	Luks Group Vietnam Holdings Company Limited, (3)	397,733
	Total Construction Materials	1,796,765
	Consumer Finance – 0.1%
3,860	American Express Company	173,314
2,690	Capital One Financial Corporation	106,605
8,260	Discover Financial Services	189,484
	Total Consumer Finance	469,403
	Diversified Consumer Services – 0.0%
3,140	Sothebys Holdings Inc.	86,570
	Diversified Financial Services – 0.1%
23,179	Citigroup Inc.	593,846
52,000	Guoco Group Ltd., ADR, (3)	476,286
	Total Diversified Financial Services	1,070,132
	Diversified Telecommunication Services – 0.9%
60,500	KT Corporation, Sponsored ADR	894,190
86,800	Nippon Telegraph and Telephone Corporation, ADR	2,078,860
56,440	PT Telekomunikasi Indonesia	1,866,471
26,650	Telecom Egypt SAE, (3)	65,388
1,455,000	Telecom Italia S.p.A., (3)	1,415,029
29,410	Verizon Communications Inc.	1,082,288
	Total Diversified Telecommunication Services	7,402,226
	Electric Utilities – 1.8%
146,484	Centrais Electricas Brasileiras S.A., PFD B ADR	1,712,398
17,950	Duke Energy Corporation	358,821
2,280	Edison International	87,210
19,064	Electricite de France S.A., ADR, (3)	109,427
111,700	Electricite de France S.A., (3)	3,234,937
94,175	Exelon Corporation, (4)	4,012,797
152,632	Korea Electric Power Corporation, Sponsored ADR	1,297,372
14,160	Northeast Utilities	476,484
4,940	Portland General Electric Company	117,029
11,920	Progress Energy, Inc.	616,502
24,292	RusHydro, ADR, (2), (3)	81,135
424,292	RusHydro, ADR, (2), (3)	1,446,672
24,030	Southern Company	1,018,151
4,500	UIL Holdings Corporation	148,185
	Total Electric Utilities	14,717,120
	Electrical Equipment – 0.5%
67,689	ABB Limited, (3)	1,157,879
20,041	Areva CI	637,015
3,900	Cooper Industries Inc.	179,868
13,664	Nidec Corporation, (3)	1,100,454
53,350	Sensata Techologies Holdings	1,411,641
	Total Electrical Equipment	4,486,857
	Electronic Equipment & Instruments – 0.3%
59,801	Hoya Corporation, (3)	1,386,459
125,982	Nippon Electric Glass Company Limited, (3)	1,144,797
	Total Electronic Equipment & Instruments	2,531,256
	Energy Equipment & Services – 0.3%
1,980	FMC Technologies Inc., (2)	74,448
5,300	Global Geophysical Services Inc.	42,241
3,385	Halliburton Company	103,310
3,690	Hornbeck Offshore Services Inc.	91,918
6,880	National-Oilwell Varco Inc.	352,394
6,580	Oil States International Inc., (2)	335,054
25,920	Parker Drilling Company, (2)	113,789
9,090	RPC Inc.	148,349
3,620	Schlumberger Limited	216,223
48,010	Subsea 7 SA, (3)	911,995
	Total Energy Equipment & Services	2,389,721
	Food & Staples Retailing – 1.4%
8,010	Costco Wholesale Corporation	657,781
15,180	CVS Caremark Corporation	509,744
130,811	Jeronimo Martins SGPS, (3)	2,042,796
83,645	Koninklijke Ahold N.V., (3)	983,680
114,724	Kroger Co., (4)	2,519,339
90,716	Wal-Mart Stores, Inc., (4)	4,708,160
	Total Food & Staples Retailing	11,421,500
	Food Products – 1.2%
2,696	Archer-Daniels-Midland Company	66,888
1,010	Diamond Foods Inc.	80,588
8,460	General Mills, Inc.	325,456
14,500	H.J. Heinz Company	731,960
1,730	Hain Celestial Group Inc.	52,852
18,775	Hershey Foods Corporation	1,112,231
14,140	Kraft Foods Inc.	474,821
1,890	McCormick & Company, Incorporated	87,242
18,350	Mead Johnson Nutrition Company, Class A Shares	1,263,031
31,966	Nestle S.A., (3)	1,759,814
2,680	Tootsie Roll Industries Inc.	64,642
70,600	Tyson Foods, Inc., Class A, (4)	1,225,616
76,130	Unilever PLC, ADR, (3)	2,384,706
	Total Food Products	9,629,847
	Gas Utilities – 0.1%
2,300	National Fuel Gas Company	111,964
16,940	Questar Corporation	300,007
	Total Gas Utilities	411,971
	Health Care Equipment & Supplies – 0.3%
5,560	Align Technology, Inc., (2)	84,345
11,960	Baxter International, Inc.	671,434
8,890	Becton, Dickinson and Company	651,815
3,280	C. R. Bard, Inc.	287,131
20,400	CareFusion Corporation, (2)	488,580
1,390	Cooper Companies, Inc.	110,019
5,760	Hologic Inc., (2)	87,610
4,930	Masimo Corporation	106,735
5,030	Saint Jude Medical Inc.	182,036
2,220	Steris Corporation	64,979
	Total Health Care Equipment & Supplies	2,734,684
	Health Care Providers & Services – 0.9%
81,109	Aetna Inc., (4)	2,948,312
1,490	Air Methods Corporation, (2)	94,868
2,200	Centene Corporation, (2)	63,074
3,930	Davita Inc.	246,293
26,233	Fresenius Medical Care, ADR, (3)	1,779,624
2,480	HealthSouth Corporation, (2)	37,026
950	HealthSpring, Inc.	34,637
4,920	Humana Inc., (2)	357,832
1,790	Laboratory Corporation of America Holdings	141,500
3,247	Lincare Holdings	73,058
13,440	McKesson HBOC Inc.	977,088
2,860	Molina Healthcare Inc.	44,158
3,530	Owens and Minor Inc.	100,534
68,000	Profarma Distribuidora de Produtos Farmaceuticos SA	361,654
	Total Health Care Providers & Services	7,259,658
	Hotels, Restaurants & Leisure – 0.3%
7,280	Ameristar Casinos, Inc.	116,844
25,130	International Game Technology	365,139
12,130	Las Vegas Sands	465,064
4,540	McDonald’s Corporation	398,703
24,800	Orascom Development Holding AG, (3)	469,981
2,340	Penn National Gaming, Inc.	77,899
2,130	Red Robin Gourmet Burgers, Inc., (2)	51,312
4,590	Royal Caribbean Cruises Limited	99,328
15,750	Scientific Games Corporation	112,140
10,330	Starbucks Corporation	385,206
4,280	Vail Resorts, Inc.	161,741
580	Wynn Resorts Ltd	66,746
	Total Hotels, Restaurants & Leisure	2,770,103
	Household Durables – 0.2%
57,999	Brookfield Residential Properties Inc.	385,693
6,877	Brookfield Residential Properties Inc.	45,742
278,917	Oriental Weavers Company, (3)	1,444,748
880	Tempur Pedic International Inc., (2)	46,297
	Total Household Durables	1,922,480
	Household Products – 0.2%
1,960	Colgate-Palmolive Company	173,813
9,570	Kimberly-Clark Corporation	679,566
9,580	Procter & Gamble Company	605,264
1,760	Spectrum Brands Inc.	41,571
	Total Household Products	1,500,214
	Independent Power Producers & Energy Traders – 0.0%
7,440	AES Corporation, (2)	72,614
	Industrial Conglomerates – 0.5%
233,172	Fraser and Neave Limited, (3)	1,023,530
57,420	General Electric Company	875,081
14,980	Rheinmetall AG, (3)	702,650
7,950	Siemens AG, Sponsored ADR, (3)	715,264
6,450	Tyco International Ltd.	262,838
	Total Industrial Conglomerates	3,579,363
	Insurance – 1.2%
3,990	AFLAC Incorporated	139,451
6,120	Alterra Capital Holdings Limited	116,096
4,374	American International Group	96,009
16,530	Aon Corporation	693,929
2,493	Axis Capital Holdings Limited	64,668
3,390	Chubb Corporation	203,366
1,127	Endurance Specialty Holdings Limited	38,487
4,020	Everest Reinsurance Group Ltd.	319,108
42,354	Hannover Rueckversicherung AG, (3)	1,914,890
13,200	Hartford Financial Services Group, Inc.	213,048
19,040	Marsh & McLennan Companies, Inc.	505,322
8,500	Meadowbrook Insurance Group, Inc.	75,735
49,000	Mitsui Sumitomo Insurance Company Limited, (3)	1,066,126
4,511	MS&AD Insurance Group Holdings Inc., (3)	48,629
9,030	National Financial Partners Corp., (2)	98,788
1,530	Navigators Group, Inc.	66,096
7,945	Old Republic International Corporation	70,869
1,910	PartnerRe Limited	99,836
6,140	Primerica Inc.	132,378
105,446	Prudential Corporation PLC, (3)	905,574
42,790	SCOR SE, ADR, (3)	923,026
12,790	Torchmark Corporation	445,859
2,000	Tower Group Inc.	45,720
33,560	Willis Group Holdings PLC	1,153,457
5,810	WR Berkley Corporation	172,499
25,020	XL Capital Ltd, Class A	470,376
	Total Insurance	10,079,342
	Internet & Catalog Retail – 0.0%
1,170	Amazon.com, Inc., (2)	252,989
	Internet Software & Services – 0.2%
1,148	Google Inc., Class A, (2)	590,508
3,850	IAC/InterActiveCorp., (2)	152,268
3,156	Rackspace Hosting Inc., (2)	107,746
25,145	Tencent Holdings Limited, (3)	520,289
18,400	Yahoo! Inc.	242,144
	Total Internet Software & Services	1,612,955
	IT Services – 0.6%
12,530	Accenture Limited	660,080
5,250	CSG Systems International Inc., (2)	66,360
13,935	International Business Machines Corporation (IBM)	2,439,043
1,165	MasterCard, Inc.	369,491
3,650	Maximus Inc.	127,385
5,210	Paychex, Inc.	137,388
3,850	Teradata Corporation, (2)	206,091
12,160	VeriFone Holdings Inc., (2)	425,843
2,850	Visa Inc.	244,302
3,015	Wright Express Corporation, (2)	114,691
	Total IT Services	4,790,674
	Leisure Equipment & Products – 0.1%
3,942	Polaris Industries Inc.	196,982
16,000	Sankyo Company Ltd, (3)	865,763
	Total Leisure Equipment & Products	1,062,745
	Life Sciences Tools & Services – 0.1%
2,730	Agilent Technologies, Inc., (2)	85,313
890	Bio-Rad Laboratories Inc., (2)	80,785
7,620	Life Technologies Corporation, (2)	292,837
7,020	Waters Corporation, (2)	529,940
	Total Life Sciences Tools & Services	988,875
	Machinery – 0.8%
4,204	AGCO Corporation, (2)	145,332
2,870	Astecx Industries Inc.	84,034
13,570	Caterpillar Inc.	1,002,009
13,660	Cummins Inc.	1,115,476
1,910	Dover Corporation	89,006
6,350	Eaton Corporation	225,425
839	Japan Steel Works Limited, (3)	50,941
1,600	Joy Global Inc.	99,808
35,991	Kone OYJ, (3)	1,711,843
48,560	Nabtesco Corporation, (3)	917,813
1,700	Nordson Corporation	67,558
2,987	Twin Disc, Inc.	79,663
11,080	Vallourec SA, (3)	634,516
1,920	Wabtec Corporation	101,510
	Total Machinery	6,324,934
	Marine – 0.1%
39,600	Stolt-Nielsen S.A., (3)	731,828
	Media – 0.4%
23,985	Comcast Corporation, Class A	501,287
48,713	Cumulus Media, Inc.	138,345
6,796	DIRECTV Group, Inc., (2)	287,131
2,510	Liberty Media Starz, (2)	159,536
3,635	Madison Square Garden Inc., (2)	82,878
14,297	Metro-Goldwyn-Mayer, (3)	251,985
6,180	Scripps Networks Interactive, Class A Shares	229,711
1,104	Time Warner Cable, Class A	69,188
15,370	Viacom Inc., Class B	595,434
78,450	WPP Group PLC, (3)	726,644
	Total Media	3,042,139
	Metals & Mining – 3.8%
89,335	AngloGold Ashanti Limited, Sponsored ADR, (4)	3,694,896
122,250	Barrick Gold Corporation, (4)	5,702,963
44,513	BHP Billiton PLC, ADR, (3)	1,473,845
14,780	Freeport-McMoRan Copper & Gold, Inc.	450,051
285,649	Gold Fields Limited, Sponsored ADR, (4)	4,376,143
360,000	Gran Colombia Gold Corporation	202,691
81,160	Iluka Resources Limited, (3)	949,950
18,770	Kinross Gold Corporation	277,421
3,636	Newcrest Mining Limited, Sponsored ADR, (3)	119,479
95,300	Newcrest Mining Limited, (3)	3,141,197
91,906	Newmont Mining Corporation, (4)	5,780,887
11,201	NovaGold Resources Inc., (2)	72,246
595,957	Polyus Gold Limited, GDR, (3)	1,847,467
31,660	Rio Tinto Limited, (3)	1,854,436
1,700	RTI International Metals, Inc., (2)	39,644
5,200	Steel Dynamics Inc.	51,584
43,080	Titanium Metals Corporation, (2)	645,338
2,179,909	Village Main Reef Limited	453,557
7,910	Walter Industries Inc.	474,679
	Total Metals & Mining	31,608,474
	Multiline Retail – 0.4%
3,185	Dillard’s, Inc., Class A	138,484
24,100	Macy’s, Inc.	634,312
46,951	Next PLC, (3)	1,840,704
6,520	Target Corporation	319,741
	Total Multiline Retail	2,933,241
	Multi-Utilities – 0.2%
3,590	Alliant Energy Corporation	138,861
7,480	Consolidated Edison, Inc.	426,510
14,350	Dominion Resources, Inc.	728,550
2,440	OGE Energy Corp.	116,608
2,950	Sempra Energy	151,925
	Total Multi-Utilities	1,562,454
	Office Electronics – 0.1%
23,343	Canon Inc., (3)	1,059,913
	Oil, Gas & Consumable Fuels – 3.0%
2,480	Apache Corporation	198,995
23,203	Arch Coal Inc.	338,300
97,730	BG Group PLC, (3)	1,870,417
154,130	Cameco Corporation, (4)	2,823,662
65,058	Chesapeake Energy Corporation, (4)	1,662,232
5,340	Cimarex Energy Company	297,438
7,700	Cloud Peak Energy Inc.	130,515
16,020	ConocoPhillips	1,014,386
11,740	Continental Resources Inc., (2)	567,864
3,040	CVTR Energy Inc.	64,266
4,760	Devon Energy Corporation	263,894
24,850	El Paso Corporation	434,378
2,180	EOG Resources, Inc.	154,802
2,810	Exxon Mobil Corporation	204,090
116,000	Gazprom OAO, ADR, (3)	1,110,439
1,714	Hess Corporation	89,916
8,720	HollyFrontier Company	228,638
11,470	Marathon Oil Corporation	247,523
11,450	Marathon Petroleum Corporation	309,837
4,240	Murphy Oil Corporation	187,238
2,990	Newfield Exploration Company, (2)	118,673
157,600	Nexen Inc.	2,441,224
7,200	Niko Resources Limited	296,616
4,495	Occidental Petroleum Corporation	321,393
1,930	Peabody Energy Corporation	65,388
2,900	Petrobras Energia S.A., ADR	39,875
10,200	Petroquest Energy Inc., (2)	56,100
3,500,000	PT Medco Energi Internasional TBK, (3)	845,903
6,550	QEP Resources Inc.	177,309
6,010	Range Resources Corporation	351,345
34,290	Repsol YPF S.A., (3)	905,214
65,490	Royal Dutch Shell PLC, Class B, Sponsored ADR, (3)	2,037,704
2,830	SM Energy Company	171,640
44,170	StatoilHydro ASA, Sponsored ADR, (3)	947,794
6,080	Stone Energy Corporation, (2)	98,557
45,900	Suncor Energy, Inc., (4)	1,167,696
15,590	Sunoco, Inc.	483,446
8,500	Teekay Shipping Corporation	192,185
2,460	Tesoro Corporation	47,896
28,675	Total S.A., (3)	1,265,123
1,100	Whiting Petroleum Corporation, (2)	38,588
	Total Oil, Gas & Consumable Fuels	24,268,499
	Paper & Forest Products – 0.0%
2,320	Clearwater Paper Corporation	78,834
9,448	Stora Enso Oyj, (3)	55,932
	Total Paper & Forest Products	134,766
	Personal Products – 0.0%
10,680	Prestige Brands Holdings Inc.	96,654
	Pharmaceuticals – 1.9%
9,010	Abbott Laboratories	460,771
24,800	AstraZeneca Group, Sponsored ADR, (4)	1,100,128
27,280	AstraZeneca Group, (3)	1,210,672
22,248	Bristol-Myers Squibb Company	698,142
80,928	Eli Lilly and Company, (4)	2,991,908
26,140	Johnson & Johnson, (4)	1,665,379
16,455	Merck & Company Inc.	538,243
21,236	Novartis AG, Sponsored ADR, (3)	1,186,278
12,720	Novo Nordisk A/S, (3)	1,268,618
29,670	Pfizer Inc., (4)	524,566
20,817	Sanofi-Aventis, S.A., (3)	1,369,275
24,490	Teva Pharmaceutical Industries Limited, Sponsored ADR	911,518
5,670	Warner Chilcott Limited, (2)	81,081
21,220	Watson Pharmaceuticals Inc., (2)	1,448,265
	Total Pharmaceuticals	15,454,844
	Professional Services – 0.0%
1,140	Acacia Research, (2)	41,029
1,820	Towers Watson & Company, Class A Shares	108,800
	Total Professional Services	149,829
	Real Estate – 0.5%
2,820	American Campus Communities Inc.	104,932
2,480	Annaly Capital Management Inc.	41,242
5,240	Camden Property Trust	289,562
3,740	Chesapeake Lodging Trust	45,142
11,030	Digital Realty Trust Inc.	608,415
10,950	Duke Realty Corporation	114,975
2,620	Equity Lifestyles Properties Inc.	164,274
1,400	Essex Property Trust Inc.	168,056
2,040	Home Properties New York, Inc.	115,790
2,192	PS Business Parks Inc.	108,592
5,340	Ramco-Gershenson Properties Trust	43,788
8,415	Rayonier Inc.	309,588
5,939	Simon Property Group, Inc.	653,171
4,170	Tanger Factory Outlet Centers	108,462
2,400	Taubman Centers Inc.	120,744
111,300	Westfield Group, (3)	825,368
111,300	Westfield Realty Trust, (3)	259,025
	Total Real Estate	4,081,126
	Real Estate Management & Development – 0.3%
67,160	Brookfield Properties Corporation	928,665
246,918	Hysan Development Company, (3)	738,656
32,549	Solidere, 144A, GDR, (3)	494,109
	Total Real Estate Management & Development	2,161,430

		Road & Rail – 0.6%
19,530		CSX Corporation																												364,625
27,300		East Japan Railway Company, (3)																												1,655,106
3,510		Genesee & Wyoming Inc.																												163,285
7,150		Hertz Global Holdings Inc., (2)																												63,635
1,940		J.B. Hunt Transports Serives Inc.																												70,073
15,290		Kansas City Southern Industries, (2)																												763,888
2,470		Norfolk Southern Corporation																												150,719
9,540		Ryder System, Inc.																												357,845
1,560		Union Pacific Corporation																												127,405
30,500		West Japan Railway Company, (3)																												1,307,413
		Total Road & Rail																												5,023,994
		Semiconductors & Equipment – 0.3%
46,880		ASM Lithography Holding NV, (3)																												1,621,036
23,040		Cypress Semiconductor Corporation, (2)																												344,909
19,665		Intel Corporation																												419,454
2,740		KLA-Tencor Corporation																												104,887
11,260		Kulicke & Soffa Industries Inc.																												84,000
11,890		Micron Technology, Inc., (2)																												59,926
10,270		ON Semiconductor Corporation, (2)																												73,636
14,240		Silicon Image, Inc., (2)																												83,589
		Total Semiconductors & Equipment																												2,791,437
		Software – 0.5%
3,120		Advent Software Inc., (2)																												65,052
2,110		Ansys Inc., (2)																												103,474
2,350		BMC Software, Inc., (2)																												90,616
3,070		CommVault Systems, Inc., (2)																												113,774
1,760		Intuit, Inc.																												83,494
2,640		Manhattan Associates Inc., (2)																												87,331
1,270		Micros Systems, Inc., (2)																												55,766
118,180		Microsoft Corporation, (4)																												2,941,500
21,380		Oracle Corporation																												614,461
1,050		Salesforce.com, Inc., (2)																												119,994
5,360		TeleNav Inc.																												47,543
		Total Software																												4,323,005
		Specialty Retail – 0.3%
2,710		Advance Auto Parts, Inc.																												157,451
2,230		Body Central Corporation																												40,497
5,020		Express Inc.																												101,856
11,730		Gap, Inc.																												190,495
7,120		Home Depot, Inc.																												234,034
13,670		Limited Brands, Inc.																												526,432
1,830		Ross Stores, Inc.																												144,003
6,500		Tiffany & Co.																												395,330
1,090		Vitamin Shoppe Inc.																												40,810
9,260		Williams-Sonoma Inc.																												285,115
		Total Specialty Retail																												2,116,023
		Textiles, Apparel & Luxury Goods – 0.5%
70,570		Burberry Group PLC, (3)																												1,281,501
9,710		LVMH Moet Hennessy, (3)																												1,281,724
1,360		Oxford Industries Inc.																												46,648
960		PVH Corporation																												55,910
455,455		Yue Yuen Industrial Holdings Limited, (3)																												1,183,752
		Total Textiles, Apparel & Luxury Goods																												3,849,535
		Thrifts & Mortgage Finance – 0.0%
8,030		Ocwen Financial Corporation																												106,076
		Tobacco – 0.5%
17,420		Alliance One International, Inc., (2)																												42,505
11,020		Altria Group, Inc.																												295,446
33,910		British American Tobacco PLC, (3)																												1,431,860
29,500		Eastern Tobacco, (3)																												432,432
2,790		Lorillard Inc.																												308,852
19,075		Philip Morris International																												1,189,898
13,850		Reynolds American Inc.																												519,097
		Total Tobacco																												4,220,090
		Trading Companies & Distributors – 0.3%
4,517		CAI International Inc.																												52,938
146,464		Mitsui & Company Limited, (3)																												2,121,569
5,210		United Rentals Inc.																												87,735
		Total Trading Companies & Distributors																												2,262,242
		Water Utilities – 0.0%
2,230		American Water Works Company																												67,302
		Wireless Telecommunication Services – 0.6%
3,200		Crown Castle International Corporation																												130,144
23,556		Millicom International Cellular S.A., (3)																												2,347,394
129,778		Turkcell Iletisim Hizmetleri A.S., ADR, (4)																												1,463,896
460,240		Vodafone Group PLC, (3)																												1,186,167
		Total Wireless Telecommunication Services																												5,127,601
		Total Common Stocks (cost $295,814,941)																												280,519,353

Shares		Description (1)										Coupon														Ratings (5)				Value
		Convertible Preferred Securities – 1.1% (0.8% of Total Investments)
		Capital Markets – 0.0%
5,800		AMG Capital Trust II, Convertible Bond										5.150%														BB				$ 216,775
		Commercial Banks – 0.5%
3,500		Credit Suisse AG										7.875%														BBB+				3,377,500
1,961		KeyCorp Convertible Preferred Stock										7.750%														Ba1				199,042
		Total Commercial Banks																												3,576,542
		Food Products – 0.1%
5,300		Bunge Limited, Convertible Bonds										4.875%														Ba1				480,975
		Gas Utilities – 0.0%
3,915		El Paso Energy Capital Trust I, Convertible Preferred										4.750%														B				175,079
		Health Care Providers & Services – 0.0%
8,350		Omnicare Capital Trust II, Series B										4.000%														B				317,300
		Independent Power Producers & Energy Traders – 0.1%
10,000		AES Trust III, Convertible Preferred										6.750%														B				487,200
		Insurance – 0.0%
5,150		Aspen Insurance Holdings Limited										5.625%														BBB-				257,500
		Machinery – 0.1%
9,300		Stanley, Black, and Decker Inc.										4.750%														BBB+				960,132
		Media – 0.0%
100		Interpublic Group Companies Inc., Convertible Notes										0.000%														B+				102,500
		Oil, Gas & Consumable Fuels – 0.1%
1,000		Chesapeake Energy Corporation, Convertible										5.750%														B+				1,096,250
		Real Estate – 0.2%
32,096		CommonWealth REIT, Convertible Debt										6.500%														Baa3				655,079
19,650		Health Care REIT, Inc., Convertible Bonds										6.500%														Baa3				909,795
		Total Real Estate																												1,564,874
		Thrifts & Mortgage Finance – 0.0%
1,400		New York Community Capital Trust V										6.000%														Baa2				62,300
		Total Convertible Preferred Securities (cost $9,976,881)																												9,297,427

Shares		Description (1)										Coupon														Ratings (5)				Value
		$25 Par (or similar) Preferred Securities – 35.3% (25.8% of Total Investments)
		Capital Markets – 3.1%
88,000		Ameriprise Financial, Inc.										7.750%														A				$ 2,390,960
95,044		Credit Suisse										7.900%														A3				2,411,266
887,130		Deutsche Bank Capital Funding Trust II										6.550%														BBB				18,319,235
7,800		Deutsche Bank Capital Funding Trust IX										6.625%														BBB				165,438
20,300		Goldman Sachs Group Inc., Series 2004-4 (CORTS)										6.000%														A3				423,255
8,000		Goldman Sachs Group Inc., Series GSC-3 (PPLUS)										6.000%														A3				167,200
1,500,000		Macquarie PMI LLC										8.375%														BBB				1,373,325
600		Morgan Stanley Capital Trust III										6.250%														Baa2				12,420
2,700		Morgan Stanley Capital Trust IV										6.250%														Baa2				55,728
		Total Capital Markets																												25,318,827
		Commercial Banks – 3.9%
1,000		ABN AMRO North America Capital Funding, 144A										6.968%														BB+				557,188
307,718		Banco Santander Finance										10.500%														A-				8,154,527
14,600		Barclays Bank PLC										7.750%														A-				322,076
36,900		Barclays Bank PLC										7.100%														A+				780,066
59,300		BB&T Capital Trust VI										9.600%														Baa1				1,574,415
73,300		BB&T Capital Trust VII										8.100%														Baa1				1,898,470
3,450		Fifth Third Bancorp, Convertible Bond										8.500%														Ba1				441,290
2,000,000		HSBC Bank PLC										1.000%														A				1,040,000
16,300		HSBC Holdings PLC, (2)										8.000%														A-				414,509
22,700		HSBC Holdings PLC										6.200%														A-				516,879
14,500		HSBC USA Inc., Series F										2.858%														A-				636,260
2,600		KeyCorp Capital Trust IX										6.750%														Baa3				65,260
79,592		Merrill Lynch Preferred Capital Trust V										7.280%														BB+				1,606,962
500,000		National Australia Bank										8.000%														A+				504,325
10,000		PNC Financial Services Inc.										6.750%														BBB				9,577,300
3,600		Wells Fargo & Company, Convertible Bond										7.500%														A-				3,719,016
		Total Commercial Banks																												31,808,543
		Diversified Financial Services – 3.0%
2,310		Bank of America Corporation										7.250%														BB+				1,769,437
33,000		Citigroup Capital Trust XI										6.000%														Baa3				711,480
5,400		Citigroup Capital Trust XII										8.500%														Baa3				135,540
125,768		Citigroup Capital XIII										7.875%														BB+				3,321,533
40,000		Citigroup Capital XVI										6.450%														Baa3				882,000
16,300		Citigroup Capital XVII										6.350%														Baa3				361,860
32,600		Countrywide Capital Trust IV										6.750%														BB+				625,594
644,975		ING Groep N.V.										7.050%														BBB-				12,093,281
114,469		JPMorgan Chase Capital Trust XI										5.875%														A2				2,849,133
38,700		JPMorgan Chase Capital Trust XXIX										6.700%														A2				969,822
2,200		MBNA Corporation, Capital Trust										8.125%														BB+				51,370
43,650		Merrill Lynch Capital Trust II										6.450%														BB+				811,454
		Total Diversified Financial Services																												24,582,504
		Diversified Telecommunication Services – 0.6%
20,800		Qwest Corporation										7.500%														BBB-				517,504
164,547		Telephone and Data Systems Inc.										6.875%														Baa2				4,187,721
		Total Diversified Telecommunication Services																												4,705,225
		Electric Utilities – 0.2%
58,151		Entergy Texas Inc.										7.875%														BBB+				1,699,754
		Food Products – 0.3%
25,000		Dairy Farmers of America Inc., 144A										7.875%														BBB-				2,255,470
		Insurance – 5.6%
624,430		Aegon N.V.										6.375%														Baa1				12,120,186
24,200		Allianz SE										8.375%														A+				627,688
1,313		Arch Capital Group Limited, Series B										7.875%														BBB				33,219
325,342		Arch Capital Group Limited										8.000%														BBB				8,214,886
2,750,000		Dai-Ichi Mutual Life, 144A										7.250%														A3				2,704,515
275,756		EverestRe Capital Trust II										6.200%														Baa1				6,838,749
546,037		PartnerRe Limited										6.750%														BBB+				13,421,589
62,960		PLC Capital Trust III										7.500%														BBB				1,577,148
5,800		PLC Capital Trust IV										7.250%														BBB				144,362
2,000		RenaissanceRe Holdings Limited, Series C										6.080%														BBB+				47,600
27,197		RenaissanceRe Holdings Limited, Series D										6.600%														BBB+				669,590
		Total Insurance																												46,399,532
		Media – 4.9%
464,395		CBS Corporation										6.750%														Baa2				11,702,754
457,167		Comcast Corporation										7.000%														BBB+				11,712,619
94,000		Comcast Corporation										6.625%														BBB+				2,462,800
577,046		Viacom Inc.										6.850%														BBB+				14,720,443
		Total Media																												40,598,616
		Multi-Utilities – 1.3%
216,300		Dominion Resources Inc.										8.375%														BBB				6,292,167
154,689		Xcel Energy Inc.										7.600%														BBB				4,283,338
		Total Multi-Utilities																												10,575,505
		Oil, Gas & Consumable Fuels – 1.3%
415,866		Nexen Inc.										7.350%														BB+				10,542,203
		Real Estate – 10.3%
622,975		CommomWealth REIT										7.125%														Baa3				14,814,346
2,300		Duke Realty Corporation, Series O										8.375%														Baa3				59,800
1,400		Harris Preferred Capital Corporation, Series A										7.375%														A-				35,490
317,306		Kimco Realty Corporation, Series F										6.650%														Baa2				7,964,381
109,832		Kimco Realty Corporation, Series G										7.750%														Baa2				2,811,699
35,862		Kimco Realty Corporation, Series H										6.900%														Baa2				931,336
40,882		Prologis Inc.										8.540%														Baa3				2,369,880
2,000		PS Business Parks, Inc.										0.000%														BBB-				50,300
33,774		Public Storage, Inc., Series C										6.600%														BBB+				849,078
41,700		Public Storage, Inc., Series E										6.750%														BBB+				1,054,593
9,358		Public Storage, Inc., Series H										6.950%														BBB+				236,477
21,539		Public Storage, Inc., Series M										6.625%														BBB+				547,091
4,100		Public Storage, Inc., Series Q										6.500%														BBB+				105,821
209,010		Public Storage, Inc.										6.750%														BBB+				5,298,404
199,852		Realty Income Corporation										6.750%														Baa2				5,072,244
97,538		Regency Centers Corporation										7.450%														Baa3				2,457,958
143,828		Vornado Realty LP										7.875%														BBB				3,854,590
857,862		Wachovia Preferred Funding Corporation										7.250%														A-				22,089,947
583,830		Weingarten Realty Trust, Preferred Securities										6.750%														Baa3				14,537,367
		Total Real Estate																												85,140,802
		U.S. Agency – 0.7%
108,000		Cobank Agricultural Credit Bank, 144A										7.000%														N/R				4,536,000
31,000		Cobank Agricultural Credit Bank										11.000%														A				1,615,874
		Total U.S. Agency																												6,151,874
		Wireless Telecommunication Services – 0.1%
17,026		Telephone and Data Systems Inc.										7.000%														Baa2				439,781
5,000		United States Cellular Corporation										6.950%														Baa2				127,899
		Total Wireless Telecommunication Services																												567,680
		Total $25 Par (or similar) Preferred Securities (cost $298,817,424)																												290,346,535

												Weighted
Principal												Average
Amount (000)		Description (1)										Coupon							Maturity (6)							Ratings (5)				Value
		Variable Rate Senior Loan Interests – 10.6% (7.8% of Total Investments) (7)
		Aerospace & Defense – 0.1%
$ 408		DAE Aviation Holdings, Inc., Term Loan B1										5.260%							7/31/14							B				$ 382,103
391		DAE Aviation Holdings, Inc., Term Loan B2										5.260%							7/31/14							B				366,186
799		Total Aerospace & Defense																												748,289
		Airlines – 0.1%
998		Delta Air Lines, Inc., Term Loan										5.500%							4/20/17							Ba2				941,391
		Automobiles – 0.1%
1,197		Chrysler Group LLC, Term Loan										6.000%							5/24/17							BB				1,053,859
		Biotechnology – 0.2%
1,000		Alkermes, Inc., Term Loan, First Lien										5.600%							9/16/17							BB				980,000
898		Grifols, Term Loan										6.000%							6/01/17							BB				882,488
1,898		Total Biotechnology																												1,862,488
		Chemicals – 0.5%
2,813		Ashland, Inc., Term Loan										3.750%							8/23/18							Baa3				2,795,926
993		Univar, Inc., Term Loan										5.000%							6/30/17							B				931,296
3,806		Total Chemicals																												3,727,222
		Communications Equipment – 0.7%
2,629		Avaya, Inc., Term Loan B3										4.814%							10/26/17							B1				2,246,976
1,309		Avaya, Inc., Term Loan										2.750%							10/27/14							B1				1,183,911
1,119		CommScope Inc., Term Loan										5.000%							1/14/18							BB				1,098,387
865		Intelsat, Term Loan										5.250%							4/02/18							BB-				834,423
5,922		Total Communications Equipment																												5,363,697
		Consumer Finance – 0.1%
900		Springleaf Financial Funding Company, Term Loan										5.500%							5/10/17							B+				790,875
		Containers & Packaging – 0.1%
938		Sealed Air Corporation, Term Loan, WI/DD										TBD							TBD							Ba1				940,078
		Diversified Consumer Services – 0.1%
950		Cengage Learning Acquisitions, Inc., Term Loan										2.490%							7/03/14							B+				754,133
		Diversified Financial Services – 0.0%
160		Pinafore LLC, Term Loan										4.250%							9/29/16							BB				157,735
		Electric Utilities – 0.1%
930		TXU Corporation, 2014 Term Loan										3.726%							10/10/14							B2				660,014
		Electrical Equipment – 0.0%
224		Allison Transmission Holdings, Inc., Term Loan										2.980%							8/07/14							B+				211,078
		Food & Staples Retailing – 0.4%
1,560		Reynolds Group Holdings, Inc., Add on Term Loan										6.500%							8/09/18							BB-				1,513,851
1,984		U.S. Foodservice, Inc., Term Loan										2.738%							7/03/14							B-				1,836,243
3,544		Total Food & Staples Retailing																												3,350,094
		Food Products – 0.5%
2,244		Del Monte Foods Company, Term Loan										4.500%							3/08/18							Ba3				2,082,499
1,200		JBS USA LLC, Term Loan										4.250%							5/25/18							BB				1,152,000
990		Pierre Foods, Inc., Term Loan										7.000%							9/30/16							B+				970,200
4,434		Total Food Products																												4,204,699
		Health Care Providers & Services – 0.8%
80		Community Health Systems, Inc., Delayed Term Loan										2.569%							7/25/14							BB				74,840
438		Community Health Systems, Inc., Extended Term Loan										3.819%							1/25/17							BB				403,569
1,583		Community Health Systems, Inc., Term Loan										2.569%							7/25/14							BB				1,485,369
896		Emergency Medical Services, Term Loan										5.250%							5/25/18							B+				854,269
1,197		Golden Living, Term Loan										5.000%							5/04/18							B+				1,069,007
114		HCA, Inc., Tranche B2, Term Loan										3.619%							3/31/17							BB				107,812
750		HCA, Inc., Tranche B3, Term Loan										3.619%							5/01/18							BB				706,758
1,119		National Mentor Holdings, Inc., Tranche B										7.000%							2/09/17							B+				1,020,497
1,197		Select Medical Corporation, Term Loan										5.500%							6/01/18							BB-				1,089,270
7,374		Total Health Care Providers & Services																												6,811,391
		Hotels, Restaurants & Leisure – 0.7%
1,476		CCM Merger, Inc., Term Loan										7.000%							3/01/17							B+				1,430,006
507		Harrah’s Operating Company, Inc., Term Loan B2										3.247%							1/28/15							B				426,540
344		Herbst Gaming LLC, Term Loan										10.000%							12/31/15							B+				345,434
132		OSI Restaurant Partners LLC, Revolver										0.340%							6/14/13							B+				123,320
1,355		OSI Restaurant Partners LLC, Term Loan										2.563%							6/14/14							B+				1,264,251
553		Reynolds Group Holdings, Inc., US Term Loan										6.500%							2/09/18							BB				537,060
421		Venetian Casino Resort LLC, Delayed Term Loan										2.740%							11/23/16							BB				393,935
1,326		Venetian Casino Resort LLC, Tranche B, Term Loan										2.740%							11/23/16							BB				1,241,942
6,114		Total Hotels, Restaurants & Leisure																												5,762,488
		Household Products – 0.1%
993		Visant Corporation, Term Loan										5.250%							12/22/16							BB-				913,100
		Independent Power Producers & Energy Traders – 0.1%
1,015		AES Corporation, Term Loan										4.250%							5/29/18							BB+				994,285
		Industrial Conglomerates – 0.1%
599		U.S. Foodservice, Inc., Term Loan, First Lien										5.750%							3/31/17							B-				567,577
		Internet Software & Services – 0.1%
950		Go Daddy Operating Co., LLC, Term Loan, First Lien, WI/DD										TBD							TBD							Ba3				901,709
		IT Services – 0.6%
408		First Data Corporation, Term Loan B1										2.985%							9/24/14							B+				358,729
278		First Data Corporation, Term Loan B2										2.985%							9/24/14							B+				243,967
814		Frac Tech International LLC, Term Loan										6.250%							5/06/16							B+				802,102
810		Infor Global Solutions Intermediate Holdings, Ltd., Extended Delayed Draw Term Loan										5.990%							7/28/15							B+				752,860
994		Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B2										7.250%							7/28/15							B+				899,586
1,552		Infor Global Solutions Intermediate Holdings, Ltd., Term Loan										5.990%							7/28/15							B+				1,443,784
768		SunGard Data Systems, Inc., Term Loan B										1.977%							2/28/14							BB				751,619
5,624		Total IT Services																												5,252,647
		Leisure Equipment & Products – 0.2%
750		Academy, Ltd., Term Loan										6.000%							8/03/18							B				721,875
470		Cedar Fair LP, Term Loan										4.000%							12/15/17							Ba2				463,604
1,220		Total Leisure Equipment & Products																												1,185,479
		Media – 1.7%
554		Cequel Communications LLC, Term Loan B										2.224%							11/05/13							Ba2				535,228
2,917		Charter Communications Operating Holdings LLC, Term Loan C										3.620%							9/06/16							BB+				2,829,790
2,000		Cumulus Media, Inc., Term Loan, First Lien										5.750%							6/15/18							Ba2				1,892,500
1,000		Cumulus Media, Inc., Term Loan, Second Lien										7.500%							9/16/19							B2				931,250
652		Gray Television, Inc., Term Loan B										3.730%							12/31/14							B				624,084
1,222		Nielsen Finance LLC, Term Loan B										3.976%							5/02/16							BB				1,185,014
541		Nielsen Finance LLC, Term Loan C										3.476%							5/02/16							Ba2				524,657
332		SuperMedia, Term Loan										8.000%							12/31/15							B-				148,718
675		Tribune Company, Term Loan B (8), (9)										0.000%							6/04/14							Ca				370,406
5,281		Univision Communications, Inc., Term Loan										4.489%							3/31/17							B+				4,499,930
15,174		Total Media																												13,541,577
		Metals & Mining – 0.1%
771		John Maneely Company, Term Loan										4.750%							4/01/17							BB				747,509
		Multiline Retail – 0.1%
1,200		Neiman Marcus Group, Inc., Term Loan										4.750%							5/16/18							BB-				1,115,500
		Oil, Gas & Consumable Fuels – 0.2%
1,930		CCS Income Trust, Term Loan										3.369%							11/14/14							B				1,710,307
		Personal Products – 0.1%
928		NBTY, Inc., Term Loan B1										4.250%							10/01/17							BB-				901,485
		Pharmaceuticals – 0.1%
958		Quintiles Transnational Corporation, Term Loan B										5.000%							6/08/18							BB-				905,728
		Real Estate – 0.2%
1,428		iStar Financial, Inc., Tranche A1										5.000%							6/28/13							BB-				1,388,043
		Real Estate Management & Development – 0.4%
975		Capital Automotive LP, Tranche B										5.000%							3/11/17							Ba3				932,480
1,024		LNR Property Corporation, Term Loan										4.750%							4/29/16							BB+				1,005,832
1,133		Realogy Corporation, Delayed Term Loan										4.522%							10/10/16							B1				928,129
3,132		Total Real Estate Management & Development																												2,866,441
		Road & Rail – 0.1%
1,051		Swift Transportation Company, Inc., Term Loan										6.000%							12/21/16							BB-				1,024,374
		Semiconductors & Equipment – 0.3%
1,981		Freescale Semiconductor, Inc., Term Loan										4.472%							12/01/16							Ba3				1,819,645
995		NXP Semiconductor LLC, Term Loan										4.500%							3/04/17							B2				936,542
2,976		Total Semiconductors & Equipment																												2,756,187
		Software – 0.3%
3,000		BlackBoard, Inc., Term Loan, First Lien, WI/DD										TBD							TBD							B+				2,794,498
		Specialty Retail – 1.1%
2,222		Burlington Coat Factory Warehouse Corporation, Term Loan B										6.250%							2/23/17							B-				2,141,330
1,237		Claire’s Stores, Inc., Term Loan B										2.991%							5/29/14							B				1,051,643
998		J Crew Group, Term Loan										4.750%							3/07/18							B1				892,762
1,829		Jo-Ann Stores, Inc., Term Loan										4.750%							3/16/18							B+				1,705,318
821		Michaels Stores, Inc., Term Loan B1										2.552%							10/31/13							B+				787,467
1,105		Michaels Stores, Inc., Term Loan B2										4.802%							7/31/16							B+				1,056,827
439		Toys “R” Us - Delaware, Inc., Term Loan										5.250%							5/17/18							BB-				419,698
1,146		Toys “R” Us - Delaware, Inc., Term Loan										6.000%							9/01/16							BB-				1,102,295
9,797		Total Specialty Retail																												9,157,340
		Wireless Telecommunication Services – 0.2%
1,928		Clear Channel Communications, Inc., Tranche B, Term Loan										3.889%							1/29/16							CCC+				1,377,830
$ 94,862		Total Variable Rate Senior Loan Interests (cost $92,660,362)																												87,441,147

Principal
Amount (000)		Description (1)										Coupon							Maturity							Ratings (5)				Value
		Convertible Bonds – 11.3% (8.2% of Total Investments)
		Aerospace & Defense – 0.1%
$ 300		L-3 Communications Corporation, Convertible Bond										3.000%							8/01/35							BB+				$ 285,000
300		Orbital Sciences Corporation, Convertible Bond										2.438%							1/15/27							BB-				298,875
600		Total Aerospace & Defense																												583,875
		Auto Components – 0.1%
400		BorgWarner Inc.										3.500%							4/15/12							BBB				741,500
200		TRW Automotive Inc., Convertible Bond										3.500%							12/01/15							BB-				270,500
600		Total Auto Components																												1,012,000
		Automobiles – 0.1%
650		Ford Motor Company, Convertible Bonds										4.250%							11/15/16							BB-				844,188
		Beverages – 0.0%
250		Molson Coors Brewing Company, Convertible Notes										2.500%							7/30/13							BBB-				262,813
		Biotechnology – 0.8%
2,411		Amgen Inc., Convertible Bond										0.375%							2/01/13							A+				2,368,808
600		BioMarin Pharmaceutical Inc.										1.875%							4/23/17							B				999,000
600		Gilead Sciences Inc., (4)										0.625%							5/01/13							A-				685,500
1,900		Gilead Sciences Inc., (4)										1.625%							5/01/16							A-				2,161,250
5,511		Total Biotechnology																												6,214,558
		Capital Markets – 0.3%
700		Affiliated Managers Group Inc.										3.950%							8/15/38							BBB-				734,125
500		Ares Capital Corporation, Convertible Bond										5.125%							6/01/16							BBB				462,500
511		Jefferies Group Inc., Convertible Bond										3.875%							11/01/29							BBB				466,926
400		MF Global Holdings, Convertible Bond										1.875%							2/01/16							Baa2				318,000
400		MF Global Limited, Convertible Bonds										9.000%							6/20/38							Baa2				424,500
2,511		Total Capital Markets																												2,406,051
		Commercial Services & Supplies – 0.0%
300		Covanta Holding Corporation, Convertible Bonds										3.250%							6/01/14							Ba3				326,625
		Communications Equipment – 0.5%
400		Ciena Corporation, Convertible Bond										0.250%							5/01/13							B				381,500
700		Ciena Corporation, Convertible Bond										0.875%							6/15/17							B				511,000
400		Liberty Media Corporation, Senior Debentures, Exchangeable for Motorola Common Stock										3.500%							1/15/31							BB				216,000
3,175		Lucent Technologies Inc., Series B										2.875%							6/15/25							B1				2,932,906
4,675		Total Communications Equipment																												4,041,406
		Computers & Peripherals – 0.8%
1,000		EMC Corporation, Convertible Bonds, 144A										1.750%							12/01/11							A-				1,307,500
600		EMC Corporation, Convertible Bonds, 144A										1.750%							12/01/13							A-				846,750
850		EMC Corporation, Convertible Bonds										1.750%							12/01/11							A-				1,111,375
900		EMC Corporation, Convertible Bonds										1.750%							12/01/13							A-				1,270,125
1,400		Sandisk Corporation, Convertible Bond										1.000%							5/15/13							BB-				1,354,500
850		Sandisk Corporation, Convertible Bond										1.500%							8/15/17							BB-				887,188
5,600		Total Computers & Peripherals																												6,777,438
		Containers & Packaging – 0.1%
695		Owens-Brockway Glass Containers										3.000%							6/01/15							BB				625,500
		Diversified Consumer Services – 0.1%
200		Coinstar Inc., Convertible Bond										4.000%							9/01/14							BB-				249,750
250		Sotheby’s Holdings Inc., Convertible Bond										3.125%							6/15/13							BB				282,188
450		Total Diversified Consumer Services																												531,938
		Diversified Financial Services – 0.1%
600		NASDAQ Stock Market Inc., Convertible Bond										2.500%							8/15/13							BBB				613,500
300		PHH Corporation, Convertible Bond										4.000%							9/01/14							BB+				287,250
900		Total Diversified Financial Services																												900,750
		Diversified Telecommunication Services – 0.1%
685		Time Warner Telecom Inc., Convertible Bond										2.375%							4/01/26							B				750,075
		Electrical Equipment – 0.1%
487		General Cable Corporation, Convertible Bonds										0.875%							11/15/13							Ba3				445,605
323		General Cable Corporation, Convertible Bonds										4.500%							11/15/29							B				290,700
810		Total Electrical Equipment																												736,305
		Electronic Equipment & Instruments – 0.1%
364		Anixter International Inc., Convertible Bond										1.000%							2/15/13							B+				370,825
461		Tech Data Corporation, Convertible Bonds										2.750%							12/15/26							BBB-				461,576
450		Vishay Intertechnology Inc., Convertible Bonds										2.250%							11/15/40							BB+				347,063
1,275		Total Electronic Equipment & Instruments																												1,179,464
		Energy Equipment & Services – 0.5%
350		Exterran Holdings Inc., Convertible Bond										4.250%							6/15/14							BB				317,625
500		SESI LLC, Convertible Bond, 144A										1.500%							12/15/26							BB+				497,500
2,000		Transocean Inc.										1.500%							12/15/37							BBB				1,972,500
1,300		Transocean Inc.										1.500%							12/15/37							BBB				1,259,375
4,150		Total Energy Equipment & Services																												4,047,000
		Food Products – 0.3%
250		Archer Daniels Midland Company, Convertible Bonds, 144A										0.875%							2/15/14							A				248,750
750		Archer Daniels Midland Company, Convertible Bonds										0.875%							2/15/14							A				746,250
300		Chiquita Brands International Inc., Convertible Bond										4.250%							8/15/16							B-				267,000
550		Smithfield Foods Inc., Convertible Bond										4.000%							6/30/13							B+				607,063
650		Tyson Foods Inc., Convertible Bond										3.250%							10/15/13							BB+				784,063
2,500		Total Food Products																												2,653,126
		Health Care Equipment & Supplies – 0.5%
1,315		Hologic Inc. Convertible Bond										2.000%							12/15/37							BB+				1,231,169
750		Hologic Inc. Convertible Bond										2.000%							12/15/37							BB+				775,313
2,000		Medtronic, Inc.										1.625%							4/15/13							AA-				2,002,500
400		Teleflex Inc., Convertible Bond										3.875%							8/01/17							BB-				434,500
4,465		Total Health Care Equipment & Supplies																												4,443,482
		Health Care Providers & Services – 0.3%
200		AmeriGroup Corporation, Convertible Bond										2.000%							5/15/12							BB+				212,750
300		LifePoint Hospitals, Inc., Convertible Bond										3.250%							8/15/25							B				303,375
600		LifePoint Hospitals, Inc., Convertible Bonds										3.500%							5/15/14							B				607,500
700		Omnicare, Inc.										3.750%							12/15/25							BB				783,125
379		Omnicare, Inc.										3.250%							12/15/35							B+				342,521
250		PSS World Medical Inc. Convertible Note, 144A										3.125%							8/01/14							BB				284,688
2,429		Total Health Care Providers & Services																												2,533,959
		Hotels, Restaurants & Leisure – 0.2%
450		Host Hotels and Resorts Inc., Convertible Bond, 144A										2.500%							10/15/29							BB+				469,688
1,275		International Game Technology										3.250%							5/01/14							BBB				1,466,250
1,725		Total Hotels, Restaurants & Leisure																												1,935,938
		Household Durables – 0.2%
650		D.R. Horton, Inc.										2.000%							5/15/14							BB-				654,875
500		Lennar Corporation, 144A										2.750%							12/15/20							B+				465,625
300		Lennar Corporation										2.000%							12/01/20							B+				281,250
1,450		Total Household Durables																												1,401,750
		Independent Power Producers & Energy Traders – 0.0%
300		Allegheny Technologies Inc., Convetible Bond										4.250%							6/01/14							BBB-				362,250
		Industrial Conglomerates – 0.1%
450		Textron Inc.										4.500%							5/01/13							BBB-				676,688
		Insurance – 0.1%
300		CNO Financial Group Inc., Convertible Bond										7.000%							12/30/16							B				367,875
500		Old Republic International Corporation										8.000%							5/15/12							BBB+				508,125
800		Total Insurance																												876,000
		Internet & Catalog Retail – 0.1%
250		Priceline.com Inc., Convertible Bond										1.250%							3/15/15							BBB-				403,438
		Internet Software & Services – 0.2%
750		Equinix Inc., Convertible Bond										3.000%							10/15/14							B				784,688
600		Equinix Inc.										4.750%							6/15/16							B				769,500
1,350		Total Internet Software & Services																												1,554,188
		Life Sciences Tools & Services – 0.1%
200		Charles River Laboratories International, Inc.										2.250%							6/15/13							BB+				196,500
300		Invitrogen Corporation, Convertible Bond										1.500%							2/15/24							BBB				303,000
500		Total Life Sciences Tools & Services																												499,500
		Machinery – 0.3%
650		Danaher Corporation, Convertible Bonds, (4)										0.000%							1/22/21							A+				790,563
369		Ingersoll Rand										4.500%							4/15/12							BBB+				590,400
500		Navistar International Corporation, Convertible Bond										3.000%							10/15/14							B1				496,250
200		Terex Corporation										4.000%							6/01/15							B				195,750
450		Trinity Industries Inc., Convertible Bonds										3.875%							6/01/36							Ba2				404,438
2,169		Total Machinery																												2,477,401
		Media – 0.6%
250		Interpublic Group Companies Inc., Convertible Notes										4.750%							3/15/23							Baa3				265,625
700		Interpublic Group Companies Inc., Convertible Notes										4.250%							3/15/23							BB+				706,125
750		Liberty Media Corporation, Senior Debentures, Exchangeable for PCS Common Stock, Series 1										4.000%							11/15/29							BB				427,500
1,950		Liberty Media Corporation										3.125%							3/30/23							BB				2,093,813
750		Omnicom Group Inc., Convertible Bond										0.000%							7/01/38							BBB+				771,563
500		XM Satellite Radio Inc., 144A										7.000%							12/01/14							BB-				582,500
4,900		Total Media																												4,847,126
		Metals & Mining – 0.8%
550		Alcoa Inc., Convertible Bond										5.250%							3/15/14							BBB-				899,250
2,230		First Uranium Corporation										4.250%							6/30/12							N/R				1,383,243
2,000		Gold Reserve, Inc., Convertible Bonds										5.500%							6/15/22							N/R				1,680,000
150		Newmont Mining Corp., Senior Convertible Note										1.625%							7/15/17							BBB+				224,250
450		Newmont Mining Corporation, 144A										1.625%							7/15/17							BBB+				672,750
250		Newmont Mining Corporation										3.000%							2/15/12							BBB+				345,313
600		Newmont Mining Corporation										1.250%							7/15/14							BBB+				873,750
250		Steel Dynamics, Inc.										5.125%							6/15/14							BB+				257,188
600		United States Steel Corporation										4.000%							5/15/14							BB				625,500
7,080		Total Metals & Mining																												6,961,244
		Multi-Utilities – 0.1%
500		CMS Energy Corporation, Convertible Bonds										2.875%							12/01/24							BB+				780,625
		Oil, Gas & Consumable Fuels – 0.6%
400		Alpha Natural Resouces Inc., Convertible Bond										2.375%							4/15/15							B+				379,500
450		Chesapeake Energy Corporation, Convertible Bonds										2.750%							11/15/35							BB+				465,750
1,050		Chesapeake Energy Corporation, Convertible Bonds										2.500%							5/15/37							BB+				1,000,125
500		Massey Energy Company, Convertible Bond										3.250%							8/01/15							BB-				443,125
800		Peabody Energy Corp., Convertible Bond										4.750%							12/15/66							Ba3				828,000
500		Pioneer Natural Resouces Company, Convertible Bond										2.875%							1/15/38							BB+				598,125
1,500		USEC Inc., Convertible Bond										3.000%							10/01/14							Caa2				791,250
5,200		Total Oil, Gas & Consumable Fuels																												4,505,875
		Personal Products – 0.0%
250		RadioShack Corporation, Convertible Bond										2.500%							8/01/13							Ba2				240,938
		Pharmaceuticals – 0.2%
700		Mylan Labs, Inc., Convertible Bonds, 144A										3.750%							9/15/15							BB				1,015,000
450		Mylan Labs, Inc., Convertible Bonds										1.250%							3/15/12							BB				448,875
550		Teva Pharmaceutical Finance Company LLC, Convertible Bonds										0.250%							2/01/26							A-				563,063
1,700		Total Pharmaceuticals																												2,026,938
		Real Estate – 0.9%
950		Boston Properties Limited Partnership, Convertible Bonds, 144A											3.625%						2/15/14							A-				1,003,438
850		Boston Properties Limited Partnership, Convertible Bonds, 144A											2.875%						2/15/37							A-				853,188
300		Duke Realty Corporation, Series D, 144A											3.750%						12/01/11							BBB-				299,250
500		Health Care REIT, Inc., Convertible Bonds											3.000%						12/01/29							Baa2				528,125
850		Host Hotels and Resorts Inc., Convertible Bond, 144A											2.625%						4/15/27							BB+				852,125
500		Istar Financial Inc., Convertible Bond											0.872%						10/01/12							B+				437,500
450		National Retail Properties Inc., Convertible Bonds											5.125%						6/15/28							BBB				520,313
400		Prologis Inc., Convertible Bonds											3.250%						3/15/15							BBB-				395,500
1,107		Prologis Inc., Convertible Bonds											2.250%						4/01/37							BBB-				1,104,233
500		Rayonier Trust Holdings Inc., Convertible Bond											3.750%						10/15/12							BBB+				560,000
250		Ventas Inc., Convertible Bond, 144A											3.875%						11/15/11							Baa2				288,438
333		Vornado Realty, Convertible Bond											3.875%						4/15/25							BBB				342,990
6,990		Total Real Estate																												7,185,100
		Road & Rail – 0.1%
500		Hertz Global Holdings Inc., Convertible Bond											5.250%						6/01/14							B-				651,250
		Semiconductors & Equipment – 1.3%
1,987		Advanced Micro Devices, Inc., Convertible Bonds, 144A										6.000%							5/01/15							B+				1,942,293
637		Advanced Micro Devices, Inc., Convertible Bonds										5.750%							8/15/12							B+				643,370
3,261		Intel Corporation, Convertible Bond										2.950%							12/15/35							A-				3,305,839
700		Intel Corporation, Convertible Bond										3.250%							8/01/39							A2				823,375
350		Lam Research Corporation, Convertible Bond										1.250%							5/15/18							Baa1				324,188
1,561		Micron Technology, Inc.										1.875%							6/01/14							BB-				1,457,584
1,050		ON Semiconductor Corporation										2.625%							12/15/26							BB				1,118,250
300		Xilinx Inc., Convertible Bond, 144A										3.125%							3/15/37							BB+				300,000
600		Xilinx Inc., Convertible Bond										3.125%							3/15/37							BB+				600,000
10,446		Total Semiconductors & Equipment																												10,514,899
		Software – 0.2%
700		Microsoft Corporation, Convertible Bond, 144A, (4)										0.000%							6/15/13							AAA				707,875
950		Symantec Corporation, Convertible Bond										1.000%							6/15/13							BBB				1,081,813
1,650		Total Software																												1,789,688
		Specialty Retail – 0.0%
250		Best Buy Co., Inc.										2.250%							1/15/22							Baa3				249,375
		Textiles, Apparel & Luxury Goods – 0.1%
586		Iconix Brand Group, Inc., Convertible Notes, 144A										1.875%							6/30/12							BB-				575,745
		Trading Companies & Distributors – 0.1%
261		United Rentals Inc., Convertible Bonds										4.000%							11/15/15							B				438,806
290		WESCO International Inc., Convertible Bond										6.000%							9/15/29							B				411,060
551		Total Trading Companies & Distributors																												849,866
		Wireless Telecommunication Services – 0.1%
900		Liberty Media Corporation, Convertible Bonds										3.750%							2/15/30							BB				479,250
$ 89,553		Total Convertible Bonds (cost $94,130,497)																												92,715,625

Principal
Amount (000)		Description (1)										Coupon							Maturity							Ratings (5)				Value
		Corporate Bonds – 12.5% (9.1% of Total Investments)
		Aerospace & Defense – 0.0%
$ 333		Hexcel Corporation, Term Loan										6.750%							2/01/15							BB+				$ 337,163
		Airlines – 0.1%
600		United Airlines Inc., 144A										12.000%							11/01/13							B3				607,500
		Auto Components – 0.1%
800		Cooper Standard Automitve										8.500%							5/01/18							B+				816,000
		Biotechnology – 0.1%
800		Angiotech Pharmaceuticals Inc.										5.000%							12/01/13							N/R				656,000
		Building Products – 0.1%
360		Libbey Glass Inc.										10.000%							2/15/15							B+				377,100
400		McJunkin Red Man Corporation										9.500%							12/15/16							B-				366,000
760		Total Building Products																												743,100
		Capital Markets – 0.1%
650		Ares Capital Corporation, Convertible Bond										5.750%							2/01/16							BBB				622,375
		Chemicals – 0.5%
1,950		Hexion US Finance Corporation										8.875%							2/01/18							B3				1,608,750
800		NOVA Chemicals Corporation										8.625%							11/01/19							Ba2				866,000
350		Phibro Animal Health Corporation, 144A										9.250%							7/01/18							B-				342,125
1,400		Rockwood Specialties Group Inc., Series WI										7.500%							11/15/14							B+				1,410,500
4,500		Total Chemicals																												4,227,375
		Commercial Banks – 0.6%
200		Ally Financial Inc.										8.000%							3/15/20							B+				185,124
2,100		Groupe BCPE										3.800%							12/30/49							BBB+				921,165
2,900		LBG Capital I PLC, 144A										7.875%							11/01/20							BB				2,102,500
2,800		Lloyds Banking Group LBG Capital 1, 144A										8.000%							6/15/20							BB-				1,848,000
8,000		Total Commercial Banks																												5,056,789
		Commercial Services & Supplies – 0.3%
800		Avis Budget Car Rental										8.250%							1/15/19							B				732,000
1,000		International Lease Finance Corporation, 144A										8.750%							3/15/17							BBB-				1,005,000
800		Ticketmaster										10.750%							8/01/16							B				840,000
2,600		Total Commercial Services & Supplies																												2,577,000
		Communications Equipment – 0.2%
1,200		Avaya Inc., 144A										7.000%							4/01/19							B1				1,020,000
350		Avaya Inc.										10.125%							11/01/15							CCC+				256,375
800		IntelSat Bermuda Limited										11.250%							2/04/17							CCC+				694,000
2,350		Total Communications Equipment																												1,970,375
		Computers & Peripherals – 0.1%
750		Seagate HDD Cayman										6.875%							5/01/20							BB+				690,000
		Consumer Finance – 0.1%
600		Ally Financial Inc.										7.500%							9/15/20							B+				543,000
		Containers & Packaging – 0.1%
400		Boise Paper Holdings Company										8.000%							4/01/20							BB				405,500
		Diversified Financial Services – 0.5%
650		CIT Group Inc.										7.000%							5/01/17							B+				630,500
5,200		Fortis Hybrid Financing										8.250%							8/27/49							BBB				3,681,600
5,850		Total Diversified Financial Services																												4,312,100
		Diversified Telecommunication Services – 0.3%
800		Cequel Communication Holdings I, 144A										8.625%							11/15/17							B-				792,000
200		Insight Communications, 144A										9.375%							7/15/18							B-				224,000
800		IntelSat Jackson Holding, 144A										7.250%							10/15/20							B				738,000
800		Windstream Corporation										7.875%							11/01/17							Ba3				810,000
2,600		Total Diversified Telecommunication Services																												2,564,000
		Electric Utilities – 0.7%
400		Calpine Corporation, 144A										7.875%							7/31/20							BB-				386,000
600		Energy Future Holdings										10.250%							1/15/20							B-				582,000
2,000		FPL Group Capital Inc.										6.650%							6/15/17							BBB				1,942,500
2,900		WPS Resource Corporation										6.110%							12/01/16							Baa2				2,780,375
5,900		Total Electric Utilities																												5,690,875
		Electrical Equipment – 0.1%
800		Kemet Corporation										10.500%							5/01/18							B+				840,000
		Electronic Equipment & Instruments – 0.0%
350		Amkor Technology Inc.										7.375%							5/01/18							BB				337,750
		Energy Equipment & Services – 0.1%
1,000		Alta Mesa Holdngs Finance										9.625%							10/15/18							B				910,000
		Food & Staples Retailing – 0.5%
3,750		CVS Caremark Corporation										6.302%							6/01/37							BBB-				3,628,125
800		Stater Brothers Holdings Inc.										7.375%							11/15/18							B+				816,000
4,550		Total Food & Staples Retailing																												4,444,125
		Food Products – 0.5%
800		Dole Foods Company, 144A										8.000%							10/01/16							B+				818,000
2,243		Dole Foods Company										8.750%							7/15/13							B-				2,332,720
800		JBS USA LLC										7.250%							6/01/21							BB				660,000
3,843		Total Food Products																												3,810,720
		Health Care Equipment & Supplies – 0.1%
500		Biomet Inc.										10.000%							10/15/17							B-				515,000
		Health Care Providers & Services – 1.0%
400		Aurora Diagnostics Holdings LLC, 144A										10.750%							1/15/18							B3				388,000
350		Capella Healthcare Inc., 144A										9.250%							7/01/17							B				332,500
2,000		Community Health Systems, Inc.										8.875%							7/15/15							B				1,965,000
2,200		HCA Inc.										8.500%							4/15/19							BB				2,332,000
600		Iasis Healthcare Capital Corporation, 144A										8.375%							5/15/19							CCC+				486,000
1,453		Select Medical Corporation										7.625%							2/01/15							CCC+				1,258,661
1,200		Select Medical Corporation										6.267%							9/15/15							CCC+				978,000
8,203		Total Health Care Providers & Services																												7,740,161
		Hotels, Restaurants & Leisure – 0.9%
800		CCM Merger Inc., 144A										8.000%							8/01/13							CCC+				756,000
800		GWR Operating Partnership										10.875%							4/01/17							BB-				824,000
1,550		Harrah’s Operating Company, Inc.										11.250%							6/01/17							B				1,563,563
600		Landry’s Restaurants Inc.										11.625%							12/01/15							B				603,000
200		MGM Resorts International										9.000%							3/15/20							Ba3				207,750
400		Peninsula Gaming LLC										8.375%							8/15/15							BB				398,000
400		Penn National Gaming Inc.										8.750%							8/15/19							BB-				424,000
800		Pinnacle Entertainment Inc.										8.750%							5/15/20							B				746,000
1,750		Seminole Hard Rock Entertainment, Inc., 144A										2.830%							3/15/14							BB				1,557,500
260		Universal City Development Partners										8.875%							11/15/15							Baa2				282,100
7,560		Total Hotels, Restaurants & Leisure																												7,361,913
		Household Products – 0.2%
1,150		Central Garden & Pet Company, Senior Subordinate Notes										8.250%							3/01/18							B				1,098,250
800		Sprectum Brands Inc.										9.500%							6/15/18							B1				852,000
1,950		Total Household Products																												1,950,250
		Independent Power Producers & Energy Traders – 0.1%
1,000		NRG Energy Inc.										7.375%							1/15/17							BB-				1,031,250
		Industrial Conglomerates – 0.0%
200		Reynolds Group, 144A										9.000%							4/15/19							B-				170,000
		Insurance – 0.8%
7,500		QBE Capital Funding Trust II, 144A										7.250%							5/24/41							BBB+				6,779,318
		IT Services – 0.6%
200		Fidelity National Information Services Inc.										7.875%							7/15/20							Ba2				208,000
1,650		First Data Corporation, 144A										7.375%							6/15/19							B+				1,464,375
1,200		First Data Corporation, 144A										8.875%							8/15/20							B+				1,128,000
983		First Data Corporation										10.550%							9/24/15							B-				818,040
400		First Data Corporation										9.875%							9/24/15							B-				335,000
400		First Data Corporation										11.250%							3/31/16							CCC+				270,000
400		ManTech International Company										7.250%							4/15/18							BB+				396,000
400		Sungard Data Systems Inc.										7.625%							11/15/20							B				372,000
5,633		Total IT Services																												4,991,415
		Machinery – 0.2%
250		AGCO Corporation, Convertible Bond										1.250%							12/15/36							BB+				278,438
1,200		Titan International Inc.										7.875%							10/01/17							B+				1,248,000
1,450		Total Machinery																												1,526,438
		Media – 0.4%
400		Allbritton Communications Company, 144A										8.000%							5/15/18							B				376,000
300		Cablevision Systems Corporation										7.750%							4/15/18							B+				303,000
200		Cablevision Systems Corporation										8.000%							4/15/20							B+				203,500
200		Clear Channel Communications, Inc.										5.500%							9/15/14							CCC-				113,000
700		Clear Channel Communications, Inc.										10.750%							8/01/16							CCC-				362,250
350		Clear Channel Worldwide Holdings Inc.										9.250%							12/15/17							B				357,875
200		NexStar Mission Broadcast										8.875%							4/15/17							B				197,500
600		Nielsen Finance LLC Co										7.750%							10/15/18							B+				612,000
850		Reynolds Group										7.875%							8/15/19							BB-				820,250
3,800		Total Media																												3,345,375
		Metals & Mining – 0.1%
600		Essar Steel Algoma Inc., 144A										9.375%							3/15/15							B+				531,000
		Multi-Utilities – 0.2%
1,900		Dominion Resources Inc.										2.670%							9/30/66							BBB				1,691,000
		Municipal – 0.0%
400		Tops Markets										10.125%							10/15/15							B				400,000
		Oil, Gas & Consumable Fuels – 1.0%
400		Arch Coal Inc., 144A										7.000%							6/15/19							B+				380,000
800		Arch Coal Inc., 144A										7.250%							6/15/21							B+				770,000
1,650		Chaparral Energy Inc.										8.875%							2/01/17							B-				1,600,500
400		CONSOL Energy Inc.										8.000%							4/01/17							BB				418,000
400		CONSOL Energy Inc.										8.250%							4/01/20							BB				421,000
500		Energy XXI Gulf Coast Inc.										7.750%							6/15/19							B				452,500
800		Genesis Energy LP, 144A										7.875%							12/15/18							B				760,000
800		Hilcorp Energy I LP/Hilcorp Finance Company, 144A										7.625%							4/15/21							BB-				804,000
300		Western Refining Inc., 144A										10.750%							6/15/14							B				314,250
700		Western Refining Inc.										11.250%							6/15/17							B				756,000
1,000		Whiting Petroleum Corporation										7.000%							2/01/14							BB				1,065,000
7,750		Total Oil, Gas & Consumable Fuels																												7,741,250
		Personal Products – 0.2%
1,200		Prestige Brands Inc.										8.250%							4/01/18							B				1,224,000
400		Revlon Consumer Products										9.750%							11/15/15							B				419,000
1,600		Total Personal Products																												1,643,000
		Pharmaceuticals – 0.2%
600		Mylan Inc., 144A										7.875%							7/15/20							BB				627,000
1,200		Warner Chilcott Company LLC,										7.750%							9/15/18							BB				1,146,000
1,800		Total Pharmaceuticals																												1,773,000
		Real Estate – 0.1%
800		Entertainment Properties Trust										7.750%							7/15/20							Baa3				856,000
		Road & Rail – 0.1%
600		Avis Budget Car Rental										9.625%							3/15/18							B				594,000
		Semiconductors & Equipment – 0.2%
1,400		Freescale Semiconductor Inc.										9.250%							4/15/18							Ba3				1,438,500
174		NXP BV										4.355%							10/15/13							B+				168,345
1,574		Total Semiconductors & Equipment																												1,606,845
		Software – 0.1%
700		SoftBrands Inc/Atlantis, 144A										11.500%							7/15/18							B-				623,000
		Specialty Retail – 0.5%
771		Brookstone Company Inc., 144A										13.000%							10/15/14							CCC+				543,555
900		Claires Stores, Inc.										9.250%							6/01/15							CCC				693,000
800		Claires Stores, Inc.										10.500%							6/01/17							CCC				568,000
200		Express LLC										8.750%							3/01/18							B+				210,000
800		Toys “R” Us, Inc.										7.375%							10/15/18							B3				680,000
1,000		Toys “R” Us Property Company II LLC										8.500%							12/01/17							Ba1				975,000
4,471		Total Specialty Retail																												3,669,555
		Transportation Infrastructure – 0.1%
1,142		AWAS Aviation Capital Limited, 144A										7.000%							10/15/16							BBB-				1,119,552
		Wireless Telecommunication Services – 0.3%
1,500		IPCS, Inc.										2.379%							5/01/13							BB-				1,364,998
1,225		Sprint Nextel Corporation										8.375%							8/15/17							BB-				1,139,250
2,725		Total Wireless Telecommunication Services																												2,504,248
$ 111,894		Total Corporate Bonds (cost $108,827,327)																												102,325,317

Principal
Amount (000)/
Shares		Description (1)										Coupon							Maturity							Ratings (5)				Value
		Capital Preferred Securities – 27.2% (19.9% of Total Investments)
		Capital Markets – 1.5%
8,400		ABN AMRO North America Holding Capital, 144A										6.523%							12/31/49							BB+				$ 6,216,000
6,445		Credit Suisse Guernsey										0.976%							5/15/17							A3				4,206,458
3,600		Dresdner Funding Trust I, 144A										8.151%							6/30/31							Baa3				2,178,000
		Total Capital Markets																												12,600,458
		Commercial Banks – 8.3%
655		AgFirst Farm Credit Bank										8.393%							12/15/16							A				638,625
2,600		AgFirst Farm Credit Bank										7.300%							12/15/53							A				2,459,860
2,584		Banco Santander Finance										10.500%							9/29/49							A-				2,584,519
100		BankAmerica Capital II, Series 2										8.000%							12/15/26							BB+				93,000
1,500		BankAmerica Institutional Capital Trust, Series B, 144A										7.700%							12/31/26							BB+				1,350,000
1,000		BankAmerica Institutional Trust, 144A										8.070%							12/31/26							BB+				920,000
781		Barclays Bank PLC, 144A										7.434%							12/15/17							A-				640,420
3,500		Barclays Bank PLC										6.278%							12/15/34							A-				2,343,908
800		BB&T Capital Trust I										5.850%							8/18/35							Baa1				805,070
4,200		BB&T Capital Trust IV										6.820%							6/12/37							Baa1				4,179,000
500		Credit Suisse thru Claudius Limited										8.250%							6/27/49							A3				500,000
9,000		First Empire Capital Trust I										8.234%							2/01/27							Baa2				9,002,691
3,100		Fulton Capital Trust I										6.290%							2/01/36							Baa3				2,573,000
300		HBOS Capital Funding LP, 144A										6.071%							6/30/14							BB				180,000
1,000		HSBC Bank PLC										0.850%							6/11/49							A				520,000
550		HSBC Capital Funding LP, Debt										10.176%							6/30/50							A-				668,250
900		NB Capital Trust II										7.830%							12/15/26							BB+				810,000
4,200		Nordea Bank AB										8.375%							3/25/15							A-				4,221,000
8,000		North Fork Capital Trust II										8.000%							12/15/27							Baa3				7,360,000
3,645		Rabobank Nederland, 144A										11.000%							6/30/19							AA-				4,383,113
600		Reliance Capital Trust I, Series B										8.170%							5/01/28							N/R				552,156
1,600		Societe Generale, 144A										1.051%							12/31/49							BBB+				1,043,632
5,824		Societe Generale										8.750%							10/07/49							BBB+				4,429,152
2,000		Sparebanken Rogaland, Notes, 144A										6.443%							5/01/49							Ba1				1,923,220
3,300		Standard Chartered PLC, 144A										7.014%							7/30/37							BBB				2,962,859
—	(10)	Union Planters Preferred Fund, 144A										7.750%							7/15/53							B				10,725,000
		Total Commercial Banks																												67,868,475
		Consumer Finance – 0.3%
1,000		Capital One Capital IV Corporation										6.745%							2/17/32							Baa3				955,000
1,700		Capital One Capital VI										8.875%							5/15/40							Baa3				1,725,044
		Total Consumer Finance																												2,680,044
		Diversified Financial Services – 1.8%
7		AMG Capital Trust II, Convertible Bond										5.150%							10/15/37							BB				265,363
1,200		Bank One Capital III										8.750%							9/01/30							A2				1,482,932
3,100		CitiGroup Capital XXI										8.300%							12/21/37							Baa3				3,038,000
7,500		JPMorgan Chase Capital Trust XX Ser T										6.550%							9/29/36							A2				7,573,725
2,450		JPMorgan Chase Capital XXV										6.800%							10/01/37							A2				2,458,903
275		MBNA Capital Trust										8.278%							12/01/26							BB+				255,750
		Total Diversified Financial Services																												15,074,673
		Diversified Telecommunication Services – 1.4%
10		Centaur Funding Corporation, Series B										9.080%							4/21/20							BBB				11,503,447
		Electric Utilities – 0.3%
2,300		FPL Group Capital Inc.										6.350%							10/01/16							BBB				2,208,000
		Insurance – 11.9%
3,893		Allstate Corporation										6.125%							5/15/67							Baa1				3,498,834
300		AXA SA, 144A										6.379%							12/14/36							Baa1				205,500
3,700		AXA										8.600%							12/15/30							A3				4,142,394
15		Axis Capital Holdings Limited										7.500%							12/01/15							BBB				1,396,288
5,800		Catlin Insurance Company Limited										7.249%							1/19/17							BBB+				4,988,000
9,925		Glen Meadows Pass Through Trust										6.505%							2/15/17							BB+				6,922,688
8,000		Great West Life & Annuity Capital I, 144A										6.625%							11/15/34							A-				7,671,296
5,900		Liberty Mutual Group, 144A										7.800%							3/15/37							Baa3				5,162,500
3,500		Lincoln National Corporation										6.050%							4/20/17							BBB				2,835,000
3,900		Lincoln National Corporation										7.000%							5/17/66							BBB				3,354,000
7,300		MetLife Capital Trust IV, 144A										7.875%							12/15/67							BBB				7,190,500
400		MetLife Capital Trust X, 144A										9.250%							4/08/68							BBB				450,000
7,800		National Financial Services Inc.										6.750%							5/15/37							Baa2				6,561,750
1,150		Nationwide Financial Services Capital Trust										7.899%							3/01/37							Baa2				1,128,761
6,400		Oil Insurance Limited, 144A										7.558%							6/30/11							Baa1				5,999,360
2,500		Old Mutual Capital Funding, Notes										8.000%							6/22/53							Baa3				2,312,500
5,600		Progressive Corporation										6.700%							6/15/67							A2				5,558,000
3,800		Prudential Financial Inc.										8.875%							6/15/18							BBB+				4,099,250
3,200		Prudential PLC										6.500%							6/29/49							A-				2,656,000
4,600		QBE Capital Funding Trust II, 144A										6.797%							6/01/49							BBB+				4,167,490
3,800		Swiss Re Capital I										6.854%							5/25/16							A-				3,456,024
12,600		XL Capital Ltd										6.500%							10/15/57							BBB-				9,891,000
4,700		ZFS Finance USA Trust II 144A										6.450%							12/15/65							A				4,136,000
		Total Insurance																												97,783,135
		Oil, Gas & Consumable Fuels – 0.8%
6,700		TranCanada Pipelines Limited										6.350%							5/15/17							Baa1				6,671,223
		Road & Rail – 0.8%
6,400		Burlington Northern Santa Fe Funding Trust I										6.613%							12/15/55							BBB				6,440,000
		U.S. Agency – 0.1%
1		Farm Credit Bank of Texas										10.000%							12/15/60							A3				923,750
		Total Capital Preferred Securities (cost $237,094,879)																												223,753,205

Shares		Description (1)																												Value
		Investment Companies- 1.5% (1.1% of Total Investments)
354,750		BlackRock Credit Allocation Income Trust II																												$ 3,313,365
298,160		Flaherty and Crumrine/Claymore Preferred Securities Income Fund Inc.																												4,770,560
259,567		John Hancock Preferred Income Fund III																												4,189,411
		Total Investment Companies (cost $17,660,648)																												12,273,336

Shares		Description (1)																												Value
		Warrants – 0.0% (0.0% of Total Investments)
105,500		Gran Colombia Gold Corporation																												$ 17,115
5,404		Medianews Group Inc., (11)																												6,270
		Total Warrants (cost $83,175)																												23,385

Principal
Amount (000)		Description (1)										Coupon							Maturity											Value
		Short-Term Investments – 3.1% (2.3% of Total Investments)
$ 20,342		Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/11, repurchase price $20,342,401, collateralized by $20,170,000 U.S. Treasury Notes, 1.500%, due 6/30/16, value $20,749,888										0.010%							10/03/11											$ 20,342,384
5,084		Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/11, repurchase price $5,083,743, collateralized by $4,900,000 U.S. Treasury Notes, 2.125%, due 11/30/14, value $5,187,875										0.010%							10/03/11											5,083,739
$ 25,426		Total Short-Term Investments (cost $25,426,123)																												25,426,123
		Total Investments (cost $1,180,492,257) – 136.8%																												1,124,121,453

Shares		Description (1)																												Value
		Common Stocks Sold Short – (0.6)%
		Chemicals – (0.1)%
(8,000	)	Sigma-Aldrich Corporation																												$ (494,320)
		Computers & Peripherals – (0.0)%
(875	)	Apple, Inc., (2)																												(333,533)
		Food Products – (0.1)%
(9,000	)	Green Mountain Coffee Inc., (2)																												(836,460)
		Hotels, Restaurants & Leisure – (0.2)%
(2,000	)	Chipotle Mexican Grill, (2)																												(605,900)
(6,700	)	Panera Bread Company, (2)																												(696,398)
		Total Hotels, Restaurants & Leisure																												(1,302,298)
		Household Products – (0.0)%
(5,300	)	Reckitt Benckiser Group PLC, (3)																												(268,541)
		Internet & Catalog Retail – (0.1)%
(2,800	)	Amazon.com, Inc., (2)																												(605,444)
		Software – (0.0)%
(2,600	)	Salesforce.com, Inc., (2)																												(297,128)
		Specialty Retail – (0.1)%
(8,800	)	Tiffany & Co.																												(535,215)
		Total Common Stocks Sold Short (proceeds $2,965,156)																												(4,672,939)
		Borrowings – (35.3)% (12), (13)																												(290,000,000)
		Other Assets Less Liabilities – (0.9)% (14)																												(7,962,372)
		Net Assets Applicable to Common Shares – 100%																												$ 821,486,142

Investments in Derivatives at September 30, 2011: Put Options Purchased outstanding:

Number of												Notional							Expiration							Strike
Contracts		Type										Amount (15)							Date							Price				Value
71		Autozone Inc.										$ 1,420,000							1/21/12							$ 200.0				$ 7,988
71		Total Put Options Purchased (premiums paid $158,961)										$ 1,420,000																		$ 7,988

Call Options Written outstanding:

Number of												Notional							Expiration							Strike
Contracts		Type										Amount (15)							Date							Price				Value
(710	)	Aetna Inc.										$ (2,485,000)							1/21/12							$ 35.0				$ (301,750)
(391	)	AngloGold Ashanti Limited										(1,759,500)							1/21/12							45.0				(103,615)
(51	)	AngloGold Ashanti Limited										(255,000)							1/21/12							50.0				(6,757)
(248	)	Astrazeneca PLC										(1,240,000)							1/21/12							50.0				(21,700)
(580	)	Barrick Gold Corporation										(2,900,000)							1/21/12							50.0				(189,950)
(578	)	Cameco Corporation										(2,023,000)							1/21/12							35.0				(2,890)
(468	)	Cameco Corporation										(1,872,000)							1/21/12							40.0				(2,340)
(156	)	Cameco Corporation										(702,000)							1/21/12							45.0				(780)
(308	)	Chesapeake Energy Corporation										(770,000)							1/21/12							25.0				(113,960)
(196	)	Chesapeake Energy Corporation										(588,000)							1/21/12							30.0				(34,496)
(713	)	Eli Lilly & Company										(2,495,500)							1/21/12							35.0				(233,507)
(877	)	Exelon Corporation										(3,727,250)							1/21/12							42.5				(192,940)
(565	)	Gold Fields Limited										(847,500)							1/21/12							15.0				(103,678)
(454	)	Gold Fields Limited										(726,400)							1/21/12							16.0				(61,744)
(383	)	Gold Fields Limited										(670,250)							1/21/12							17.5				(31,981)
(1,080	)	Kroger Company										(2,430,000)							1/21/12							22.5				(140,400)
(339	)	Lockheed Martin Corporation										(2,712,000)							1/21/12							80.0				(59,325)
(449	)	Microsoft Corporation										(1,347,000)							1/21/12							30.0				(11,000)
(426	)	Newmont Mining Corporation										(2,449,500)							1/21/12							57.5				(388,725)
(1,530	)	Nokia Corporation										(1,530,000)							1/21/12							10.0				(8,415)
(1,110	)	Nokia Corporation										(1,387,500)							1/21/12							12.5				(2,775)
(459	)	Suncor Energy Inc										(1,836,000)							1/21/12							40.0				(7,803)
(4,877	)	Thales S.A.										(13,655,600)							3/17/12							28.0				(37,897)
(640	)	Turkcell Iletisim Hizmet AS										(960,000)							10/22/11							15.0				(6,400)
(706	)	Tyson Foods, Inc.										(1,235,500)							1/21/12							17.5				(109,430)
(414	)	Wal-Mart Stores, Inc.										(2,380,500)							1/21/12							57.5				(22,356)
(414	)	Wal-Mart Stores, Inc.										(2,484,000)							1/21/12							60.0				(8,280)
(19,122	)	Total Call Options Written (premiums received $3,403,117)										$ (57,469,000)																		$ (2,204,894)

Interest Rate Swaps outstanding:

			Fund																Fixed Rate											Unrealized
		Notional	Pay/Receive				Floating Rate												Payment							Termination				Appreciation
Counterparty		Amount	Floating Rate				Index					Fixed Rate*							Frequency							Date				(Depreciation)
JPMorgan		$69,725,000	Receive				1-Month USD-LIBOR					0.360%							Monthly							3/21/12				$(1,168,311)
JPMorgan		69,725,000	Receive				1-Month USD-LIBOR					1.193							Monthly							3/21/14				(11,411)
Morgan Stanley		69,725,000	Receive				1-Month USD-LIBOR					2.064							Monthly							3/21/16				(3,192,735)
																														$(4,372,457)

* Annualized

		Fair Value Measurements Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below: Level 1 – Quoted prices in active markets for identical securities. Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 – Significant unobservable inputs (including management’s assumptions in determining the fair value of investments). The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of September 30, 2011:

										Level 1						Level 2							Level 3					Total
		Investments
		Common Stocks*								$169,385,555						$111,133,798							$ –					$ 280,519,353
		Convertible Preferred Securities								4,023,427						5,274,000							–					9,297,427
		$25 Par (or similar) Preferred Securities								263,184,970						27,161,565							–					290,346,535
		Variable Rate Senior Loan Interests								–						87,441,147							–					87,441,147
		Convertible Bonds								–						92,715,625							–					92,715,625
		Corporate Bonds								–						102,325,317							–					102,325,317
		Capital Preferred Securities								–						223,753,205							–					223,753,205
		Investment Companies								12,273,336						–							–					12,273,336
		Warrants								17,115						–							6,270					23,385
		Short-Term Investments								–						25,426,123							–					25,426,123
		Common Stocks Sold Short*								(4,404,398					)	(268,541						)	–					(4,672,939				)
		Derivatives:
		Put Options Purchased								7,988						–							–					7,988
		Call Options Written								(2,204,894					)	–							–					(2,204,894				)
		Interest Rate Swaps**								–						(4,372,457						)	–					(4,372,457				)
		Total								$442,283,099						$670,589,782							$6,270					$1,112,879,151

		* Refer to the Fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2. ** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the measurement period:

																	Level 3								Level 3					Level 3
																	Corporate Bonds								Warrants					Total
		Balance at the beginning of period															$ 3,657,866								$ –					$ 3,657,866
		Gains (losses):
		Net realized gains (losses)															(1,729,935							)	–					(1,729,935			)
		Net change in unrealized appreciation (depreciation)															1,795,310								6,270					1,801,580
		Purchases at cost															–								–					–
		Sales at proceeds															(3,774,000							)	–					(3,774,000			)
		Net discounts (premiums)															50,759								–					50,759
		Transfers in to															–								–					–
		Transfers out of															–								–					–
		Balance at the end of period															$ –								$ 6,270					$ 6,270

		The table below presents the transfers in and out of the three valuation levels for the Fund as of the end of the reporting period when compared to the valuation levels at the end of the previous fiscal year. Changes in the leveling of investments are primarily due to changes in the leveling methodologies, changes in the observability of inputs or changes in the pricing source used by the Fund.

		Level 1							Level 2												Level 3
		Transfers In		(Transfers Out)					Transfers In		(Transfers Out)										Transfers In						(Transfers Out)
		$ 3,321,533		$ (100,745,994				)	$ 100,745,994		$ (3,321,533									)	$ –						$ –

		Derivative Instruments and Hedging Activities The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes. The following table presents the fair value of all derivative instruments held by the Fund as of September 30, 2011, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure.

		Underlying			Derivative	Asset Derivatives												Liability Derivatives
		Risk Exposure			Instrument	Location								Value				Location											Value
		Equity Price			Options	Put options purchased, at value								$ 7,988				Call options written, at value											$2,204,894
		Interest Rate			Swaps	Unrealized appreciation on interest rate swaps*								$ –				Unrealized depreciation on interest rate swaps*											$4,372,457
		Total												$ 7,988															$6,577,351

		* Value represents cumulative unrealized appreciation (depreciation) of swap contracts as reported on the Portfolio of Investments.

		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 real estate investment trust (“REIT”) investments and timing differences in recognizing certain gains and losses on investment transaction. 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, 2011, the cost of investments (excluding common stocks sold short and investments in derivatives) was $1,186,406,950. Gross unrealized appreciation and gross unrealized depreciation of investments (excluding common stocks sold short and investments in derivatives) at September 30, 2011, were as follows:

		Gross unrealized:
		Appreciation																												$ 41,832,386
		Depreciation																												(104,117,883	)
		Net unrealized appreciation (depreciation) of investments																												$ (62,285,497	)

				For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications into sectors for reporting ease.
		(1)		All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
		(2)		Non-income producing; issuer has not declared a dividend within the past twelve months.
		(3)		For fair value measurement disclosure purposes, Common Stock categorized as Level 2.
		(4)		Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives.
		(5)		Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies.
		(6)		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.
		(7)		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.
		(8)		At or subsequent to September 30, 2011, this issue was under the protection of the Federal Bankruptcy Court.
		(9)		Non-income producing security, in the case of a Senior Loan, denotes that the issuer has defaulted on the payment of principal or interest or has filed for bankruptcy.
		(10)		Principal Amount (000) rounds to less than $1,000.
		(11)		Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3.
		(12)		Borrowings as a percentage of Total Investments is 25.8%.
		(13)		The Fund may pledge up to 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. As of September 30, 2011, investments with a value of $610,946,275 have been pledged as collateral for Borrowings.
		(14)		Other Assets Less Liabilities includes Value and/or Net Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at September 30, 2011.
		(15)		For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.
		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.
		GDR		Global Depositary Receipt.
		PPLUS		PreferredPlus Trust.
		Reg S		Regulation S allows U.S. companies to sell securities to persons or entities located outside of the United States without registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic issuers that are made outside the United States.
		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.
		USD-LIBOR		United States Dollar–London Inter-Bank Offered Rate.

Item 2. Controls and Procedures.

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

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

Item 3. Exhibits.

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

SIGNATURES

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

(Registrant)

Nuveen Multi-Strategy Income and Growth Fund

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

Date November 29, 2011

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, 2011

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

Date November 29, 2011